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Golden Select Logo
Annual Report
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THE GCG TRUST
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DECEMBER 31, 1996
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc.
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Table of Contents
THE GCG TRUST
<TABLE>
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PAGE
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<S> <C>
Chairman's Letter........................................................................................ 1
Portfolio Manager Reports................................................................................ 2
Report of Independent Auditors........................................................................... 17
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
Natural Resources 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............................................................................ 44
Value Equity Series.................................................................................... 45
Rising Dividends Series................................................................................ 46
Strategic Equity Series................................................................................ 47
Managed Global Series.................................................................................. 51
Emerging Markets Series................................................................................ 54
Natural Resources Series............................................................................... 57
Real Estate Series..................................................................................... 59
Market Manager Series.................................................................................. 60
Multiple Allocation Series............................................................................. 61
Fully Managed Series................................................................................... 64
Limited Maturity Bond Series........................................................................... 67
Liquid Asset Series.................................................................................... 69
Notes to Financial Statements............................................................................ 70
</TABLE>
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DIRECTED SERVICES, INC.
1001 JEFFERSON STREET, SUITE 400, WILMINGTON, DE 19801 TEL: 302-576-3400
FAX: 302-576-3450
February 18, 1997
Dear Shareholder of The GCG Trust:
We are pleased to present the 1996 Annual Report (the "Report") of The GCG
Trust. We hope that you will find this Report to be a valuable source of
information about your investments. 1996 was another strong year for the Trust
with assets under management increasing 13.9% from $1.08 billion to $1.23
billion.
At the beginning of 1997, the following enhancements were made to The GCG Trust:
- The name of the Natural Resources Series has been changed to the Hard
Assets Series. In addition, the investment policies of this Series have
been changed to permit investments in real estate investment trusts.
- Pilgrim, Baxter & Associates, Ltd. was hired to manage the All-Growth
Series. They assumed management responsibility for this portfolio on
February 3, 1997.
- Putnam Investment Management, Inc. was hired to manage the Emerging
Markets Series and the Managed Global Series. They will assume
management responsibility for these portfolios on March 3, 1997.
- Equitable Investment Services, Inc. was hired to manage the Market
Manager Series. They will assume management responsibility for this
portfolio on March 3, 1997.
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 these portfolios, The GCG Trust or any GoldenSelect products, including
charges and expenses, please consult your prospectus. Read it carefully before
investing or sending money.
Thank you for your continued support of GoldenSelect and The GCG Trust.
Sincerely,
LOGO
Terry L. Kendall
Chairman
The GCG Trust
1
<PAGE> 4
THE GCG TRUST
SMALL CAP SERIES
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The objective of the Small Cap Series is to ----------------------------------
achieve long- term capital appreciation by AGGREGATE TOTAL RETURN
investing primarily in small capitalization FOR PERIOD ENDED DECEMBER 31, 1996
companies. 1/3/1996 (INCEPTION) 20.10%
----------------------------------
During 1996, the total return of the Small Cap [GRAPH]
Series was 20.10%. Over the same period, the
Russell 2000 Growth Index generated a total
return of 11.26%. The Russell 2000 Growth Index Small Cap Series Russell 2000 Growth Index
is designed to track the performance of small
capitalization companies. 10000 10000
11170 10574
1996 was an interesting and turbulent time for 11880 11192
the financial markets. At the beginning of the 12120 11096
year, the economy appeared exceedingly weak. From 12010 11126
mid-March to late October, the popular view was
that the economy was too strong. By the end of TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
the year, the economy was, once again, showing DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
signs of weakness. FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
The economic uncertainty which existed throughout SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
most of the year resulted in defensive PERFORMANCE.
positioning by investors. As a result, there was
a flight to larger, less volatile stocks. The S&P
500 Index enjoyed a very strong year, primarily INDUSTRY BREAKDOWN
driven by a handful of blue-chip stocks that are <C> <C>
noted for stable and predictable earnings growth. Computer Software 14.2%
Medical Supplies 6.9%
Given these conditions, the majority of small cap Retail 6.0%
indices underperformed broad market indices. For Computer and Office Equipment 5.7%
example, the S&P 500 Index, which is comprised Computer Technologies 5.3%
mainly of large-cap stocks, generated a total Communications 5.1%
return of 22.95% more than twice the return of Computer Services 4.8%
the Russell 2000 Growth Index. Bio Technology 4.5%
Other 47.5%
Although the past year was difficult for small
cap growth stocks, the portfolio performed
extremely well relative to its benchmark.
FRED ALGER MANAGEMENT, INC.
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996
<S> <C>
1. Hologic Inc. 2.2%
2. Altera Corporation 2.1%
3. Medic Computer Systems Inc. 2.1%
4. Conmed Corporation 2.0%
5. Lone Star Steakhouse & Saloon 1.7%
</TABLE>
2
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THE GCG TRUST
ALL-GROWTH SERIES
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The objective of the All-Growth Series is capital ----------------------------------
appreciation sought by investing primarily in AVERAGE ANNUAL TOTAL RETURN
securities selected for their long-term growth FOR PERIOD ENDED DECEMBER 31, 1996
prospects on the basis of fundamental research. 1 YEAR (0.57)%
5 YEAR 2.42%
The All-Growth Series had a total return of 1/24/1989 (INCEPTION) 5.49%
(0.57)% during 1996. In contrast, the S&P 500 ----------------------------------
Index generated a total return of 22.95%. [GRAPH]
The portfolio manager began the year very much
committed to gold. This bullishness was based on
what the manager projected would be a long-term All Growth Series S & P 500
imbalance between supply and demand, coupled with 10000 10000
finite production capacity. 10084 10496
Gold and other precious metals had a significant 10623 10859
negative impact on the performance of the Series. 11338 12022
In January, the spot price of gold rose to $415 10720 12270
per ounce, its highest level in several years. 9930 11901
However, gold and other precious metals 10802 12650
experienced a sizable correction during the 9442 10911
second quarter, and prices continued to decline 9933 11889
throughout the year. 11366 13616
In August, the portfolio manager started to scale 10686 13585
back the portfolio's exposure to this sector. 11985 14311
Virtually all of the portfolio's precious metal 13557 15511
holdings were sold by the end of October. 12865 15120
In addition to precious metal stocks, the 12329 15407
portfolio manager reduced the portfolio's 12362 15893
exposure to industrial cyclicals during the year. 13205 16693
After a strong first quarter, these stocks 12902 17422
stagnated. Holdings of steel companies were 13007 17507
sharply reduced. Smaller reductions were made in 14062 17959
the oil services and paper/forest products 14071 18376
industries. 13505 17679
Throughout the year, the portfolio manager 12540 17753
increased the weight of the banking and financial 13201 18621
services sector. Much of the proceeds from the 12554 18618
sale of the portfolio's precious metal stocks was 13497 20431
allocated to this sector. During the fourth 14047 22381
quarter, investments in the healthcare, 15211 24160
technology and aerospace sectors were also 15369 25615
increased. 16261 26989
15558 28201
WARBURG, PINCUS COUNSELLORS, INC. 14666 29073
15281 31496
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
*On July 1, 1994 Warburg, Pincus Counsellors, Inc. became
Portfolio Manager of the Series. Prior to that date the
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 INDUSTRY BREAKDOWN
<S> <C> <C> <C>
1. Honeywell, Inc. 5.0% Industrial Manufacturing and Processing 5.7%
2. Aetna Life & Casualty 3.9% Telecommunications 6.8%
3. BankAmerica Corporation 3.7% Health Care Services 8.2%
4. Chase Manhattan Corporation 3.4% Computer Industry 10.0%
5. Student Loan Marketing Association Aerospace/Defense 11.2%
(Voting) 3.1% Financial Services 18.3%
Banks 19.5%
Other 20.3%
</TABLE>
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<PAGE> 6
THE GCG TRUST
CAPITAL APPRECIATION SERIES
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The objective of the Capital Appreciation Series ----------------------------------
is long-term growth sought by investing primarily AVERAGE ANNUAL TOTAL RETURN
in common and preferred stocks based on the FOR PERIOD ENDED DECEMBER 31, 1996
categories of growth and value components. 1 YEAR 20.26%
The Capital Appreciation Series had a total 5/4/1992 (INCEPTION) 14.12%
return of 20.26% during 1996. The S&P 500 Index ----------------------------------
had a total return of 22.95% over the same period [GRAPH]
of time. Capital Appreciation S&P 500
Equity markets forged ahead in 1996. This is the Series
second year in a row that the market beat even
the most optimistic expectations. Low inflation 10000 10000
and high employment created the foundation for 9911 9900
this strong advance. These economic conditions 10256 10212
increase confidence in the future, which 11087 10726
translates into higher stock multiples. 11661 11194
Large capitalization blue chip issues led the 11419 11249
market, particularly later in the year. Smaller 11903 11539
stocks, as measured by the Russell 2000 Index, 12008 11807
advanced "only" 16.55%. 11569 11359
Across the board, market volatility increased, 11610 11407
notwithstanding large and steady inflows to 11998 11965
equity mutual funds. Because of this volatility, 11817 11963
the portfolio manager made a strategic decision 12661 13128
earlier in the year to essentially balance the 13807 14381
portfolio, with an equal representation of stocks 15026 15524
from the growth and value sectors. Given the 15381 16458
close performance of growth and value stocks 16326 17342
during the year, this decision had minimal impact 16861 18120
on the Series. 17609 18681
The technology, health care and financial 18497 20237
services sectors are key areas of focus in the
Series. Technology stocks include dominant TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
players, such as Intel Corporation, Compaq DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
Computer Corporation and 3Com Corporation. Health FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
care investments include high-quality CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
pharmaceuticals, such as Merck & Company, Inc. SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
and Johnson & Johnson, as well as specialized PERFORMANCE.
medical device companies like Boston Scientific
Corporation and Medtronic Inc. In the financial
services sector, the Series has many bank stocks,
like NationsBank Corporation, Chase Manhattan
Corporation, and BankAmerica Corporation.
The portfolio is underweighted in the energy and
telephone/utilities sectors.
CHANCELLOR LGT ASSET MANAGEMENT, INC.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 INDUSTRY BREAKDOWN
<S> <C> <C> <C>
1. Merck & Company, Inc. 2.7% Pharmaceuticals 12.3%
2. Philip Morris Companies, Inc. 2.5% Information Processing 8.9%
3. Johnson & Johnson 2.4% Banks 8.7%
4. WMX Technologies, Inc. 2.4% Commodities 8.3%
5. Allstate Corporation 2.3% Insurance 4.9%
Aerospace/Defense 6.2%
Retail 5.7%
Other 45.0%
</TABLE>
4
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THE GCG TRUST
VALUE EQUITY SERIES
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<S> <C>
The objective of the Value Equity Series is ----------------------------------
capital appreciation and, secondarily, dividend AVERAGE ANNUAL TOTAL RETURN
income. FOR PERIOD ENDED DECEMBER 31, 1996
The Value Equity Series generated a total return 1 YEAR 10.62%
of 10.62% during 1996. The S&P 500 Index had a 1/3/1995 (INCEPTION) 22.40%
total return of 22.95% over the same period. ----------------------------------
The Series was affected by an overweighting of [GRAPH]
technology stocks during the second quarter. Value Equity Series S&P 500
Although technology stocks were one of the best
performing sectors in 1996, the rigid disk drive 10000 10000
manufacturing industry disappointed investors in 10630 10974
the second quarter. The Series held a significant 11690 12021
position in this area, including Read-Rite 12570 12977
Corporation and Diamond Multimedia Systems. 13521 13758
The Series also held a significant position in 13952 14496
oil stocks, which had a positive effect on 13686 15147
performance. Colder weather, above-average 13863 15615
demand, and tensions in the Middle East led to 14958 16916
sharper-than-expected increases in the price of
oil. The portfolio manager increased exposure to
oil stocks in the second and third quarters of
the year. This positioning paid off, as the oil TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
sector appreciated 11.4% in the fourth quarter of DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
1996. FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
The tobacco industry also had a positive impact CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
on performance during 1996. Uncertainty about SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
litigation had the tobacco industry down until PERFORMANCE.
after the November 5th election. The portfolio
manager increased holdings in this industry
during the third quarter of the year. During the
fourth quarter of 1996, the tobacco industry as a
whole was up 25.5%.
Earlier in the year, stock values dropped for
many companies in the telecommunications sector.
Due to low price/earnings ratios, the portfolio
manager increased the weight of this sector
during the fourth quarter.
The portfolio manager also increased holdings in
the utilities sector during the fourth quarter.
Many electric utilities suffered from
deregulation during 1996, and the portfolio
manager purchased several stocks that he believes
are undervalued.
EAGLE ASSET MANAGEMENT, INC.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 INDUSTRY BREAKDOWN
<S> <C> <C> <C>
1. S&P 500 Depositary Receipt 5.0% Petroleum 12.7%
2. Westinghouse Electric Corporation 4.1% Telecommunications 12.7%
3. Philip Morris Companies, Inc. 3.9% Tobacco 8.5%
4. Telebras, ADR 3.9% Utilities 6.1%
5. Philips Electronics N.V. 3.4% Communication and Information 5.4%
Investment Companies 5.0%
Multi-Industry Companies 4.2%
Other 45.4%
</TABLE>
5
<PAGE> 8
THE GCG TRUST
RISING DIVIDENDS SERIES
<TABLE>
<S> <C>
The objective of the Rising Dividends Series is ----------------------------------
capital appreciation sought by investment AVERAGE ANNUAL TOTAL RETURN
primarily in equity securities of high-quality FOR PERIOD ENDED DECEMBER 31, 1996
companies that meet criteria established by the 1 YEAR 20.65%
portfolio manager. 10/4/1993 (INCEPTION) 16.47%
The total return of the Series for the year ended ----------------------------------
December 31, 1996 was 20.65%. In comparison, the [GRAPH]
total return of the S&P 500 Index was 22.95% Rising Dividends S&P 500
during 1996. Series
The Series is invested in high-quality growth
companies. The underlying companies in the Series 10000 10000
have consistently generated strong growth of 10314 10232
earnings and dividends. 9974 9844
In the three years prior to 1996, the stocks of 10074 9885
lower-quality companies in the S&P 500 Index 10494 10369
provided superior returns to the highest-quality 10375 10367
companies in the index. This reflected a cyclical 11126 11376
recovery in earnings from the last recession and 11664 12462
a decline in interest rates, which most benefited 12517 13453
companies with weaker balance sheets. Beginning 13598 14263
in the fourth quarter of 1995 and continuing into 14446 15028
1996, higher-quality equities outperformed 14958 15702
lower-quality ones. This reflected a rotation 15503 16188
into quality out of concern that profits at 16406 17537
cyclical businesses were nearing a peak.
From a sector standpoint, the greatest TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
contributions to total return were derived from DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
the technology and financial services sectors. FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
Within the technology sector, service companies CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
provided strong returns. In addition, SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
telecommunications equipment suppliers added PERFORMANCE.
value due to strong growth in wireless
technologies.
In the financial services sector, banking stocks
and service companies provided the majority of
the return, while insurers contributed relatively
little.
Although the technology and financial services
sectors were the highest weighted sectors during
1996, it is the policy of the portfolio manager
to structure a diversified portfolio, with
significant representation in each economic
sector. These representations are created by
selecting from the highest-quality companies
available on an industry by industry basis.
KAYNE, ANDERSON INVESTMENT MANAGEMENT, L.P.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 INDUSTRY BREAKDOWN
<S> <C> <C> <C>
1. SBC Communications, Inc. 3.7% Drug and Hospital Supplies 8.8%
2. Disney (Walt) Company 3.3% Electrical Equipment 7.5%
3. Bell Atlantic Corporation 3.3% Data Services 7.2%
4. Abbott Laboratories 3.3% Telecommunications 7.0%
5. General Electric Company 3.0% Chemicals and Allied Products 6.5%
Food 6.3%
Financial Services 6.0%
Insurance 5.8%
Other 44.9%
</TABLE>
6
<PAGE> 9
THE GCG TRUST
STRATEGIC EQUITY SERIES
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<S> <C>
The objective of the Strategic Equity Series is ----------------------------------
long-term capital appreciation sought by AVERAGE ANNUAL TOTAL RETURN
investment primarily in equity securities based FOR PERIOD ENDED DECEMBER 31, 1996
on various equity market timing techniques. 1 YEAR 19.39%
During 1996, the Strategic Equity Series 10/2/1995 (INCEPTION) 15.61%
generated a total return of 19.39%. Over the same ----------------------------------
period, the S&P 500 Index had a total return of [GRAPH]
22.95%, and the S&P Midcap 400 Index had a total S&P 500 S&P 500/ S & P Strategic
return of 19.23%. The weighted average total S&P Midcap 400 Midcap 400 Equity Series
return of these indices was 21.09%. (Blended Index 50/50)
The portfolio manager seeks to achieve 10000 10000 10000 10000
better-than- benchmark returns with below-average 10602 10372 10142 10033
risk. The strategy for accomplishing this 11171 10968 10767 10595
objective includes two steps. The portfolio 11672 11374 11077 11146
manager seeks to participate in rising markets, 12033 11715 11399 11299
registering attractive absolute returns. Capital 13036 12562 12090 11979
preservation is the primary goal during periods
of declining markets, resulting in strong
relative performance. The result should be to TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
provide investors with above-average equity DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
returns without the associated high volatility. FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
Although the portfolio's return lagged slightly CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
behind its benchmark, the results were very SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
strong. The portfolio is not expected to equal PERFORMANCE.
its benchmark in a year of exceptionally high
stock market returns. Capturing 92% of the
benchmark return in such a year is exceptional,
especially given the portfolio's risk profile.
The portfolio's average market exposure during
the year was only 65%.
Stock selection added value during the year, as
the portfolio realized a disproportionate amount
of the market's gain, given its market exposure.
The portfolio's equity-only return was 27%,
significantly outpacing both the S&P 500 Index
and the S&P Midcap 400 Index.
ZWEIG ADVISORS INC.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 INDUSTRY BREAKDOWN
<S> <C> <C> <C>
1. CKE Restaurants, Inc. 0.9% Electric Utilities 13.6%
2. SunAmerica Inc. 0.9% Non-Energy Minerals 7.3%
3. Gibson Greetings, Inc. 0.9% Finance 7.2%
4. Global Marine, Inc. 0.8% Industrial 5.0%
5. Intermet Corporation 0.7% Building Materials and Products 4.7%
Automotive 4.2%
Other 58.0%
</TABLE>
7
<PAGE> 10
THE GCG TRUST
MANAGED GLOBAL SERIES
<TABLE>
<S> <C>
The objective of the Managed Global Series is ----------------------------------
high total investment return consistent with AVERAGE ANNUAL TOTAL RETURN
prudent regard for capital preservation. FOR PERIOD ENDED DECEMBER 31, 1996
The Managed Global Series had a total return of 1 YEAR 12.27%
12.27% during 1996. The Morgan Stanley Capital 10/21/1992 (INCEPTION) 2.70%
International Europe, Australia and the Far East ----------------------------------
("EAFE") Index had a total return of 6.05% over [GRAPH]
the same period. Managed Morgan Stanley
European markets did well this year, benefiting Global Series EAFE Index
from falling interest rates and optimism
regarding the prospects for monetary union. One 10000 10000
market that has performed particularly well for 10010 10146
the portfolio is Germany. A growing number of 10220 11362
German companies have committed to the idea of 9900 12505
building shareholder value, reflected in 10350 13334
increased attention to per- share profit growth 10620 13450
and greater transparency in accounting methods. 9870 13920
The portfolio manager increased holdings in 9610 14631
Germany during the fourth quarter of 1996. 9980 14645
During the fourth quarter of the year, Spanish 9270 14496
stocks also contributed positively to the 8790 14766
performance of the Series. These investments 8990 14873
continue to benefit from the decline in Spanish 9720 15493
bond yields. 9960 16120
Asian markets performed well, although several 10360 16586
markets (Japan, South Korea and Thailand) 10970 16849
suffered declines. The weak performance of the 10760 16827
Japanese market is largely due to worries over a 11182 17095
slowdown in economic growth. In South Korea, the
sentiment among investors remains poor due to TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
concerns over slower economic growth and widening DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
current account and trade deficits. Markets in FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
Australia, New Zealand and Taiwan generated the CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
highest returns in Asia during 1996. SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
Overall, Latin American markets had mixed PERFORMANCE.
performance. The portfolio's largest exposure in * On July 1, 1994 Warburg, Pincus Counsellors, Inc. became
this region is Argentina, a market that performed the Portfolio Manager of the Series. Prior to that date
very strongly during the year. Investors the Series had been advised by another Portfolio
responded positively to the latest economic Manager.
figures, which showed that Argentina's recovery
is well under way.
The portfolio manager increased holdings in
Brazil during the fourth quarter. Inflation has
been declining in Brazil, and ongoing
privatization efforts have been received
enthusiastically by investors.
WARBURG, PINCUS COUNSELLORS, INC.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 ASSET DISTRIBUTION BY COUNTRY
<S> <C> <C> <C>
1. Canon Inc. (Japan) 3.8% Japan 27.6%
2. Banco de Santander S.A., ADR (Spain)3.1% Great Britain 7.3%
3. TDK Corporation (Japan) 2.5% France 6.0%
4. Citic Pacific Ltd. (Hong Kong) 2.4% Hong Kong 5.4%
5. Nippon Telegraph & Telephone New Zealand 5.2%
Corporation (Japan) 2.3% Spain 4.7%
Australia 4.5%
Other 39.3%
</TABLE>
8
<PAGE> 11
THE GCG TRUST
EMERGING MARKETS SERIES
<TABLE>
<S> <C>
The objective of the Emerging Market Series is ----------------------------------
long-term growth of capital sought by investment AVERAGE ANNUAL TOTAL RETURN
primarily in equity securities of companies that FOR PERIOD ENDED DECEMBER 31, 1996
are considered to be in emerging market 1 YEAR 7.28%
countries. 10/4/1993 (INCEPTION) 0.54%
For 1996, the Emerging Markets Series had a total ----------------------------------
return of 7.28%, as compared to a return of 7.89% [GRAPH]
for the IFC Global Composite Index. Emerging Market IFC-Composite
The main factor behind the underperformance of Series Investable Index
the Series was the disappointing performance of
the Asian sector of the portfolio. The Asian 10000 10000
portfolio returned (3.5)% for the year, as 12440 13499
compared to an IFC Asia benchmark return of 11050 11904
10.5%. This underperformance can be attributed to 10450 11525
both asset allocation and stock selection 12820 14286
decisions. At the asset allocation level, the 10552 11879
Series was hurt by underweight positions in 8867 10132
Malaysia, which was up 25% for the year, and 9809 11018
overweight positions in South Korea and Thailand, 9842 10980
which declined 32% and 36%, respectively. At the 9486 10879
stock selection level, the Series was hurt by 9884 11700
selections in Hong Kong, Indonesia, Philippines 10470 12198
and Thailand. 10355 11931
Weak performance in Asia offset strong 10177 11899
performance in Latin America during the year. In
Latin America, the Series returned 32% as
compared to an IFC Latin American benchmark TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
return of 17.2%. At the asset allocation level, DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
this performance can be attributed to overweight FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
positions in Mexico, Brazil and Venezuela. At the CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
stock selection level, investments in the SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
Brazilian public sector (telecommunications, PERFORMANCE.
electricity and oil) made strong contributions to
performance.
In other emerging markets, the Series benefited
from an overweight position in some of Eastern
Europe's best performing markets (Hungary up
100%, Poland up 73% and Russia up 143%).
South Africa was one of the year's worst
performing emerging markets with a return of
(18)%. The Series had a neutral position in South
Africa during first quarter, and an underweight
position for the remainder of the year.
BANKERS TRUST COMPANY
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 ASSET DISTRIBUTION BY REGION
<S> <C> <C> <C>
1. Barlow Ltd., Latin American Countries 34.1%
7.000% due 09/20/2004 (South Africa) 4.7% South Africa 8.8%
2. Commerce Asset Holdings BHD (Malaysia) 3.1% Middle East 7.9%
3. Centrais Eletrobras (Brazil) 2.6% Eastern Europe 7.3%
4. Bidvest Group, Ltd. (South Africa) 2.5% Cash Equivalents 5.5%
5. First Sign International Holdings Ltd. Pacific Rim Countries 36.4%
(Hong Kong) 2.3%
</TABLE>
9
<PAGE> 12
THE GCG TRUST
NATURAL RESOURCES SERIES*
<TABLE>
<S> <C>
The objective of the Natural Resources Series is ----------------------------------
long-term capital appreciation sought by AVERAGE ANNUAL TOTAL RETURN
investment primarily in equity and debt FOR PERIOD ENDED DECEMBER 31, 1996
securities of companies engaged in the 1 YEAR 33.17%
exploration, development, production and 5 YEAR 15.37%
distribution of natural resources. 1/24/1989 (INCEPTION) 10.40%
The Natural Resources Series had a total return ----------------------------------
of 33.17% in 1996. In comparison, the S&P 500 [GRAPH]
Index generated a total return of 22.95% over the Natural Resources S&P 500
same time period. Series
The largest allocation throughout the year, and
the best performing sector, was energy. Energy 10000 10000
returns were driven by two factors: stronger 9810 9978
commodity prices, and the successful application 9940 10859
of technology to exploration efforts. 10990 12022
On average, crude oil prices were $4/barrel 11896 12270
higher than 1995. Prices were fueled by a 11325 11900
combination of stronger demand and supply side 10994 12649
issues such as production delays in non-OPEC 10873 10911
countries and the absence of Iraqi exports for 10250 11889
most of the year. Natural gas prices were also 10629 13616
sharply higher. Natural gas prices were driven by 11147 13584
the cold winter in the Northeast and Midwest, 10922 14311
which left inventories depleted. 10732 15511
The energy sector also benefited from 10392 15119
technological advances. New technology has 11121 15407
increased the probability of finding new oil and 10563 15892
gas reserves and, consequently, made exploration 9679 16693
efforts more profitable. 11176 17422
Disappointing sectors in 1996 included industrial 12705 17506
metals and paper/forest products. Supply growth 11914 17959
outstripped demand in both industries. In 14512 18375
addition, both sectors endured severe inventory 14324 17648
corrections, as inventories on both the producer 14240 17753
and consumer levels were high at the beginning of 16183 18621
the year. Our allocations to both sectors were 14879 18618
low throughout the year, so the portfolio was 14889 20431
able to avoid most of the damage. 15286 22381
The precious metals sector also had a negative 16219 24160
effect on portfolio performance. After a very 16469 25614
exciting start to the year, when the price of 19076 26989
gold jumped to $417 per ounce, gold prices fell 19667 28200
at the end of the year to $370 per ounce, down 5% 20014 29073
for the year. 21932 31495
VAN ECK ASSOCIATES CORPORATION TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
*On January 23, 1997 at a special meeting, the Board of
Trustees (the "Board") approved a change in name of the
Natural Resources Series to the Hard Assets Series. The
Board also approved a change in investment policies to
permit the Series to invest up to 25% of the assets in
real estate investment trusts in addition to its existing
investment policies and restrictions.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 INDUSTRY BREAKDOWN
<S> <C> <C> <C>
1. Flores and Rucks Inc. 3.6% Oil and Gas Exploration 23.8%
2. United Meridian Corporation 2.9% Gold/Mining 16.6%
3. British Petroleum PLC, ADR 2.6% Oil/Gas - Equipment and Services 10.7%
4. Newmont Mining Corporation 2.2% Forest Products and Paper 7.3%
5. Fort Howard Corporation 2.1% Oil/Gas - International 5.9%
Metals 3.4%
Metals - Miscellaneous 2.9%
Other 29.4%
</TABLE>
10
<PAGE> 13
THE GCG TRUST
REAL ESTATE SERIES
<TABLE>
<S> <C>
The objective of the Real Estate Series is ----------------------------------
capital appreciation sought by investment AVERAGE ANNUAL TOTAL RETURN
primarily in publicly traded equity securities of FOR PERIOD ENDED DECEMBER 31, 1996
companies in the real estate industry. 1 YEAR 35.30%
During 1996, the total return of the Real Estate 5 YEAR 17.50%
Series was 35.30%. Over the same period, the 1/24/1989 (INCEPTION) 11.37%
Wilshire Real Estate Index generated a total ----------------------------------
return of 36.87%. [GRAPH]
The long-term real estate recovery has Real Estate S&P 500 Willshire Real Estate
accelerated, energized by a strong economy. Series Securities Index
Continued strength in employment, corporate
profits and consumer confidence translated into 10000 10000 10000
strong demand for commercial and residential real 9980 9978 10096
estate. From a supply side, while development is 10564 10859 10573
taking place in several of the major real estate 10836 12022 10768
sectors, few, if any, markets are saturated. As a 9878 12270 10073
result of these favorable real estate market 9611 11900 9573
conditions, real estate investment trusts enjoyed 9197 12649 9364
solid internal growth from occupancy gains and 7800 10911 7031
rental rate increases in nearly every property 7826 11889 6703
sector. 9660 13616 8482
The full service hotel sector was arguably the 9618 13584 8122
largest beneficiary of the strong economy. 9905 14311 7899
Although the portfolio was slightly underweighted 10491 15511 8046
in this sector, significant positions were held 10626 15119 8221
in Starwood Lodging Trust and Patriot American 10717 15407 7872
Hospitality Inc. During 1996, these investments 11378 15892 8113
generated returns of 90% and 85%, respectively. 11947 16693 8677
The regional mall and office/industrial sectors 14297 17422 10382
also performed well during 1996. For the year, 13761 17506 9892
these sectors generated returns of 40% and 37%, 14979 17959 10772
respectively. The Series maintained overweight 14010 18375 10000
positions in both of these sectors for most of 14586 17678 10225
the year. 14661 17753 10346
One of the weaker performing sectors in 1996 was 14511 18621 10190
healthcare, with a total return for the year of 14898 18618 10164
20%. 14739 20431 10202
Sector weightings changed slightly during 1996. 15544 22381 10646
The portfolio manager increased the weights of 16481 24160 11151
multifamily residential properties, malls, and 17369 25614 11551
hotels. Other retail and healthcare exposure was 17616 26989 12039
reduced. 18565 28200 12610
19704 29073 13355
E.I.I. REALTY SECURITIES, INC. 23499 31495 15811
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
*On January 1, 1995, E.I.I. Realty Securities, Inc. became
Portfolio Manager for the Series. Prior to that date the
Series had been advised by another Portfolio Manager.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 INDUSTRY BREAKDOWN
<S> <C> <C> <C>
1. Carr America Realty Corporation 3.8% Office/Industrial 25.0%
2. Starwood Lodging Trust 3.8% Apartments 18.5%
3. Simon DeBartolo Group, Inc. 3.6% Regional Malls 12.9%
4. Crescent Real Estate Equities Specialty Real Estate 9.6%
Company 3.3% Shopping Center 9.4%
5. Vornado Realty Trust 3.0% Health Care Real Estate 7.4%
Self-Storage 4.1%
Other 13.1%
</TABLE>
11
<PAGE> 14
THE GCG TRUST
MARKET MANAGER SERIES
<TABLE>
<S> <C>
The objective of the Market Manager Series is to ----------------------------------
seek favorable equity market performance and at AVERAGE ANNUAL TOTAL RETURN
the same time preserve capital. FOR PERIOD ENDED DECEMBER 31, 1996
For the year ended December 31, 1996, the total 1 YEAR 19.40%
return of the Market Manager Series was 19.40%. 11/14/1994 (INCEPTION) 20.52%
Over the same period, the S&P 500 Index had a ----------------------------------
total return of 22.95%, and the S&P Midcap 400 [GRAPH]
Index had a total return of 19.23%. The weighted S&P 500/
average total return of these indices was 21.09%. Market Manager S&P 500 S&P S&P Midcap 400
The Series began operations on November 14, 1994. Series Midcap 400 (Blended Index 50/50)
At that time, all funds were invested in
short-term money market securities. On March 6, 10000 10000 10000 10000
1995, the Series was closed to further 10020 9778 9636 9592
investment, and the portfolio manager began 10070 10730 10416 10573
investing in accordance with the long-term 11050 11755 11334 11543
investment objectives of the Series. 12000 12689 12441 12563
The Series follows a strategy of investing in the 12458 13453 12618 13034
broadly diversified U.S. equity market. The 13100 14175 13395 13783
Series consists of a blend of debt securities and 13473 14811 13781 14294
over-the-counter equity options, which together 13848 15270 14182 14723
tracked the stock market throughout 1996. 14875 16542 15042 15789
The accompanying line graph compares the growth
of a $10,000 investment in the Series to the TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
weighted average return of the S&P 500 and the DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
S&P Midcap 400 indices. As the graph illustrates, FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
the Series has moved proportionately with its CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
target indices. Rising equity processes were SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
captured by investments in equity call options. PERFORMANCE.
Rising interest rates decreased the value of the
debt securities. Throughout the year, the
proportion of debt securities within the
portfolio was decreased. As a result, the impact
of rising interest rates was minimal.
<CAPTION>
BANKERS TRUST COMPANY ASSET ALLOCATION
<S> <C>
Equity Index Call Options Purchased 45.5%
U.S. Treasury Obligation 44.4%
Corporate Debt Obligations 7.1%
</TABLE>
12
<PAGE> 15
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
<TABLE>
<S> <C>
The objective of the Multiple Allocation Series ----------------------------------
is highest total return consistent with the AVERAGE ANNUAL TOTAL RETURN
preservation of capital and elimination of FOR PERIOD ENDED DECEMBER 31, 1996
unnecessary risk. 1 YEAR 8.77%
5 YEAR 7.67%
For the year ended December 31, 1996, the 1/24/1989 (INCEPTION) 9.00%
Multiple Allocation Series returned 8.77%, as ----------------------------------
compared to a benchmark return of 13.5%. The [GRAPH]
benchmark is a weighted average of the S&P 500 37.5% S&P 500/
Index return of 22.95% and the Lehman Brothers Multiple 62% Lehman Brothers Lehman Brothers
Intermediate Government Bond Index return of Alocation Intermediate Government Intermediate Government
4.06%. Series Bond Index S&P 500 Bond Index
The Series has a conservative investment style. 10000 10000 10000 10000
When market risk is high, the portfolio manager 10193 9994 9978 10003
will often err on the side of capital protection. 10495 10739 10859 10668
During 1996, the Series did not exceed its 10949 11250 12022 10789
benchmark principally because of its conservative 10892 11572 12270 11157
market stance. Closely followed market indicators 10638 11425 11900 11141
frequently signaled rising market risk, and the 11141 11923 12649 11491
portfolio shifted to fairly high cash positions 10979 11412 10911 11714
at various times. 11408 12096 11889 12223
Some positive sectors that helped the portfolio's 12369 12910 13616 12492
performance in 1996 included oil, banks and 12242 13030 13584 12703
brokerage firms. Oil stocks were significantly 12923 13679 14311 13306
enhanced by higher oil prices. Bank stocks soared 13693 14529 15511 13947
to new highs, primarily because of the stable 13145 14290 15119 13801
interest rate environment and the cost savings 13413 14733 15407 14336
from a host of mergers. Brokerage firm stocks 13787 15307 15892 14964
posted significant highs, benefiting from a 13948 15575 16693 14914
record year on Wall Street. 14486 16196 17422 15472
The Series was negatively impacted by the bond 14853 16417 17506 15775
market, which saw the 30-year bond yield rise 15537 16794 17959 16108
from 5.95% to 6.64% over the course of 1996. 15500 16965 18375 16132
(Higher bond yields have an inverse affect on 15252 16518 17678 15834
bond prices.) The electrical utility sector, 15070 16491 17753 15746
which often goes along with the bond market, also 15200 16891 18621 15867
experienced sub-par returns during the year. 15318 16880 18618 15851
During the year, the Series had overweighted 15953 17970 20431 16510
positions in the telecommunication and automotive 16967 19181 22381 17281
sectors. The Series benefited from large 17535 20014 24160 17549
positions in Telefonica de Espana and General 18218 20925 25614 18135
Motors Corporation within these sectors. 18422 21362 26989 18012
18538 21891 28200 18133
ZWEIG ADVISORS INC. 18878 22412 29073 18445
19816 23586 31496 18872
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 ASSET ALLOCATION
<S> <C> <C> <C>
1. U.S. Treasury Obligations due through 2025 Commercial Paper 30.6%
ranging from 5.625% to 10.750% 32.2% Common Stocks 36.9%
2. Telefonica de Espana, ADR 0.8% U.S. Treasury Obligations 32.5%
3. BankAmerica Corporation 0.8%
4. Rohm & Haas Company 0.7%
5. Texaco, Inc. 0.7%
</TABLE>
13
<PAGE> 16
THE GCG TRUST
FULLY MANAGED SERIES
<TABLE>
<S> <C>
The objective of the Fully Managed Series is high ----------------------------------
total investment return consistent with the AVERAGE ANNUAL TOTAL RETURN
preservation of capital and prudent investment FOR PERIOD ENDED DECEMBER 31, 1996
risk. 1 YEAR 16.36%
5 YEAR 8.30%
The Fully Managed Series had a total return of 1/24/1989 (INCEPTION) 8.65%
16.36% during 1996, as compared to a return of ----------------------------------
22.95% for the S&P 500 Index and 2.90% for the [GRAPH]
Lehman Brothers Corporate/Government Bond Index. 60% S&P 500/
The Series enjoyed strong results during 1996. Fully Managed Lehman Brothers 40% Lehman Brothers
These results did not match the returns of the Series S&P 500 Corp./Govt. Corp./Govt.
broad stock market, but they were in line with
competing funds and significantly better than 10000 10000 10000 10000
returns in the bond markets. 10101 9978 9977 9978
Because of its risk-averse approach to investing, 10589 10859 10779 10826
the Series typically does not generate 10777 12022 10880 11563
above-stock market returns in exuberant years 10390 12270 11273 11868
like 1996. However, this investment style does 10229 11900 11144 11595
provide outstanding capital protection during 10734 12649 11545 12204
periods of market difficulty. 9573 10911 11615 11191
The portfolio had several notable successes in 10060 11889 12207 12013
1996. PHH Corporation and Centerior Energy 11058 13616 12536 13179
Corporation made major contributions to 10884 13584 12725 13235
performance during the second half of the year. 11912 14311 13457 13962
Both were the object of merger negotiations. 12970 15511 14175 14968
Other positions that benefited from corporate 12820 15119 14290 14649
transactions such as mergers and financial 12470 15407 14528 15047
restructuring were Ciba-Geigy Corporation AG, 12856 15892 15238 15622
Allegheny Teledyne Inc., Alexander and Alexander 13778 16693 15250 16105
Services, Inc., Reebok International Ltd., 14110 17422 15959 16826
DeBartolo Realty Corporation, Schuller 14276 17506 16438 17067
Corporation, Murphy Oil Corporation, Corning 14986 17959 16982 17555
Inc., and Santa Fe Pacific Gold Corporation. 14823 18375 16932 17785
The media and energy sectors made strong 14207 17678 16402 17156
contributions to the performance of the 13545 17753 16198 17118
portfolio. Major newspapers such as the New York 13910 18621 16278 17670
Times and the Washington Post typically benefit 13745 18618 16338 17692
from Olympic- and election-year cycles, and this 14356 20431 17152 19102
was clearly the case in 1996. Many oil stocks 15272 22381 18265 20715
also appreciated significantly. In particular, 16059 24160 18615 21919
Texaco Inc. was a standout. 16604 25614 19482 23137
The portfolio remains well-diversified. At the 17314 26989 19026 23778
end of 1996, common stocks still represent half 17687 28200 19115 24538
of the portfolio's holdings. Convertible bonds 18271 29073 19453 25196
and notes have increased from 17% at the end of 19321 31496 20048 26884
1995 to more than a quarter of the portfolio.
T. ROWE PRICE ASSOCIATES, INC. TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
*On January 1, 1995 T. Rowe Price Associates, Inc. became
the Portfolio Manager of the Series. Prior to that date
the Series had been advised by another Portfolio Manager.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 ASSET ALLOCATION
<S> <C> <C> <C>
1. U.S. Treasury Obligations due through Convertible Bonds and Notes 27.5%
2000 ranging from 5.500% to 8.500% 5.5% U.S. Treasury Obligations 5.5%
2. Automatic Data Processing Inc., Conv., Preferred Stocks 5.3%
Zero coupon due 02/20/2012 4.4% U.S. Government Agency Obligations 3.4%
3. Centerior Energy Corporation 4.3% U.S. Government Agency Discount Notes 0.8%
4. Genentech Inc. 3.1% Commercial Paper 7.0%
5. Loews Corporation 2.9% Put Stock Options Purchased 0.5%
Common Stocks 50 %
</TABLE>
14
<PAGE> 17
THE GCG TRUST
LIMITED MATURITY BOND SERIES
<TABLE>
<S> <C>
The objective of the Limited Maturity Bond Series ----------------------------------
is highest current income consistent with low AVERAGE ANNUAL TOTAL RETURN
risk to principal and liquidity. FOR PERIOD ENDED DECEMBER 31, 1996
1 YEAR 4.32%
The Limited Maturity Bond Series had a total 5 YEAR 5.10%
return of 4.32% in 1996. Over the same period, 1/24/1989 (INCEPTION) 6.81%
the Merrill Lynch 1-5 Year Corporate/Government ----------------------------------
Bond Index had a total return of 4.62%. [GRAPH]
Limited Maturity Merrill Lynch 1-5 Year
1996 was a difficult year for bond market Bond Series Corp./Govt. Bond Index
investors. Bond rates rose steadily throughout
the first six months of the year. (Higher bond 10000 10000
rates translate into lower bond prices.) For 10021 10022
example, the yield on 2-year U.S. Treasury notes 10515 10595
increased 1.28% during the first half of the year. 10640 10740
10958 11068
Bond rates increased because economic data 11013 10943
consistently tracked higher than market 11298 11260
expectations. As the economy slowed in the second 11473 11520
half of the year, the bond market rallied. The 11821 11939
rally was cut short in December, however, because 12054 12208
investors expected the Federal Reserve Board to 12267 12452
raise short-term interest rates. 12660 12951
Through the first eight months of the year, the 13153 13494
total return of the Series trailed the benchmark 13074 13450
index by 26 basis points (0.26)%. In August, 13464 13926
management of the Series was transferred to 13837 14453
Equitable Investment Services, Inc., and the new 13789 14424
portfolio manager increased the average duration 14148 14882
of the Series. 14334 15111
This positioning proved beneficial, as returns of 14585 15382
the Series exceeded the benchmark index in 14644 15453
September, October and November. Bond rates rose 14493 15287
sharply in December, however, and Series returns 14437 15250
fell short of the benchmark. 14479 15387
At the end of the year, the portfolio manager 14470 15367
reduced the average duration of the Series to be 14920 15963
more in line with the benchmark index. This 15543 16605
should permit the Series to have more stable 15732 16858
returns relative to the benchmark. 16167 17359
16138 17344
EQUITABLE INVESTMENT SERVICES, INC. 16283 17487
16521 17785
16865 18161
FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR
CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
* On August 13, 1996 Equitable Investment Services, Inc.
became the Portfolio Manager of the Series. Prior to that
date the Series had been advised by other Portfolio
Managers.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 ASSET ALLOCATION
<S> <C> <C>
1. U.S. Treasury Notes due through 2001 Corporate Debt Securities 31.3%
ranging from 5.500% to 7.500% 37.2% U.S. Government Agency Obligations 13.2%
2. FNMA, Pool #303630, Commercial Paper 11.4%
6.000% due 12/01/2002 3.1% Foreign Bonds - U.S. Dollar Denominated 4.1%
3. FNMA, 6.300% due 12/03/2001 2.4% Asset-Backed Securities 2.5%
4. Comdisco Inc., 6.375% due 11/30/2001 2.4% U.S. Treasury Obligations 37.5%
5. Standard Credit Card Trust I,
Series 1992-3, Class A,
5.835% due 10/15/1998 1.8%
</TABLE>
15
<PAGE> 18
THE GCG TRUST
LIQUID ASSET SERIES
<TABLE>
<S> <C>
The objective of the Liquid Asset Series is a ----------------------------------
high level of current income consistent with the AVERAGE ANNUAL TOTAL RETURN
preservation of capital and liquidity. FOR PERIOD ENDED DECEMBER 31, 1996
1 YEAR 5.01%
Money market rates exhibited considerable 5 YEAR 3.99%
volatility during the year. This volatility was 1/24/1989 (INCEPTION) 5.17%
caused by changing market expectations, rather ----------------------------------
than any real change in monetary status by the TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF
Federal Reserve Board. Federal fund rates did not DIVIDENDS AND DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES
change after January, when they were lowered by FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR E
25 basis points (0.25)%. Nonetheless, market CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN TH
expectations changed with every release of SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
economic data that may have signaled a change in PERFORMANCE.
the direction of the economy.
The total return of the Liquid Asset Series was INVESTMENT IN THE LIQUID ASSET SERIES (OR IN ANY OTHER
5.01% during 1996, as compared to a return of SERIES) IS NEITHER INSURED OR GUARANTEED BY THE U.S.
5.51% the previous year. Although the total GOVERNMENT. THERE CAN BE NO ASSURANCE THAT THE LIQUID
return declined, performance relative to the ASSET SERIES WILL BE ABLE TO MAINTAIN A STABLE NET ASSET
benchmark return improved during the year. The VALUE OF $1.00 PER SHARE.
IBC Average of All Taxable Money Market Funds
return was 4.95% in 1996 and 5.49% the previous On August 13, 1996 Equitable Investment Services, Inc.
year. became the Manager of the Series. Prior to that date the
The total return of the portfolio met or exceeded Series had been advised by other Portfolio Managers.
its benchmark return every month this year. The
portfolio also outperformed bond indices for
longer-term instruments. For example, the Merrill
Lynch Corporate and Government 1 to 5 Year Bond
Index generated a return of 4.62% during 1996.
The composition of the portfolio remained
relatively stable through most of the year.
However, the average maturity of the portfolio
was increased in September to take advantage of
the stable positive yield curve.
EQUITABLE INVESTMENT SERVICES, INC.
<CAPTION>
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1996 ASSET ALLOCATION
<C> <C> <C> <C>
1. Societe Generale, Certificate of Deposit 5.1%
5.410% due 05/12/1997 5.1% Corporate Note 3.9%
2. Harley-Davidson, U.S. Government Agency Discount Notes 2.1%
5.468% due 02/05/1997 4.9% Commercial Paper 88.9%
3. Schering Corporation,
5.470% due 02/11/1997 4.8%
4. Dean Witter, Discover & Company,
5.360% due 01/23/1997 4.1%
5. Ameritech Corporation,
5.400% due 03/31/1997 4.1%
</TABLE>
16
<PAGE> 19
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Board of Trustees and Contractholders
The GCG Trust
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments of Small Cap Series, All-Growth Series,
Capital Appreciation Series, Value Equity Series, Rising Dividends Series,
Strategic Equity Series, Managed Global Series, Emerging Markets Series, Natural
Resources Series, Real Estate Series, Market Manager Series, Multiple Allocation
Series, Fully Managed Series, Limited Maturity Bond Series and Liquid Asset
Series (15 of the Series comprising The GCG Trust) as of December 31, 1996, and
the related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for each of the four years in the period then ended. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits. The financial
highlights for each of the four years in the period ended December 31, 1992 were
audited by other auditors whose report dated February 1, 1993, expressed an
unqualified opinion on those financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1996, by correspondence with the custodian
and brokers, or other appropriate auditing procedures where replies from brokers
were not received. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective Series constituting The GCG Trust at December 31, 1996,
and the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended and the
financial highlights for each of the four years in the period then ended, in
conformity with generally accepted accounting principles.
[ERNST & YOUNG LLP SIGNATURE]
Boston, Massachusetts
February 13, 1997
17
<PAGE> 20
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
THE GCG TRUST
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>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost................... $31,563,163 $65,719,141 $119,255,496 $40,257,385 $ 93,612,668 $27,985,084
=========== =========== ============ =========== ============ ===========
At value............................. $34,175,393 $77,033,347 $148,557,353 $44,221,127 $126,332,449 $30,230,841
Cash................................... -- 621,405 305 2,055 302 53,323
Receivables:
Shares of beneficial interest sold... 210,417 -- -- -- -- 67,220
Investment securities sold........... -- 1,217,619 -- 1,295,652 -- --
Dividends and/or interest............ 661 53,684 259,400 64,281 164,886 33,952
Net unrealized appreciation on forward
foreign exchange contracts........... -- -- -- -- -- --
Variation margin....................... -- -- -- -- -- 38,100
Receivable for investments sold
short................................ -- 369,093 -- -- -- --
Prepaid expenses....................... -- -- -- -- -- --
----------- ----------- ------------ ----------- ------------ -----------
Total Assets....................... 34,386,471 79,295,148 148,817,058 45,583,115 126,497,637 30,423,436
----------- ----------- ------------ ----------- ------------ -----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed......................... 35 111,438 64,560 14,812 258,996 15
Investment securities purchased.... -- 76,734 -- 893,272 -- --
Cash overdraft......................... 21,718 -- -- -- -- --
Net unrealized depreciation on forward
foreign exchange contracts........... -- -- -- -- -- --
Investments sold short (Contract amount
$369,093) (Note 1)................... -- 357,031 -- -- -- --
Options written (Premiums received
$78,197) (Note 1).................... -- -- -- 54,687 -- --
Accrued Trustees' fees and expenses
(Note 2)............................. -- -- -- -- -- --
Accrued expenses and other payables.... -- -- -- -- -- --
----------- ----------- ------------ ----------- ------------ -----------
Total Liabilities.................. 21,753 545,203 64,560 962,771 258,996 15
----------- ----------- ------------ ----------- ------------ -----------
NET ASSETS............................. $34,364,718 $78,749,945 $148,752,498 $44,620,344 $126,238,641 $30,423,421
=========== =========== ============ =========== ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital........................ $33,616,430 $72,879,936 $117,052,147 $40,079,388 $ 93,082,906 $27,552,014
Undistributed net investment
income/(loss)........................ -- 167,481 334,278 153,310 226,722 85,696
Accumulated net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions.... (1,863,942) (5,623,738) 2,064,216 400,394 209,232 475,104
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 11,326,266 29,301,857 3,987,252 32,719,781 2,310,607
----------- ----------- ------------ ----------- ------------ -----------
Total Net Assets................... $34,364,718 $78,749,945 $148,752,498 $44,620,344 $126,238,641 $30,423,421
=========== =========== ============ =========== ============ ===========
Shares of beneficial interest
outstanding.......................... 2,862,021 5,880,233 9,879,660 3,204,698 7,983,033 2,604,255
=========== =========== ============ =========== ============ ===========
NET ASSET VALUE, offering price and
redemption price per share of
beneficial interest outstanding...... $ 12.01 $ 13.39 $ 15.06 $ 13.92 $ 15.81 $ 11.68
=========== =========== ============ =========== ============ ===========
</TABLE>
- ------------------
(a) The Managed Global Series includes repurchase agreements amounting to
$3,766,000.
See Notes to Financial Statements.
18
<PAGE> 21
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING NATURAL REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS RESOURCES ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$79,936,509 $49,340,088 $35,686,732 $37,871,977 $4,026,551 $255,474,424 $118,404,672 $80,592,098
=========== =========== =========== =========== ========== ============ ============ ===========
$84,026,562(a) $49,974,750 $44,115,277 $49,962,396 $5,571,309 $270,400,507 $135,963,763 $80,695,353
989,529 36,303 96,463 34,510 8,587 386,618 1,591 475
51,031 1,174,308 39,454 777,471 -- -- -- --
126,435 450,561 8,178 232,731 -- 716,453 134,500 --
138,575 106,859 32,541 246,585 4,964 2,136,459 771,382 652,776
1,197,541 -- -- -- -- -- -- --
== == == == == == == ==
9,083 6,992 -- -- -- -- -- --
----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
86,538,756 51,749,773 44,291,913 51,253,693 5,584,860 273,640,037 136,871,236 81,348,604
----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
3 94,586 16 11 -- 311,977 61,205 31,428
108,854 144,730 388,182 119,074 -- 536,845 150,500 --
-- -- -- -- -- -- -- --
-- 24 315 -- -- -- -- --
== == == == == == == ==
-- -- -- -- -- -- -- --
53,498 -- -- -- -- -- -- --
----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
162,355 239,340 388,513 119,085 -- 848,822 211,705 31,428
----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
$86,376,401 $51,510,433 $43,903,400 $51,134,608 $5,584,860 $272,791,215 $136,659,531 $81,317,176
=========== =========== =========== =========== ========== ============ ============ ===========
$80,803,088 $63,335,210 $34,397,722 $38,060,749 $4,039,890 $252,751,789 $116,333,563 $80,764,028
171,198 48,445 12,713 461,696 212 2,359,598 1,011,198 882,464
138,502 (12,475,215) 1,064,792 521,744 -- 2,753,783 1,754,589 (432,571)
5,263,613 601,993 8,428,173 12,090,419 1,544,758 14,926,045 17,560,181 103,255
----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
$86,376,401 $51,510,433 $43,903,400 $51,134,608 $5,584,860 $272,791,215 $136,659,531 $81,317,176
=========== =========== =========== =========== ========== ============ ============ ===========
7,763,118 5,301,626 2,458,892 3,200,267 422,420 21,984,529 9,223,011 7,798,760
=========== =========== =========== =========== ========== ============ ============ ===========
$ 11.13 $ 9.72 $ 17.85 $ 15.98 $ 13.22 $ 12.41 $ 14.82 $ 10.43
=========== =========== =========== =========== ========== ============ ============ ===========
<CAPTION>
LIQUID
ASSET
SERIES
-----------
<S> <<C>
$38,930,693
===========
$38,930,693
767
83,610
--
81,518
==
==
-----------
39,096,588
-----------
==
==
==
875
--
-----------
875
-----------
$39,095,713
===========
$39,097,332
--
(1,619)
--
-----------
$39,095,713
===========
39,097,362
===========
$ 1.00
===========
</TABLE>
See Notes to Financial Statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
Statements of Operations
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>
INVESTMENT INCOME:
Dividends................................. $ 9,064 $ 1,046,628 $ 2,486,195 $ 818,706 $ 1,783,522 $ 339,815
Foreign taxes withheld on dividend and
interest income......................... -- (13,834) -- (2,264) -- (4,717)
Interest.................................. 157,714 672,219 372,026 253,451 203,550 269,134
----------- ----------- ----------- ---------- ----------- ----------
Total Investment Income................. 166,778 1,705,013 2,858,221 1,069,893 1,987,072 604,232
----------- ----------- ----------- ---------- ----------- ----------
EXPENSES:
Unified fees (Note 2)..................... 180,699 910,039 1,335,410 379,126 989,772 195,979
Trustees' fees and expenses (Note 2)...... 968 5,585 7,845 2,078 5,258 1,028
Other..................................... 10 705 705 705 705 815
----------- ----------- ----------- ---------- ----------- ----------
Total Expenses.......................... 181,677 916,329 1,343,960 381,909 995,735 197,822
----------- ----------- ----------- ---------- ----------- ----------
NET INVESTMENT INCOME/(LOSS).............. (14,899) 788,684 1,514,261 687,984 991,337 406,410
----------- ----------- ----------- ---------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) from:
Security transactions................... (1,863,942) (5,626,514) 10,331,984 1,671,516 1,608,438 1,149,646
Futures contracts....................... -- -- -- -- -- (329,548)
Forward foreign exchange contracts...... -- -- -- -- -- 11
Foreign currency transactions........... -- -- -- 3 -- (26)
Net change in unrealized
appreciation/(depreciation) on:
Securities.............................. 2,612,230 3,940,304 12,871,108 1,608,175 15,975,452 2,233,910
Futures contracts....................... -- -- -- -- -- 64,854
Written options......................... -- -- -- 23,510 -- --
Investments sold short.................. -- 12,060 -- -- -- --
Forward foreign exchange contracts...... -- -- -- -- -- --
Other assets and liabilities denominated
in foreign currencies................. -- -- -- 2 -- 1
----------- ----------- ----------- ---------- ----------- ----------
Net realized and unrealized gain/(loss)
on investments........................ 748,288 (1,674,150) 23,203,092 3,303,206 17,583,890 3,118,848
----------- ----------- ----------- ---------- ----------- ----------
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
=========== =========== =========== ========== =========== ==========
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Small Cap Series commenced operations on January 3, 1996.
** On September 3, 1996 Managed Global Account of Separate Account D of Golden American Life Insurance Company
was reorganized into the Trust. Net investment income of $261,242 and net realized gains of $6,800,232 were
earned prior to September 3, 1996 and not subject to Internal Revenue Code distribution requirements for
regulated investment companies (See Note 6).
</TABLE>
See Notes to Financial Statements.
20
<PAGE> 23
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING NATURAL REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS RESOURCES ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES** SERIES SERIES SERIES SERIES SERIES SERIES SERIES
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$1,458,477 $ 829,362 $ 397,593 $ 2,329,551 -- $ 4,162,307 $ 2,992,717 --
(131,044) (63,358) (20,529) -- -- (25,217) (11,193) --
17,155 248,551 113,494 121,591 $ 236,330 10,019,027 3,182,886 $4,912,571
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
1,344,588 1,014,555 490,558 2,451,142 236,330 14,156,117 6,164,410 4,912,571
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
878,077 791,005 362,600 371,844 57,847 2,892,936 1,266,104 497,345
1,477 2,859 2,072 2,118 329 17,287 7,446 4,540
145,570 22,162 705 705 705 345 839 705
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
1,025,124 816,026 365,377 374,667 58,881 2,910,568 1,274,389 502,590
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
319,464 198,529 125,181 2,076,475 177,449 11,245,549 4,890,021 4,409,981
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
6,558,522 54,045 5,211,304 1,565,070 271,057 14,768,484 9,344,130 (419,245)
-- -- -- -- -- (2,033,795) -- --
44,129 (134,853) (31,188) -- -- -- 3,111 --
845,452 (15,231) 22,400 -- -- 79 7,490 --
587,265 3,370,748 4,502,552 8,753,155 572,521 (239,542) 5,196,552 (625,852)
== == == == == == == ==
-- -- -- -- -- -- -- --
845,853 82,648 (796) -- -- -- -- --
(27,403) (16,166) 620 -- -- (28) 1,103 --
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
8,853,818 3,341,191 9,704,892 10,318,225 843,578 12,495,198 14,552,386 (1,045,097)
---------- ---------- ---------- ----------- ---------- ----------- ----------- ----------
$9,173,282 $3,539,720 $9,830,073 $12,394,700 $1,021,027 $23,740,747 $19,442,407 $3,364,884
========== ========== ========== =========== ========== =========== =========== ==========
<CAPTION>
LIQUID
ASSET
SERIES
----------
<S> <C>
==
$2,203,466
----------
2,203,466
----------
240,479
3,129
705
----------
244,313
----------
1,959,153
----------
(1,432)
==
==
==
==
--
----------
(1,432)
----------
$1,957,721
==========
</TABLE>
See Notes to Financial Statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
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.
22
<PAGE> 25
<TABLE>
<CAPTION>
MANAGED EMERGING NATURAL REAL MARKET MULTIPLE FULLY
GLOBAL MARKETS RESOURCES 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.
23
<PAGE> 26
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
CAPITAL VALUE RISING STRATEGIC MANAGED
ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY GLOBAL
SERIES SERIES SERIES* SERIES SERIES* SERIES
----------- ------------ ----------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income................. $ 1,186,579 $ 1,619,950 $ 165,641 $ 798,446 $ 45,702 $ 376,483
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions... 6,321,047 10,480,166 776,757 3,219 (10,833) (4,171,926)
Net unrealized appreciation on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign currencies... 8,831,778 15,080,708 2,355,565 16,739,426 11,842 8,120,321
------------ ------------ ----------- ----------- ---------- ------------
Net increase/(decrease) in net assets
resulting from operations........... 16,339,404 27,180,824 3,297,963 17,541,091 46,711 4,324,878
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. (919,094) (1,240,656) (121,533) (572,878) (18,654) --
Net realized gains.................... (3,826,657) (9,067,480) (598,527) -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold........................... 18,016,517 19,586,921 28,750,556 19,484,935 8,157,294 3,981,171
Shares issued as reinvestment of
dividends........................... 4,745,751 10,308,136 720,060 572,878 18,654 --
Shares redeemed....................... (12,375,122) (13,430,153) (3,223,031) (6,528,476) (141,545) (22,142,045)
------------ ------------ ----------- ----------- ---------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS.......................... 10,387,146 16,464,904 26,247,585 13,529,337 8,034,403 (18,160,874)
------------ ------------ ----------- ----------- ---------- ------------
Net increase/(decrease) in net assets... 21,980,799 33,337,592 28,825,488 30,497,550 8,062,460 (13,835,996)
NET ASSETS:
Beginning of year....................... 71,217,603 88,889,648 5,000 50,712,159 5,000 86,254,661
------------ ------------ ----------- ----------- ---------- ------------
End of year............................. $93,198,402 $122,227,240 $28,830,488 $81,209,709 $8,067,460 $ 72,418,665
============ ============ =========== =========== ========== ============
Undistributed net investment income..... $ 267,485 $ 379,294 $ 44,111 $ 225,568 $ 27,042 $ --
============ ============ =========== =========== ========== ============
TRANSACTIONS IN FUND SHARES:
Shares sold........................... 1,341,803 1,448,134 2,380,456 1,671,848 817,787 425,459
Shares issued as reinvestment of
dividends........................... 345,648 766,974 55,050 43,236 1,873 --
Shares redeemed....................... (929,250) (1,007,166) (248,063) (571,571) (14,307) (2,462,715)
------------ ------------ ----------- ----------- ---------- ------------
Net increase/(decrease)................. 758,201 1,207,942 2,187,443 1,143,513 805,353 (2,037,256)
============ ============ =========== =========== ========== ============
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Value Equity Series and the Strategic Equity Series commenced operations on January 3, 1995 and October
2, 1995, respectively.
+ As of March 3, 1995, the Trust no longer accepts investments in the Market Manager Series.
</TABLE>
See Notes to Financial Statements.
24
<PAGE> 27
<TABLE>
<CAPTION>
LIMITED
EMERGING NATURAL REAL MARKET MULTIPLE FULLY MATURITY
MARKETS RESOURCES ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES SERIES+ SERIES SERIES SERIES
------------ ------------ ------------ ---------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 218,167 $ 259,685 $ 2,015,201 $ 177,283 $ 13,503,310 $ 3,763,775 $ 4,809,379
(12,829,743) 851,341 39,122 26,779 21,863,102 (1,084,355) 2,463,897
6,612,101 1,526,580 3,141,679 972,237 17,506,930 18,065,630 2,326,656
------------ ------------ ---------- ------------ ------------ ------------ ------------
(5,999,475) 2,637,606 5,196,002 1,176,299 52,873,342 20,745,050 9,599,932
-- (224,208) (1,405,317) (177,138) (10,231,220) (2,873,042) --
(7,833) (349,161) -- (25,988) (11,548,721) -- --
17,394,853 10,784,033 3,217,426 2,854,307 8,121,729 11,332,891 33,376,204
7,833 573,369 1,405,317 203,126 21,779,941 2,873,042 --
(28,644,907) (19,153,142) (10,774,704) (832,431) (52,696,208) (13,343,139) (25,107,727)
------------ ------------ ---------- ------------ ------------ ------------ ------------
(11,242,221) (7,795,740) (6,151,961) 2,225,002 (22,794,538) 862,794 8,268,477
------------ ------------ ---------- ------------ ------------ ------------ ------------
(17,249,529) (5,731,503) (2,361,276) 3,198,175 8,298,863 18,734,802 17,868,409
65,223,912 32,878,521 37,336,195 2,754,246 299,392,057 99,854,147 72,212,959
------------ ------------ ---------- ------------ ------------ ------------ ------------
$ 47,974,383 $ 27,147,018 $ 34,974,919 $5,952,421 $307,690,920 $118,588,949 $ 90,081,368
============ ============ ========== ============ ============ ============ ============
$ -- $ 44,414 $ 609,884 $ 145 $ 3,272,200 $ 901,688 $ 4,807,767
============ ============ ========== ============ ============ ============ ============
1,949,018 758,515 276,841 283,159 655,464 888,530 3,218,591
813 38,174 112,067 16,984 1,745,188 209,101 --
(3,125,567) (1,361,275) (924,776) (80,266) (4,244,553) (1,031,853) (2,375,002)
------------ ------------ ---------- ------------ ------------ ------------ ------------
(1,175,736) (564,586) (535,868) 219,877 (1,843,901) 65,778 843,589
============ ============ ========== ============ ============ ============ ============
<CAPTION>
LIQUID
ASSET
SERIES
------------
<S> <C>
$ 2,285,850
51
--
------------
2,285,901
(2,285,850)
--
39,392,309
2,285,849
(49,211,493)
------------
(7,533,335)
------------
(7,533,284)
46,121,973
------------
$ 38,588,689
============
$ --
============
39,392,309
2,285,849
(49,211,493)
------------
(7,533,335)
============
</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 THE YEAR.
<TABLE>
<CAPTION>
YEAR
ENDED
12/31/96*
---------
<S> <C>
Net asset value, beginning of year................................................................ $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss............................................................................... (0.01)
Net realized and unrealized gain on investments................................................... 2.02
-------
Total from investment operations.................................................................. 2.01
-------
LESS DISTRIBUTIONS:
Dividends from net investment income.............................................................. --
Distributions from capital gains.................................................................. --
-------
Total distributions............................................................................... --
-------
Net asset value, end of year...................................................................... $ 12.01
=======
Total return...................................................................................... 20.10%++
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)................................................................ $34,365
Ratio of operating expenses to average net assets................................................. 0.99%++
Ratio of net investment loss to average net assets................................................ (0.08)%++
Portfolio turnover rate........................................................................... 117%
Average commission rate paid(a)................................................................... $0.0621
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Small Cap Series commenced operations on January 3, 1996.
++ 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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
-------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning
of year........... $ 13.78 $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $10.59 $ 10.00
------- ------- ------- ------- ------- ------- ------- ------
INCOME/(LOSS) FROM
INVESTMENT
OPERATIONS:
Net investment
income............ 0.14 0.18 0.11 0.05 0.08 0.11 0.19 0.09
Net realized and
unrealized
gain/(loss) on
investments....... (0.23) 2.47 (1.56) 0.78 (0.41) 3.40 (0.94) 0.66
------- ------- ------- ------- ------- ------- ------- ------
Total from
investment
operations........ (0.09) 2.65 (1.45) 0.83 (0.33) 3.51 (0.75) 0.75
------- ------- ------- ------- ------- ------- ------- ------
LESS DISTRIBUTIONS:
Dividends from net
investment
income............ (0.14) (0.14) (0.11) (0.05) (0.08) (0.11) (0.19) (0.09)
Distributions from
capital gains..... (0.16) (0.59) -- -- -- -- -- --
Paid in Capital..... -- -- -- -- -- -- -- (0.07)
------- ------- ------- ------- ------- ------- ------- ------
Total
distributions..... (0.30) (0.73) (0.11) (0.05) (0.08) (0.11) (0.19) (0.16)
------- ------- ------- ------- ------- ------- ------- ------
Net asset value, end
of year........... $ 13.39 $ 13.78 $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $ 10.59
======= ======= ======= ======= ======= ======= ======= ======
Total return........ (0.57)% 22.42% (10.77)% 6.56% (2.59)% 36.48% (7.35)% 7.20%++
======= ======= ======= ======= ======= ======= ======= ======
RATIOS TO AVERAGE
NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
year
(in 000's)........ $ 78,750 $ 93,198 $ 71,218 $ 56,491 $ 24,202 $ 11,857 $5,005 $ 3,572
Ratio of operating
expenses to
average net
assets............ 1.00% 1.01% 1.00% 1.01% 1.31% 1.48% 1.51% 3.23%+
Decrease reflected
in above expense
ratio due to
expense
limitations....... -- -- -- 0.01% 0.04% 0.40% 1.51% 0.38%+
Ratio of net
investment income
to average net
assets............ 0.86% 1.42% 1.08% 0.52% 0.61% 0.94% 1.99% 0.94%+
Portfolio turnover
rate.............. 118% 81% 196% 29% 20% 31% 88% 54%
Average commission
rate paid(a)...... $ 0.0592 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The All-Growth Series commenced operations on January 24, 1989.
** Since July 1, 1994, Warburg, Pincus Counsellors, Inc. has served as Portfolio Manager for the All-Growth
Series. Prior to that date, a different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
27
<PAGE> 30
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93 12/31/92*
-------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year................... $ 13.51 $ 11.34 $ 11.76 $ 11.00 $ 10.00
-------- -------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................ 0.16 0.19 0.23 0.13 0.12
Net realized and unrealized gain/(loss) on
investments........................................ 2.57 3.22 (0.42) 0.78 1.00
-------- -------- ------- ------- -------
Total from investment operations..................... 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 year......................... $ 15.06 $ 13.51 $ 11.34 $ 11.76 $ 11.00
======== ======== ======= ======= =======
Total return......................................... 20.26% 30.16% (1.59)% 8.31% 10.87%++
======== ======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)................... $148,752 $122,227 $ 88,890 $ 87,219 $18,645
Ratio of operating expenses to average net assets.... 1.00% 1.01% 1.00% 1.02% 0.91%+
Decrease reflected in above expense ratio due to
expense limitations................................ -- -- -- 0.04% 0.27%+
Ratio of net investment income to average net
assets............................................. 1.12% 1.53% 1.96% 1.69% 2.06%+
Portfolio turnover rate.............................. 64% 98% 84% 67% 6%
Average commission rate paid(a)...................... $ 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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
12/31/96 12/31/95*
-------- ---------
<S> <C> <C>
Net asset value, beginning of year..................................................... $ 13.18 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................................................................. 0.22 0.08
Net realized and unrealized gain on investments........................................ 1.18 3.44
------- -------
Total from investment operations....................................................... 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 year........................................................... $ 13.92 $ 13.18
======= =======
Total return........................................................................... 10.62% 35.21%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..................................................... $ 44,620 $28,830
Ratio of operating expenses to average net assets...................................... 1.00% 1.01%
Ratio of net investment income to average net assets................................... 1.80% 1.53%
Portfolio turnover rate................................................................ 131% 86%
Average commission rate paid(a)........................................................ $ 0.0575 N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Value Equity Series commenced operations on January 3, 1995.
(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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/96# 12/31/95 12/31/94 12/31/93*
--------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of year.............................. $ 13.30 $ 10.22 $ 10.30 $ 10.00
-------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income........................................... 0.14 0.13 0.14 0.01
Net realized and unrealized gain/(loss) on investments.......... 2.61 3.04 (0.08) 0.30
-------- ------- ------- -------
Total from investment operations................................ 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 year.................................... $ 15.81 $ 13.30 $ 10.22 $ 10.30
======== ======= ======= =======
Total return.................................................... 20.65% 31.06% 0.59% 3.10%++
======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).............................. $ 126,239 $ 81,210 $ 50,712 $14,430
Ratio of operating expenses to average net assets............... 1.00% 1.01% 1.00% 0.24%++
Ratio of net investment income to average net assets............ 0.99% 1.24% 1.88% 0.34%++
Portfolio turnover rate......................................... 15% 43% 26% 3%
Average commission rate paid(a)................................. $ 0.0600 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Rising Dividends Series commenced operations on October 4, 1993.
++ 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 YEAR.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/96## 12/31/95*
---------- ---------
<S> <C> <C>
Net asset value, beginning of year.................................................... $ 10.01 $ 10.00
------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................................................. 0.23 0.06
Net realized and unrealized gain/(loss) on investments................................ 1.71 (0.03)#
------- ------
Total from investment operations...................................................... 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 year.......................................................... $ 11.68 $ 10.01
======= ======
Total return.......................................................................... 19.39% 0.33%++
======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................................................... $ 30,423 $ 8,067
Ratio of operating expenses to average net assets..................................... 1.00% 1.00%+
Ratio of net investment income to average net assets.................................. 2.05% 4.04%+
Portfolio turnover rate............................................................... 133% 29%
Average commission rate paid(a)....................................................... $ 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 since the use of the undistributed income method did not
accord with the results of operations.
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
31
<PAGE> 34
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
MANAGED GLOBAL SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/96***# 12/31/95# 12/31/94# 12/31/93# 12/31/92*#
------------ --------- --------- --------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year................ $ 9.96 $ 9.26 $ 10.67 $ 10.01 $ 10.00
--------- --------- --------- --------- ---------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................. 0.04 0.05 0.07 0.06 0.02
Net realized and unrealized gain/(loss) on
investments..................................... 1.18 0.65 (1.48) 0.60 (0.01)
--------- --------- --------- --------- ---------
Total from investment operations.................. 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 year...................... $ 11.13 $ 9.96 $ 9.26 $ 10.67 $ 10.01
========= ========= ========= ========= =========
Total return...................................... 12.27% 7.56% (13.21)% 6.59% 0.10%++
========= ========= ========= ========= =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)................ $ 86,376 $72,375 $86,209 $88,477 $ 38,699
Ratio of operating expenses to average net
assets.......................................... 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.......................................... 0.39% 0.51% 0.69% 0.56% 0.28%++
Portfolio turnover rate........................... 141% 44% N/A N/A N/A
Average commission rate paid(a)................... $ 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 July 1, 1994, Warburg, Pincus Counsellors, 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).
++ 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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93*
-------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of year............................... $ 9.06 $ 10.08 $ 12.44 $ 10.00
------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................................ 0.04 0.04 -- --
Net realized and unrealized gain/(loss) on investments........... 0.62 (1.06) (1.89) 2.44
------- ------- ------- -------
Total from investment operations................................. 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 year..................................... $ 9.72 $ 9.06 $ 10.08 $ 12.44
======= ======= ======= =======
Total return..................................................... 7.28% (10.11)% (15.18)% 24.40%++
======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)............................... $ 51,510 $ 47,974 $ 65,224 $31,181
Ratio of operating expenses to average net assets................ 1.55% 1.53% 1.73% 0.38%++
Ratio of net investment income to average net assets............. 0.38% 0.40% 0.03% 0.00%++
Portfolio turnover rate.......................................... 136% 141% 106% 0%
Average commission rate paid(a).................................. $ 0.0007 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Emerging Markets Series commenced operations on October 4, 1993.
++ 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
NATURAL RESOURCES SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning
of year........ $ 15.04 $ 13.88 $ 13.89 $ 9.31 $ 10.46 $10.11 $ 11.89 $ 10.00
------- ------- ------- ------- ------- ------ ------- -------
INCOME/(LOSS)
FROM INVESTMENT
OPERATIONS:
Net investment
income/(loss)... 0.05 0.15 0.13 0.07 0.14 0.13 0.13 (0.35)
Net realized and
unrealized
gain/(loss) on
investments.... 4.92 1.34 0.23 4.58 (1.15) 0.35 (1.78) 2.26
------- ------- ------- ------- ------- ------ ------- -------
Total from
investment
operations..... 4.97 1.49 0.36 4.65 (1.01) 0.48 (1.65) 1.91
------- ------- ------- ------- ------- ------ ------- -------
LESS
DISTRIBUTIONS:
Dividends from
net investment
income......... (0.07) (0.13) (0.13) (0.07) (0.14) (0.13) (0.13) --
Distributions
from capital
gains.......... (2.09) (0.20) (0.24) -- -- -- -- (0.02)
------- ------- ------- ------- ------- ------ ------- -------
Total
distributions... (2.16) (0.33) (0.37) (0.07) (0.14) (0.13) (0.13) (0.02)
------- ------- ------- ------- ------- ------ ------- -------
Net asset value,
end of year.... $ 17.85 $ 15.04 $ 13.88 $ 13.89 $ 9.31 $10.46 $ 10.11 $ 11.89
======= ======= ======= ======= ======= ====== ======= =======
Total return..... 33.17% 10.69% 2.53% 49.93% (9.81)% 4.70% (13.84)% 18.96%++
======= ======= ======= ======= ======= ====== ======= =======
RATIOS TO AVERAGE
NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end
of year (in
000's)......... $43,903 $ 27,147 $ 32,879 $ 21,517 $ 2,916 $2,702 $ 2,552 $ 2,383
Ratio of
operating
expenses to
average net
assets......... 1.00% 1.01% 1.00% 1.05% 1.50% 1.50% 1.53% 5.46%+
Decrease
reflected in
above
expense ratio
due to
expense
limitations.... -- -- -- 0.08% 0.89% 1.94% 1.93% 1.36%+
Ratio of net
investment
income/(loss)
to average
net assets..... 0.34% 0.89% 1.01% 1.03% 1.38% 1.21% 1.21% (3.65)%+
Portfolio
turnover
rate........... 96% 24% 25% 5% 19% 39% 54% 22%
Average
commission rate
paid(a)........ $0.0252 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Natural Resources Series commenced operations on January 24, 1989.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
REAL ESTATE SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
-------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of
year.............. $ 12.63 $ 11.29 $ 11.18 $ 9.81 $ 9.02 $ 7.05 $ 9.53 $ 10.00
------- ------- ------- ------- ------ ----- ------ -----
INCOME/(LOSS) FROM
INVESTMENT
OPERATIONS:
Net investment
income............ 0.70 0.75 0.60 0.32 0.52 0.42 0.50 0.05
Net realized and
unrealized
gain/(loss) on
investments....... 3.70 1.12 0.11# 1.37# 0.79 1.97 (2.48) (0.06)
------- ------- ------- ------- ------ ----- ------ -----
Total from
investment
operations........ 4.40 1.87 0.71 1.69 1.31 2.39 (1.98) (0.01)
------- ------- ------- ------- ------ ----- ------ -----
LESS DISTRIBUTIONS:
Dividends from net
investment
income............ (0.77) (0.53) (0.60) (0.32) (0.52) (0.42) (0.50) (0.05)
Distributions from
capital gains..... (0.28) -- -- -- -- -- -- (0.30)
Paid in Capital..... -- -- -- -- -- -- -- (0.11)
------- ------- ------- ------- ------ ----- ------ -----
Total
distributions..... (1.05) (0.53) (0.60) (0.32) (0.52) (0.42) (0.50) (0.46)
------- ------- ------- ------- ------ ----- ------ -----
Net asset value, end
of year........... $ 15.98 $ 12.63 $ 11.29 $ 11.18 $ 9.81 $ 9.02 $ 7.05 $ 9.53
======= ======= ======= ======= ====== ===== ====== =====
Total return........ 35.30% 16.59% 6.34% 17.27% 13.87% 34.06% (20.78)% (1.22)%++
======= ======= ======= ======= ====== ===== ====== =====
RATIOS TO AVERAGE
NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
year (in 000's)... $ 51,135 $ 34,975 $ 37,336 $ 29,000 $3,739 $ 710 $ 320 $ 670
Ratio of operating
expenses to
average net
assets............ 1.00% 1.01% 1.00% 1.04% 1.18% 1.53% 1.48% 5.79%+
Decrease reflected
in above expense
ratio due to
expense
limitations....... -- -- -- 0.10% 1.79% 11.17% 10.80% 1.32%+
Ratio of net
investment income
to average net
assets............ 5.53% 5.79% 5.31% 4.69% 5.74% 5.00% 5.95% 0.55%+
Portfolio turnover
rate.............. 31% 53% 64% 38% 18% 54% 47% 83%
Average commission
rate paid(a)...... $ 0.0647 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Real Estate Series commenced operations on January 24, 1989.
** Since January 1, 1995, E.I.I. Realty Securities, Inc. has served as Portfolio Manager for the Real Estate
Series. Prior to that date, 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.
(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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR PERIOD
ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94*
-------- -------- ---------
<S> <C> <C> <C>
Net asset value, beginning of year........................................... $12.03 $10.02 $ 10.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income........................................................ 0.46 0.37 0.02
Net realized and unrealized gain on investments.............................. 1.89 2.06 0.02
------ ------ ------
Total from investment operations............................................. 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 year................................................. $13.22 $12.03 $ 10.02
====== ====== ======
Total return................................................................. 19.40% 24.33% 0.44%++
====== ====== ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)........................................... $5,585 $5,952 $ 2,754
Ratio of operating expenses to average net assets............................ 1.02% 0.89% --
Decrease reflected in above expense ratio due to expense limitations......... -- 0.13% 0.13%++
Ratio of net investment income to average net assets......................... 3.06% 3.42% 0.65%++
Portfolio turnover rate...................................................... 0% 5% --
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Market Manager Series commenced operations on November 14, 1994.
++ 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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
-------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of
year.............. $ 12.52 $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34 $ 10.00
-------- -------- -------- -------- -------- ------- ------- -------
INCOME/(LOSS) FROM
INVESTMENT
OPERATIONS:
Net investment
income............ 0.56 0.58 0.42 0.24 0.42 0.49 0.57 0.58
Net realized and
unrealized
gain/(loss)
on investments.... 0.52 1.56 (0.56) 1.03 (0.18) 1.57 (0.08) 0.44
-------- -------- -------- -------- -------- ------- ------- -------
Total from
investment
operations........ 1.08 2.14 (0.14) 1.27 0.24 2.06 0.49 1.02
-------- -------- -------- -------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net
investment
income............ (0.58) (0.45) (0.42) (0.24) (0.42) (0.49) (0.57) (0.58)
Distributions from
capital gains..... (0.61) (0.50) -- (0.55) (0.14) (0.10) -- (0.10)
-------- -------- -------- -------- -------- ------- ------- -------
Total
distributions..... (1.19) (0.95) (0.42) (0.79) (0.56) (0.59) (0.57) (0.68)
-------- -------- -------- -------- -------- ------- ------- -------
Net asset value, end
of year........... $ 12.41 $ 12.52 $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34
======== ======== ======== ======== ======== ======= ======= =======
Total return........ 8.77% 18.93% (1.18)% 11.13% 1.88% 20.02% 4.74% 8.92%++
======== ======== ======== ======== ======== ======= ======= =======
RATIOS TO AVERAGE
NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
year
(in 000's)........ $272,791 $307,691 $299,392 $274,231 $116,040 $ 58,578 $ 24,347 $15,513
Ratio of operating
expenses to
average net
assets............ 1.00% 1.01% 1.00% 1.01% 1.09% 1.33% 1.24% 2.35%+
Decrease reflected
in above expense
ratio due to
expense
limitations....... -- -- -- 0.03% 0.10% 0.13% 0.68% 0.09%+
Ratio of net
investment income
to average
net assets........ 3.86% 4.42% 3.56% 2.75% 3.65% 4.43% 5.73% 6.52%+
Portfolio turnover
rate.............. 158% 187% 291% 348% 93% 70% 162% 115%
Average commission
rate paid(a)...... $ 0.0593 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Multiple Allocation Series commenced operations on January 24, 1989.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
37
<PAGE> 40
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
FULLY MANAGED SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
-------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of
year.............. $ 13.79 $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $10.16 $ 10.00
-------- -------- ------- -------- ------- ------- ------ ------
INCOME/(LOSS) FROM
INVESTMENT
OPERATIONS:
Net investment
income............ 0.56 0.45 0.35 0.19 0.28 0.29 0.33 0.28
Net realized and
unrealized
gain/(loss) on
investments....... 1.69 1.98 (1.29) 0.75 0.49 2.43 (0.65) 0.16
-------- -------- ------- -------- ------- ------- ------ ------
Total from
investment
operations........ 2.25 2.43 (0.94) 0.94 0.77 2.72 (0.32) 0.44
-------- -------- ------- -------- ------- ------- ------ ------
LESS DISTRIBUTIONS:
Dividends from net
investment
income............ (0.56) (0.34) (0.35) (0.19) (0.28) (0.29) (0.33) (0.28)
Distributions from
capital gains..... (0.66) -- -- (0.19) -- -- -- --
-------- -------- ------- -------- ------- ------- ------ ------
Total
distributions..... (1.22) (0.34) (0.35) (0.38) (0.28) (0.29) (0.33) (0.28)
-------- -------- ------- -------- ------- ------- ------ ------
Net asset value, end
of year........... $ 14.82 $ 13.79 $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $ 10.16
======== ======== ======= ======== ======= ======= ====== ======
Total return........ 16.36% 20.80% (7.27)% 7.59% 6.23% 28.93% (3.18)% 3.90%++
======== ======== ======= ======== ======= ======= ====== ======
RATIOS TO AVERAGE
NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
year (in 000's)... $136,660 $118,589 $ 99,854 $108,690 $ 37,696 $ 10,031 $5,426 $ 5,443
Ratio of operating
expenses to
average net
assets............ 1.00% 1.01% 1.00% 1.01% 1.04% 1.50% 1.52% 2.69%+
Decrease reflected
in above expense
ratio due to
expense
limitations....... -- -- -- 0.04% 0.20% 0.68% 1.27% 0.19%+
Ratio of net
investment income
to average net
assets............ 3.83% 3.41% 2.62% 2.12% 2.38% 2.71% 3.38% 3.07%+
Portfolio turnover
rate.............. 45% 113% 66% 55% 27% 68% 100% 196%
Average commission
rate paid(a)...... $ 0.0597 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Fully Managed Series commenced operations on January 24, 1989.
** Since January 1, 1995, T. Rowe Price Associates, Inc. has served as Portfolio Manager for the Fully Managed
Series. Prior to that date, a different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
LIMITED MATURITY BOND SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96# 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
--------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of
year............. $ 11.15 $ 9.98 $ 10.62 $ 10.43 $ 10.54 $ 10.15 $10.16 $ 10.00
------- ------- ------- ------- ------- ------- ------ ------
INCOME/(LOSS) FROM
INVESTMENT
OPERATIONS:
Net investment
income........... 0.59 0.60 0.51 0.40 0.60 0.68 0.72 0.74
Net realized and
unrealized
gain/(loss) on
investments...... (0.13) 0.57 (0.64) 0.23 (0.11) 0.42 -- 0.19
------- ------- ------- ------- ------- ------- ------ ------
Total from
investment
operations....... 0.46 1.17 (0.13) 0.63 0.49 1.10 0.72 0.93
------- ------- ------- ------- ------- ------- ------ ------
LESS DISTRIBUTIONS:
Dividends from net
investment
income........... (1.15) -- (0.51) (0.40) (0.60) (0.68) (0.72) (0.74)
Distributions from
capital gains.... (0.03) -- -- (0.04) -- (0.03) (0.01) (0.03)
------- ------- ------- ------- ------- ------- ------ ------
Total
distributions.... (1.18) -- (0.51) (0.44) (0.60) (0.71) (0.73) (0.77)
------- ------- ------- ------- ------- ------- ------ ------
Net asset value,
end of year...... $ 10.43 $ 11.15 $ 9.98 $ 10.62 $ 10.43 $ 10.54 $10.15 $ 10.16
======= ======= ======= ======= ======= ======= ====== ======
Total return....... 4.32% 11.72% (1.19)% 6.20% 4.84% 11.27% 7.87% 9.69%++
======= ======= ======= ======= ======= ======= ====== ======
RATIOS TO AVERAGE
NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of
year (in
000's)........... $81,317 $ 90,081 $ 72,213 $ 72,219 $ 40,213 $ 16,144 $8,321 $ 2,631
Ratio of operating
expenses to
average net
assets........... 0.61% 0.61% 0.60% 0.61% 0.72% 0.87% 0.81% 1.11%+
Decrease reflected
in above expense
ratio due to
expense
limitations...... -- -- -- 0.04% 0.27% 0.89% 2.09% 3.22%+
Ratio of net
investment income
to average net
assets........... 5.33% 5.58% 4.73% 4.64% 5.71% 6.58% 7.47% 8.56%+
Portfolio turnover
rate............. 250% 302% 209% 115% 63% 465% 373% 354%
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Limited Maturity Bond Series commenced operations on January 24, 1989.
** 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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income.... 0.049 0.054 0.040 0.030 0.030 0.050 0.070 0.080
------- ------- ------- ------- ------- ------- ------- -------
Total from investment
operations............. 0.049 0.054 0.040 0.030 0.030 0.050 0.070 0.080
------- ------- ------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net
investment income...... (0.049) (0.054) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
------- ------- ------- ------- ------- ------- ------- -------
Total distributions...... (0.049) (0.054) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
------- ------- ------- ------- ------- ------- ------- -------
Net asset value, end of
year................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= ======= ======= =======
Total return............. 5.01% 5.51% 3.89% 2.64% 3.13% 5.66% 7.75% 7.67%++
======= ======= ======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of year
(in 000's)............. $39,096 $ 38,589 $ 46,122 $ 16,808 $ 13,206 $ 9,790 $ 8,709 $ 2,352
Ratio of operating
expenses to average net
assets................. 0.61% 0.61% 0.61% 0.61% 0.74% 0.76% 0.66% 0.90%+
Decrease reflected in
above expense ratio due
to expense
limitations............ -- -- -- 0.08% 0.50% 1.01% 1.84% 3.26%+
Ratio of net investment
income to average net
assets................. 4.89% 5.39% 3.89% 2.60% 3.04% 5.48% 7.56% 8.99%+
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Liquid Assets Series commenced operations on January 24, 1989.
** 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
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 93.3%
ADVERTISING -- 0.3%
5,000 Universal Outdoor Holdings Inc.+...... $ 117,500
----------
AEROSPACE/DEFENSE -- 2.6%
10,000 BE Aerospace Inc.+.................... 271,250
14,600 Greenwich Air Services, Class B+...... 324,850
12,900 Wyman-Gordon Company+................. 287,025
----------
883,125
----------
AGRICULTURE -- 0.4%
4,250 Delta & Pine Land Company............. 136,000
----------
APPAREL -- 4.0%
9,500 Designer Holdings Ltd.+............... 153,187
10,000 Gymboree Corporation+................. 228,750
12,500 Harold's Stores Inc. ................. 179,687
9,000 Jones Apparel Group+.................. 336,375
5,000 Nautica Enterprises Inc.+............. 126,250
4,000 St John Knits Inc. ................... 174,000
3,600 Tommy Hilfiger Corporation+........... 172,800
----------
1,371,049
----------
AUTOMOBILE EQUIPMENT -- 0.6%
9,200 Cross Continent Auto Retail Inc.+..... 192,050
----------
BIO TECHNOLOGY -- 4.4%
2,500 BioChem Pharmaceuticals Inc.+......... 125,625
18,000 CellPro Inc.+......................... 225,000
5,700 DeKalb Genetics Corporation, Class B.. 290,700
7,500 INCYTE Pharmaceuticals Inc.+.......... 386,250
14,000 Serologicals Inc.+.................... 495,250
----------
1,522,825
----------
BROADCASTING/COMMUNICATIONS -- 0.6%
7,400 CKS Group Inc.+....................... 206,275
----------
CAPITAL GOODS -- 0.5%
3,700 Atlas Air Inc.+....................... 176,675
----------
COMMERCIAL SERVICES -- 4.3%
5,900 Access Health Inc.+................... 264,025
23,600 Fine Host Corporation+................ 454,300
12,000 Loewen Group Inc. .................... 469,500
16,000 PMT Services Inc.+.................... 280,000
----------
1,467,825
----------
COMMUNICATIONS -- 5.1%
3,600 Cascade Communications Corporation+... 198,450
5,500 Glenayre Technologies Inc.+........... 118,594
6,000 LCI International Inc.+............... 129,000
13,000 PictureTel Corporation+............... 338,000
12,600 Powerwave Technologies Inc.+.......... 184,275
10,000 Saville Systems (Ireland), ADR+....... 406,250
10,000 Tellabs, Inc.+........................ 376,250
----------
1,750,819
----------
COMPUTER RESEARCH -- 0.7%
11,000 FactSet Research Systems Inc.+........ 231,000
----------
COMPUTER SERVICES -- 4.7%
16,000 Acxiom Corporation+................... 384,000
16,000 Employee Solutions Inc.+.............. 328,000
11,000 Keane Inc.+........................... 349,250
3,500 National Data Corporation............. 152,250
16,000 Whitman-Hart Inc.+.................... 410,000
----------
1,623,500
----------
COMPUTER SOFTWARE -- 14.1%
9,100 Auspex Systems Inc.+.................. 105,787
3,800 CBT Group PLC, ADR+................... 206,150
7,700 Citrix Systems, Inc.+................. 300,781
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMPUTER SOFTWARE -- (CONTINUED)
7,600 Compuware Corporation+................ $ 380,950
7,500 Forrester Research Inc.+.............. 193,125
3,300 HBO & Company......................... 195,937
Infinity Financial Technology,
10,000 Inc.+................................. 172,500
10,000 Information Management Resources+..... 211,250
19,000 Informix Corporation+................. 387,125
17,200 Integrated Systems+................... 447,200
18,000 Medic Computer Systems Inc.+.......... 725,625
10,000 Metromail Corporation+................ 182,500
6,000 Parametric Technology+................ 308,250
17,000 S3 Incorporated+...................... 276,250
21,600 Structural Dynamics Research+......... 432,000
12,100 Systemsoft Corporation+............... 179,988
9,900 The Learning Company Inc.+............ 142,312
----------
4,847,730
----------
COMPUTER TECHNOLOGIES -- 5.3%
7,400 Adaptec Inc.+......................... 296,000
11,600 Checkpoint Systems Inc.+.............. 287,100
7,200 Digital Microwave Corporation+........ 200,700
12,800 Jabil Circuit Inc.+................... 512,000
12,000 VideoServer Inc.+..................... 510,000
----------
1,805,800
----------
COMPUTERS AND OFFICE EQUIPMENT -- 5.7%
8,500 Ascend Communications Inc.+........... 528,063
6,000 Cisco Systems, Inc.+.................. 381,750
3,800 Network Appliance Inc.+............... 193,325
38,000 Raster Graphics Inc.+................. 451,250
5,400 3Com Corporation+..................... 396,225
----------
1,950,613
----------
CONSUMER GOODS -- DURABLES -- 0.7%
6,700 G & K Services Inc.................... 252,925
----------
ELECTRONICS -- 2.7%
7,000 Electronics for Imaging+.............. 575,750
7,000 Uniphase Corporation+................. 367,500
----------
943,250
----------
ENVIRONMENTAL CONTROL -- 1.6%
16,400 United Waste Systems Inc.+............ 563,750
----------
FINANCE -- 1.6%
20,200 The Money Store Inc. ................. 558,025
----------
FOOD AND BEVERAGES -- 0.5%
10,900 United Natural Foods Inc.+............ 185,300
----------
HEALTH CARE -- 1.7%
9,000 Clintrials Research Inc.+............. 204,750
9,600 ESC Medical Systems Ltd.+............. 244,800
8,300 Physician Sales & Services Inc.+...... 119,313
----------
568,863
----------
HEALTH MAINTENANCE -- 0.9%
9,500 Omnicare Inc. ........................ 305,188
----------
INDUSTRIAL EQUIPMENT -- 0.9%
10,000 Waters Corporation+................... 303,750
----------
LEISURE ENTERTAINMENT -- 2.2%
11,100 Cinar Films Inc., Class B+............ 288,600
17,200 International Game Technology......... 313,900
8,900 Macromedia Inc.+...................... 160,200
----------
762,700
----------
MEDICAL SERVICES -- 3.8%
7,200 CompDent Corporation+................. 253,800
6,000 Lincare Holding Inc.+................. 246,000
8,050 PhyCor Inc.+.......................... 228,419
</TABLE>
See Notes to Financial Statements.
41
<PAGE> 44
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
SMALL CAP SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MEDICAL SERVICES -- (CONTINUED)
10,100 QuickResponse Services Inc.+.......... $ 287,850
Quintiles Transnational
4,300 Corporation+.......................... 284,875
----------
1,300,944
----------
MEDICAL SUPPLIES -- 6.9%
34,200 Conmed Corporation+................... 701,100
5,500 Heartport Inc.+....................... 125,813
30,800 Hologic Inc.+......................... 762,300
6,300 Mentor Corporation.................... 185,850
5,000 STERIS Corporation+................... 217,500
8,900 Target Therapeutics Inc.+............. 373,800
----------
2,366,363
----------
METALS -- 0.4%
4,300 Titanium Metals Corporation+.......... 141,362
----------
PAPER AND FOREST PRODUCTS -- 1.2%
9,600 Sealed Air Corporation+............... 399,600
----------
POLLUTION CONTROL -- 1.2%
13,000 USA Waste Services Inc.+.............. 414,375
----------
RESTAURANTS AND LODGING -- 1.7%
22,200 Lone Star Steakhouse & Saloon+........ 593,850
----------
RETAIL -- 5.9%
4,700 Borders Group Inc.+................... 168,612
5,200 Gucci Group NY........................ 332,150
9,900 PetSmart Inc.+........................ 216,562
20,700 Sports Authority Inc.+................ 450,225
7,700 Stage Stores Inc.+.................... 140,525
7,500 The Men's Wearhouse Inc.+............. 183,750
6,400 Tiffany & Company..................... 234,400
6,500 TJX Companies Inc. ................... 307,938
----------
2,034,162
----------
SEMICONDUCTORS -- 3.8%
10,000 Altera Corporation+................... 726,875
15,200 DSP Communications+................... 294,500
8,200 Xilinx Inc.+.......................... 301,863
----------
1,323,238
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
TRANSPORTATION/SERVICES -- 2.3%
15,000 Coach USA Inc.+....................... $ 435,000
9,500 Rural/Metro Corporation+.............. 342,000
----------
777,000
----------
Total Common Stocks
(Cost $29,465,201).................... 32,077,431
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 6.1%
$ 300,000 Baltimore Gas & Electric Company,
5.850%++ due 01/07/1997.............. 299,707
1,300,000 KZH Holdings,
6.150%++ due 01/06/1997.............. 1,298,890
100,000 Merrill Lynch & Company Inc.,
5.550%++ due 01/02/1997.............. 99,985
400,000 Rose Funding,
6.200%++ due 01/10/1997.............. 399,380
Total Commercial Paper
(Cost $2,097,962).................... 2,097,962
TOTAL INVESTMENTS (COST $31,563,163*)......... 99.4% 34,175,393
OTHER ASSETS AND LIABILITIES (NET)............ 0.6 189,325
----- -----------
NET ASSETS.................................... 100.0% $34,364,718
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $31,719,691.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
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
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 97.8%
AEROSPACE/DEFENSE -- 11.0%
9,000 AlliedSignal Inc. .................... $ 603,000
30,000 General Motors Corporation, Class H... 1,687,500
130,000 GRC International Inc.+............... 1,056,250
50,000 Litton Industries, Inc.+.............. 2,381,250
13,000 Lockheed Martin Corporation........... 1,189,500
20,000 Loral Space & Communications+......... 367,500
32,000 Sundstrand Corporation................ 1,360,000
----------
8,645,000
----------
BANKS -- 19.1%
29,000 BankAmerica Corporation............... 2,892,750
65,000 Bank of New York Company, Inc. ....... 2,193,750
25,000 Bankers Trust New York Corporation.... 2,156,250
30,000 Chase Manhattan Corporation........... 2,677,500
10,000 Morgan (J.P.) & Company, Inc. ........ 976,250
53,000 PNC Bank Corporation.................. 1,994,125
8,000 Wells Fargo & Company................. 2,158,000
----------
15,048,625
----------
BUSINESS SERVICES -- 0.9%
20,000 First Data Corporation................ 730,000
----------
COMPUTER INDUSTRY -- 9.8%
89,000 Amdahl Corporation+................... 1,079,125
13,000 Hewlett-Packard Company............... 653,250
60,000 Honeywell, Inc. ...................... 3,945,000
21,000 Informix Corporation+................. 427,875
30,000 Newbridge Networks Corporation+....... 847,500
30,000 Sun Microsystems, Inc.+............... 770,625
----------
7,723,375
----------
CONGLOMERATES -- 2.4%
96,920 Westinghouse Electric Corporation..... 1,926,285
----------
CONSUMER GOODS -- DURABLES -- 3.2%
65,000 Ford Motor Company.................... 2,071,875
8,000 General Motors Corporation............ 446,000
----------
2,517,875
----------
ELECTRONICS -- 0.8%
21,000 VeriFone, Inc.+....................... 619,500
----------
FINANCIAL SERVICES -- 17.9%
38,000 Aetna Life & Casualty................. 3,040,000
50,000 Capital One Financial Corporation..... 1,806,250
70,000 Charles Schwab Corporation............ 2,240,000
10,000 Chubb Corporation..................... 537,500
10,000 Federal National Mortgage
Association........................... 372,500
26,000 Student Loan Marketing Association
(Voting)............................ 2,421,250
30,000 TIG Holdings, Inc. ................... 1,016,250
7,000 Transamerica Corporation.............. 553,875
100,000 USF&G Corporation..................... 2,087,500
----------
14,075,125
----------
HEALTH CARE SERVICES -- 8.0%
38,000 Allergan, Inc. ....................... 1,353,750
75,000 ALZA Corporation+..................... 1,940,625
30,000 Baxter International Inc. ............ 1,230,000
36,000 Biomet, Inc. ......................... 544,500
42,000 Humana, Inc.+......................... 803,250
21,000 Nellcor Puritan Bennett Inc.+......... 459,375
----------
6,331,500
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
INDUSTRIAL MANUFACTURING AND PROCESSING -- 5.6%
50,000 Corning Inc. ......................... $ 2,312,500
65,000 Inco Ltd. ............................ 2,071,875
----------
4,384,375
----------
LEISURE ENTERTAINMENT -- 2.6%
95,000 Mirage Resorts, Inc.+................. 2,054,375
----------
MEDIA -- COMMUNICATION -- 0.6%
70,000 Spelling Entertainment Group, Inc.+... 516,250
----------
OIL SERVICES -- 5.3%
68,000 Baker Hughes Inc. .................... 2,346,000
30,000 Halliburton Company................... 1,807,500
----------
4,153,500
----------
PHARMACEUTICALS -- 0.6%
35,000 Columbia Laboratories, Inc.+.......... 507,500
----------
RESTAURANTS AND LODGING -- 1.2%
21,000 ITT Corporation+...................... 910,875
----------
RETAIL -- 0.9%
39,000 Staples, Inc.+........................ 704,437
----------
TELECOMMUNICATIONS -- 6.7%
30,000 Bay Networks Inc.+.................... 626,250
70,000 DSC Communications Corporation+....... 1,251,250
25,000 General Instrument Corporation+....... 540,625
16,000 Globalstar Telecommunications Ltd.
ORD+.................................. 1,008,000
18,000 Lucent Technologies, Inc. ............ 832,500
25,000 QUALCOMM, Inc.+....................... 996,875
----------
5,255,500
----------
TRANSPORTATION -- 1.2%
42,000 Southwest Airlines Company............ 929,250
----------
Total Common Stocks
(Cost $65,719,141).................... 77,033,347
----------
TOTAL INVESTMENTS (COST $65,719,141*).......... 97.8% 77,033,347
-----------
INVESTMENTS SOLD SHORT -- (0.4)%
COMMON STOCKS -- (0.4)%
MEDICAL TECHNOLOGIES -- (0.1)%
(6,250) Quest Diagnostics Inc.+............... (94,531)
-----------
PHARMACEUTICALS -- (0.3)%
(12,500) Covance Inc.+......................... (262,500)
-----------
Total Investments Sold Short
(Contract amount $369,093)... (0.4) (357,031)
-----------
OTHER ASSETS AND LIABILITIES (NET)............. 2.6 2,073,629
----- -----------
NET ASSETS..................................... 100.0% $78,749,945
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $65,721,522.
+ Non-income producing security.
See Notes to Financial Statements.
43
<PAGE> 46
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
CAPITAL APPRECIATION SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 94.9%
AEROSPACE/DEFENSE -- 6.2%
47,100 AlliedSignal Inc. .................... $ 3,155,700
36,900 Burlington Northern Santa Fe.......... 3,187,238
30,000 Textron, Inc. ........................ 2,827,500
----------
9,170,438
----------
AUTOMOTIVE -- 2.2%
61,200 Chrysler Corporation.................. 2,019,600
39,000 Ford Motor Company.................... 1,243,125
----------
3,262,725
----------
BANKS -- 8.7%
30,500 BankAmerica Corporation............... 3,042,375
4,400 Barnett Banks, Inc. .................. 180,950
35,168 Chase Manhattan Corporation........... 3,138,744
21,500 First Union Corporation............... 1,591,000
34,500 NationsBank Corporation............... 3,372,375
37,900 Norwest Corporation................... 1,648,650
----------
12,974,094
----------
BUILDING -- 3.6%
40,000 Felcor Suite Hotels, Inc.............. 1,415,000
62,288 Simon DeBartolo Group, Inc. .......... 1,930,928
35,000 Starwood Lodging Trust................ 1,929,375
----------
5,275,303
----------
COMMODITIES -- 8.3%
22,600 Aluminum Company of America........... 1,440,750
54,800 Grace (W.R.) & Company................ 2,835,900
45,000 Hercules, Inc. ....................... 1,946,250
43,000 Monsanto Company...................... 1,671,625
27,100 PPG Industries Inc. .................. 1,520,987
37,400 Praxair Inc. ......................... 1,725,075
30,000 Union Carbide Corporation............. 1,226,250
----------
12,366,837
----------
CONSUMER STAPLES -- 3.2%
30,000 Avon Products, Inc. .................. 1,713,750
40,000 Gillette Company...................... 3,110,000
----------
4,823,750
----------
CYCLICALS -- NON DURABLES -- 4.2%
107,250 CUC International Inc.+............... 2,547,187
39,800 HFS Inc.+............................. 2,378,050
48,000 Hilton Hotels Corporation............. 1,254,000
----------
6,179,237
----------
ELECTRICAL EQUIPMENT -- 1.1%
25,000 Honeywell Inc. ....................... 1,643,750
----------
ELECTRONICS -- 3.4%
20,000 Intel Corporation..................... 2,618,750
60,000 Thermo Electron Corporation........... 2,475,000
----------
5,093,750
----------
ENTERTAINMENT -- 1.9%
82,200 Comcast Corporation, Class A, Special
Shares (Non-Voting)................. 1,464,187
36,100 Time Warner Inc. ..................... 1,353,750
----------
2,817,937
----------
FINANCIAL SERVICES -- 3.6%
70,334 First Data Corporation................ 2,567,191
30,000 Student Loan Marketing Association
(Voting).............................. 2,793,750
----------
5,360,941
----------
INFORMATION PROCESSING -- 8.9%
23,100 Cascade Communications Corporation+... 1,273,388
36,500 Compaq Computer Corporation+.......... 2,710,125
52,500 Computer Associates International
Inc. ................................. 2,611,875
30,000 Fore Systems Inc.+.................... 986,250
20,000 HBO & Company......................... 1,187,500
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
INFORMATION PROCESSING -- (CONTINUED)
19,600 Microsoft Corporation+................ $ 1,619,450
38,600 3Com Corporation+..................... 2,832,275
----------
13,220,863
----------
INSURANCE -- 4.8%
60,373 Allstate Corporation.................. 3,494,087
20,700 Household International Inc. ......... 1,909,575
40,000 Travelers Group Inc. ................. 1,815,000
----------
7,218,662
----------
MACHINERY -- 2.4%
108,000 WMX Technologies, Inc. ............... 3,523,500
----------
PETROLEUM -- 4.0%
19,500 Amoco Corporation..................... 1,574,625
11,900 Mobil Corporation..................... 1,454,775
14,900 Texaco Inc. .......................... 1,462,063
45,200 Ultramar Diamond Shamrock
Corporation........................... 1,429,450
----------
5,920,913
----------
PHARMACEUTICALS -- 12.3%
30,000 Boston Scientific Corporation+........ 1,800,000
72,800 Johnson & Johnson..................... 3,621,800
20,000 Lilly (Eli) & Company................. 1,460,000
50,400 Medtronic Inc. ....................... 3,427,200
51,600 Merck & Company Inc. ................. 4,089,300
29,300 Schering-Plough Corporation........... 1,897,175
26,400 Warner-Lambert Company................ 1,980,000
----------
18,275,475
----------
RESTAURANTS -- 1.0%
40,000 Boston Chicken Inc.+.................. 1,435,000
----------
RETAIL -- 5.7%
79,500 Dayton Hudson Corporation............. 3,120,375
48,000 Home Depot Inc. ...................... 2,406,000
63,500 Sears, Roebuck & Company.............. 2,928,938
----------
8,455,313
----------
TELECOMMUNICATIONS -- 3.6%
45,000 AT&T Corporation...................... 1,957,500
75,000 GTE Corporation....................... 3,412,500
----------
5,370,000
----------
TOBACCO -- 2.5%
33,300 Philip Morris Companies Inc. ......... 3,779,550
----------
UTILITY -- 3.3%
44,100 CMS Energy Corporation................ 1,482,863
100,000 Edison International.................. 1,987,500
65,100 Southern Company...................... 1,472,887
----------
4,943,250
----------
Total Common Stocks
(Cost $111,788,733)................... 141,111,288
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATION -- 5.0%
Cost $7,466,763)
U.S. TREASURY BILL:
$7,526,000 4.920%++ due 03/20/1997.............. 7,446,065
TOTAL INVESTMENTS (COST $119,255,496*)........ 99.9% 148,557,353
OTHER ASSETS AND LIABILITIES (NET)............ 0.1 195,145
------- -----------
NET ASSETS.................................... 100.0% $148,752,498
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $119,256,348.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
44
<PAGE> 47
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
VALUE EQUITY SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 86.3%
AEROSPACE/DEFENSE -- 3.7%
15,000 General Motors Corporation, Class H.... $ 843,750
12,400 United Technologies Corporation........ 818,400
-----------
1,662,150
-----------
AUTOMOTIVE -- 1.1%
16,000 Ford Motor Company..................... 510,000
-----------
BANKS -- 2.5%
12,300 Chase Manhattan Corporation............ 1,097,775
-----------
CHEMICALS -- 2.1%
10,000 du Pont (E.I.) de Nemours & Company ... 943,750
-----------
COMMUNICATION AND INFORMATION -- 5.3%
25,000 Atmel Corporation+..................... 828,125
9,000 Cognizant Corporation.................. 297,000
24,800 Hewlett Packard Company................ 1,246,200
-----------
2,371,325
-----------
ELECTRONICS -- 3.4%
38,000 Philips Electronics NV................. 1,520,000
-----------
FINANCIAL SERVICES -- 2.0%
9,500 Student Loan Marketing Association
(Voting)............................. 884,688
-----------
HARDWARE AND TOOLS -- 2.9%
42,500 Black & Decker Corporation............. 1,280,312
-----------
HEALTH CARE -- 1.9%
45,500 Humana, Inc.+.......................... 870,188
-----------
HOUSEHOLD PRODUCTS -- 2.3%
40,000 Sunbeam Corporation.................... 1,030,000
-----------
INSURANCE -- 1.1%
5,000 Allstate Corporation................... 289,375
4,000 Torchmark Corporation.................. 202,000
-----------
491,375
-----------
INVESTMENT COMPANIES -- 5.0%
30,000 S&P 500 Depositary Receipt............. 2,218,125
-----------
MANUFACTURING INDUSTRIES -- 3.3%
12,400 Honeywell, Inc. ....................... 815,300
5,000 Johnson Controls Inc. ................. 414,375
4,000 Tecumseh Products Company, Class A..... 229,500
-----------
1,459,175
-----------
MULTI-INDUSTRY COMPANIES -- 4.1%
93,000 Westinghouse Electric Corporation...... 1,848,375
-----------
NONDURABLE GOODS -- CONSUMER -- 1.1%
6,000 Eastman Kodak Company.................. 481,500
-----------
OIL/GAS-MINERAL INTERESTS -- 0.6%
8,000 Apache Corporation..................... 283,000
-----------
OIL SERVICES -- 2.5%
10,000 Halliburton Company.................... 602,500
5,000 Schlumberger Ltd. ..................... 499,375
-----------
1,101,875
-----------
PETROLEUM -- 12.6%
29,000 Ashland Inc............................ 1,272,375
5,000 Atlantic Richfield Company............. 663,125
7,000 British Petroleum Company, ADR......... 989,625
11,000 Exxon Corporation...................... 1,078,000
8,000 Mobil Corporation...................... 978,000
1,800 Royal Dutch Petroleum Company, ADR..... 307,350
3,500 Texaco Inc. ........................... 343,437
-----------
5,631,912
-----------
PHARMACEUTICALS -- 1.0%
9,000 Abbott Laboratories.................... 456,750
-----------
RETAIL -- 0.7%
6,100 Penney (J.C.) Company, Inc. ........... 297,375
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
TELECOMMUNICATIONS -- 12.6%
33,500 AT&T Corporation....................... $ 1,457,250
14,500 Bell Atlantic Corporation.............. 938,875
10,000 BellSouth Corporation.................. 403,750
19,000 NYNEX Corporation...................... 914,375
3,000 SBC Communications Inc. ............... 155,250
22,900 Telebras, ADR+......................... 1,751,850
-----------
5,621,350
-----------
TOBACCO -- 8.5%
20,000 American Brands Inc. .................. 992,500
15,500 Philip Morris Companies, Inc. ......... 1,759,250
31,500 UST Inc. .............................. 1,019,812
-----------
3,771,562
-----------
UTILITIES -- 6.0%
10,000 Duke Power Company..................... 465,000
54,000 PacificCorp............................ 1,107,000
46,000 Teco Energy, Inc. ..................... 1,109,750
-----------
2,681,750
-----------
Total Common Stocks
(Cost $34,676,070)................... 38,514,312
-----------
PREFERRED STOCK -- 2.3%
(Cost $887,000)
TOBACCO -- 2.3%
150,000 RJR Nabisco Holdings Corporation Prfd.,
Class C.............................. 1,012,500
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 10.5%
(Cost $4,694,315)
$4,695,000 Federal Home Loan Bank,
5.250%++ due 01/02/97............... 4,694,315
TOTAL INVESTMENTS (COST $40,257,385*).......... 99.1% 44,221,127
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
- ------------ ---------- ------
<C> <S> <C> <C> <C>
CALL OPTIONS WRITTEN -- (0.1)%
150 Atmel 01/17/1997 $35.00
Corporation..... (14,062)
150 General Motors 01/17/1997 55.00
Corporation,
Class H......... (24,375)
50 Honeywell, 01/17/1997 70.00
Inc. ........... (938)
50 Johnson Controls 01/17/1997 85.00
Inc. ........... (4,062)
50 Schlumberger 01/17/1997 100.00
Ltd. ........... (11,250)
-----------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
Total Call Options Written
(Premiums received
$78,197)..................... (0.1) (54,687)
-----------
OTHER ASSETS AND LIABILITIES (NET)............. 1.0 453,904
----- -----------
NET ASSETS..................................... 100.0% $44,620,344
===== ===========
</TABLE>
- ---------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
45
<PAGE> 48
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
RISING DIVIDENDS SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 97.4%
BANKS -- 5.5%
36,179 Banc One Corporation................. $ 1,555,697
45,400 Fifth Third Bancorp.................. 2,851,687
57,300 Norwest Corporation.................. 2,492,550
------------
6,899,934
------------
BEVERAGES -- 2.3%
54,000 Coca-Cola Company.................... 2,841,750
------------
CHEMICALS AND ALLIED PRODUCTS -- 6.5%
26,500 du Pont (E.I.) de Nemours &
Company............................ 2,500,937
69,000 Monsanto Company..................... 2,682,375
53,700 PPG Industries, Inc. ................ 3,013,913
------------
8,197,225
------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.0%
75,200 Hewlett-Packard Company.............. 3,778,800
------------
CONSUMER PRODUCTS -- 2.8%
29,250 International Flavors & Fragrances
Inc. .............................. 1,316,250
20,570 Procter & Gamble Company............. 2,211,275
------------
3,527,525
------------
CONSUMER SERVICES -- 1.7%
36,600 Cintas Corporation................... 2,150,250
------------
DATA SERVICES -- 7.2%
81,600 Automatic Data Processing Inc. ...... 3,498,600
75,960 Electronic Data Systems
Corporation........................ 3,285,270
30,280 Reuters Holdings PLC, ADR............ 2,316,420
------------
9,100,290
------------
DRUG AND HOSPITAL SUPPLIES -- 8.8%
81,150 Abbott Laboratories.................. 4,118,362
40,000 Astra AB, Series A, ADR.............. 1,960,000
52,400 Johnson & Johnson.................... 2,606,900
30,000 Merck & Company, Inc. ............... 2,377,500
------------
11,062,762
------------
ELECTRICAL EQUIPMENT -- 7.5%
85,700 AMP Inc. ............................ 3,288,738
38,400 General Electric Company............. 3,796,800
29,670 Grainger (W.W.), Inc. ............... 2,381,017
------------
9,466,555
------------
FINANCIAL SERVICES -- 5.9%
78,700 Equifax Inc. ........................ 2,410,188
39,700 Franklin Resources Inc. ............. 2,714,487
37,160 State Street Boston Corporation...... 2,396,820
------------
7,521,495
------------
FOOD -- 6.3%
15,850 Kellogg Company...................... 1,040,156
89,700 Sara Lee Corporation................. 3,341,325
62,950 Sysco Corporation.................... 2,053,744
27,900 Wrigley, (Wm) Jr. Company............ 1,569,375
------------
8,004,600
------------
FURNITURE AND HOME APPLIANCES -- 2.0%
74,400 Leggett & Platt, Inc. ............... 2,576,100
------------
INSURANCE -- 5.8%
41,062 Cincinnati Financial Corporation..... 2,663,897
14,750 General Re Corporation............... 2,326,813
22,670 Marsh & McLennan Companies, Inc. .... 2,357,680
------------
7,348,390
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
LEISURE ENTERTAINMENT -- 3.3%
59,700 Disney (Walt) Company................ $ 4,156,612
------------
MEDICAL BIOTECHNOLOGY -- 2.1%
38,450 Medtronic, Inc. ..................... 2,614,600
------------
NONDURABLE GOODS -- CONSUMER -- 2.1%
34,800 Gillette Company..................... 2,705,700
------------
PETROLEUM -- 5.5%
32,100 Exxon Corporation.................... 3,145,800
14,500 Mobil Corporation.................... 1,772,625
11,950 Royal Dutch Petroleum Company, ADR... 2,040,463
------------
6,958,888
------------
PUBLISHING AND BROADCASTING -- 1.3%
22,500 Gannett Company...................... 1,684,688
------------
RESTAURANTS -- 1.6%
43,450 McDonald's Corporation............... 1,966,112
------------
RETAIL -- 1.1%
58,100 Wal-Mart Stores, Inc. ............... 1,329,038
------------
SPECIALTY MATERIALS -- 2.2%
33,000 Minnesota Mining & Manufacturing
Company............................ 2,734,875
------------
TECHNOLOGY -- 1.8%
36,290 Motorola, Inc. ...................... 2,227,299
------------
TELECOMMUNICATIONS -- 7.0%
64,170 Bell Atlantic Corporation............ 4,155,008
90,430 SBC Communications, Inc. ............ 4,679,752
------------
8,834,760
------------
TELECOMMUNICATIONS EQUIPMENT -- 2.2%
91,800 Ericsson (L.M.) Telecommunications
Company, Class B, ADR.............. 2,771,212
------------
UTILITY -- 1.9%
100,270 DPL, Inc. ........................... 2,456,615
------------
Total Common Stocks
(Cost $90,196,294)................. 122,916,075
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 2.7%
Cost $3,416,374)
$3,417,000 Merrill Lynch & Company,
6.600%++ due 01/02/1997............ 3,416,374
TOTAL INVESTMENTS (COST $93,612,668*)......... 100.1% 126,332,449
OTHER ASSETS AND LIABILITIES (NET)............ (0.1) (93,808)
-------
-----
NET ASSETS.................................... 100.0% $126,238,641
============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
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
STRATEGIC EQUITY SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 74.0%
AEROSPACE/DEFENSE -- 0.8%
800 McDonnell Douglas Corporation......... $ 51,200
4,700 Moog, Inc., Class A+.................. 109,863
3,000 Rohr Inc.+............................ 67,875
-----------
228,938
-----------
AIRLINES -- 1.3%
3,400 Alaska Air Group, Inc.+............... 71,400
1,200 AMR Corporation+...................... 105,750
1,200 British Airways PLC, ADR.............. 123,300
3,767 KLM Royal Dutch Airlines.............. 105,005
-----------
405,455
-----------
ALCOHOLIC BEVERAGE -- 0.2%
3,700 Adolph Coors.......................... 70,300
-----------
APPAREL AND OTHER FINISHED PRODUCTS -- 0.6%
4,700 Claire's Stores Inc. ................. 61,100
3,000 Kellwood Company...................... 60,000
4,400 Osh Kosh B'Gosh, Class A.............. 67,100
-----------
188,200
-----------
AUTOMOBILE PARTS -- 1.6%
4,400 Arvin Industries Inc. ................ 108,900
4,400 Excel Industries...................... 73,150
12,100 Simpson Industries.................... 131,777
2,500 Smith Corporation..................... 74,688
1,700 Standard Products Company............. 43,350
3,800 Walbro Corporation.................... 69,350
-----------
501,215
-----------
AUTOMOTIVE -- 1.3%
4,700 Chrysler Corporation.................. 155,100
2,700 Ford Motor Company.................... 86,062
500 General Motors Corporation............ 27,875
1,500 Honda Motor Co. Ltd, ADR.............. 84,938
2,600 Volvo AB, ADR......................... 56,550
-----------
410,525
-----------
AUTOMOTIVE AFTERMARKET -- 1.2%
3,000 Apogee Enterprises Inc. .............. 119,250
700 Barnes Group Inc. .................... 42,000
300 Carlisle Companies Inc. .............. 18,150
1,900 SPX Corporation....................... 73,625
3,700 Wynn's International Inc. ............ 117,013
-----------
370,038
-----------
BANKS -- 0.7%
8,500 City National Corporation............. 183,813
100 First Empire State Corporation........ 28,800
-----------
212,613
-----------
BUILDING MATERIALS AND PRODUCTS -- 3.0%
2,600 Ameron International Corporation...... 134,225
1,500 Florida Rock Industries............... 49,125
100 Johnson Controls Inc. ................ 8,288
13,800 Lamson & Sessions Company+............ 100,050
3,000 Medusa Corporation.................... 103,125
13,000 Republic Group Inc. .................. 203,125
4,500 South Down Inc. ...................... 140,062
1,600 Vulcan Materials Company.............. 97,400
6,700 Wolohan Lumber Company................ 83,750
-----------
919,150
-----------
CHEMICALS -- 0.9%
900 du Pont (E.I.) de Nemours &
Company ............................ 84,938
900 Morton International Inc. ............ 36,675
2,600 Quaker Chemical Corporation........... 42,575
1,400 Rohm & Haas Company................... 114,275
-----------
278,463
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
CHEMICALS -- (CONTINUED)
COMPUTER SOFTWARE -- 0.1%
1,000 Cadence Designs Systems Inc.+......... $ 39,750
-----------
COMPUTER/VIDEO CHAINS -- 0.3%
4,400 CompUSA, Inc.+........................ 90,750
-----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS -- 1.2%
1,000 Caterpillar Inc. ..................... 75,250
1,000 Deere & Company....................... 40,625
6,100 JLG Industries Inc. .................. 97,600
2,100 Lindsay Manufacturing Company......... 98,175
3,800 Raymond Corporation................... 66,025
-----------
377,675
-----------
CONSUMER ELECTRICAL APPLIANCES -- 0.2%
3,200 Helen of Troy Ltd.+................... 70,400
-----------
CONSUMER SERVICES -- 0.0%#
100 Unifirst Corporation.................. 2,125
-----------
CONTRACT DRILLING -- 1.3%
11,100 Global Marine, Inc.+.................. 228,937
2,500 Helmerich & Payne Inc. ............... 130,313
2,100 Nabors Industries Inc.+............... 40,425
-----------
399,675
-----------
DIVERSIFIED COMMERCIAL SERVICES -- 0.1%
800 CDI Corporation+...................... 22,700
-----------
DIVERSIFIED ELECTRONIC PRODUCTS -- 0.2%
1,700 SCI Systems Inc.+..................... 75,863
-----------
DIVERSIFIED MANUFACTURING -- 1.7%
3,500 Ametek Inc. .......................... 77,875
5,900 Global Industries Technology Inc.+.... 130,538
1,400 Olin Corporation...................... 52,675
6,800 Quixote Corporation................... 65,450
2,400 Trinity Industries Inc. .............. 90,000
2,800 Valmont Industries Inc. .............. 115,500
-----------
532,038
-----------
ELECTRIC UTILITIES -- 10.1%
1,700 Allegheny Power System, Inc. ......... 51,638
2,500 Baltimore Gas & Electric Company...... 66,875
3,600 Boston Edison Company................. 96,750
9,100 Centerior Energy Corporation.......... 97,825
3,200 Central Hudson Gas & Electric
Corporation......................... 100,400
13,000 Central Maine Power Company........... 151,125
2,300 Central Vermont Public Services
Corporation......................... 27,600
1,400 CMS Energy Corporation................ 47,075
6,700 Commonwealth Energy System
Companies........................... 156,613
4,600 Edison International.................. 91,425
1,700 Energen Corporation................... 51,425
3,800 Enova Corporation..................... 86,450
5,900 Entergy Corporation................... 163,725
3,000 GPU Inc. ............................. 100,875
2,600 Green Mountain Power.................. 62,075
2,500 Illinova Corporation.................. 68,750
2,500 Interstate Power Company.............. 72,500
900 Ipalco Enterprises Inc. .............. 24,525
7,000 MidAmerican Energy Holdings
Company+............................ 111,125
3,400 Montana Power Company................. 72,675
4,300 New York State Electric & Gas
Corporation......................... 92,988
5,600 Niagara Mohawk Power+................. 55,300
900 Oklahoma Gas & Electric Company....... 37,575
1,400 Orange & Rockland Utilities........... 50,225
</TABLE>
See Notes to Financial Statements.
47
<PAGE> 50
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- (CONTINUED)
3,200 PacifiCorp............................ $ 65,600
6,300 Pinnacle West Capital Corporation..... 200,025
3,300 Portland General Corporation.......... 138,600
1,300 Public Service Enterprise............. 35,425
2,900 Sierra Pacific Resources.............. 83,375
500 SIGCORP, Inc. ........................ 17,313
7,500 TNP Enterprises Inc. ................. 205,313
5,200 United Illuminating Company........... 163,150
3,000 UtiliCorp United, Inc. ............... 81,000
2,400 Washington Water Power Company........ 44,700
1,200 Western Resources, Inc. .............. 37,050
2,700 WPL Holdings, Inc. ................... 75,938
-----------
3,085,028
-----------
ELECTRICAL PRODUCTS -- 0.5%
4,100 American Power Conversion
Corporation+........................ 111,725
500 Raychem Corporation................... 40,063
-----------
151,788
-----------
ELECTRONIC DATA PROCESSING -- 0.9%
1,000 COMPAQ Computer Corporation+.......... 74,250
2,500 Dell Computer Corporation+............ 132,813
2,600 Sun Microsystems Inc.+................ 66,788
-----------
273,851
-----------
ELECTRONIC PRODUCTION EQUIPMENT -- 0.3%
3,200 Esterline Technologies Corporation+... 83,600
-----------
ENGINEERING/CONSTRUCTION -- 0.2%
600 Butler Manufacturing Co.+............. 24,300
1,300 Jacobs Engineering Group Inc.+........ 30,712
-----------
55,012
-----------
ENTERTAINMENT -- 0.3%
2,500 Kingworld Productions Inc.+........... 92,188
-----------
FINANCIAL SERVICES -- 2.7%
3,000 A.G. Edwards Inc. .................... 100,875
6,000 Bear Stearns Companies, Inc. ......... 167,250
1,400 Charles Schwab Corporation............ 44,800
3,400 Equitable Companies, Inc. ............ 83,725
600 Finova Group Inc.+.................... 38,550
600 National Auto Credit Inc.+............ 7,200
1,700 Paine Webber Group Inc. .............. 47,813
2,500 Quick & Reilly Group Inc. ............ 74,687
3,200 Salomon, Inc. ........................ 150,800
3,400 The Money Store Inc. ................. 93,925
-----------
809,625
-----------
FOOD CHAINS -- 1.2%
8,500 Food Lion Corporation, Class B........ 86,062
2,700 Great Atlantic & Pacific Tea Company
Inc. ............................... 86,062
1,900 Safeway, Inc.+........................ 81,225
1,149 Smith's Food & Drug Centers, Inc.,
Class B............................. 35,619
1,300 Vons Companies Inc.+.................. 77,837
-----------
366,805
-----------
FOOD DISTRIBUTORS -- 0.8%
5,400 Fleming Companies Inc. ............... 93,150
5,200 Nash Finch Corporation................ 110,500
1,800 Supervalu, Inc. ...................... 51,075
-----------
254,725
-----------
FLUID CONTROLS -- 0.5%
3,700 Duriron Co. Inc. ..................... 100,363
2,000 Graco Inc. ........................... 49,000
-----------
149,363
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
HARDWARE & TOOLS -- 0.3%
2,300 Toro Co. ............................. $ 83,950
-----------
HOMEBUILDERS -- 1.4%
6,200 Champion Enterprises, Inc.+........... 120,900
1,900 Fleetwood Enterprises................. 52,250
5,300 Kaufman & Braud Home Corporation...... 68,237
1,800 Lennar Corporation.................... 49,050
3,800 Oakwood Homes Corporation............. 86,925
2,500 Ryland Group Inc. .................... 34,375
-----------
411,737
-----------
HOTELS/RESORTS -- 0.3%
3,000 Hilton Hotels Corporation............. 78,375
500 Royal Caribbean Cruises Ltd. ......... 11,687
-----------
90,062
-----------
INDUSTRIAL MACHINERY/COMPONENTS -- 1.7%
5,500 Ampco-Pittsburgh Corporation+......... 66,000
1,600 Applied Power Inc., Class A........... 63,400
7,100 Commercial Intertech Corporation...... 96,737
2,500 Harnischfeger Industries, Inc. ....... 120,312
800 Ingersoll Rand Co. ................... 35,600
3,700 Kysor Industrial Corporation.......... 120,712
500 Scotsman Industries Inc. ............. 11,813
-----------
514,574
-----------
INDUSTRIAL SPECIALTIES -- 0.2%
1,900 Furon Company......................... 40,375
600 Pittway Corporation, Class A.......... 32,100
-----------
72,475
-----------
INSURANCE -- 3.1%
500 CIGNA Corporation..................... 68,313
800 CNA Financial Corporation+............ 85,600
1,500 Equitable of Iowa Companies+.......... 68,813
1,500 Fremont General Corporation........... 46,500
1,000 NAC Re Corporation.................... 33,875
1,400 Orion Capital Corporation............. 85,575
2,200 Pioneer Financial Services, Inc. ..... 55,000
800 Progressive Corporation............... 53,900
5,900 SunAmerica Inc. ...................... 261,813
2,800 USLife Corporation.................... 93,100
3,100 Washington National Corporation....... 85,250
-----------
937,739
-----------
IRON/STEEL -- 1.8%
6,200 British Steel PLC, ADR................ 170,500
3,600 Cleveland Cliffs...................... 163,350
6,700 Oregon Steel Mills, Inc. ............. 112,225
800 Quanex Corporation.................... 21,900
1,500 Texas Industries Inc. ................ 75,938
-----------
543,913
-----------
MARINE TRANSPORTATION -- 0.5%
2,300 APL Ltd. ............................. 54,337
2,300 Sea Containers, Ltd., Class A......... 35,937
1,400 Tidewater, Inc. ...................... 63,350
-----------
153,624
-----------
MEDIA -- 0.7%
3,800 Media General, Inc., Class A.......... 114,950
700 Meredith Corporation.................. 36,925
1,400 Pulitzer Publishing................... 64,925
-----------
216,800
-----------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICE -- 0.3%
4,300 Rotech Medical Corporation+........... 90,300
-----------
</TABLE>
See Notes to Financial Statements.
48
<PAGE> 51
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MEDICAL SPECIALTIES -- 1.1%
5,500 Advanced Technology Laboratories,
Inc.+............................... $ 170,500
2,400 Bio-Rad Laboratories, Inc., Class
A+.................................. 72,000
1,700 US Surgical Corporation............... 66,938
1,100 West Inc. ............................ 31,075
-----------
340,513
-----------
METAL FABRICATE/HARDWARE -- 3.1%
2,900 Amcast Industrial Corporation......... 71,775
2,500 Commercial Metals..................... 75,312
14,000 Intermet Corporation.................. 225,750
1,700 Kaydon Corporation.................... 80,112
5,200 Oregon Metallurgical Corporation+..... 167,700
4,100 Park Ohio Industries Inc.+............ 52,787
1,300 SPS Technologies, Inc.+............... 83,525
3,800 Timken Co. ........................... 174,325
-----------
931,286
-----------
METALS/MINERALS -- 0.2%
3,200 Brush Wellman Inc. ................... 52,400
-----------
MILITARY/GOVERNMENT/TECHNICAL -- 0.4%
1,750 Cubic Corporation..................... 40,469
1,100 Logicon Inc. ......................... 40,150
7,200 United Industrial Corporation......... 42,300
-----------
122,919
-----------
MULTI-SECTOR COMPANIES -- 1.1%
2,550 Crane Co. ............................ 73,950
2,300 Grand Metropolitan, ADR............... 72,737
6,400 Kaman Corporation..................... 83,200
1,200 Loews Corporation..................... 113,100
-----------
342,987
-----------
NATURAL GAS DISTRIBUTION -- 1.8%
300 Connecticut Energy Corporation+....... 6,375
1,400 Eastern Enterprises................... 49,525
900 National Fuel Gas Company............. 37,125
9,400 NorAm Energy Corporation.............. 144,525
2,800 Northwest National Gas Co. ........... 67,200
6,100 NUI Corporation....................... 138,012
700 People's Energy Corporation........... 23,712
1,600 Providence Energy Corporation......... 28,000
2,500 Southwestern Energy Company........... 37,812
-----------
532,286
-----------
NON-US UTILITY -- 0.4%
7,100 Westcoast Energy, Inc. ............... 118,925
-----------
OFFICE/BUSINESS EQUIPMENT -- 0.1%
900 Hunt Manufacturing.................... 16,312
100 Shelby Williams Industries, Inc. ..... 1,225
-----------
17,537
-----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 0.3%
900 BJ Services+.......................... 45,900
2,300 Varco International Inc.+............. 53,187
-----------
99,087
-----------
OIL AND GAS PRODUCTION -- 0.9%
1,500 Occidental Petroleum Corporation...... 35,062
9,500 Santa Fe Energy Resources, Inc.+...... 131,812
4,300 Union Texas Petroleum Holdings
Inc. ............................... 96,212
-----------
263,086
-----------
OIL/REFINING/MARKETING -- 0.7%
600 Holly Corporation..................... 16,050
6,200 Tesoro Petroleum Corporation+......... 86,800
5,100 USX-Marathon Group.................... 121,762
-----------
224,612
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
OTHER SPECIALTY CHAINS -- 1.3%
1,500 Fabri-Centers of America, Class A+.... $ 24,188
13,300 Gibson Greetings, Inc.+............... 261,012
7,400 Haverty Furniture..................... 84,175
1,700 Pier 1 Imports Inc. .................. 29,963
-----------
399,338
-----------
PACKAGING AND CONTAINERS -- 0.2%
2,200 Owens-Illinois, Inc.+................. 50,050
-----------
PAINTS -- 0.1%
600 PPG Industries Inc. .................. 33,675
-----------
PAPER AND FOREST PRODUCTS -- 1.0%
5,700 Mosinee Paper Corporation............. 202,350
3,500 Pope & Talbot Inc. ................... 55,562
1,000 Rayonier, Inc. ....................... 38,375
-----------
296,287
-----------
PERIPHERALS -- 0.4%
2,400 Storage Technology Corporation+....... 114,300
-----------
PETROLEUM -- 1.5%
300 British Petroleum PLC, ADR............ 42,412
2,600 Elf Aquitaine, ADR.................... 117,650
800 Kerr-Mcgee Corporation................ 57,600
900 Pennzoil Company...................... 50,850
900 Phillips Petroleum Company............ 39,825
800 Texaco, Inc. ......................... 78,500
1,500 Unocal Corporation.................... 60,937
-----------
447,774
-----------
PHARMACEUTICALS -- 0.3%
4,000 ICN Pharmaceuticals, Inc. ............ 78,500
-----------
PRECISION INSTRUMENTS -- 1.6%
2,500 Coherent Inc.+........................ 105,625
2,300 Dynatech Corporation+................. 101,775
2,300 Fluke Corporation..................... 102,638
2,300 Measurex Corporation.................. 55,200
6,100 MTS Systems Corporation............... 122,000
-----------
487,238
-----------
PRINTING/FORMS -- 0.7%
6,500 Bowne & Company Inc. ................. 160,062
4,000 Graphic Industries Inc. .............. 40,500
-----------
200,562
-----------
RAILROADS -- 0.1%
500 CSX Corporation....................... 21,125
-----------
RECREATIONAL PRODUCTS/TOYS -- 1.3%
4,200 Brunswick Corporation................. 100,800
2,100 Callaway Golf Company................. 60,375
7,800 Coachmen Industries Inc. ............. 221,325
1,600 Huffy Corporation..................... 23,000
-----------
405,500
-----------
RENTAL/LEASING COMPANIES -- 1.0%
2,100 Comdisco Inc. ........................ 66,675
1,800 GATX Corporation...................... 87,300
3,600 PHH Corporation....................... 154,800
-----------
308,775
-----------
</TABLE>
See Notes to Financial Statements.
49
<PAGE> 52
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RESTAURANTS -- 1.6%
2,200 Applebee's International Inc. ........ $ 60,500
7,300 CKE Restaurants, Inc. ................ 263,713
7,500 NPC International Incorporated+....... 61,875
5,100 Piccadilly Cafeterias Inc. ........... 47,175
2,200 Ruby Tuesday Inc. .................... 40,700
-----------
473,963
-----------
RETAIL -- 1.6%
2,300 Dayton Hudson Corporation............. 90,275
8,000 K Mart Stores+........................ 83,000
1,400 Mercantile Stores Inc. ............... 69,125
600 Neiman Marcus Group Inc. ............. 15,300
7,600 Shopko Stores, Inc. .................. 114,000
22,100 Venture Stores, Inc.+................. 66,300
1,900 Woolworth Corporation+................ 41,562
-----------
479,562
-----------
SAVINGS AND LOAN ASSOCIATIONS -- 0.7%
4,500 Cal Fed Bancorp Inc.+................. 110,250
3,600 Dime Bancorp Inc.+.................... 53,100
1,400 TCF Financial Corporation............. 60,900
-----------
224,250
-----------
SPECIALTY FOOD/CANDY -- 0.6%
8,800 MorningStar Group Inc.+............... 172,700
-----------
TELECOMMUNICATIONS -- 2.0%
900 BCE, Inc. ............................ 42,975
700 British Telecommunications PLC, ADR... 48,038
2,700 Century Telephone Enterprises......... 83,362
700 Cincinnati Bell Inc. ................. 42,963
1,900 Telefonica de Espana, ADR............. 131,575
3,400 Telefonos de Mexico S.A., ADR......... 112,200
12,000 US Long Distance Corporation (New)+... 96,000
2,500 WorldCom Inc.+........................ 65,156
-----------
622,269
-----------
TEXTILES -- 0.6%
4,000 Culp, Inc. ........................... 61,500
2,100 Guilford Mills Inc. .................. 55,912
1,400 Springs Industries, Inc., Class A..... 60,200
-----------
177,612
-----------
TOBACCO MANUFACTURERS -- 0.5%
4,100 RJR Nabisco Holdings Corporation...... 139,400
-----------
TRUCKING AND LEASING -- 0.3%
5,700 Yellow Corporation+................... 81,938
-----------
WATER SUPPLY -- 0.1%
400 California Water Services Co.......... 16,800
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
WHOLESALE DISTRIBUTORS -- 1.9%
4,200 Bearings, Inc. Ohio+.................. $ 117,075
6,700 Handleman Co.+........................ 56,950
4,500 Hughes Supply Inc. ................... 194,063
9,800 Rexel Inc.+........................... 155,575
3,000 United Stationers Inc.+............... 58,500
-----------
582,163
-----------
Total Common Stocks (Cost
$20,246,638)........................ 22,492,451
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 15.9%
U.S. TREASURY BILLS:
$4,700,000 4.975++ due 01/16/1997**.............. 4,690,260
150,000 4.840++ due 03/06/1997................ 148,654
Total U.S. Treasury Obligations (Cost
$4,838,970)......................... 4,838,914
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 9.5%
(Cost $2,899,476)
Federal Home Loan Mortgage
2,900,000 Corporation,
6.500%++ due 01/02/1997.............
2,899,476
TOTAL INVESTMENTS (COST $27,985,084*).......... 99.4% 30,230,841
OTHER ASSETS AND LIABILITIES (NET)............. 0.6 192,580
-------
----
NET ASSETS..................................... 100.0% $30,423,421
===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $28,009,077.
** This security is pledged as collateral for futures contracts.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
# Amount represents less than 0.01%.
<TABLE>
<CAPTION>
NUMBER OF UNREALIZED
CONTRACTS APPRECIATION
- ------------ ------------
<C> <S> <C> <C>
FUTURES CONTRACTS -- SHORT POSITION
3 S&P 500, March 1997.................. $ 5,454
24 S&P Midcap, March 1997............... 59,400
------------
$ 64,854
Net unrealized appreciation on
futures contracts -- Short
Position...........................
===========
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary
Receipt
</TABLE>
See Notes to Financial Statements.
50
<PAGE> 53
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 89.8%
ARGENTINA -- 3.2%
2,484 Banco de Galicia Y Buenos Aires S.A.,
ADR................................... $ 60,237
24,202 Banco Frances del Rio de la Plata
S.A. ................................. 226,328
22,218 Banco Frances del Rio de la Plata
S.A., ADR............................. 610,995
42,300 Telefonica De Argentina S.A., ADR..... 1,094,513
30,600 Y.P.F. S.A., ADR...................... 772,650
----------
2,764,723
----------
AUSTRALIA -- 4.4%
97,000 Boral Ltd. ........................... 276,020
634,500 David Jones Ltd.+..................... 882,582
53,280 Lend Lease Corporation................ 1,033,330
51,375 Niugini Mining Ltd.+.................. 126,590
213,559 Novus Petroleum Ltd. ................. 488,872
274,500 Pasminco Ltd. ........................ 432,009
337,400 Qantas Airways Ltd. .................. 563,183
----------
3,802,586
----------
AUSTRIA -- 0.7%
5,000 Voest Alpine Eisenbahnsys AG.......... 567,484
----------
BELGIUM -- 0.3%
1,300 Barco Industries NZ+.................. 224,537
----------
BRAZIL -- 0.8%
15,300 Panamerican Beverages Inc., Class A... 717,188
----------
CHILE -- 0.2%
5,300 Enersis S.A., ADR..................... 147,075
----------
CHINA -- 1.6%
364,000 Cheung Kong Infrastructure+........... 964,768
135,000 Henderson China Holdings.............. 307,195
10,500 Jilan Chemical Industrial Co. Ltd.,
ADR................................... 153,563
----------
1,425,526
----------
DENMARK -- 0.3%
11,100 International Service Systems A/S,
Class B............................... 292,068
----------
EGYPT -- 0.8%
46,800 Commercial International Bank of
Egypt, GDR+**....................... 663,624
----------
FINLAND -- 1.4%
500 Metra AB, Class B..................... 27,826
58,950 Metsa-Serla, Class B.................. 442,125
41,400 Valmet Corporation+................... 723,600
----------
1,193,551
----------
FRANCE -- 5.8%
10,000 Assurances General de France.......... 322,829
6,400 Cetelem............................... 740,098
900 Compagnie Bancaire S.A.+.............. 106,505
500 Eaux (Cie Generale des)............... 61,964
700 Group Axime+.......................... 80,948
43,100 Groupe AB, ADR+....................... 619,563
48,280 Largardere Groupe..................... 1,325,060
20,113 Total S.A., Class B................... 1,635,865
10,178 Usinor Sacilor........................ 148,104
----------
5,040,936
----------
GERMANY -- 3.2%
3,600 Adidas AG............................. 311,141
4,200 Adidas AG, ADR**...................... 181,023
14,600 B.A.S.F. AG+.......................... 562,425
900 Bayerische Motoren Werke AG+.......... 627,547
8,400 SGL Carbon AG......................... 1,058,973
----------
2,741,109
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
GREAT BRITAIN -- 7.1%
122,808 British Airport Authority PLC......... $ 1,023,151
251,188 Cookson Group PLC..................... 1,015,176
65,370 Grand Metropolitan PLC................ 513,832
50,000 London Pacific Group Ltd. ............ 179,384
211,254 Rolls-Royce PLC....................... 931,563
224,000 Singer & Friedlander Group PLC........ 491,008
230,400 TC Group PLC.......................... 528,710
158,000 Thistle Hotel PLC+.................... 491,093
237,000 Vodafone Group........................ 1,000,450
----------
6,174,367
----------
HONG KONG -- 5.2%
354,700 Citic Pacific Ltd. ................... 2,059,090
328,947 Guangshen Railway Company Ltd.+....... 142,475
11,679 Guangshen Railway Company Ltd.,
ADR+.................................. 240,879
195,800 Hong Kong Land Holdings............... 544,324
28,400 Hong Kong Land Holdings, ADR.......... 394,050
151,801 Jardine Matheson Holdings Ltd., ADR... 1,001,887
13,200 Swire Pacific, Class A................ 125,865
----------
4,508,570
----------
INDIA -- 1.6%
31,100 Indorama Synthetics, GDR.............. 182,712
41,200 Reliance Industries Ltd., GDS......... 505,730
38,000 State Bank of India, GDR+**........... 668,800
----------
1,357,242
----------
INDONESIA -- 1.7%
229,638 PT Bank International Indonesia
(Foreign)+............................ 226,040
8,300 PT Indostat, ADR...................... 227,213
229,740 PT Mulia Industrindo (Foreign)........ 238,299
66,000 PT Semen Cibinong (Foreign)........... 185,817
44,500 PT Semen Gresik (Foreign)............. 143,184
12,350 PT Sinar Mas (Foreign)................ 10,327
90,666 PT Steady Safe (Foreign).............. 116,116
192,000 PT Telekomunikasi Indonesia
(Foreign)............................. 331,245
----------
1,478,241
----------
ISRAEL -- 0.9%
35,000 ECI Telecom, Ltd, ADR................. 743,750
----------
JAPAN -- 25.6%
149,000 Canon Inc. ........................... 3,293,671
26,000 Circle K Japan Company Ltd. .......... 1,122,528
170 DDI Corporation....................... 1,124,428
258 East Japan Railway Company............ 1,160,677
89,000 Hitachi Ltd. ......................... 829,980
20,000 JUSCO Company+........................ 678,698
2,500 Keyence Corporation................... 308,695
75,000 Kirin Beverage Corporation............ 1,010,275
11,000 Murata Manufacturing Company Ltd. .... 365,685
27,000 Nippon Communication Systems
Corporation........................... 307,745
267 Nippon Telegraph & Telephone
Corporation........................... 2,024,229
250,000 NKK Corporation+...................... 563,423
8,000 Noritsu Koki Company Ltd. ............ 376,479
54 NTT Data Communication Systems
Corporation......................... 1,580,693
40,800 Orix Corporation...................... 1,698,092
22,000 Pioneer Electric Corporation.......... 419,826
6,000 Rohm Company.......................... 393,748
50,000 Sharp Corporation..................... 712,374
20,000 Sony Corporation...................... 1,310,768
33,000 TDK Corporation....................... 2,151,369
3,000 UNY Company........................... 54,918
21,600 York-Benimaru Company Ltd. ........... 602,435
----------
22,090,736
----------
</TABLE>
See Notes to Financial Statements.
51
<PAGE> 54
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
SOUTH KOREA -- 2.9%
75,000 Hyundai Engineering, GDR+............. $ 414,938
4,366 Hyundai Engineering (New), GDR+....... 48,310
3,500 Korea Electric Power Corporation...... 101,893
33,450 Mando Machinery Corporation+.......... 1,128,195
5,889 Samsung Electronics Ltd., (1/2 voting)
GDR+**.............................. 243,693
1,775 Samsung Electronics Ltd., (1/2 voting)
GDR (New)**......................... 73,442
25,000 Samsung Electronics Ltd., (1/2
non-voting) GDR..................... 461,250
----------
2,471,721
----------
MALAYSIA -- 0.6%
180,100 Land & General BHD.................... 431,441
69,700 Westmont Industries BHD............... 114,810
----------
546,251
----------
MEXICO -- 0.7%
97,650 Gruma S.A., Series B.................. 595,427
----------
NETHERLANDS -- 0.5%
10,700 Philips Electronics NV................ 433,549
----------
NEW ZEALAND -- 5.1%
1,156,254 Brierley Investments Ltd. ............ 1,070,812
218,075 Fletcher Challenge (Building Division)
Ltd. ................................. 670,631
476,522 Fletcher Challenge (Forest Division)
Ltd. ................................. 798,399
133,150 Fletcher Challenge (Paper Division)
Ltd. ................................. 273,919
406,700 Lion Nathan Ltd. ..................... 974,681
110,000 Sky City Ltd. ........................ 599,564
----------
4,388,006
----------
NORWAY -- 1.0%
215,000 Den Norske Bank, Series A+............ 826,910
----------
PHILIPPINES -- 0.2%
6,850 Millicom International Cellular+...... 220,056
----------
PORTUGAL -- 1.6%
25,000 Portugal Telecommunication S.A. ...... 712,673
25,000 Portugal Telecommunication S.A.,
ADR**................................. 706,250
----------
1,418,923
----------
SINGAPORE -- 2.3%
65,000 D.B.S. Land Ltd. ..................... 239,227
128,000 Development Bank of Singapore Ltd. ... 1,728,864
----------
1,968,091
----------
SPAIN -- 4.5%
42,400 Banco de Santander S.A., ADR.......... 2,692,400
86,000 Iberdrola S.A. ....................... 1,218,872
----------
3,911,272
----------
SWEDEN -- 1.9%
6,300 ABB AB, Class B....................... 713,227
19,200 Astra AB, Class B..................... 926,332
----------
1,639,559
----------
SWITZERLAND -- 1.9%
615 ABB AG................................ 765,017
150 Danzas Holding AG..................... 166,418
549 Novartis AG (Bearer Shares)+.......... 628,747
107 Novartis AG (Regular Shares)+......... 122,167
----------
1,682,349
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
TAIWAN -- 0.6%
57,500 Hocheng, GDR**........................ $ 500,250
----------
THAILAND -- 1.2%
5,500 Bangkok Bank Public Company Ltd.
(Foreign)........................... 53,186
146,800 Industrial Finance Corporation of
Thailand (Foreign).................. 397,824
8,900 Siam Cement Public Company Ltd.
(Foreign)............................. 280,402
167,400 Thai Military Bank Ltd. (Foreign)..... 329,630
----------
1,061,042
----------
Total Common Stocks (Cost
$73,392,354)........................ 77,596,719
----------
RIGHTS -- 0.0%#
Cost $4,215)
INDONESIA -- 0.0%#
12,350 Sinar Mas Multiartha, Expires
01/02/1997+........................... 6,405
----------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
CONVERTIBLE CORPORATE BONDS -- 3.1%
JAPAN -- 1.3%
JPY Matasushita Electric Works Ltd.,
111,000,000 2.700% due 05/31/2002............... 1,113,738
----------
TAIWAN -- 1.6%
$ 920,000 President Enterprise Corporation,
Zero coupon due 07/22/2001............ 1,386,900
----------
THAILAND -- 0.2%
160,000 Bangkok Bank,
3.250% due 03/03/2004................. 156,800
----------
Total Convertible Corporate Bonds
(Cost $2,773,940)..................... 2,657,438
----------
REPURCHASE AGREEMENT -- 4.4%
(Cost $3,766,000)
3,766,000 Agreement with Goldman Sachs &
Company, 6.050% dated 12/31/1996 to
be repurchased at $3,767,266 on
01/02/1997, collateralized by
$3,695,000 U.S. Treasury Note,
7.875% due 04/15/1998 (Market value
$3,846,495).........................
3,766,000
------------
TOTAL INVESTMENTS (COST $79,936,509*).........
97.3% 84,026,562
OTHER ASSETS AND LIABILITIES (NET)............
2.7 2,349,839
----- ------------
NET ASSETS....................................
100.0% $ 86,376,401
===== ============
</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.
52
<PAGE> 55
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1996
December 31, 1996, industry classification of the Managed Global Series was as
follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------- ---------- -----------
<S> <C> <C>
LONG TERM INVESTMENTS:
Financial Services..................... 18.9% $16,344,700
Electronics............................ 12.1 10,430,681
Telecommunications..................... 10.6 9,112,115
Consumer............................... 10.2 8,810,883
Food and Beverage Products............. 5.6 4,790,317
Energy................................. 4.9 4,263,334
Transportation......................... 4.9 4,228,346
Industrial............................. 4.4 3,795,855
Resources.............................. 4.2 3,620,295
Manufacturing.......................... 3.2 2,792,439
Drugs.................................. 1.9 1,677,246
Engineering............................ 1.8 1,571,200
Forest/Paper........................... 1.8 1,514,443
Real Estate............................ 1.7 1,484,796
Other.................................. 6.7 5,823,912
----- -----------
TOTAL LONG TERM INVESTMENTS............ 92.9 80,260,562
REPURCHASE AGREEMENT................... 4.4 3,766,000
----- -----------
TOTAL INVESTMENTS...................... 97.3 84,026,562
OTHER ASSETS AND LIABILITIES (NET)..... 2.7 2,349,839
----- -----------
NET ASSETS............................. 100.0% $86,376,401
===== ===========
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
-------------------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
- ----------- --------------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
03/05/1997 JPY 746,395,600 $7,117,477 $ 7,019,192 $ (98,285)
03/05/1997 JPY 1,320,800,000 12,860,759 12,420,958 (439,801)
03/05/1997 JPY 1,475,769,400 14,000,000 13,878,308 (121,692)
04/02/1997 DEM 5,578,275 3,753,576 3,646,897 (106,679)
10/24/1997 JPY 803,896,500 7,588,526 7,243,658 (344,868)
----------
$(1,111,325)
==========
</TABLE>
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>
01/02/1997 FIM 353,620 $ 75,934 $ 76,874 $ (940)
03/05/1997 JPY 1,109,515,000 11,000,000 10,434,009 565,991
03/05/1997 JPY 1,112,650,000 11,000,000 10,463,491 536,509
03/05/1997 JPY 1,320,800,000 13,000,000 12,420,958 579,042
03/05/1997 FRF 19,600,000 3,854,019 3,791,542 62,477
04/02/1997 DEM 5,578,275 3,700,000 3,646,897 53,103
10/24/1997 JPY 1,071,413,000 10,000,000 9,654,165 345,835
10/24/1997 JPY 536,380,000 5,000,000 4,833,151 166,849
----------
$ 2,308,866
----------
Net Unrealized Appreciation of Forward Foreign Exchange Contracts...
$ 1,197,541
==========
- ----------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
DEM -- German Deutsche Mark
FIM -- Finnish Markka
FRF -- French Franc
GDR -- Global Depositary Receipt
GDS -- Global Depositary Share
JPY -- Japanese Yen
- ----------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
53
<PAGE> 56
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 81.5%
BRAZIL -- 7.6%
2,400 Centrais Electricas de Santa
Catarina+.......................... $ 223,944
3,806,400 Centrais Eletrobras.................. 1,362,699
1,700,000 Cia Paulista de Forca+............... 201,232
29,900 Companhia Vale do Rio Doce, ADR...... 579,462
15,819,800 Telebras............................. 1,134,227
5,100 Telebras, ADR........................ 390,150
------------
3,891,714
------------
CHILE -- 3.3%
10,700 Banco Bhif, ADR+..................... 175,213
9,700 Banco de A. Edwards, ADR............. 173,994
1,999 Cia Telecom, ADR..................... 202,149
7,100 Embotelladora Andina S.A., ADR....... 216,550
27,400 Santa Isabel S.A., ADR............... 619,925
15,749 The Chile Fund....................... 328,760
------------
1,716,591
------------
CHINA -- 0.1%
257,800 Shanghai Kaikai Industrial Company
Ltd.+.............................. 65,997
------------
COLOMBIA -- 1.9%
3,900 Banco Ganadero, Class C, ADR......... 83,850
7,869 Cadenalco, ADR**..................... 83,608
56,400 Carulla, Class B, ADR**.............. 239,700
43,484 Cementos Diamante, B Shares,
ADR+**............................. 565,292
------------
972,450
------------
CZECH REPUBLIC -- 1.0%
5,040 Komercni Banka, GDR**................ 127,492
8,374 Restitution Investment Fund+......... 260,475
3,000 Skoda Koncern Plzen+................. 106,442
------------
494,409
------------
GREECE -- 1.7%
4,000 Alpha Credit Bank.................... 254,550
7,100 Hellenic Bottling Company S.A........ 227,496
6,790 Titan Cement Company................. 369,210
------------
851,256
------------
HONG KONG -- 5.1%
3,644,000 First Sign International Holdings
Ltd. .............................. 1,166,061
400,000 Lai Sun Development Company Ltd. .... 605,081
1,200,000 Moulin International Holdings
Ltd. .............................. 837,805
------------
2,608,947
------------
HUNGARY -- 1.0%
40,900 Magyar Olaj es Gazipari, GDR......... 511,250
------------
INDIA -- 5.0%
13,800 Bombay Suburban Electric Company,
GDR................................ 284,625
27,400 Crompton Greaves Ltd., GDR+.......... 108,915
7,000 Indian Hotels, GDS**................. 177,170
21,900 Indian Petrochemicals Corporation,
GDR................................ 252,945
38,200 Larsen & Toubro Ltd., GDR............ 556,765
49,000 Mahindra & Mahindra Ltd., GDR**...... 575,754
16,000 State Bank of India, GDR+............ 281,600
34,000 Tata Engineering & Locomotive
Company, GDR....................... 363,392
------------
2,601,166
------------
INDONESIA -- 4.2%
494,798 PT Bank International Indonesia
(Foreign).......................... 487,048
21,500 PT Guang Garam (Foreign)............. 92,845
112,024 PT Indah Kiat Pulp and Paper
(Foreign).......................... 81,812
41,000 PT Indosat (Foreign)................. 112,828
90,000 PT Jaya Real Property (Foreign)...... 125,741
79,000 PT Lippo Karawaci (Foreign).......... 90,305
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
INDONESIA -- (CONTINUED)
267,000 PT Lippo Life Insurance (Foreign).... $ 245,862
475,776 PT Mulia Industrindo (Foreign)....... 493,502
32,000 PT Semen Cibinong (Foreign).......... 90,093
102,000 PT Semen Gresik (Foreign)............ 328,196
------------
2,148,232
------------
ISRAEL -- 2.2%
45,000 Blue Square-Israel Ltd., ADR+........ 641,250
1,860 Koor Industries...................... 161,679
28,320 Osem Investment Ltd. ................ 159,929
7,980 Super-Sol Ltd. ...................... 195,912
------------
1,158,770
------------
KOREA -- 3.8%
8,217 Cho Hung Bank Company................ 66,266
2,685 Daehan City Gas Company.............. 193,828
1,930 Daesung Industrial Company........... 113,059
925 Dong-ah Construction Industrial
Company............................ 19,704
7,280 Hyundai Housing & Industrial
Development+....................... 120,615
4,470 Kookmin Bank......................... 73,188
3,004 Kookmin Bank, GDR**.................. 56,085
11,100 Korea Electric Power Corporation..... 323,148
8,845 Korea Exchange Bank.................. 83,279
356 Korean Mobile Telecom. Corporation... 362,614
5,900 L.G. Construction Ltd. .............. 117,644
1,460 L.G. Insurance Company Ltd. ......... 81,458
21 Samsung Electronics Company Ltd. .... 1,230
260 Samsung Electronics Company Ltd.
(New).............................. 13,996
20 Samsung Electronics Company Ltd., GDR
(1/2 Voting)**..................... 816
7 Samsung Electronics Company Ltd., GDR
(1/2 Voting) (New)+**.............. 280
300 Samsung Fire & Marine Insurance...... 123,266
2,172 Shinhan Bank......................... 34,659
6,800 Tong Yang Confectionery Company...... 149,681
------------
1,934,816
------------
MALAYSIA -- 13.5%
27,000 Amway Holdings BHD+.................. 152,881
86,000 Antah Holdings BHD................... 117,822
213,000 Commerce Asset Holdings BHD.......... 1,602,455
124,000 Gadek BHD............................ 964,799
33,333 Gadek Capital BHD+................... 87,771
97,000 Gopeng BHD........................... 203,564
75,000 Kedah Cement Holdings BHD............ 148,485
46,000 Konsortium Perkapalan BHD+........... 309,642
96,000 Malaysia International Shipping
Company BHD........................ 285,092
146,000 Metroplex BHD........................ 179,212
9,000 MNI Holdings BHD..................... 46,684
23,000 Nam Fatt BHD......................... 69,669
159,000 Rashid Husain BHD.................... 1,051,396
120,000 Renong BHD........................... 212,869
203,000 Tanjong BHD.......................... 811,839
81,000 United Engineers BHD................. 731,261
------------
6,975,441
------------
MEXICO -- 11.7%
103,500 Cementos Mexicanos S.A., Class B..... 403,639
53 Controladora de Farmacias, Series
B.................................. 0
100,700 Corporacion Geo S.A., Series B+...... 492,499
</TABLE>
See Notes to Financial Statements.
54
<PAGE> 57
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MEXICO -- (CONTINUED)
44,000 Empresas La Moderna.................. $ 215,193
12,500 Empresas La Moderna, ADR............. 246,875
189,200 Fomento Economico Mexicana, Class B.. 648,932
147,004 Gruma S.A. de CV, Series B........... 896,366
46,600 Grupo Financiero, ADR+............... 192,225
37,500 Grupo Financiero Banamex, Series B+.. 79,173
335,625 Grupo Financiero del Norte, Class B.. 332,555
2,098 Grupo Financiero Inbursa, Series B... 7,171
325,000 Grupo Posadas S.A., Series L+........ 146,977
13,700 Grupo Telivisa, GDR+................. 351,062
27,100 Kimberly Clark de Mexico, Class A.... 534,977
15,000 Kimberly Clark de Mexico, Class B+... 290,587
101,400 Sanluis Corporacion S.A.............. 628,598
37,800 Sigma Alimentos, Class B............. 340,450
1,117 Telefonos de Mexico S.A., ADR........ 36,861
95,250 Telefonos de Mexico S.A., Series L... 157,782
------------
6,001,922
------------
PAKISTAN -- 0.4%
39,720 Engro Chemical....................... 133,292
24,200 Karachi Electric Supply Company...... 11,321
6,760 Pakistan State Oil................... 43,684
------------
188,297
------------
PERU -- 1.3%
12,000 Buenaventura, ADR.................... 204,750
12,000 Cia de Minas Buenaventura............ 87,306
6,099 Credicorp Ltd. ...................... 112,828
210,000 Fabril Pacifico+..................... 289,489
------------
694,373
------------
PHILIPPINES -- 3.7%
108,000 Bankard Inc.+........................ 38,601
545 Benpress Holdings Corporation, GDR+.. 4,085
198,000 C&P Homes............................ 101,635
2,015,000 Centennial City Inc. ................ 229,848
20 Empire East Land Holdings+........... 9
375,000 International Container Terminal
Services, Inc. .................... 196,055
28,300 La Tondena Distillers Inc. .......... 69,943
318,000 Marsman & Company Inc, Class B....... 82,825
5,985 Mega World Properties & Holdings..... 2,389
8,400 Metro Pacific Inc. .................. 2,076
242,000 Mondragon International.............. 108,118
218,000 PCI Leasing and Finance, Inc.+....... 57,608
5,500 Philippine Long Distance Telephone... 302,186
37,110 Philippine Savings Bank+............. 88,895
9,000 Republic Glass....................... 1,745
42,000 San Miguel Corporation, Class A...... 88,631
738,500 SM Prime Holdings Inc. .............. 190,943
834,000 Solid Group Inc.+.................... 171,240
1,200 Southeast Asia Cement Holdings
Inc. .............................. 139
798,000 Uniwide Holdings Inc.+............... 157,780
------------
1,894,751
------------
POLAND -- 1.6%
21,153 Agros Holding S.A.+.................. 556,969
15,200 Jutrzenka............................ 294,204
------------
851,173
------------
RUSSIA -- 1.8%
45,800 Gazprom, ADR+**...................... 808,370
2,900 Tatneft, ADR+**...................... 139,200
------------
947,570
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
SOUTH AFRICA -- 3.6%
251,600 Bidvest Group Ltd. .................. $ 1,304,115
214 Liberty Life......................... 5,375
378,215 Meikles Africa Ltd.+................. 559,758
------------
1,869,248
------------
THAILAND -- 4.2%
31,800 BEC World Public Company
(Foreign)+......................... 305,030
209,000 Big C Supercenter Public Company Ltd.
(Foreign)+......................... 240,408
57,400 Finance One Company (Foreign)........ 116,385
215,840 Krung Thai Bank (Foreign)............ 420,806
73,700 Nawarat Patanakarn (Foreign)......... 86,212
69,200 Phatra Thanakit Company (Foreign).... 196,974
64,400 Sahaviriya Steel Industries
(Foreign)+......................... 21,344
9,400 Siam Cement Public Company Ltd.
(Foreign).......................... 296,155
212,350 Siam City Bank Public Company Ltd.
(Foreign).......................... 198,721
41,000 Suzuki Company (Foreign)+............ 47,961
48,100 Telecom Asia (Foreign)+.............. 100,341
43,054 T.P.I. Polene Public Company Ltd.
(Foreign).......................... 79,740
32,900 Unithai Line (Foreign)............... 44,579
------------
2,154,656
------------
VENEZUELA -- 2.8%
46,056 Banco Provincial..................... 85,585
309,609 Electricidad de Caracas.............. 313,994
136,624 Mavesa S.A., ADR**................... 879,346
655 Siderurgica Venezolana, Class B+..... 450
1,138,075 Sudamtex de Venezuela C.A., Series
B.................................. 95,585
125,675 Venaseta, Class A.................... 7,916
25,135 Venaseta, Class B.................... 1,689
171,429 Venezolana de Pulpa Y Papel, Series
A.................................. 53,453
------------
1,438,018
------------
Total Common Stocks
(Cost $41,137,794)................. 41,971,047
------------
PREFERRED STOCKS -- 4.5%
BRAZIL -- 4.5%
52,760,700 Banco Bradesco....................... 382,339
325,000 Centrais Eletrobras.................. 120,729
1,951,000 Mesbla............................... 9,388
6,432,500 Petroleo Brasileir................... 1,024,520
391,904,856 Usiminas............................. 399,787
20,200 Vale do Rio Doce..................... 388,798
------------
Total Preferred Stocks
(Cost $2,560,090).................. 2,325,561
------------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION
DATE
----------
WARRANTS AND RIGHTS -- 8.8%
<C> <S> <C> <C>
BRAZIL -- 0.0%#
9,879 Paulista de Forca+......... 01/16/1997 339
HONG KONG -- 0.1%
5,260,000 Guangzhou Invest+.......... 11/27/1997 83,649
INDONESIA -- 0.1%
PT Indah Kiat Pulp and
142,249 Paper+................... 04/13/2001 43,662
</TABLE>
See Notes to Financial Statements.
55
<PAGE> 58
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
EXPIRATION VALUE
SHARES DATE (NOTE 1)
- ----------- ---------- --------
WARRANTS AND RIGHTS -- (CONTINUED)
<C> <S> <C> <C>
MALAYSIA -- 0.6%
75,000 Antah Holdings BHD+............ 08/19/1999 $ 49,891
63,000 Gadek BHD+..................... 12/19/2000 239,477
-------
289,368
Total Warrants and Rights -------
(Cost $265,379) 417,018
=========
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ---------
CONVERTIBLE BONDS -- 4.9%
<C> <S> <C> <C>
SOUTH AFRICA -- 4.9%
$2,250,000 Barlow Ltd,
7.000% due 09/20/2004......... 2,435,625
20,000 Bidvest Group Ltd.,
33.008% due 09/29/2000........ 100,587
----------
Total Convertible Bonds......... 2,536,512
==========
U.S. Treasury Obligation -- 5.3%
(Cost $2,724,612)
U.S. TREASURY BILL:
2,730,000 5.010%++ due 01/16/1997........ 2,724,612
TOTAL INVESTMENTS (COST $49,340,088*).......... 97.0% 49,974,750
OTHER ASSETS AND LIABILITIES (NET)............. 3.0 1,535,683
----- -----------
NET ASSETS..................................... 100.0% $51,510,433
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $49,532,209.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
+++ Floating rate security. Rate shown is rate in effect at 12/31/96.
# Amount is less than 0.1%.
The industry classification of the Emerging Markets Series at December 31, 1996
was as follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ---------- -----------
<S> <C> <C>
LONG TERM INVESTMENTS:
Food and Beverage Products............. 8.9% $ 4,569,425
Diversified Holdings................... 8.3 4,279,518
Banking/Financials..................... 7.6 3,926,276
Financial Services..................... 7.5 3,858,569
Banks.................................. 6.5 3,360,339
Oil/Gas................................ 4.8 2,483,340
Construction........................... 4.0 2,050,633
Communication/Telecommunications....... 4.0 2,046,374
Retail................................. 3.9 1,995,523
Electric Utilities..................... 3.4 1,768,054
Metal Mining........................... 3.3 1,706,787
Building Materials..................... 3.1 1,576,720
Textiles and Apparel................... 2.9 1,502,055
Utility................................ 2.8 1,421,597
Industrial............................. 2.7 1,390,832
Property/Real Estate................... 2.6 1,345,951
Engineering/Construction............... 2.2 1,146,543
Consumer............................... 1.6 811,460
Transportation......................... 1.2 639,313
Electric/Electric Machinery............ 1.2 637,142
Paper and Allied Products.............. 1.2 632,092
Electronics............................ 0.6 296,477
Other.................................. 7.4 3,805,118
-----------
TOTAL LONG TERM INVESTMENTS............ 91.7 47,250,138
U.S. TREASURY BILL..................... 5.3 2,724,612
-----------
TOTAL INVESTMENTS...................... 97.0 49,974,750
OTHER ASSETS AND LIABILITIES (NET)..... 3.0 1,535,683
-----------
NET ASSETS............................. 100.0% $51,510,433
===========
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACT
FORWARD FOREIGN EXCHANGE CONTRACT TO BUY
<TABLE>
<CAPTION>
CONTRACT TO RECEIVE
-------------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ----------- ---------------- ----------- -------- ------------
<S> <C> <C> <C> <C> <C>
01/2/1997 PHP 670,000 25,500 25,476 $(24)
Net Unrealized Depreciation of Forward Foreign Exchange Contract $(24)
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
ADS -- American Depositary Share
GDR -- Global Depositary Receipt
GDS -- Global Depositary Share
PHP -- Philippine Peso
</TABLE>
See Notes to Financial Statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
NATURAL RESOURCES SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 90.1%
ALUMINUM -- 2.0%
50,850 Century Aluminum Company............... $ 877,162
------------
BUILDING MATERIALS -- 1.1%
38,000 Dayton Superior Corporation+........... 498,750
------------
BUILDING PRODUCTS -- 1.1%
12,900 Rayonier, Inc. ........................ 495,038
------------
CHEMICALS -- 1.4%
25,300 General Chemical Group Inc. ........... 597,713
------------
DIVERSIFIED MINING -- 1.4%
95,000 WMC Ltd. .............................. 598,800
------------
ELECTRONICS -- 1.3%
30,000 Input/Output, Inc.+.................... 555,000
------------
ENGINEERING -- 1.0%
35,000 Bouygues Offshore S.A., ADR+........... 450,625
------------
FOREST PRODUCTS AND PAPER -- 7.3%
24,750 Buckeye Cellulose Corporation+......... 658,969
11,000 Champion International Corporation..... 475,750
12,000 Consolidated Papers Inc. .............. 589,500
34,000 Fort Howard Corporation+............... 941,375
8,000 Willamette Industries, Inc. ........... 559,000
------------
3,224,594
------------
GOLD/MINING -- 16.6%
19,000 Barrick Gold Corporation............... 543,875
40,000 Battle Mountain Gold Company........... 275,000
590,919 Consolidated Gold+..................... 220,755
40,000 Dreifontein Consolidated Ltd., ADR..... 400,000
30,000 Echo Bay Mines Ltd. ................... 198,750
130,000 Emperor Mines Ltd.+.................... 253,160
24,100 Getchell Gold Corporation+............. 924,838
164,000 Herald Resources Ltd. ................. 121,230
42,000 Kloof Gold Mining Ltd., ADR............ 328,125
80,000 Nambian Minerals Corporation+.......... 321,273
100,000 Newcrest Mining Ltd., ADR.............. 397,425
21,750 Newmont Mining Corporation............. 973,312
15,000 Placer Dome Inc., ADR.................. 326,250
75,000 Plutonic Resources Ltd. ............... 348,740
100,000 Sons of Gwalia Ltd. Ord................ 590,574
30,000 Teck Corporation, Class B.............. 695,484
50,000 TVX Gold Inc., ADR+.................... 387,500
------------
7,306,291
------------
INSURANCE -- 0.1%
1,000 Highlands Insurance Group Inc.+........ 20,250
------------
MARINE TRANSPORTATION -- 1.0%
8,800 Trico Marine Services, Inc.+........... 422,400
------------
METAL MINING -- 1.8%
19,000 Alumax, Inc.+.......................... 634,125
40,000 Miramar Mining Corporation+............ 175,240
------------
809,365
------------
METALS -- 3.5%
262,000 Pasminco Limited Ord................... 412,336
338,500 Portman Mining Limited+................ 634,974
14,300 Titanium Metals Corporation+........... 470,113
------------
1,517,423
------------
METALS -- MISCELLANEOUS -- 2.9%
15,100 Cameco Corporation..................... 605,301
7,800 Potash Corporation of Saskatchewan
Inc. ................................ 663,000
------------
1,268,301
------------
MINING -- 2.5%
37,300 PT Tambang Timah, GDR**................ 670,654
211,400 QNI Ltd. .............................. 425,119
------------
1,095,773
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
NON-FERROUS METALS -- 1.1%
7,500 RTZ Corporation PLC, ADR............... $ 480,000
------------
OIL AND GAS EXPLORATION -- 22.6%
53,000 Abacan Resource Corporation+........... 460,438
125,000 Canadian 88 Energy Corporation+........ 547,625
30,000 Ensign Resource Service Group.......... 553,101
30,000 Flores and Rucks Inc.+................. 1,597,500
75,000 HarCor Energy, Inc.+................... 365,625
15,000 Louisiana Land and Exploration
Company.............................. 804,375
48,000 Morrison Petroleums Ltd.+.............. 289,146
15,000 Nuevo Energy Company+.................. 780,000
115,000 Pacalta Resources Ltd.+................ 680,150
14,500 Petroleum Securities Australia Ltd.,
ADR+................................. 329,875
20,500 Snyder Oil Corporation................. 356,188
21,000 Stone Energy Corporation+.............. 627,375
10,000 Talisman Energy Inc.+.................. 332,956
19,000 Triton Energy Ltd.+.................... 921,500
25,000 United Meridian Corporation+........... 1,293,750
------------
9,939,604
------------
OIL AND GAS -- EXTRACTION -- 1.4%
42,000 Camboir Inc. .......................... 619,474
------------
OIL/GAS -- DOMESTIC -- 1.6%
13,000 Forest Oil Corporation+................ 229,125
10,000 Noble Affiliates Inc. ................. 478,750
------------
707,875
------------
OIL/GAS -- EQUIPMENT AND SERVICES -- 10.8%
11,700 Baker Hughes, Inc. .................... 403,650
16,000 BJ Services Company+................... 816,000
9,200 Diamond Offshore Drilling Inc.+........ 524,400
10,000 ENSCO International, Inc.+............. 485,000
10,000 Falcon Drilling Company, Inc.+......... 392,500
17,800 Forasol-Foramer NV+.................... 349,325
5,000 Halliburton Company.................... 301,250
45,000 Marine Drilling Companies Inc.+........ 885,938
25,000 Pride Petroleum Services Inc.+......... 581,250
1 Transocean Offshore, Inc.+............. 18
------------
4,739,331
------------
OIL/GAS -- INTERNATIONAL -- 5.9%
8,000 British Petroleum PLC, ADR............. 1,131,000
13,000 Ente Nazionale Idrocarburi SpA, ADR.... 671,125
6,500 Mobil Oil Corporation.................. 794,625
------------
2,596,750
------------
PLATINUM/MINING -- 0.6%
657 Rustenburg Platinum Holdings Ltd.,
ADR.................................. 9,034
13,000 Stillwater Mining Company+............. 235,625
------------
244,659
------------
UTILITY -- 1.1%
25,000 Nabors Industries, Inc.+............... 481,250
------------
Total Common Stocks (Cost
$31,174,724)......................... 39,546,428
------------
WARRANT -- 1.3%
(Cost $512,689)
OIL AND GAS EXPLORATION -- 1.3%
195,000 Windsor Energy Corporation, Expires
06/18/1997........................... 569,530
------------
</TABLE>
See Notes to Financial Statements.
57
<PAGE> 60
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
NATURAL RESOURCES SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 9.1%
$2,000,000 American Express Company,
6.750%++ due 01/02/1997....... $ 1,999,625
2,000,000 General Electric Capital
Corporation, 5.500%++ due
01/02/1997.................... 1,999,694
-----------
Total Commercial Paper (Cost
$3,999,319)................... 3,999,319
-----------
TOTAL INVESTMENTS (COST $35,686,732*).......... 100.5% 44,115,277
OTHER ASSETS AND LIABILITIES (NET)............. (0.5) (211,877)
------- -----------
NET ASSETS..................................... 100.0% $43,903,400
====================
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $35,775,400.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration
to qualified institutional buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
The summary of investments by country at December 31, 1996 was as follows:
<TABLE>
<CAPTION>
% OF TOTAL
COUNTRY INVESTMENTS
- ----------------------------------------------------- ----------
<S> <C>
Australia............................................ 9.8%
Canada............................................... 17.0
France............................................... 1.8
Great Britain........................................ 3.7
Indonesia............................................ 1.5
Italy................................................ 1.5
South Africa......................................... 1.7
United States........................................ 63.0
-----
100.0%
==========
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACT
FORWARD FOREIGN EXCHANGE CONTRACT TO BUY
<TABLE>
<CAPTION>
CONTRACT TO RECEIVE
----------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ----------- ------------- ----------- --------- ------------
<S> <C> <C> <C> <C>
01/02/1997 AUD 79,813 $63,755 $63,440 $(315)
-----
Net Unrealized Depreciation on Forward Foreign Exchange
Contract............................................... $(315)
=====
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
AUD -- Australian Dollar
GDR -- Global Depositary Receipt
</TABLE>
See Notes to Financial Statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
REAL ESTATE SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
COMMON STOCKS -- 88.0%
<C> <S> <C>
APARTMENTS -- 18.0%
18,400 Associated Estates Realty
Corporation........................... $ 437,000
32,900 Avalon Properties Inc. ............... 945,875
28,100 Bay Apartment Communities, Inc. ...... 1,011,600
23,900 Equity Residential Properties Trust... 985,875
31,700 Irvine Apartment Communities.......... 792,500
14,500 Oasis Residential, Inc. .............. 329,875
27,100 Post Properties Inc. ................. 1,090,775
12,200 Security Capital Atlantic Inc. ....... 298,900
63,900 Security Capital Pacific Trust........ 1,461,712
30,000 Smith, Charles E. Residential Realty
Inc. ................................. 877,500
36,300 United Dominion Realty Trust Inc. .... 562,650
17,900 Wellsford Residential Property
Trust................................. 434,075
----------
9,228,337
----------
HEALTH CARE REAL ESTATE -- 7.3%
30,000 American Health Properties Inc. ...... 716,250
31,900 Health Care Property Investors
Inc. ................................. 1,116,500
32,800 LTC Properties Inc. .................. 606,800
52,800 Nationwide Health Properties Inc. .... 1,280,400
----------
3,719,950
----------
MANUFACTURED HOUSING -- 3.1%
31,800 ROC Communities Inc. ................. 882,450
20,800 Sun Communities Inc. ................. 717,600
----------
1,600,050
----------
OFFICE/INDUSTRIAL -- 24.4%
45,100 Arden Realty Group, Inc. ............. 1,251,525
15,800 Cali Realty Corporation............... 487,825
66,900 CarrAmerica Realty Corporation........ 1,956,825
32,000 Crescent Real Estate Equities
Company............................... 1,688,000
23,200 Duke Realty Investments, Inc. ........ 893,200
31,700 Highwood Properties Inc. ............. 1,069,875
46,900 Liberty Property Trust................ 1,207,675
11,000 Reckson Associates Realty
Corporation........................... 464,750
50,283 Security Capital Industries........... 1,074,799
35,300 Spieker Properties Inc. .............. 1,270,800
34,000 Weeks Corporation..................... 1,130,500
----------
12,495,774
----------
REGIONAL MALLS -- 12.6%
21,300 General Growth Properties............. 686,925
57,400 Macerich Company...................... 1,499,575
46,500 Rouse Company......................... 1,476,375
59,400 Simon DeBartolo Group, Inc. .......... 1,841,400
72,800 Taubman Centers Inc. ................. 937,300
----------
6,441,575
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
SELF-STORAGE -- 4.1%
15,800 Shurgard Storage Centers Inc., Class
A..................................... $ 468,075
27,600 Storage Trust Realty.................. 745,200
22,700 Storage USA Inc. ..................... 854,088
----------
2,067,363
----------
SHOPPING CENTERS -- 9.1%
26,300 Developers Diversified Realty
Corporation........................... 976,388
39,950 Kimco Realty Corporation.............. 1,393,256
29,700 Vornado Realty Trust.................. 1,559,250
18,300 Weingarten Realty, Inc. .............. 743,437
----------
4,672,331
----------
SPECIALTY REAL ESTATE -- 9.4%
44,800 Franchise Finance Corporation of
America............................... 1,237,600
8,202 Homestead Village, Inc.+.............. 147,636
34,300 Patriot American Hospitality Inc. .... 1,479,188
34,900 Starwood Lodging Trust................ 1,923,862
----------
4,788,286
----------
Total Common Stocks (Cost
$32,985,208)........................ 45,013,666
----------
WARRANT -- 0.1%
(Cost $42,303)
APARTMENTS -- 0.1%
5,502 Homestead Village Inc., Expires
10/27/1997.......................... 44,704
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
CONVERTIBLE BOND -- 0.8%
<C> <S> <C> <C>
(Cost $361,527)
APARTMENTS -- 0.8%
$ 360,000 Camden Property Trust, Conv.,
7.330% due 04/01/2001........ 421,650
-----------
U.S. TREASURY OBLIGATIONS -- 8.8%
U.S. TREASURY BILLS:
2,575,000 5.048%++ due 01/02/1997........ 2,574,650
1,925,000 4.920%++ due 03/06/1997........ 1,907,726
-----------
Total U.S. Treasury Obligations
(Cost $4,482,939)............ 4,482,376
-----------
TOTAL INVESTMENTS (COST $37,871,977*)......... 97.7% 49,962,396
OTHER ASSETS AND LIABILITIES (NET)............ 2.3 1,172,212
------- -----------
NET ASSETS.................................... 100.0% $51,134,608
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $37,864,046.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
59
<PAGE> 62
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MARKET MANAGER SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATION -- 44.3%
(Cost $2,368,575)
$3,168,000 U.S. Treasury Strip,
7.285%++ due 02/15/2001.............. $2,471,356
------------
CORPORATE BONDS AND NOTES -- 7.1%
FINANCIAL SERVICES -- 4.0%
305,000 Cabco (Texaco Capital),
Zero coupon due 10/01/2001........... 224,198
------------
INDUSTRIAL -- 3.1%
177,000 Philip Morris Companies Inc.,
6.000% due 07/15/2001................ 171,469
------------
Total Corporate Bonds
and Notes (Cost $378,690)............ 395,667
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ------- ----------
<C> <S> <C> <C> <C>
CALL OPTIONS PURCHASED** -- 48.4%
8,040 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 $178.50 $ 842,818
2,610 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 269,911
1,661 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 184,040
2,946 S&P 500 European...... 03/06/2001 485.63 921,690
959 S&P 500 European...... 03/06/2001 485.63 295,455
611 S&P 500 European...... 03/06/2001 485.63 190,372
----------
Total Call Options Purchased
(Cost $1,279,286)......................... 2,704,286
==========
TOTAL INVESTMENTS (COST $4,026,551*)............ 99.8% 5,571,309
OTHER ASSETS AND LIABILITIES (NET).............. 0.2 13,551
----- ----------
NET ASSETS...................................... 100.0% $5,584,860
===== ==========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** The Market Manager Series is exposed to risks on these call options purchased
if the counterparties are unable to meet the terms of the contracts. Such
risks are limited to the cost of such investments.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
60
<PAGE> 63
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 36.5%
AEROSPACE/DEFENSE -- 0.5%
12,600 Gencorp, Inc. ....................... $ 228,375
20,000 General Motors Corporation, Class
H.................................. 1,125,000
------------
1,353,375
------------
AUTOMOBILE PARTS -- 0.4%
17,000 Cummins Engine Company, Inc. ........ 782,000
10,100 Excel Industries, Inc. .............. 167,913
2,000 SPX Corporation...................... 77,500
7,700 Standard Products Company............ 196,350
------------
1,223,763
------------
AUTOMOTIVE -- 1.8%
55,600 Chrysler Corporation................. 1,834,800
37,800 Ford Motor Company................... 1,204,875
24,100 General Motors Corporation........... 1,343,575
9,900 Simpson Industries, Inc. ............ 107,817
12,500 Volvo AB, ADR........................ 271,875
------------
4,762,942
------------
BANKS -- 1.2%
21,700 BankAmerica Corporation.............. 2,164,575
9,500 Chase Manhattan Corporation.......... 847,875
8,800 City National Corporation............ 190,300
4,400 Washington Mutual Savings Bank....... 190,575
------------
3,393,325
------------
BICYCLES -- 0.0%#
8,300 Huffy Corporation.................... 119,313
------------
CHEMICALS -- 1.4%
11,100 du Pont (E. I.) de Nemours &
Company............................ 1,047,563
23,200 Olin Corporation..................... 872,900
23,400 Rohm & Haas Company.................. 1,910,025
------------
3,830,488
------------
CONSTRUCTION -- 0.5%
18,700 Caterpillar Inc. .................... 1,407,175
------------
CONSUMER GOODS -- DURABLES -- 0.4%
20,000 Goodyear Tire & Rubber Company....... 1,027,500
------------
DOMESTIC INVESTMENT COMPANIES -- 1.0%
18,400 Blackrock Strategic Term Trust,
Inc. .............................. 147,200
18,400 Blackrock 2001 Term Trust, Inc. ..... 144,900
18,400 Gabelli Equity Trust, Inc. .......... 172,500
32,300 Gabelli Global Multimedia Trust,
Inc. .............................. 222,062
35,200 Global Health Sciences Fund.......... 510,400
21,400 Liberty All-Star Growth Fund......... 200,625
19,633 Morgan Grenfell SMALLcap Fund,
Inc. .............................. 206,147
11,300 New Age Media Fund, Inc. ............ 141,250
13,100 Pilgrim America Bank & Thrift Fund,
Inc. .............................. 206,325
41,435 Royce Value Trust.................... 523,117
12,300 Tri-Continental Corporation.......... 296,737
------------
2,771,263
------------
FINANCE AND FINANCIAL SERVICES -- 3.1%
15,400 Ahmanson (H.F.) & Company............ 500,500
7,500 Alex Brown, Inc. .................... 543,750
7,700 American Bankers Insurance Group
Inc. .............................. 393,663
48,340 Bear Stearns Companies, Inc. ........ 1,347,478
34,500 Edwards (A.G.), Inc. ................ 1,160,062
12,450 Fremont General Corporation.......... 385,950
3,300 GATX Corporation..................... 160,050
17,700 Merrill Lynch & Company, Inc. ....... 1,442,550
24,400 Paine Webber Group Inc. ............. 686,250
38,600 Salomon, Inc. ....................... 1,819,025
------------
8,439,278
------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
FOOD AND BEVERAGES -- 0.2%
25,300 Coors (Adolph) Company, Class B...... $ 480,700
------------
FOOD AND KINDRED PRODUCTS -- 0.0%#
7,500 Chiquita Brands International,
Inc. .............................. 95,625
------------
FOREIGN INVESTMENT COMPANIES -- 1.6%
8,300 Brazil Fund Inc. .................... 184,675
4,400 Central European Equity Fund,
Inc. .............................. 86,900
8,500 Clemente Global Growth Fund, Inc. ... 63,750
29,300 Emerging Germany Fund, Inc. ......... 238,063
13,200 Emerging Markets Infrastructure Fund,
Inc. .............................. 143,550
11,500 Emerging Markets Telecommunications
Fund, Inc. ........................ 175,375
8,600 Emerging Mexico Fund, Inc. .......... 63,425
11,000 Europe Fund, Inc. ................... 177,375
8,500 First Iberian Fund, Inc. ............ 93,500
7,800 First Israel Fund, Inc. ............. 92,625
13,700 France Growth Fund, Inc. ............ 142,137
12,000 G.T. Global Developing Markets
Fund............................... 139,500
23,300 G.T. Greater Eastern Europe Fund,
Inc. .............................. 299,988
400 Latin American Equity Fund, Inc. .... 5,600
3,700 Mexico Fund.......................... 55,500
700 Morgan Stanley Russia & New Europe
Fund, Inc. ........................ 12,600
42,400 New Germany Fund, Inc. .............. 567,100
6,700 Portugal Fund, Inc. ................. 92,125
4,200 Schroder Asian Growth Fund........... 49,875
9,400 Scudder New Asia Fund Inc. .......... 117,500
16,100 Scudder New Europe Fund, Inc. ....... 223,388
13,300 Spain Fund, Inc. .................... 151,287
23,400 Swiss Helvetia Fund.................. 465,075
11,800 Templeton China World Fund........... 156,350
25,200 Templeton Dragon Fund, Inc. ......... 406,350
8,400 Templeton Vietnam Opportunity Fund... 98,700
------------
4,302,313
------------
HAND/MACHINE-TOOLS -- 0.1%
6,000 Black & Decker Corporation........... 180,750
------------
HOMEBUILDING -- 0.3%
6,200 Armstrong World Industries, Inc. .... 430,900
20,300 Kaufman & Broad Home Corporation..... 261,362
7,700 Ryland Group, Inc. .................. 105,875
------------
798,137
------------
HOUSING DEVELOPMENT -- 0.2%
20,800 Fleetwood Enterprises, Inc. ......... 572,000
------------
INSURANCE -- 0.3%
3,300 Orion Capital Corporation............ 201,713
18,700 USLIFE Corporation................... 621,775
------------
823,488
------------
LEISURE, SPORTING & RECREATION -- 0.3%
32,500 Brunswick Corporation................ 780,000
------------
MARINE TRANSPORTATION -- 0.0%#
7,700 Sea Containers, Ltd., Class A........ 120,312
------------
METAL MINING -- 1.1%
32,300 British Steel PLC, ADR............... 888,250
2,500 Cleveland-Cliffs, Inc. .............. 113,437
37,500 Oregon Steel Mills, Inc. ............ 628,125
7,700 Quanex Corporation................... 210,787
33,500 USX-US Steel Group, Inc. ............ 1,051,063
------------
2,891,662
------------
NONDURABLE GOODS -- WHOLESALE -- 0.1%
8,600 Fleming Companies, Inc. ............. 148,350
------------
</TABLE>
See Notes to Financial Statements.
61
<PAGE> 64
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
OIL AND GAS EXTRACTION -- 0.1%
6,000 YPF Sociedad Anonima, ADR............ $ 151,500
------------
PAPER AND FOREST PRODUCTS -- 0.7%
21,600 Bowater Inc. ........................ 812,700
11,500 International Paper Company.......... 464,312
8,500 Pope & Talbot, Inc. ................. 134,938
16,800 Westvaco Corporation................. 483,000
------------
1,894,950
------------
PETROLEUM -- 5.4%
25,000 Ashland Inc. ........................ 1,096,875
6,800 British Petroleum PLC, ADR........... 961,350
20,100 Elf Aquitaine, ADR................... 909,525
14,800 Helmerich & Payne Inc. .............. 771,450
17,400 Kerr-Mcgee Corporation............... 1,252,800
38,200 Occidental Petroleum Corporation..... 892,925
22,100 Pennzoil Company..................... 1,248,650
34,000 Phillips Petroleum Company........... 1,504,500
27,100 Repsol S.A., ADR..................... 1,033,188
9,200 Sun Company, Inc. ................... 224,250
19,400 Texaco, Inc. ........................ 1,903,625
28,700 Unocal Corporation................... 1,165,938
75,100 USX-Marathon Group................... 1,793,012
------------
14,758,088
------------
PRODUCER/MANUFACTURING -- 1.1%
18,800 Herman Miller, Inc. ................. 1,064,550
6,000 Ingersoll-Rand Company............... 267,000
9,100 Johnson Controls Inc. ............... 754,162
7,900 Timken Company....................... 362,413
11,000 TRW Inc. ............................ 544,500
------------
2,992,625
------------
PUBLISHING -- 0.0%#
3,700 American Greetings Corporation....... 104,987
------------
RETAIL, TRADE AND SERVICES -- 2.3%
38,100 American Stores Company.............. 1,557,338
43,500 Dayton Hudson Corporation............ 1,707,375
12,300 Mercantile Stores Company, Inc. ..... 607,312
12,800 Ross Stores Inc. .................... 640,000
9,900 Shopko Stores, Inc. ................. 148,500
26,100 Supervalu, Inc. ..................... 740,587
20,600 TJX Companies, Inc. ................. 975,925
------------
6,377,037
------------
TECHNOLOGY -- 2.1%
7,600 Applied Materials Inc.+.............. 273,125
13,600 Dell Computer Corporation+........... 722,500
21,100 Digital Equipment Corporation+....... 767,513
19,400 Harris Corporation................... 1,331,325
8,400 Intel Corporation.................... 1,099,875
19,200 Microsoft Corporation+............... 1,586,400
------------
5,780,738
------------
TELECOMMUNICATIONS -- 2.7%
18,200 BCE, Inc. ........................... 869,050
29,500 NYNEX Corporation.................... 1,419,688
23,900 Sprint Corporation................... 953,012
32,600 Telefonica de Espana, ADR............ 2,257,550
45,600 Telefono de Mexico S.A., ADR......... 1,504,800
14,800 US West Inc. ........................ 477,300
------------
7,481,400
------------
TOBACCO -- 0.6%
45,200 RJR Nabisco Holdings Corporation..... 1,536,800
------------
VALUE
SHARES (NOTE 1)
- ------------ ------------
TRANSPORTATION -- 1.0%
2,900 Alexander & Baldwin Inc. ............ $ 72,500
12,600 APL Ltd.............................. 297,675
3,300 British Airways PLC, ADR............. 339,075
39,300 CSX Corporation...................... 1,660,425
8,100 KLM Royal Dutch Airlines NV.......... 225,788
------------
2,595,463
------------
UTILITY -- 6.0%
10,800 Allegheny Power System Inc. ......... 328,050
20,000 American Electric Power Company...... 822,500
8,800 Baltimore Gas & Electric Company..... 235,400
18,000 CMS Energy Corporation............... 605,250
9,900 Consolidated Natural Gas Company..... 546,975
23,800 DQE Inc. ............................ 690,200
10,600 DTE Energy Company................... 343,175
7,500 Eastern Enterprises.................. 265,313
48,500 Edison International................. 963,938
11,700 El Paso Natural Gas Company.......... 590,850
38,200 Entergy Corporation.................. 1,060,050
17,100 GPU, Inc. ........................... 574,987
24,200 Illinova Corporation................. 665,500
12,100 Montana Power Company................ 258,637
15,800 New York State Electric & Gas
Company............................ 341,675
17,500 Ohio Edison Company.................. 398,125
18,200 Pacific Gas & Electric Company....... 382,200
18,200 PacifiCorp........................... 373,100
20,000 PanEnergy Corporation................ 900,000
23,300 Pinnacle West Capital Corporation.... 739,775
9,300 PP&L Resources, Inc. ................ 213,900
37,600 Public Service Enterprise Group,
Inc. .............................. 1,024,600
8,400 Questar Corporation.................. 308,700
5,900 Sierra Pacific Resources............. 169,625
18,600 Sonat, Inc. ......................... 957,900
32,300 Texas Utilities Company.............. 1,316,225
17,800 TransCanada Pipeline Ltd............. 311,500
10,800 Unicom Corporation................... 292,950
4,500 United Illuminating Company.......... 141,187
3,300 UtiliCorp United, Inc. .............. 89,100
17,900 Western Resources, Inc. ............. 552,663
------------
16,464,050
------------
Total Common Stocks
(Cost $85,215,256)................. 99,659,397
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
U.S. TREASURY OBLIGATIONS -- 32.2%
<C> <S> <C> <C>
U.S. TREASURY BILL -- 0.7%
$2,000,000 5.145%++ due 01/30/1997............... 1,991,928
----------
U.S. TREASURY BONDS -- 8.4%
10,000,000 7.250% due 08/15/2022................. 10,591,699
3,800,000 7.500% due 11/15/2024................. 4,160,468
4,800,000 7.625% due 02/15/2025................. 5,331,984
2,700,000 6.875% due 08/15/2025................. 2,752,596
----------
22,836,747
----------
U.S. TREASURY NOTES -- 23.1%
31,000,000 6.250% due 08/31/2000................. 31,127,097
7,150,000 5.625% due 11/30/2000................. 7,025,661
6,000,000 10.750% due 05/15/2003................ 7,389,300
13,500,000 7.500% due 02/15/2005................. 14,436,358
3,100,000 6.500% due 05/15/2005................. 3,121,513
----------
63,099,929
----------
Total U.S. Treasury Obligations
(Cost $87,446,662).................. 87,928,604
----------
</TABLE>
See Notes to Financial Statements.
62
<PAGE> 65
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 30.4%
$7,300,000 Ben Network Funding,
5.643%++ due 01/06/1997............ $ 7,294,373
9,500,000 Coca-Cola Company,
5.490%++ due 01/08/1997............ 9,490,025
7,000,000 Duracell International Inc.,
5.690%++ due 01/02/1997............ 6,998,911
2,400,000 Ford Motor Credit Company,
5.820%++ due 01/09/1997............ 2,396,944
9,500,000 Gannett Company,
5.447%++ due 01/07/1997............ 9,491,529
12,600,000 GE Capital Credit Corporation,
5.470%++ due 01/03/1997............ 12,596,241
6,200,000 Lucent Technologies Inc.,
5.510%++ due 01/15/1997............ 6,186,956
9,500,000 Merrill Lynch & Company Inc.,
5.690%++ due 01/02/1997............ 9,498,258
6,600,000 Panasonic,
5.686%++ due 01/21/1997............ 6,579,540
7,600,000 PepsiCo Inc.,
5.450%++ due 01/14/1997............ 7,585,317
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ------------
<C> <S> <C> <C>
$4,700,000 Xerox Corporation,
5.447%++ due 01/09/1997............ $ 4,694,412
Total Commercial Paper
(Cost $82,812,506)................. 82,812,506
TOTAL INVESTMENTS (COST $255,474,424*)........ 99.1% 270,400,507
OTHER ASSETS AND LIABILITIES (NET)............ 0.9 2,390,708
-------
-----
NET ASSETS.................................... 100.0% $272,791,215
============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $255,880,322.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
63
<PAGE> 66
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMON STOCKS -- 49.7%
AEROSPACE/DEFENSE -- 0.6%
35,000 Allegheny Teledyne Inc. ............... $ 805,000
-----------
BUILDING/CONSTRUCTION -- 0.8%
100,000 Schuller Corporation................... 1,062,500
-----------
CONSUMER DURABLES -- 2.1%
34,000 Corning Inc. .......................... 1,572,500
30,000 Polaroid Corporation................... 1,305,000
-----------
2,877,500
-----------
CONSUMER PRODUCTS -- 1.7%
10,000 Cross (A.T.) Company, Class A.......... 116,250
95,000 Hanson PLC, ADR........................ 641,250
3,750 Imperial Tobacco Group PLC, ADR+....... 47,813
14,000 Philip Morris Companies Inc. .......... 1,589,000
-----------
2,394,313
-----------
ELECTRIC UTILITIES -- 6.3%
550,000 Centerior Energy Corporation........... 5,912,500
15,000 Entergy Corporation.................... 416,250
15,000 Ohio Edison Company.................... 341,250
5,000 Public Service Company of New Mexico... 98,125
66,000 Unicom Corporation..................... 1,790,250
-----------
8,558,375
-----------
EXPLORATION AND PRODUCTION -- 0.6%
35,000 Mitchell Energy & Development
Corporation, Class B................. 774,375
-----------
FINANCIAL SERVICES -- 3.6%
17,500 American Express Company............... 988,750
28,000 Federal National Mortgage
Association.......................... 1,043,000
10,000 Fund American Enterprise Holdings...... 957,500
16,000 Student Loan Marketing Association
(Voting)............................. 1,490,000
15,700..... Zurich Reinsurance Centre Holdings
Inc. ................................ 490,625
-----------
4,969,875
-----------
FOOD-PROCESSING -- 0.2%
10,000 McCormick & Company, Inc. ............. 235,625
-----------
FOREST PRODUCTS AND PAPER -- 1.2%
35,000 Weyerhaeuser Company................... 1,658,125
-----------
GENERAL MERCHANDISER -- 0.4%
27,000 Hills Stores Company+.................. 162,000
17,000 Wal-Mart Stores, Inc. ................. 388,875
-----------
550,875
-----------
INFORMATION PROCESSING -- 0.7%
6,000 International Business Machines
Corporation.......................... 906,000
-----------
INSURANCE -- 4.5%
16,000 Alexander and Alexander Services,
Inc. ................................ 278,000
15,000 Harleysville Group, Inc. .............. 457,500
42,000 Loews Corporation...................... 3,958,500
18,000 Unitrin Inc. .......................... 1,003,500
38,000 Willis Corroon Group PLC, ADR.......... 437,000
-----------
6,134,500
-----------
LEISURE ENTERTAINMENT -- 0.6%
10,000 Readers Digest Association, Inc., Class
A.................................... 402,500
10,000..... Readers Digest Association, Inc., Class
B.................................... 362,500
-----------
765,000
-----------
MEDIA -- COMMUNICATIONS -- 6.6%
37,000 Chris-Craft Industries Inc. ........... 1,549,375
15,000 Meredith Corporation................... 791,250
95,000 New York Times Company, Class A........ 3,610,000
8,000 Times Mirror Company, Class A.......... 398,000
8,000 Washington Post Company, Class B....... 2,681,000
-----------
9,029,625
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
METALS -- 0.1%
28,000 Hecla Mining Company+.................. $ 154,000
-----------
MINING -- 3.0%
64,000 Homestake Mining Company............... 912,000
100,000 Lonrho Ltd. ........................... 213,208
41,400 Newmont Mining Corporation............. 1,852,650
5,000 Prime Resources Group, Inc. ........... 35,413
72,000 Santa Fe Pacific Gold Corporation...... 1,107,000
-----------
4,120,271
-----------
PAPER AND ALLIED PRODUCTS -- 0.3%
10,000 International Paper Company............ 403,750
-----------
PETROLEUM -- DOMESTIC -- 7.3%
56,000 Amerada Hess Corporation............... 3,241,000
12,000 Atlantic Richfield Company............. 1,591,500
5,500 Kerr-McGee Corporation................. 396,000
44,000 Murphy Oil Corporation................. 2,447,500
16,000 Oryx Energy Company+................... 396,000
32,000 Sun Company Inc. ...................... 780,000
50,000 Union Texas Petroleum Holdings Inc. ... 1,118,750
-----------
9,970,750
-----------
PETROLEUM -- INTERNATIONAL -- 1.6%
7,000 Petro-Canada........................... 98,901
22,000 Texaco Inc. ........................... 2,158,750
-----------
2,257,651
-----------
PHARMACEUTICALS -- 3.8%
80,000 Genentech Inc.+........................ 4,290,000
320 Novartis AG+........................... 366,500
8,000 Schering-Plough Corporation............ 518,000
-----------
5,174,500
-----------
SPECIALTY CHEMICALS -- 1.1%
30,000 Great Lakes Chemical Corporation....... 1,402,500
4,000 Millennium Chemicals Inc.+............. 71,000
-----------
1,473,500
-----------
SPECIALTY MERCHANDISERS -- 0.9%
8,000 English China Clays PLC................ 26,372
360,000 Petrie Stores Corporation+............. 990,000
9,000 Toys R Us Inc.+........................ 270,000
-----------
1,286,372
-----------
TRANSPORTATION SERVICES -- 1.7%
38,000 Overseas Shipholding Group Inc. ....... 646,000
24,500 PHH Corporation........................ 1,053,500
24,000 Ryder System Inc. ..................... 675,000
-----------
2,374,500
-----------
Total Common Stocks
(Cost $53,300,966)................... 67,936,982
-----------
PREFERRED STOCKS -- 5.2%
COMPUTER SERVICE & SOFTWARE -- 0.5%
8,000 Microsoft Corporation, Series A, Conv.
Prfd. ............................... 641,000
-----------
</TABLE>
See Notes to Financial Statements.
64
<PAGE> 67
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<C> <S> <C>
PREFERRED STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- 2.9%
32,000 Cleveland Electric Illuminating
Company, Prfd., Series L............. $ 2,592,000
150 Cleveland Electric Illuminating
Company, Prfd., Series R............. 149,532
350 Cleveland Electric Illuminating
Company, Prfd., Series S............. 352,408
9,648 Entergy Gulf States Utilities Inc.,
Prfd., Series B...................... 472,752
5,000 Niagara Mohawk Power Corporation,
Prfd., Series A...................... 88,750
3,000 Niagara Mohawk Power Corporation,
Prfd., Series B...................... 58,875
17,500 Niagara Mohawk Power Corporation Prfd.,
Series C............................. 332,500
-----------
4,046,817
-----------
FINANCIAL -- 1.7%
44,000 Kemper Corporation, Series E, Conv.
Prfd.**.............................. 2,288,000
-----------
PAPER AND ALLIED PRODUCTS -- 0.1%
4,000 International Paper Company, Conv.
Prfd. ............................... 184,956
-----------
Total Preferred Stocks
(Cost $6,404,906).................... 7,160,773
-----------
PRINCIPAL
AMOUNT
- -----------
CONVERTIBLE BONDS AND NOTES -- 27.4%
BROADCAST, RADIO AND TV -- 2.7%
$1,900,000 Comcast Corporation, Conv.,
3.375% due 09/09/2005................ 1,757,500
4,000,000 Turner Broadcasting Systems Inc.,
Conv.,
Zero coupon due 02/13/2007**......... 1,950,000
-----------
3,707,500
-----------
COMPUTER SERVICE AND SOFTWARE -- 4.4%
10,500,000 Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012........... 6,011,250
-----------
ELECTRIC UTILITIES -- 0.4%
Potomac Electrical Power Company,
Conv.:
250,000 5.000% due 09/01/2002.................. 232,500
250,000 7.000% due 01/15/2018.................. 266,250
-----------
498,750
-----------
FINANCIAL SERVICES -- 2.5%
475,000 Lonrho PLC, Conv.,
6.000% due 02/27/2004................ 737,218
2,400,000 Sandoz Capital BVI, Ltd., Conv.,
2.000% due 10/06/2002................ 2,592,000
150,000 UBS Finance (Delaware), Inc., Conv.,
2.000% due 12/15/2000................ 139,875
-----------
3,469,093
-----------
GAS TRANSMISSION -- 1.1%
1,400,000 ENSERCH Corporation, Conv.,
6.375% due 04/01/2002................ 1,442,000
-----------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
INDUSTRIAL -- 6.1%
$1,700,000 Alza Corporation,
Zero coupon due 07/14/2014........... $ 714,000
200,000 Cooper Industries Inc., Conv.,
7.050% due 01/01/2015................ 214,500
Grand Metropolitan PLC, Conv.:
300,000 6.500% due 01/31/2000***............... 355,500
1,100,000 6.500% due 01/31/2000.................. 1,303,500
600,000 Home Depot Inc., Conv.,
3.250% due 10/01/2001................ 591,000
400,000 Peninsular & Oriental, Conv.,
7.250% due 05/19/2003................ 708,546
1,550,000 Silicon Graphics, Inc., Conv.,
Zero coupon due 11/02/2013***........ 809,875
5,600,000 Time Warner Inc., Conv.,
Zero coupon due 12/17/2012........... 2,107,000
1,600,000 WMX Technologies Inc., Conv.,
2.000% due 01/24/2005................ 1,502,000
-----------
8,305,921
-----------
INSURANCE -- 2.2%
900,000 Chubb Capital Corporation, Conv.,
6.000% due 05/15/1998................ 1,116,000
3,000,000 USF & G Corporation, Conv.,
Zero coupon due 03/03/2009........... 1,897,480
-----------
3,013,480
-----------
LEISURE -- 0.5%
650,000 Outboard Marine Corporation, Conv.,
7.000% due 07/01/2002................ 637,000
-----------
MINING -- 1.2%
1,700,000 Homestake Mining Company, Conv.,
5.500% due 06/23/2000**.............. 1,636,250
-----------
PETROLEUM -- 0.1%
120,000 Shell Oil Company, Conv.,
7.250% due 02/15/2002................ 120,450
-----------
PHARMACEUTICALS -- 0.4%
600,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004................ 531,750
-----------
REAL ESTATE -- 2.0%
2,500,000 Rouse Company, Conv.,
5.750% due 07/23/2002................ 2,737,500
-----------
RETAIL -- 0.2%
300,000 Price Company, Conv.,
5.500% due 02/28/2012................ 310,500
-----------
RETAIL -- SPECIAL LINE -- 0.6%
Office Depot Inc., Conv.:
300,000 Zero coupon due 12/11/2007............. 188,625
1,150,000 Zero coupon due 11/01/2008............. 678,500
-----------
867,125
-----------
TELECOMMUNICATIONS -- 1.4%
2,220,000 Cellular Communications Inc., Conv.,
Zero coupon due 07/27/1999***........ 1,939,725
-----------
UTILITY -- TELEPHONE -- 1.6%
6,250,000 U.S. West Inc., Conv.,
Zero coupon due 06/25/2011........... 2,242,187
-----------
Total Convertible Bonds and Notes
(Cost $35,393,964)................... 37,470,481
-----------
</TABLE>
See Notes to Financial Statements.
65
<PAGE> 68
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.4%
$1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001................ $ 1,030,790
1,000,000 Federal National Mortgage Association,
7.200% due 01/10/2002................ 1,000,000
2,500,000 Tennesse Valley Authority Power,
5.980% due 04/01/2036................ 2,534,375
-----------
Total U.S. Government Agency
Obligations
(Cost $4,509,540).................... 4,565,165
-----------
U.S. TREASURY OBLIGATIONS -- 5.5%
U.S. TREASURY NOTES:
2,000,000 8.500% due 07/15/1997.................. 2,032,680
1,000,000 5.750% due 10/31/1997.................. 1,001,750
4,000,000 5.500% due 02/28/1999.................. 3,967,679
500,000 6.125% due 07/31/2000.................. 500,365
-----------
Total U.S. Treasury Obligations
(Cost $7,481,949).................... 7,502,474
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 0.8%
Federal Home Loan Mortgage Corporation:
500,000 5.500%++ due 01/09/1997................ 499,389
620,000 5.270%++ due 01/14/1997................ 618,816
-----------
Total U.S. Government Agency Discount
Notes
(Cost $1,118,205).................... 1,118,205
-----------
COMMERCIAL PAPER -- 6.9%
3,220,000 Abbott Laboratories,
6.000%++ due 01/07/1997.............. 3,216,780
120,000 Corporate Asset Funding Company, Inc.,
5.380%++ due 01/17/1997.............. 119,713
4,325,000 Dillard Investment Company, Inc.,
5.520%++ due 01/10/1997.............. 4,319,032
604,000 Island Finance Puerto Rico, Inc.,
5.550%++ due 02/07/1997.............. 600,555
375,000 Kellogg Company,
5.380%++ due 02/07/1997.............. 372,926
825,000 Sweden (Kingdom of),
5.340%++ due 02/04/1997.............. 820,839
-----------
Total Commercial Paper
(Cost $9,449,845).................... 9,449,845
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
- ----------- ---------- -----
<C> <S> <C> <C> <C>
PUT STOCK OPTIONS PURCHASED -- 0.6%
20 Allegheny Ludlum,
Class B.......... 01/18/1997 $ 20 250
40 Allegheny Ludlum,
Class B.......... 01/18/1997 23 1,500
20 Allegheny Ludlum,
Class B.......... 04/19/1997 25 5,000
40 Amerada Hess
Corporation...... 05/17/1997 60 16,250
85 AUD Lyons, Class
B................ 02/22/1997 45 22,844
16 AUD Lyons, Class
B................ 02/22/1997 50 11,400
34 Automatic Data
Processing Inc... 02/22/1997 40 1,700
10 Chubb Capital
Corporation,
Class B.......... 07/19/1997 55 3,562
40 HFS Inc., Class
B................ 04/19/1997 60 26,250
40 HFS Inc., Class
B................ 04/19/1997 85 101,250
80 HFS Inc., Class
B................ 07/19/1997 60 79,000
40 Home Depot Inc.,
Class B.......... 05/17/1997 60 40,000
10 International
Business Machines
Corporation,
Class B.......... 04/19/1997 $ 140 $ 5,125
<CAPTION>
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- ----------- ---------- ----- ------------
<C> <S> <C> <C> <C>
20 International
Business Machines
Corporation,
Class B.......... 07/19/1997 155 27,250
20 International
Business Machines
Corporation,
Class B.......... 07/19/1997 160 32,500
20 International
Business Machines
Corporation,
Class B.......... 07/19/1997 170 46,000
40 Microsoft
Corporation,
Class B.......... 07/19/1997 85 32,500
16 Philip Morris
Companies,
Class B.......... 03/22/1997 105 3,600
20 Philip Morris
Companies,
Class B.......... 03/22/1997 115 10,500
40 Schering-Plough
Corporation...... 05/17/1997 75 43,000
40 Schering-Plough
Corporation,
Class B.......... 05/17/1997 70 26,000
40 Silicon Graphics,
Inc., Class B.... 02/22/1997 30 18,750
15 Texaco Inc., Class
B................ 04/19/1997 95 4,594
20 Times Mirror
Company, Series
B................ 03/22/1997 50 4,375
15 Toys R Us Inc.,
Class B.......... 01/18/1997 35 7,313
31 Toys R Us Inc.,
Class B.......... 03/22/1997 35 15,888
80 Toys R Us Inc.,
Class B.......... 06/21/1997 40 80,500
110 Wal-Mart Stores
Inc., Class B.... 03/22/1997 28 50,187
60 Wal-Mart Stores
Inc., Class B.... 03/22/1997 30 42,750
------------
Total Put Stock Options
Purchased (Cost $745,297).... 759,838
------------
TOTAL INVESTMENTS (COST $118,404,672*)........ 99.5% 135,963,763
OTHER ASSETS AND LIABILITIES (NET)............ 0.5 695,768
----- ------------
NET ASSETS.................................... 100.0% $136,659,531
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $118,473,718.
** 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 (unaudited).
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American
Depositary
Receipt
</TABLE>
See Notes to Financial Statements.
66
<PAGE> 69
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 2.5%
$ 500,000 Ford Credit Auto Loan Master Trust,
Series 1992-1, Class A, 6.875% due
01/15/1999.......................... $ 500,179
1,500,000 Standard Credit Card Trust I, Series
1992-3, Class A, 5.835%+++ due
10/15/1998.......................... 1,503,150
-----------
Total Asset-Backed Securities (Cost
$2,001,174)......................... 2,003,329
-----------
CORPORATE DEBT SECURITIES -- 31.0%
AIRLINES -- 1.8%
1,330,000 AMR Corporation, 9.500% due
05/15/2001.......................... 1,459,675
-----------
CHEMICALS -- 1.3%
1,000,000 Methanex Corporation, 8.875% due
11/15/2001.......................... 1,070,000
-----------
FINANCE -- LEASING -- 2.4%
2,000,000 Comdisco Inc., 6.375% due
11/30/2001.......................... 1,970,000
-----------
FINANCIAL -- 10.8%
Dean Witter Discover & Company:
1,035,000 6.750% due 08/15/2000................. 1,044,056
135,000 6.875% due 03/01/2003................. 136,350
530,000 First Fidelity Bancorp, 9.625% due
08/15/1999.......................... 571,075
1,400,000 Fleet Financial Group Inc., 7.625% due
12/01/1999.......................... 1,442,000
1,245,000 Ford Motor Credit Company, 6.250% due
11/08/2000.......................... 1,232,550
1,400,000 Great Western Financial Corporation,
6.375% due 07/01/2000............... 1,393,000
1,000,000 Household Finance Company, 7.500% due
03/10/1998.......................... 1,017,500
490,000 KFW International Finance Inc., 9.125%
due 05/15/2001...................... 539,000
1,320,000 Paine Webber Group Inc., 8.250% due
05/01/2002.......................... 1,392,600
-----------
8,768,131
-----------
INDUSTRIAL -- 2.6%
1,110,000 Brunswick Corporation, 8.125% due
04/01/1997.......................... 1,115,495
1,000,000 Ingersoll-Rand Company, MTN, 6.540%
due 08/24/1998...................... 1,008,750
-----------
2,124,245
-----------
PETROLEUM -- 3.0%
525,000 Burlington Resources, Inc., 7.150% due
05/01/1999.......................... 535,500
600,000 Occidental Petroleum Corporation,
9.500% due 08/15/1997............... 611,202
1,250,000 Sun Company Inc., 7.950% due
12/15/2001.......................... 1,314,063
-----------
2,460,765
-----------
PUBLISHING -- 1.3%
1,000,000 News America Holdings Inc., 7.500% due
03/01/2000.......................... 1,021,250
-----------
RETAIL/APPAREL -- 1.3%
1,000,000 Limited Inc., 9.125% due 02/01/2001... 1,071,250
-----------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
TELEPHONE -- 2.9%
$ 1,050,000 GTE Corporation, 8.850% due
03/01/1998.......................... $ 1,082,813
1,300,000 Tele-Communications Inc., 7.130% due
02/02/1998.......................... 1,304,875
-----------
2,387,688
-----------
UTILITY/ELECTRIC -- 3.6%
1,000,000 Great Lakes Power Inc., 8.900% due
12/01/1999.......................... 1,060,000
850,000 Southern California Edison Company,
6.500% due 06/01/2001............... 845,750
1,000,000 Utilicorp United Inc., 6.000% due
04/01/1998.......................... 996,250
-----------
2,902,000
-----------
Total Corporate Debt Securities (Cost
$25,431,346)........................ 25,235,004
-----------
FOREIGN BONDS -- U.S. DOLLAR DENOMINATED -- 4.0%
GOVERNMENT -- 1.3%
1,000,000 Republic of Columbia, 8.750% due
10/06/1999.......................... 1,032,500
-----------
PAPER AND FOREST PRODUCTS -- 1.3%
1,060,000 Carter Holt Harvey Ltd., 7.625% due
04/15/2002.......................... 1,098,425
-----------
WASTE MANAGEMENT -- 1.4%
Laidlaw Inc.:
790,000 8.750% due 01/01/2000................. 829,500
310,000 7.700% due 08/15/2002................. 322,787
-----------
1,152,287
-----------
Total Foreign Bonds-U.S. Dollar
Denominated (Cost $3,301,543)....... 3,283,212
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.2%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.2%
FHLMC:
850,000 6.930% due 09/05/2000................. 848,521
11,638 Pool #350042, 7.250%+++ due
01/01/2017.......................... 11,863
129,679 REMIC, Series #1270, Class F,
6.038%+++ due 05/15/1997............ 129,698
-----------
990,082
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 11.5%
FNMA:
2,000,000 6.300% due 12/03/2001................. 1,974,180
10,799 Pool #044026, 8.500% due 08/01/2006... 11,241
13,524 Pool #048832, 10.000% due
06/01/2017.......................... 14,830
150,372 Pool #070355, 8.500% due 03/01/2004... 156,528
11,783 Pool #111311, 8.500% due 12/01/1997... 12,085
66,449 Pool #122591, 8.500% due 06/01/1998... 68,152
275,852 Pool #127336, 8.500% due 08/01/2006... 287,145
481,032 Pool #250487, 6.000% due 02/01/2003... 469,908
879,502 Pool #250531, 6.000% due 03/01/2003... 859,164
2,602,337 Pool #303630, 6.000% due 12/01/2002... 2,542,158
419,120 Pool #335686, 6.000% due 01/01/2003... 409,428
</TABLE>
See Notes to Financial Statements.
67
<PAGE> 70
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- (CONTINUED)
$ 1,190,606 Pool #342408, 6.500% due 04/01/2003... $ 1,180,188
502,006 Pool #342647, 6.500% due 05/01/2003... 497,613
502,380 Pool # 346740, 6.500% due
05/01/2003.......................... 497,984
263,476 Pool #347602, 6.500% due 05/01/2003... 261,170
76,907 Series #1991-121, Class F, 6.019%+++
due 09/25/1998...................... 76,947
-----------
9,318,721
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.5%
GNMA:
5,301 Pool #147899, 10.000% due
02/15/2016.......................... 5,813
57,584 Pool #155224, 10.000% due
03/15/2016.......................... 63,144
10,819 Pool #161670, 9.500% due 09/15/2016... 11,695
30,151 Pool #284666, 9.500% due 03/15/2020... 32,592
25,256 Pool #286024, 10.000% due
04/15/2020.......................... 27,695
227,686 Pool #308911, 9.500% due 07/15/2021... 246,114
-----------
387,053
-----------
Total U.S. Government Agency
Obligations (Cost $10,643,391)...... 10,695,856
-----------
U.S. TREASURY OBLIGATIONS -- 37.2%
U.S. TREASURY BILL -- 1.0%
820,000 5.500%++ due 10/16/1997............... 786,362
-----------
U.S. TREASURY NOTES -- 36.2%
$ 7,870,000 6.250% due 06/30/1998................. 7,924,381
3,160,000 6.375% due 05/15/1999................. 3,188,977
2,000,000 7.500% due 10/31/1999................. 2,073,640
16,000,000 6.625% due 06/30/2001................. 16,263,040
-----------
29,450,038
-----------
Total U.S. Treasury Obligations (Cost
$29,973,092)........................ 30,236,400
-----------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
COMMERCIAL PAPER -- 11.3%
1,391,000 Bell Atlantic Corporation, 5.906%++
due 01/07/1997...................... $ 1,389,632
2,855,000 Disney (Walt) Company, 5.804%++ due
01/03/1997.......................... 2,854,080
3,000,000 Goldman Sachs & Company, 7.355%++ due
01/02/1997.......................... 2,999,387
2,000,000 Philip Morris Companies Inc., 5.575%++
due 01/06/1997...................... 1,998,453
-----------
Total Commercial Paper (Cost
$9,241,552)......................... 9,241,552
-----------
TOTAL INVESTMENTS (COST $80,592,098*).......... 99.2% 80,695,353
OTHER ASSETS AND LIABILITIES (NET)............. 0.8 621,823
-------
-----
NET ASSETS..................................... 100.0% $81,317,176
============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $80,638,716.
++ Annualized yield at date of purchase (unaudited).
+++ Floating rate security. Rate shown is rate in effect at 12/31/96.
GLOSSARY OF TERMS
<TABLE>
<S> <C>
MTN -- Medium Term Note
REMIC -- Real Estate Mortgage Investment Conduit
</TABLE>
See Notes to Financial Statements.
68
<PAGE> 71
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIQUID ASSET SERIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
CERTIFICATE OF DEPOSIT -- 5.1% (Cost $2,002,345)
FOREIGN BANK -- 5.1%
$2,000,000 Societe Generale,
5.900% due 05/12/1997............... $ 2,002,345
------------
COMMERCIAL PAPER -- 88.6%
AUTOMOTIVE -- 9.0%
1,500,000 Daimler-Benz Aktieng,
6.109%++ due 01/08/1997............. 1,498,221
Ford Motor Company:
1,000,000 5.480%++ due 01/24/1997............... 996,556
1,049,000 5.480%++ due 04/01/1997............... 1,035,284
------------
3,530,061
------------
CHEMICALS -- 7.2%
1,500,000 du Pont (E.I.) de Nemours & Company,
5.384%++ due 05/05/1997............. 1,472,875
1,358,000 Monsanto Company,
5.356%++ due 01/14/1997............. 1,355,401
------------
2,828,276
------------
COMMODITIES -- 2.0%
784,000 PPG Industries Inc.,
5.343%++ due 01/13/1997............. 782,615
------------
COMPUTERS -- 4.2%
International Business Machines
Corporation:
567,000 5.370%++ due 02/20/1997............... 562,842
1,066,000 5.395%++ due 02/21/1997............... 1,057,996
------------
1,620,838
------------
COSMETICS AND TOILETRIES -- 3.1%
1,210,000 Procter & Gamble Company,
5.376%++ due 01/15/1997............. 1,207,506
------------
ELECTRIC -- 4.0%
1,570,000 Southern California Edison Company,
5.308%++ due 01/06/1997............. 1,568,851
------------
ELECTRONICS -- 3.4%
1,333,000 Motorola Credit,
5.860%++ due 01/07/1997............. 1,331,700
------------
FINANCIAL SERVICES -- 16.9%
1,073,000 CS First Boston,
5.373%++ due 01/28/1997............. 1,068,719
1,608,000 Dean Witter, Discover & Company,
5.360%++ due 01/23/1997............. 1,602,782
120,000 Eksport Finance,
5.790%++ due 02/18/1997............. 119,096
1,344,000 Toyota Motor Credit Corporation,
5.347%++ due 01/02/1997............. 1,343,803
1,500,000 Transamerica Finance,
5.498%++ due 02/18/1997............. 1,489,300
970,000 Weyerhauser Mortgage Company,
5.48%++ due 01/22/1997.............. 966,916
------------
6,590,616
------------
FOREIGN BANKS -- 0.9%
337,000 Toronto Dominion,
5.396%++ due 05/02/1997............. 330,997
------------
FOREIGN GOVERNMENT -- 4.7%
Sweden (Kingdom of):
326,000 5.6700%++ due 01/29/1997.............. 324,593
1,500,000 5.366%++ due 01/17/1997............... 1,496,467
------------
1,821,060
------------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
MEDICAL -- 4.8%
$1,900,000 Schering Corporation,
5.470%++ due 02/11/1997............. $ 1,888,467
------------
MOTORCYCLE -- 4.9%
1,924,000... Harley-Davidson,
5.468%++ due 02/05/1997............. 1,913,862
------------
MULTIMEDIA -- 2.9%
1,147,000 Disney (Walt) Company,
5.397%++ due 02/19/1997............. 1,138,760
------------
OFFICE EQUIPMENT -- 2.5%
966,000 Xerox Corporation,
5.809%++ due 01/09/1997............. 964,755
------------
SECURITIES BROKERAGE -- 8.4%
Goldman, Sachs & Company:
800,000 5.401%++ due 02/07/1997............... 795,601
1,080,000 5.406%++ due 06/05/1997............... 1,055,541
Merrill Lynch, Pierce, Fenner & Smith
Inc.:
594,000 5.430%++ due 01/13/1997............... 592,935
870,000 5.463%++ due 06/30/1997............... 847,032
------------
3,291,109
------------
TELECOMMUNICATIONS -- 3.1%
1,218,000 AT&T Corporation,
5.566%++ due 01/03/1997............. 1,217,624
------------
UTILITY -- TELEPHONE -- 6.6%
1,621,000 Ameritech Corporation,
5.400%++ due 03/31/1997............. 1,599,841
1,000,000 BellSouth Corporation,
5.374%++ due 02/04/1997............. 995,013
------------
2,594,854
------------
Total Commercial Paper
(Cost $34,621,951).................. 34,621,951
------------
CORPORATE NOTE -- 3.8% (Cost $1,500,000)
FINANCIAL SERVICES -- 3.8%
1,500,000 American Express Centurion Bank Note,
5.575%+ due 05/16/1997.............. 1,500,000
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 2.1%
Federal Home Loan Bank,
535,000 5.380%++ due 02/10/1997............... 531,879
280,000 5.540%++ due 05/12/1997............... 274,518
------------
Total U.S. Government Agency Discount
Notes
(Cost $806,397)..................... 806,397
------------
TOTAL INVESTMENTS (COST $38,930,693*)......... 99.6% 38,930,693
OTHER ASSETS AND LIABILITIES (NET)............ 0.4 165,020
----- ------------
NET ASSETS.................................... 100.0% $ 39,095,713
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Floating rate note. Rate shown is rate in effect at 12/31/96.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
69
<PAGE> 72
- --------------------------------------------------------------------------------
Notes to Financial Statements
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The GCG Trust, (the "Trust") is registered under the Investment Company Act of
1940 as an open-end management investment company. The Trust was organized as a
Massachusetts business trust on August 3, 1988 with an unlimited number of
shares of beneficial interest with a par value of $0.001 each. At December 31,
1996 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"),
Natural Resources Series ("NR"), Real Estate Series ("RE"), Market Manager
Series ("MM"), Multiple Allocation Series ("MA"), Fully Managed Series ("FM"),
Limited Maturity Bond Series ("LMB"), Liquid Asset Series ("LA") and The Fund
For Life Series. All of the Series are diversified except for MG 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, by the Security Equity
Life Insurance Company and by The Hartford Life Insurance Companies.
All of the Series commenced operations on January 24, 1989, except for 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.
70
<PAGE> 73
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (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 year ended December 31, 1996 was
as follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1995....................................... -- --
Options written during the period.............................................. 450 $78,197
--- -------
Options outstanding at December 31, 1996....................................... 450 $78,197
=== =======
</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 year ended December 31, 1996, all futures transactions were conducted
on U.S. exchanges. Contracts open, if any, at December 31, 1996 are included in
the portfolio of investments and their related realized and unrealized gains and
losses are included in the net realized and unrealized gain/(loss) on futures
contracts.
FORWARD FOREIGN EXCHANGE CONTRACTS: Certain of the Series may enter into forward
foreign exchange contracts. A Series will engage in forward foreign exchange
currency transactions to protect itself against fluctuations in currency
exchange rates. Forward foreign exchange contracts are valued at the applicable
forward rate and are marked to market daily. The change in market value is
recorded by the Series as an unrealized gain or loss. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed. Contracts open, if any, at December 31, 1996 and their
related unrealized appreciation/(depreciation) are set forth in the Schedule of
Forward Foreign Exchange Contracts which accompanies the Portfolio of
Investments. Realized and unrealized gains and losses arising from forward
foreign exchange contracts are included in net realized and unrealized
gain/(loss) on forward foreign exchange contracts.
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.
71
<PAGE> 74
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (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 is a separate entity for Federal income
tax purposes. No provision for Federal income taxes has been made since each
Series 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. Differences incurred during the year ended December
31, 1996 for AG, VE, SE, MG, EM, NR, RE, MA, FM and LM resulting from permanent
differences in book and tax accounting for paydowns from mortgage pools and
foreign currency transactions have been reclassified at year end to
undistributed net investment income, accumulated realized gains and paid-in
capital.
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Directed Services, Inc. (the "Manager"), a wholly owned subsidiary of 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
72
<PAGE> 75
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (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, Natural of these Series;
Resources 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 1.50%
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 Warburg, Pincus Counsellors, Inc.
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 Warburg, Pincus Counsellors, Inc.
Emerging Markets Series Bankers Trust Company
Natural Resources Series Van Eck Associates Corporation
Real Estate Series E.I.I. Realty Securities, Inc.
Market Manager Series Bankers Trust Company
Multiple Allocation Series Zweig Advisors Inc.
Fully Managed Series T. Rowe Price Associates, Inc.
Limited Maturity Bond Series Equitable Investment Services, Inc.
Liquid Asset Series Equitable Investment Services, Inc.
</TABLE>
During the year ended December 31, 1996, SC, CA, VE, SE, MG, EM, NR, MA and FM,
in the ordinary course of business, paid commissions of $33,058, $1,920, $2,550,
$435, $3,041, $66,244, $150, $42,834 and $150, respectively, to certain
affiliates of the respective Portfolio Manager and/or the Manager in connection
with the execution of various portfolio transactions.
Prior to August 13, 1996, the Trust and the Manager employed different Portfolio
Managers for LMB and LA.
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.
73
<PAGE> 76
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (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 year ended December 31, 1996
were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Small Cap Series....................................................... $ 49,263,808 $ 17,934,986
All-Growth Series...................................................... 94,538,987 92,417,729
Capital Appreciation Series............................................ 82,614,843 81,919,095
Value Equity Series.................................................... 51,195,503 43,687,340
Rising Dividends Series................................................ 42,914,356 14,135,667
Strategic Equity Series................................................ 32,764,641 20,090,362
Managed Global Series.................................................. 111,731,733 109,307,445
Emerging Markets Series................................................ 68,260,750 65,113,581
Natural Resources Series............................................... 36,205,195 32,804,669
Real Estate Series..................................................... 13,672,944 11,038,280
Market Manager Series.................................................. -- 700,243
Multiple Allocation Series............................................. 121,441,050 167,618,278
Fully Managed Series................................................... 60,877,281 47,452,192
Limited Maturity Bond Series........................................... 17,881,109 8,035,342
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short-term investments, for the year ended
December 31, 1996 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Multiple Allocation Series............................................. $225,532,273 $263,008,513
Fully Managed Series................................................... 4,469,219 --
Limited Maturity Bond Series........................................... 160,875,417 168,428,102
</TABLE>
At December 31, 1996, aggregate gross unrealized appreciation for all securities
in which there is an excess of value over tax cost and aggregate gross
unrealized depreciation for all securities in which there is an excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS NET TAX
GROSS GROSS BASIS
UNREALIZED UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
----------- ---------- -----------
<S> <C> <C> <C>
Small Cap Series............................................ $ 4,142,926 $1,687,224 $ 2,455,702
All-Growth Series........................................... 12,860,987 1,549,162 11,311,825
Capital Appreciation Series................................. 30,246,544 945,539 29,301,005
Value Equity Series......................................... 4,194,955 231,213 3,963,742
Rising Dividends Series..................................... 32,965,507 245,726 32,719,781
Strategic Equity Series..................................... 2,597,560 375,796 2,221,764
Managed Global Series....................................... 7,531,660 3,441,607 4,090,053
Emerging Markets Series..................................... 6,192,980 5,750,439 442,541
Natural Resources Series.................................... 9,434,894 1,095,017 8,339,877
Real Estate Series.......................................... 12,099,002 652 12,098,350
Market Manager Series....................................... 1,544,758 -- 1,544,758
Multiple Allocation Series.................................. 15,939,210 1,419,025 14,520,185
Fully Managed Series........................................ 19,690,804 2,200,759 17,490,045
Limited Maturity Bond Series................................ 364,059 307,422 56,637
</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 Section 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
74
<PAGE> 77
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
4. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
Board of Trustees as reflecting fair value which includes obtaining quotes from
independent sources if available. The dates of acquisition and costs of
restricted and illiquid securities held at December 31, 1996 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..................................................... $1,700,092 02/16/1995
Kemper Corporation, Series E, Conv. Prfd. Stock, 144A...................... 2,144,734 02/06/1995
Turner Broadcasting Systems Inc., Conv. Bond, 144A,
Zero coupon due 02/13/2007............................................... 1,967,185 10/04/1995
</TABLE>
Total restricted and/or illiquid securities (fair value of $5,874,250)
represented 4.3% of net assets of FM at December 31, 1996.
On December 31, 1996, 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. REORGANIZATION
On August 13, 1996, under the terms of a stock purchase agreement, Equitable of
Iowa Companies acquired all of the interest in BT Variable, Inc. from Whitewood
Properties Corp., a subsidiary of Bankers Trust Company and changed the name to
EIC Variable, Inc. ("EICV"). Directed Services, Inc. (DSI) and Golden American
are wholly owned subsidiaries of EICV.
In addition, at a special meeting held on August 8, 1996, the contractholders of
the Managed Global Account of Separate Account D of Golden American Life
Insurance Company (the "Account") approved a reorganization from a separate
account of Golden American registered as a management investment company to a
newly created division (the "Division") of an existing separate account of
Golden American which is registered as a unit investment trust. On the date of
the reorganization, September 3, 1996, the Account transferred all of its assets
to the Division. The Division simultaneously exchanged all of these assets for
shares of the Managed Global Series of The GCG Trust, a newly created series of
The GCG Trust which was determined to be a taxable transaction. The operations
and history of the Managed Global Account were carried forward to the Managed
Global Series. The investment objective, policies, and restrictions of the
Account prior to the reorganization were identical to the investment objective,
policies, and restrictions of the Managed Global Series. The Managed Global
Series continues to be managed by DSI. Also approved at the special meeting was
a new Management Agreement with DSI effective upon the reorganization which,
among other things, provided for a "unified" fee arrangement.
Pursuant to the reorganization as an open-end management investment company
registered under the Investment Company Act of 1940, the Managed Global Series
must comply with the provisions of the Internal Revenue Code available to
regulated investment companies. These provisions require the Managed Global
Series to distribute its taxable income to shareholders sufficient to relieve it
from Federal income taxes. However, since the predecessor entity was not subject
to these provisions, all accumulated gains/losses and net investment income not
distributed to shareholders prior to reorganization, September 3, 1996, have
been appropriately reclassed to Paid-in-Capital at December 31, 1996.
7. BOARD ACTIONS
On January 23, 1997 at a special meeting, the Board of Trustees (the "Board")
approved a change in name of the Natural Resources Series to the Hard Assets
Series (the "Series"). The Board also approved a change in investment policies
to permit the Series to invest up to 25% of the assets in real estate investment
trusts in addition to its existing investment policies and restrictions.
75
<PAGE> 78
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
7. BOARD ACTIONS--(CONTINUED)
Additionally, the Board also approved changes to the portfolio management
responsibilities for the individual series' noted below, with the respective
effective dates, as follows:
On February 3, 1997, Pilgrim Baxter & Associates, Ltd. assumed portfolio
management of the All-Growth Series.
On March 3, 1997, Putnam Investment Management, Inc. will assume portfolio
management for the Managed Global Series and Emerging Markets Series.
On March 3, 1997, Equitable Investment Services Inc. will assume portfolio
management of the Market Manager Series.
76
<PAGE> 79
THE GCG TRUST
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
At a Special Meeting of Shareholders of the Trust held on July 29, 1996, the
following actions were taken:
(1) The new management agreement between the Trust and DSI to become effective
upon the acquisition of BT Variable, Inc., DSI's corporate parent, by Equitable
of Iowa Companies was approved by the shareholders of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
---------- ---------- --------- ----------
<S> <C> <C> <C> <C>
Small Cap Series........................................ 1,705,090 17,702 20,987 1,743,779
All-Growth Series....................................... 6,385,125 78,198 320,660 6,783,983
Capital Appreciation Series............................. 8,734,966 69,184 295,644 9,099,794
Value Equity Series..................................... 2,779,988 21,672 74,021 2,875,681
Strategic Equity Series................................. 1,738,204 19,748 57,878 1,815,830
Rising Dividends Series................................. 6,391,453 39,852 262,787 6,694,092
Emerging Markets Series................................. 3,961,589 57,335 137,365 4,156,289
Natural Resources Series................................ 1,921,092 38,446 74,304 2,033,842
Real Estate Series...................................... 2,495,289 34,834 125,949 2,656,072
Market Manager Series................................... 494,701 0 0 494,701
Multiple Allocation Series.............................. 21,822,089 252,107 953,574 23,027,770
Fully Managed Series.................................... 8,270,913 122,493 296,893 8,690,299
Limited Maturity Bond Series............................ 5,145,896 58,270 215,682 5,419,848
Liquid Asset Series..................................... 39,427,094 805,588 2,022,068 42,254,750
</TABLE>
(2) The new portfolio management agreement between the Trust, DSI and each
Series' corresponding Portfolio Manager to become effective upon the acquisition
of BT Variable, Inc., DSI's corporate parent, by Equitable of Iowa Companies was
approved by the shareholders of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
---------- ---------- --------- ----------
<S> <C> <C> <C> <C>
Small Cap Series........................................ 1,700,773 17,175 25,831 1,743,779
All-Growth Series....................................... 6,433,142 76,903 273,938 6,783,983
Capital Appreciation Series............................. 8,648,277 69,172 382,345 9,099,794
Value Equity Series..................................... 2,781,528 26,872 67,281 2,875,681
Strategic Equity Series................................. 1,719,817 29,781 66,232 1,815,830
Rising Dividends Series................................. 6,352,542 47,512 294,038 6,694,092
Emerging Markets Series................................. 3,988,696 44,938 122,655 4,156,289
Natural Resources Series................................ 1,910,785 45,058 77,999 2,033,842
Real Estate Series...................................... 2,460,775 37,503 157,794 2,656,072
Market Manager Series................................... 478,040 0 16,661 494,701
Multiple Allocation Series.............................. 21,605,726 349,963 1,072,081 23,027,770
Fully Managed Series.................................... 8,164,576 112,888 412,835 8,690,299
Limited Maturity Bond Series............................ 5,142,354 59,814 217,680 5,419,848
Liquid Asset Series..................................... 39,620,799 974,171 1,659,780 42,254,750
</TABLE>
(3) Managed Global
At a Special Meeting of Contractowners of the Managed Global Account of Separate
Account D of Golden American Life Insurance Company (the "Account") held on
August 8, 1996, the following actions were taken:
(a) The new management agreement between the Account and DSI providing certain
fee and expense payment arrangements was approved by the Contractholders of the
Account as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
- --------- ---------- --------- ---------
<S> <C> <C> <C>
39,416,985 581,474 2,266,409 42,264,868
</TABLE>
(b) The amended portfolio management agreement among the Account, DSI, and
Warburg, Pincus Counsellors, Inc. ("Warburg"), providing for DSI to pay
Warburg's fees was approved by the Contractholders of the Account as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
- --------- ---------- --------- ---------
<S> <C> <C> <C>
39,343,110 602,210 2,319,548 42,264,868
</TABLE>
77
<PAGE> 80
THE GCG TRUST
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED) -- (CONTINUED)
(c) The new management agreement between the Account and DSI to become effective
upon the acquisition of BT Variable, Inc. DSI's corporate parent, by Equitable
of Iowa Companies was approved by the Contractholders of the Account as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
- --------- ---------- --------- ---------
<S> <C> <C> <C>
39,289,327 598,015 2,377,526 42,264,868
</TABLE>
(d) The new portfolio management agreement among the Account, DSI and Warburg to
become effective upon acquisition of BT Variable, Inc., DSI's corporate parent,
by Equitable of Iowa Companies was approved by the Contractholders of the
Account as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
- --------- ---------- --------- ---------
<S> <C> <C> <C>
39,306,935 602,635 2,355,298 42,264,868
</TABLE>
(e) The reorganization of the Account from a separate account of Golden American
registered as a management investment company to a separate division of Golden
American registered as a unit investment trust that invests in a separate mutual
fund was approved by the Contractholders of the Account as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
- --------- ---------- --------- ---------
<S> <C> <C> <C>
39,132,141 639,307 2,493,420 42,264,868
</TABLE>
At a Special Meeting of Shareholders of the Capital Appreciation Series held on
October 29, 1996, the following action was taken:
The new portfolio management agreement between the Trust, DSI and Chancellor LGT
Asset Management, Inc. to become effective upon the acquisition of Chancellor
Capital Management, Inc. and its subsidiaries, including Chancellor Trust
Company, by Liechtenstein Global Trust, A.G. was approved by the shareholders of
the Capital Appreciation Series as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
- --------- ---------- --------- ---------
<S> <C> <C> <C>
8,631,664 117,127 423,103 9,171,894
</TABLE>
78
<PAGE> 81
- --------------------------------------------------------------------------------
Tax Information -- (Unaudited)
THE GCG TRUST
FISCAL YEAR ENDED DECEMBER 31, 1996
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1996, were as follows:
<TABLE>
<S> <C>
All Growth Series................................... $ 257,634
Capital Appreciation Series......................... 7,589,015
Value Equity Series................................. 264,728
Rising Dividends Series............................. 838,560
Natural Resources Series............................ 3,007,256
Real Estate Series.................................. 815,706
Market Manager Series............................... 271,993
Multiple Allocation Series.......................... 6,282,628
Fully Managed Series................................ 5,230,474
</TABLE>
79
<PAGE> 82
<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>
