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Golden Select Logo
Semi-Annual Report
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THE GCG TRUST
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JUNE 30, 1997
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc., member NASD.
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Table of Contents
THE GCG TRUST
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Chairman's Letter........................................................................................ 1
Portfolio 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
Managed Global Series.................................................................................. 32
Emerging Markets Series................................................................................ 33
Hard Assets Series..................................................................................... 34
Real Estate Series..................................................................................... 35
Market Manager Series.................................................................................. 36
Multiple Allocation Series............................................................................. 37
Fully Managed Series................................................................................... 38
Limited Maturity Bond Series........................................................................... 39
Liquid Asset Series.................................................................................... 40
Portfolios of Investments
Small Cap Series....................................................................................... 41
All-Growth Series...................................................................................... 43
Capital Appreciation Series............................................................................ 45
Value Equity Series.................................................................................... 46
Rising Dividends Series................................................................................ 47
Strategic Equity Series................................................................................ 48
Managed Global Series.................................................................................. 52
Emerging Markets Series................................................................................ 58
Hard Assets Series..................................................................................... 61
Real Estate Series..................................................................................... 63
Market Manager Series.................................................................................. 64
Multiple Allocation Series............................................................................. 65
Fully Managed Series................................................................................... 68
Limited Maturity Bond Series........................................................................... 71
Liquid Asset Series.................................................................................... 73
Notes to Financial Statements............................................................................ 74
Special Meeting of Shareholders.......................................................................... 80
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DIRECTED SERVICES, INC.
1001 JEFFERSON STREET, WILMINGTON, DE 19801 TEL: 302-576-3400
FAX: 302-576-3450
August 12, 1997
Dear Shareholder of The GCG Trust:
We are pleased to provide you with your June 30, 1997 Semi-Annual Report (the
"Report") for The GCG Trust (the "Trust") which includes reports from all
GoldenSelect Portfolio Managers. The first six months of 1997 have seen Trust
assets under management increasing 13% from $1.23 billion to $1.39 billion.
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. For more complete information
about the Series, The GCG Trust or any GoldenSelect product, including charges
and expenses, please consult your prospectus. Read it carefully before investing
or sending money.
Thank you for your continued support of GoldenSelect and The GCG Trust.
Sincerely,
/s/ Terry L. Kendall
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Terry L. Kendall
Chairman
The GCG Trust
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THE GCG TRUST
SMALL CAP SERIES
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The Small Cap Series (the "Series") seeks to
achieve long-term capital appreciation. During AVERAGE ANNUAL TOTAL RETURN
the first six months of 1997, the Series had a FOR PERIOD ENDED JUNE 30, 1997
total return of 0.50%. The Russell 2000 Growth 1 YEAR 1.60%
Index had a total return of 5.23% over the same 1/3/1996 (INCEPTION) 13.44%
period.
AGGREGATE TOTAL RETURN
Two trends that persisted throughout 1996 YEAR-TO-DATE 0.50%
continued during the first quarter of 1997.
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
First, large-cap stocks continued to outperform DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
small-cap stocks. During the first quarter, the FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
Standard & Poor's 500 Index (large-cap stocks) CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN
had a total return of 2.68%. In contrast, the THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
Russell 2000 Index (small-cap stocks) had a total PERFORMANCE.
return of (5.17)%.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
Second, value stocks generated higher returns 1. Tellabs, Inc. 2.4%
than growth stocks. For the first quarter, the 2. CBT Group PLC, ADR 2.2%
Russell 2000 Growth Index had a total return of 3. Whole Foods Market, Inc. 2.1%
(10.49)%, while the Russell 2000 Value Index had 4. Structural Dynamics Research 2.0%
a total return of (0.25)%. 5. Electronics for Imaging 2.0%
INDUSTRY BREAKDOWN
Performance of the Series was severely affected
by these trends. February was a particularly [INDUSTRY BREAKDOWN PIE CHART]
difficult month. Unseasonably warm weather caused
oil stocks to decline, and several technology Other 55.8%
holdings were negatively impacted by the weak Computer Software 8.4%
performance of the networking sector. Apparel 8.3%
Retail 6.7%
By the end of the first quarter, the Series had Semiconductors 6.3%
posted a return of (14.24)%. Although we were Communications 4.6%
disappointed with our first quarter results, we Transportation/Services 3.5%
also recognized that small-cap stock prices can Food-Retail 3.2%
go up just as fast as they go down. Volatility is Bio Technology 3.2%
an inherent characteristic of small-cap
investments.
After a disappointing April, small-cap growth
stocks came back in May and June. For the second
quarter, the Series had a total return of 17.18%.
The second quarter comeback was fueled by a
reversal of investor psychology. That is, the
interests of investors broadened to include
small-cap stocks.
Series returns were also aided by an
overcommitment to the communications equipment
industry. These companies generated exceptionally
strong returns during the second quarter.
Individual holdings also contributed to
performance. Stocks such as Saville Systems
(Ireland), ADR and Keane Inc. led the way with
second quarter returns of 80.9% and 57.0%,
respectively.
Although there were minor sector shifts during
the period, portfolio strategy remained uniform.
We continue to emphasize individual security
selection through extensive internal research.
FRED ALGER MANAGEMENT, INC.
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THE GCG TRUST
ALL-GROWTH SERIES
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The All-Growth Series (the "Series") seeks
capital appreciation. During the first six AVERAGE ANNUAL TOTAL RETURN
months of 1997, the Series had a total return of FOR PERIOD ENDED JUNE 30, 1997
3.96%. The Standard & Poor's 500 Index had a 1 YEAR 2.11%
total return of 20.61% over the same period. 5 YEAR 5.20%
1/24/1989 (INCEPTION) 5.64%
With the second quarter of 1997 now complete,
smaller capitalization growth stock managers are
beginning to breathe a little easier. For the AGGREGATE TOTAL RETURN
first time in almost a year, smaller YEAR-TO-DATE 3.96%
capitalization growth companies finally kept pace
with larger capitalization stocks. The Series had TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
a disappointing first quarter, when it had a DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
total return of (11.80)%. Performance rebounded FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
sharply in the second quarter, however, when the CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
Series had a total return of 17.87%. SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
Several elements that are positive for our On February 3, 1997, Pilgrim Baxter & Associates, Ltd.
investment style were clearly present during the became the Manager of the Series. Prior to that date the
second quarter. Most importantly, evidence Series had been advised by another Portfolio Manager.
suggested that the relative valuation correction TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
of smaller company growth stocks that began last 1. Corrections Corporation of America 3.2%
summer had largely run its course, staying within 2. Tellabs, Inc. 3.2%
the confines of historical valuation ranges 3. Clear Channel Communications, Inc. 3.1%
relative to the broader market. Companies in the 4. Oxford Health Plans, Inc. 3.1%
portfolio also continued to show strong operating 5. HBO & Company 3.1%
and financial results. As of June 30, 1997, the INDUSTRY BREAKDOWN
Series had a weighted-average earnings growth
rate of 57%, with a 21% rate of return on equity. [INDUSTRY BREAKDOWN PIE CHART]
Returns for the second quarter were driven by the Other 46.2%
healthcare, service, and technology sectors. Retail 8.8%
However, a number of other industries also Computer Software 8.6%
produced strong returns. The breadth of returns Services 7.1%
is perhaps best illustrated by looking at some of Semiconductors 7.0%
the top performers during the period: Zoltek Telecommunications Equipment 6.3%
Companies, Inc. (Industrial); The Money Store, Health Care Services 5.7%
Inc. (Financial Services); PhyCor, Inc. (Health Computer Software and Services 5.3%
Care Administrative); Gartner Group, Inc. Environmental Services 5.0%
(Computer Software and Services); and General
Nutrition Companies, Inc. (Retail). Only
Chesapeake Energy Corporation (Exploration and
Production) proved truly problematic, as they
acknowledged the existence of exploratory and
production problems.
We anticipate a continuing recovery in the types
of high growth stocks that are held by the
Series. We also expect the market to remain quite
volatile, especially as second quarter earnings
are announced. Nonetheless, the results of the
last quarter illustrate the kind of dynamic
performance that is possible in portfolios that
are focused on the high growth segment of the
market.
PILGRIM BAXTER & ASSOCIATES, LTD.
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THE GCG TRUST
CAPITAL APPRECIATION SERIES
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The Capital Appreciation Series (the "Series")
seeks to generate long-term capital growth. AVERAGE ANNUAL TOTAL RETURN
During the first six months of 1997, the Series FOR PERIOD ENDED JUNE 30, 1997
had a total return of 15.21%. The Standard & 1 YEAR 26.38%
Poor's 500 Index had a total return of 20.61% 5 YEAR 16.54%
over the same period. 5/4/1992 (INCEPTION) 15.80%
The pessimism that was so prevalent at the end of
March changed to surging optimism three months AGGREGATE TOTAL RETURN
later based on a combination of positive trends. YEAR-TO-DATE 15.21%
The economy is strong, yet it sends enough mixed TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
signals to put off the need for credit DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
tightening. The policies of the Federal Reserve FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
Board has promoted a business climate that is CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
almost self-regulating, preserving a low interest SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
rate environment. Inflation continues to surprise PERFORMANCE.
on the downside, while corporate profits surprise
on the upside. Inflows into equity mutual funds TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
remain exceptionally strong, and corporate 1. Merck & Company Inc. 3.2%
mergers and restructurings were at a record level 2. Compaq Computer Corporation 2.7%
for the first half of the year. 3. Intel Corporation 2.5%
4. Dayton Hudson Corporation 2.5%
During the first half of the year, the portfolio 5. Medtronic Inc. 2.4%
held a mix of 50% Growth and 50% Value stocks. On INDUSTRY BREAKDOWN
the growth side, healthcare issues such as
Bristol-Myers Squibb Company, Warner-Lambert [INDUSTRY BREAKDOWN PIE CHART]
Company, Lilly (Eli) & Company, and Medtronic
Inc. widely outdistanced the broad market. Other 40.3%
Technology stocks such as Compaq Computer Pharmaceuticals 14.4%
Corporation, First Data Corporation, HBO & Banks 10.4%
Company, and Microsoft Corporation were also Information Processing 8.3%
strong performers. Insurance 7.6%
Commodities 7.3%
Financial services issues were a significant area Retail 6.4%
of exposure. BankAmerica Corporation, Household Aerospace/Defense 5.3%
International Inc., Sallie Mae and Travelers
Group Inc. all produced strong returns.
Many value stocks did well during the period,
including Ford Motor Company, Comcast
Corporation, Philip Morris Companies Inc. and
Dayton Hudson Corporation. Waste Management Inc.,
Hercules, Inc. and GTE Corporation had luckluster
performance, and a few mid-cap growth stocks
(HFS Inc., CUC International Inc. and Boston
Scientific Corporation) were also a drag on
performance.
At the end of the second quarter, we raised the
growth segment to 55% of the portfolio and
reduced the value segment. Our strategy is to
stay fully invested, avoiding market timing, but
at the same time balancing capital appreciation
with capital preservation.
At the current level of the stock market,
outperformance is often achieved by not
participating fully in the downside during
temporary market setbacks. History has shown that
it is in these periods that active managers can
add value.
CHANCELLOR LGT ASSET MANAGEMENT, INC.
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THE GCG TRUST
VALUE EQUITY SERIES
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The objective of the Value Equity Series (the
"Series") is capital appreciation and, AVERAGE ANNUAL TOTAL RETURN
secondarily, dividend income. During the first FOR PERIOD ENDED JUNE 30, 1997
six months of 1997, the Series returned 18.39%, 1 YEAR 29.40%
as compared to the Standard & Poors 500 Index 1/3/1995 (INCEPTION) 25.78%
("S&P 500 Index"), which was up 20.61%.
AGGREGATE TOTAL RETURN
The S&P 500 Index is market YEAR-TO-DATE 18.39%
capitalization-weighted. Therefore, its returns
are driven by a few of the largest U.S. TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
companies. During the first half of the year, DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
stocks of the largest companies generally FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
produced the highest investment returns. The CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
Series invests in large and mid-cap stocks; it is SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
less concentrated in the largest U.S. companies. PERFORMANCE.
This is one of the reasons that the Series
trailed the S&P 500 Index. TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
1. S&P 500 Depositary Receipt 4.5%
The Series focuses on "value" (i.e. underpriced)
stocks. During the first six months of the year, 2. UST Inc. 3.7%
"value" stocks generally produced lower 3. Philips Electronics N.V. 3.6%
investment returns than "growth" stocks. The S&P 4. Sunbeam Corporation 3.6%
500/Barra Value Index had a total return of 5. RJR Nabisco Holdings Corporation 3.3%
16.5%, as compared to a return of 24.6% for the
INDUSTRY BREAKDOWN
S&P 500/Barra Growth Index. Although the Series [INDUSTRY BREAKDOWN PIE CHART]
trailed the S&P 500 Index, it outperformed the
S&P 500/Barra Value Index. Over longer periods, Retail 4.8%
the Portfolio Manager's goal is to outperform the Chemicals 6.3%
S&P 500 Index. Health Care 6.4%
Communication and Information 7.7%
As the stock market rocketed to new heights Telecommunications 8.2%
during the first two quarters, the Portfolio Tobacco 12.3%
Manager looked for less volatile positions to Petroleum 12.4%
help protect the portfolio in case of a pull Other 41.9%
back. Positions like PacifiCorp and Ford Motor
Company helped reduce the volatility of the
Series.
The Portfolio Manager took advantage of the
market volatility by buying positions that were
oversold during the period, such as Columbia/HCA
Healthcare Corporation and Federated Department
Stores, Inc. He also sold positions which
appreciated beyond their intrinsic values, like
Dun & Bradstreet and WD-40 Company. One of the
portfolio's best performing positions was
Telebras, the telephone holding company of
Brazil. Holdings of Telebras were reduced during
the second quarter, after its price appreciated
significantly.
During the quarter, the weighting of the oil
industry was increased. This stance has not yet
paid off, but the Portfolio Manager is positive
about the industry's potential.
EAGLE ASSET MANAGEMENT, INC.
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THE GCG TRUST
RISING DIVIDENDS SERIES
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The Rising Dividends Series (the "Series") seeks
capital appreciation. During the first six AVERAGE ANNUAL TOTAL RETURN
months of 1997, the Series had a total return of FOR PERIOD ENDED JUNE 30, 1997
18.60%. The Standard & Poor's 500 Index ("S&P 500 1 YEAR 30.08%
Index") had a total return of 20.61% over the 10/4/1993 (INCEPTION) 19.44%
same period.
Stock prices continued to reach new highs during
the first half of the year. Nonetheless, the AGGREGATE TOTAL RETURN
Portfolio Manager believes that stocks in general YEAR-TO-DATE 18.60%
are not overpriced, given the very favorable
inflation outlook. In the past, when inflation TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
was as low as the 2.5% rate expected for 1997, DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
the market price/earnings ratio ranged from 18 to FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
22. As of June 30, 1997, the S&P 500 Index was CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
trading at 21 times the estimated earnings for SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
1997 and 19.7 times the estimated earnings for PERFORMANCE.
1998.
During the six-month period, the portfolio was TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
most heavily weighted in the consumer staples, 1. Electronic Data Systems Corporation 3.9%
technology and financial sectors. 2. SBC Communications, Inc. 3.0%
Many companies in the financial sector had very 3. PPG Industries, Inc. 2.9%
strong performance. Examples include Franklin 4. McDonald's Corporation 2.9%
Resources Inc., State Street Corporation, and 5. General Electric Company 2.7%
Marsh & McLennan Companies, Inc. -- all with
underlying businesses that are tied to the INDUSTRY BREAKDOWN
securities markets.
Pharmaceuticals 7.5%
In the consumer staples sector, Coca-Cola Company Data Services 7.4%
and Gillette Company have outperformed the market Food 7.3%
year to date. The Series continues to hold Chemicals and Allied Products 6.3%
significant positions in these companies. During Financial Services 6.2%
1997, the Series purchased CPC International, Insurance 5.3%
Inc. and Kimberly-Clark Corporation, and the Petroleum 5.3%
position in Wrigley (Wm) Jr. Company was Banks 5.2%
increased. Other 49.5%
The Series has invested in many consumer staples
companies that have a strong international
presence. These multinational companies are
expected to benefit from the millions of new
consumers coming into the global marketplace.
In the technology sector, the Portfolio Manager
increased the position in Electronic Data Systems
Corporation. This company experienced a decline
in the price of its stock after earnings fell
short of expectations. After visiting the
company, the Portfolio Manager believes that
these are only short-term setbacks.
Although a short-term "correction" may come at
any time, the Portfolio Manager continues to
believe that a diversified portfolio of
well-selected, quality-growth, rising dividends
companies will produce very satisfactory returns
for investors who take a long-term view.
KAYNE, ANDERSON INVESTMENT MANAGEMENT, L.P.
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THE GCG TRUST
STRATEGIC EQUITY SERIES
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The Strategic Equity Series (the "Series") seeks
to achieve capital appreciation. During the AVERAGE ANNUAL TOTAL RETURN
first six months of 1997, the Series had a total FOR PERIOD ENDED JUNE 30, 1997
return of 7.45%. The benchmark index had a total 1 YEAR 15.48%
return of 16.78% over the same period. The 10/2/1995 (INCEPTION) 15.57%
benchmark index is an average of the Standard &
Poor's 500 Index ("S&P 500 Index") and the
Standard & Poor's Midcap 400 Index ("S&P Midcap AGGREGATE TOTAL RETURN
400 Index"). YEAR-TO-DATE 7.45%
The underperformance of the Series can be
attributed to both asset allocation decisions and TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
individual stock picks. DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
A below-average exposure to equities contributed FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
to the performance shortfall. The Series began CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
the year approximately 60% invested in the stock SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
market, but exposure was cut 5%-10% by the time PERFORMANCE.
the market peaked in late February and early
March. Both our monetary and sentiment models TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
indicated above-average levels of stock market 1. Bear Stearns Companies, Inc. 1.2%
risk. 2. Bowne & Company Inc. 1.2%
3. Timken Co. 1.2%
Monetary indicators deteriorated as the Federal 4. CKE Restaurants, Inc. 1.1%
Reserve Board raised rates and bond yields 5. Global Marine, Inc. 1.0%
increased. Higher rates generally have a negative
impact on stock prices. INDUSTRY BREAKDOWN
By mid-February, sentiment indicators were as Electric Utilities 11.7%
poor (showing excessive optimism) as at any time Insurance 4.4%
since the 1987 pre-crash peak. This included low Financial Services 4.2%
cash levels held by mutual fund managers and Automobile Parts 3.0%
institutions, low put/call ratios, and widespread Computer Components and Software 2.7%
complacency (as indicated in polls of individual Metal Fabricate/Hardware 2.4%
and professional investors). Contract Drilling 2.1%
Petroleum 2.1%
As the market corrected, our momentum indicators Other 67.4%
turned negative, and we cut back exposure to
47%-48%. During the second quarter, we steadily
increased exposure as bond prices rallied. We
ended the second quarter 62% invested. Over the
six month period, average exposure to the stock
market was 54%.
Over the six-month period, our stock-picking also
lagged somewhat. Our equity-only return was 14%.
This is higher than the S&P Midcap 400 Index, but
less than the S&P 500 Index and the benchmark
index.
In terms of sector exposure, the Series had
significant holdings of utility stocks. These
companies generally underperformed during the
first half of the year.
ZWEIG ADVISORS INC.
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Note: The benchmark index consists of 50% of the
Standard & Poors 500 Index and 50% of the
Standard & Poors Midcap 400 Index.
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THE GCG TRUST
MANAGED GLOBAL SERIES
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The Managed Global Series (the "Series") seeks
capital appreciation. During the first six AVERAGE ANNUAL TOTAL RETURN
months of 1997, the Series had a total return of FOR PERIOD ENDED JUNE 30, 1997
13.39%. The MSCI EAFE Index (the "benchmark 1 YEAR 15.57%
index") had a total return of 11.21% over the 10/21/1992 (INCEPTION) 5.19%
same period.
In March, the Federal Reserve Board launched a
preemptive strike against inflation, raising the AGGREGATE TOTAL RETURN
Federal Funds rate by 25 basis points. The rate YEAR-TO-DATE 13.39%
hike triggered the largest U.S. equity selloff in
10 years, and it pushed the 30-year Treasury
yield past the watershed 7% mark. TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
Following this volatility, U.S. stocks rebounded, FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
soaring to record levels by the end of the second CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
quarter. This activity was fueled by ideal SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
economic conditions, including falling interest PERFORMANCE.
rates, steady economic growth, and favorable
supply/demand dynamics. On March 3, 1997, Putnam Investment Management, Inc.
became the Manager of the Series. Prior to that date the
During the second quarter, international equity Series had been advised by another Portfolio Manager.
markets turned in their best performance since
1988. These solid returns occurred against a TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
backdrop of reasonable economic growth, continued 1. Vodafone Group (Great Britain) 1.8%
low inflation, and stability in government 2. Total S.A., Class B (France) 1.6%
policies. 3. Sankyo Company, Ltd. (Japan) 1.5%
4. Smithkline Beacham (Great Britain) 1.4%
Country allocation helped performance relative to 5. Nestle S.A. (Switzerland) 1.4%
the benchmark index. The benchmark index does not
contain any U.S. stocks, while the Series ASSET DISTRIBUTION BY COUNTRY
maintains significant exposure to the U.S.
markets. During the six-month period, the U.S. [INDUSTRY BREAKDOWN PIE CHART]
market produced higher overall returns than the
benchmark index. For example, the Standard & United States 25.7%
Poors 500 Index had a total return of 20.61%. Japan 17.2%
Great Britain 13.9%
Stock selection also added value during the France 6.6%
period. Selections in Japan, the Netherlands, Switzerland 4.9%
France and the United States, combined with an Hong Kong 3.5%
emphasis on technology stocks worldwide, proved Netherlands 3.4%
extremely advantageous. Currency management was Other 24.8%
slightly positive. Hedging against the weakening
French franc and removing the yen hedge
contributed to second quarter returns.
We are reducing exposure to Continental European
growth stocks and the technology sector overall.
We are increasing exposure to the United Kingdom,
which has lagged due to government budget
concerns, and to developing countries. Finally,
the Portfolio Manager is broadening Japanese
exposure, away from global technology stocks and
in favor of more domestically-oriented consumer
and small business finance companies.
We have hedged half of the portfolio's exposure
to the French franc. As the yen rose, we
reinstated hedges on one-third of the
portfolio's Japanese exposure.
PUTNAM INVESTMENT MANAGEMENT, INC.
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THE GCG TRUST
EMERGING MARKETS SERIES
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The Emerging Markets Series (the "Series") seeks
long-term capital appreciation. During the AVERAGE ANNUAL TOTAL RETURN
first six months of 1997, the Series had a total FOR PERIOD ENDED JUNE 30, 1997
return of 17.28%. The IFC Investable Composite 1 YEAR 14.00%
Index had a total return of 16.15% over the same 10/4/1993 (INCEPTION) 4.84%
period.
Latin American markets produced the strongest
returns during the six-month period. The IFC AGGREGATE TOTAL RETURN
Investable Latin American Index had a total YEAR-TO-DATE 17.28%
return of 40.04%. The Series maintained an
overweight position in Latin America during the TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
first half of the year. DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
Within the Latin American region, Brazil, Mexico FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
and Argentina made the strongest contributions to CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
performance. Over the six month period, the IFC SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
Investable indices for these countries had total PERFORMANCE.
returns of 57.7%, 31.5%, and 22.9%, respectively.
The Series maintained overweight positions in On March 3, 1997, Putnam Investment Management, Inc.
these countries during the second quarter of the became the Manager of the Series. Prior to that date the
year. In addition, individual stock selections in Series had been advised by another Portfolio Manager.
Brazil and Mexico added value.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
Asian markets fared poorly overall. During the 1. Telec Brasileiras-Telebras ON (Brazil) 2.7%
period, the IFC Investable Asian Index had a 2. Petroleo Brasileir (Brazil) 2.5%
total return of (3.8%). Despite the overall weak 3. Tatneft, ADR (Russia) 2.0%
performance in the region, markets in India, 4. Mosenergo, ADR (Russia) 1.9%
Taiwan and Korea performed well. Markets in 5. Panamerican Beverages, Inc., Class A
Russia and Hungary also had strong performance. (Brazil) 1.8%
The Series maintained significant exposure in
Russia, India, Korea, and Hungary. The strong ASSET DISTRIBUTION BY REGION
performance of these markets had a positive
impact on the returns of the Series. Individual [INDUSTRY BREAKDOWN PIE CHART]
stock picks in Korea and Hungary also added
value. Latin American Countries 40.0%
Pacific Rim Countries 38.2%
Portfolio overweightings in the Philippines and Eastern Europe 9.3%
an underweighting in Taiwan detracted from South Africa 4.6%
portfolio returns. Portfolio gains were also Middle East 7.9%
hampered by weak stock selection in Malaysia.
In the near term, we expect interest rate
stability in the United States, steady global
commodity prices, and solid growth in the
developed countries. This will provide a strong
foundation for demand and growth in the emerging
markets.
A strategic portfolio shift from Latin America to
Southeast Asia is desirable, but it is unlikely
to occur on a large scale, absent a major
correction in Asia.
We seek growth and value in various markets,
rotating within regions as much as we move from
one region to another. We will seek to increase
exposure to Eastern Europe as opportunities
arise, and we will possibly add to our position
in Turkey.
PUTNAM INVESTMENT MANAGEMENT, INC.
</TABLE>
9
<PAGE> 12
THE GCG TRUST
HARD ASSETS SERIES
<TABLE>
<S> <C>
The Hard Assets Series (the "Series") seeks
long-term capital appreciation. During the AVERAGE ANNUAL TOTAL RETURN
first six months of 1997, the Series had a total FOR PERIOD ENDED JUNE 30, 1997
return of 2.97%. The Standard & Poor's 500 Index 1 YEAR 14.83%
had a total return of 20.61% over the same 5 YEAR 15.22%
period. 1/24/1989 (INCEPTION) 10.14%
During the first half of the year, the Series
significantly concluded its transition to a
natural resource and real estate portfolio. Major AGGREGATE TOTAL RETURN
allocation shifts included a decrease in gold YEAR-TO-DATE 2.97%
exposure from 20% to 6%, an increase in real
estate from 0% to 21%, and a decrease in energy
exposure from 46% to 34%. TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
During the six-month period, equity markets FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
produced exceptionally high returns. However, CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
commodity, natural resource, and real estate SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
securities didn't keep pace with the broad PERFORMANCE.
market.
In terms of sector performance, integrated energy TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
stocks generated the highest returns for the 1. Pacalta Resources Ltd. 3.0%
period (19%). Forest products and paper also had 2. Ocean Energy, Inc. 2.0%
strong gains (16%), while industrial metals 3. Mobil Oil Corporation 1.9%
produced respectable returns (aluminum and steel 4. British Petroleum PLC, ADR 1.9%
shares both rose 12%). 5. Mead Corporation 1.9%
Real estate securities had relatively modest
returns for the period of 5%. On the other side INDUSTRY BREAKDOWN
of the ledger, gold stocks fell over 20%, while
oil exploration and production shares fell 11%. [INDUSTRY BREAKDOWN PIE CHART]
In hard asset markets, supply, not demand, was Oil and Gas Exploration 17.7%
the key issue. Oil prices declined over 20% on Forest Products and Paper 9.9%
renewed supplies from Iraq, record OPEC Office/Industrial 8.6%
production, and record non-OPEC production. Gold Oil/Gas-Equipment and Services 8.0%
prices declined nearly 10% on fears that central Metals/Mining 6.9%
bank sales would increase gold supply in the Oil/Gas-International 5.4%
market. These fears were realized on July 3, 1997 Gold/Mining 5.4%
when the Australian Central Bank announced that Other 38.1%
it had sold 167 tons of gold (two-thirds of its
gold reserves) during the first half of the year.
Supply of new stock was a key factor in the real
estate market, as new equity issues reached
record levels during the period. On a positive
note, supply concerns had a positive effect on
the copper market. Supply disruptions caused
prices to rise 14% when analysts expected copper
prices to decline.
Individual winners in the energy sector include
Pacalta Resources Ltd. and Windsor Energy
Corporation, both of which had successful
drilling results. On the oil service side, Key
Energy Group had exceptionally strong
performance. Other profitable holdings included
Fort Howard Corporation, a tissue company that
announced a merger with James River Corporation.
VAN ECK ASSOCIATES CORPORATION
</TABLE>
10
<PAGE> 13
THE GCG TRUST
REAL ESTATE SERIES
<TABLE>
<S> <C>
The Real Estate Series (the "Series") seeks
capital appreciation. During the first six AVERAGE ANNUAL TOTAL RETURN
months of 1997, the Series had a total return of FOR PERIOD ENDED JUNE 30, 1997
6.51%. The Wilshire Real Estate Securities Index 1 YEAR 34.82%
had a total return of 6.52% over the same period. 5 YEAR 18.49%
1/24/1989 (INCEPTION) 11.49%
Following an extraordinarily strong year in 1996,
below-average returns might have been expected AGGREGATE TOTAL RETURN
in 1997. Instead, industry consolidation and YEAR-TO-DATE 6.51%
continuing recovery in the real estate markets
produced respectable gains. Real estate
securities trailed the broad equity markets, but
returns were very close to the 12% annual pace TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
that we believe is sustainable for leading Real DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
Estate Investment Trusts ("REITs"). FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
As concerns about high valuation, volatility and SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
earnings durability increase, we expect investors PERFORMANCE.
to be drawn back to real estate securities. Real
estate securities have lower volatility, lower
valuation, and more visible earnings growth than TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1997
other stocks. In addition, they have a high 1. Starwood Lodging Trust 4.5%
dividend yield (over 6%), which provides downside 2. Simon DeBartolo Group, Inc. 4.0%
protection. 3. Crescent Real Estate Equities Inc. 4.0%
The real estate securities market expanded 4. CarrAmerica Realty Corporation 3.6%
significantly during the first half of the year. 5. Vornado Realty Trust 3.5%
A record $9.4 billion of new equity capital was
raised. Fortunately, this volume was matched by INDUSTRY BREAKDOWN
cash flow into real estate mutual funds and
related accounts. Over the long-term, we expect [INDUSTRY BREAKDOWN PIE CHART]
continued growth in the size of the market.
Currently, only a small fraction of all real Office/Industrial 28.2%
estate has been securitized. Apartments 16.9%
Regional Malls 12.7%
Changes in property type and geographical Specialty Real Estate 10.5%
weightings were minimal during the six-month Shopping Centers 9.5%
period. We believe that real estate markets are Health Care Real Estate 5.6%
generally in equilibrium, and therefore Self Storage 4.1%
achievement of significant above-average returns Other 12.5%
cannot be obtained from sector shifts. Stock
selection has become more important.
Nevertheless, we continue to favor the office
sector. Imbedded in most office portfolios are
below-market leases in ever-improving real estate
markets. Thus, cash flow growth is more
sustainable than in other property categories.
Publicly traded office companies also have robust
external growth opportunities through
acquisitions, as the securitization of the office
sector is still in its early stages.
As a result of the favorable outlook for our
office investments, we made slight shifts from
apartments to the office sector. The office
sector now comprises nearly one quarter of our
real estate holdings.
E.I.I. REALTY SECURITIES, INC.
</TABLE>
11
<PAGE> 14
THE GCG TRUST
MARKET MANAGER SERIES
<TABLE>
<S> <C>
The objective of the Market Manager Series (the
"Series") is to seek favorable equity market AVERAGE ANNUAL TOTAL RETURN
performance and, at the same time, preserve FOR PERIOD ENDED JUNE 30, 1997
capital. During the first six months of 1997, the 1 YEAR 29.70%
Series had a total return of 17.47%. Over the 11/14/1994 (INCEPTION) 23.66%
same period, the benchmark index had a total
return of 16.78%. The benchmark index is an
average of the Standard & Poors 500 Index ("S&P AGGREGATE TOTAL RETURN
500 Index") and the Standard & Poors Midcap 400 YEAR-TO-DATE 17.47%
Index ("S&P Midcap 400 Index").
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
The Series began operations on November 14, 1994. DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
At that time, all funds were invested in FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
short-term money market securities. On March 6, CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
1995, the Series was closed to further SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
investment, and the Portfolio Manager began PERFORMANCE.
investing in accordance with the long-term
investment objectives of the Series. On March 3, 1997, Equitable Investment Services, Inc.
became the Manager of the Series. Prior to that date the
The Series seeks favorable equity market Series had been advised by another Portfolio Manager.
performance by investing in equity call options
tied to the S&P 500 Index and the S&P Midcap 400 ASSET ALLOCATION
Index. During the first six months of 1997, these
indices had total returns of 20.61% and 12.99%, [INDUSTRY BREAKDOWN PIE CHART]
respectively. Since March 1995, Series returns
have tracked the returns in the equity markets Equity Index Call Options Purchased 53.5%
very closely.
U.S. Treasury Obligation 40.1%
The Series preserves capital by investing in U.S.
Treasury securities and investment-grade Corporate Debt Obligation 6.4%
corporate bonds. These investments made small
contributions to performance during the period.
The Portfolio Manager will follow the same
investment strategy until the target maturity
date (March 6, 2001).
EQUITABLE INVESTMENT SERVICES, INC.
- ------------------
Note: The benchmark index consists of 50% of the
Standard & Poors 500 Index and 50% of the
Standard & Poors Midcap 400 Index.
</TABLE>
12
<PAGE> 15
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
<TABLE>
<S> <C>
The Multiple Allocation Series (the "Series")
seeks to obtain the highest total return that AVERAGE ANNUAL TOTAL RETURN
is consistent with the preservation of capital FOR PERIOD ENDED JUNE 30, 1997
and the elimination of unnecessary risk. During 1 YEAR 15.42%
the first six months of 1997, the Series had a 5 YEAR 9.79%
total return of 7.98%. Over the same period, the 1/24/1989 (INCEPTION) 9.44%
benchmark index had a total return of 9.26%. The
benchmark index is a weighted average of the AGGREGATE TOTAL RETURN
Standard & Poors 500 Index and the Lehman YEAR-TO-DATE 7.98%
Brothers Intermediate Government Bond Index.
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
There are two reasons for the shortfall in DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
performance. First, the Portfolio Manager FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
maintained a relatively high average cash CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
position. On March 25, 1997, the Federal Reserve SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
Board (the "Fed") raised the federal funds rate PERFORMANCE.
for the first time in years. Historically, an
increase in rates has been bad for both stocks TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 1997
and bonds, and Fed policy is a highly weighted 1. U.S. Treasury Obligations due through 2022
indicator in our investment model. Over the ranging from 5.625% to 10.750% 44.6%
period, the portfolio's average exposure to the 2. Telefono de Mexico S.A., ADR 1.0%
stock market was approximately 70%. 3. USX-US Steel Group, Inc. 1.0%
4. USX-Marathon Group 1.0%
Second, the portfolio had a high percentage of 5. Bear Stearns Companies, Inc. 0.9%
its assets invested in utility stocks, which
performed poorly relative to the overall market. ASSET ALLOCATION
The Portfolio Manager continues to view this
sector positively. However, the industry is [ASSET ALLOCATION CHART]
changing, so these investments will be monitored
closely. Commercial Paper 14.4%
On the positive side, several of the portfolio's Common Stocks 41.3%
highest-weighted sectors (like manufacturing and
finance) had stellar first half performance. The U.S. Treasury Obligations 44.3%
Series had significant positions in the brokerage
industry, which outpaced the market over the
six-month period. Salomon, Inc., A.G. Edwards &
Sons, and Bear Stearns Companies, Inc. were among
the top performers. The Series also maintained
large positions in two international
telecommunications companies -- Telefonica de
Espana, and Telefonos de Mexico S.A. Both of
these companies had strong performance during the
first half of the year.
During the second quarter, the Portfolio Manager
reduced the portfolio's cash position. As fears
of inflation waned, exposure to stocks and bonds
was increased to take advantage of rallies in
both markets. As of June 30, 1997, overall
exposure had been increased to approximately 86%.
We will continue to monitor our indicators
closely and make adjustments to our exposure as
needed.
ZWEIG ADVISORS INC.
- ------------------
Note: The benchmark index consists of 37.5% of
the Standard & Poors 500 Index and 62.5% of the
Lehman Brothers Intermediate Government Bond
Index.
</TABLE>
13
<PAGE> 16
THE GCG TRUST
FULLY MANAGED SERIES
<TABLE>
<S> <C>
The Fully Managed Series (the "Series") seeks, over
the long term, a high total investment return, AVERAGE ANNUAL TOTAL RETURN
consistent with the preservation of capital and FOR PERIOD ENDED JUNE 30, 1997
prudent investment risk. During the first six months 1 YEAR 18.15%
of 1997, the Series had a total return of 8.16%. The 5 YEAR 10.88%
total return on the benchmark index was 13.25% over 1/24/1989 (INCEPTION) 9.13%
the same period. The benchmark index is a weighted
average of the Standard & Poor's 500 Index ("S&P 500
Index") and the Lehman Brothers Government/Corporate AGGREGATE TOTAL RETURN
Bond Index. YEAR-TO-DATE 8.16%
We were not fully-positioned for the market's broad TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
trends. First of all, by design, we attempt to hold DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR
down our risk and currently are only about 50% THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
invested in common stocks. Our other investments CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
provided solid gains, but not as high as equities. SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
Second, we hold only minor positions in the large PERFORMANCE.
growth companies that dominate the S&P 500 Index.
The frenzy that has driven up prices for these TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 1997
securities may or may not be justified, but the 1. U.S. Treasury Obligations due through 2001
resulting high valuations seem inappropriate for a ranging from 5.500% to 8.500% 5.3%
risk-averse portfolio. Third, we have large exposure 2. Centerior Energy Corporation 3.9%
to electric utility and energy sector 3. Genentech Inc. 3.3%
companies -- groups that lagged significantly. 4. Amerada Hess Corporation 2.8%
The media group, a long-time portfolio focus, 5. Automatic Data Processing Inc., Conv.,
continued to generate outstanding gains during the Zero coupon due 02/20/2012 2.8%
first half. The New York Times Company and
Washington Post Company had especially strong ASSET ALLOCATION
returns. We have been modestly trimming these
holdings, while maintaining industry exposure by [INDUSTRY BREAKDOWN PIE CHART]
purchasing Time Warner Inc. convertible bonds.
Common Stocks 51.0%
We swapped portions of our Homestake Mining Company
and Newmont Mining Corporation holdings for an Convertible Bonds and Notes 26.2%
expanded position in Santa Fe Pacific Gold. This
company was then merged into Newmont Mining U.S. Treasury Obligations 5.3%
Corporation, re- establishing a larger but cheaper
position in that stock. Unfortunately, substantial Preferred Stocks 4.8%
weakness in the gold mining industry left us with an
insignificant loss, rather than the gains that we U.S. Government Agency Obligations 3.0%
might normally have realized with such a successful
series of interrelated trades. Commercial Paper 9.4%
During the period, we continued to add to our Put Stock Options Purchased 0.3%
Amerada Hess Corporation and Union Texas Petroleum
Holdings Inc. holdings. We also acquired a
significant position in Wheelabrator Technologies
Inc., which is now the object of a takeover.
Finally, we saw through to completion the
merger/sale of PHH Corporation, one of our stellar
long-term holdings.
We expect fairly strong economic growth to continue.
With inflation seemingly subdued, it appears that
some time will elapse before the next move in
Federal Reserve policy. Nevertheless, when that
action does come, we anticipate that it will be
another incremental increase in interest rates. As
for the stock market, we believe that it is
overvalued and will decline, but we don't know when
or from what level. We are comfortable with our
current asset allocation.
T. ROWE PRICE ASSOCIATES, INC.
- ------------------
Note: The benchmark index is comprised of 60% of the
Standard & Poors 500 Index and 40% of the Lehman
Brothers Government/Corporate Bond Index.
</TABLE>
14
<PAGE> 17
THE GCG TRUST
LIMITED MATURITY BOND SERIES
<TABLE>
<S> <C>
The Limited Maturity Bond Series (the "Series")
seeks to obtain the highest current income that AVERAGE ANNUAL TOTAL RETURN
is consistent with low risk to principal and FOR PERIOD ENDED JUNE 30, 1997
liquidity. During the first six months of 1997, 1 YEAR 6.26%
the Series had a total return of 2.59%. The 5 YEAR 5.14%
Merrill Lynch 1-5 Year Corporate/Government Bond 1/24/1989 (INCEPTION) 6.71%
Index (the "benchmark index") had a total return
of 2.88% over the same period.
On March 25, 1997 the Federal Reserve Board (the AGGREGATE TOTAL RETURN
"Fed") raised the federal funds rate by .25%. YEAR-TO-DATE 2.59%
This move indicated that they were concerned
about possible inflationary pressures. Financial TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
markets had anticipated this action, and DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
investors prepared for at least two more rounds FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
of tightening by the Fed. Bond rates rose CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
throughout the first quarter, and the Series SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
experienced weak investment performance. PERFORMANCE.
During the second quarter, economic data TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 1997
indicated that the economy was slowing down. In 1. U.S. Treasury Notes due through 2002
addition, there was no evidence of inflationary ranging from 6.250% to 6.625% 29.1%
pressures. This information has allowed the Fed 2. Mercantile Bancorp,
to remain on the sidelines. Bond rates fell 6.800% due 06/15/2001 3.8%
throughout the second quarter, and this produced 3. Chase Capital II,
higher returns for the Series.
6.359% due 02/01/2027 3.1%
During 1997, returns of the Series have tracked 4. FNMA, Pool #303630,
the benchmark index very closely. Series returns 6.000% due 12/01/2002 3.0%
were equal to or slightly less than benchmark 5. Boise Cascade Corporation,
returns during the first six months of the year. 9.850% due 06/15/2002 2.8%
The Series generated returns that were slightly
higher than the benchmark during June. ASSET ALLOCATION
The Portfolio Manager maintained a conservative [ASSET ALLOCATION PIE CHART]
stance during the first quarter of the year. He
decreased the duration and increased the credit U.S. Treasury Obligations 37.7%
quality of the portfolio. In addition, floating
rate notes were purchased as a hedge against Corporate Debt Securities 36.6%
increasing interest rates.
U.S. Government Agency Obligations 13.2%
Since May, the Portfolio Manager has positioned
the Series for a flat or declining interest rate Foreign Bonds -- U.S. Dollar Denominated 3.2%
environment. The duration of the portfolio has
been extended. Currently, the duration of the Asset-Backed Security 2.0%
portfolio is slightly longer than the benchmark
index. In addition, the Series is slightly Commercial Paper 7.3%
overweighted in the corporate sector. If interest
rates remain stable during the second half of the
year, the Series should produce strong returns
relative to the benchmark index.
EQUITABLE INVESTMENT SERVICES, INC.
</TABLE>
15
<PAGE> 18
THE GCG TRUST
LIQUID ASSET SERIES
<TABLE>
<S> <C>
The objective of the Liquid Asset Series (the
"Series") is a high level of current income AVERAGE ANNUAL TOTAL RETURN
consistent with the preservation of capital and FOR PERIOD ENDED JUNE 30, 1997
liquidity. During the first six months of 1997, 1 YEAR 5.00%
the Series had a total return of 2.46%. The IBC 5 YEAR 4.14%
Average of All Taxable Money Market Funds (the 1/24/1989 (INCEPTION) 5.15%
"benchmark index") was 2.46% over this period.
During the six-month period, Series returns were
essentially identical to the returns of the AGGREGATE TOTAL RETURN
benchmark index. YEAR-TO-DATE 2.46%
Money market rates exhibited considerable TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
volatility during the first two quarters of the DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
year. Although some of this volatility is FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
attributable to actions taken by the Federal CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
Reserve Board (the "Fed"), changing market SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
expectations also had a strong influence on PERFORMANCE.
rates.
INVESTMENT IN THE LIQUID ASSET SERIES (OR IN ANY OTHER
Economic growth accelerated during the fourth SERIES) IS NEITHER INSURED OR GUARANTEED BY THE U.S.
quarter of 1996 and the first quarter of 1997. On GOVERNMENT. THERE CAN BE NO ASSURANCE THAT THE LIQUID
March 25, 1997 the Fed raised the federal funds ASSET SERIES WILL BE ABLE TO MAINTAIN A STABLE NET ASSET
rate by .25% because they were concerned about VALUE OF $1.00 PER SHARE.
inflationary pressures. Investors had anticipated
this action, and short-term interest rates rose TOP FIVE HOLDINGS AS OF JUNE 30, 1997
throughout the first quarter. The 3-month 1. Archer-Daniels-Midland Company,
Treasury bill yield started the year at 5.15%, 5.580% due 08/11/1997 4.6%
and finished the first quarter at 5.35%. 2. PHH Corporation,
5.610% due 07/08/1997 4.5%
During the second quarter, economic data 3. Warner-Lambert Company,
indicated that the economy was slowing down. 5.580% due 08/05/1997 4.4%
Short-term interest rates declined throughout the 4. International Business Machines
quarter, even though there was no change in the Corporation,
federal funds rate. At the end of the second
quarter, the yield on the 3-month Treasury bill 5.590% due 08/19/1997 4.3%
was 5.15%. 5. Toronto Dominion,
5.610% due 12/23/1997 4.3%
The Portfolio Manager maintained a fairly
conservative stance throughout the six-month INDUSTRY BREAKDOWN
period. In January and February, the average
maturity of the portfolio was between 60 and 70 [INDUSTRY BREAKDOWN PIE CHART]
days. During March, the average maturity was
reduced to protect the portfolio from the effects Financial Services 14.2%
of rising interest rates. As of June 30, 1997,
the Series had a average maturity of Foods 12.8%
approximately 45 days.
Telecommunications 7.7%
The Portfolio Manager expects short-term interest
rates to remain stable, or possibly decline Chemicals 7.3%
during the second half of the year. Therefore, he
has started to extend the average maturity of the Automotive 6.9%
portfolio. The Series will continue to invest in
high-quality (first tier) money market Beverages 6.6%
instruments.
Securities Brokerage 6.2%
EQUITABLE INVESTMENT SERVICES, INC.
Other 38.3%
</TABLE>
16
<PAGE> 19
[This page intentionally left blank]
17
<PAGE> 20
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
THE GCG TRUST
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<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................... $37,913,557 $67,435,098 $124,231,905 $47,708,874 $129,601,198 $36,153,778
=========== =========== ============ =========== ============ ===========
At value............................. $46,510,777 $73,258,760(a) $170,106,851 $56,951,294 $186,234,637 $40,261,261
Cash................................... 597,446 -- 400 2,739,865 15 10,057
Receivables:
Shares of beneficial interest sold... 241,037 116,283 77 89,942 122,479 153
Investment securities sold........... 230,002 456,704 4,987,997 -- -- --
Dividends and/or interest............ 5,741 3,766 228,769 121,786 140,759 50,242
Net unrealized appreciation on forward
foreign exchange contracts........... -- -- -- -- -- --
Variation margin....................... -- -- -- -- -- 15,875
Prepaid expenses....................... -- -- -- -- -- --
Other assets........................... -- -- -- -- -- --
----------- ----------- ------------ ----------- ------------ -----------
Total Assets....................... 47,585,003 73,835,513 175,324,094 59,902,887 186,497,890 40,337,588
----------- ----------- ------------ ----------- ------------ -----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed......................... -- -- 463,035 -- 38,459 7,421
Investment securities purchased.... 635,750 266,498 6,244,730 509,850 -- --
Cash overdraft......................... -- -- -- -- -- --
Net unrealized depreciation on forward
foreign exchange contracts........... -- -- -- -- -- --
Options written (Premiums received
$60,933) (Note 1).................... -- -- -- 64,438 -- --
Accrued Trustees' fees and expenses
(Note 2)............................. -- -- -- -- -- --
Accrued expenses and other payables.... -- -- -- -- -- --
----------- ----------- ------------ ----------- ------------ -----------
Total Liabilities.................. 635,750 266,498 6,707,765 574,288 38,459 7,421
----------- ----------- ------------ ----------- ------------ -----------
NET ASSETS............................. $46,949,253 $73,569,015 $168,616,329 $59,328,599 $186,459,431 $40,330,167
=========== =========== ============ =========== ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital........................ $45,133,934 $65,017,847 $114,529,030 $46,090,875 $126,491,070 $34,700,546
Undistributed net investment
income/(loss)........................ (55,548) 74,021 1,123,654 588,706 1,159,009 473,826
Accumulated net realized gain/(loss) on
securities, futures contracts,
written options, forward foreign
exchange contracts and foreign
currency transactions................ (6,726,353) 2,653,485 7,088,699 3,410,103 2,175,913 1,057,453
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
written options, forward foreign
exchange contracts and other assets
and liabilities denominated in
foreign currencies................... 8,597,220 5,823,662 45,874,946 9,238,915 56,633,439 4,098,342
----------- ----------- ------------ ----------- ------------ -----------
Total Net Assets................... $46,949,253 $73,569,015 $168,616,329 $59,328,599 $186,459,431 $40,330,167
=========== =========== ============ =========== ============ ===========
Shares of beneficial interest
outstanding.......................... 3,891,076 5,283,664 9,721,030 3,599,472 9,942,000 3,213,676
=========== =========== ============ =========== ============ ===========
NET ASSET VALUE, offering price and
redemption price per share of
beneficial interest outstanding...... $ 12.07 $ 13.92 $ 17.35 $ 16.48 $ 18.75 $ 12.55
=========== =========== ============ =========== ============ ===========
</TABLE>
- ------------------
(a) The All-Growth Series and Managed Global Series include repurchase
agreements amounting to $2,581,329 and $948,000, respectively.
See Notes to Financial Statements.
18
<PAGE> 21
<TABLE>
<CAPTION>
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY LIMITED
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED MATURITY
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 92,985,617 $45,470,421 $41,201,480 $47,252,971 $3,936,815 $250,364,994 $130,395,017 $76,632,986
============ =========== =========== =========== ========== ============ ============ ===========
$102,962,395(a) $50,718,741 $46,968,636 $60,706,750 $6,176,271 $270,286,392 $152,064,315 $76,554,231
639,166 1,396,894 1,099 83,477 -- 257,158 153,456 1,708
-- 8,613 47,308 88,767 -- 2,523 73,514 10,678
2,182,712 1,292,085 470,343 1,111,978 -- 547,233 725,987 1,996,313
303,903 170,733 76,632 241,924 4,789 2,250,421 769,391 545,012
434,827 -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
9,083 6,000 -- -- -- -- -- --
-- -- 2,598 -- 173 -- -- --
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
106,532,086 53,593,066 47,566,616 62,232,896 6,181,233 273,343,727 153,786,663 79,107,942
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
187,604 -- -- 1 -- 69,047 5,633 90
3,701,250 2,170,781 581,456 419,341 -- 4,665,735 131,626 --
-- -- -- -- 4,362 -- -- --
-- 1,087 961 -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
53,497 -- -- -- -- -- -- --
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
3,942,351 2,171,868 582,417 419,342 4,362 4,734,782 137,259 90
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
$102,589,735 $51,421,198 $46,984,199 $61,813,554 $6,176,871 $268,608,945 $153,649,404 $79,107,852
============ =========== =========== =========== ========== ============ ============ ===========
$ 86,165,181 $54,360,991 $36,145,958 $45,104,097 $3,657,433 $228,059,116 $121,815,474 $76,493,570
423,096 94,245 154,346 1,705,178 70,679 7,495,968 2,841,704 3,163,790
5,657,022 (8,166,345) 4,918,406 1,550,500 209,303 13,132,404 7,322,928 (470,753)
10,344,436 5,132,307 5,765,489 13,453,779 2,239,456 19,921,457 21,669,298 (78,755)
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
$102,589,735 $51,421,198 $46,984,199 $61,813,554 $6,176,871 $268,608,945 $153,649,404 $79,107,852
============ =========== =========== =========== ========== ============ ============ ===========
8,130,941 4,511,442 2,556,083 3,631,571 397,698 20,045,285 9,585,343 7,393,046
============ =========== =========== =========== ========== ============ ============ ===========
$ 12.62 $ 11.40 $ 18.38 $ 17.02 $ 15.53 $ 13.40 $ 16.03 $ 10.70
============ =========== =========== =========== ========== ============ ============ ===========
<CAPTION>
LIQUID
ASSET
SERIES
-----------
<S> <C>
$46,919,260
===========
$46,919,260
7,469
1,008,125
--
--
--
--
--
--
-----------
47,934,854
-----------
6,929
--
--
--
--
808
3
-----------
7,740
-----------
$47,927,114
===========
$47,929,255
--
(2,141)
--
-----------
$47,927,114
===========
47,929,285
===========
$ 1.00
===========
</TABLE>
See Notes to Financial Statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
Statements of Operations
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<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................................. $ 47,807 $ 122,965 $ 1,310,155 $ 615,697 $ 1,341,107 $ 300,839
Foreign taxes withheld on dividend and
interest income......................... -- -- -- (5,471) -- (1,041)
Interest.................................. 84,677 139,648 248,104 72,742 335,496 262,358
----------- ----------- ----------- ---------- ----------- ----------
Total Investment Income................. 132,484 262,613 1,558,259 682,968 1,676,603 562,156
----------- ----------- ----------- ---------- ----------- ----------
EXPENSES:
Unified fees (Note 2)..................... 186,623 352,917 762,748 245,698 738,988 172,781
Trustees' fees and expenses (Note 2)...... 1,409 3,156 6,135 1,874 5,328 1,245
Other..................................... -- -- -- -- -- --
----------- ----------- ----------- ---------- ----------- ----------
Total Expenses.......................... 188,032 356,073 768,883 247,572 744,316 174,026
----------- ----------- ----------- ---------- ----------- ----------
NET INVESTMENT INCOME/(LOSS).............. (55,548) (93,460) 789,376 435,396 932,287 388,130
----------- ----------- ----------- ---------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) from:
Security transactions................... (4,862,411) 8,277,223 5,024,483 2,577,141 1,966,681 1,452,143
Futures contracts....................... -- -- -- -- -- (869,752)
Written options......................... -- -- -- 432,568 -- --
Forward foreign exchange contracts...... -- -- -- -- -- --
Foreign currency transactions........... -- -- -- -- -- (42)
Net change in unrealized
appreciation/(depreciation) on:
Securities.............................. 5,984,990 (5,490,544) 16,573,089 5,278,678 23,913,658 1,861,726
Futures contracts....................... -- -- -- -- -- (74,001)
Written options......................... -- -- -- (27,015) -- --
Investments sold short.................. -- (12,060) -- -- -- --
Forward foreign exchange contracts...... -- -- -- -- -- --
Other assets and liabilities denominated
in foreign currencies................. -- -- -- -- -- 10
----------- ----------- ----------- ---------- ----------- ----------
Net realized and unrealized gain/(loss)
on investments........................ 1,122,579 2,774,619 21,597,572 8,261,372 25,880,339 2,370,084
----------- ----------- ----------- ---------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.............................. $ 1,067,031 $ 2,681,159 $ 22,386,948 $8,696,768 $26,812,626 $2,758,214
=========== =========== =========== ========== =========== ==========
</TABLE>
See Notes to Financial Statements.
20
<PAGE> 23
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
----------- ---------- ---------- ---------- -------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 793,512 $ 396,160 $ 256,329 $1,410,777 -- $ 1,513,209 $ 1,105,041 --
(95,182) (24,030) (2,648) -- -- (11,485) (3,414) --
123,313 145,067 105,793 107,869 $100,184 4,951,777 1,432,791 $2,523,112
---------- ---------- ---------- ----------- ---------- -------- ----------- ----------
821,643 517,197 359,474 1,518,646 100,184 6,453,501 2,534,418 2,523,112
---------- ---------- ---------- ----------- ---------- -------- ----------- ----------
565,230 438,078 216,095 272,712 29,486 1,306,206 698,382 238,598
3,494 2,165 1,746 2,025 231 10,925 5,530 3,188
1,021 31,154 -- 427 -- -- -- --
---------- ---------- ---------- ----------- ---------- -------- ----------- ----------
569,745 471,397 217,841 275,164 29,717 1,317,131 703,912 241,786
---------- ---------- ---------- ----------- ---------- -------- ----------- ----------
251,898 45,800 141,633 1,243,482 70,467 5,136,370 1,830,506 2,281,326
---------- ---------- ---------- ----------- ---------- -------- ----------- ----------
4,990,561 4,327,679 3,858,946 1,028,756 209,303 10,502,502 5,551,339 (38,182)
-- -- -- -- -- (123,690) -- --
-- -- -- -- -- -- -- --
756,732 (85,912) 18,756 -- -- -- -- --
(188,340) 67,103 (24,088) -- -- (191) 17,000 --
5,886,725 4,613,658 (2,661,389) 1,363,360 694,698 4,995,315 4,110,207 (182,010)
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
259,049 (1,063) (646) -- -- -- -- --
(43,188) (82,281) (649) -- -- 97 (1,090) --
---------- ---------- ---------- ----------- ---------- -------- ----------- ----------
11,661,539 8,839,184 1,190,930 2,392,116 904,001 15,374,033 9,677,456 (220,192)
---------- ---------- ---------- ----------- ---------- -------- ----------- ----------
$11,913,437 $8,884,984 $1,332,563 $3,635,598 $974,468 $20,510,403 $11,507,962 $2,061,134
========== ========== ========== =========== ========== ======== =========== ==========
<CAPTION>
LIQUID
ASSET
SERIES
----------
<S> <C>
--
--
$1,244,389
----------
1,244,389
----------
135,096
1,506
--
----------
136,602
----------
1,107,787
----------
(522)
--
--
--
--
--
--
--
--
--
--
----------
(522)
----------
$1,107,265
==========
</TABLE>
See Notes to Financial Statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<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/(loss)......... $ (55,548) $ (93,460) $ 789,376 $ 435,396 $ 932,287 $ 388,130
Net realized gain/(loss) on
securities, futures contracts,
written options, forward foreign
exchange contracts and foreign
currency transactions.............. (4,862,411) 8,277,223 5,024,483 3,009,709 1,966,681 582,349
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
written options, investments sold
short, forward foreign exchange
contracts and other assets and
liabilities denominated in foreign
currencies......................... 5,984,990 (5,502,604) 16,573,089 5,251,663 23,913,658 1,787,735
----------- ----------- ------------ ----------- ------------ -----------
Net increase in net assets resulting
from operations.................... 1,067,031 2,681,159 22,386,948 8,696,768 26,812,626 2,758,214
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................ -- -- -- -- -- --
Net realized gains................... -- -- -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold.......................... 17,528,279 2,106,678 10,562,596 9,683,758 39,601,212 8,120,678
Shares issued as reinvestment of
dividends.......................... -- -- -- -- -- --
Shares redeemed...................... (6,010,775) (9,968,767) (13,085,713) (3,672,271) (6,193,048) (972,146)
----------- ----------- ------------ ----------- ------------ -----------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS......................... 11,517,504 (7,862,089) (2,523,117) 6,011,487 33,408,164 7,148,532
----------- ----------- ------------ ----------- ------------ -----------
Net increase/(decrease) in net
assets............................... 12,584,535 (5,180,930) 19,863,831 14,708,255 60,220,790 9,906,746
NET ASSETS:
Beginning of period.................... 34,364,718 78,749,945 148,752,498 44,620,344 126,238,641 30,423,421
----------- ----------- ------------ ----------- ------------ -----------
End of period.......................... $46,949,253 $73,569,015 $168,616,329 $59,328,599 $186,459,431 $40,330,167
=========== =========== ============ =========== ============ ===========
Undistributed net investment
income/(loss)........................ $ (55,548) $ 74,021 $ 1,123,654 $ 588,706 $ 1,159,009 $ 473,826
=========== =========== ============ =========== ============ ===========
TRANSACTIONS IN FUND SHARES:
Shares sold.......................... 1,560,060 162,701 669,519 646,276 2,327,601 690,202
Shares issued as reinvestment of
dividends.......................... -- -- -- -- -- --
Shares redeemed...................... (531,005) (759,270) (828,149) (251,502) (368,634) (80,781)
----------- ----------- ------------ ----------- ------------ -----------
Net increase/(decrease)................ 1,029,055 (596,569) (158,630) 394,774 1,958,967 609,421
=========== =========== ============ =========== ============ ===========
</TABLE>
- ------------------
+ As of March 3, 1995, The Trust no longer accepts investments in the Market
Manager Series.
See Notes to Financial Statements.
22
<PAGE> 25
<TABLE>
<CAPTION>
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED
SERIES SERIES SERIES SERIES SERIES+ SERIES SERIES
------------ ----------- ----------- ----------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 251,898 $ 45,800 $ 141,633 $ 1,243,482 $ 70,467 $ 5,136,370 $ 1,830,506
5,558,953 4,308,870 3,853,614 1,028,756 209,303 10,378,621 5,568,339
6,102,586 4,530,314 (2,662,684) 1,363,360 694,698 4,995,412 4,109,117
------------ ----------- ----------- ----------- ---------- ------------ ------------
11,913,437 8,884,984 1,332,563 3,635,598 974,468 20,510,403 11,507,962
-- -- -- -- -- -- --
-- -- -- -- -- -- --
12,625,942 9,779,323 7,284,287 11,442,308 -- 3,031,784 11,080,205
-- -- -- -- -- -- --
(8,326,045) (18,753,542) (5,536,051) (4,398,960) (382,457) (27,724,457) (5,598,294)
------------ ----------- ----------- ----------- ---------- ------------ ------------
4,299,897 (8,974,219) 1,748,236 7,043,348 (382,457) (24,692,673) 5,481,911
------------ ----------- ----------- ----------- ---------- ------------ ------------
16,213,334 (89,235) 3,080,799 10,678,946 592,011 (4,182,270) 16,989,873
86,376,401 51,510,433 43,903,400 51,134,608 5,584,860 272,791,215 136,659,531
------------ ----------- ----------- ----------- ---------- ------------ ------------
$102,589,735 $51,421,198 $46,984,199 $61,813,554 $6,176,871 $268,608,945 $153,649,404
============ =========== =========== =========== ========== ============ ============
$ 423,096 $ 94,245 $ 154,346 $ 1,705,178 $ 70,679 $ 7,495,968 $ 2,841,704
============ =========== =========== =========== ========== ============ ============
1,090,834 889,320 409,456 703,491 -- 236,842 730,617
-- -- -- -- -- -- --
(723,011) (1,679,504) (312,265) (272,187) (24,722) (2,176,086) (368,285)
------------ ----------- ----------- ----------- ---------- ------------ ------------
367,823 (790,184) 97,191 431,304 (24,722) (1,939,244) 362,332
============ =========== =========== =========== ========== ============ ============
<CAPTION>
LIMITED
MATURITY LIQUID
BOND ASSET
SERIES SERIES
----------- ------------
<S> <C> <C>
$ 2,281,326 $ 1,107,787
(38,182) (522)
(182,010) --
----------- ------------
2,061,134 1,107,265
-- (1,107,787)
-- --
4,545,859 49,212,311
-- 1,107,787
(8,816,317) (41,488,175)
----------- ------------
(4,270,458) 8,831,923
----------- ------------
(2,209,324) 8,831,401
81,317,176 39,095,713
----------- ------------
$79,107,852 $ 47,927,114
=========== ============
$ 3,163,790 $ --
=========== ============
432,358 49,212,311
-- 1,107,787
(838,072) (41,488,175)
----------- ------------
(405,714) 8,831,923
=========== ============
</TABLE>
See Notes to Financial Statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<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/(loss)...... $ (14,899) $ 788,684 $ 1,514,261 $ 687,984 $ 991,337 $ 406,410
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange
contracts and foreign currency
transactions.................... (1,863,942) (5,626,514) 10,331,984 1,671,519 1,608,438 820,083
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
written options, investments
sold short, forward foreign
exchange contracts and other
assets and liabilities
denominated in foreign
currencies...................... 2,612,230 3,952,364 12,871,108 1,631,687 15,975,452 2,298,765
----------- ----------- ----------- ---------- ----------- ----------
Net increase/(decrease) in net
assets resulting from
operations...................... 733,389 (885,466) 24,717,353 3,991,190 18,575,227 3,525,258
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. -- (874,994) (1,559,277) (578,788) (990,183) (347,741)
Net realized gains................ -- (1,084,328) (9,340,494) (1,449,349) (838,560) (334,167)
CAPITAL SHARE TRANSACTIONS:
Shares sold....................... 48,980,471 10,530,736 24,339,298 19,936,825 41,205,991 20,642,101
Shares issued as reinvestment of
dividends....................... -- 1,959,321 10,899,771 2,028,137 1,828,743 681,908
Shares redeemed................... (15,354,142) (24,093,726) (22,531,393) (8,138,159) (14,752,286) (1,811,398)
----------- ----------- ----------- ---------- ----------- ----------
NET INCREASE/(DECREASE) IN NET
ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS............. 33,626,329 (11,603,669) 12,707,676 13,826,803 28,282,448 19,512,611
----------- ----------- ----------- ---------- ----------- ----------
Net increase/(decrease) in net
assets............................ 34,359,718 (14,448,457) 26,525,258 15,789,856 45,028,932 22,355,961
NET ASSETS:
Beginning of year................... 5,000 93,198,402 122,227,240 28,830,488 81,209,709 8,067,460
----------- ----------- ----------- ---------- ----------- ----------
End of year......................... $ 34,364,718 $ 78,749,945 $ 148,752,498 $44,620,344 $126,238,641 $30,423,421
=========== =========== =========== ========== =========== ==========
Undistributed net investment
income/(loss)..................... $ -- $ 167,481 $ 334,278 $ 153,310 $ 226,722 $ 85,696
=========== =========== =========== ========== =========== ==========
TRANSACTIONS IN FUND SHARES:
Shares sold....................... 4,204,712 740,422 1,649,994 1,468,459 2,786,219 1,903,728
Shares issued as reinvestment of
dividends....................... -- 147,444 720,410 145,097 115,222 58,493
Shares redeemed................... (1,343,191) (1,771,856) (1,536,664) (596,801) (1,024,265) (163,819)
----------- ----------- ----------- ---------- ----------- ----------
Net increase/(decrease)............. 2,861,521 (883,990) 833,740 1,016,755 1,877,176 1,798,402
=========== =========== =========== ========== =========== ==========
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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.
24
<PAGE> 27
<TABLE>
<CAPTION>
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED
SERIES SERIES SERIES SERIES SERIES+ SERIES SERIES
------------ ------------ ------------ ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 319,464 $ 198,529 $ 125,181 $ 2,076,475 $ 177,449 $ 11,245,549 $ 4,890,021
7,448,103 (96,039) 5,202,516 1,565,070 271,057 12,734,768 9,354,731
1,405,715 3,437,230 4,502,376 8,753,155 572,521 (239,570) 5,197,655
------------ ------------ ------------ ----------- ----------- ------------ ------------
9,173,282 3,539,720 9,830,073 12,394,700 1,021,027 23,740,747 19,442,407
-- -- (148,094) (2,222,780) (177,237) (12,158,230) (4,787,012)
(396,393) -- (4,617,071) (853,544) (271,993) (12,765,407) (5,697,159)
17,457,906 14,469,857 18,802,646 9,649,036 -- 4,680,143 13,185,699
396,393 -- 4,765,164 3,076,324 449,230 24,923,638 10,484,171
(12,673,452) (14,473,527) (11,876,336) (5,884,047) (1,388,588) (63,320,596) (14,557,524)
------------ ------------ ------------ ----------- ----------- ------------ ------------
5,180,847 (3,670) 11,691,474 6,841,313 (939,358) (33,716,815) 9,112,346
------------ ------------ ------------ ----------- ----------- ------------ ------------
13,957,736 3,536,050 16,756,382 16,159,689 (367,561) (34,899,705) 18,070,582
72,418,665 47,974,383 27,147,018 34,974,919 5,952,421 307,690,920 118,588,949
------------ ------------ ------------ ----------- ----------- ------------ ------------
$ 86,376,401 $ 51,510,433 $ 43,903,400 $51,134,608 $ 5,584,860 $272,791,215 $136,659,531
============ ============ ============ =========== =========== ============ ============
$ 171,198 $ 48,445 $ 12,713 $ 461,696 $ 212 $ 2,359,598 $ 1,011,198
============ ============ ============ =========== =========== ============ ============
1,553,974 1,483,387 1,055,921 668,832 -- 369,719 899,422
35,776 -- 266,392 199,201 33,652 1,995,933 706,645
(1,101,006) (1,478,948) (668,408) (437,975) (105,933) (4,951,880) (984,350)
------------ ------------ ------------ ----------- ----------- ------------ ------------
488,744 4,439 653,905 430,058 (72,281) (2,586,228) 621,717
============ ============ ============ =========== =========== ============ ============
<CAPTION>
LIMITED
MATURITY LIQUID
BOND ASSET
SERIES SERIES
------------ ------------
<S> <C> <C>
$ 4,409,981 $ 1,959,153
(419,245) (1,432)
(625,852) --
------------ ------------
3,364,884 1,957,721
(8,339,700) (1,959,153)
(197,828) --
12,266,175 71,740,567
8,537,528 1,953,945
(24,395,251) (73,186,056)
------------ ------------
(3,591,548) 508,456
------------ ------------
(8,764,192) 507,024
90,081,368 38,588,689
------------ ------------
$ 81,317,176 $ 39,095,713
============ ============
$ 882,464 $ --
============ ============
1,109,922 71,740,567
810,656 1,953,945
(2,201,243) (73,186,056)
------------ ------------
(280,665) 508,456
============ ============
</TABLE>
See Notes to Financial Statements.
25
<PAGE> 28
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
SMALL CAP SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
6/30/97 ENDED
(UNAUDITED) 12/31/96*
----------- ---------
<S> <C> <C>
Net asset value, beginning of period................................................. $ 12.01 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss.................................................................. (0.01) (0.01)
Net realized and unrealized gain on investments...................................... 0.07 2.02
------- -------
Total from investment operations..................................................... 0.06 2.01
------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................................................. -- --
Distributions from capital gains..................................................... -- --
------- -------
Total distributions.................................................................. -- --
------- -------
Net asset value, end of period....................................................... $ 12.07 $ 12.01
======= =======
Total return......................................................................... 0.50%++ 20.10%++
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................................. $46,949 $34,365
Ratio of operating expenses to average net assets.................................... 0.99%+ 0.99%++
Ratio of net investment loss to average net assets................................... (0.29)%+ (0.08)%++
Portfolio turnover rate.............................................................. 70% 117%
Average commission rate paid(a)...................................................... $0.0693 $0.0621
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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.
</TABLE>
See Notes to Financial Statements.
26
<PAGE> 29
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
ALL-GROWTH SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period...... $ 13.39 $ 13.78 $ 11.86 $ 13.42 $ 12.64 $ 13.05
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss).............. (0.01) 0.14 0.18 0.11 0.05 0.08
Net realized and unrealized gain/(loss) on
investments............................. 0.54 (0.23) 2.47 (1.56) 0.78 (0.41)
------- ------- ------- ------- ------- -------
Total from investment operations.......... 0.53 (0.09) 2.65 (1.45) 0.83 (0.33)
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income...... -- (0.14) (0.14) (0.11) (0.05) (0.08)
Distributions from capital gains.......... -- (0.16) (0.59) -- -- --
------- ------- ------- ------- ------- -------
Total distributions....................... -- (0.30) (0.73) (0.11) (0.05) (0.08)
------- ------- ------- ------- ------- -------
Net asset value, end of period............ $ 13.92 $ 13.39 $ 13.78 $ 11.86 $ 13.42 $ 12.64
======= ======= ======= ======= ======= =======
Total return.............................. 3.96%++ (0.57)% 22.42% (10.77)% 6.56% (2.59)%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (in 000's)...... $73,569 $ 78,750 $ 93,198 $ 71,218 $ 56,491 $ 24,202
Ratio of operating expenses to average net
assets.................................. 1.00%+ 1.00% 1.01% 1.00% 1.01% 1.31%
Decrease reflected in above expense ratio
due to expense limitations.............. -- -- -- -- 0.01% 0.04%
Ratio of net investment income/(loss) to
average net assets...................... (0.26)%+ 0.86% 1.42% 1.08% 0.52% 0.61%
Portfolio turnover rate................... 268% 118% 81% 196% 29% 20%
Average commission rate paid(a)........... $0.0539 $ 0.0592 N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since February 3, 1997, Pilgrim Baxter & Associates, Ltd. 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> 30
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92*
----------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 15.06 $ 13.51 $ 11.34 $ 11.76 $ 11.00 $ 10.00
-------- -------- -------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income.................. 0.08 0.16 0.19 0.23 0.13 0.12
Net realized and unrealized gain/(loss)
on investments....................... 2.21 2.57 3.22 (0.42) 0.78 1.00
-------- -------- -------- ------- ------- -------
Total from investment operations....... 2.29 2.73 3.41 (0.19) 0.91 1.12
-------- -------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income... -- (0.17) (0.15) (0.23) (0.13) (0.12)
Distributions from capital gains....... -- (1.01) (1.09) -- (0.02) --
-------- -------- -------- ------- ------- -------
Total distributions.................... -- (1.18) (1.24) (0.23) (0.15) (0.12)
-------- -------- -------- ------- ------- -------
Net asset value, end of period......... $ 17.35 $ 15.06 $ 13.51 $ 11.34 $ 11.76 $ 11.00
======== ======== ======== ======= ======= =======
Total return........................... 15.21%++ 20.26% 30.16% (1.59)% 8.31% 10.87%++
======== ======== ======== ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)... $ 168,616 $148,752 $122,227 $ 88,890 $ 87,219 $18,645
Ratio of operating expenses to average
net assets........................... 1.00%+ 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................... 1.02%+ 1.12% 1.53% 1.96% 1.69% 2.06%+
Portfolio turnover rate................ 18% 64% 98% 84% 67% 6%
Average commission rate paid(a)........ $ 0.0594 $ 0.0590 N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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> 31
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR
6/30/97 ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95*
----------- -------- --------
<S> <C> <C> <C>
Net asset value, beginning of period...................................... $ 13.92 $ 13.18 $ 10.00
------- ------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................................................... 0.12 0.22 0.08
Net realized and unrealized gain on investments........................... 2.44 1.18 3.44
------- ------- ------
Total from investment operations.......................................... 2.56 1.40 3.52
------- ------- ------
LESS DISTRIBUTIONS:
Dividends from net investment income...................................... -- (0.19) (0.06)
Distributions from capital gains.......................................... -- (0.47) (0.28)
------- ------- ------
Total distributions....................................................... -- (0.66) (0.34)
------- ------- ------
Net asset value, end of period............................................ $ 16.48 $ 13.92 $ 13.18
======= ======= ======
Total return.............................................................. 18.39%++ 10.62% 35.21%
======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)...................................... $59,329 $ 44,620 $ 28,830
Ratio of operating expenses to average net assets......................... 1.00%+ 1.00% 1.01%
Ratio of net investment income to average net assets...................... 1.75%+ 1.80% 1.53%
Portfolio turnover rate................................................... 68% 131% 86%
Average commission rate paid(a)........................................... $0.0590 $ 0.0575 N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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> 32
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED YEAR YEAR YEAR PERIOD
6/30/97# ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96# 12/31/95 12/31/94 12/31/93*
--------- -------- -------- --------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period.................. $ 15.81 $ 13.30 $ 10.22 $ 10.30 $ 10.00
-------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................. 0.10 0.14 0.13 0.14 0.01
Net realized and unrealized gain/(loss) on
investments......................................... 2.84 2.61 3.04 (0.08) 0.30
-------- ------- ------- ------- -------
Total from investment operations...................... 2.94 2.75 3.17 0.06 0.31
-------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.................. -- (0.13) (0.09) (0.14) (0.01)
Distributions from capital gains...................... -- (0.11) -- -- --
-------- ------- ------- ------- -------
Total distributions................................... -- (0.24) (0.09) (0.14) (0.01)
-------- ------- ------- ------- -------
Net asset value, end of period........................ $ 18.75 $ 15.81 $ 13.30 $ 10.22 $ 10.30
======== ======= ======= ======= =======
Total return.......................................... 18.60%++ 20.65% 31.06% 0.59% 3.10%++
======== ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................. $ 186,459 $126,239 $ 81,210 $50,712 $ 14,430
Ratio of operating expenses to average net assets..... 1.00%+ 1.00% 1.01% 1.00% 0.24%++
Ratio of net investment income to average net
assets.............................................. 1.24%+ 0.99% 1.24% 1.88% 0.34%++
Portfolio turnover rate............................... 12% 15% 43% 26% 3%
Average commission rate paid(a)....................... $ 0.0600 $ 0.0600 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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.
# Per share numbers have been calculated using the monthly average share method, which more appropriately
represents the per share data for the period.
</TABLE>
See Notes to Financial Statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
STRATEGIC EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/97## ENDED ENDED
(UNAUDITED) 12/31/96## 12/31/95*
----------- ---------- ---------
<S> <C> <C> <C>
Net asset value, beginning of period...................................... $ 11.68 $ 10.01 $ 10.00
------- ------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................................................... 0.13 0.23 0.06
Net realized and unrealized gain/(loss) on investments.................... 0.74 1.71 (0.03)#
------- ------ -------
Total from investment operations.......................................... 0.87 1.94 0.03
------- ------ -------
LESS DISTRIBUTIONS:
Dividends from net investment income...................................... -- (0.14) (0.02)
Distributions from capital gains.......................................... -- (0.13) --
------- ------ -------
Total distributions....................................................... -- (0.27) (0.02)
------- ------ -------
Net asset value, end of period............................................ $ 12.55 $ 11.68 $ 10.01
======= ====== =======
Total return.............................................................. 7.45%++ 19.39% 0.33%++
======= ====== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)...................................... $40,330 $ 30,423 $ 8,067
Ratio of operating expenses to average net assets......................... 1.00%+ 1.00% 1.00%+
Ratio of net investment income to average net assets...................... 2.21%+ 2.05% 4.04%+
Portfolio turnover rate................................................... 64% 133% 29%
Average commission rate paid (a).......................................... $0.0297 $ 0.0269 N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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.
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
31
<PAGE> 34
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
MANAGED GLOBAL SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR PERIOD
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96***# 12/31/95# 12/31/94# 12/31/93# 12/31/92*#
----------- ------------ --------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 11.13 $ 9.96 $ 9.26 $ 10.67 $ 10.01 $ 10.00
-------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............... 0.03 0.04 0.05 0.07 0.06 0.02
Net realized and unrealized
gain/(loss) on investments........ 1.46 1.18 0.65 (1.48) 0.60 (0.01)
-------- ------- ------- ------- ------- -------
Total from investment operations.... 1.49 1.22 0.70 (1.41) 0.66 0.01
-------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ -- -- -- -- -- --
Distributions from capital gains.... -- (0.05) -- -- -- --
-------- ------- ------- ------- ------- -------
Total distributions................. -- (0.05) -- -- -- --
-------- ------- ------- ------- ------- -------
Net asset value, end of period...... $ 12.62 $ 11.13 $ 9.96 $ 9.26 $ 10.67 $ 10.01
======== ======= ======= ======= ======= =======
Total return........................ 13.39%++ 12.27% 7.56% (13.21)% 6.59% 0.10%++
======== ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)............................ $ 102,590 $ 86,376 $72,375 $86,209 $88,477 $ 38,699
Ratio of operating expenses to
average net assets................ 1.26%+ 1.26% 1.26% 1.31% 1.69% 0.34%++
Decrease reflected in above expense
ratio due to expense
limitations....................... -- -- 0.09% 0.09% 0.03% --
Ratio of net investment income to
average net assets................ 0.56%+ 0.39% 0.51% 0.69% 0.56% 0.28%++
Portfolio turnover rate............. 120% 141% 44% N/A N/A N/A
Average commission rate paid(a)..... $ 0.0240 $ 0.0222 N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Managed Global Account of Separate Account D of Golden American Life Insurance Company (the "Account")
commenced operations on October 21, 1992.
** Since March 3, 1997, Putnam Investment Management, Inc. has served as Portfolio Manager of the Account.
Prior to that date, a different firm served as Portfolio Manager.
*** On September 3, 1996 , the Account was reorganized into the Trust. Net investment income and net realized
gains earned prior to September 3, 1996 are not subject to Internal Revenue Code distribution requirements
for regulated investment companies. Financial highlights from prior periods have been restated to account
for the entity as if it had been a regulated investment company since the commencement of operations (See
Note 6).
+ 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.
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
32
<PAGE> 35
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
EMERGING MARKETS SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
6/30/97 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93*
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period................ $ 9.72 $ 9.06 $ 10.08 $ 12.44 $ 10.00
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................... 0.01 0.04 0.04 -- --
Net realized and unrealized gain/(loss) on
investments....................................... 1.67 0.62 (1.06) (1.89) 2.44
------- ------- ------- ------- -------
Total from investment operations.................... 1.68 0.66 (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...................... $ 11.40 $ 9.72 $ 9.06 $ 10.08 $ 12.44
======= ======= ======= ======= =======
Total return........................................ 17.28%++ 7.28% (10.11)% (15.18)% 24.40%++
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $51,421 $ 51,510 $ 47,974 $ 65,224 $31,181
Ratio of operating expenses to average net assets... 1.71%+ 1.55% 1.53% 1.73% 0.38%++
Ratio of net investment income to average net
assets............................................ 0.17%+ 0.38% 0.40% 0.03% 0.00%++
Portfolio turnover rate............................. 110% 136% 141% 106% 0%
Average commission rate paid(a)..................... $0.0008 $ 0.0007 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Emerging Markets Series commenced operations on October 4, 1993.
** Since March 3, 1997, Putnam Investment Management, Inc. has served as Portfolio Manager for the Emerging
Markets Series. Prior to that date, a different firm served as Portfolio Manager.
+ 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.
33
<PAGE> 36
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
HARD ASSETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period........ $ 17.85 $ 15.04 $ 13.88 $ 13.89 $ 9.31 $10.46
------- ------- ------- ------- ------- ------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income....................... 0.06 0.05 0.15 0.13 0.07 0.14
Net realized and unrealized gain/(loss) on
investments............................... 0.47 4.92 1.34 0.23 4.58 (1.15)
------- ------- ------- ------- ------- ------
Total from investment operations............ 0.53 4.97 1.49 0.36 4.65 (1.01)
------- ------- ------- ------- ------- ------
LESS DISTRIBUTIONS:
Dividends from net investment income........ -- (0.07) (0.13) (0.13) (0.07) (0.14)
Distributions from capital gains............ -- (2.09) (0.20) (0.24) -- --
------- ------- ------- ------- ------- ------
Total distributions......................... -- (2.16) (0.33) (0.37) (0.07) (0.14)
------- ------- ------- ------- ------- ------
Net asset value, end of period.............. $ 18.38 $ 17.85 $ 15.04 $ 13.88 $ 13.89 $ 9.31
======= ======= ======= ======= ======= ======
Total return................................ 2.97%++ 33.17% 10.69% 2.53% 49.93% (9.81)%
======= ======= ======= ======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (in 000's)........ $46,984 $ 43,903 $ 27,147 $ 32,879 $ 21,517 $2,916
Ratio of operating expenses to average net
assets.................................... 1.00%+ 1.00% 1.01% 1.00% 1.05% 1.50%
Decrease reflected in above expense ratio
due to expense limitations................ -- -- -- -- 0.08% 0.89%
Ratio of net investment income to average
net assets................................ 0.64%+ 0.34% 0.89% 1.01% 1.03% 1.38%
Portfolio turnover rate..................... 66% 96% 24% 25% 5% 19%
Average commission rate paid(a)............. $0.0380 $ 0.0252 N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Prior to January 23, 1997, the Hard Assets Series was named the Natural Resources Series.
+ 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.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
REAL ESTATE SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97## ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period........ $ 15.98 $ 12.63 $ 11.29 $ 11.18 $ 9.81 $ 9.02
------- ------- ------- ------- ------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................... 0.36 0.70 0.75 0.60 0.32 0.52
Net realized and unrealized gain on
investments............................... 0.68 3.70 1.12 0.11# 1.37# 0.79
------- ------- ------- ------- ------- ------
Total from investment operations............ 1.04 4.40 1.87 0.71 1.69 1.31
------- ------- ------- ------- ------- ------
LESS DISTRIBUTIONS:
Dividends from net investment income........ -- (0.77) (0.53) (0.60) (0.32) (0.52)
Distributions from capital gains............ -- (0.28) -- -- -- --
------- ------- ------- ------- ------- ------
Total distributions......................... -- (1.05) (0.53) (0.60) (0.32) (0.52)
------- ------- ------- ------- ------- ------
Net asset value, end of period.............. $ 17.02 $ 15.98 $ 12.63 $ 11.29 $ 11.18 $ 9.81
======= ======= ======= ======= ======= ======
Total return................................ 6.51%++ 35.30% 16.59% 6.34% 17.27% 13.87%
======= ======= ======= ======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (in 000's)........ $61,814 $ 51,135 $ 34,975 $ 37,336 $ 29,000 $3,739
Ratio of operating expenses to average net
assets.................................... 1.00%+ 1.00% 1.01% 1.00% 1.04% 1.18%
Decrease reflected in above expense ratio
due to expense limitations................ -- -- -- -- 0.10% 1.79%
Ratio of net investment income to average
net assets................................ 4.50%+ 5.53% 5.79% 5.31% 4.69% 5.74%
Portfolio turnover rate..................... 12% 31% 53% 64% 38% 18%
Average commission rate paid(a)............. $0.0563 $ 0.0647 N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since January 1, 1995, E.I.I. Realty Securities, Inc. has served as Portfolio Manager for the Real Estate
Series. Prior to that date, a different firm 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.
## Per share numbers have been calculated using the monthly average share method, which more appropriately
represents the per share data for the period.
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
35
<PAGE> 38
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
MARKET MANAGER SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
6/30/97 ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94*
---------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period............................... $13.22 $12.03 $10.02 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............................................. 0.18 0.46 0.37 0.02
Net realized and unrealized gain on investments.................... 2.13 1.89 2.06 0.02
------ ------ ------ ------
Total from investment operations................................... 2.31 2.35 2.43 0.04
------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income............................... -- (0.46) (0.37) (0.02)
Distributions from capital gains................................... -- (0.70) (0.05) --
------ ------ ------ ------
Total distributions................................................ -- (1.16) (0.42) (0.02)
------ ------ ------ ------
Net asset value, end of period..................................... $15.53 $13.22 $12.03 $10.02
====== ====== ====== ======
Total return....................................................... 17.47%++ 19.40% 24.33% 0.44%++
====== ====== ====== ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................... $6,177 $5,585 $5,952 $2,754
Ratio of operating expenses to average net assets.................. 1.01%+ 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............... 2.39%+ 3.06% 3.42% 0.65%++
Portfolio turnover rate............................................ 0% 0% 5% --
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Market Manager Series commenced operations on November 14, 1994.
** Since March 3, 1997, Equitable Investment Services, Inc. has served as Portfolio Manager for the Market
Manager Series. Prior to that date, a different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
</TABLE>
See Notes to Financial Statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92
----------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 12.41 $ 12.52 $ 11.33 $ 11.89 $ 11.41 $ 11.73
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............... 0.27 0.56 0.58 0.42 0.24 0.42
Net realized and unrealized
gain/(loss) on investments........ 0.72 0.52 1.56 (0.56) 1.03 (0.18)
------- ------- ------- ------- ------- -------
Total from investment operations.... 0.99 1.08 2.14 (0.14) 1.27 0.24
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ -- (0.58) (0.45) (0.42) (0.24) (0.42)
Distributions from capital gains.... -- (0.61) (0.50) -- (0.55) (0.14)
------- ------- ------- ------- ------- -------
Total distributions................. -- (1.19) (0.95) (0.42) (0.79) (0.56)
------- ------- ------- ------- ------- -------
Net asset value, end of period...... $ 13.40 $ 12.41 $ 12.52 $ 11.33 $ 11.89 $ 11.41
======= ======= ======= ======= ======= =======
Total return........................ 7.98%++ 8.77% 18.93% (1.18)% 11.13% 1.88%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in
000's)............................ $ 268,609 $272,791 $307,691 $299,392 $274,231 $ 116,040
Ratio of operating expenses to
average net assets................ 1.00%+ 1.00% 1.01% 1.00% 1.01% 1.09%
Decrease reflected in above expense
ratio due to expense
limitations....................... -- -- -- -- 0.03% 0.10%
Ratio of net investment income to
average net assets................ 3.88%+ 3.86% 4.42% 3.56% 2.75% 3.65%
Portfolio turnover rate............. 46% 158% 187% 291% 348% 93%
Average commission rate paid(a)..... $ 0.0592 $ 0.0593 N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
+ 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> 40
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
FULLY MANAGED SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period....... $ 14.82 $ 13.79 $ 11.70 $ 12.99 $ 12.43 $ 11.94
-------- -------- ------- -------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income...................... 0.19 0.56 0.45 0.35 0.19 0.28
Net realized and unrealized gain/(loss) on
investments.............................. 1.02 1.69 1.98 (1.29) 0.75 0.49
-------- -------- ------- -------- ------- -------
Total from investment operations........... 1.21 2.25 2.43 (0.94) 0.94 0.77
-------- -------- ------- -------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income....... -- (0.56) (0.34) (0.35) (0.19) (0.28)
Distributions from capital gains........... -- (0.66) -- -- (0.19) --
-------- -------- ------- -------- ------- -------
Total distributions........................ -- (1.22) (0.34) (0.35) (0.38) (0.28)
-------- -------- ------- -------- ------- -------
Net asset value, end of period............. $ 16.03 $ 14.82 $ 13.79 $ 11.70 $ 12.99 $ 12.43
======== ======== ======= ======== ======= =======
Total return............................... 8.16%++ 16.36% 20.80% (7.27)% 7.59% 6.23%
======== ======== ======= ======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (in 000's)....... $ 153,649 $136,660 $118,589 $ 99,854 $108,690 $ 37,696
Ratio of operating expenses to average net
assets................................... 1.00%+ 1.00% 1.01% 1.00% 1.01% 1.04%
Decrease reflected in above expense ratio
due to expense limitations............... -- -- -- -- 0.04% 0.20%
Ratio of net investment income to average
net assets............................... 2.59%+ 3.83% 3.41% 2.62% 2.12% 2.38%
Portfolio turnover rate.................... 24% 45% 113% 66% 55% 27%
Average commission rate paid(a)............ $ 0.0404 $ 0.0597 N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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.
38
<PAGE> 41
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
LIMITED MATURITY BOND SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96# 12/31/95 12/31/94 12/31/93 12/31/92
----------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period..... $ 10.43 $ 11.15 $ 9.98 $ 10.62 $ 10.43 $ 10.54
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income.................... 0.31 0.59 0.60 0.51 0.40 0.60
Net realized and unrealized gain/(loss)
on investments......................... (0.04) (0.13) 0.57 (0.64) 0.23 (0.11)
------- ------- ------- ------- ------- -------
Total from investment operations......... 0.27 0.46 1.17 (0.13) 0.63 0.49
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income..... -- (1.15) -- (0.51) (0.40) (0.60)
Distributions from capital gains......... -- (0.03) -- -- (0.04) --
------- ------- ------- ------- ------- -------
Total distributions...................... -- (1.18) -- (0.51) (0.44) (0.60)
------- ------- ------- ------- ------- -------
Net asset value, end of period........... $ 10.70 $ 10.43 $ 11.15 $ 9.98 $ 10.62 $ 10.43
======= ======= ======= ======= ======= =======
Total return............................. 2.59%++ 4.32% 11.72% (1.19)% 6.20% 4.84%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (in 000's)..... $79,108 $ 81,317 $ 90,081 $ 72,213 $ 72,219 $40,213
Ratio of operating expenses to average
net assets............................. 0.61%+ 0.61% 0.61% 0.60% 0.61% 0.72%
Decrease reflected in above expense ratio
due to expense limitations............. -- -- -- -- 0.04% 0.27%
Ratio of net investment income to average
net assets............................. 5.80%+ 5.33% 5.58% 4.73% 4.64% 5.71%
Portfolio turnover rate.................. 43% 250% 302% 209% 115% 63%
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since August 13, 1996, Equitable Investment Services, Inc. has served as Portfolio Manager for the Limited
Maturity Bond Series. Prior to that date, different firms 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.
</TABLE>
See Notes to Financial Statements.
39
<PAGE> 42
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
LIQUID ASSET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income......................... 0.024 0.049 0.054 0.040 0.030 0.030
------- ------- ------- ------- ------- -------
Total from investment operations.............. 0.024 0.049 0.054 0.040 0.030 0.030
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.......... (0.024) (0.049) (0.054) (0.040) (0.030) (0.030)
------- ------- ------- ------- ------- -------
Total distributions........................... (0.024) (0.049) (0.054) (0.040) (0.030) (0.030)
------- ------- ------- ------- ------- -------
Net asset value, end of period................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= =======
Total return.................................. 2.46%++ 5.01% 5.51% 3.89% 2.64% 3.13%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (in 000's).......... $47,927 $ 39,096 $ 38,589 $ 46,122 $ 16,808 $ 13,206
Ratio of operating expenses to average net
assets...................................... 0.61%+ 0.61% 0.61% 0.61% 0.61% 0.74%
Decrease reflected in above expense ratio due
to expense limitations...................... -- -- -- -- 0.08% 0.50%
Ratio of net investment income to average net
assets...................................... 4.92%+ 4.89% 5.39% 3.89% 2.60% 3.04%
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since August 13, 1996, Equitable Investment Services, Inc. has served as Portfolio Manager for the Liquid
Asset Series. Prior to that date different firms served as Portfolio Manager.
+ Annualized
++ Non-annualized
</TABLE>
See Notes to Financial Statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 94.6%
AEROSPACE/DEFENSE -- 2.4%
20,000 BE Aerospace Inc.+..................... $ 632,500
17,900 Wyman-Gordon Company+.................. 483,300
-----------
1,115,800
-----------
APPAREL -- 8.3%
10,000 Gymboree Corporation+.................. 240,000
14,200 Jones Apparel Group+................... 678,050
13,000 Kellwood Company....................... 360,750
24,000 Nautica Enterprises Inc.+.............. 634,500
12,500 St John Knits Inc. .................... 675,000
14,800 Tommy Hilfiger Corporation+............ 594,775
14,400 Warnaco Group, Inc., Class A........... 459,000
6,000 WestPoint Stevens, Inc.+............... 234,750
-----------
3,876,825
-----------
BANKING/FINANCIAL -- 0.1%
1,100 CMAC Investment Corporation............ 52,525
-----------
BIO TECHNOLOGY -- 3.1%
8,500 BioChem Pharmaceuticals Inc.+.......... 189,125
5,700 DeKalb Genetics Corporation, Class B... 454,575
12,300 INCYTE Pharmaceuticals Inc.+........... 824,100
-----------
1,467,800
-----------
BROADCASTING, RADIO AND TV -- 1.0%
12,000 Jacor Communications, Inc.+............ 459,000
-----------
BUILDING -- 0.8%
28,800 Morrison Knudsen Corporation+.......... 392,400
-----------
COMMERCIAL SERVICES -- 2.1%
7,400 Cambridge Technology Patrners, Inc.+... 236,800
23,600 Fine Host Corporation+................. 743,400
-----------
980,200
-----------
COMMUNICATIONS -- 4.6%
19,000 Bay Networks, Inc.+.................... 504,688
10,000 Saville Systems (Ireland), ADR+........ 520,000
20,000 Tellabs, Inc.+......................... 1,117,500
-----------
2,142,188
-----------
COMPUTER SERVICES -- 2.0%
8,000 Keane Inc.+............................ 416,000
13,000 Technology Solutions Company+.......... 513,500
-----------
929,500
-----------
COMPUTER SOFTWARE -- 8.3%
9,100 Auspex Systems Inc.+................... 87,588
16,700 CBT Group PLC, ADR+.................... 1,054,187
7,000 Citrix Systems, Inc.+.................. 307,125
15,000 Oracle Corporation+.................... 755,625
17,000 Parametric Technology+................. 723,563
36,600 Structural Dynamics Research+.......... 960,750
-----------
3,888,838
-----------
COMPUTER TECHNOLOGIES -- 1.9%
6,200 Adaptec Inc.+.......................... 215,450
22,200 Digital Microwave Corporation+......... 666,000
-----------
881,450
-----------
CONSUMER GOODS -- DURABLES -- 1.3%
16,700 G & K Services Inc. ................... 622,075
-----------
COSMETICS -- 0.5%
8,800 Helen of Troy Ltd.+.................... 225,500
-----------
ELECTRONICS -- 3.0%
6,600 Applied Materials, Inc.+............... $ 467,362
20,000 Electronics for Imaging+............... 945,000
-----------
1,412,362
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
ENVIRONMENTAL CONTROL -- 0.9%
10,900 United Waste Systems Inc.+............. 446,900
-----------
FINANCIAL SERVICES -- 1.5%
25,200 The Money Store Inc. .................. 722,925
-----------
FOOD AND BEVERAGES -- 1.7%
20,300 Chiquita Brands International, Inc. ... 279,125
8,500 JP Foodservice, Inc.+.................. 243,844
8,800 Morningstar Group, Inc.+............... 258,500
-----------
781,469
-----------
FOOD -- RETAIL -- 3.2%
18,500 Dominick's Supermarkets, Inc.+......... 492,562
29,900 Whole Foods Market, Inc.+.............. 990,437
-----------
1,482,999
-----------
HAND/MACHINE -- TOOLS -- 1.0%
18,800 JLK Direct Distribution Inc.+.......... 481,750
-----------
HEALTH CARE -- 0.5%
9,600 ESC Medical Systems Ltd.+.............. 244,800
-----------
HEALTH MAINTENANCE -- 2.1%
12,000 Elan Corporation PLC, ADR+............. 543,000
14,500 Omnicare Inc. ......................... 454,938
-----------
997,938
-----------
HOSPITAL MANAGEMENT AND SERVICES -- 1.5%
5,000 Express Scripts, Inc., Class A+........ 208,750
21,200 Hooper Holmes, Inc. ................... 486,275
-----------
695,025
-----------
HOTELS -- 1.1%
21,000 Patriot American Hospitality, Inc. .... 535,500
-----------
INDUSTRIAL -- 1.4%
45,500 Aviall, Inc.+.......................... 637,000
-----------
INDUSTRIAL EQUIPMENT -- 0.3%
3,500 Waters Corporation+.................... 125,562
-----------
INFORMATION/BUSINESS SERVICES -- 1.4%
34,600 E*TRADE Group, Inc.+................... 679,025
-----------
INSURANCE -- 1.0%
11,000 Vesta Insurance Group, Inc. ........... 475,750
-----------
LEISURE -- 1.7%
47,200 Coleman Company, Inc.+................. 814,200
-----------
LEISURE ENTERTAINMENT -- 1.4%
11,100 Cinar Films Inc., Class B+............. 360,750
17,200 International Game Technology.......... 305,300
-----------
666,050
-----------
MACHINE -- DIVERSIFIED -- 1.7%
13,600 ASM Lithography Holding+............... 795,600
-----------
MEDICAL SERVICES -- 2.0%
6,000 Lincare Holding Inc.+.................. 258,000
19,100 QuickResponse Services Inc.+........... 692,375
-----------
950,375
-----------
MEDICAL SUPPLIES -- 1.6%
21,000 Acuson Corporation+.................... 483,000
7,800 Hologic Inc.+.......................... 207,675
2,700 Mentor Corporation..................... 79,988
-----------
770,663
-----------
</TABLE>
See Notes to Financial Statements.
41
<PAGE> 44
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
METALS -- 0.3%
4,300 Titanium Metals Corporation+........... $ 135,987
-----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 1.6%
12,000 Hanover Compressor Company+............ 234,000
16,000 Varco International, Inc.+............. 516,000
-----------
750,000
-----------
PAPER AND FOREST PRODUCTS -- 1.0%
9,600 Sealed Air Corporation+................ 456,000
-----------
PHARMACEUTICALS -- 1.6%
13,000 Curative Health Services, Inc.+........ 373,750
10,000 Dura Pharmaceuticals, Inc.+............ 398,750
-----------
772,500
-----------
PIPE LINES -- 1.1%
26,400 Valmont Industries..................... 501,600
-----------
POLLUTION CONTROL -- 0.9%
10,800 USA Waste Services Inc.+............... 417,150
-----------
PUBLISHING -- 0.5%
10,300 Big Flower Press Holdings, Inc.+....... 213,725
-----------
REAL ESTATE INVESTMENT TRUST -- 1.6%
31,800 CWM Mortgage Holdings, Inc. ........... 761,213
-----------
RETAIL -- 6.6%
2,700 Barnes & Noble, Inc.+.................. 116,100
9,400 Borders Group Inc.+.................... 226,775
15,000 CompUSA, Inc.+......................... 322,500
8,600 Fred Meyer, Inc.,+..................... 444,512
5,200 Gucci Group NY......................... 334,750
20,000 Michaels Stores, Inc.+................. 423,750
7,700 Stage Stores Inc.+..................... 201,162
7,500 The Men's Wearhouse Inc.+.............. 236,250
25,000 TJX Companies Inc. .................... 659,375
5,000 West Marine, Inc.+..................... 128,750
-----------
3,093,924
-----------
SEMICONDUCTORS -- 6.2%
13,200 Altera Corporation+.................... 666,600
15,000 Linear Technology Corporation.......... 776,250
15,000 Maxim Integrated Products, Inc.+....... 853,125
12,900 Xilinx Inc.+........................... 632,906
-----------
2,928,881
-----------
TECHNOLOGY -- 2.1%
17,700 Kulicke & Soffa Industries, Inc.+ ..... 574,697
4,700 Texas Instruments, Inc. .............. 395,094
-----------
969,791
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
TELECOMMUNICATIONS EQUIPMENT -- 1.3%
10,000 Advanced Fibre Communications+......... $ 603,750
-----------
TRANSPORTATION/SERVICES -- 3.4%
28,000 Coach USA Inc.+........................ 743,750
7,200 Expeditors International of Washington,
Inc. .................................. 204,300
9,400 Hvide Marine, Inc.+.................... 207,975
18,000 Knightsbridge Tankers Ltd. ............ 454,500
-----------
1,610,525
-----------
WHOLESALE DISTRIBUTORS -- 1.0%
25,200 Pameco Corporation+.................... 447,300
-----------
Total Common Stocks
(Cost $35,815,120)..................... 44,412,340
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ----------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 4.5%
$1,000,000 FP Fuel, 5.600%++ due 07/10/1997........ 998,605
1,100,000 Philip Morris Companies, Inc., 5.587%++
due 07/02/1997........................ 1,099,832
----------
Total Commercial Paper
(Cost $2,098,437)..................... 2,098,437
----------
TOTAL INVESTMENTS (COST $37,913,557*)......... 99.1% 46,510,777
OTHER ASSETS AND LIABILITIES (NET)............ 0.9 438,476
------- ----------
NET ASSETS.................................... 100.0% $46,949,253
====== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
42
<PAGE> 45
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
ALL-GROWTH SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 96.1%
AUTO RELATED -- 1.2%
18,200 Harley-Davidson, Inc. ................ $ 872,463
-----------
APPAREL -- 4.1%
17,200 Jones Apparel Group, Inc.+............ 821,300
37,300 Nautica Enterprises, Inc.+............ 986,119
6,100 Polo Ralph Lauren Corporation+........ 166,987
26,300 Tommy Hilfiger Corporation+........... 1,056,931
-----------
3,031,337
-----------
BROADCAST, RADIO AND TELEVISION -- 3.5%
35,800 Clear Channel Communications, Inc.+... 2,203,938
10,100 Jacor Communications, Inc.+........... 386,325
-----------
2,590,263
-----------
COMPUTER HARDWARE -- 3.0%
35,000 Adaptec, Inc.+........................ 1,216,250
14,400 Solectron Corporation+................ 1,008,000
-----------
2,224,250
-----------
COMPUTER SOFTWARE -- 8.2%
32,500 McAfee Associates, Inc.+.............. 2,051,562
40,800 PeopleSoft, Inc.+..................... 2,152,200
16,100 Viasoft, Inc.+........................ 817,075
27,150 Wind River Systems+................... 1,038,487
-----------
6,059,324
-----------
COMPUTER SOFTWARE AND SERVICES -- 5.1%
17,200 American Online, Inc.+................ 956,750
52,100 Gartner Group, Inc., Class A+......... 1,872,344
23,500 HNC Software Inc.+.................... 895,938
-----------
3,725,032
-----------
COMPUTER SYSTEMS -- 1.7%
21,900 BMC Software, Inc.+................... 1,212,712
-----------
CONSUMER PRODUCTS -- MISCELLANEOUS -- 1.3%
28,950 Blyth Industries, Inc.+............... 977,062
----------
CONTRACT DRILLING -- 1.4%
44,000 Global Marine Inc.+................... 1,023,000
-----------
DATA SERVICES -- 0.3%
8,000 Western Digital Corporation+.......... 253,000
-----------
EDUCATIONAL SERVICES -- 1.6%
33,200 Apollo Group, Inc.+................... 1,170,300
-----------
ENERGY EQUIPMENT -- 1.6%
8,700 BJ Services Company+.................. 466,538
16,800 Tidewater, Inc. ...................... 739,200
-----------
1,205,738
-----------
ENVIRONMENTAL SERVICES -- 4.8%
24,800 Allied Waste Industries, Inc.+........ 430,900
21,400 United Waste Systems, Inc.+........... 877,400
25,300 U.S. Filter Corporation+.............. 689,425
39,400 U.S.A. Waste Services, Inc.+.......... 1,521,825
-----------
3,519,550
-----------
EXPLORATION AND PRODUCTION -- 0.7%
53,100 Chesapeake Energy Corporation......... 521,044
-----------
FINANCIAL SERVICES -- 1.9%
48,400 The Money Store, Inc. ................ 1,388,475
-----------
HEALTH CARE -- 3.0%
30,700 Oxford Health Plans, Inc.+............ 2,202,725
-----------
HEALTH CARE ADMINISTRATIVE -- 2.8%
59,000 PhyCor, Inc.+......................... 2,031,812
-----------
HEALTH CARE SERVICES -- 5.5%
68,600 HEALTHSOUTH Corporation+.............. $ 1,710,713
21,200 Quintiles Transnational
Corporation+.......................... 1,476,050
20,600 Total Renal Care Holdings, Inc.+...... 827,863
-----------
4,014,626
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
HOTELS/RESORTS -- 0.5%
12,100 CapStar Hotel Company+................ 387,200
-----------
INDUSTRIAL -- 1.2%
22,200 Zoltek Companies, Inc.+............... 849,150
-----------
INFORMATION PROCESSING -- 2.9%
31,300 HBO & Company......................... 2,155,787
-----------
LEISURE, SPORTING AND RECREATION -- 1.1%
22,100 Callaway Golf Company................. 784,550
-----------
NETWORK SOFTWARE -- 1.2%
24,000 Security Dynamics Technologies,
Inc.+................................. 885,000
-----------
OFFICE SUPPLIES -- 1.8%
57,700 Staples, Inc.+........................ 1,341,525
-----------
OIL SERVICES -- 0.3%
7,400 Santa Fe International Corporation+... 251,600
-----------
PHARMACEUTICALS -- 2.9%
33,900 Dura Pharmaceuticals, Inc.+........... 1,351,763
16,800 Jones Medical Industries, Inc. ....... 798,000
-----------
2,149,763
-----------
RESTAURANT -- 0.6%
18,700 Landry's Seafood Restaurants, Inc.+... 430,100
-----------
RETAIL -- 8.4%
58,600 Bed Bath & Beyond, Inc.+.............. 1,779,975
17,100 Borders Group, Inc.+.................. 412,537
14,600 CDW Computer Centers, Inc.+........... 774,712
18,600 Dollar Tree Stores, Inc.+............. 936,975
29,300 General Nutrition Companies, Inc.+.... 820,400
33,300 Just For Feet, Inc.+.................. 580,669
18,600 Tiffany & Company..................... 859,087
-----------
6,164,355
-----------
SEMICONDUCTORS -- 6.7%
30,300 Altera Corporation+................... 1,530,150
9,600 Lattice Semiconductor Corporation+.... 542,400
22,300 Linear Technology Corporation......... 1,154,025
12,900 Microchip Technology, Inc.+........... 383,775
6,800 Uniphase Corporation+................. 396,100
27,400 Vitesse Semiconductor Corporation+.... 895,638
-----------
4,902,088
-----------
SERVICES -- 6.8%
38,000 AccuStaff, Inc.+...................... 900,125
57,600 Corrections Corporation of America+... 2,289,600
48,000 Paychex, Inc. ........................ 1,824,000
-----------
5,013,725
-----------
TECHNOLOGY -- 2.9%
44,700 Electronics For Imaging, Inc.+........ 2,112,075
-----------
TELECOMMUNICATIONS -- 1.1%
31,800 TeleTech Holdings, Inc.+.............. 834,750
-----------
TELECOMMUNICATIONS EQUIPMENT -- 6.0%
52,400 ADC Telecommunications Inc.+.......... 1,748,850
6,500 Advanced Fibre Communications+........ 392,437
40,300 Tellabs, Inc.+........................ 2,251,763
-----------
4,393,050
-----------
Total Common Stocks (Cost
$64,853,769).......................... 70,677,431
-----------
</TABLE>
See Notes to Financial Statements.
43
<PAGE> 46
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
ALL-GROWTH SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 3.5%
(Cost $2,581,329)
$2,581,329 Agreement with Bankers Trust Company,
5.750% dated 06/30/97 to be
repurchased at $2,581,741 on
07/01/97, collateralized by
$2,555,000 U.S. Treasury Notes,
7.875% due 04/15/1998 (Market Value
$2,679,237).......................... $ 2,581,329
-----------
TOTAL INVESTMENTS (COST $67,435,098*).......... 99.6% 73,258,760
OTHER ASSETS AND LIABILITIES (NET)............. 0.4 310,255
----- -----------
NET ASSETS..................................... 100.0% $73,569,015
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
See Notes to Financial Statements.
44
<PAGE> 47
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
CAPITAL APPRECIATION SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------- ------------
<C> <S> <C>
COMMON STOCKS -- 95.0%
AEROSPACE/DEFENSE -- 5.4%
30,000 AlliedSignal Inc. ....................... $ 2,520,000
28,900 Burlington Northern Santa Fe............. 2,597,388
60,000 Textron, Inc. ........................... 3,982,500
------------
9,099,888
------------
AUTOMOTIVE -- 1.2%
61,200 Chrysler Corporation..................... 2,008,125
------------
BANKS -- 10.5%
50,000 BankAmerica Corporation.................. 3,228,125
28,168 Chase Manhattan Corporation.............. 2,734,057
25,000 Citicorp................................. 3,014,062
31,500 First Union Corporation.................. 2,913,750
57,000 NationsBank Corporation.................. 3,676,500
37,900 Norwest Corporation...................... 2,131,875
------------
17,698,369
------------
BUILDING -- 3.3%
40,000 Equity Residential Properties Trust...... 1,900,000
40,000 Felcor Suite Hotels, Inc. ............... 1,490,000
52,500 Starwood Lodging Trust................... 2,241,094
------------
5,631,094
------------
COMMODITIES -- 7.4%
22,600 Aluminum Company of America.............. 1,703,475
30,800 Grace (W.R.) & Company................... 1,697,850
45,000 Hercules, Inc. .......................... 2,154,375
43,000 Monsanto Company......................... 1,851,688
27,100 PPG Industries Inc. ..................... 1,575,188
37,400 Praxair Inc. ............................ 2,094,400
30,000 Union Carbide Corporation................ 1,411,875
------------
12,488,851
------------
CONSUMER STAPLES -- 3.5%
30,000 Avon Products, Inc. ..................... 2,116,875
40,000 Gillette Company......................... 3,790,000
------------
5,906,875
------------
CYCLICALS -- NON DURABLES -- 3.0%
107,250 CUC International Inc.+.................. 2,741,578
39,800 HFS Inc.+................................ 2,308,400
------------
5,049,978
------------
ELECTRICAL EQUIPMENT -- 1.1%
25,000 Honeywell Inc. .......................... 1,896,875
------------
ELECTRONICS -- 2.5%
30,000 Intel Corporation........................ 4,254,375
------------
ENTERTAINMENT -- 2.1%
82,200 Comcast Corporation, Class A, Special
Shares (Non-Voting)...................... 1,757,025
36,100 Time Warner Inc. ........................ 1,741,825
------------
3,498,850
------------
HOTELS/MOTELS -- 0.8%
48,000 Hilton Hotels Corporation................ 1,275,000
------------
INFORMATION PROCESSING -- 8.4%
46,500 Compaq Computer Corporation+............. 4,615,125
70,334 First Data Corporation................... 3,090,300
45,000 HBO & Company............................ 3,099,375
26,600 Microsoft Corporation+................... 3,361,575
------------
14,166,375
------------
INSURANCE -- 7.6%
48,373 Allstate Corporation..................... 3,531,229
16,000 Household International Inc. ............ 1,879,000
30,000 Student Loan Marketing Association
(Voting)................................. 3,810,000
58,000 Travelers Group Inc. .................... 3,657,625
------------
12,877,854
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------- ------------
<C> <S> <C>
MACHINERY -- 2.1%
108,000 Waste Management Inc. ................... $ 3,469,500
------------
PETROLEUM -- 4.5%
33,500 Amoco Corporation........................ 2,912,406
23,800 Mobil Corporation........................ 1,663,025
14,900 Texaco Inc. ............................. 1,620,375
45,200 Ultramar Diamond Shamrock Corporation.... 1,474,650
------------
7,670,456
------------
PHARMACEUTICALS -- 14.6%
30,000 Boston Scientific Corporation+........... 1,843,125
50,000 Bristol-Myers Squibb Company............. 4,050,000
20,000 Lilly (Eli) & Company.................... 2,186,250
50,400 Medtronic Inc. .......................... 4,082,400
51,600 Merck & Company Inc. .................... 5,340,600
78,600 Schering-Plough Corporation.............. 3,762,975
26,400 Warner-Lambert Company................... 3,280,200
------------
24,545,550
------------
RETAIL -- 6.5%
79,500 Dayton Hudson Corporation................ 4,228,406
48,000 Home Depot Inc. ......................... 3,309,000
63,500 Sears, Roebuck & Company................. 3,413,125
------------
10,950,531
------------
TECHNOLOGY -- 2.0%
40,000 Texas Instruments, Inc. ................. 3,362,500
------------
TELECOMMUNICATIONS -- 2.0%
75,000 GTE Corporation.......................... 3,290,625
------------
TOBACCO -- 3.1%
78,900 Philip Morris Companies Inc. ............ 3,501,188
50,000 RJR Nabisco Holdings Corporation......... 1,650,000
------------
5,151,188
------------
UTILITY -- 3.4%
75,000 CMS Energy Corporation................... 2,643,750
70,000 Edison International..................... 1,741,250
65,100 Southern Company......................... 1,424,062
------------
5,809,062
------------
Total Common Stocks
(Cost $114,226,975)...................... 160,101,921
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
U.S TREASURY OBLIGATION -- 5.9%
(Cost $10,004,930)
U.S. TREASURY BILL:
$10,076,000 5.060%++ due 08/21/1997.............. 10,004,930
TOTAL INVESTMENTS (COST $124,231,905*)........ 100.9% 170,106,851
OTHER ASSETS AND LIABILITIES (NET)............ (0.9) (1,490,522)
------- ------------
NET ASSETS.................................... 100.0% $168,616,329
======= ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
45
<PAGE> 48
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
VALUE EQUITY SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 96.0%
AEROSPACE/DEFENSE -- 2.8%
33,000 Raytheon Company....................... 1,683,000
-----------
AUTOMOTIVE -- 3.4%
20,000 Ford Motor Company..................... 755,000
45,000 Wabash National Corporation............ 1,254,375
-----------
2,009,375
-----------
BANKS -- 1.6%
10,000 Chase Manhattan Corporation............ 970,625
-----------
BUILDING MATERIALS -- 2.5%
55,000 Allegheny Teledyne Inc. ............... 1,485,000
-----------
CHEMICALS -- 6.0%
65,400 Crompton & Knowles Corporation......... 1,455,150
15,000 du Pont (E.I.) de Nemours & Company.... 943,125
20,800 Imperial Chemical Industries, PLC
ADR.................................. 1,183,000
-----------
3,581,275
-----------
COMMUNICATION AND INFORMATION -- 7.4%
40,000 Atmel Corporation+..................... 1,120,000
22,500 Hewlett Packard Company................ 1,260,000
25,000 Lexmark International Group, Inc.+..... 759,375
113,800 S3 Incorporated+....................... 1,251,800
-----------
4,391,175
-----------
ELECTRONICS -- 3.6%
30,000 Philips Electronics N.V. .............. 2,156,250
-----------
FINANCIAL SERVICES -- 1.1%
5,000 Student Loan Marketing Association
(Voting)............................. 635,000
-----------
HARDWARE AND TOOLS -- 2.0%
32,300 Black & Decker Corporation............. 1,201,156
-----------
HEALTH CARE -- 6.2%
30,000 Bausch & Lomb, Inc. ................... 1,413,750
30,000 Columbia/HCA Healthcare Corporation.... 1,179,375
46,000 Humana, Inc.+.......................... 1,063,750
-----------
3,656,875
-----------
HOUSEHOLD PRODUCTS -- 3.6%
57,000 Sunbeam Corporation.................... 2,151,750
-----------
INSTRUMENTS -- SCIENTIFIC -- 2.4%
30,300 Fisher Scientific International........ 1,439,250
-----------
INVESTMENT COMPANIES -- 4.5%
30,000 S&P 500 Depositary Receipt............. 2,649,375
-----------
MACHINE -- DIVERSIFIED -- 2.9%
38,000 American Standard Companies, Inc.+..... 1,700,500
-----------
MULTI-INDUSTRY COMPANIES -- 3.1%
80,000 Westinghouse Electric Corporation...... 1,850,000
-----------
OIL SERVICES -- 1.1%
8,000 Halliburton Company.................... 634,000
-----------
PETROLEUM -- 11.9%
33,000 Ashland Inc............................ 1,530,375
18,200 British Petroleum Company, ADR......... 1,362,725
40,000 Chesapeake Energy Corporation.......... 392,500
20,000 Exxon Corporation...................... 1,230,000
16,000 Mobil Corporation...................... 1,118,000
26,000 Royal Dutch Petroleum Company, ADR..... 1,413,750
-----------
7,047,350
-----------
PHARMACEUTICALS -- 1.0%
9,000 Abbott Laboratories.................... $ 600,750
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
RETAIL -- 4.6%
50,000 CompUSA, Inc.+......................... 1,075,000
47,500 Federated Department Stores, Inc.+..... 1,650,625
-----------
2,725,625
-----------
TELECOMMUNICATIONS -- 7.9%
36,800 AT&T Corporation....................... 1,290,300
18,500 Bell Atlantic Corporation.............. 1,403,688
10,000 BellSouth Corporation.................. 463,750
10,000 Telebras, ADR.......................... 1,517,500
-----------
4,675,238
-----------
TOBACCO -- 11.8%
30,000 Fortune Brands, Inc. .................. 1,119,375
37,500 Philip Morris Companies, Inc. ......... 1,664,062
60,000 RJR Nabisco Holdings Corporation....... 1,980,000
80,000 UST Inc. .............................. 2,220,000
-----------
6,983,437
-----------
UTILITIES -- 2.0%
46,000 Teco Energy, Inc. ..................... 1,175,875
-----------
WHOLESALE DISTRIBUTORS -- 1.1%
41,200 Unisource Worldwide, Inc. ............. 659,200
-----------
WIRE AND CABLE PRODUCTS -- 1.5%
31,900 Essex International, Inc.+............. 889,213
-----------
Total Common Stocks
(Cost $47,708,874)................... 56,951,294
-----------
TOTAL INVESTMENTS (COST $47,708,874*).......... 96.0% 56,951,294
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
- ----------- ---------- ------
<C> <S> <C> <C> <C>
CALL OPTIONS WRITTEN -- (0.1)%
200 Atmel Corporation... 07/19/1997 $27.50 (30,000)
35 Bell Atlantic 07/19/1997 75.00
Corporation....... (3,500)
50 Columbia/HCA 07/19/1997 40.00
Healthcare
Corporation....... (4,063)
50 Hewlett Packard 07/19/1997 55.00
Company........... (8,125)
50 Philips Electronics 07/19/1997 75.00
NV................ (5,000)
100 Westinghouse 07/19/1997 22.50
Corporation....... (13,750)
-----------
Total Call Options Written
(Premiums received $60,933)... (0.1) (64,438)
-----------
OTHER ASSETS AND LIABILITIES (NET)............. 4.1 2,441,743
----- -----------
NET ASSETS..................................... 100.0% $59,328,599
===== ===========
</TABLE>
- ---------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
46
<PAGE> 49
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
RISING DIVIDENDS SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 91.9%
BANKS -- 5.2%
74,979 Banc One Corporation................. $ 3,631,795
35,400 Fifth Third Bancorp.................. 2,905,012
57,300 Norwest Corporation.................. 3,223,125
------------
9,759,932
------------
BEVERAGES -- 2.0%
54,000 Coca-Cola Company.................... 3,766,500
------------
CHEMICALS AND ALLIED PRODUCTS -- 6.3%
53,000 du Pont (E.I.) de Nemours &
Company............................ 3,332,375
69,000 Monsanto Company..................... 2,971,312
94,500 PPG Industries, Inc. ................ 5,492,813
------------
11,796,500
------------
COMPUTERS AND OFFICE EQUIPMENT -- 2.0%
67,000 Hewlett-Packard Company.............. 3,752,000
------------
CONSUMER PRODUCTS -- 3.3%
34,800 Gillette Company..................... 3,297,300
20,570 Procter & Gamble Company............. 2,905,513
------------
6,202,813
------------
CONSUMER SERVICES -- 2.6%
69,440 Cintas Corporation................... 4,774,000
------------
DATA SERVICES -- 7.4%
81,600 Automatic Data Processing Inc. ...... 3,835,200
175,960 Electronic Data Systems
Corporation........................ 7,214,360
43,430 Reuters Holdings PLC, ADR............ 2,736,090
------------
13,785,650
------------
DEPOSITORY & NON-DEPOSITORY AGENCY -- 1.8%
49,850 Nestle, ADR.......................... 3,333,719
------------
ELECTRIC MACHINERY -- 1.7%
58,080 Emerson Electric Company............. 3,198,030
------------
ELECTRICAL EQUIPMENT -- 4.6%
76,800 General Electric Company............. 5,020,800
46,170 Grainger (W.W.), Inc. ............... 3,609,917
------------
8,630,717
------------
FINANCIAL SERVICES -- 6.2%
122,270 Equifax Inc. ........................ 4,546,916
49,550 Franklin Resources Inc. ............. 3,595,472
74,320 State Street Boston Corporation...... 3,437,300
------------
11,579,688
------------
FOOD -- 7.3%
35,660 CPC International, Inc. ............. 3,291,864
42,550 Kellogg Company...................... 3,643,344
69,700 Sara Lee Corporation................. 2,901,262
55,080 Wrigley, (Wm) Jr. Company............ 3,690,360
------------
13,526,830
------------
FURNITURE AND HOME APPLIANCES -- 1.7%
74,400 Leggett & Platt, Inc. ............... 3,199,200
------------
INSURANCE -- 5.3%
41,062 Cincinnati Financial Corporation..... 3,243,898
17,150 General Re Corporation............... 3,121,300
48,800 Marsh & McLennan Companies, Inc. .... 3,483,100
------------
9,848,298
------------
LEISURE ENTERTAINMENT -- 2.6%
59,700 Disney (Walt) Company................ 4,790,925
------------
MEDICAL BIOTECHNOLOGY -- 2.0%
45,100 Medtronic, Inc. ..................... $ 3,653,100
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
PAPER AND ALLIED PRODUCTS -- 1.7%
64,540 Kimberly-Clark Corporation........... 3,210,865
------------
PETROLEUM -- 5.3%
54,200 Exxon Corporation.................... 3,333,300
44,200 Mobil Corporation.................... 3,088,475
63,400 Royal Dutch Petroleum Company, ADR... 3,447,375
------------
9,869,150
------------
PHARMACEUTICALS -- 7.5%
56,150 Abbott Laboratories.................. 3,748,012
199,900 Astra AB, Series A, ADR.............. 3,798,100
52,400 Johnson & Johnson.................... 3,373,250
30,000 Merck & Company, Inc. ............... 3,105,000
------------
14,024,362
------------
PUBLISHING -- 1.8%
34,500 Gannett Company...................... 3,406,875
------------
RESTAURANTS -- 2.9%
110,250 McDonald's Corporation............... 5,326,453
------------
SPECIALTY MATERIALS -- 1.8%
33,000 Minnesota Mining & Manufacturing
Company............................ 3,366,000
------------
TECHNOLOGY -- 2.0%
48,900 Motorola, Inc. ...................... 3,716,400
------------
TELECOMMUNICATIONS -- 3.0%
90,430 SBC Communications, Inc. ............ 5,595,356
------------
TELECOMMUNICATIONS EQUIPMENT -- 2.0%
91,800 Ericsson (L.M.) Telecommunications
Company, Class B, ADR.............. 3,614,625
------------
UTILITY -- 1.9%
144,270 DPL, Inc. ........................... 3,552,649
------------
Total Common Stocks
(Cost $114,647,198)................ 171,280,637
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 8.0%
$1,954,000 Marsh & McLennan Companies, Inc.,
6.200%++ due 07/01/1997............ 1,954,000
7,000,000 Merrill Lynch & Company,
6.220%++ due 07/01/1997............ 7,000,000
6,000,000 Mobil Corporation,
6.200%++ due 07/01/1997............ 6,000,000
------------
Total Commercial Paper (Cost
$14,954,000)....................... 14,954,000
------------
TOTAL INVESTMENTS (COST $129,601,198*)........ 99.9% 186,234,637
OTHER ASSETS AND LIABILITIES (NET)............ 0.1 224,794
----- ------------
NET ASSETS.................................... 100.0% $186,459,431
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
47
<PAGE> 50
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 76.2%
AEROSPACE/DEFENSE -- 1.3%
3,100 AAR Corporation....................... $ 100,169
4,300 Moog, Inc., Class A+.................. 135,450
1,300 Precision Castparts Corporation....... 77,513
4,700 Rohr Inc.+............................ 103,106
3,200 UNC, Inc.+............................ 46,800
3,000 Wyman-Gordon Company+................. 81,000
-----------
544,038
-----------
AGRICULTURAL CHEMICALS -- 0.4%
5,000 Universal Corporation................. 158,750
-----------
AIRLINES -- 1.1%
1,100 British Airways PLC, ADR.............. 126,431
1,500 Delta Air Lines, Inc. ................ 123,000
4,467 KLM Royal Dutch Airlines.............. 137,919
2,400 Southwest Airlines Company............ 62,100
-----------
449,450
-----------
ALCOHOLIC BEVERAGE -- 0.2%
2,500 Adolph Coors Company, Class B......... 66,562
-----------
APPAREL AND OTHER FINISHED PRODUCTS -- 0.5%
3,300 Kellwood Company...................... 91,575
200 Oxford Industries, Inc. .............. 5,675
1,800 Russell Corporation................... 53,325
9,900 Tultex Corporation+................... 60,637
-----------
211,212
-----------
AUTOMOBILE PARTS -- 3.0%
7,200 Arvin Industries Inc. ................ 196,200
3,600 Barnes Group Inc. .................... 106,200
2,300 Borg-Warner Automotive, Inc. ......... 124,344
8,000 Excel Industries...................... 156,000
11,100 Simpson Industries.................... 117,938
3,600 Smith Corporation..................... 128,025
400 Standard Motor Products, Inc. ........ 5,500
4,700 Standard Products Company............. 118,675
3,200 Walbro Corporation.................... 64,800
6,450 Wynn's International, Inc. ........... 183,019
-----------
1,200,701
-----------
AUTOMOTIVE -- 1.8%
5,700 Chrysler Corporation.................. 187,031
5,000 Ford Motor Company.................... 188,750
1,200 General Motors Corporation............ 66,825
3,600 Honda Motor Co. Ltd, ADR.............. 216,675
2,300 Volvo AB, ADR......................... 61,525
-----------
720,806
-----------
BANKS -- 0.8%
12,300 City National Corporation............. 295,969
100 First Empire State Corporation........ 33,700
-----------
329,669
-----------
BUILDING MATERIALS AND PRODUCTS -- 1.8%
2,900 Ameron International Corporation...... 164,212
4,600 Apogee Enterprises Inc. .............. 98,900
5,200 Johns Manville Corporation............ 61,425
3,200 Lafarge Corporation................... 78,400
600 Medusa Corporation.................... 23,025
3,000 Morgan Products, Ltd.+................ 22,500
6,300 South Down Inc. ...................... 274,837
-----------
723,299
-----------
CHEMICALS -- 0.7%
1,900 Cytec Industries Inc.+................ $ 71,012
1,400 Dexter Corporation.................... 44,800
600 Furon Company......................... 18,825
600 Pittway Corporation, Class A.......... 29,850
3,700 Quaker Chemical Corporation........... 64,288
2,400 Wellman, Inc. ........................ 41,700
-----------
270,475
-----------
COMMERCIAL SERVICES -- 0.6%
2,200 CDI Corporation+...................... 91,712
1,200 CPI Corporation....................... 25,200
1,195 HFS Inc.+............................. 69,310
3,100 Ogden Corporation..................... 67,425
100 Unifirst Corporation.................. 2,000
-----------
255,647
-----------
COMPUTER COMPONENTS AND SOFTWARE -- 2.7%
900 COMPAQ Computer Corporation+.......... 89,325
6,200 Data General Corporation+............. 161,200
2,700 Dell Computer Corporation+............ 317,081
3,800 Gateway 2000, Inc.+................... 123,262
1,400 Seagate Technology, Inc.+............. 49,263
2,600 Storage Technology Corporation+....... 115,700
4,600 Sun Microsystems Inc.+................ 171,206
2,100 Western Digital Corporation+.......... 66,413
-----------
1,093,450
-----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS -- 0.6%
1,600 PACCAR Inc. .......................... 74,300
5,000 Raymond Corporation................... 163,281
-----------
237,581
-----------
CONSUMER ELECTRICAL APPLIANCES -- 0.1%
1,900 Helen of Troy Ltd.+................... 48,688
-----------
CONTAINERS/PACKAGING -- 0.0%#
400 Sealright Co., Inc. .................. 4,800
-----------
CONTRACT DRILLING -- 2.1%
2,100 ENSCO International Incorporated+..... 110,775
16,900 Global Marine, Inc.+.................. 392,925
3,100 Helmerich & Payne Inc. ............... 178,637
5,800 Rowan Companies, Inc.+................ 163,487
-----------
845,824
-----------
DISCOUNT CHAIN -- 1.6%
6,500 Dress Barn, Inc.+..................... 126,750
9,900 Filene's Basement Corporation+........ 65,587
5,100 Ross Stores, Inc. .................... 166,706
11,400 ShopKo Stores, Inc. .................. 290,700
-----------
649,743
-----------
DIVERSIFIED MANUFACTURING -- 0.7%
3,500 Ametek Inc. .......................... 82,250
1,700 Core Industries, Inc. ................ 42,075
2,700 Trinity Industries Inc. .............. 85,725
3,200 Valmont Industries Inc. .............. 60,800
-----------
270,850
-----------
ELECTRIC UTILITIES -- 11.7%
1,500 Allegheny Power System, Inc. ......... 40,031
2,900 Atlantic Energy, Inc. ................ 48,756
2,800 Baltimore Gas & Electric Company...... 74,725
4,500 Boston Edison Company................. 118,688
</TABLE>
See Notes to Financial Statements.
48
<PAGE> 51
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- (CONTINUED)
5,000 Central Hudson Gas & Electric
Corporation......................... $ 172,188
11,600 Central Maine Power Company........... 143,550
2,300 CMS Energy Corporation................ 81,075
6,500 Commonwealth Energy System
Companies........................... 155,594
1,900 Consolidated Edison Company of
New York, Inc. ..................... 55,931
4,200 Delmarva Power & Light Company........ 80,063
2,400 DQE, Inc. ............................ 67,800
1,600 DTE Energy Company.................... 44,200
2,300 Eastern Utilities Associates.......... 41,975
5,500 Edison International.................. 136,813
2,800 Energen Corporation................... 94,325
3,400 Enova Corporation..................... 81,812
7,700 Entergy Corporation................... 210,788
2,200 Florida Progress Corporation.......... 68,888
4,100 GPU Inc. ............................. 147,088
3,400 Green Mountain Power.................. 80,538
2,300 Hawaiian Electric Industries, Inc. ... 88,838
3,900 Houston Industries, Inc. ............. 83,606
3,000 Illinova Corporation.................. 66,000
800 Ipalco Enterprises Inc. .............. 25,000
4,200 Long Island Lighting Company.......... 96,600
1,700 MDU Resources Group, Inc. ............ 40,800
10,500 MidAmerican Energy Holdings
Company+............................ 181,781
5,900 Montana Power Company................. 136,806
1,300 Nevada Power Company.................. 27,625
2,100 New England Electric System........... 77,700
6,700 New York State Electric & Gas
Corporation......................... 139,863
1,800 Northern States Power
Company-Minnesota................... 93,150
3,500 Ohio Edison Company................... 76,344
3,200 Orange & Rockland Utilities........... 107,600
4,100 PacifiCorp............................ 90,200
3,800 PG&E Corporation...................... 92,150
7,700 Pinnacle West Capital Corporation..... 231,481
2,200 PP&L Resources, Inc. ................. 43,863
6,100 Public Service Company of New
Mexico.............................. 109,037
4,300 Public Service Enterprise............. 107,500
6,400 Rochester Gas & Electric
Corporation......................... 134,800
4,600 Sierra Pacific Resources.............. 147,200
8,400 TNP Enterprises Inc. ................. 194,775
2,100 Unicom Corporation.................... 46,725
4,600 United Illuminating Company........... 142,025
3,200 UtiliCorp United, Inc. ............... 93,200
1,500 Western Resources, Inc. .............. 48,656
2,100 WPL Holdings, Inc. ................... 58,669
-----------
4,726,822
-----------
ELECTRONIC EQUIPMENT -- 0.2%
900 Sony Corporation, ADR................. 79,200
-----------
ELECTRONIC PRODUCTS -- 0.9%
2,200 Kuhlman Corporation................... 70,950
11,400 Rexel Inc.+........................... 210,900
1,500 SCI Systems Inc.+..................... 95,625
-----------
377,475
-----------
ELECTRONICS -- 0.6%
1,600 Coherent Inc.+........................ 71,200
600 Fluke Corporation..................... 35,550
300 Intel Corporation..................... 42,544
3,200 MTS Systems Corporation............... 97,600
-----------
246,894
-----------
ENGINEERING/CONSTRUCTION -- 0.1%
1,200 Jacobs Engineering Group Inc.+........ $ 32,250
-----------
FINANCIAL SERVICES -- 4.2%
4,600 A.G. Edwards Inc. .................... 198,375
14,380 Bear Stearns Companies, Inc. ......... 491,616
1,600 Countrywide Credit Industries,
Inc. ............................... 49,900
4,100 Equitable Companies, Inc. ............ 136,325
1,200 Interra Financial, Inc. .............. 50,325
1,200 Legg Mason, Inc. ..................... 64,575
2,100 Lehman Brothers Holdings, Inc. ....... 85,050
1,000 Merrill Lynch & Company, Inc. ........ 59,625
3,585 Morgan Stanley, Dean Witter, Discover
and Company......................... 154,379
4,800 Paine Webber Group Inc. .............. 168,000
1,750 Quick & Reilly Group Inc. ............ 40,688
4,100 Raymond James Financial, Inc. ........ 112,238
3,400 The Money Store Inc. ................. 97,538
-----------
1,708,634
-----------
FOOD CHAINS -- 0.1%
2,400 Marsh Supermarkets, Inc., Class A..... 33,000
495 Safeway, Inc.+........................ 22,832
49 Smith's Food & Drug Centers, Inc.,
Class B............................. 2,628
-----------
58,460
-----------
FOOD DISTRIBUTORS -- 0.5%
700 Fleming Companies Inc. ............... 12,600
5,300 Nash Finch Corporation................ 117,263
2,100 Supervalu, Inc. ...................... 72,450
-----------
202,313
-----------
HOMEBUILDERS -- 1.1%
1,900 Centex Corporation.................... 77,187
7,500 Kaufman & Braud Home Corporation...... 131,719
4,500 Ryland Group Inc. .................... 63,562
4,300 Standard-Pacific Corporation.......... 44,075
6,200 Toll Brothers, Inc.+.................. 113,925
-----------
430,468
-----------
HOTELS/RESORTS -- 0.1%
1,200 Royal Carribean Cruises Ltd........... 41,925
-----------
HOUSEHOLD PRODUCTS/WARE -- 0.9%
3,100 Ethan Allen Interiors Inc. ........... 176,700
1,000 La-Z-Boy Inc. ........................ 36,000
5,900 Premark International, Inc. .......... 157,825
-----------
370,525
-----------
INDUSTRIAL MACHINERY/COMPONENTS -- 0.5%
2,700 Applied Power Inc., Class A........... 139,388
700 Commercial Intertech Corporation...... 9,756
700 Ingersoll Rand Co. ................... 43,225
-----------
192,369
-----------
INSURANCE -- 4.4%
1,800 Ace, Ltd. ............................ 132,975
2,767 American General Corporation.......... 132,124
1,200 Berkley (W.R.) Corporation............ 70,650
1,300 CIGNA Corporation..................... 230,750
2,400 Conseco Inc. ......................... 88,800
3,300 Fremont General Corporation........... 132,825
1,600 NAC Re Corporation.................... 77,400
3,000 Old Republic International
Corporation......................... 90,937
2,600 Orion Capital Corporation............. 191,750
700 Progressive Corporation............... 60,900
</TABLE>
See Notes to Financial Statements.
49
<PAGE> 52
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
INSURANCE -- (CONTINUED)
1,500 Selective Insurance Group, Inc. ...... $ 72,656
7,000 SunAmerica Inc. ...................... 341,250
2,200 Travelers Group, Inc. ................ 138,738
-----------
1,761,755
-----------
IRON/STEEL -- 1.4%
7,100 British Steel PLC, ADR................ 179,275
2,600 Cleveland Cliffs...................... 105,950
8,800 Oregon Steel Mills, Inc. ............. 175,450
3,300 USX-US Steel Group, Inc. ............. 115,706
-----------
576,381
-----------
MACHINE -- DIVERSIFIED -- 1.1%
900 Caterpillar Inc. ..................... 96,638
600 Gleason Corporation................... 27,900
2,900 Manitowoc Company, Inc. .............. 135,575
1,400 NACCO Industries, Inc., Class A....... 79,013
1,200 Tecumseh Products Company, Class A.... 71,850
1,900 Varlen Corporation.................... 51,063
-----------
462,039
-----------
MANUFACTURING -- 0.2%
2,500 Carlisle Companies Inc. .............. 87,188
-----------
MARINE TRANSPORTATION -- 1.1%
1,300 Alexander & Baldwin................... 33,963
3,300 APL Ltd. ............................. 103,125
7,700 OMI Corporation+...................... 73,631
2,100 Sea Containers, Ltd., Class A......... 47,513
1,600 Stolt-Nielsen S.A..................... 30,200
3,900 Tidewater, Inc. ...................... 171,600
-----------
460,032
-----------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICE -- 0.3%
6,400 Rotech Medical Corporation+........... 128,400
-----------
MEDICAL SPECIALTIES -- 0.4%
2,400 US Surgical Corporation............... 89,400
2,300 West Inc. ............................ 65,838
-----------
155,238
-----------
METAL FABRICATE/HARDWARE -- 2.4%
4,900 Amcast Industrial Corporation......... 122,500
2,000 Commercial Metals..................... 64,500
500 Intermet Corporation.................. 8,031
1,500 Kaydon Corporation.................... 74,438
4,500 Oregon Metallurgical Corporation+..... 126,562
1,300 SPS Technologies, Inc.+............... 92,300
13,300 Timken Co. ........................... 472,981
-----------
961,312
-----------
METAL MINING -- 0.2%
2,500 Asarco, Inc. ......................... 76,562
500 Ashland Coal, Inc. ................... 14,250
-----------
90,812
-----------
METALS/MINERALS -- 0.4%
7,000 Brush Wellman Inc..................... 146,562
-----------
MILITARY/GOVERNMENT/TECHNICAL -- 0.2%
1,200 Logicon Inc. ......................... 63,600
-----------
MULTI-SECTOR COMPANIES -- 1.0%
8,300 Canadian Pacific, Ltd. ............... 236,031
1,700 Crane Co. ............................ 71,081
5,900 Kaman Corporation..................... 90,713
1,900 NOVA Corporation...................... 16,150
-----------
413,975
-----------
NATURAL GAS DISTRIBUTION -- 1.8%
800 National Fuel Gas Company............. $ 33,550
11,900 NorAm Energy Corporation.............. 181,475
4,600 Northwest National Gas Co. ........... 120,462
6,000 NUI Corporation....................... 134,625
2,200 Pacific Enterprises................... 73,975
900 People's Energy Corporation........... 33,694
3,500 Southwestern Energy Company........... 45,500
3,300 TransCanada Pipelines Limited......... 66,412
-----------
689,693
-----------
NON-US UTILITY -- 0.5%
10,200 Westcoast Energy, Inc. ............... 185,513
-----------
OFFICE/BUSINESS EQUIPMENT -- 0.0%#
300 Hunt Manufacturing.................... 5,625
-----------
OFFICE SUPPLIES -- 0.4%
2,800 Interface, Inc. ...................... 61,950
2,500 Miller (Herman), Inc. ................ 90,000
-----------
151,950
-----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 1.7%
4,600 Baker Hughes Incorporated............. 177,962
1,500 BJ Services+.......................... 80,437
2,400 Smith International, Inc.+............ 145,800
7,300 Varco International Inc.+............. 235,425
1,600 Weatherford Enterra, Inc.+............ 61,600
-----------
701,224
-----------
OIL AND GAS PRODUCTION -- 1.7%
1,900 Apache Corporation.................... 61,750
6,100 Cabot Oil and Gas Corporation......... 107,512
7,900 Mesa, Inc.+........................... 45,425
1,400 Murphy Oil Corporation................ 68,250
13,700 Santa Fe Energy Resources, Inc.+...... 201,219
8,900 Union Texas Petroleum Holdings
Inc. ............................... 186,344
-----------
670,500
-----------
OIL/REFINING/MARKETING -- 1.4%
600 Ashland Inc. ......................... 27,825
400 Holly Corporation..................... 9,925
2,500 Sun Company, Inc. .................... 77,500
12,900 USX-Marathon Group.................... 372,487
2,500 Valero Energy Corporation............. 90,625
-----------
578,362
-----------
OTHER SPECIALTY CHAINS -- 1.2%
3,100 Fabri-Centers of America, Class A+.... 84,475
3,600 Gibson Greetings, Inc.+............... 81,000
8,600 Haverty Furniture..................... 107,500
7,400 Pier 1 Imports Inc. .................. 196,100
-----------
469,075
-----------
PAPER AND FOREST PRODUCTS -- 1.3%
4,000 James River Corporation of Virginia... 148,000
10,200 Mosinee Paper Corporation............. 249,900
6,500 Pope & Talbot Inc. ................... 106,844
-----------
504,744
-----------
</TABLE>
See Notes to Financial Statements.
50
<PAGE> 53
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
PETROLEUM -- 2.1%
700 Atlantic Richfield Company............ $ 49,350
6 British Petroleum PLC, ADR............ 449
2,900 Elf Aquitaine, ADR.................... 157,869
2,300 Kerr-Mcgee Corporation................ 145,762
2,600 Pennzoil Company...................... 199,550
1,600 Royal Dutch Petroleum Company, ADR.... 87,000
1,600 Unocal Corporation.................... 62,100
4,300 YPF Sociedad Anonima, ADR............. 132,225
-----------
834,305
-----------
PHARMACEUTICALS -- 0.0%#
600 ICN Pharmaceuticals, Inc. ............ 17,212
-----------
PRINTING/FORMS -- 1.2%
13,600 Bowne & Company Inc. ................. 474,300
-----------
PUBLISHING AND NEWS -- 1.1%
1,300 Central Newspapers, Inc., Class A..... 93,112
2,200 Meredith Corporation.................. 63,800
3,500 New York Times Company, Class A....... 173,250
100 Playboy Enterprises, Inc.+............ 1,150
2,200 Pulitzer Publishing................... 116,600
-----------
447,912
-----------
RECREATIONAL PRODUCTS/TOYS -- 0.1%
2,000 Huffy Corporation..................... 29,250
-----------
RENTAL/LEASING COMPANIES -- 0.6%
1,100 Comdisco Inc. ........................ 28,600
2,900 GATX Corporation...................... 167,475
800 Ryder System, Inc. ................... 26,400
-----------
222,475
-----------
RESTAURANTS -- 1.5%
1,200 Applebee's International Inc. ........ 32,100
3,500 Boston Chicken, Inc.+................. 49,000
14,650 CKE Restaurants, Inc. ................ 463,306
7,200 Ryan's Family Steak Houses, Inc.+..... 61,650
-----------
606,056
-----------
RETAIL -- 1.7%
4,000 Brown Group, Inc. .................... 74,750
1,800 Burlington Coat Factory Warehouse+.... 35,100
3,700 Costco Companies, Inc.+............... 121,638
2,000 Dayton Hudson Corporation............. 106,375
1,700 Fred Meyer, Inc.+..................... 87,867
4,500 Justin Industries..................... 57,375
4,800 K Mart Stores+........................ 58,800
5,600 TJX Companies, Inc. .................. 147,700
-----------
689,605
-----------
SAVINGS AND LOAN ASSOCIATIONS -- 0.4%
1,600 Ahmanson (H.F.) & Company............. 68,800
2,900 Glendale Federal Bank+................ 75,763
-----------
144,563
-----------
SPECIALTY FOOD/CANDY -- 0.5%
1,300 Interstate Bakeries Corporation....... 77,106
2,500 MorningStar Group Inc.+............... 73,437
4,000 Savannah Foods & Industries, Inc. .... 70,250
-----------
220,793
-----------
TELECOMMUNICATIONS -- 0.5%
4,400 Telefono de Mexico S.A., ADR.......... 210,100
-----------
TEXTILES -- 0.9%
3,000 Culp, Inc. ........................... 54,375
8,100 Dixie Group, Inc.+.................... 83,025
6,450 Guilford Mills Inc. .................. $ 134,241
2,100 Springs Industries, Inc., Class A..... 110,775
-----------
382,416
-----------
TOBACCO MANUFACTURERS -- 0.5%
6,200 RJR Nabisco Holdings Corporation...... 204,600
-----------
TRANSPORTATION -- 0.1%
800 Air Express International
Corporation......................... 31,800
-----------
TRUCKING AND LEASING -- 0.5%
3,800 Roadway Express, Inc. ................ 88,825
2,800 Rollins Truck Leasing Corporation..... 41,650
3,200 Yellow Corporation+................... 71,600
-----------
202,075
-----------
WATER SUPPLY -- 0.0%#
300 California Water Services Co.......... 13,200
-----------
WHOLESALE DISTRIBUTORS -- 0.5%
4,600 Hughes Supply Inc. ................... 184,000
-----------
Total Common Stocks (Cost
$26,619,801)........................ 30,727,522
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 21.0%
U.S. TREASURY BILLS:
$7,450,000 5.200%++ due 07/17/1997**............. 7,432,950
400,000 5.020%++ due 07/24/1997............... 398,674
100,000 6.680%++ due 08/21/1997............... 99,266
50,000 4.740%++ due 09/04/1997............... 49,533
500,000 6.330%++ due 10/02/1997............... 493,316
-----------
Total U.S. Treasury Obligations (Cost
$8,473,977)......................... 8,473,739
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 2.6%
(Cost $1,060,000)
Federal Home Loan Mortgage
1,060,000 Corporation,
5.750%++ due 07/01/1997.............
1,060,000
-----------
TOTAL INVESTMENTS (COST $36,153,778*).......... 99.8% 40,261,261
OTHER ASSETS AND LIABILITIES (NET)............. 0.2 68,906
------ -----------
NET ASSETS..................................... 100.0% $40,330,167
====== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** A portion of this security is pledged as collateral for futures contracts.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.01%.
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF APPRECIATION/
CONTRACTS (DEPRECIATION)
- ------------ -------------
<C> <S> <C> <C>
FUTURES CONTRACTS -- SHORT POSITION
5 S&P 500, September 1997............. $ 23,507
14 S&P Midcap, September 1997.......... (23,800)
10 Russell 2000, September 1997........ (8,854)
-------------
Net unrealized depreciation on
futures contracts -- Short
Position.......................... $ (9,147)
============
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary
Receipt
</TABLE>
See Notes to Financial Statements.
51
<PAGE> 54
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 99.4%
ARGENTINA -- 0.4%
3,700 Banco de Galicia Y Buenos Aires S.A.
de C.V., ADR........................ $ 97,588
8,900 Banco Frances del Rio de la Plata
S.A., ADR........................... 96,410
1,000 IRSA Inversiones y Representaciones
S.A., GDR........................... 43,750
2,300 Telefonica De Argentina S.A., ADR..... 79,638
3,900 Y.P.F. S.A., ADR...................... 119,925
----------
437,311
----------
AUSTRALIA -- 3.2%
99,800 Australia and New Zealand Bank........ 746,993
48,480 Lend Lease Corporation................ 1,026,292
59,000 QBE Insurance Group Ltd.+ ............ 356,856
85,000 Woodside Petroleum Limited............ 732,612
117,300 Woolworths Limited+................... 385,778
----------
3,248,531
----------
BRAZIL -- 1.3%
3,100 Brazil Realty S.A., GDR**............. 76,725
5,500 Centrais Electricas Brasileiras,
ADR................................. 153,778
700 Centrais Electricas de Santa Cartarina
S.A.+**............................. 98,306
3,800 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar, ADR............ 86,450
6,500 Multicanal Participacoes S.A., ADR+... 88,563
4,900 Panamerican Beverages, Inc., Class
A................................... 161,088
7,700 Petroleo Brasileiro S.A., ADR......... 213,876
2,200 Telecomunicacoes Brasileiras S.A.,
ADR+................................ 333,850
3,900 Uniao de Bancos Brasileiros S.A.,
GDR+................................ 144,788
----------
1,357,424
----------
CANADA -- 2.2%
13,500 Newbridge Networks Corporation+....... 578,732
15,100 Northern Telecom Limited.............. 1,360,799
10,000 Renaissance Energy Ltd.+.............. 278,069
----------
2,217,600
----------
CHILE -- 0.2%
3,400 Cia de Telecomunicaciones de Chile
S.A., ADR........................... 112,200
1,500 Embotelladora Andina S.A., Class A,
ADR................................. 32,156
2,000 Embotelladora Andina S.A., Class B,
ADR................................. 41,750
1,400 Santa Isabel S.A., ADR................ 45,150
----------
231,256
----------
CHINA -- 0.1%
32,000 Cheung Kong Infrastructure............ 92,729
----------
FINLAND -- 1.1%
15,300 Oy Nokia AB, Class A+................. 1,154,995
----------
FRANCE -- 6.6%
17,500 Axa-UAP............................... 1,088,408
2,900 Canal Plus+........................... 564,535
6,400 Cetelem............................... 804,805
2,700 LVHM Moet Hennessey................... 725,918
15,300 SGS-Thompson Microelectronics N.V.+... 1,208,025
16,513 Total S.A., Class B................... 1,669,087
11,350 Valeo S.A. ........................... 704,945
----------
6,765,723
----------
GERMANY -- 3.1%
3,600 Adidas AG............................. 398,406
4,200 Adidas AG, ADR**...................... 236,378
23,400 Dresdner Bank AG...................... 809,094
9,100 Fresenius Medical Care AG+............ 803,578
7,030 SGL Carbon AG......................... 962,622
----------
3,210,078
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
GREAT BRITAIN -- 13.9%
50,000 Argos PLC............................. 455,876
1 British Airport Authority PLC......... $ 8
30,000 British Airways....................... 341,970
107,500 Cable & Wireless Communications
PLC+................................ 570,178
93,400 Compass Group PLC..................... 1,048,334
38,000 Dixons Group PLC...................... 295,524
27,000 Electrocomponents PLC................. 201,660
41,500 Glaxo Wellcome PLC.................... 856,964
69,100 Granada Group PLC..................... 909,071
4,600 Ramco Energy PLC, ADR................. 82,225
92,000 Reuters Holdings PLC.................. 969,805
67,841 Rio Tinto PLC......................... 1,182,291
39,200 SEMA Group PLC........................ 804,574
85,300 Siebe PLC............................. 1,444,650
82,000 Smith Industries PLC.................. 1,050,788
80,000 Smithkline Beacham.................... 1,472,792
25,000 Unilever PLC.......................... 716,704
388,000 Vodafone Group........................ 1,889,950
----------
14,293,364
----------
HONG KONG -- 3.5%
118,000 Beijing Yanhua Petrochemical Company
Ltd.+............................... 25,588
162,000 Guoco Group Ltd. ..................... 853,149
5,500 Hang Seng Bank Ltd. .................. 78,447
1 Jardine Matheson Holdings Ltd., ADR... 6
940,000 National Mutual Asia Ltd. ............ 1,043,460
197,500 New World Infrastructure Ltd.+........ 558,291
120,000 Sasa International+................... 39,110
17,000 Swire Pacific Ltd, Class A............ 153,053
196,000 Television Broadcasts Ltd. ........... 880,410
----------
3,631,514
----------
HUNGARY -- 0.1%
4,100 Magyar Olaj es Gazipari, GDR+**....... 91,738
----------
INDIA -- 0.4%
1,500 EIH Ltd., GDR+........................ 24,000
7,400 Gujarat Ambuja Cements Ltd.+**........ 86,025
800 Hindalco Industries Ltd., GDR......... 28,200
1,700 Hindalco Industries Ltd., GDR......... 59,925
2,500 State Bank of India, GDR+**........... 66,125
5,000 Tata Engineering & Locomotive Company,
GDR................................. 76,875
1,100 Videsh Sanchar Nigam Ltd., GDR+....... 22,275
300 Videsh Sanchar Nigam Ltd., GDR**...... 6,248
----------
369,673
----------
INDONESIA -- 0.4%
10,000 PT Astra International Inc.
(Foreign)........................... 41,118
120,000 PT Bank International Indonesia
(Foreign)+.......................... 103,619
20,000 PT Kawasan Industri Jubabeka+......... 26,727
25,000 PT Ramayana Lestari Sentosa+.......... 71,957
21,500 PT Semen Gresik (Foreign)............. 48,181
3,500 PT Telekomunikasi Indonesia, ADR...... 113,750
----------
405,352
----------
ISRAEL -- 0.1%
19,000 Bank Hapoalim Ltd..................... 39,557
12,000 Super-Sol Ltd......................... 38,503
1,400 Tadiran Ltd........................... 39,034
----------
117,094
----------
ITALY -- 1.9%
241,800 Ente Nazionale Idrocarburi............ 1,369,095
162,000 Telecom Italia Mobile................. 524,149
----------
1,893,244
----------
</TABLE>
See Notes to Financial Statements.
52
<PAGE> 55
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
JAPAN -- 17.2%
7,600 Acom Company, Ltd.+ .................. $ 366,026
11,300 Advantest Corporation................. 867,600
46,000 Canon, Inc. .......................... 1,252,192
19,000 Fanuc Company......................... 729,399
100,000 Fuji Heavy Industries Ltd. ........... 521,747
5,000 Hirose Electric+...................... 342,887
14,000 Hoya Corporation+..................... 622,955
14,000 JUSCO Company......................... 472,713
2,700 Keyence Corporation................... 400,471
79,000 NEC Corporation....................... 1,102,823
2,000 Nichiei Company Ltd. ................. 232,081
63,000 Nikon Corporation..................... 1,060,856
85,000 Oki Electric Industry Company+........ 430,877
37,000 Ricoh Company, Ltd. .................. 484,230
5,000 Rohm Company Ltd. .................... 514,767
46,000 Sankyo Company, Ltd.. ................ 1,545,173
10,000 Seven-Eleven Japan Co., Ltd. ......... 755,573
39,000 Shin-Etsu Chemical Co., Ltd. ......... 1,034,420
43,000 Shiseido Company, Ltd. ............... 709,069
900 Shohkoh Fund Company.................. 272,477
24,000 Taisho Pharmaceutical Company......... 647,036
7,000 Takefuji Corporation.................. 382,323
7,600 Takefuji Corporation**+............... 415,094
29,000 Tokyo Broadcasting System Inc. ....... 594,599
26,000 Toyko Electron Ltd. .................. 1,243,118
23,000 Toyko Motor Corporation............... 678,271
----------
17,678,777
----------
KOREA -- 0.4%
1,500 Hansol Paper Company+................. 38,007
3,524 Kookmin Bank, GDR**................... 76,207
3,000 Korea Electric Power Corporation...... 89,527
1,775 Samsung Electronics Company Ltd., (1/2
voting) GDR (New)**................. 103,169
5,200 SK Telecom Company Ltd., ADR.......... 52,325
----------
359,235
----------
MALAYSIA -- 2.1%
10,000 Berjaya Sports Toto BHD............... 47,147
81,000 Genting BHD+.......................... 388,312
35,000 IJM Corporation BHD................... 73,494
43,000 IOI Corporation Oxygen BHD............ 49,065
12,000 Malakoff BHD.......................... 52,298
9,000 New Straits Times Press BHD........... 52,773
100,000 Perusahaan Otomobile Nasional BHD..... 467,512
31,000 Public Bank BHD....................... 44,215
319,000 Public Bank BHD (Foreign)............. 497,963
12,000 Tan Chong Motor Holdings BHD.......... 22,631
20,000 Telecom Malaysia BHD.................. 93,502
9,000 United Engineers Ltd. BHD............. 64,897
102,000 YTL Corporation BHD................... 315,215
----------
2,169,024
----------
MEXICO -- 0.7%
20,000 ALFA, S.A. de C.V..................... 136,143
27,000 Cemex S.A. de C.V. ................... 131,815
24,100 Fomento Economico Mexicana, Class B... 143,129
2,500 Grupo Accion, S.A. de C.V., ADR**+.... 35,625
4,000 Grupo Imsa, S.A. de C.V., ADR......... 108,000
3,200 Grupo Televisa S.A., GDR+............. 97,200
21,200 Industrias Penoles CPO................ 101,099
----------
753,011
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
NETHERLANDS -- 3.4%
7,710 ASM Lithography Holding+.............. $ 445,812
10,300 Baan Company+......................... 697,896
19,105 Getronics............................. 617,093
23,000 ING Groep............................. 1,060,421
4,000 Nutricia Verenigde Bedrijuen.......... 631,718
----------
3,452,940
----------
NEW ZEALAND -- 0.7%
135,000 Telecom Corporation of New Zealand.... 687,741
----------
PHILIPPINES -- 0.3%
13,200 Ayala Land, Inc., Class B............. 12,136
280,000 Belle Corporation+.................... 81,741
140,000 International Container Terminal
Services, Inc....................... 71,656
2,700 Manila Electric Company, Class B...... 13,308
38,640 Petron Corporation.................... 9,815
1,500 Philippine Long Distance Telephone
Company, ADR........................ 96,375
----------
285,031
----------
POLAND -- 0.0%#
1,000 Bank Handlowy W. Warszawie, GDR+**.... 12,375
----------
PORTUGAL -- 1.1%
5,400 Colep-Companhia Portuguesa de
Emblagens+.......................... 86,681
400 Electricidade de Portugal+............ 7,341
3,300 Investec-Consultoria Internacional,
S.A.+............................... 112,488
21,500 Portugal Telecommunications S.A. ..... 867,379
----------
1,073,889
----------
RUSSIA -- 0.4%
2,400 Lukoil Oil Company, ADR............... 187,200
2,600 Mosenergo, ADR**...................... 108,875
1,500 Tatneft, ADR+**....................... 160,875
----------
456,950
----------
SINGAPORE -- 0.9%
145,000 Overseas Union Bank Ltd. (Foreign).... 902,637
----------
SOUTH AFRICA -- 0.4%
9,200 First National Bank Holdings Ltd. .... 79,083
26,300 Gencor Ltd. .......................... 121,153
29,000 Lonrho PLC............................ 62,129
7,600 Sasol Ltd. ........................... 99,669
----------
362,034
----------
SPAIN -- 1.2%
2,870 Gas Natural SDG, S.A. ................ 626,979
8,900 Mapfre Vida........................... 576,824
----------
1,203,803
----------
SWEDEN -- 0.9%
22,800 Ericsson Telecommunications, Class
B................................... 897,498
----------
SWITZERLAND -- 4.9%
615 ABB AG+............................... 930,478
900 Adecco S.A. .......................... 345,040
1,101 Nestle S.A. .......................... 1,451,719
109 Roche Holding AG...................... 985,380
720 Schweiz Ruckversicherungs............. 1,017,868
295 Schweizerische Bankgesellschaft....... 337,270
----------
5,067,755
----------
TAIWAN -- 0.2%
3,000 Acer Inc., GDR+....................... 53,625
1,700 ASE Test Ltd.+........................ 71,825
4,000 China Steel Corporation............... 86,240
</TABLE>
See Notes to Financial Statements.
53
<PAGE> 56
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
TAIWAN -- (CONTINUED)
2,200 Siliconware Precision Industries
Company, GDR........................ $ 37,400
----------
249,090
----------
THAILAND -- 0.2%
13,000 Advanced Information Services Public
Company, Ltd. ...................... 117,992
7,000 Bangkok Bank Public Company Ltd.
(Foreign)........................... 50,040
19,000 Industrial Finance Corporation of
Thailand (Foreign).................. 25,181
3,300 PTT Exploration and Production Public
Company, Ltd. (Foreign)............. 49,831
----------
243,044
----------
TURKEY -- 0.1%
2,700 Yapi ve Kredi Bankasi S.A., GDR+**.... 61,425
----------
UNITED STATES -- 25.8%
8,900 Abbot Laboratories.................... 594,075
6,100 Adaptec, Inc.+........................ 211,975
2,800 AES Corporation+...................... 198,100
1,900 Aetna Inc. ........................... 194,512
24,500 AFLAC, Inc. .......................... 1,157,625
3,600 American Express Company.............. 268,200
2,600 American International Group, Inc. ... 388,375
4,900 Apollo Group, Inc., Class A+.......... 172,725
2,900 Ascend Communications, Inc.+.......... 114,187
7,000 Asustek Computer Inc., GDR+........... 80,745
2,700 Avon Products, Inc. .................. 190,519
5,400 Baker Hughes Inc. .................... 208,912
3,900 Barnett Banks, Inc. .................. 204,750
4,700 BMC Software, Inc.+................... 260,262
5,000 Boeing Company........................ 265,312
8,500 Bristol-Myers Squibb Company.......... 688,500
5,900 Campbell Soup Company................. 295,000
6,500 Cardinal Health, Inc. ................ 372,125
4,300 Cascade Communications Corporation+... 118,788
3,700 Cia Energetica Minas Geras, ADR....... 196,100
3,300 Cisco Systems Inc.+................... 221,512
2,600 Citicorp.............................. 313,463
1,800 Clorox Company........................ 237,600
14,200 Coca-Cola Company..................... 990,450
18,600 Coca-Cola Enterprises Inc. ........... 427,800
3,000 Compaq Computer Corporation+.......... 297,750
4,600 Computer Association International
Inc. ............................... 256,162
6,200 ConAgra Inc. ......................... 397,575
6,625 Consolidated Stores Corporation+...... 230,219
8,311 CVS Corporation....................... 425,939
5,800 Dayton Hudson Corporation............. 308,488
4,500 Diebold Inc. ......................... 175,500
6,800 Disney (Walt) Company................. 545,700
6,200 EMC Corporation+...................... 241,800
5,600 Equifax, Inc. ........................ 208,250
2,800 Franklin Resources Inc. .............. 203,175
5,100 Gartner Group, Inc., Class A+......... 183,281
7,600 Gateway 2000, Inc.+................... 246,525
18,800 General Electric Company.............. 1,229,050
4,400 Gillette Company...................... 416,900
1,700 Guidant Corporation................... 144,500
3,500 Halliburton Company................... 277,375
2,600 HBO & Company......................... 179,075
12,000 Healthsouth Corporation+.............. 299,250
4,800 Honeywell Inc. ....................... 364,200
5,200 Intel Corporation..................... 737,425
4,400 Jones Apparel Group, Inc.+............ 210,100
5,200 KLA-Tencor Corporation+............... 253,500
5,100 Lilly (Eli) & Company................. 557,494
3,900 Marriot International Inc. ........... 239,362
8,000 MBNA Corporation...................... 293,000
8,800 Merck & Co, Inc. ..................... 910,800
5,200 Microsoft Corporation+................ 657,150
5,000 Motorola, Inc. ....................... 380,000
6,300 Nautica Enterprises, Inc.+............ 166,556
10,500 Omnicare Inc. ........................ 329,438
3,600 Oxford Health Plans, Inc. +........... 258,300
2,300 PT Pasifik Satelit Nusantara, ADR+.... 35,650
7,000 Parametric Technology Company+........ 297,938
5,550 Paychex Inc. ......................... 210,900
1,900 Payless ShoeSource Inc.+.............. 103,906
4,700 PeopleSoft Inc.+...................... 247,925
4,500 Praxair, Inc. ........................ 252,000
5,600 Procter & Gamble Company.............. 791,000
3,500 Quintiles Transnational
Corporation+........................ 243,688
6,500 QuorumHealth Group, Inc.+............. 232,375
4,000 Rite Aid Corporation.................. 199,500
5,000 Safeway Inc.+......................... 230,625
7,500 Sara Lee Corporation.................. 312,188
3,600 Sonat, Inc. .......................... 184,500
5,000 SunAmerica, Inc. ..................... 243,750
3,200 Symbol Technologies Inc. ............. 107,600
4,300 Tellabs, Inc.+........................ 240,263
3,800 Teradyne, Inc.+....................... 149,150
12,600 TJX Companies Inc. ................... 332,325
6,100 Tosco Corporation..................... 182,619
4,700 Travelers Group, Inc. ................ 296,394
5,500 US Surgical Corporation............... 204,875
5,300 USA Waste Services Inc.+.............. 204,712
5,000 Walgreen Company...................... 268,125
4,000 Warner-Lambert Company................ 497,000
3,300 Washington Mutual Inc. ............... 197,175
8,800 Westinghouse Electric Corporation..... 203,500
----------
26,465,134
----------
VENEZUELA -- 0.0%#
5,400 Sabanci Holdings+**................... 48,600
----------
Total Common Stocks (Cost
$91,954,363)........................ 101,947,619
----------
RIGHTS -- 0.1%
KOREA -- 0.0%#
29 Samsung Electronics Company, GDR,
Expires 01/01/2000+................. 889
----------
MALAYSIA -- 0.0%#
10,000 YTL Corporation BHD, Expires
08/26/1997+......................... 13,471
----------
SINGAPORE -- 0.1%
29,000 Overseas Union Bank Ltd. (Foreign),
Expires 12/01/1997+................. 38,742
----------
Total Rights (Cost $72,578)........... 53,102
----------
</TABLE>
See Notes to Financial Statements.
54
<PAGE> 57
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
WARRANT -- 0.0%#(Cost $10,676)
INDONESIA -- 0.0%#
34,020 PT Bank International Indonesia,
Expires 01/17/2000+................. $ 13,674
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 0.9%
(Cost $948,000)
$948,000 Agreement with UBS, 5.900% dated
06/30/1997 to be repurchased at
$948,155 on 07/01/1997,
collateralized by $645,000 U.S.
Treasury Notes, 11.250% due
02/15/2015 (Market value
$962,461)..........................
948,000
------------
TOTAL INVESTMENTS (COST $92,985,617*).....
100.4% 102,962,395
OTHER ASSETS AND LIABILITIES (NET)........
(0.4) (372,660)
-------- ------------
NET ASSETS................................
100.0% $102,589,735
======== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
# Amount is less than 0.01%.
See Notes to Financial Statements.
55
<PAGE> 58
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1997 (UNAUDITED)
The industry classification of the Managed Global Series at June 30, 1997 was as
follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- -------------------------------------- ---------- ------------
<S> <C> <C>
LONG TERM INVESTMENTS:
Financial Services.................... 6.8% $ 7,008,155
Health Care........................... 6.8 6,968,303
Communication......................... 5.6 5,722,472
Technology............................ 5.5 5,621,883
Food and Beverage Products............ 5.4 5,549,930
Oil and Gas........................... 5.3 5,431,137
Durable Goods......................... 5.3 5,388,388
Insurance............................. 4.7 4,799,308
Telecommunications.................... 4.6 4,671,916
Electronics........................... 4.4 4,529,469
Banks................................. 4.1 4,243,081
Drugs................................. 3.9 4,016,008
Retail................................ 3.9 4,009,275
Services.............................. 3.7 3,769,152
Machinery/Equipment................... 2.9 3,025,810
Computer Industry..................... 2.9 2,965,949
Nondurable Goods...................... 2.9 2,930,334
Auto and Trucks....................... 2.4 2,490,467
Basic Industries...................... 2.4 2,441,415
Metals/Mining......................... 2.4 2,427,089
Construction/Engineering.............. 1.9 1,984,038
Holding Company....................... 1.8 1,806,220
Utility............................... 1.7 1,762,920
Chemicals and Allied Products......... 1.0 991,463
Recreation/Entertainment.............. 0.9 905,175
Resources............................. 0.8 869,210
Shoes/Leather......................... 0.7 738,690
Transportation........................ 0.6 657,191
Office Supplies and Equipment......... 0.6 564,975
Industrial............................ 0.4 427,800
Textiles.............................. 0.4 376,656
Printing/Publishing................... 0.3 348,542
Real Estate........................... 0.2 241,079
Agriculture........................... 0.1 101,363
Manufacturing......................... 0.1 73,906
Other................................. 2.1 2,155,626
----- -----------
TOTAL LONG TERM INVESTMENTS........... 99.5 102,014,395
REPURCHASE AGREEMENT.................. 0.9 948,000
----- -----------
TOTAL INVESTMENTS..................... 100.4 102,962,395
OTHER ASSETS AND LIABILITIES.......... (0.4) (372,660)
----- -----------
NET ASSETS............................ 100.0% $102,589,735
===== ===========
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
------------------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
- ----------- --------------------- ----------- ----------- --------------
<S> <C> <C> <C> <C> <C>
07/01/1997 ARS 3,392 $ 3,392 $ 3,392 $ 0
07/01/1997 GBP 50,501 84,081 84,099 18
07/01/1997 HKD 346,219 44,679 44,689 10
07/01/1997 IDR 10,290,205 4,232 4,231 (1)
07/01/1997 JPY 26,907,792 237,838 234,767 (3,071)
07/01/1997 MYR 129,201 51,362 51,189 (173)
07/01/1997 NZD 31,445 21,534 21,359 (175)
07/01/1997 PHP 237,505 9,010 9,005 (5)
07/01/1997 PTE 24,251,944 139,435 137,803 (1,632)
07/01/1997 ZAR 20,571 4,569 4,534 (35)
07/01/1997 ZAR 20,232 4,494 4,459 (35)
07/01/1997 ZAR 4,119 915 908 (7)
07/01/1997 ZAR 134,263 29,772 29,593 (179)
07/02/1997 CAD 134,329 97,252 97,273 21
07/02/1997 IDR 20,078,800 8,264 8,256 (8)
07/02/1997 JPY 54,998,347 480,230 479,863 (367)
07/02/1997 MYR 81,591 32,387 32,326 (61)
07/02/1997 PTE 13,728,758 78,765 78,009 (756)
07/03/1997 AUD 58,531 46,646 44,252 (2,394)
07/03/1997 CAD 35,629 25,818 25,801 (17)
07/03/1997 GBP 22,295 37,099 37,128 29
07/03/1997 GBP 32,128 53,509 53,503 (6)
07/03/1997 HKD 62,988 8,130 8,130 0
07/03/1997 IDR 54,350,625 22,339 22,347 8
07/03/1997 IDR 8,081,247 3,325 3,323 (2)
07/03/1997 JPY 20,635,972 180,156 180,058 (98)
07/03/1997 MYR 56,476 22,401 22,375 (26)
07/03/1997 MYR 53,739 21,304 21,291 (13)
07/07/1997 AUD 25,146 18,998 19,011 13
07/07/1997 MYR 80,633 31,980 31,944 (36)
07/08/1997 ITL 476,835,000 281,019 280,469 (550)
07/08/1997 MYR 34,560 13,707 13,691 (16)
07/08/1997 MYR 11,571 4,589 4,584 (5)
07/09/1997 MYR 4,727 1,873 1,873 0
07/09/1997 MYR 61,452 24,343 24,343 0
07/23/1997 DEM 2,202,750 1,316,702 1,264,847 (51,855)
08/14/1997 DEM 3,100,000 1,844,744 1,783,676 (61,068)
08/14/1997 FRF 13,880,000 2,451,290 2,369,248 (82,042)
08/14/1997 JPY 581,000,000 4,716,675 5,104,122 387,447
08/14/1997 JPY 419,000,000 3,397,389 3,680,942 283,553
10/24/1997 JPY 803,896,500 7,588,526 7,135,078 (453,448)
----------
$ 13,018
==========
</TABLE>
See Notes to Financial Statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1997 (UNAUDITED)
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACTS - (CONTINUED)
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<TABLE>
<CAPTION>
CONTRACTS TO DELIVER
------------------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
- ----------- --------------------- ----------- ----------- --------------
<S> <C> <C> <C> <C> <C>
07/01/1997 ESP 4,233,626 $ 28,974 $ 28,732 $ 242
07/01/1997 ESP 7,357 50 49 1
07/01/1997 MYR 12,472 4,944 4,941 3
07/02/1997 CHF 374,068 257,118 256,093 1,025
07/02/1997 ESP 17,871,812 121,568 121,288 280
07/02/1997 MYR 50,480 20,021 20,000 21
07/02/1997 NLG 91,640 46,791 46,687 104
07/03/1997 ESP 1,031,808 6,999 7,003 (4)
07/03/1997 MYR 81,489 32,314 32,285 29
07/03/1997 NLG 34,499 17,566 17,576 (10)
07/07/1997 IDR 8,680 4 4 0
07/07/1997 MYR 58,232 23,067 23,069 (2)
07/23/1997 DEM 1,124,130 700,000 645,490 54,510
07/23/1997 DEM 1,078,620 670,000 619,357 50,643
08/14/1997 DEM 3,100,000 1,822,457 1,783,676 38,781
08/14/1997 FRF 13,880,000 2,417,445 2,369,248 48,197
08/14/1997 FRF 19,060,000 3,325,772 3,253,448 72,324
08/14/1997 JPY 1,000,000,000 8,043,758 8,785,064 (741,306)
08/14/1997 JPY 327,000,000 2,909,900 2,872,716 37,184
08/14/1997 JPY 327,000,000 2,900,556 2,872,716 27,840
10/24/1997 JPY 1,071,413,000 10,000,000 9,509,453 490,547
10/24/1997 JPY 536,380,000 5,000,000 4,760,704 239,296
10/24/1997 JPY 442,100,000 4,000,000 3,923,911 76,089
10/24/1997 JPY 368,874,000 3,300,000 3,273,985 26,015
----------
$ 421,809
----------
Net Unrealized Appreciation of Forward Foreign Exchange Contracts...
$ 434,827
==========
- ----------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
ARS -- Argentine Peso
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- German Mark
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- British Pound Sterling
GDR -- Global Depositary Receipt
HKD -- Hong Kong Dollar
IDR -- Indonesian Rupiah
ITL -- Italian Lira
JPY -- Japanese Yen
MYR -- Malaysian Ringgit
NLG -- Netherland Dollar
NZD -- New Zealand Dollar
PHP -- Philippine Peso
PTE -- Portuguese Escudo
ZAR -- South African Commercial Rand
- ----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
57
<PAGE> 60
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 88.2%
ARGENTINA -- 5.3%
22,000 Banco de Galicia Y Buenos Aires S.A. de
C.V., ADR............................ $ 580,250
71,800 Banco Frances del Rio de la Plata S.A.,
ADR.................................. 777,715
15,700 Telefonica de Argentina S.A., ADR...... 543,613
27,600 Y.P.F. S.A., ADR....................... 848,700
-----------
2,750,278
-----------
BRAZIL -- 12.4%
8,900 Brazil Reality S.A., GDR** ............ 220,275
400 Centrais Eletrobras.................... 224
15,400 Cia Brasileira de Distribuicao Grupo
Pao de Acuar, ADR.................... 350,350
11,700 Cia Energetica de Minas Geras, ADR+ ... 602,550
50,200,000 Cia Paranaense de Energi............... 932,609
3,300,000 Cia Paulista de Forca+ ................ 554,828
45,000 Multicanal Participacoes S.A., ADR+ ... 613,125
28,400 Panamerican Beverages, Inc., Class A... 933,650
5,100 Telebras, ADR.......................... 773,925
10,200,800 Telec Brasileiras-Telebras ON.......... 1,383,416
-----------
6,364,952
-----------
CHILE -- 1.9%
21,295 Cia Telecom, ADR....................... 702,735
9,100 Santa Isabel S.A., ADR................. 293,475
-----------
996,210
-----------
CHINA -- 1.1%
202,000 Cheung Kong Infrastructure............. 585,352
-----------
GREAT BRITAIN -- 1.1%
31,100 Ramco Energy PLC, ADR.................. 555,913
-----------
HONG KONG -- 6.0%
868,000 Beijing Yanhua Petrochemical Company
Ltd.+ ............................... 188,226
152,000 Guoco Group Ltd........................ 800,485
24,000 Hang Seng Bank Ltd..................... 342,313
230,000 New World Infrastructure Ltd.+ ........ 650,162
900,000 Sasa International+ ................... 293,328
90,000 Swire Pacific Ltd., Class A............ 810,282
-----------
3,084,796
-----------
HUNGARY -- 1.3%
30,100 Magyar Olaj es Gazipari, GDR+** ....... 673,487
-----------
INDIA -- 6.2%
62,000 Gujarat Ambuja Cements Ltd.+** ........ 720,750
17,800 Hindalco Industries, Ltd. GDR.......... 627,450
34,800 Mahindra & Mahindra Ltd., GDR** ....... 515,480
14,800 State Bank of India, GDR+** ........... 391,460
44,400 Tata Engineering & Locomotive Company,
GDR.................................. 682,650
11,800 Videsh Sanchar Nigam Ltd., GDR+ ....... 238,950
-----------
3,176,740
-----------
INDONESIA -- 6.0%
45,000 PT Astra International Inc.
(Foreign)............................ 185,033
870,163 PT Bank International Indonesia
(Foreign)+ .......................... 751,375
1 PT Indah Kiat Pulp and Paper
(Foreign)............................ 1
109,000 PT Kawasan Industri Jubabeka+ ......... 145,662
21,200 PT Pasifik Satelit Nusantara, ADR+ .... 328,600
206,000 PT Ramayana Lestari Sentosa+ .......... 592,928
159,000 PT Semen Gresik (Foreign).............. 356,312
21,800 PT Telekomunikasi Indonesia, ADR....... 708,500
-----------
3,068,411
-----------
ISRAEL -- 1.6%
115,000 Bank Hapoalim Ltd. .................... 239,421
79,800 Super-Sol Ltd. ........................ 256,044
11,500 Tadiran Ltd. .......................... 320,640
-----------
816,105
-----------
KOREA -- 3.2%
5,000 Hansol Paper Company................... 126,689
9,700 Hyundai Electronics Industries
Company+ ............................ 497,016
4,470 Kookmin Bank........................... 83,933
3,308 Kookmin Bank, GDR** ................... 71,535
11,100 Korea Electric Power Corporation....... 331,250
280 Samsung Electronics Company Ltd........ 30,936
1 Samsung Electronics Company Ltd., GDR
(1/2 Voting)** ...................... 28
2,172 Shinhan Bank........................... 31,748
667 SK Telecom Company Ltd., ADR........... 480,340
-----------
1,653,475
-----------
MALAYSIA -- 8.5%
66,000 Berjaya Sports Toto BHD................ 311,173
253,000 IJM Corporation BHD.................... 531,260
392,000 IOI Corporation Oxygen, Inc. .......... 447,290
64,000 Malakoff BHD........................... 278,922
46,000 New Straits Times Press BHD............ 269,731
55,000 Perusahaan Otomobile Nasional BHD...... 257,131
296,000 Public Bank BHD........................ 422,187
249,000 Public Bank BHD (Foreign).............. 388,693
105,000 Tan Chong Motor Holdings BHD........... 198,019
135,000 Telecom Malaysia BHD................... 631,141
90,000 United Engineers Ltd. BHD.............. 648,970
-----------
4,384,517
-----------
MEXICO -- 7.5%
172,000 Cementos Mexicanos S.A., Class B+ ..... 839,711
137,000 Fomento Economico Mexicana, Class B.... 813,640
18,400 Grupo Accion S.A. de C.V., ADR+** ..... 262,200
26,400 Grupo Imsa S.A. de C.V., ADR........... 712,800
19,900 Grupo Telivisa S.A., GDR+ ............. 604,463
135,800 Industrias Penoles CPO................. 647,602
-----------
3,880,416
-----------
PAKISTAN -- 0.0%#
24,200 Karachi Electric Supply Company........ 7,185
-----------
PHILIPPINES -- 3.8%
126,300 Ayala Land Inc., Class B............... 116,120
2,127,100 Belle Corporation+ .................... 620,969
1 Benpress Holdings Corporation, GDR+ ... 7
989,000 Centennial City Inc.+ ................. 72,743
750,000 International Container Terminal
Services, Inc. ...................... 383,872
29,100 Manila Electric Company, Class B....... 143,426
353,560 Petron Corporation..................... 89,811
6,000 Philippine Long Distance Telephone
Company.............................. 194,495
5,300 Philippine Long Distance Telephone
Company, ADR......................... 340,525
-----------
1,961,968
-----------
POLAND -- 0.2%
9,700 Bank Handlowy W. Warszawie, GDR+** .... 120,038
-----------
PORTUGAL -- 3.1%
39,900 Colep-Cia Portuguesa de Embalagens+ ... 640,477
4,200 Electricidade de Portugal+ ............ 77,084
25,000 Investec-Consultadoria Internacional,
S.A.+ ............................... 852,179
-----------
1,569,740
-----------
RUSSIA -- 5.7%
11,400 Lukoil Oil Company, ADR................ 889,200
23,400 Mosenergo, ADR** ...................... 979,875
9,600 Tatneft, ADR+** ....................... 1,029,600
-----------
2,898,675
-----------
SOUTH AFRICA -- 4.5%
59,000 First National Bank Holdings Ltd. ..... 507,163
163,000 Gencor Ltd. ........................... 750,871
206,000 Lonrho PLC............................. 441,331
</TABLE>
58
<PAGE> 61
<TABLE>
<S> <C> <C>
47,500 Sasol, Ltd. ........................... 622,934
-----------
2,322,299
-----------
TAIWAN -- 4.8%
19,500 Acer Inc., GDR+........................ 348,563
13,200 ASE Test Ltd.+......................... 557,700
56,000 Asustek Computer Inc., GDR+............ 645,960
27,600 China Steel Corporation................ 595,056
19,000 Siliconware Precision Industries
Company, GDR......................... 323,000
-----------
2,470,279
-----------
THAILAND -- 2.5%
47,000 Advanced Information Services Public
Company, Ltd......................... 426,586
5,800 Advanced Information Services Public
Company, Ltd. (Foreign).............. 52,643
44,000 Bangkok Bank Public Company Ltd.
(Foreign)............................ 314,538
116,000 Industrial Finance Corporation of
Thailand (Foreign)................... 153,735
21,000 PTT Exploration and Production Public
Company, Ltd. (Foreign).............. 317,108
-----------
1,264,610
-----------
TURKEY -- 0.9%
20,100 Yapi ve Kredi Bankasi S.A., GDR+** .... 457,275
-----------
VENEZUELA -- 0.6%
1 Banco Provincial+...................... 2
33,600 Sabanci Holdings+** ................... 302,400
6,550 Siderurgica Venezolana, Class B+....... 3,027
-----------
305,429
-----------
Total Common Stocks (Cost
$40,841,615)......................... 45,368,150
-----------
PREFERRED STOCKS -- 6.9%
BRAZIL -- 6.9%
92,000,700 Banco Bradesco......................... 927,228
1,400,000 Banco Itau S.A. ....................... 784,172
372,000 Celesc................................. 552,877
1,951,000 Mesbla................................. 9,061
4,640,500 Petroleo Brasileir..................... 1,288,891
-----------
Total Preferred Stocks (Cost
$2,963,370).......................... 3,562,229
-----------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION VALUE
SHARES DATE (NOTE 1)
- ----------- ---------- -----------
<C> <S> <C> <C>
WARRANTS AND RIGHTS -- 0.0%#
HONG KONG -- 0.0%#
40 Lai Sun Hotels
International Ltd.+...... 04/30/1999 $ 4
INDONESIA -- 0.0%#
2,222 PT Bank International
Indonesia+............... 01/17/2000 893
KOREA -- 0.0%#
453 Kookmin Bank+.............. 01/01/1998 1,428
5 Samsung Electronics
Company+................. 01/01/2000 125
1 Samsung Electronics
Company, GDR+............ 01/01/2000 12
1,565
Total Warrants and Rights
(Cost $2,849)............ 2,462
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C> <C>
CONVERTIBLE BONDS -- 3.5%
CHINA -- 0.8%
$450,000 Quingling Motors Company
Ltd.,
3.500% due
01/22/2002**............. 434,250
MEXICO -- 1.8%
620,000 Alpha, Class A,
8.000% due
09/15/2000** ............ 903,650
TAIWAN -- 0.9%
400,000 Formosa Chemical & Fibre
Corporation,
1.750% due 07/19/2001.... 448,000
Total Convertible Bonds
(Cost $1,662,587)........ 1,785,900
TOTAL INVESTMENTS (COST $45,470,421*)..... 98.6% 50,718,741
OTHER ASSETS AND LIABILITIES (NET)........ 1.4 702,457
----------
NET ASSETS................................ 100.0% $51,421,198
==========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration
to qualified institutional buyers.
+ Non-income producing security.
# Amount is less than 0.1%.
See Notes to Financial Statements.
59
<PAGE> 62
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1997 (UNAUDITED)
The industry classification of the Emerging Markets Series at June 30, 1997 was
as follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------- ---------- -----------
<S> <C> <C>
LONG TERM INVESTMENTS:
Oil/Gas................................ 13.5% $ 6,936,612
Communication/Telecommunications....... 9.1 4,689,880
Banking/Financials..................... 8.0 4,126,320
Banks.................................. 5.0 2,559,885
Electric Utilities..................... 4.8 2,465,361
Construction........................... 3.7 1,884,484
Food and Beverage Products............. 3.4 1,747,290
Retail................................. 3.3 1,699,877
Industrial............................. 3.3 1,694,212
Utility................................ 3.2 1,645,321
Building Materials..................... 3.0 1,560,461
Computers and Office Equipment......... 2.9 1,473,751
Financial Services..................... 2.8 1,461,383
Metal and Metal Products............... 2.5 1,275,052
Broadcast, Radio and TV................ 2.4 1,217,588
Auto................................... 2.2 1,124,815
Publishing............................. 2.2 1,121,910
Electric Services and Equipment........ 1.9 993,314
Electronics............................ 1.8 911,790
Miscellaneous Services................. 1.6 810,282
Mining................................. 1.4 750,872
Agriculture............................ 1.4 726,212
Diversified Operations................. 1.4 712,800
Iron/Steel............................. 1.1 595,056
Basic Industries....................... 1.1 554,828
Real Estate............................ 1.1 554,799
Engineering/Construction............... 1.0 534,287
Consumer............................... 1.0 515,480
Housing Development.................... 1.0 497,016
Leisure................................ 0.6 311,173
Chemicals.............................. 0.4 188,226
Paper and Allied Products.............. 0.2 126,689
Other.................................. 6.3 3,251,715
----- -----------
TOTAL INVESTMENTS...................... 98.6 50,718,741
OTHER ASSETS AND LIABILITIES (NET)..... 1.4 702,457
----- -----------
NET ASSETS............................. 100.0% $51,421,198
===== ===========
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
-------------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S.$ U.S.$ (DEPRECIATION)
- ----------- ----------------- ----------- -------- --------------
<C> <S> <C> <C> <C>
07/01/1997 MYR 18,233 $ 7,248 $ 7,224 $ (24)
07/02/1997 MYR 229,909 91,261 91,089 (172)
07/03/1997 IDR 338,526,750 139,139 139,187 48
07/03/1997 MYR 523,616 207,693 207,452 (241)
07/03/1997 MYR 874,138 346,536 346,326 (210)
07/07/1997 MYR 1,092,055 433,123 432,632 (491)
07/08/1997 MYR 56,236 22,304 22,278 (26)
07/09/1997 MYR 61,452 24,343 24,343 0
---------
$ (1,116)
=========
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<TABLE>
<CAPTION>
CONTRACTS TO DELIVER
--------------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S.$ U.S.$ APPRECIATION
- ----------- ----------------- ----------- -------- --------------
<C> <S> <C> <C> <C>
07/01/1997 MYR 124,724 $ 49,444 $ 49,415 $ 29
07/07/1997 MYR 100 40 40 0
---------
$ 29
---------
Net Unrealized Depreciation of Forward Foreign Exchange
Contracts.................................................. $ (1,087)
=========
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
IDR -- Indonesian Rupiah
MYR -- Malaysian Ringgit
</TABLE>
See Notes to Financial Statements.
60
<PAGE> 63
[
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
HARD ASSETS SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 85.0%
ALUMINUM -- 3.1%
19,000 Alumax, Inc.+.......................... $ 720,812
50,850 Century Aluminum Company............... 743,681
-----------
1,464,493
-----------
APARTMENTS -- 2.6%
10,000 Apartment Investment & Management
Company.............................. 282,500
15,000 Colonial Properties Trust.............. 440,625
10,000 Equity Residential Properties Trust.... 475,000
-----------
1,198,125
-----------
CHEMICALS -- 2.7%
25,300 General Chemical Group Inc............. 676,775
7,800 Potash Corporation of Saskatchewan
Inc. ................................ 585,488
-----------
1,262,263
-----------
DIVERSIFIED MINERALS -- 0.7%
19,600 Rio Tinto Limited...................... 334,604
-----------
FOREST PRODUCTS AND PAPER -- 9.9%
39,000 Abitibi-Consolidated Inc. ............. 696,151
24,750 Buckeye Cellulose Corporation+......... 835,312
14,000 Fletcher Challenge Canada Limited,
Class A.............................. 235,707
14,500 Fort Howard Corporation+............... 734,062
14,400 Mead Corporation....................... 896,400
12,900 Rayonier, Inc. ........................ 542,606
10,000 Willamette Industries, Inc. ........... 700,000
-----------
4,640,238
-----------
GOLD/MINING -- 5.4%
7,400 Arizona Star Resource Corporation+..... 47,424
19,000 Barrick Gold Corporation............... 418,000
590,919 Consolidated Gold+..................... 129,562
130,000 Emperor Mines Ltd.+.................... 181,830
21,600 Getchell Gold Corporation+............. 758,700
6,000,000 Gullewa Gold NL+....................... 158,770
164,000 Herald Resources Ltd................... 83,075
40,000 Miramar Mining Corporation+............ 144,828
80,000 Nambian Minerals Corporation+.......... 347,587
75,000 Plutonic Resources Ltd................. 234,753
91,000 Summit Gold NL+........................ 28,208
-----------
2,532,737
-----------
HOTEL -- 4.4%
15,000 CapStar Hotel Company+................. 480,000
10,000 Interstate Hotels Company+............. 294,375
22,000 Patriot American Hospitality, Inc. .... 561,000
20,000 Servico, Inc.+......................... 297,500
10,000 Starwood Lodging Trust................. 426,875
-----------
2,059,750
-----------
INDUSTRIAL -- 1.1%
25,000 Bedford Property Investors, Inc. ...... 503,125
-----------
INSURANCE -- 0.0%#
1,000 Highlands Insurance Group Inc.+........ 20,125
-----------
IRON/STEEL -- 1.3%
41,500 LTV Corporation........................ 591,375
-----------
METALS/MINING -- 6.9%
82,000 Atna Resources Ltd.+................... 207,828
30,500 Boliden Limited+....................... 162,334
15,100 Cameco Corporation..................... 565,860
583,000 Noble Group Ltd.+...................... 454,740
345,800 Pasminco Limited Ord................... 703,279
137,500 Portman Mining Limited................. 343,058
25,400 Titanium Metals Corporation+........... 803,275
-----------
3,240,374
-----------
OFFICE/INDUSTRIAL -- 8.6%
10,000 Alexandria Real Estate Equities,
Inc. ................................ 219,375
16,000 Arden Realty Group, Inc. .............. 416,000
20,000 Boston Properties, Inc.+............... 550,000
24,250 CarrAmerica Realty Corporation......... 697,188
35,000 Cornerstone Properties, Inc. .......... 538,125
11,900 Kilroy Realty Corporation.............. 300,475
10,000 Liberty Property Trust................. 248,750
25,000 Prentiss Properties Trust.............. 640,625
13,200 TriNet Corporate Realty Trust, Inc. ... 436,425
-----------
4,046,963
-----------
OIL AND GAS EXPLORATION -- 17.7%
68,000 Abacan Resource Corporation+........... 216,750
125,000 Black Sea Energy Ltd.+................. 353,018
100,000 Canadian 88 Energy Corporation+........ 405,518
17,200 Chieftain International, Inc.+......... 377,325
30,000 Ensign Resources Service Group......... 709,294
35,000 KCS Energy, Inc. ...................... 713,125
10,000 Nuevo Energy Company+.................. 410,000
20,000 Ocean Energy, Inc.+.................... 925,000
115,000 Pacalta Resources Ltd.+................ 1,394,873
19,600 Pendaries Petroleum Ltd.+.............. 223,542
32,000 Santa Fe Energy Resources, Inc.+....... 470,000
30,000 Snyder Oil Corporation................. 551,250
21,000 Stone Energy Corporation+.............. 574,875
8,000 Talisman Energy Inc.+.................. 245,918
170,000 Windsor Energy Corporation............. 757,088
-----------
8,327,576
-----------
OIL/GAS -- EQUIPMENT AND SERVICES -- 8.0%
3,100 Atwood Oceanics, Inc.+................. 207,700
11,000 BJ Services Company+................... 589,875
35,000 Bouygues Offshore SA, ADR.............. 437,500
19,900 CE Franklin Limited+................... 102,314
6,200 ENSCO International, Inc.+............. 327,050
32,500 Input/Output, Inc.+.................... 589,063
25,000 Key Energy Group+...................... 445,312
8,910 Pride Petroleum Services Inc.+......... 213,840
24,000 Prudential Steel Ltd. ................. 660,415
6,000 Santa Fe International Corporation+.... 204,000
-----------
3,777,069
-----------
OIL/GAS -- INTERNATIONAL -- 5.4%
12,000 British Petroleum PLC, ADR............. 898,500
13,000 Ente Nazionale Idrocarburi SpA, ADR.... 739,375
13,000 Mobil Oil Corporation.................. 908,375
-----------
2,546,250
-----------
OIL/GAS -- REFINING -- 2.1%
42,500 SP Interoil**.......................... 488,750
17,000 Tosco Corporation...................... 508,938
-----------
997,688
-----------
PLATINUM/MINING -- 0.6%
661 Rustenburg Platinum Holdings Ltd.,
ADR.................................. 12,146
13,000 Stillwater Mining Company+............. 289,250
-----------
301,396
-----------
REAL ESTATE -- 1.9%
10,000 Intrawest Corporation.................. 163,750
34,000 Trizec Hahn Corporation................ 726,750
-----------
890,500
-----------
</TABLE>
See Notes to Financial Statements.
61
<PAGE> 64
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
HARD ASSETS SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
REGIONAL MALLS -- 0.5%
15,000 Westfield America, Inc. ............... $ 253,125
-----------
STORAGE -- 1.3%
20,000 Public Storage, Inc. .................. 585,000
-----------
OTHER -- 0.8%
413,800 International Uranium Corporation...... 389,543
-----------
Total Common Stocks
(Cost $34,087,293)................... 39,962,319
-----------
WARRANT -- 0.2%
(Cost $198,816)
GOLD/MINING -- 0.2%
630,800 Brazillian Resources Inc., Expires
09/12/1998........................... 90,946
-----------
PRINCIPAL
AMOUNT
- -----------
U.S. TREASURY OBLIGATION -- 10.6%
(Cost $4,964,371)
U.S. TREASURY BILL
$5,000,000 5.030%++ due 08/21/1997................ 4,964,371
COMMERCIAL PAPER -- 4.2%
(Cost $1,951,000)
1,951,000 General Electric Capital Corporation,
5.900%++ due 07/01/1997.............. 1,951,000
-----------
TOTAL INVESTMENTS (COST $41,201,480*).......... 100.0% 46,968,636
OTHER ASSETS AND LIABILITIES (NET)............. 0.0 15,563
------ -----------
NET ASSETS..................................... 100.0% $46,984,199
====== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration
to qualified institutional buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
The summary of investments by country at June 30, 1997 was as follows:
<TABLE>
<CAPTION>
% OF TOTAL
COUNTRY INVESTMENTS
- ------------------------------------------------------------------
<S> <C>
Australia.............................................. 4.7%
Canada................................................. 21.4
France................................................. 0.9
Great Britain.......................................... 1.9
Italy.................................................. 1.6
South Africa........................................... 0.0#
United States.......................................... 69.5
-----
100.0%
=====
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACT
FORWARD FOREIGN EXCHANGE CONTRACT TO SELL
<TABLE>
<CAPTION>
CONTRACT TO DELIVER
---------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- ------------ ----------- -------- ------------
<S> <C> <C> <C> <C>
07/02/1997 AUD 170,168 $ 127,694 $128,655 $ (961)
-----
Net Unrealized Depreciation on Forward Foreign Exchange
Contract............................................. $ (961)
===========
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
AUD -- Australian Dollar
</TABLE>
See Notes to Financial Statements.
62
<PAGE> 65
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
REAL ESTATE SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 92.7%
APARTMENTS -- 16.6%
41,600 Avalon Properties Inc. ............... $ 1,190,800
32,500 Bay Apartment Communities, Inc. ...... 1,202,500
24,600 BRE Properties, Inc. ................. 618,075
8,600 Columbus Realty Trust................. 195,650
38,088 Equity Residential Property Trust..... 1,809,156
29,200 Evans Withycombe Residential, Inc. ... 605,900
38,100 Post Properties Inc. ................. 1,545,431
73,600 Security Capital Pacific Trust........ 1,683,600
47,500 Smith, Charles E. Residential Realty
Inc. ................................. 1,371,562
4,475 Wellsford Residential Property
Trust................................. 49,225
----------
10,271,899
----------
HEALTH CARE REAL ESTATE -- 5.5%
35,200 American Health Properties Inc. ...... 884,400
33,400 Health Care Property Investors
Inc. ................................. 1,177,350
60,800 Nationwide Health Properties Inc. .... 1,337,600
----------
3,399,350
----------
MANUFACTURED HOUSING -- 3.9%
45,713 Chateau Properties, Inc. ............. 1,308,535
6,700 Manufactured Home Communities,
Inc. ................................. 154,519
28,600 Sun Communities Inc. ................. 959,888
----------
2,422,942
----------
OFFICE/INDUSTRIAL -- 27.7%
59,300 Arden Realty Group, Inc. ............. 1,541,800
24,300 Boston Properties, Inc.+.............. 668,250
15,100 Cali Realty Corporation............... 513,400
77,800 CarrAmerica Realty Corporation........ 2,236,750
23,500 Cornerstone Properties, Inc. ......... 361,312
77,300 Crescent Real Estate Equities
Company............................... 2,454,275
31,500 Duke Realty Investments, Inc. ........ 1,275,750
14,300 Highwood Properties Inc. ............. 457,600
70,000 Liberty Property Trust................ 1,741,250
64,400 Reckson Associates Realty
Corporation........................... 1,481,200
54,283 Security Capital Industries........... 1,167,085
42,500 Spieker Properties Inc. .............. 1,495,469
38,200 Trizec Hahn Corporation............... 816,525
29,100 Weeks Corporation..................... 909,375
----------
17,120,041
----------
REAL ESTATE -- 2.8%
27,800 Catellus Development Corporation+..... 503,875
48,000 Kilroy Realty Corporation............. 1,212,000
----------
1,715,875
----------
REGIONAL MALLS -- 12.5%
25,800 General Growth Properties............. 864,300
51,500 Macerich Company...................... 1,429,125
48,700 Rouse Company......................... 1,436,650
77,100 Simon DeBartolo Group, Inc. .......... 2,467,200
89,900 Taubman Centers Inc. ................. 1,191,175
18,800 Westfield America, Inc. .............. 317,250
----------
7,705,700
----------
SELF STORAGE -- 4.0%
21,200 Shurgard Storage Centers Inc., Class
A..................................... 593,600
36,200 Storage Trust Realty.................. 959,300
23,900 Storage USA Inc. ..................... 914,175
----------
2,467,075
----------
SHOPPING CENTERS -- 9.3%
9,100 Bradley Real Estate, Inc. ............ 175,175
32,900 Developers Diversified Realty
Corporation........................... 1,316,000
48,450 Kimco Realty Corporation.............. 1,538,288
29,700 Vornado Realty Trust.................. 2,142,112
13,700 Weingarten Realty, Inc. .............. 578,825
----------
5,750,400
----------
SPECIALTY REAL ESTATE -- 10.3%
58,100 Franchise Finance Corporation of
America............................... 1,514,231
80,700 Patriot American Hospitality Inc. .... 2,057,850
65,050 Starwood Lodging Trust................ 2,776,822
----------
6,348,903
----------
OTHER -- 0.1%
8,300 Crescent Operating, Inc.+............. 99,600
----------
Total Common Stocks (Cost
$43,881,446).......................... 57,301,785
----------
CONVERTIBLE PREFERRED STOCK -- 0.9%
(Cost $554,860)
SHOPPING CENTER -- 0.9%
11,100 Vornado Realty Trust, Pfd. Conv.,
Series A.............................. 588,300
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATION -- 4.6%
(Cost $2,816,665)
U.S. TREASURY BILL:
$ 2,825,000 4.160%++ due 07/24/1997.........
2,816,665
-----------
TOTAL INVESTMENTS (COST $47,252,971*)..........
98.2% 60,706,750
OTHER ASSETS AND LIABILITIES (NET).............
1.8 1,106,804
----- -----------
NET ASSETS.....................................
100.0% $61,813,554
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
63
<PAGE> 66
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MARKET MANAGER SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATION -- 40.1%
(Cost $2,403,189)
$3,102,000 U.S. Treasury Strip,
7.285%++ due 02/15/2001.............. $2,478,653
------------
CORPORATE BONDS AND NOTES -- 6.4%
FINANCIAL SERVICES -- 3.7%
299,000 Cabco (Texaco Capital),
Zero coupon due 10/01/2001........... 225,745
------------
INDUSTRIAL -- 2.7%
173,000 Philip Morris Companies Inc.,
6.000% due 07/15/2001................ 166,729
------------
Total Corporate Bonds
and Notes (Cost $379,977)............ 392,474
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ------- ----------
<C> <S> <C> <C> <C>
CALL OPTIONS PURCHASED** -- 53.5%
7,249 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 $178.50 $ 955,979
2,354 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 309,404
1,498 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 205,476
2,657 S&P 500 European...... 03/06/2001 485.63 1,202,978
865 S&P 500 European...... 03/06/2001 485.63 384,479
551 S&P 500 European...... 03/06/2001 485.63 246,828
----------
Total Call Options Purchased
(Cost $1,153,649)......................... 3,305,144
----------
TOTAL INVESTMENTS (COST $3,936,815*)............ 100.0% 6,176,271
OTHER ASSETS AND LIABILITIES (NET).............. 0.0 600
---- ----------
NET ASSETS...................................... 100.0% $6,176,871
==== ==========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** The Market Manager Series is exposed to risks on these call options purchased
if the counterparties are unable to meet the terms of the contracts. Such
risks are limited to the cost of such investments.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
64
<PAGE> 67
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 41.5%
AEROSPACE/DEFENSE -- 0.4%
12,600 Gencorp, Inc. ........................ $ 291,375
13,700 General Motors Corporation, Class H... 791,175
-----------
1,082,550
-----------
AUTOMOBILE PARTS -- 1.3%
16,200 Borg-Warner Automotive, Inc. ......... 875,813
19,900 Cummins Engine Company, Inc. ......... 1,404,194
13,500 Excel Industries, Inc. ............... 263,250
18,600 PACCAR Inc. .......................... 863,737
7,700 Standard Products Company............. 194,425
-----------
3,601,419
-----------
AUTOMOTIVE -- 2.0%
48,600 Chrysler Corporation.................. 1,594,688
43,700 Ford Motor Company.................... 1,649,675
20,500 General Motors Corporation............ 1,141,594
16,700 Simpson Industries, Inc. ............. 177,438
28,000 Volvo AB, ADR......................... 749,000
-----------
5,312,395
-----------
BICYCLES -- 0.1%
8,300 Huffy Corporation..................... 121,388
-----------
BUILDING MATERIALS -- 0.1%
10,400 Lafarge Corporation................... 254,800
-----------
CHEMICALS -- 0.3%
8,900 Rohm & Haas Company................... 801,556
-----------
COMMERCIAL SERVICES -- 0.1%
16,300 Ogden Corporation..................... 354,525
-----------
CONSTRUCTION -- 0.4%
10,300 Caterpillar Inc. ..................... 1,105,962
-----------
CONSUMER GOODS -- DURABLES -- 0.2%
8,000 Goodyear Tire & Rubber Company........ 506,500
-----------
DOMESTIC INVESTMENT COMPANIES -- 0.6%
18,400 Blackrock Strategic Term Trust,
Inc. ............................... 149,500
18,400 Blackrock 2001 Term Trust, Inc. ...... 149,500
30,600 Gabelli Equity Trust, Inc. ........... 307,913
32,300 Gabelli Global Multimedia Trust,
Inc. ............................... 244,269
44,235 Royce Value Trust..................... 608,231
-----------
1,459,413
-----------
ELECTRICAL EQUIPMENT -- 0.5%
19,900 Philips Electronics N.V. ............. 1,430,312
-----------
ENTERTAINMENT -- 0.1%
11,200 Royal Caribbean Cruises Ltd. ......... 391,300
-----------
FINANCIAL SERVICES -- 4.9%
47,600 Ahmanson (H.F.) & Company............. 2,046,800
28,600 American General Corporation.......... 1,365,650
72,557 Bear Stearns Companies, Inc. ......... 2,480,542
12,400 Charter One Financial, Inc. .......... 668,050
46,000 Edwards (A.G.), Inc. ................. 1,983,750
27,250 Fremont General Corporation........... 1,096,812
5,400 GATX Corporation...................... 311,850
25,200 Paine Webber Group Inc. .............. 882,000
5,900 RCSB Financial, Inc. ................. 282,463
41,800 Ryder System, Inc. ................... 1,379,400
14,300 Salomon, Inc. ........................ 795,438
-----------
13,292,755
-----------
FOOD AND BEVERAGES -- 0.4%
38,500 Coors (Adolph) Company, Class B....... 1,025,062
-----------
FOOD AND KINDRED PRODUCTS -- 0.2%
29,700 Chiquita Brands International,
Inc. ............................... 408,375
-----------
FOREIGN INVESTMENT COMPANIES -- 2.3%
7,100 Argentina Fund, Inc.+................. 104,725
9,400 Brazil Fund Inc. ..................... 289,050
7,300 Chile Fund, Inc. ..................... 190,712
10,700 China Fund Inc.+...................... 188,588
8,500 Clemente Global Growth Fund, Inc. .... 85,531
23,000 Emerging Markets Infrastructure Fund,
Inc. ............................... 314,813
16,700 Emerging Mexico Fund, Inc. ........... 154,475
8,500 Fidelity Advisor Emerging Asia Fund,
Inc.+............................... 122,188
11,200 G.T. Global Developing Markets Fund... 157,500
5,100 Indonesia Fund, Inc.+................. 55,462
5,800 Jakarta Growth Fund, Inc.+............ 58,000
21,200 Mexico Fund........................... 410,750
15,400 Morgan Stanley Asia-Pacific Fund,
Inc. ............................... 161,700
3,600 Morgan Stanley Russia & New Europe
Fund, Inc. ......................... 109,350
33,800 New Germany Fund, Inc. ............... 532,350
9,100 Portugal Fund, Inc. .................. 159,250
36,900 ROC Taiwan Fund....................... 431,269
12,816 Schroder Asian Growth Fund............ 164,205
9,400 Scudder New Asia Fund Inc. ........... 137,475
8,500 South African Fund, Inc. ............. 150,875
15,800 Spain Fund, Inc. ..................... 229,100
26,000 Swiss Helvetia Fund................... 666,250
17,500 Taiwan Fund, Inc. .................... 441,875
17,500 Templeton China World Fund............ 243,906
35,300 Templeton Dragon Fund, Inc. .......... 573,625
9,800 Templeton Vietnam Opportunity Fund.... 121,888
-----------
6,254,912
-----------
HOMEBUILDING -- 0.2%
26,900 Kaufman & Broad Home Corporation...... 472,431
-----------
HOTELS/RESORTS -- 0.1%
11,300 Marcus Corporation.................... 289,562
-----------
INSURANCE -- 0.5%
8,700 Lincoln National Corporation.......... 560,062
7,500 Orion Capital Corporation............. 553,125
5,500 Selective Insurance Group, Inc. ...... 266,406
-----------
1,379,593
-----------
IRON/STEEL -- 0.1%
18,000 Birmingham Steel Corporation.......... 279,000
-----------
LEISURE, SPORTING & RECREATION -- 0.4%
30,300 Brunswick Corporation................. 946,875
-----------
MARINE TRANSPORTATION -- 0.1%
7,700 Sea Containers, Ltd., Class A......... 174,212
-----------
METAL MINING -- 2.6%
34,000 Asarco, Inc. ......................... 1,041,250
47,500 British Steel PLC, ADR................ 1,199,375
3,900 Cleveland-Cliffs, Inc. ............... 158,925
19,200 Cyprus Amax Minerals Company.......... 470,400
30,000 Oregon Steel Mills, Inc. ............. 598,125
10,700 Phelps Dodge Corporation.............. 911,506
74,800 USX-US Steel Group, Inc. ............. 2,622,675
-----------
7,002,256
-----------
</TABLE>
See Notes to Financial Statements.
65
<PAGE> 68
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
OIL AND GAS EXTRACTION -- 0.8%
73,300 Y.P.F. Sociedad Anonima, ADR.......... $ 2,253,975
-----------
PAPER AND FOREST PRODUCTS -- 1.4%
22,600 Bowater Inc. ......................... 1,045,250
11,500 International Paper Company........... 558,469
40,400 James River Corporation of Virginia... 1,494,800
8,500 Pope & Talbot, Inc. .................. 139,719
16,800 Westvaco Corporation.................. 528,150
-----------
3,766,388
-----------
PETROLEUM -- 5.9%
13,000 Ashland Inc. ......................... 602,875
11,600 Elf Aquitaine, ADR.................... 631,475
14,800 Helmerich & Payne Inc. ............... 852,850
21,700 Kerr-Mcgee Corporation................ 1,375,238
24,200 Murphy Oil Corporation................ 1,179,750
66,700 Occidental Petroleum Corporation...... 1,671,669
11,500 Pennzoil Company...................... 882,625
19,500 Repsol S.A., ADR...................... 827,531
40,800 Royal Dutch Petroleum Company, ADR.... 2,218,500
59,400 Sun Company, Inc. .................... 1,841,400
90,700 USX-Marathon Group.................... 2,618,962
28,200 Valero Energy Corporation............. 1,022,250
-----------
15,725,125
-----------
PRODUCER/MANUFACTURING -- 1.3%
8,400 Dexter Corporation.................... 268,800
28,200 Herman Miller, Inc. .................. 1,015,200
18,200 Johnson Controls Inc. ................ 747,338
26,400 Timken Company........................ 938,850
11,000 TRW Inc. ............................. 624,938
-----------
3,595,126
-----------
PUBLISHING -- 0.2%
13,700 American Greetings Corporation........ 508,613
-----------
RETAIL, TRADE AND SERVICES -- 1.9%
21,800 American Stores Company............... 1,076,375
15,000 Brown Group, Inc. .................... 280,312
9,500 Dayton Hudson Corporation............. 505,281
36,300 Heilig-Meyers Company................. 712,388
10,600 Mercantile Stores Company, Inc. ...... 667,138
25,600 Ross Stores Inc. ..................... 836,800
9,900 Shopko Stores, Inc. .................. 252,450
26,100 Supervalu, Inc. ...................... 900,450
-----------
5,231,194
-----------
TECHNOLOGY -- 2.9%
7,600 Applied Materials Inc.+............... 538,175
13,600 Dell Computer Corporation+............ 1,597,150
21,100 Digital Equipment Corporation+........ 747,731
21,600 Harris Corporation.................... 1,814,400
8,400 Intel Corporation..................... 1,191,225
14,400 Microsoft Corporation+ ............... 1,819,800
-----------
7,708,481
-----------
TELECOMMUNICATIONS -- 1.7%
26,400 BCE, Inc. ............................ 739,200
11,200 Telefonica de Espana, ADR............. 966,000
57,800 Telefonos de Mexico S.A., ADR......... 2,759,950
-----------
4,465,150
-----------
TOBACCO -- 0.8%
67,400 RJR Nabisco Holdings Corporation...... $ 2,224,200
-----------
TRANSPORTATION -- 1.4%
3,300 British Airways PLC, ADR.............. 379,294
52,600 Canadian Pacific, Ltd. ............... 1,495,812
44,900 CNF Transportation Inc. .............. 1,448,025
1,000 CSX Corporation....................... 55,500
13,600 KLM Royal Dutch Air Lines NV ......... 419,900
-----------
3,798,531
-----------
UTILITY -- 5.3%
13,700 American Electric Power Company....... 575,400
14,900 Baltimore Gas & Electric Company...... 397,644
18,000 CMS Energy Corporation................ 634,500
23,800 DQE Inc. ............................. 672,350
10,600 DTE Energy Company.................... 292,825
58,200 Edison International.................. 1,447,725
38,200 Entergy Corporation................... 1,045,725
32,100 GPU, Inc. ............................ 1,151,587
24,200 Illinova Corporation.................. 532,400
12,100 Montana Power Company................. 280,569
27,000 New York State Electric & Gas
Company............................. 563,625
17,500 Ohio Edison Company................... 381,719
33,200 PacifiCorp............................ 730,400
28,200 PG&E Corporation...................... 683,850
32,000 Pinnacle West Capital Corporation..... 962,000
19,300 PP&L Resources, Inc. ................. 384,794
18,900 Public Service Company of New
Mexico.............................. 337,837
47,600 Public Service Enterprise Group,
Inc. ............................... 1,190,000
15,900 Questar Corporation................... 641,962
5,900 Sierra Pacific Resources.............. 188,800
32,800 TransCanada Pipeline Ltd. ............ 660,100
4,500 United Illuminating Company........... 138,937
3,300 UtiliCorp United, Inc. ............... 96,113
11,600 Western Resources, Inc................ 376,275
-----------
14,367,137
-----------
Total Common Stocks
(Cost $91,452,308).................. 111,591,073
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 44.6%
U.S. TREASURY BOND -- 4.3%
$11,100,000 7.250% due 08/15/2022................ 11,586,513
-----------
U.S. TREASURY NOTES -- 40.3%
31,000,000 6.250% due 08/31/2000................ 30,996,590
7,150,000 5.625% due 11/30/2000................ 7,001,351
6,000,000 10.750% due 05/15/2003............... 7,245,959
13,500,000 7.500% due 02/15/2005................ 14,282,865
3,100,000 6.500% due 05/15/2005................ 3,094,017
17,600,000 6.875% due 05/15/2006................ 17,966,254
27,800,000 6.500% due 10/15/2006................ 27,681,569
-----------
108,268,605
-----------
Total U.S. Treasury Obligations
(Cost $120,072,485)................ 119,855,118
-----------
</TABLE>
See Notes to Financial Statements.
66
<PAGE> 69
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------------ -----------
<C> <S> <C>
COMMERCIAL PAPER -- 14.5%
$10,400,000 Gannett Company, 5.500%++ due
07/21/1997......................... $10,368,222
11,300,000 Goldman Sachs Group L.P., 5.520%++
due 07/11/1997..................... 11,282,673
7,200,000 Merrill Lynch & Company Inc.,
6.200%++ due 07/01/1997............ 7,200,000
10,000,000 Xerox Credit Corporation, 5.500%++
due 07/08/1997..................... 9,989,306
-----------
Total Commercial Paper (Cost
$38,840,201)....................... 38,840,201
-----------
TOTAL INVESTMENTS (COST $250,364,994*)...... 100.6% $270,286,392
OTHER ASSETS AND LIABILITIES (NET).......... (0.6) (1,677,447)
------ -------------
NET ASSETS.................................. 100.0% $268,608,945
====== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
67
<PAGE> 70
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 50.5%
BANKS -- 0.1%
15 Bank International Settlements
America+............................ $ 105,258
-----------
BUILDING/CONSTRUCTION -- 0.5%
65,000 Johns Manville Corporation............ 767,812
-----------
BUSINESS SERVICES -- 1.2%
122,000 Wheelabrator Technologies Inc......... 1,883,375
-----------
CONSUMER DURABLES -- 2.1%
30,000 Corning Inc. ......................... 1,668,750
27,000 Polaroid Corporation.................. 1,498,500
-----------
3,167,250
-----------
CONSUMER PRODUCTS -- 1.7%
10,000 Cross (A.T.) Company, Class A......... 127,500
17,500 Hanson PLC, ADR....................... 437,500
46,000 Philip Morris Companies Inc. ......... 2,041,250
-----------
2,606,250
-----------
ELECTRIC UTILITIES -- 7.0%
540,000 Centerior Energy Corporation.......... 6,041,250
65,000 Ohio Edison Company................... 1,417,813
145,600 Unicom Corporation.................... 3,239,600
-----------
10,698,663
-----------
ELECTRICAL EQUIPMENT -- 0.2%
11,000 Exide Corporation..................... 241,313
-----------
ENERGY AND UTILITIES -- 0.6%
22,500 Energy Group PLC, ADR................. 953,437
-----------
EXPLORATION AND PRODUCTION -- 0.5%
37,000 Mitchell Energy & Development
Corporation, Class B................ 790,875
-----------
FINANCIAL SERVICES -- 2.6%
16,500 American Express Company.............. 1,229,250
22,000 Federal National Mortgage
Association......................... 959,750
10,000 Fund American Enterprise Holdings..... 1,050,000
21,000 Zurich Reinsurance Centre Holdings
Inc. ............................... 829,500
-----------
4,068,500
-----------
FOOD-PROCESSING -- 0.2%
10,000 McCormick & Company, Inc.............. 252,500
-----------
FOREST PRODUCTS AND PAPER -- 1.4%
10,000 Deltic Timber Corporation............. 293,125
16,000 ECC Group+............................ 55,022
35,000 Weyerhaeuser Company.................. 1,820,000
-----------
2,168,147
-----------
GENERAL MERCHANDISER -- 0.5%
27,000 Hills Stores Company+................. 92,813
18,000 Wal-Mart Stores, Inc. ................ 608,625
-----------
701,438
-----------
HOSPITAL MANAGEMENT -- 0.1%
4,250 Quest Diagnostic Incorporated+........ 87,391
-----------
INFORMATION PROCESSING -- 0.6%
11,000 International Business Machines
Corporation......................... 992,063
-----------
INSURANCE -- 4.2%
15,000 Harleysville Group, Inc. ............ 568,125
42,000 Loews Corporation..................... 4,205,250
6,400 Risk Capital Holdings, Inc. +......... 134,400
18,000 Unitrin Inc. ........................ 1,098,000
41,000 Willis Corroon Group PLC, ADR......... 458,688
-----------
6,464,463
-----------
LEISURE ENTERTAINMENT -- 0.8%
11,500 HFS, Inc.+............................ 667,000
10,000 Readers Digest Association, Inc. ,
Class A............................. 286,875
10,000 Readers Digest Association, Inc. ,
Class B............................. 276,875
-----------
1,230,750
-----------
MEDIA -- COMMUNICATIONS -- 6.6%
40,000 Chris-Craft Industries Inc. ......... $ 1,930,000
30,000 Meredith Corporation.................. 870,000
85,000 New York Times Company, Class A....... 4,207,500
8,000 Washington Post Company, Class B...... 3,184,000
-----------
10,191,500
-----------
METALS -- 0.0%#
11,500 Hecla Mining Company+................. 61,813
-----------
MINING -- 3.3%
50,000 Homestake Mining Company.............. 653,125
450,000 Lonrho Ltd. .......................... 955,466
82,750 Newmont Mining Corporation............ 3,227,250
29,800 Prime Resources Group, Inc. ......... 215,793
-----------
5,051,634
-----------
PAPER AND ALLIED PRODUCTS -- 0.3%
10,000 International Paper Company........... 485,625
-----------
PETROLEUM -- DOMESTIC -- 7.0%
78,000 Amerada Hess Corporation.............. 4,333,875
24,000 Atlantic Richfield Company............ 1,692,000
5,500 Kerr-McGee Corporation................ 348,563
44,000 Murphy Oil Corporation................ 2,145,000
6,000 Sun Company Inc. .................... 186,000
95,000 Union Texas Petroleum Holdings
Inc. .............................. 1,989,063
-----------
10,694,501
-----------
PETROLEUM -- INTERNATIONAL -- 1.4%
20,000 Texaco Inc. ......................... 2,175,000
-----------
PHARMACEUTICALS -- 3.8%
85,000 Genentech Inc. +...................... 5,009,687
4,400 Perrigo Company+...................... 55,000
16,000 Schering-Plough Corporation........... 766,000
-----------
5,830,687
-----------
SPECIALIZED COMPUTER -- 0.0%#
4,000 Silicon Graphics, Inc. +.............. 60,000
-----------
SPECIALTY CHEMICALS -- 1.5%
39,000 Great Lakes Chemical Corporation...... 2,042,625
10,000 Millennium Chemicals Inc. ............ 227,500
-----------
2,270,125
-----------
SPECIALTY MERCHANDISERS -- 1.3%
31,500 Limited, Inc. ....................... 637,875
360,000 Petrie Stores Corporation+............ 1,125,000
7,500 Toys R Us Inc. +...................... 262,500
-----------
2,025,375
-----------
TRANSPORTATION SERVICES -- 1.0%
40,000 Overseas Shipholding Group Inc. ..... 785,000
24,000 Ryder System Inc. ................... 792,000
-----------
1,577,000
-----------
Total Common Stocks
(Cost $59,650,011).................. 77,602,745
-----------
PREFERRED STOCKS -- 4.7%
ELECTRIC UTILITIES -- 2.7%
32,000 Cleveland Electric Illuminating
Company, Prfd., Series L............ 2,828,000
150 Cleveland Electric Illuminating
Company, Prfd., Series R............ 156,188
</TABLE>
See Notes to Financial Statements.
68
<PAGE> 71
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
PREFERRED STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- (CONTINUED)
350 Cleveland Electric Illuminating
Company, Prfd., Series S............ $ 367,938
9,648 Entergy Gulf States Utilities Inc.,
Prfd., Series B..................... 467,928
3,000 Niagara Mohawk Power Corporation,
Prfd., Series B..................... 70,500
10,000 Niagara Mohawk Power Corporation
Prfd., Series C..................... 223,750
-----------
4,114,304
-----------
FINANCIAL -- 1.3%
40,000 Kemper Corporation, Series E, Conv.
Prfd.**............................. 2,080,000
-----------
PAPER AND ALLIED PRODUCTS -- 0.1%
4,000 International Paper Company, Conv.
Prfd. .............................. 215,344
-----------
REAL ESTATE -- 0.6%
18,000 Rouse Company, Class B, Conv.
Prfd. .............................. 868,500
-----------
Total Preferred Stocks
(Cost $6,196,407)................... 7,278,148
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
CONVERTIBLE BONDS AND NOTES -- 25.9%
AUTOMOBILE PARTS -- 0.4%
$1,124,000 Pep Boys -- Manny, Moe & Jack, Conv.,
Zero coupon due 09/20/2011.......... 636,465
-----------
BROADCAST, RADIO AND TV -- 1.1%
1,575,000 Comcast Corporation, Conv., 3.375% due
09/09/2005.......................... 1,639,969
-----------
COMMERCIAL SERVICES -- 0.1%
100,000 Ogden Corporation, Conv., 5.750% due
10/20/2002.......................... 94,875
-----------
COMPUTER SERVICE AND SOFTWARE -- 2.8%
7,050,000 Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012.......... 4,326,937
-----------
ELECTRIC UTILITIES -- 0.5%
800,000 Potomac Electrical Power Company,
Conv., 5.000% due 09/01/2002........ 739,000
-----------
FINANCIAL SERVICES -- 1.0%
780,000 Deutsche Bank Financial, Inc., Zero
coupon due 02/12/2017***............ 357,825
575,000 Lonrho PLC, Conv., 6.000% due
02/27/2004.......................... 897,701
150,000 Sandoz Capital BVI, Ltd., Conv.,
2.000% due 10/06/2002............... 228,000
150,000 UBS Finance (Delaware), Inc., Conv.,
2.000% due 12/15/2000............... 144,798
-----------
1,628,324
-----------
GAS TRANSMISSION -- 1.1%
1,700,000 ENSERCH Corporation, Conv., 6.375% due
04/01/2002.......................... 1,700,000
-----------
HOTELS/MOTELS -- 0.9%
2,200,000 Marriott International, Inc., Conv.,
Zero coupon due 03/25/2011.......... 1,355,750
-----------
INDUSTRIAL -- 9.6%
2,100,000 Alza Corporation, Zero coupon due
07/14/2014.......................... 937,125
Grand Metropolitan PLC, Conv.:
300,000 6.500% due 01/31/2000***.............. 417,750
1,100,000 6.500% due 01/31/2000................. 1,531,750
550,000 Peninsular & Oriental, Conv., 7.250%
due 05/19/2003...................... 975,450
5,500,000 Roche Holdings Inc., Conv., Zero
coupon due 05/06/2012***............ 2,378,750
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
INDUSTRIAL -- (CONTINUED)
$1,550,000 Silicon Graphics, Inc., Conv., Zero
Coupon due 11/02/2013***............ $ 755,625
Time Warner Inc., Conv.:
6,600,000 Zero coupon due 12/17/2012............ 2,565,750
5,500,000 Zero coupon due 06/22/2013............ 2,571,250
2,750,000 WMX Technologies Inc., Conv., 2.000%
due 01/24/2005...................... 2,571,250
-----------
14,704,700
-----------
INSURANCE -- 1.3%
1,600,000 USF & G Corporation, Conv., Zero
coupon due 03/03/2009............... 1,148,000
900,000 Zurich Insurance, Conv., 1.000% due
04/15/2003.......................... 866,250
-----------
2,014,250
-----------
LEISURE -- 0.4%
650,000 Outboard Marine Corporation, Conv.,
7.000% due 07/01/2002............... 646,750
-----------
MINING -- 1.1%
1,700,000 Homestake Mining Company, Conv.,
5.500% due 06/23/2000**............. 1,642,625
-----------
PETROLEUM -- 0.1%
104,000 Shell Oil Company, Conv., 7.250% due
02/15/2002.......................... 104,000
-----------
PHARMACEUTICALS -- 0.5%
600,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004............... 519,000
250,000 Merck & Co., Inc., 5.760% due
05/03/2037.......................... 250,937
-----------
769,937
-----------
REAL ESTATE -- 1.5%
2,250,000 Rouse Company, Conv., 5.750% due
07/23/2002.......................... 2,345,625
-----------
RETAIL -- SPECIAL LINE -- 0.8%
Office Depot Inc., Conv.:
300,000 Zero coupon due 12/11/2007............ 201,750
1,700,000 Zero coupon due 11/01/2008............ 1,039,125
-----------
1,240,875
-----------
TELECOMMUNICATIONS -- 0.8%
3,700,000 U.S. Cellular Corporation, Conv., Zero
coupon due 06/15/2015............... 1,295,000
-----------
UTILITY -- TELEPHONE -- 1.9%
7,800,000 U.S. West Inc., Conv., Zero coupon due
06/25/2011.......................... 2,964,000
-----------
Total Convertible Bonds and Notes
(Cost $36,920,825).................. 39,849,082
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--3.0%
1,000,000 Federal Home Loan Bank, 7.190% due
04/27/2001.......................... 1,022,550
3,600,000 Tennessee Valley Authority Power,
5.980% due 04/01/2036............... 3,609,000
-----------
Total U.S. Government Agency
Obligations (Cost $4,622,501)....... 4,631,550
-----------
U.S. TREASURY OBLIGATIONS -- 5.3%
U.S. TREASURY NOTES
2,000,000 8.500% due 07/15/1997................. 2,002,200
1,000,000 5.750% due 10/31/1997................. 1,000,980
4,000,000 5.500% due 02/28/1999................. 3,967,360
500,000 6.125% due 07/31/2000................. 498,240
600,000 6.250% due 04/30/2001................. 598,524
-----------
Total U.S. Treasury Obligations (Cost
$8,074,335)......................... 8,067,304
-----------
</TABLE>
See Notes to Financial Statements.
69
<PAGE> 72
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMERCIAL PAPER -- 9.3%
$3,514,000 Becton Dickinson & Company, 5.530%++
due 07/08/1997...................... $ 3,510,221
177,000 Ciesco L.P., 6.200%++ due
07/01/1997.......................... 177,000
159,000 FMC, 5.500%++ due 07/18/1997.......... 158,587
731,000 KFW International Finance, 5.530%++
due 07/22/1997...................... 728,642
1,276,000 Met Life Funding, 5.500%++ due
07/08/1997.......................... 1,274,635
1,290,000 PACCAR Financial, 5.500%++ due
07/08/1997 ......................... 1,288,621
5,000,000 Pitney Bowes Credit Corporation,
5.530%++ due 07/09/1997............. 4,993,867
167,000 Preferred Receivables Funding,
5.570%++ due 07/02/1997............. 166,974
1,948,000 Southwestern Bell Telephone Company,
5.520%++ due 08/29/1997............. 1,930,377
-----------
Total Commercial Paper (Cost
$14,228,924)........................ 14,228,924
-----------
NUMBER OF
CONTRACTS
- -----------
EXPIRATION STRIKE
DATE PRICE
----------- ------
PUT STOCK OPTIONS PURCHASED -- 0.3%
40 AUD Lyons............. 08/16/1997 $ 50 13,750
70 Automatic Data
Processing Inc.,
Class B............. 11/22/1997 50 30,625
15 Chubb Capital 07/19/1997
Corporation, Class
B................... 55 375
140 HFS Inc., Class B..... 07/19/1997 60 30,625
45 HFS Inc., Class B..... 10/17/1997 60 23,062
40 HFS Inc., Class B..... 10/18/1997 70 46,750
40 International Business
Machines
Corporation, Class
B................... 01/17/1998 95 37,500
30 International Business
Machines
Corporation, Class
B................... 01/17/1998 100 34,500
40 International Business
Machines
Corporation, Class
B................... 07/19/1997 80 750
40 International Business
Machines
Corporation, Class
B................... 10/18/1997 88 15,000
20 International Business Machines
Corporation, Class
B................... 10 78 2,625
<CAPTION>
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ------ ------------
<C> <S> <C>
35 Limited, Inc. ........ 11/22/1997 $ 23 $ 9,844
40 Limited, Inc., Class
B................... 08/16/1997 20 2,750
40 Limited, Inc., Class
B................... 08/16/1997 23 9,750
40 Microsoft Corporation,
Class B............. 07/19/1997 85 250
80 Schering-Plough
Corporation......... 08/16/1997 43 2,000
80 Schering-Plough
Corporation......... 11/22/1997 45 14,000
40 Schering-Plough
Corporation......... 11/22/1997 50 15,500
40 Silicon Graphics,
Inc., Class B....... 08/16/1997 30 59,750
40 Silicon Graphics,
Inc., Class B....... 11/22/1997 23 30,250
40 Toys R Us Inc., Class
B................... 09/20/1997 30 2,000
35 Toys R Us Inc., Class
B................... 12/20/1997 35 8,750
35 Wal-Mart Stores Inc.,
Class B............. 12/20/1997 33 5,031
70 Wal-Mart Stores Inc.,
Class B............. 09/20/1997 25 875
40 Wal-Mart Stores Inc.,
Class B............. 12/20/1997 35 10,250
------------
Total Put Stock
Options Purchased
(Cost $702,014)..... 406,562
------------
TOTAL INVESTMENTS (COST $130,395,017*).... 99.0 % 152,064,315
1,585,089
OTHER ASSETS AND LIABILITIES (NET)........ 1.0
------ ------------
$153,649,404
NET ASSETS................................ 100.0 %
===== ============
</TABLE>
- ----------------------
* 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 represents less than 0.1%.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
70
<PAGE> 73
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
ASSET-BACKED SECURITY -- 1.9% (Cost $1,500,877)
$1,500,000 Standard Credit Card Trust I, Series
1992-3, Class A, 6.113%+++ due
10/15/1998.......................... $ 1,499,933
-----------
CORPORATE DEBT SECURITIES -- 35.4%
AIRLINES -- 1.8%
1,330,000 AMR Corporation, 9.500% due
05/15/2001.......................... 1,444,712
-----------
BANKS -- 9.9%
2,500,000 Chase Capital II, 6.359%+++ due
02/01/2027.......................... 2,437,575
1,400,000 Fleet Financial Group Inc., 7.625% due
12/01/1999.......................... 1,435,000
3,000,000 Mercantile Bancorp, 6.800% due
06/15/2001.......................... 3,003,750
1,000,000 Northern Trust Capital, 6.336%+++ due
01/15/2027.......................... 985,560
-----------
7,861,885
-----------
BROKERAGE -- 4.3%
1,320,000 Paine Webber Group Inc., 8.250% due
05/01/2002.......................... 1,384,350
2,000,000 Salomon Inc., 6.700% due 07/05/2000... 2,000,000
-----------
3,384,350
-----------
FINANCIAL SERVICES -- 5.9%
530,000 First Fidelity Bancorp, 9.625% due
08/15/1999.......................... 563,125
1,245,000 Ford Motor Credit Company, 6.250% due
11/08/2000.......................... 1,230,994
1,400,000 Great Western Financial Corporation,
6.375% due 07/01/2000............... 1,387,750
490,000 KFW International Finance Inc., 9.125%
due 05/15/2001...................... 531,650
1,000,000 MBNA Global Capital Securities,
6.659%+++ due 02/01/2027............ 988,640
-----------
4,702,159
-----------
INDUSTRIAL -- 4.1%
2,000,000 Boise Cascade Corporation, 9.850% due
06/15/2002.......................... 2,232,500
1,000,000 Ingersoll-Rand Company, MTN, 6.540%
due 08/24/1998...................... 1,003,150
-----------
3,235,650
-----------
PETROLEUM -- 2.3%
525,000 Burlington Resources, Inc., 7.150% due
05/01/1999.......................... 532,219
1,250,000 Sun Company Inc., 7.950% due
12/15/2001.......................... 1,293,750
-----------
1,825,969
-----------
PUBLISHING -- 1.4%
1,000,000 News America Holdings Inc., 8.625% due
02/01/2003.......................... 1,078,750
-----------
RETAIL/APPAREL -- 2.0%
1,000,000 Limited Inc., 9.125% due 02/01/2001... 1,062,500
500,000 Penney J.C., & Company, 6.950% due
04/01/2000.......................... 505,625
-----------
1,568,125
-----------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
UTILITY/ELECTRIC -- 3.7%
$1,000,000 Great Lakes Power Inc., 8.900% due
12/01/1999.......................... $ 1,047,500
850,000 Southern California Edison Company,
6.500% due 06/01/2001............... 843,625
1,000,000 Utilicorp United Inc., 6.000% due
04/01/1998.......................... 998,750
-----------
2,889,875
-----------
Total Corporate Debt Securities (Cost
$28,161,993)........................ 27,991,475
-----------
FOREIGN BONDS -- U.S. DOLLAR DENOMINATED -- 3.1%
GOVERNMENT -- 1.3%
1,000,000 Republic of Columbia, 8.750% due
10/06/1999.......................... 1,038,750
-----------
PAPER AND FOREST PRODUCTS -- 1.4%
1,060,000 Carter Holt Harvey Ltd., 7.625% due
04/15/2002.......................... 1,087,825
-----------
WASTE MANAGEMENT -- 0.4%
310,000 Laidlaw Inc., 7.700% due 08/15/2002... 318,912
-----------
Total Foreign Bonds -- U.S. Dollar
Denominated (Cost $2,473,696)....... 2,445,487
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 12.8%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.1%
FHLMC:
850,000 6.930% due 09/05/2000................. 850,621
10,807 Pool #350042, 7.250%+++ due
01/01/2017.......................... 11,036
-----------
861,657
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 11.2%
FNMA:
2,000,000 6.300% due 12/03/2001................. 1,978,660
9,671 Pool #044026, 8.500% due
08/01/2006.......................... 10,016
13,348 Pool #048832, 10.000% due
06/01/2017.......................... 14,562
128,710 Pool #070355, 8.500% due
03/01/2004.......................... 133,295
11,717 Pool #111311, 8.500% due
12/01/1997.......................... 12,050
63,802 Pool #122591, 8.500% due
06/01/1998.......................... 65,617
199,632 Pool #127336, 8.500% due
08/01/2006.......................... 206,744
455,706 Pool #250487, 6.000% due
02/01/2003.......................... 442,747
840,876 Pool #250531, 6.000% due
03/01/2003.......................... 816,964
2,457,822 Pool #303630, 6.000% due
12/01/2002.......................... 2,387,928
402,812 Pool #335686, 6.000% due
01/01/2003.......................... 391,357
1,129,484 Pool #342408, 6.500% due
04/01/2003.......................... 1,116,424
499,375 Pool #342647, 6.500% due
05/01/2003.......................... 493,601
499,299 Pool #346740, 6.500% due
05/01/2003.......................... 493,526
</TABLE>
See Notes to Financial Statements.
71
<PAGE> 74
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- (CONTINUED)
$251,261 Pool #347602, 6.500% due 05/01/2003... $ 248,356
66,511 Series #1991-121, Class F, 6.020%+++
due 09/25/1998...................... 66,530
-----------
8,878,377
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.5%
GNMA:
5,244 Pool #147899, 10.000% due
02/15/2016.......................... 5,752
57,073 Pool #155224, 10.000% due
03/15/2016.......................... 62,602
8,280 Pool #161670, 9.500% due
09/15/2016.......................... 8,935
24,058 Pool #284666, 9.500% due
03/15/2020.......................... 25,960
25,126 Pool #286024, 10.000% due
04/15/2020.......................... 27,560
215,671 Pool #308911, 9.500% due
07/15/2021.......................... 232,722
-----------
363,531
-----------
Total U.S. Government Agency
Obligations (Cost $10,093,708).... 10,103,565
-----------
US TREASURY OBLIGATIONS -- 36.4%
U.S. TREASURY BILL -- 7.3%
6,100,000 5.230%++ due 05/28/1998............... 5,799,032
-----------
U.S. TREASURY NOTES -- 29.1%
$7,870,000 6.250% due 06/30/1998................. $ 7,908,799
10,000,000 6.625% due 06/30/2001................. 10,098,999
5,000,000 6.625% due 04/30/2002................. 5,044,400
-----------
23,052,198
-----------
Total U.S. Treasury Obligations (Cost
$28,740,171)........................ 28,851,230
-----------
COMMERCIAL PAPER -- 7.2%
2,851,000 du Pont (E.I.) de Nemours & Company,
5.802%++ due 07/02/1997............. 2,850,541
2,812,000 Nestle Capital Corporation, 5.473%++
due 07/01/1997...................... 2,812,000
-----------
Total Commercial Paper (Cost
$5,662,541)......................... 5,662,541
-----------
TOTAL INVESTMENTS (COST $76,632,986*).......... 96.8% 76,554,231
OTHER ASSETS AND LIABILITIES (NET)............. 3.2 2,553,621
----- -----------
NET ASSETS..................................... 100.0% $79,107,852
===== ===========
</TABLE>
- ---------------------
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase.
+++ Floating rate security. Rate shown is rate in effect at 06/30/1997.
GLOSSARY OF TERMS
<TABLE>
<S> <C>
MTN -- Medium Term Note
</TABLE>
See Notes to Financial Statements.
72
<PAGE> 75
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIQUID ASSET SERIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMERCIAL PAPER -- 97.9%
AUTOMOTIVE -- 6.7%
$1,100,000 Daimler-Benz Aktieng,
5.580%+ due 07/21/1997............... $ 1,096,792
Ford Motor Company:
1,311,000 5.580%+ due 07/23/1997................. 1,306,553
825,000 5.600%+ due 10/07/1997................. 813,075
------------
3,216,420
------------
BEVERAGES -- 6.5%
1,000,000 Coca-Cola Company,
5.600%+ due 09/11/1997............... 988,980
PepsiCo Inc:
930,000 5.610%+ due 07/02/1997................. 929,859
1,199,000 5.610%+ due 07/09/1997................. 1,197,535
------------
3,116,374
------------
CHEMICALS -- 7.1%
du Pont (E.I.) de Nemours & Company:
1,246,000 5.600%+ due 10/02/1997................. 1,227,910
1,201,000 5.600%+ due 10/15/1997................. 1,181,091
1,008,000 Monsanto Company,
5.580%+ due 08/07/1997............... 1,002,188
------------
3,411,189
------------
COMMERCIAL SERVICES -- 4.5%
2,145,000 PHH Corporation,
5.610%+ due 7/08/1997................ 2,142,673
------------
COMPUTERS -- 4.3%
2,093,000 International Business Machines
Corporation, 5.590%+ due
08/19/1997........................... 2,077,246
------------
ELECTRONICS -- 2.2%
1,052,000 Motorola Credit,
5.600%+ due 09/04/1997............... 1,041,553
------------
FINANCIAL SERVICES -- 13.9%
1,448,000 Dean Witter, Discover & Company,
5.610%+ due 07/16/1997............... 1,444,615
Eksport Finance:
600,000 5.610%+ due 07/09/1997................. 599,285
1,222,000 5.580%+ due 07/24/1997................. 1,217,667
1,932,000 Pitney Bowes Credit Corporation,
5.590%+ due 08/25/1997............... 1,915,471
1,500,000 Toyota Motor Credit Corporation,
5.690%+ due 07/01/1997............... 1,500,000
------------
6,677,038
------------
FOODS -- 12.5%
2,229,000 Archer-Daniels-Midland Company,
5.580%+ due 08/11/1997............... 2,214,962
2,000,000 Hersey Foods,
5.580%+ due 08/12/1997............... 1,987,143
1,799,000 Nestle Capital Corporation,
5.610%+ due 07/07/1997............... 1,797,366
------------
5,999,471
------------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
FOREIGN BANKS -- 4.3%
$2,096,000 Toronto Dominion,
5.610%+ due 12/23/1997............... $ 2,039,146
------------
FOREIGN GOVERNMENT -- 3.4%
Sweden (Kingdom of):
925,000 5.580%+ due 07/29/1997................. 921,180
700,000 5.590%+ due 08/18/1997................. 695,091
------------
1,616,271
------------
MULTIMEDIA -- 4.3%
Disney (Walt) Company:
1,300,000 5.610%+ due 07/11/1997................. 1,298,028
780,000 5.610%+ due 07/14/1997................. 778,504
------------
2,076,532
------------
OFFICE EQUIPMENT -- 3.9%
1,858,000 Xerox Corporation,
5.610%+ due 07/10/1997............... 1,855,422
------------
PHARMACEUTICALS -- 4.4%
2,130,000 Warner-Lambert Company,
5.580%+ due 08/05/1997............... 2,118,587
------------
SECURITIES BROKERAGE -- 6.1%
2,016,000 Goldman, Sachs & Company,
5.580%+ due 08/04/1997............... 2,005,384
906,000 Merrill Lynch, Pierce, Fenner & Smith
Inc., 5.600%+ due 09/12/1997......... 896,042
------------
2,901,426
------------
TELECOMMUNICATIONS -- 7.5%
AT&T Corporation:
831,000 5.580%+ due 07/22/1997................. 828,450
834,000 5.600%+ due 09/16/1997................. 824,010
1,950,000 Bell Atlantic Corporation,
5.610%+ due 07/03/1997............... 1,949,400
------------
3,601,860
------------
TOBACCO -- 2.7%
1,289,000 Philip Morris Companies Inc,
5.610%+ due 07/08/1997............... 1,287,619
------------
UTILITY -- TELEPHONE -- 3.6%
1,767,000 Ameritech Corporation,
5.600%+ due 10/06/1997............... 1,740,433
------------
Total Commercial Paper (Cost
$46,919,260)......................... 46,919,260
------------
TOTAL INVESTMENTS (COST $46,919,260*)........ 97.9% 46,919,260
OTHER ASSETS AND LIABILITIES (NET)........... 2.1 1,007,854
----- -----------
NET ASSETS................................... 100.0% $47,927,114
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Annualized yield at date of purchase.
See Notes to Financial Statements.
73
<PAGE> 76
- --------------------------------------------------------------------------------
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, 1997
the Trust had sixteen 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"), Managed Global Series ("MG"), Emerging Markets Series ("EM"), Hard
Assets Series ("HA")(formerly Natural Resources Series), 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 HA and MM which are 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"), an indirect subsidiary of Equitable of Iowa Companies
("Equitable of Iowa"). The Trust is also an investment medium for contracts
offered by the Mutual Benefit Life Insurance Company in Rehabilitation and by
the Security Equity Life Insurance Company.
All of the Series commenced operations on January 24, 1989, except for CA which
commenced operations on May 4, 1992, MG which commenced operations on October
21, 1992, RD and EM which commenced operations on October 4, 1993, MM which
commenced operations on November 14, 1994, VE which commenced operations on
January 3, 1995, SE which commenced operations on October 2, 1995 and SC 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 LA), 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
its exposure to the equity, bond, gold and other markets and also to manage
fluctuations in interest and foreign currency rates. Buying futures and forward
foreign exchange contracts, writing puts and buying calls tend to increase a
Series' exposure to the underlying market or currency. Selling futures and
forward foreign exchange contracts, buying puts and writing calls tend to
decrease a Series' exposure to the underlying market or currency. In some
instances, investments in derivative financial instruments may involve, to
varying degrees, elements of market risk and risks in excess of the amount
recognized in the Statement of Assets and Liabilities. Losses may arise under
these contracts due to the existence of an illiquid secondary market for the
contracts, or if the counterparty does not perform under the contract. An
additional primary risk associated with the use of certain of these contracts
may be caused by an imperfect correlation between movements in the price of the
derivative financial instruments and the price of the underlying securities,
indices or currency.
74
<PAGE> 77
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Unaudited) (Continued)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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. MM 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.
Realized and unrealized gains and losses arising from purchased option
transactions are included in the net realized and unrealized gain/(loss) on
securities. The option activity for VE for the six months ended June 30, 1997
was as follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
--------- ---------
<S> <C> <C>
Options outstanding at December 31, 1996.................................................... 450 $ 78,197
Options written during the period........................................................... 5,644 415,304
Options expired during the period........................................................... (5,609) (432,568)
------ --------
Options outstanding at June 30, 1997........................................................ 485 $ 60,933
====== ========
</TABLE>
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, 1997, all futures transactions were
conducted on U.S. exchanges. Contracts open, if any, at June 30, 1997 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, 1997 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.
SECURITIES SOLD SHORT: AG is engaged in selling securities short, which
obligates the Series to replace a security borrowed by purchasing the same
security at the current market value. The Series would incur a loss if the price
of the security increases between the date of the short sale and the date on
which the Series replaces the borrowed security. The Series would realize a gain
if the price of the security declines between those dates.
(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.
75
<PAGE> 78
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Unaudited) (Continued)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
The Trust does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on securities from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain/(loss) from securities.
Reported net realized gains or losses on foreign currency transactions arise
from sales and maturities of short-term securities, sales of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Series' books, and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
appreciation/(depreciation) on other assets and liabilities denominated in
foreign currencies arise from changes in the value of assets and liabilities
other than investments in securities at period end, resulting from changes in
the exchange rate.
(D) REPURCHASE AGREEMENTS: All Series may enter into repurchase agreements in
accordance with guidelines approved by the Board of Trustees of the Trust. Each
Series bears a risk of loss in the event that the other party to a repurchase
agreement defaults on its obligations and the Series is delayed or prevented
from exercising its rights to dispose of the underlying 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 LA is
declared as a dividend daily and paid monthly. For all other Series, net
investment income will be paid annually, except that LMB 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 Equitable
of Iowa, provides all of the Series with advisory and administrative services
under a Management Agreement (the "Agreement"), for which the Manager is
compensated under a different arrangement. Under the Agreement, the Manager has
overall responsibility for engaging Portfolio Managers and for monitoring and
evaluating the management of the assets of each Series by the Portfolio
Managers. Portfolio Managers are compensated by the Manager and not the Trust.
In some cases, Portfolio Managers may be affiliated with the Manager. Portfolio
Managers have full investment discretion and make all determinations with
respect to the investment of a Series' assets and the purchase and sale of
portfolio securities and other investments. Pursuant to this Agreement, the
Manager also is responsible for providing or procuring, at the Manager's
expense, the services reasonably necessary for the ordinary operation of the
Trust including, among other things, custodial, administrative, transfer agency,
portfolio accounting, dividend disbursing, auditing and ordinary legal services.
The Manager does not bear the expense of brokerage fees, taxes, interest, fees
and expenses of the independent trustees, and extraordinary expenses, such as
litigation
76
<PAGE> 79
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Unaudited) (Continued)
THE GCG TRUST
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
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
Dividends Series, Strategic Equity Series, Hard of these Series;
Assets Series, Real Estate Series, Multiple 0.95% on the next $1.250 billion;
Allocation Series and Fully Managed Series 0.90% on the next $1.5 billion; and
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 1.75%
Market Manager Series 1.00%
Managed Global Series 1.25% on the first $500 million in combined
assets
and 1.05% on the amount over $500 million
</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 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:
<TABLE>
<S> <C>
SERIES PORTFOLIO MANAGER
Small Cap Series Fred Alger Management, Inc.
All-Growth Series Pilgrim Baxter & Associates, Ltd.
Capital Appreciation Series Chancellor LGT Asset Management, Inc.
Value Equity Series Eagle Asset Management, Inc.
Rising Dividends Series Kayne, Anderson Investment Management, L.P.
Strategic Equity Series Zweig Advisors Inc.
Managed Global Series Putnam Investment Management, Inc.
Emerging Markets Series Putnam Investment Management, Inc.
Hard Assets Series Van Eck Associates Corporation
Real Estate Series E.I.I. Realty Securities, Inc.
Market Manager Series Equitable Investment Services, Inc.
Multiple Allocation Series Zweig Advisors Inc.
Fully Managed Series T. Rowe Price Associates, Inc.
Limited Maturity Bond Series Equitable Investment Services, Inc.
Liquid Asset Series Equitable Investment Services, Inc.
</TABLE>
During the six months ended June 30, 1997, SC, VE, SE, HA and MA, in the
ordinary course of business, paid commissions of $57,121, $10,419, $1,788, $900
and $14,017, respectively, to certain affiliates of the respective Portfolio
Manager and/or the Manager in connection with the execution of various portfolio
transactions.
Prior to February 3, 1997, the Trust and the Manager employed a different
Portfolio Manager for AG. Prior to March 3, 1997, the Trust and the Manager
employed different Portfolio Managers for MG, EM and MM.
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 and Equitable of Iowa Companies.
77
<PAGE> 80
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Unaudited) (Continued)
THE GCG TRUST
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. Government and short-term investments, for the six months ended June 30,
1997 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Small Cap Series....................................................... $ 35,632,531 $ 24,420,268
All-Growth Series...................................................... 184,635,602 193,778,197
Capital Appreciation Series............................................ 26,021,654 28,627,669
Value Equity Series.................................................... 41,800,961 32,232,298
Rising Dividends Series................................................ 39,331,440 16,847,218
Strategic Equity Series................................................ 21,627,567 16,706,547
Managed Global Series.................................................. 113,609,797 103,205,432
Emerging Markets Series................................................ 56,438,254 61,851,977
Hard Assets Series..................................................... 26,656,069 28,397,684
Real Estate Series..................................................... 16,027,826 5,962,027
Market Manager Series.................................................. -- 393,989
Multiple Allocation Series............................................. 50,542,459 55,051,321
Fully Managed Series................................................... 33,351,413 31,014,130
Limited Maturity Bond Series........................................... 22,216,088 18,867,485
</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, 1997 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- -----------
<S> <C> <C>
Multiple Allocation Series............................................... $70,719,203 $35,725,762
Fully Managed Series..................................................... 599,765 --
Limited Maturity Bond Series............................................. 8,582,500 15,382,116
</TABLE>
At June 30, 1997, aggregate gross unrealized appreciation for all securities in
which there is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost over
value were as follows:
<TABLE>
<CAPTION>
NET TAX
TAX BASIS TAX BASIS BASIS
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ---------- -----------
<S> <C> <C> <C>
Small Cap Series............................................ $ 9,011,096 $ 413,876 $ 8,597,220
All-Growth Series........................................... 8,155,488 2,331,826 5,823,662
Capital Appreciation Series................................. 46,492,097 617,151 45,874,946
Value Equity Series......................................... 9,654,829 412,409 9,242,420
Rising Dividends Series..................................... 56,645,379 11,940 56,633,439
Strategic Equity Series..................................... 4,424,976 317,493 4,107,483
Managed Global Series....................................... 11,802,412 1,825,634 9,976,778
Emerging Markets Series..................................... 6,969,342 1,721,022 5,248,320
Hard Assets Series.......................................... 7,336,099 1,568,943 5,767,156
Real Estate Series.......................................... 13,518,449 64,670 13,453,779
Market Manager Series....................................... 2,239,456 -- 2,239,456
Multiple Allocation Series.................................. 21,397,960 1,476,562 19,921,398
Fully Managed Series........................................ 23,781,902 2,112,604 21,669,298
Limited Maturity Bond Series................................ 199,752 278,507 (78,755)
</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)
commercial paper that are determined to be liquid under procedures adopted by
the Board of Trustees) are valued under methods approved by the Board of
78
<PAGE> 81
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Unaudited) (Continued)
THE GCG TRUST
4. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
Trustees as reflecting fair value which includes obtaining quotes from
independent sources if available. The dates of acquisition and costs of
restricted and illiquid securities held at June 30, 1997 are as follows:
FULLY MANAGED SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
--------------------------------------------------------------------------- ---------- -----------
<S> <C> <C>
Homestake Mining Company, Conv. Bond, 144A, 5.500% due 6/23/2000........... $1,699,977 02/16/1995
Kemper Corporation, Series E, Conv. Prfd. Stock, 144A...................... 1,946,734 02/06/1995
</TABLE>
Total restricted and/or illiquid securities (fair value of $3,722,625)
represented 2.4% of net assets of FM at June 30, 1997.
On June 30, 1997, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
5. CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Series indicated below have capital loss
carryforwards as of December 31, 1996 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED
FUND EXPIRING IN 2001 EXPIRING IN 2002 EXPIRING IN 2003 EXPIRING IN 2004
------------------------------------------ ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Small Cap Series.......................... -- -- -- $ 1,707,414
All Growth Series......................... -- -- -- 5,621,357
Emerging Markets Series................... -- -- $ 12,283,094 --
Limited Maturity Bond Series.............. -- -- -- 385,953
Liquid Asset Series....................... $172 $ 15 -- 1,432
</TABLE>
6. SUBSEQUENT EVENT
On July 7, 1997, Equitable of Iowa and ING Groep, N.V. ("ING") entered into a
definitive merger agreement providing for Equitable of Iowa to become a wholly
owned subsidiary of ING in a transaction expected to occur in the fourth quarter
of this year.
79
<PAGE> 82
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
At a Special Meeting of Shareholders of the Trust held on April 29, 1997 the
following actions were taken:
(1) Hard Assets Series
(a) The Series is permitted to concentrate (i.e. invest more than 25% of its
total assets) in any one of the industries that comprise the "hard assets"
group, including real estate investment trusts was approved by shareholders of
the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
2,164,948 189,988 140,566 2,495,502
</TABLE>
(b) The Series' subclassification from "diversified" to "non-diversified," as
defined by the Investment Company Act of 1940 was approved by shareholders of
the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
2,107,698 237,440 150,364 2,495,502
</TABLE>
(2) All-Growth Series
(a) The new portfolio management agreement with Pilgrim Baxter & Associates,
Ltd. was approved by the shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
5,125,988 170,389 298,617 5,594,994
</TABLE>
(b) The increase in the advisory fee paid to Pilgrim Baxter & Associates, Ltd.
by DSI and not by the Series was approved by shareholders of the Series as
follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
4,394,740 727,558 472,696 5,594,994
</TABLE>
(3) Emerging Markets Series
(a) The new portfolio management agreement with Putnam Investment Management,
Inc. ("Putnam") was approved by the shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
3,638,225 135,527 247,250 4,021,002
</TABLE>
(b) An amendment to the Management Agreement between the Trust and DSI which
would increase the advisory fee paid by the Series to DSI was approved by
shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
2,609,547 1,115,190 296,265 4,021,002
</TABLE>
(c) The increase in the advisory fee paid to Putnam by DSI was approved by
shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
2,642,604 1,093,061 285,337 4,021,002
</TABLE>
(d) The change in the statement of the Series' investment objective from
long-term growth of capital to long-term capital appreciation was approved by
shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
3,503,103 250,762 267,137 4,021,002
</TABLE>
(4) Managed Global Series
(a) The new portfolio management agreement with Putnam Investment Management,
Inc. ("Putnam") was approved by the shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
7,126,330 271,730 454,643 7,852,703
</TABLE>
80
<PAGE> 83
(b) The increase in the advisory fee paid to Putnam by DSI and not the Series
was approved by shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
5,817,359 1,506,455 528,889 7,852,703
</TABLE>
(c) The change in the statement of the Series' investment objective from total
return to capital appreciation was approved by shareholders of the Series as
follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
6,844,646 434,398 573,659 7,852,703
</TABLE>
(4) Market Manager Series
(a) The new portfolio management agreement with Equitable Investment Services,
Inc. was approved by the shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST
OR
FOR WITHHELD ABSTAINED TOTAL
- ---------- --------- --------- ---------
<S> <C> <C> <C>
413,105 3,296 6,019 422,420
</TABLE>
(5) All Series of the Trust
Election of the following individuals to the Board of Trustees of the Trust was
approved by the shareholders of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
------------ ---------- ---------- ------------
<S> <C> <C> <C> <C>
J. Michael Earley......................... 119,454,163 4,853,861 7,172,358 131,480,382
R. Barbara Gitenstein..................... 118,810,703 5,620,137 7,049,542 131,480,382
Stanley B. Seidler........................ 118,862,453 5,431,881 7,186,048 131,480,382
Paul R. Schlaack.......................... 119,203,078 5,089,897 7,187,407 131,480,382
</TABLE>
81
<PAGE> 84
<TABLE>
<S> <C> <C> <C>
-----------------------------
---------------------
GOLDEN AMERICAN LIFE INSURANCE COMPANY BULK RATE
1001 JEFFERSON STREET U.S. POSTAGE
WILMINGTON, DE 19801 PAID
PERMIT NO. 3361
DES MOINES, IA
---------------------
-----------------------------
</TABLE>
