<PAGE> 1
THE GCG TRUST
Semi-Annual
Report
June 30, 1998
[GOLDENSELECT LOGO]
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc., member NASD.
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Table of Contents
THE GCG TRUST
<TABLE>
<CAPTION>
PAGE
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<S> <C>
Chairman's Letter........................................... 1
Portfolio Manager Reports................................... 2
Statements of Assets and Liabilities........................ 20
Statements of Operations.................................... 22
Statements of Changes in Net Assets......................... 24
Financial Highlights........................................ 28
Portfolios of Investments................................... 45
Notes to Financial Statements............................... 81
</TABLE>
The information contained in this report is intended for general
information purposes only. This report is not authorized for distribution
to prospective investors unless preceded or accompanied by current Trust
and Separate Account prospectuses which contain important information
concerning the Trust, the Company, and its current public offering of
variable contracts. Investment return and principal value will vary, and
shares may be worth more or less at redemption than at original purchase.
<PAGE> 3
DIRECTED SERVICES, INC.
1001 JEFFERSON STREET, SUITE 400, WILMINGTON, DE 19801 TEL: 302-576-3400
FAX: 302-576-3450
August 10, 1998
Dear Shareholder of The GCG Trust:
We are pleased to present the 1998 Semi-Annual Report of the GCG Trust (the
"Trust"). The following report provides information about the performance and
financial position of the portfolios in the Trust.
During the first six months of 1998, the net assets of the Trust increased 31%
to end the period at $2.0 billion. This increase can be attributed to new
investment by shareholders and strong investment returns.
The U.S. stock market continued to generate strong returns during the first half
of 1998. However, performance varied significantly across different sectors of
the market:
- Large company stocks provided the highest returns during the six-month
period. The Standard & Poors 500 Index (an index of large-cap stocks)
had a total return of 17.71%. The Russell 2000 Index (an index of
small-cap stocks) had a total return of only 4.93% over the same period.
- Aggressive, growth-oriented stocks had significantly higher returns than
more conservative, value-oriented stocks. During the first half of the
year, the Standard & Poors 500/Barra Growth Index had a total return of
23.07%. The Standard & Poors 500/Barra Value Index returned only 12.13%.
Over short periods of time, different sectors of the market can produce
significantly different returns. Consequently, investment portfolios can also
produce substantially different returns. When you evaluate the performance of a
portfolio, it is important to understand its investment strategy. It is also
important to focus on performance over longer periods.
Through your variable annuity contract, you have access to many portfolio
managers with extensive investment experience. We believe that these managers
can provide superior investment results over time.
We are committed to providing quality products and services to shareholders, and
we look forward to helping you meet your financial objectives. Thank you for
your continued support.
Sincerely,
/s/ Fred S. Hubbell
Fred S. Hubbell
Chairman
GCG Trust
1
<PAGE> 4
THE GCG TRUST
SMALL CAP SERIES
The Small Cap Series (the "Series") seeks to achieve long-term capital
appreciation. During the first six months of 1998, the Series had a total return
of 17.13%. The Russell 2000 Index had a total return of 4.93% over the same
period.
Following a particularly volatile fourth quarter of 1997, small company growth
stocks stumbled into 1998 with attractive relative valuations. The continuation
of low interest rates and low inflation restored investor confidence. This
renewed confidence helped quell the liquidity concerns associated with small-cap
stocks and investors turned to these stocks in an effort to capture their
explosive growth potential.
The Series benefited from this trend, posting a first quarter return of 13.89%
versus 10.06% for its benchmark, the Russell 2000 Index. Thus, the first quarter
of 1998 was favorable on both a relative and absolute basis. Relative
performance was boosted in part by the Series having no exposure to utility and
energy stocks, two poor performing sectors.
Additional value was added through strong performance by several key holdings.
The top performing holding held for the entire quarter was Central Garden & Pet
Company, which was up 48.8%. This leading distributor of lawn and pet supplies
appreciated on an anticipated increase in revenues and earnings resulting from
two acquisitions.
Other strong performing stocks included Hooper Holmes Inc. with a total return
of 46.8%. This conductor of medical exams for health and life insurance
companies once again beat analysts' earnings expectations.
During the second quarter, small-cap growth stocks reverted back to a pattern of
unimpressive performance that has plagued this discipline since the summer of
1996. Amid this difficult environment, the Series returned 2.85% versus a
(4.66)% return posted by the Russell 2000 Index.
The Series' strong relative return was not the result of any particular sector
weightings but was achieved through the performance of a handful of holdings
across several industries. Specifically, Medquist Inc., Skywest Inc. and
Earthgrains Company, a health care information services company, an airline and
a bread company respectively, realized quarterly returns ranging from 26.4% to
56.9%.
Overall, our investment strategy will remain unchanged for the second half of
1998. We will continue to actively and aggressively seek out, research and
invest in America's fastest growing companies. Regardless of market conditions,
we feel that the only way we are able to sustain superior long-term performance
is through an uncompromising commitment to a consistent approach.
FRED ALGER MANAGEMENT, INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 28.58%
1/3/1996 (INCEPTION) 19.30%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 17.13%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY
AND VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE
PROCEEDS ARE INVESTED IN THE SERIES. PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL
VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT REDEMPTION
THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Outdoor Systems Inc. 3.3%
2. CBT Group PLC, ADR 2.4%
3. INCYTE Pharmaceuticals Inc. 2.3%
4. Lincare Holdings Inc. 2.3%
5. Medquist Inc. 2.3%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Retail........................ 16.9%
Computer Software............. 10.1%
Pharmaceuticals............... 4.9%
Commercial Services........... 4.5%
Communication................. 4.1%
Restaurants................... 3.9%
Broadcasting, Radio and TV.... 3.6%
Consumer Services............. 3.5%
Transportation/Services....... 3.4%
Other......................... 45.1%
</TABLE>
2
<PAGE> 5
THE GCG TRUST
ALL-GROWTH SERIES
The All-Growth Series (the "Series") seeks capital appreciation. For the first
six months of 1998, the Series had a total return of 10.24%. The Russell Midcap
Index had total return of 9.13% over the same period.
The Series invests in small/mid-cap companies with high rates of earnings
growth. Most of the positive performance occurred in the first quarter. Results
were up modestly in the second quarter as continued problems in Asia raised
investor concern and added to the market's volatility.
The top holdings of the fund did especially well, including J.D. Edwards &
Company, Ascend Communications Inc. and HBO & Company. America Online Inc. and
Uniphase Corporation also achieved large gains. Dura Pharmaceuticals Inc., BJ
Services Company and ATMI Inc. all experienced lowered earnings expectations,
and as a result, their stocks weakened during the first half.
The portfolio remains overweighted in service and technology stocks which
represent 23% and 33% of the total fund respectively. The service sector
includes solid waste management companies, information technology companies and
telecommunication service providers.
The sector weightings reflect mainly our growth company bias. Underweighted
sectors include financials, basic industry and capital goods stocks. The
companies in the portfolio, on average, continue to grow earnings at rates above
50%.
It is important to point out that growth stocks, small, mid and large cap,
outperformed value stocks year-to-date. While we are encouraged by this recent
reversal within the growth market, we continue to face a market that favors
large-cap stocks over smaller stocks. This is occurring even though earnings for
mid-cap companies are accelerating, while earnings estimates for large-cap
companies are decelerating.
When the results for the second quarter of 1998 are available, we expect the
small and mid-cap segments of the market will post profit growth rates that
surpass that of the large caps, making it the fifth consecutive quarter of
superior relative growth.
PILGRIM BAXTER & ASSOCIATES, LTD.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 12.26%
5 YEAR 6.52%
1/24/1989 (INCEPTION) 6.33%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 10.24%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
On February 3, 1997, Pilgrim Baxter & Associated, Ltd. became the Manager of the
Series. Prior to that date the Series had been advised by another Portfolio
Manager.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Premier Parks Inc. 2.9%
2. Ascend Communications, Inc. 2.9%
3. HBO & Company 2.8%
4. Quintiles Transnational Corporation 2.8%
5. Starbucks Corporation 2.8%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Computer Software and Services......... 15.0%
Health Care Service.................... 11.0%
Telecommunications Equipment........... 10.1%
Services .............................. 8.7%
Oil and Gas - Equipment and Services... 7.3%
Retail................................. 5.3%
Financial Services..................... 4.0%
Environmental Services................. 3.8%
Other.................................. 34.8%
</TABLE>
3
<PAGE> 6
THE GCG TRUST
CAPITAL APPRECIATION SERIES
The Capital Appreciation Series (the "Series") seeks to generate long-term
capital growth. During the first six months of 1998, the Series had a total
return of 11.84%. The Standard & Poors 500 Index (the "S&P 500") had a total
return of 17.71% over the same period.
After a robust first quarter, the equity market paused in the second quarter
amid renewed concerns that Asia's problems will spread and weaken global demand
and profit margins. Commodity based industries, such as energy, paper and
chemicals, saw earnings expectations wane with the Dow Jones Industrials gaining
only 2.2% for the quarter.
While a lower interest rate outlook was positive, the strong dollar and
questions about the strength of European and Latin American economies kept
investors nervous. Large cap growth stocks, benefiting from the perception of
stable earnings delivery, led the way widely outperforming large-cap value
issues. Mid and small-cap stocks fared poorly, falling well behind the large cap
sector.
The Series benefited most from exposure to consumer oriented stocks (Ford Motor
Company, Home Depot Inc., Time Warner Inc. and Comcast Corporation), healthcare
(Warner Lambert Company, Schering Plough Corporation and Glaxo Wellcome PLC),
and technology (Microsoft Corporation and HBO & Company).
Although the portfolio is decidedly large-cap in orientation, the Manager is
finding better value in mid-cap names in regards to future purchases. Also, the
Manager is favoring dividend yield when available, as it will hopefully provide
a buffer in any market pullbacks.
Late during the second quarter, the portfolio tilted towards a slightly more
defensive posture. The value component was increased to 55% with the growth
segment reduced to 45% (a 10% shift from the prior position). Given the
financial backdrop, the Portfolio Manager believes high quality, stable growth
issues that deliver expected earnings should continue to benefit from healthy
valuations.
The Portfolio Manager finds these investments predominantly in the healthcare,
consumer products and mature technology industries. However, realizing the
current overall level of the market, the Series has an increased exposure to
value oriented, higher yielding securities.
Overall, the portfolio's characteristics are in line with or slightly less
aggressive than that of the broad market. The Portfolio Manager believes that
the next few quarters will reward fundamental stock selection and the avoidance
of undue market risk.
INVESCO (NY) INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 25.19%
5 YEAR 18.49%
5/4/1992 (INCEPTION) 17.28%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 11.84%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
On May 29, 1998, Chancellor LGT Asset Management, Inc., the Series Portfolio
Manager, was acquired by AMVESCAP PLC and renamed INVESCO (NY) Inc.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. SLM Holding Corporation 2.6%
2. Schering-Plough Corporation 2.5%
3. Household International Inc. 2.4%
4. Gillette Company 2.4%
5. Service Corporation International 2.3%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Information Processing........ 8.7%
Banks......................... 8.0%
Insurance..................... 7.7%
Pharmaceuticals............... 7.4%
Retail........................ 7.2%
Commodities................... 7.2%
Utility....................... 6.6%
Petroleum..................... 6.4%
Other......................... 40.8%
</TABLE>
4
<PAGE> 7
THE GCG TRUST
VALUE EQUITY SERIES
The objective of the Value Equity Series (the "Series") is capital appreciation
and, secondarily, dividend income. The Series had a total return of 0.62% for
the first six months of 1998. Over the same time period, the Standard & Poors
500 Index ("S&P 500") had a total return of 17.71%.
The Series invests in stocks that are priced at a discount to their estimated
intrinsic value. These stocks usually have lower price/earnings and price/book
ratios. During the first half of 1998, these "value-oriented" stocks trailed the
market. The S&P 500/Barra Value Index represents the stocks in the S&P 500 with
the lowest price/book ratios. This index produced a six-month return of only
12.13%.
The Series also has a significant mid-cap component. Mid- cap stocks trailed the
market for the first six months of 1998 as well. The Russell Midcap Index had a
return of only 9.14% for the first six months of 1998.
For the last few quarters, one of the only stock sectors that has had superior
returns are those of large, domestic growth companies for many reasons,
including a rush of foreign investors seeking refuge in high quality securities.
Investors who did not own the stocks of the 100 largest growth stocks in the
U.S. during the past six months, in general, did not keep up with the market.
The portfolio had significant weighting in two industries that dropped during
the first six months of the year: tobacco and oil stocks. Within the S&P 500 at
the sector level, tobacco and oil exploration and production equities were down
an average of 12.05% and 9.27% respectively.
Although these industries had disappointing performance, the positions the
Series holds in these two areas remain undervalued and the Portfolio Manager
continues to be positive about the holdings potential to outperform long-term.
Oil stocks took a tumble as prices dropped due to continued global oversupply.
A reduction in demand from Asian countries pushed oil prices down further.
Tobacco stocks dropped as a new bill in Congress increased the settlement payout
to more than $500 billion. The stocks recovered slightly when the bill fell
through in June. Due to the uncertainty of the lawsuits still pending, the stock
prices remain under pressure and the Manager believes the securities are
undervalued.
Performance was also negatively affected by the Series' significant position in
Sunbeam Corporation. Sunbeam's stock price dropped due to weak sales and
negative publicity regarding improper accounting practices. The Portfolio
Manager was able to sell-off the position quickly to minimize the loss. However,
he began buying it back when the price fell below its perceived value. After he
began buying it back, more problems surfaced and the price dropped further.
EAGLE ASSET MANAGEMENT, INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 8.18%
1/3/1995 (INCEPTION) 20.49%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 0.62%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Philips Electronics N.V. 3.7%
2. SLM Holding Corporation 3.5%
3. Columbia/HCA Healthcare Corporation 3.3%
4. Aetna Inc. 3.2%
5. Standard and Poor's Depositary Receipts 3.0%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Tobacco....................... 10.9%
Petroleum..................... 9.7%
Health Care................... 7.5%
Chemicals..................... 5.6%
Financial Services............ 4.9%
Insurance..................... 4.5%
Investment Companies.......... 4.4%
Electronics................... 4.3%
Other......................... 48.2%
</TABLE>
5
<PAGE> 8
THE GCG TRUST
RISING DIVIDENDS SERIES
The Rising Dividends Series (the "Series") seeks capital appreciation and,
secondarily, dividend income. During the first six months of 1998, the Series
had a total return of 14.32%. The Standard & Poors 500 Index ("S&P 500") had a
total return of 17.71% over the same period.
For the first half of the year, the Portfolio's largest weightings were in the
consumer staples, financial, and technology sectors. The Portfolio's strongest
relative performance was in the financial sector. Notable standouts included
Morgan Stanley Dean Witter & Company and Franklin Resources Inc. (which was
added to the S&P 500 in April).
Another one of the financial companies held in the portfolio, General Re
Corporation, announced in June it would be acquired by Berkshire Hathaway Inc.
for $276.40 a share in common stock of Berkshire Hathaway Inc. This offering
represents a substantial premium above what the Series originally paid for this
holding.
The second quarter ending June 30, 1998, proved to be a period of "correction
and consolidation" for the U.S. equity markets. The technology holdings
negatively impacted the portfolio's performance.
Electronic Data Systems Corporation, Hewlett Packard Company, and Linear
Technology Corporation all suffered from what the Portfolio Manager believes are
short term issues. The Portfolio Manager continues to be optimistic about these
holdings and has used the short term price corrections as an opportunity to
increase those positions.
With the respect to the recent concerns in Asia, the Portfolio Manager does not
believe that the U.S. economy will be materially affected. Nevertheless, the
Portfolio Manager does not expect a quick resolution of the problems. It is
unlikely that this situation will be considered normalized before mid-1999 at
the earliest.
Fortunately, the Asian Crisis has made U.S. dollar-denominated assets
relatively more attractive. Inflows into U.S. stock and bond funds have been
very strong, and this demand has had a positive impact on stock and bond prices.
The Portfolio Manager continues to believe that major-trend favorable factors --
including low inflation and stable interest rates, increased savings rates by
baby boomers, a highly productive corporate sector, technological innovation, a
fiscally responsible government and a strong and stable currency -- are still
intact for a continuation of the positive stock market results investors have
been enjoying for the past few years.
KAYNE, ANDERSON INVESTMENT MANAGEMENT, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 25.14%
10/4/1993 (INCEPTION) 20.67%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 14.32%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Merck & Company, Inc. 4.0%
2. Morgan Stanley Dean Witter & Company 3.9%
3. Electronic Data Systems Corporation 3.8%
4. Equifax Inc. 3.8%
5. Bestfoods 3.7%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Financial Services.............. 12.2%
Pharmaceuticals................. 9.7%
Petroleum....................... 7.6%
Food............................ 6.6%
Technology...................... 6.5%
Data Services................... 6.0%
Chemicals and Allied Products... 5.9%
Electrical Equipment............ 5.8%
Other........................... 39.7%
</TABLE>
6
<PAGE> 9
THE GCG TRUST
STRATEGIC EQUITY SERIES
The Strategic Equity Series (the "Series") seeks to achieve capital
appreciation. During the first six months of 1998, the Strategic Equity Series
provided a total return of 6.60%. The Russell Midcap Index and the Russell 2000
Growth Index had total returns of 9.13% and 4.93%, respectively.
The Series screens a universe of 1,500 stocks with an average market
capitalization of $2.8 billion. The average market capitalization of the Series
is approximately $2 billion, which is at the low end of the range for mid-cap
funds. Market capitalization is calculated by multiplying the number of a
company's outstanding shares by the price per share.
The Series' size exposure hurt returns during the first half of the year, a
period characterized by the very largest stocks leading the market. It is
important to note, however, that the Portfolio Manager does not choose stocks
based exclusively on size. Rather, the Portfolio Manager looks for stocks that
have favorable relationships between their growth and value characteristics.
At this point, the stocks that fit the strategy's parameters are on the smaller
end of the mid-cap spectrum, mainly because the current valuations of many
larger stocks are high relative to their historic norms.
On the growth side, the Series invests in stocks whose earnings have increased
at an above-average pace and are likely to continue growing. When choosing
income stocks, the Portfolio Manager looks for stocks that have strong dividend
growth and stability. During the first half of 1998, the Series' growth stocks,
buoyed by low interest rates and strong momentum, significantly outperformed the
Series' income stocks.
The trend, however, reversed in the second quarter as increased volatility
negatively impacted growth stocks with high price-to-earnings ratios. The P/E
ratio is calculated by dividing the price of a stock by its earnings per share.
Essentially, the higher the P/E, the more an investor is paying for a company's
earnings growth.
The Series' financial and transportation holdings performed well. Financial
stocks benefited from a wave of consolidation and low interest rates, while low
oil prices bolstered the transportation sector.
On the income side, consumer cyclicals and capital goods helped returns. Though
the Series holds selected technology issues, it is underweighted in the group
because of its below average earnings trend.
The allocation to utilities dragged down performance slightly. The Series is
still overweighted in the sector, however, because of their very low valuations
and improving profit margins.
ZWEIG ADVISORS INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 22.19%
10/2/1995 (INCEPTION) 17.93%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 6.60%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Ford Motor Company 1.4%
2. Bear Stearns Companies, Inc. 1.2%
3. CKE Restaurants, Inc. 1.2%
4. SunAmerica Inc. 1.1%
5. Southdown Inc. 1.0%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Utilities.......................... 12.6%
Transportation..................... 5.9%
Investment Banking and Brokerage... 4.5%
Insurance.......................... 3.7%
Retail Trade....................... 3.6%
Oil and Gas........................ 3.3%
Apparel and Textiles............... 2.9%
Manufacturing...................... 2.7%
Other.............................. 60.8%
</TABLE>
7
<PAGE> 10
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES
The Growth Opportunities Series (the "Series") seeks capital appreciation.
During its first five months of operations, through June 30, 1998, the Series
had a total return of 3.10%. Over the same time period, the Standard and Poors
500 Index (the "S&P 500") and the Russell Midcap Index had returns of 10.45% and
4.97%, respectively.
The Series invests primarily in equity securities of domestic companies whose
market capitalization is greater than $1 billion, with a focus on mid-cap
stocks. We seek to identify stocks with superior growth potential by identifying
companies with positive, long-term fundamental changes in their business,
revenues, or earnings.
Next we conduct our own research to determine the validity and sustainability of
this change. Lastly, we consider the value of the shares and future potential
for the share price. Stocks that are selected have both outstanding growth
opportunities and attractive valuations.
The period was a frustrating one for mid-cap stocks as they trailed the market
for the first six months of 1998.
Large-caps stocks continued to outperform based on their liquidity and perceived
safety, despite the superior valuations and growth characteristics of many
mid-sized companies. Negative corporate earnings news, combined with continued
turmoil in Japanese and Southeast Asian markets, fueled a so-called "flight to
quality" away from small and mid-capitalization stocks.
This market environment influenced the portfolio. Consumer-oriented stocks
benefited while those in industries sensitive to business cycles
under-performed. For example, the TJX Companies, Inc. and Nordstrom Inc., both
retailing companies, were good performers while the holdings in chemicals (The
Dow Chemical Company and Nalco Chemical Company, for example) and steel
(Carpenter Technology Corporation) lagged.
As of June 30, 1998, the Portfolio Manager believes the Series is positioned for
excellent growth opportunities when the market turns from its attraction to the
new "Nifty 50" of large-cap stocks and again recognizes companies offering both
growth potential and good valuations. The Series has emphasized such stocks,
particularly those with new management teams committed to increasing their
profitability and shareholder returns.
Although Asia's slump is negatively affecting the U.S. economy and its financial
markets, the Portfolio Manager believes that the relative under-performance of
mid-cap companies is generating superior investment opportunities for the coming
months.
MONTGOMERY ASSET MANAGEMENT, LLC
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
2/18/1998 (INCEPTION) 3.10%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Avid Technology, Inc. 3.3%
2. Golden West Financial Corporation 3.2%
3. Snyder Communications, Inc. 2.9%
4. Nordstrom, Inc. 2.8%
5. Comverse Technology, Inc. 2.6%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Computer Systems....................... 8.1%
Oil and Gas - Equipment and Services... 7.8%
Transportation......................... 7.3%
Paper and Allied Products.............. 6.8%
Computer Software and Services......... 5.9%
Telecommunications Equipment........... 5.7%
Consumer Products...................... 5.4%
Retail................................. 5.0%
Other...................................48.0%
</TABLE>
8
<PAGE> 11
THE GCG TRUST
MANAGED GLOBAL SERIES
The Managed Global Series (the "Series") seeks capital appreciation. For the six
months ended June 30, 1998, the Series gained 20.68%. This compares to a 14.77%
for the Morgan Stanley Capital International All Country World Free Index.
Stock selection was the principal driver behind the strong performance. Market
selection also contributed positively. The Series benefited from an overweighted
Europe and an underweighted Asia.
The Series was weighted neutrally relative to the United States. That weighting
was then reduced in favor of additional exposure to Europe. This decision
detracted from performance. As investors became concerned over spillover effects
in Europe from Asia they returned to the perceived safe haven of the U.S. dollar
and equity market.
Cable stocks, software and IT service companies, telecom equipment and consumer
staples performed well, benefiting from an acceleration in merger and
acquisition activity, particularly in the telecom and telecom equipment
industries. Top-performing stocks included America OnLine Inc. in the U.S.
technology sector, Dell Computer Corporation in the PC industry sector, Banca di
Roma in the financial sector and Mannesmann in the capital goods sector.
The positions in software stocks such as Microsoft Corporation and SAP AG
contributed significantly to performance. Recently, the technology sector
exposure was reduced by eliminating the computer hardware and semiconductor
stocks from the portfolio. The outlook for this group has sharply deteriorated;
companies are suffering from overcapacity and weakening demand, leading to poor
pricing and therefore declining earnings growth.
The portfolio continues to be overweighted in Europe, specifically France,
Italy, and the Netherlands. In Europe, much of the exposure has been shifted
away from sectors that have the most direct exposure to Asia. The Series is
underweight in Japan, the United Kingdom, and emerging markets.
The Portfolio Manager currently finds attractive growth opportunities in the
following industries: cable, cellular, financial services, supermarkets,
drugstores, software, and telecommunications equipment. The Series is broadly
underweighted in energy and utilities.
From an earnings standpoint, the Portfolio Manager continues to monitor the
situation in Asia, both in terms of stocks in these markets and also with regard
to the potential impact of continued economic problems on other regions beyond
the Pacific Basin.
We continue to find good earnings growth in both Europe and the United States.
In Europe, we believe the pace of growth will pick up in the second half of the
year. U.S. economic indicators point to the possibility of a weaker second half,
increasing the importance of earnings sustainability.
PUTNAM INVESTMENT MANAGEMENT, INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 19.39%
5 YEAR 8.86%
10/21/1992 (INCEPTION) 7.56%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 20.68%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
On March 3, 1997, Putnam Investment Management Inc. became the Manager of the
Series. Prior to that date the Series had been advised by another Portfolio
Manager.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. General Electric Company (United States) 2.2%
2. AEGON N.V. (Netherlands) 1.9%
3. Nestle S.A. (Switzerland) 1.7%
4. Koninklijke Ahold NV (Netherlands) 1.6%
5. Mannesmann AG (Germany) 1.6%
</TABLE>
[ASSET DISTRIBUTION BY COUNTRY PIE CHART]
ASSET DISTRIBUTION BY COUNTRY
<TABLE>
<S> <C>
United States 41.8%
Great Britain 8.8%
France 8.7%
Japan 6.4%
Germany 5.5%
Italy 5.0%
Netherlands 4.9%
Switzerland 3.2%
Other 15.7%
</TABLE>
9
<PAGE> 12
THE GCG TRUST
EMERGING MARKETS SERIES
The Emerging Markets Series (the "Series") seeks long-term capital appreciation.
For the six months ended June 30, 1998, the Series had a total return of
(15.11)%. Over the same period, the Morgan Stanley Capital International
Emerging Markets Free Index (the "benchmark") had a total return of (18.87)%.
The Asian component of the benchmark declined 22.4% for the six-month period,
while the Latin American component declined 19.8% and the European component
lost 17.2%.
Some of the most positive stock selections were in markets that were hardest hit
during the period. For example, in Malaysia the portfolio return was boosted by
an emphasis on defensive, non-index stocks, such as PPB Oil Palms (a palm oil
producer) and Berjaya Sports Toto (a gaming company). Both stocks significantly
outpaced the Malaysian index.
Largely avoiding Indonesia contributed positively to portfolio performance given
the significant depreciation in that country's currency. An overweight in the
Philippines enhanced performance, as that market has performed significantly
better than its more troubled Asian neighbors.
The Series benefited from positive stock selection in Brazil, primarily the
result of the heavy exposure to the soon-to-be-privatized telecommunications
sector and the low exposure to the electric utility sector. Exposure to Turkish
financials also enhanced performance.
Stock selection in India hurt performance, largely because of a contraction of
premiums in stocks available to foreigners.
Given the renewed concerns for the Asian economies and the political tensions in
the subcontinent, we have been shifting country weightings at the margin toward
Latin America and emerging Europe, where the investment environment is
significantly better.
Although Latin American economies are slowing from the rapid pace of growth of
the previous quarter, we are finding attractive opportunities on the individual
stock level.
Emerging European markets are continuing to benefit from the positive sentiment
that surrounds the coming of the common currency in developed Europe. The
anticipation that convergence of interest rates and inflation rates in the
region is a boon not only to core Europe, but also to peripheral markets such as
Portugal, Greece, Hungary and Poland.
For the longer term we believe that emerging markets represent attractive
opportunities at the current price, economic growth, and valuation levels.
Shares have fallen to historic lows and more than reflect the sober environment
in markets such as Asia, Russia, and the Indian subcontinent.
PUTNAM INVESTMENT MANAGEMENT, INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR (34.41)%
10/4/1993 (INCEPTION) (5.04)%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE (15.11)%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
On March 3, 1997, Putnam Investment Management, Inc. became the Manager of the
Series. Prior to that date the Series had been advised by another Portfolio
Manager.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Telecomunicacoes de Sao Paulo S.A. (Brazil) 2.4%
2. Companhia Brasileira de Distribuicao
Grupo Pao de Acuar, ADR (Brazil) 2.3%
3. Telefonos de Mexico S.A., ADR (Mexico) 2.1%
4. Telebras, ADR (Brazil) 2.1%
5. Companhia Vale do Rio Doce, ADR (Brazil) 2.1%
</TABLE>
[ASSET DISTRIBUTION BY REGION PIE CHART]
ASSET DISTRIBUTION BY REGION
<TABLE>
<S> <C>
Latin American Countries 43.7%
Pacific Rim Countries 17.0%
Western Europe 13.7%
Middle East 9.9%
Eastern Europe 6.9%
North American Countries 4.5%
South Africa 4.3%
</TABLE>
10
<PAGE> 13
THE GCG TRUST
DEVELOPING WORLD SERIES
The Developing World Series (the "Series") seeks capital appreciation. During
its first five months of operations, through June 30, 1998, the Series had a
total return of (17.40)%. The Morgan Stanley Capital International Emerging
Markets Free Index had a return of (16.73)% over the same time period.
The Series seeks capital appreciation by investing primarily in the equity
securities of companies in countries having economies and markets generally
considered by the World Bank to be emerging or developing.
Emerging Markets were highly volatile during the period. A declining yen and a
recession in Japan renewed worries that Southeast Asian economies would suffer
another round of currency devaluations. The financial turmoil was aggravated by
non-economic events, including the resignation of Indonesian president Suharto
and nuclear testing in India.
Given Asia's negative economic outlook, the Series' position has been to
underweight its exposure relative to the benchmark in Asia, except for
China/Hong Kong. Among other major emerging markets, the Series remains
overweighted in Brazil and South Africa (an economy largely insulated from Asia,
apart from commodities) and underweighted in Mexico.
The Portfolio Manager views Brazil positively because it is maintaining a
long-term course toward stronger fiscal, monetary and economic systems,
particularly through its privatization programs. Brazilian companies offer
attractive valuations with the promise of continuing positive corporate earnings
growth.
Similarly, South Africa has undertaken corporate restructuring, and a consumer
spending boom offers attractive valuations. The Portfolio Manager believes that
the current pressure on interest rates and the currency is only a short-term
concern.
Overall, the Series' positions in Asia, Brazil, and Mexico boosted performance
during the period while China/Hong Kong held performance back.
The Portfolio Manager views the current turmoil in these markets as a necessary
prerequisite for their long-term economic and market out-performance. Many
developing markets are in various stages of economic reform with stocks selling
at attractive valuations.
In addition, these markets offer growth potential not simply because stock
prices are down, but because of powerful trends toward long-term global
prosperity. For aggressive, long-term investors, now may be the time to maintain
or increase investment in this Series.
MONTGOMERY ASSET MANAGEMENT, LLC
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
2/18/1998 (INCEPTION) (17.40)%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Telecomunicacoes Brasileiras S.A.,
ADR (Brazil) 7.7%
2. Companhia Energetica de Minas Gerais
(CEMIG) S.A., ADR (Brazil) 7.6%
3. ECI Telecommunication Ltd., ADR (Israel) 3.5%
4. Petroleo Brasileiro S.A., ADR (Brazil) 3.5%
5. JCI Ltd. (South Africa) 3.2%
</TABLE>
[ASSET DISTRIBUTION BY REGION PIE CHART]
ASSET DISTRIBUTION BY REGION
<TABLE>
<S> <C>
Latin American Countries 38.0%
Western Europe 16.7%
Pacific Rim Countries 16.3%
South Africa 15.2%
Middle East 8.7%
Eastern Europe 4.4%
United States 0.7%
</TABLE>
11
<PAGE> 14
THE GCG TRUST
HARD ASSETS SERIES
The Hard Assets Series (the "Series") seeks long-term capital appreciation. For
the first six months of 1998, the Series provided a total return of (12.62)%.
Over the same period, the Standard and Poors 500 Index and Russell 2000 Index
had total returns of 17.71% and 4.93%, respectively.
Performance was unexpectedly difficult during the first half of the year as
concerns over a slowing global economy pressured all hard asset securities. The
Goldman Sachs Commodity Index fell 18.3%, the Morgan Stanley Real Estate Index
fell 5.1%, and gold shares fell 3.6% (MSCI World Gold Mines Index). Finally, the
Morgan Stanley Commodity-Related Equity Index (an index of natural resource
companies) fell 5.7% during the first half of the year.
Hard asset markets have recognized these difficult trading conditions as most
commodity markets fell significantly. The Series had hedged some oil and metals
exposure during this period and was able to profit from this, but allocations to
resource shares (40-50% of the portfolio) proved to be too high. Oil prices fell
about 20% during the first half of the year and industrial metals prices fell
about 12% due primarily to decreased demand from Asia. Moreover, supply
additions in many markets continued, putting further pressure on prices.
In contrast to difficult conditions in other markets, we thought that real
estate offered strong underlying fundamentals and defensive characteristics.
Therefore, we allocated one-third of the portfolio to this sector. However, real
estate securities in the United States experienced difficult markets for several
reasons. These reasons included investor assumptions that real estate prices had
peaked, that legislative changes would alter the Real Estate Investment Trust
(REIT) structure and dampen investor enthusiasm, and that additions to supply
would bring prices crashing down. Our analysis suggests that these factors are
temporary or incorrect, and that exceptional value can be found in real estate
securities. We continue to like real estate and have approximately 40% of the
Series allocated to this sector.
While the energy sector has suffered from declining demand from Asia, a warm
winter in the Northern Hemisphere, and increased production, we think oil prices
are near a bottom. The recently announced OPEC production cuts are enough to
swing the market into a deficit situation in the fourth quarter and bring
inventories down to a level that has historically resulted in higher trading
ranges than current forward prices. Recent discussions regarding a "new
alliance" of oil producers who control 70% of the world's known oil reserves and
almost two-thirds of all oil exports will also serve to increase uncertainty and
put a floor under prices. Their goal is to boost oil prices by more than 50%.
Gold has been in a tight trading range ($280-$310) throughout most of the year
as most of the negatives appear to have been factored into prices last year. We
anticipate that this trading range will continue for the remainder of the year.
Therefore, we will maintain our policy of buying when prices fall below this
range.
While global economic conditions are likely to remain difficult, we believe hard
asset securities have already priced this in. The time to increase allocations
to asset classes such as hard assets is near cyclical lows when valuations are
at trough levels. We believe commodity prices are near or at lows, particularly
oil. In addition, valuations on many other securities are at levels which have
only existed in recessionary conditions.
VAN ECK ASSOCIATES CORPORATION
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR (9.86)%
5 YEAR 9.89%
1/24/1989 (INCEPTION) 7.83%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE (12.62)%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Patriot American Hospitality, Inc. 3.1%
2. Starwood Lodging Trust 3.0%
3. Gold/Silver Ratio Indexed Note,
2.610% due 6/18/98 2.2%
4. Mack-Cali Realty Corporation 2.0%
5. Asia Pulp & Paper Company Ltd., ADR 2.0%
</TABLE>
[INDUSTRY BREAKDOWN PIE CHART]
INDUSTRY BREAKDOWN
<TABLE>
<S> <C>
Office/Industrial 16.3%
Oil and Gas Exploration 13.4%
Hotel 11.0%
Oil/Gas - Equipment and Services 7.4%
Real Estate 7.4%
Forest Products and Paper 7.2%
Gold/Mining 5.2%
Warrants 2.7%
Other 29.4%
</TABLE>
12
<PAGE> 15
THE GCG TRUST
REAL ESTATE SERIES
The Real Estate Series (the "Series") seeks capital appreciation and
secondarily, current income. During the first six months of 1998, the Series had
a total return of (4.11)%. The Wilshire Real Estate Securities Index had a total
return of (5.31)% over the same period.
Real estate securities underperformed the market in the first half of 1998 due
to several reasons. There was excessive publicity surrounding the modification
of Real Estate Investment Trust (REIT) tax legislation. This cast a pall on the
entire industry, when in fact, the Portfolio Manager believes that the true
economic impact will be minimal and will effect only five companies. The issue
will be settled with the expected passage of the IRS legislation in July, 1998.
The stock market had been stronger than expected, reacting to the unexpected
stimulative effects of the Asian economic crisis on U.S. domestic consumption.
Real estate securities are viewed as defensive securities in the context of the
overall market. So, in strong markets, aggressive investors sell real estate
securities to purchase more volatile issues.
Real estate prices have risen as occupancy rates have increased. In many
instances, development is again justified. REITs are therefore finding increased
competition to finance this resurgence of development. The reemergence of
development also resurrects fears of the overdevelopment which created
oversupply problems in the late 1980's.
Beginning last year, the Portfolio Manager anticipated that acquisition
opportunities would be reduced in 1998 and 1999, and that emphasis should be
placed on companies with strong internal growth. As a result, the portfolio was
rebalanced in the first quarter.
Reflecting the strength in domestic consumer spending, the Series' weighting in
the retail sector was increased. This included increasing the position in Kimco
Realty Corporation, one of the largest strip center REITs. Kimco Realty
Corporation has been one of the best performing holdings in 1998 with a total
return of over 19% year-to-date.
Out of concern for weakness in export markets due to the Asian crisis, the
Series reduced the overweighting of the industrial sector. The Portfolio Manager
continues to question the prospects for the storage sector, so he has reduced
positions in Storage (USA) Inc.
The portfolio weightings in Manhattan and surrounding areas were increased with
additional purchases of Reckson Associates Realty Corporation, S.L. Green Realty
Corporation, and Vornado Realty Trust. This market continues to be protected by
one of the most restricted development environments, and prices remain below
replacement cost. To increase the exposure to development opportunities,
particularly in California, the Portfolio Manager doubled the position in
Catellus Development Corporation.
EII REALTY SECURITIES, INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 10.55%
5 YEAR 14.99%
1/24/1989 (INCEPTION) 11.40%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE (4.11)%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Equity Office Properties Trust 5.0%
2. Starwood Lodging Trust 5.0%
3. Kimco Realty Corporation 4.8%
4. Simon DeBartolo Group, Inc. 4.6%
5. Patriot American Hospitality Inc. 3.5%
</TABLE>
[INDUSTRY BREAKDOWN PIE CHART]
INDUSTRY BREAKDOWN
<TABLE>
<S> <C>
Office/Industrial 30.4%
Shopping Centers 14.1%
Apartments 13.3%
Regional Malls 12.8%
Specialty Real Estate 8.7%
Other 7.5%
Manufactured Housing 6.4%
Real Estate 3.8%
Restaurants 3.0%
</TABLE>
13
<PAGE> 16
THE GCG TRUST
MARKET MANAGER SERIES
The objective of the Market Manager Series (the "Series") is to seek favorable
equity market performance and at the same time preserve capital.
For the first half of 1998, the total return of the Series was 13.6%. Over the
same period, the Standard & Poors 500 Index had a total return of 17.71%, and
the Russell Midcap Index had a total return of 9.13%.
The Series began operations on November 14, 1994. At that time, all funds were
invested in short-term money market securities. On March 6, 1995, the Series was
closed to further investment and the Portfolio Manager began investing in
accordance with the long-term investment objectives of the Series.
The Series contains a blend of debt securities and over-the-counter equity
options. The equity options allow the Portfolio to track the performance of the
equity markets. The debt securities provide some degree of capital protection.
Since March 1995, Portfolio returns have been very similar to the returns of the
Standard & Poors 500 Index and Russell Midcap Index.
ING INVESTMENT MANAGEMENT, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 29.41%
11/14/1994 (INCEPTION) 25.25%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 13.60%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
On January 2, 1998, ING Investment Management, LLC ("IIM") became the Portfolio
Manager of the Series. From March 3, 1997 to January 1, 1998, Equitable
Investment Services, Inc., an affiliate of IIM, was the Portfolio Manager of the
Series. Prior to March 3, 1997, the Series had been advised by other Portfolio
Managers.
[ASSET ALLOCATION PIE CHART]
ASSET ALLOCATION
<TABLE>
<S> <C>
Equity Index Call Options Purchased 60.8%
U.S. Treasury Obligation 33.9%
Corporate Debt Obligations 5.3%
</TABLE>
14
<PAGE> 17
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
The Multiple Allocation Series (the "Series") seeks the highest total return,
consisting of capital appreciation and current income, consistent with the
preservation of capital.
For the six months ended June 30, 1998, the Series returned 4.97%. Over the same
period, the Standard & Poors 500 Index ("S&P 500") had a total return of 17.71%
and the Lehman Brothers Intermediate Government/Corporate Bond Index ("Lehman
Index") had a total return of 3.47%. The benchmark for this Portfolio (40% S&P
500, 60% Lehman Index) was 9.07% for the six months of 1998.
The underperformance of the Series was due to the significant divergence between
growth and value stocks. The Series' strategy focuses on low P/E, high dividend,
value oriented stocks. In 1998, large-cap, more volatile, growth stocks have
been leading the equity markets higher.
On the positive side, we took an aggressive stance on the bond market. With a
duration longer than the benchmark, the Series experienced positive returns as
the yield on the 30-year Treasury fell from 5.92% at the end of 1997 to 5.62% as
of June 30, 1998.
Automobile stocks continued to contribute positive returns. Most notably, Ford
Motor Company and Chrysler Corporation have managed to do exceptionally well so
far in 1998. Ford Motor Company is well positioned as a global leader and
Chrysler Corporation expanded its horizons with the announcement of its merger
with Daimler-Benz. General Motors Corporation is mired in a strike but has
managed to hold up reasonably well pending the outcome.
Other groups that have shown solid performance are the financials, retailers and
technology stocks. Some of the Series' top financial holdings are Morgan
Stanley, Dean Witter Discover and Company and Paine Webber Group Inc. With the
retailers, Ross Stores Inc. and Fingerhut have been steadily outperforming.
Dell Computer Corporation and Microsoft Corporation continue to be remarkable
market leaders in technology. The low interest rate environment and the healthy
stock market continue to fuel the performance of these companies.
The industry groups that have been the most disappointing thus far in 1998 are
linked mainly to commodities. These include oils, metals, papers and chemicals.
In particular, oils and metals have been hurt by the diminished demand out of
Asia causing significant weakness in their prices. However, these stocks
continue to rank well based on a value perspective and any firmness in commodity
prices should help the stock prices of these companies.
We will continue to keep a close eye on the Asian situation and evaluate the
portfolio's investments accordingly.
ZWEIG ADVISORS INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 14.18%
5 YEAR 10.47%
1/24/1989 (INCEPTION) 9.94%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 4.97%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. U.S. Treasury Obligations due through 2027
ranging from 6.250% to 10.750% 46.0%
2. Dell Computer Corporation 0.8%
3. Bear Stearns Companies, Inc. 0.7%
4. Microsoft Corporation 0.6%
5. Edwards (A.G.), Inc. 0.6%
</TABLE>
[ASSET ALLOCATION CHART]
ASSET ALLOCATION
<TABLE>
<S> <C>
U.S. Treasury Obligations 46.8%
Common Stocks 36.3%
Commercial Paper 16.9%
</TABLE>
15
<PAGE> 18
THE GCG TRUST
FULLY MANAGED SERIES
The Fully Managed Series (the "Series") seeks, over the long term, a high total
investment return, consistent with the preservation of capital and prudent
investment risk. For the first six months of 1998, the Series provided a return
of 5.59%.
Over the same time period, the Standard & Poors 500 Index ("S&P 500") had a
total return of 17.71%, and the Lehman Brothers Government/Corporate Bond Index
("Lehman") had a total return of 4.17%. The benchmark for this portfolio (60%
S&P 500, 40% Lehman) was 12.22% for the first six months of 1998.
With interest rates lower, the portfolio's fixed income securities and related
holdings had good results. On the equity portion of the portfolio, the Series
could not match the amazing strength of the broad equity market indices. This
was due in part to the portfolio's conservative structure.
The Series' basic asset allocation among equities, convertibles, bonds,
preferred stock, and reserves changed little these past six months. However,
several changes were made within the first two categories.
The largest purchases were Times Mirror Company convertible bonds and Niagara
Mohawk Power Corporation common stock. These new positions now represent two of
the largest holdings.
Electric utility holdings did particularly well considering the lackluster
recent returns achieved by most investors in this group.
Media holdings, including New York Times Company, Washington Post Company, and
Time Warner Inc., continued to perform well. The Series established positions in
this group during periods of uncertainty and then reaped the benefits of renewed
investor enthusiasm and solid corporate growth.
Most of the poor performers were in the natural resources area. While the
Portfolio Manager retains confidence in the individual companies, he was
disappointed that the industry picture turned so negative.
At the very least, a normalization of the current negative sentiment should
provide reasonable returns going forward. Beyond that, the Portfolio Manager can
envision various market conditions that could generate substantial returns for
gold stocks when the rest of the market is faltering.
Looking forward, we believe that high valuations and suspect corporate reporting
dramatically lower the odds of successfully investing in equities. However, the
Series will continue to maintain a 50% weighting in common stocks and an
increased exposure in convertibles.
In one of history's most rewarding investing climates, we believe that the
Series has invested in securities that should capture a good portion of the
returns enjoyed by more aggressive investors while maintaining a lower level of
volatility.
T. ROWE PRICE ASSOCIATES, INC.
- ------------------
Note: The benchmark index is comprised of 60% of the Standard & Poors 500 Index
and 40% of the Lehman Brothers Government/Corporate Bond Index.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
<TABLE>
<S> <C>
1 YEAR 12.53%
5 YEAR 10.50%
1/24/1989 (INCEPTION) 9.49%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
YEAR-TO-DATE 5.59%
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. Amerada Hess Corporation 4.1%
2. Loews Corporation 3.3%
3. First Energy Corporation 2.9%
4. Tennessee Valley Authority Power,
5.88% due 04/01/2036 2.7%
5. Niagara Mohawk Power Corporation 2.7%
</TABLE>
[ASSET ALLOCATION PIE CHART]
ASSET ALLOCATION
<TABLE>
<S> <C>
U.S. Government Agency Obligations 5.9%
U.S. Treasury Obligations 5.2%
Certificates of Deposit 0.5%
Preferred Stocks 4.8%
Corporate Notes 0.3%
Put Stock Options Purchased 0.3%
Common Stocks 49.3%
Convertible Bonds and Notes 18.4%
Commercial Paper 15.3%
</TABLE>
16
<PAGE> 19
THE GCG TRUST
LIMITED MATURITY BOND SERIES
The Limited Maturity Bond Series (the "Series") seeks to obtain the highest
current income that is consistent with low risk to principal and liquidity. For
the first six months of 1998, the Series provided a total return of 3.10%. The
Merrill Lynch 1-5 Year Corporate/Government Bond Index (the "benchmark") had a
total return of 3.24% over the same period.
In the first half of the year, the economy continued to exhibit impressive
forward momentum. Strong consumer demand, increases in construction activity and
a rebound in business capital spending have led to concerns about rising
inflation. Although the Federal Reserve Board (the "Fed") shares these concerns,
conditions in Asia have prevented them from increasing the discount rate.
The economic crisis in Asia had a profound impact on financial markets during
the first half of the year. In the United States, yields on U.S. Treasury
securities declined 0.15% to 0.30% across the yield curve. This helped the
performance of fixed income portfolios, because lower yields translate into
higher bond prices.
Credit spreads increased during the period. In other words, yields on securities
with lower credit ratings declined less than higher-rated securities. In this
environment, securities with higher credit ratings tend to produce higher
returns.
During the first half of the year, the Series had more credit risk than the
benchmark. This was the primary reason that Series returns trailed the
benchmark.
In all other respects, the portfolio was very similar to the benchmark.
Throughout the period, the Series had an average maturity and effective duration
(i.e. interest rate sensitivity) that were very similar to the benchmark.
Looking forward, the Portfolio Manager expects interest rates to remain stable,
or possibly decline. Renewed turmoil in Asia, coupled with a sizable inventory
retrenchment should lead to a slowdown in the U.S. growth rate. This would allow
the Fed to keep the discount rate at its current level.
The Portfolio Manager also expects credit spreads to remain stable, or possibly
decline. He believes that credit spreads already reflect any potential problem
in the market.
Given this outlook, the Portfolio Manager plans to extend the effective duration
and increase the credit risk of the portfolio. These strategies will enhance
returns if interest rates and credit spreads decrease or remain stable.
The Portfolio Manager also plans to re-enter the mortgage-backed securities
market. In his opinion, yields on these securities are finally reflecting an
appropriate amount of prepayment risk.
ING INVESTMENT MANAGEMENT, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
1 YEAR 7.21%
5 YEAR 5.29%
1/24/1989 (INCEPTION) 6.77%
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 3.10%
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT
RETURN AND PRINCIPAL VALUE WILL VARY, AND SHARES MAY BE WORTH MORE OR LESS AT
REDEMPTION THAN AT ORIGINAL PURCHASE.
On January 2, 1998, ING Investment Management, LLC ("IIM") became the Portfolio
Manager of the Series. From August 13, 1996 to January 1, 1998, Equitable
Investment Services, Inc., an affiliate of IIM, was the Portfolio Manager of the
Series. Prior to August 13, 1996, the Series had been advised by other Portfolio
Managers.
TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. U.S. Treasury Notes due through 2003
ranging from 5.500% to 6.625% 41.5%
2. Ford Motor Credit Company,
6.550% due 09/10/2002 3.3%
3. Boise Cascade Corporation,
9.850% due 06/15/2002 3.2%
4. Worldcom Inc.,
9.375% due 01/15/2004 3.1%
5. Aristar Inc.,
6.500% due 11/15/2003 2.9%
</TABLE>
ASSET ALLOCATION
[ASSET ALLOCATION PIE CHART]
<TABLE>
<S> <C>
U.S. Treasury Obligations................. 42.6%
Commercial Paper.......................... 10.2%
Foreign Bonds - U.S. Dollar Denominated... 3.7%
U.S. Government Agency Obligations........ 0.8%
Corporate Debt Securities................. 42.7%
</TABLE>
17
<PAGE> 20
THE GCG TRUST
LIQUID ASSET SERIES
The objective of the Liquid Asset Series (the "Series") is a high level of
current income, consistent with the preservation of capital and liquidity. The
Series had a total return of 2.55% for the first six months of 1998.
Over the past six months, there have been many conflicting signals regarding the
direction of interest rates. This has created interesting challenges for money
market managers.
In the first week of January, short-term interest rates declined by
approximately 0.25%. This occurred because investors thought the Asian financial
crisis would cause the U.S. economy to slow down. They expected the Federal
Reserve Board (the "Fed") to maintain or lower the discount rate.
During the first quarter, economic growth appeared to be much stronger than
expected. Many investors feared the Fed would increase the discount rate, and
short-term interest rates increased by more than 0.30% in late-January and
February.
At its meeting in March, the Fed signaled a bias toward increasing the discount
rate. However, they said that continuing financial problems in Asia have kept
them from doing so.
Since the beginning of March, short-term interest rates have been very stable.
They have varied within a 0.10% to 0.15% range, as investors reacted to the
latest information about the economy, inflation, or the financial crisis in
Asia.
At the beginning of the year, the Series had an average maturity of
approximately 45 days. For a short time, the Portfolio Manager extended the
average maturity of the portfolio. However, this strategy was reversed as
interest rates appeared to be heading upward.
For most of the six-month period, the Portfolio Manager has been reducing the
average maturity. He thought this strategy was prudent, given the uncertain
interest rate environment. At the end of June, the Series had an average
maturity of approximately 35 days.
During the second half of 1998, the Portfolio Manager expects short-term
interest rates to decline. There is renewed turmoil in Asia, and many U.S.
companies are working to reduce their inventory levels. These forces should slow
economic growth and keep inflation in check.
The Portfolio Manager plans to extend the average maturity of the portfolio.
This will position the Series for a stable or declining interest rate
environment.
This strategy may be changed if conditions warrant. The Series holds highly
liquid instruments, and this provides the Portfolio Manager with flexibility to
respond to changes in the economic environment.
ING INVESTMENT MANAGEMENT, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1998
1 YEAR 5.18%
5 YEAR 4.64%
1/24/1989 (INCEPTION) 5.16%
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 2.55%
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
INVESTMENT IN THE LIQUID ASSET SERIES (OR IN ANY OTHER SERIES) IS NEITHER
INSURED OR GUARANTEED BY THE U.S. GOVERNMENT. THERE CAN BE NO ASSURANCE THAT THE
LIQUID ASSET SERIES WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00
PER SHARE.
On January 2, 1998, ING Investment Management, LLC ("IIM") became the Portfolio
Manager of the Series. From August 13, 1996 to January 1, 1998, Equitable
Investment services, Inc., an affiliate of IIM, was the Portfolio Manager of the
Series. Prior to August 13, 1996, the Series had been advised by other Portfolio
Managers.
TOP FIVE HOLDINGS AS OF JUNE 30, 1998
<TABLE>
<S> <C>
1. AlliedSignal Inc.,
5.638% due 09/12/1998 4.2%
2. Goldman, Sachs & Company,
5.624% due 08/14/1998 3.3%
3. Archer-Daniels-Midland Company,
5.579% due 07/28/1998 3.2%
4. PHH Corporation,
5.728% due 08/03/1998 3.1%
5. Ford Motor Company,
5.571% due 08/12/1998 3.1%
</TABLE>
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Financial Services.............. 22.8%
Foods........................... 12.0%
Securities Brokerage............ 8.8%
Automotive...................... 8.5%
Office Equipment................ 8.3%
Telecommunications.............. 4.8%
Beverages....................... 4.8%
Aerospace....................... 4.6%
Other........................... 25.4%
</TABLE>
18
<PAGE> 21
[This page intentionally left blank]
19
<PAGE> 22
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
THE GCG TRUST
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY
SERIES SERIES SERIES SERIES SERIES SERIES
------------ ----------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost............ $ 84,110,203 $73,287,115 $190,585,384 $116,141,290 $324,523,022 $63,247,186
============ =========== ============ ============ ============ ===========
At value...................... $104,306,141 $83,474,099(a) $242,677,319 $119,343,756 $427,423,245 $70,166,718
Cash............................ 92,832 -- 9,110 -- -- 12,841
Receivables:
Shares of beneficial interest
sold........................ 306,381 153,976 100,042 607,936 1,523,248 --
Investment securities sold.... 515,183 567,134 947,940 849,893 -- 416,170
Dividends and/or interest..... 8,770 29,564 234,040 251,931 433,017 64,549
Prepaid expenses................ -- -- -- -- -- --
Other assets.................... -- -- -- -- -- --
------------ ----------- ------------ ------------ ------------ -----------
Total Assets................ 105,229,307 84,224,773 243,968,451 121,053,516 429,379,510 70,660,278
------------ ----------- ------------ ------------ ------------ -----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed.................... 54 86 153 5 15 43
Investment securities
purchased................... 800,945 2,648,569 8,563,489 6,572,446 -- --
Cash overdraft.................. -- 4,082 -- 3,442 20,594 --
Net unrealized depreciation on
forward foreign exchange
contracts..................... -- -- -- -- -- --
Variation margin................ -- -- -- -- -- 4,250
Accrued expenses and other
payables...................... -- -- -- -- -- --
------------ ----------- ------------ ------------ ------------ -----------
Total Liabilities........... 800,999 2,652,737 8,563,642 6,575,893 20,609 4,293
------------ ----------- ------------ ------------ ------------ -----------
NET ASSETS...................... $104,428,308 $81,572,036 $235,404,809 $114,477,623 $429,358,901 $70,655,985
============ =========== ============ ============ ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital................. $ 85,038,338 $65,669,159 $155,409,177 $104,609,462 $314,648,172 $58,076,025
Undistributed net investment
income/(loss)................. (144,698) (194,059) 1,552,594 928,110 1,785,291 516,780
Accumulated net realized
gain/(loss) on securities,
futures contracts, written
options, forward foreign
exchange contracts and foreign
currency transactions......... (661,270) 5,909,952 26,351,103 5,737,585 10,025,215 5,120,980
Net unrealized appreciation/
(depreciation) on securities,
futures contracts, written
options, forward foreign
exchange contracts and other
assets and liabilities
denominated in foreign
currencies.................... 20,195,938 10,186,984 52,091,935 3,202,466 102,900,223 6,942,200
------------ ----------- ------------ ------------ ------------ -----------
Total Net Assets............ $104,428,308 $81,572,036 $235,404,809 $114,477,623 $429,358,901 $70,655,985
============ =========== ============ ============ ============ ===========
Shares of beneficial interest
outstanding................... 6,728,323 5,372,075 11,927,548 7,051,667 18,742,530 4,864,413
============ =========== ============ ============ ============ ===========
NET ASSET VALUE, offering price
and redemption price per share
of beneficial interest
outstanding................... $ 15.52 $ 15.18 $ 19.74 $ 16.23 $ 22.91 $ 14.53
============ =========== ============ ============ ============ ===========
<CAPTION>
GROWTH
OPPORTUNITIES
SERIES
-------------
<S> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost............ $7,886,666
==========
At value...................... $7,931,988
Cash............................ 1,548,502
Receivables:
Shares of beneficial interest
sold........................ 55,540
Investment securities sold.... 4,284
Dividends and/or interest..... 31,078
Prepaid expenses................ --
Other assets.................... --
----------
Total Assets................ 9,571,392
----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed.................... 66
Investment securities
purchased................... 718,078
Cash overdraft.................. --
Net unrealized depreciation on
forward foreign exchange
contracts..................... --
Variation margin................ --
Accrued expenses and other
payables...................... --
----------
Total Liabilities........... 718,144
----------
NET ASSETS...................... $8,853,248
==========
NET ASSETS CONSIST OF:
Paid-in Capital................. $8,757,522
Undistributed net investment
income/(loss)................. 22,358
Accumulated net realized
gain/(loss) on securities,
futures contracts, written
options, forward foreign
exchange contracts and foreign
currency transactions......... 28,047
Net unrealized appreciation/
(depreciation) on securities,
futures contracts, written
options, forward foreign
exchange contracts and other
assets and liabilities
denominated in foreign
currencies.................... 45,321
----------
Total Net Assets............ $8,853,248
==========
Shares of beneficial interest
outstanding................... 858,943
==========
NET ASSET VALUE, offering price
and redemption price per share
of beneficial interest
outstanding................... $ 10.31
==========
</TABLE>
- ------------------
(a) The All-Growth Series, Managed Global Series and Emerging Markets Series
include repurchase agreements amounting to $5,012,855, $669,000 and
$906,000, respectively.
See Notes to Financial Statements.
20
<PAGE> 23
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING DEVELOPING HARD REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS WORLD ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------ ----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$106,310,139 $37,411,643 $ 5,728,826 $39,578,999 $74,030,824 $3,797,071 $251,306,072 $191,520,053 $66,085,922
============ =========== =========== =========== =========== ========== ============ ============ ===========
$127,521,432(a) $31,069,036(a) $ 4,679,998 $35,641,249 $81,908,102 $7,344,901 $270,797,478 $213,889,153 $66,798,220
210,770 7,514 1,090,832 3,102,574 8,935 360,552 73,759 -- --
-- 221,421 36,751 133,892 334,287 -- 605,453 946,252 481,937
1,819,395 271,856 11,224 473,961 431,403 -- 2,465,935 41,615 675
280,949 177,036 -- 110,399 517,384 4,429 2,090,978 1,137,056 1,327,337
9,083 4,000 -- -- -- -- -- -- --
-- -- -- -- -- 174 -- -- --
------------ ----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
129,841,629 31,750,863 5,818,805 39,462,075 83,200,111 7,710,056 276,033,603 216,014,076 68,608,169
------------ ----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
22,056 1 22 52 1 292,469 177 162 30
3,549,736 74,308 113,945 696,048 329,394 -- 770,025 1,483,485 --
-- -- -- -- -- -- -- 10,078 1,863
20,980 64,598 -- 8,412 -- -- -- -- --
-- -- -- -- -- -- -- -- --
21,740 -- -- -- -- -- -- -- --
------------ ----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
3,614,512 138,907 113,967 704,512 329,395 292,469 770,202 1,493,725 1,893
------------ ----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
$126,227,117 $31,611,956 $ 5,704,838 $38,757,563 $82,870,716 $7,417,587 $275,263,401 $214,520,351 $68,606,276
============ =========== =========== =========== =========== ========== ============ ============ ===========
$ 98,168,155 $51,575,234 $ 6,724,988 $41,607,817 $65,202,651 $3,590,326 $226,414,796 $175,829,560 $65,588,981
220,029 (104,498) 26,787 375,905 2,456,042 65,649 7,247,196 3,496,601 2,650,033
6,770,832 (13,346,645) 2,323 720,122 7,334,746 213,782 22,110,003 12,824,263 (345,036)
21,068,101 (6,512,135) (1,049,260) (3,946,281) 7,877,277 3,547,830 19,491,406 22,369,927 712,298
------------ ----------- ----------- ----------- ----------- ---------- ------------ ------------ -----------
$126,227,117 $31,611,956 $ 5,704,838 $38,757,563 $82,870,716 $7,417,587 $275,263,401 $214,520,351 $68,606,276
============ =========== =========== =========== =========== ========== ============ ============ ===========
9,127,564 4,229,969 690,919 2,948,465 4,750,030 396,812 20,039,826 12,915,373 6,454,314
============ =========== =========== =========== =========== ========== ============ ============ ===========
$ 13.83 $ 7.47 $ 8.26 $ 13.14 $ 17.45 $ 18.69 $ 13.74 $ 16.61 $ 10.63
============ =========== =========== =========== =========== ========== ============ ============ ===========
<CAPTION>
LIQUID
ASSET
SERIES
------------
<S> <C>
$108,659,534
============
$108,659,534
--
9,579,318
--
119,812
--
--
------------
118,358,664
------------
28,833
--
109
--
--
--
------------
28,942
------------
$118,329,722
============
$118,332,843
--
(3,121)
--
------------
$118,329,722
============
118,332,843
============
$ 1.00
============
</TABLE>
See Notes to Financial Statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
Statements of Operations
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC GROWTH
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY OPPORTUNITIES
SERIES SERIES SERIES SERIES SERIES SERIES SERIES*
----------- ---------- ------------ ----------- ----------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends...................... $ 128,674 $ 34,267 $ 1,614,539 $ 984,415 $ 2,664,222 $ 493,923 $20,787
Foreign taxes withheld on
dividend and interest
income....................... -- (110) (1,688) (12,868) (39,977) (1,144) (67)
Interest....................... 125,081 145,999 647,426 270,478 428,387 152,785 26,073
----------- ---------- ----------- ----------- ----------- ---------- -------
Total Investment Income.... 253,755 180,156 2,260,277 1,242,025 3,052,632 645,564 46,793
----------- ---------- ----------- ----------- ----------- ---------- -------
EXPENSES:
Unified fees (Note 2).......... 398,453 374,215 1,043,778 478,878 1,631,046 290,708 24,435
Trustees' fees and expenses
(Note 2)..................... -- -- -- -- -- -- --
Other.......................... -- -- -- -- -- -- --
----------- ---------- ----------- ----------- ----------- ---------- -------
Total Expenses............. 398,453 374,215 1,043,778 478,878 1,631,046 290,708 24,435
----------- ---------- ----------- ----------- ----------- ---------- -------
NET INVESTMENT INCOME/(LOSS)... (144,698) (194,059) 1,216,499 763,147 1,421,586 354,856 22,358
----------- ---------- ----------- ----------- ----------- ---------- -------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES (NOTES
1 AND 3):
Net realized gain/(loss) from:
Security transactions........ 3,547,761 7,452,917 14,465,468 3,363,926 1,975,188 4,162,224 28,039
Futures contracts............ -- -- -- -- -- (617,579) --
Written options.............. -- -- -- 287,606 -- -- --
Investments sold short....... -- -- -- -- -- -- --
Forward foreign exchange
contracts.................. -- -- -- -- -- (111) --
Foreign currency
transactions............... -- -- -- -- -- -- 8
Net change in unrealized
appreciation/(depreciation)
on:
Securities................... 9,599,933 273,507 7,634,019 (5,343,432) 37,748,926 (389,938) 45,321
Futures contracts............ -- -- -- -- -- 4,903 --
Written options.............. -- -- -- 21,727 -- -- --
Forward foreign exchange
contracts.................. -- -- -- -- -- -- --
Other assets and liabilities
denominated in foreign
currencies................. -- -- -- -- -- (17) --
----------- ---------- ----------- ----------- ----------- ---------- -------
Net realized and unrealized
gain/(loss) on
investments................ 13,147,694 7,726,424 22,099,487 (1,670,173) 39,724,114 3,159,482 73,368
----------- ---------- ----------- ----------- ----------- ---------- -------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.... $13,002,996 $7,532,365 $23,315,986 $ (907,026) $41,145,700 $3,514,338 $95,726
=========== ========== =========== =========== =========== ========== =======
</TABLE>
- ------------------
* The Growth Opportunities Series and Developing World Series commenced
operations on February 18, 1998, respectively.
See Notes to Financial Statements.
22
<PAGE> 25
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING DEVELOPING HARD REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS WORLD ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES* SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 842,354 $ 391,462 $ 50,397 $ 446,259 $ 2,074,957 -- $ 1,327,447 $ 1,149,842 --
(81,270) (18,562) (1,732) (5,761) -- -- (3,173) -- --
95,990 -- 11,582 111,467 95,105 $101,643 4,705,443 2,347,911 $1,891,280
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
857,074 372,900 60,247 551,965 2,170,062 101,643 6,029,717 3,497,753 1,891,280
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
721,338 325,298 33,460 210,677 378,555 36,606 1,309,633 933,413 181,617
-- -- -- -- -- -- -- -- --
178 13,709 -- -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
721,516 339,007 33,460 210,677 378,555 36,606 1,309,633 933,413 181,617
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
135,558 33,893 26,787 341,288 1,791,507 65,037 4,720,084 2,564,340 1,709,663
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
6,197,561 (1,782,546) (2,082) 450,904 3,012,571 208,771 18,738,356 9,709,221 (1,182)
-- -- -- 42,474 -- -- -- -- --
-- -- -- 28,943 -- -- -- -- --
-- -- 4,405 -- -- -- -- -- --
568,234 (137,523) -- 76,414 -- -- (469) 1,967 --
(28,490) (109,828) -- 356 -- -- 5,001 18,120 --
15,113,760 (3,633,686) (1,048,828) (6,592,083) (8,319,748) 645,197 (10,401,789) (2,290,266) 154,949
-- -- -- 4,406 -- -- -- -- --
-- -- -- -- -- -- -- -- --
(394,627) (64,598) -- (8,412) -- -- -- -- --
(1,498) 279,402 (432) 3,499 -- -- (50) 32,470 --
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
21,454,940 (5,448,779) (1,046,937) (5,993,499) (5,307,177) 853,968 8,341,049 7,471,512 153,767
----------- ----------- ----------- ----------- ----------- -------- ----------- ----------- ----------
$21,590,498 $(5,414,886) $(1,020,150) $(5,652,211) $(3,515,670) $919,005 $13,061,133 $10,035,852 $1,863,430
=========== =========== =========== =========== =========== ======== =========== =========== ==========
<CAPTION>
LIQUID
ASSET
SERIES
----------
<S> <C>
--
--
$2,251,462
----------
2,251,462
----------
230,474
5,874
--
----------
236,348
----------
2,015,114
----------
(686)
--
--
--
--
--
--
--
--
--
--
----------
(686)
----------
$2,014,428
==========
</TABLE>
See Notes to Financial Statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY
SERIES SERIES SERIES SERIES SERIES SERIES
------------ ----------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss)......... $ (144,698) $ (194,059) $ 1,216,499 $ 763,147 $ 1,421,586 $ 354,856
Net realized gain/(loss) on
securities, futures contracts,
written options, forward foreign
exchange contracts and foreign
currency transactions.............. 3,547,761 7,452,917 14,465,468 3,651,532 1,975,188 3,544,534
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......................... 9,599,933 273,507 7,634,019 (5,321,705) 37,748,926 (385,052)
------------ ----------- ------------ ------------ ------------ -----------
Net increase in net assets resulting
from operations.................... 13,002,996 7,532,365 23,315,986 (907,026) 41,145,700 3,514,338
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................ -- -- -- -- -- --
In excess of net investment income... -- -- -- -- -- --
Net realized gains................... -- -- -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold.......................... 31,432,073 7,018,072 31,828,944 37,249,431 151,349,153 17,180,310
Shares issued as reinvestment of
dividends.......................... -- -- -- -- -- --
Shares redeemed...................... (6,402,312) (6,834,882) (13,725,729) (1,912,848) (15,326,746) (1,827,188)
------------ ----------- ------------ ------------ ------------ -----------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS......................... 25,029,761 183,190 18,103,215 35,336,583 136,022,407 15,353,122
------------ ----------- ------------ ------------ ------------ -----------
Net increase/(decrease) in net
assets............................... 38,032,757 7,715,555 41,419,201 34,429,557 177,168,107 18,867,460
NET ASSETS:
Beginning of period.................... 66,395,551 73,856,481 193,985,608 80,048,066 252,190,794 51,788,525
------------ ----------- ------------ ------------ ------------ -----------
End of period.......................... $104,428,308 $81,572,036 $235,404,809 $114,477,623 $429,358,901 $70,655,985
============ =========== ============ ============ ============ ===========
Undistributed net investment
income/(loss)........................ $ (144,698) $ (194,059) $ 1,552,594 $ 928,110 $ 1,785,291 $ 516,780
============ =========== ============ ============ ============ ===========
TRANSACTIONS IN FUND SHARES:
Shares sold.......................... 2,164,426 482,243 1,670,686 2,200,935 6,864,125 1,192,366
Shares issued as reinvestment of
dividends.......................... -- -- -- -- -- --
Shares redeemed...................... (448,795) (472,055) (731,793) (112,781) (707,537) (127,612)
------------ ----------- ------------ ------------ ------------ -----------
Net increase/(decrease)................ 1,715,631 10,188 938,893 2,088,154 6,156,588 1,064,754
============ =========== ============ ============ ============ ===========
<CAPTION>
GROWTH
OPPORTUNITIES
SERIES*
-------------
<S> <C>
OPERATIONS:
Net investment income/(loss)......... $ 22,358
Net realized gain/(loss) on
securities, futures contracts,
written options, forward foreign
exchange contracts and foreign
currency transactions.............. 28,047
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......................... 45,321
----------
Net increase in net assets resulting
from operations.................... 95,726
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................ --
In excess of net investment income... --
Net realized gains................... --
CAPITAL SHARE TRANSACTIONS:
Shares sold.......................... 8,957,842
Shares issued as reinvestment of
dividends.......................... --
Shares redeemed...................... (200,320)
----------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS......................... 8,757,522
----------
Net increase/(decrease) in net
assets............................... 8,853,248
NET ASSETS:
Beginning of period.................... --
----------
End of period.......................... $8,853,248
==========
Undistributed net investment
income/(loss)........................ $ 22,358
==========
TRANSACTIONS IN FUND SHARES:
Shares sold.......................... 877,636
Shares issued as reinvestment of
dividends.......................... --
Shares redeemed...................... (18,693)
----------
Net increase/(decrease)................ 858,943
==========
</TABLE>
- ------------------
+ As of March 6, 1995, The Trust no longer accepts investments in the Market
Manager Series.
* The Growth Opportunities Series and Developing World Series commenced
operations on February 18, 1998 respectively.
See Notes to Financial Statements.
24
<PAGE> 27
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING DEVELOPING HARD REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS WORLD ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES* SERIES SERIES SERIES+ SERIES SERIES SERIES
------------ ----------- ----------- ------------ ----------- ---------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 135,558 $ 33,893 $ 26,787 $ 341,288 $ 1,791,507 $ 65,037 $ 4,720,084 $ 2,564,340 $ 1,709,663
6,737,305 (2,029,897) 2,323 599,091 3,012,571 208,771 18,742,888 9,729,308 (1,182)
14,717,635 (3,418,882) (1,049,260) (6,592,590) (8,319,748) 645,197 (10,401,839) (2,257,796) 154,949
------------ ----------- ----------- ------------ ----------- ---------- ------------ ------------ -----------
21,590,498 (5,414,886) (1,020,150) (5,652,211) (3,515,670) 919,005 13,061,133 10,035,852 1,863,430
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
13,275,304 3,882,614 7,089,227 11,023,828 15,863,214 -- 13,446,706 38,524,947 18,274,315
-- -- -- -- -- -- -- -- --
(13,941,258) (6,291,907) (364,239) (12,842,656) (5,006,796) (292,468) (15,843,191) (4,027,134) (5,370,688)
------------ ----------- ----------- ------------ ----------- ---------- ------------ ------------ -----------
(665,954) (2,409,293) 6,724,988 (1,818,828) 10,856,418 (292,468) (2,396,485) 34,497,813 12,903,627
------------ ----------- ----------- ------------ ----------- ---------- ------------ ------------ -----------
20,924,544 (7,824,179) 5,704,838 (7,471,039) 7,340,748 626,537 10,664,648 44,533,665 14,767,057
105,302,573 39,436,135 -- 46,228,602 75,529,968 6,791,050 264,598,753 169,986,686 53,839,219
------------ ----------- ----------- ------------ ----------- ---------- ------------ ------------ -----------
$126,227,117 $31,611,956 $ 5,704,838 $ 38,757,563 $82,870,716 $7,417,587 $275,263,401 $214,520,351 $68,606,276
============ =========== =========== ============ =========== ========== ============ ============ ===========
$ 220,029 $ (104,498) $ 26,787 $ 375,905 $ 2,456,042 $ 65,649 $ 7,247,196 $ 3,496,601 $ 2,650,033
============ =========== =========== ============ =========== ========== ============ ============ ===========
1,023,677 458,208 728,200 760,574 900,562 -- 988,784 2,353,217 1,742,321
-- -- -- -- -- -- -- -- --
(1,085,930) (709,544) (37,281) (884,319) (284,616) (15,632) (1,167,232) (242,182) (512,322)
------------ ----------- ----------- ------------ ----------- ---------- ------------ ------------ -----------
(62,253) (251,336) 690,919 (123,745) 615,946 (15,632) (178,448) 2,111,035 1,229,999
============ =========== =========== ============ =========== ========== ============ ============ ===========
<CAPTION>
LIQUID
ASSET
SERIES
------------
<S> <C>
$ 2,015,114
(686)
--
------------
2,014,428
(2,015,114)
--
--
144,655,083
2,015,138
(87,792,629)
------------
58,877,592
------------
58,876,906
59,452,816
------------
$118,329,722
============
$ --
============
144,655,052
2,015,138
(87,792,628)
------------
58,877,562
============
</TABLE>
See Notes to Financial Statements.
25
<PAGE> 28
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC MANAGED
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY GLOBAL
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------ ------------ ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income/(loss).......... $ (162,277) $ (351,685) $ 1,602,439 $ 789,572 $ 1,755,566 $ 754,337 $ 57,169
Net realized gain/(loss)
on securities, futures
contracts, written
options, forward
foreign exchange
contracts and foreign
currency
transactions........... (2,345,204) 6,011,558 25,886,926 7,969,130 12,060,684 3,043,656 8,487,853
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............. 7,983,775 (1,412,789) 15,156,059 4,536,919 32,431,516 5,016,645 2,108,616
------------ ------------ ------------ ----------- ------------ ----------- ------------
Net increase/(decrease)
in net assets resulting
from operations........ 5,476,294 4,247,084 42,645,424 13,295,621 46,247,766 8,814,638 10,653,638
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income.... -- (167,479) (1,586,754) (777,919) (1,618,583) (678,032) (1,426,847)
In excess of net
investment income...... -- -- -- -- -- -- (618,109)
Net realized gains....... -- (1,930,785) (16,079,375) (6,283,471) (4,219,889) (1,942,391) (6,691,768)
CAPITAL SHARE TRANSACTIONS:
Shares sold.............. 40,302,241 6,640,625 27,704,667 27,490,149 93,744,927 17,949,888 30,137,025
Shares issued as
reinvestment of
dividends.............. -- 2,098,264 17,666,128 7,061,390 5,838,473 2,620,421 8,736,723
Shares redeemed.......... (13,747,702) (15,781,173) (25,116,980) (5,358,048) (14,040,541) (5,399,420) (21,864,490)
------------ ------------ ------------ ----------- ------------ ----------- ------------
NET INCREASE/(DECREASE) IN
NET ASSETS FROM SHARES OF
BENEFICIAL INTEREST
TRANSACTIONS............. 26,554,539 (7,042,284) 20,253,815 29,193,491 85,542,859 15,170,889 17,009,258
------------ ------------ ------------ ----------- ------------ ----------- ------------
Net increase/(decrease) in
net assets............... 32,030,833 (4,893,464) 45,233,110 35,427,722 125,952,153 21,365,104 18,926,172
NET ASSETS:
Beginning of year.......... 34,364,718 78,749,945 148,752,498 44,620,344 126,238,641 30,423,421 86,376,401
------------ ------------ ------------ ----------- ------------ ----------- ------------
End of year................ $ 66,395,551 $ 73,856,481 $193,985,608 $80,048,066 $252,190,794 $51,788,525 $105,302,573
============ ============ ============ =========== ============ =========== ============
Undistributed net
investment
income/(loss)............ $ -- $ -- $ 336,095 $ 164,963 $ 363,705 $ 161,924 $ 84,471
============ ============ ============ =========== ============ =========== ============
TRANSACTIONS IN FUND
SHARES:
Shares sold.............. 3,265,056 480,563 1,584,454 1,688,644 5,080,986 1,415,924 2,473,206
Shares issued as
reinvestment of
dividends.............. -- 153,255 997,478 437,737 292,301 193,606 752,258
Shares redeemed.......... (1,114,385) (1,152,164) (1,472,937) (347,566) (770,378) (414,126) (1,798,765)
------------ ------------ ------------ ----------- ------------ ----------- ------------
Net increase/(decrease).... 2,150,671 (518,346) 1,108,995 1,778,815 4,602,909 1,195,404 1,426,699
============ ============ ============ =========== ============ =========== ============
</TABLE>
- ------------------
<TABLE>
<C> <S>
+ As of March 6, 1995, The Trust no longer accepts investments
in the Market Manager Series.
</TABLE>
See Notes to Financial Statements.
26
<PAGE> 29
<TABLE>
<CAPTION>
LIMITED
EMERGING HARD REAL MARKET MULTIPLE FULLY MATURITY LIQUID
MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES+ SERIES SERIES SERIES SERIES
------------ ------------ ------------ ---------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ (43,868) $ 357,315 $ 2,788,949 $ 138,390 $ 10,393,283 $ 4,051,724 $ 4,302,237 $ 2,406,915
893,630 8,342,402 6,334,789 334,050 17,804,014 10,614,478 101,572 (816)
(3,695,246) (5,781,864) 4,106,606 1,357,875 14,967,200 7,067,542 454,094 --
------------ ------------ ------------ ---------- ------------ ------------ ------------ ------------
(2,845,484) 2,917,853 13,230,344 1,830,315 43,164,497 21,733,744 4,857,903 2,406,099
(48,446) (307,920) (2,424,102) (137,990) (10,225,709) (4,129,884) (4,257,186) (2,406,915)
-- -- -- -- -- -- -- --
-- (9,313,654) (2,696,366) (329,039) (17,190,742) (9,274,889) -- --
18,460,665 16,245,443 25,988,226 -- 4,363,453 24,402,111 12,322,754 105,883,519
48,446 9,621,392 5,120,468 467,029 27,416,451 13,404,773 4,257,185 2,406,914
(27,689,479) (16,837,912) (14,823,210) (624,125) (55,720,412) (12,808,700) (44,658,613) (87,932,514)
------------ ------------ ------------ ---------- ------------ ------------ ------------ ------------
(9,180,368) 9,028,923 16,285,484 (157,096) (23,940,508) 24,998,184 (28,078,674) 20,357,919
------------ ------------ ------------ ---------- ------------ ------------ ------------ ------------
(12,074,298) 2,325,202 24,395,360 1,206,190 (8,192,462) 33,327,155 (27,477,957) 20,357,103
51,510,433 43,903,400 51,134,608 5,584,860 272,791,215 136,659,531 81,317,176 39,095,713
------------ ------------ ------------ ---------- ------------ ------------ ------------ ------------
$ 39,436,135 $ 46,228,602 $ 75,529,968 $6,791,050 $264,598,753 $169,986,686 $ 53,839,219 $ 59,452,816
============ ============ ============ ========== ============ ============ ============ ============
$ (138,391) $ 34,617 $ 664,535 $ 612 $ 2,527,112 $ 932,261 $ 940,370 --
============ ============ ============ ========== ============ ============ ============ ============
1,702,996 868,667 1,496,367 -- 332,402 1,541,076 1,145,356 105,883,519
4,596 622,948 280,846 28,477 2,079,311 849,634 410,051 2,406,914
(2,527,913) (878,297) (843,396) (38,453) (4,177,968) (809,383) (4,129,852) (87,932,514)
------------ ------------ ------------ ---------- ------------ ------------ ------------ ------------
(820,321) 613,318 933,817 (9,976) (1,766,255) 1,581,327 (2,574,445) 20,357,919
============ ============ ============ ========== ============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
27
<PAGE> 30
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
SMALL CAP SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR
06/30/98 ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96*
----------- -------- ---------
<S> <C> <C> <C>
Net asset value, beginning of period........................ $ 13.25 $ 12.01 $ 10.00
-------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss......................................... (0.02) (0.03) (0.01)
Net realized and unrealized gain on investments............. 2.29 1.27 2.02
-------- ------- -------
Total from investment operations............................ 2.27 1.24 2.01
-------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income........................ -- -- --
Distributions from capital gains............................ -- -- --
-------- ------- -------
Total distributions......................................... -- -- --
-------- ------- -------
Net asset value, end of period.............................. $ 15.52 $ 13.25 $ 12.01
======== ======= =======
Total return................................................ 17.13%++ 10.32% 20.10%++
======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................ $104,428 $66,396 $34,365
Ratio of operating expenses to average net assets........... 0.98%+ 0.99% 0.99%++
Ratio of net investment loss to average net assets.......... (0.36)%+ (0.34)% (0.08)%++
Portfolio turnover rate..................................... 60% 130% 117%
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Small Cap Series commenced operations on January 3,
1996.
+ Annualized
++ Non-annualized
</TABLE>
See Notes to Financial Statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
ALL-GROWTH SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period................ $ 13.77 $ 13.39 $ 13.78 $ 11.86 $ 13.42
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss)........................ (0.04) (0.06) 0.14 0.18 0.11
Net realized and unrealized gain/(loss) on
investments....................................... 1.45 0.84 (0.23) 2.47 (1.56)
------- ------- ------- ------- -------
Total from investment operations.................... 1.41 0.78 (0.09) 2.65 (1.45)
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................ -- (0.03) (0.14) (0.14) (0.11)
Distributions from capital gains.................... -- (0.37) (0.16) (0.59) --
------- ------- ------- ------- -------
Total distributions................................. -- (0.40) (0.30) (0.73) (0.11)
------- ------- ------- ------- -------
Net asset value, end of period...................... $ 15.18 $ 13.77 $ 13.39 $ 13.78 $ 11.86
======= ======= ======= ======= =======
Total return........................................ 10.24%++ 5.87% (0.57)% 22.42% (10.77)%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $81,572 $73,856 $78,750 $93,198 $71,218
Ratio of operating expenses to average net assets... 0.98%+ 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income/(loss) to average net
assets............................................ (0.51)%+ (0.47)% 0.86% 1.42% 1.08%
Portfolio turnover rate............................. 82% 325% 118% 81% 196%
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since February 3, 1997, Pilgrim Baxter & Associates, Ltd.
has served as Portfolio Manager for the All-Growth Series.
Prior to that date, a different firm served as Portfolio
Manager.
+ Annualized
++ Non-annualized
</TABLE>
See Notes to Financial Statements.
29
<PAGE> 32
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period............. $ 17.65 $ 15.06 $ 13.51 $ 11.34 $ 11.76
-------- -------- -------- -------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................ 0.10 0.16 0.16 0.19 0.23
Net realized and unrealized gain/(loss) on
investments.................................... 1.99 4.19 2.57 3.22 (0.42)
-------- -------- -------- -------- -------
Total from investment operations................. 2.09 4.35 2.73 3.41 (0.19)
-------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income............. -- (0.16) (0.17) (0.15) (0.23)
Distributions from capital gains................. -- (1.60) (1.01) (1.09) --
-------- -------- -------- -------- -------
Total distributions.............................. -- (1.76) (1.18) (1.24) (0.23)
-------- -------- -------- -------- -------
Net asset value, end of period................... $ 19.74 $ 17.65 $ 15.06 $ 13.51 $ 11.34
======== ======== ======== ======== =======
Total return..................................... 11.84%++ 28.95% 20.26% 30.16% (1.59)%
======== ======== ======== ======== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............. $235,405 $193,986 $148,752 $122,227 $88,890
Ratio of operating expenses to average net
assets......................................... 0.98%+ 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to average net
assets......................................... 1.14%+ 0.95% 1.12% 1.53% 1.96%
Portfolio turnover rate.......................... 29% 51% 64% 98% 84%
</TABLE>
- ------------------
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR
06/30/98# ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95*
----------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 16.13 $ 13.92 $ 13.18 $ 10.00
-------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................................... .13 0.16 0.22 0.08
Net realized and unrealized gain on investments............. (.03) 3.63 1.18 3.44
-------- ------- ------- -------
Total from investment operations............................ 0.10 3.79 1.40 3.52
-------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income........................ -- (0.18) (0.19) (0.06)
Distributions from capital gains............................ -- (1.40) (0.47) (0.28)
-------- ------- ------- -------
Total distributions......................................... -- (1.58) (0.66) (0.34)
-------- ------- ------- -------
Net asset value, end of period.............................. $ 16.23 $ 16.13 $ 13.92 $ 13.18
======== ======= ======= =======
Total return................................................ 0.62%++ 27.28% 10.62% 35.21%
======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................ $114,478 $80,048 $44,620 $28,830
Ratio of operating expenses to average net assets........... 0.98%+ 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets........ 1.56%+ 1.31% 1.80% 1.53%
Portfolio turnover rate..................................... 55% 128% 131% 86%
</TABLE>
- ------------------
* The Value Equity Series commenced operations on January 3,
1995.
+ 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.
See Notes to Financial Statements.
31
<PAGE> 34
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96# 12/31/95 12/31/94
----------- -------- --------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period................ $ 20.04 $ 15.81 $ 13.30 $ 10.22 $ 10.30
-------- -------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............................... 0.07 0.14 0.14 0.13 0.14
Net realized and unrealized gain/(loss) on
investments....................................... 2.80 4.57 2.61 3.04 (0.08)
-------- -------- -------- ------- -------
Total from investment operations.................... 2.87 4.71 2.75 3.17 0.06
-------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................ -- (0.13) (0.13) (0.09) (0.14)
Distributions from capital gains.................... -- (0.35) (0.11) -- --
-------- -------- -------- ------- -------
Total distributions................................. -- (0.48) (0.24) (0.09) (0.14)
-------- -------- -------- ------- -------
Net asset value, end of period...................... $ 22.91 $ 20.04 $ 15.81 $ 13.30 $ 10.22
======== ======== ======== ======= =======
Total return........................................ 14.32%++ 29.82% 20.65% 31.06% 0.59%
======== ======== ======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $429,359 $252,191 $126,239 $81,210 $50,712
Ratio of operating expenses to average net assets... 0.98%+ 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to average net
assets............................................ 0.85%+ 0.96% 0.99% 1.24% 1.88%
Portfolio turnover rate............................. 2% 26% 15% 43% 26%
</TABLE>
- ------------------
+ 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.
See Notes to Financial Statements.
32
<PAGE> 35
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
STRATEGIC EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
06/30/98## ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96## 12/31/95*
----------- -------- ---------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 13.63 $ 11.68 $ 10.01 $10.00
------- ------- ------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................................... 0.08 0.20 0.23 0.06
Net realized and unrealized gain/(loss) on investments...... 0.82 2.49 1.71 (0.03)#
------- ------- ------- ------
Total from investment operations............................ 0.90 2.69 1.94 0.03
------- ------- ------- ------
LESS DISTRIBUTIONS:
Dividends from net investment income........................ -- (0.19) (0.14) (0.02)
Distributions from capital gains............................ -- (0.55) (0.13) --
------- ------- ------- ------
Total distributions......................................... -- (0.74) (0.27) (0.02)
------- ------- ------- ------
Net asset value, end of period.............................. $ 14.53 $ 13.63 $ 11.68 $10.01
======= ======= ======= ======
Total return................................................ 6.60%++ 23.16% 19.39% 0.33%++
======= ======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................ $70,656 $51,789 $30,423 $8,067
Ratio of operating expenses to average net assets........... 0.98%+ 0.99% 1.00% 1.00%+
Ratio of net investment income to average net assets........ 1.19%+ 1.88% 2.05% 4.04%+
Portfolio turnover rate..................................... 69% 105% 133% 29%
</TABLE>
- ------------------
* The Strategic Equity Series commenced operations on October
2, 1995.
+ Annualized
++ Non-annualized
# The amount shown may not accord with the change in the
aggregate gains and losses of portfolio securities due to
timing of sales and redemption 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.
See Notes to Financial Statements.
33
<PAGE> 36
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
PERIOD
ENDED
06/30/98*
(UNAUDITED)
-----------
<S> <C>
Net asset value, beginning of period........................ $10.00
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................................... 0.03
Net realized and unrealized gain/(loss) on investments...... 0.28
------
Total from investment operations............................ 0.31
------
LESS DISTRIBUTIONS:
Dividends from net investment income........................ --
------
Total distributions......................................... --
------
Net asset value, end of period.............................. $10.31
======
Total return................................................ 3.10%++
======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................ $8,853
Ratio of operating expenses to average net assets........... 1.10%+
Ratio of net investment income to average net assets........ 1.01%+
Portfolio turnover rate..................................... 13%
</TABLE>
- ------------------
* The Growth Opportunities Series commenced operations on February 18, 1998.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
MANAGED GLOBAL SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96**# 12/31/95# 12/31/94#
----------- --------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period.............. $ 11.46 $ 11.13 $ 9.96 $ 9.26 $ 10.67
-------- -------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................. 0.01 0.02 0.04 0.05 0.07
Net realized and unrealized gain/(loss) on
investments..................................... 2.36 1.33 1.18 0.65 (1.48)
-------- -------- ------- ------- -------
Total from investment operations.................. 2.37 1.35 1.22 0.70 (1.41)
-------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.............. -- (0.17) -- -- --
Dividends in excess of net investment income...... -- (0.07) -- -- --
Distributions from capital gains.................. -- (0.78) (0.05) -- --
-------- -------- ------- ------- -------
Total distributions............................... -- (1.02) (0.05) -- --
-------- -------- ------- ------- -------
Net asset value, end of period.................... $ 13.83 $ 11.46 $ 11.13 $ 9.96 $ 9.26
======== ======== ======= ======= =======
Total return...................................... 20.68%++ 12.17% 12.27% 7.56% (13.21)%
======== ======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).............. $126,227 $105,354 $86,376 $72,375 $86,209
Ratio of operating expenses to average net
assets.......................................... 1.25%+ 1.36% 1.26% 1.26% 1.31%
Decrease reflected in above expense ratio due to
expense
limitations..................................... -- -- -- 0.09% 0.09%
Ratio of net investment income to average net
assets.......................................... 0.23%+ 0.06% 0.39% 0.51% 0.69%
Portfolio turnover rate........................... 82% 199% 141% 44% N/A
</TABLE>
- ------------------
* Since March 3, 1997, Putnam Investment Management, Inc. has served as
Portfolio Manager of the Account. Prior to that date, different firms served
as Portfolio Manager.
** On September 3, 1996, the Managed Global Account of Separate Account D of
Golden American Life Insurance Company 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.
+ 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.
See Notes to Financial Statements.
35
<PAGE> 38
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
EMERGING MARKET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period................. $ 8.80 $ 9.72 $ 9.06 $ 10.08 $ 12.44
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................ 0.01 (0.01) 0.04 0.04 --
Net realized and unrealized gain/(loss) on
investments........................................ (1.34) (0.90) 0.62 (1.06) (1.89)
------- ------- ------- ------- -------
Total from investment operations..................... (1.33) (0.91) 0.66 (1.02) (1.89)
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................. -- (0.01) -- -- --
Distributions from capital gains..................... -- -- -- (0.00)# (0.47)
------- ------- ------- ------- -------
Total distributions.................................. -- (0.01) -- (0.00) (0.47)
------- ------- ------- ------- -------
Net asset value, end of period....................... $ 7.47 $ 8.80 $ 9.72 $ 9.06 $ 10.08
======= ======= ======= ======= =======
Total return......................................... (15.11)%++ (9.37)% 7.28% (10.11)% (15.18)%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................. $31,612 $39,436 $51,510 $47,974 $65,224
Ratio of operating expenses to average net assets.... 1.82%+ 1.80% 1.55% 1.53% 1.73%
Ratio of net investment income/(loss) to average net
assets............................................. 0.18%+ (.09)% 0.38% 0.40% 0.03%
Portfolio turnover rate.............................. 47% 170% 136% 141% 106%
</TABLE>
- ------------------
* Since March 3, 1997, Putnam Investment Management, Inc. has served as
Portfolio Manager for the Emerging Markets Series. Prior to that date, a
different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
# Amount represents less than $0.01 per share.
See Notes to Financial Statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
DEVELOPING WORLD SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
PERIOD
ENDED
06/30/98*
(UNAUDITED)
-----------
<S> <C>
Net asset value, beginning of period........................ $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................................... 0.05
Net realized and unrealized gain/(loss) on investments...... (1.79)
-------
Total from investment operations............................ (1.74)
-------
LESS DISTRIBUTIONS:
Dividends from net investment income........................ --
-------
Total distributions......................................... --
-------
Net asset value, end of period.............................. $ 8.26
=======
Total return................................................ (17.40)%++
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................ $ 5,705
Ratio of operating expenses to average net assets........... 1.76%+
Ratio of net investment income to average net assets........ 1.41%+
Portfolio turnover rate..................................... 37%
</TABLE>
- ------------------
* The Developing World Series commenced operations on February
18, 1998.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
37
<PAGE> 40
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
HARD ASSETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period................ $ 15.05 $ 17.85 $ 15.04 $ 13.88 $ 13.89
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................... 0.12 0.14 0.05 0.15 0.13
Net realized and unrealized gain/(loss) on
investments....................................... (2.03) 0.99 4.92 1.34 0.23
------- ------- ------- ------- -------
Total from investment operations.................... (1.91) 1.13 4.97 1.49 0.36
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................ -- (0.13) (0.07) (0.13) (0.13)
Distributions from capital gains.................... -- (3.80) (2.09) (0.20) (0.24)
------- ------- ------- ------- -------
Total distributions................................. -- (3.93) (2.16) (0.33) (0.37)
------- ------- ------- ------- -------
Net asset value, end of period...................... $ 13.14 $ 15.05 $ 17.85 $ 15.04 $ 13.88
======= ======= ======= ======= =======
Total return........................................ (12.62)%++ 6.22% 33.17% 10.69% 2.53%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $38,758 $46,229 $43,903 $27,147 $32,879
Ratio of operating expenses to average net assets... 0.98%+ 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to average net
assets............................................ 1.59%+ 0.76% 0.34% 0.89% 1.01%
Portfolio turnover rate............................. 82% 124% 96% 24% 25%
</TABLE>
- ------------------
* Prior to January 23, 1997, the Hard Assets Series was named the Natural
Resources Series.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
REAL ESTATE SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period................ $ 18.27 $ 15.98 $ 12.63 $ 11.29 $ 11.18
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............................... 0.36 0.69 0.70 0.75 0.60
Net realized and unrealized gain on investments..... (1.18) 2.93 3.70 1.12 0.11#
------- ------- ------- ------- -------
Total from investment operations.................... (0.82) 3.62 4.40 1.87 0.71
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................ -- (0.63) (0.77) (0.53) (0.60)
Distributions from capital gains.................... -- (0.70) (0.28) -- --
------- ------- ------- ------- -------
Total distributions................................. -- (1.33) (1.05) (0.53) (0.60)
------- ------- ------- ------- -------
Net asset value, end of period...................... $ 17.45 $ 18.27 $ 15.98 $ 12.63 $ 11.29
======= ======= ======= ======= =======
Total return........................................ (4.11)%++ 22.79% 35.30% 16.59% 6.34%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $82,871 $75,530 $51,135 $34,975 $37,336
Ratio of operating expenses to average net assets... 0.98%+ 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to average net
assets............................................ 4.64%+ 4.49% 5.53% 5.79% 5.31%
Portfolio turnover rate............................. 18% 41% 31% 53% 64%
</TABLE>
- ------------------
* 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.
See Notes to Financial Statements.
39
<PAGE> 42
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
MARKET MANAGER SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94*
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period..................... $16.47 $13.22 $12.03 $10.02 $10.00
------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................................... 0.16 0.36 0.46 0.37 0.02
Net realized and unrealized gain on investments.......... 2.06 4.11 1.89 2.06 0.02
------ ------ ------ ------ ------
Total from investment operations......................... 2.22 4.47 2.35 2.43 0.04
------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income..................... -- (0.36) (0.46) (0.37) (0.02)
Distributions from capital gains......................... -- (0.86) (0.70) (0.05) --
------ ------ ------ ------ ------
Total distributions...................................... -- (1.22) (1.16) (0.42) (0.02)
------ ------ ------ ------ ------
Net asset value, end of period........................... $18.69 $16.47 $13.22 $12.03 $10.02
====== ====== ====== ====== ======
Total return............................................. 13.60%++ 33.82% 19.40% 24.33% 0.44%++
====== ====== ====== ====== ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)..................... $7,418 $6,791 $5,585 $5,952 $2,754
Ratio of operating expenses to average net assets........ 1.01%+ 1.01% 1.02% 0.89% --
Decrease reflected in above expense ratio due to expense
limitations............................................ -- -- -- 0.13% 0.13%++
Ratio of net investment income to average net assets..... 1.80%+ 2.19% 3.06% 3.42% 0.65%++
Portfolio turnover rate.................................. -- -- -- 5% --
</TABLE>
- ------------------
* The Market Manager Series commenced operations on November 14, 1994.
** On January 2, 1998, ING Investment Management, LLC ("IIM") became the
Portfolio Manager of the Series. From March 3, 1997 to January 1, 1998,
Equitable Investment Services, Inc., an affiliate of IIM, was the Portfolio
Manager of the Series. Prior to March 3, 1997, the Series had been advised by
other Portfolio Managers.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period............ $ 13.09 $ 12.41 $ 12.52 $ 11.33 $ 11.89
-------- -------- -------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income........................... 0.24 0.57 0.56 0.58 0.42
Net realized and unrealized gain/(loss) on
investments................................... 0.41 1.58 0.52 1.56 (0.56)
-------- -------- -------- -------- --------
Total from investment operations................ 0.65 2.15 1.08 2.14 (0.14)
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income............ -- (0.55) (0.58) (0.45) (0.42)
Distributions from capital gains................ -- (0.92) (0.61) (0.50) --
-------- -------- -------- -------- --------
Total distributions............................. -- (1.47) (1.19) (0.95) (0.42)
-------- -------- -------- -------- --------
Net asset value, end of period.................. $ 13.74 $ 13.09 $ 12.41 $ 12.52 $ 11.33
======== ======== ======== ======== ========
Total return.................................... 4.97%++ 17.44% 8.77% 18.93% (1.18)%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............ $275,263 $264,599 $272,791 $307,691 $299,392
Ratio of operating expenses to average net
assets........................................ 0.98%+ 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to average net
assets........................................ 3.53%+ 3.88% 3.86% 4.42% 3.56%
Portfolio turnover rate......................... 28% 79% 158% 187% 291%
</TABLE>
- ------------------
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
41
<PAGE> 44
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
FULLY MANAGED SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98# ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period............. $ 15.73 $ 14.82 $ 13.79 $ 11.70 $ 12.99
-------- -------- -------- -------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................ 0.22 0.39 0.56 0.45 0.35
Net realized and unrealized gain/(loss) on
investments.................................... 0.66 1.86 1.69 1.98 (1.29)
-------- -------- -------- -------- -------
Total from investment operations................. 0.88 2.25 2.25 2.43 (0.94)
-------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income............. -- (0.41) (0.56) (0.34) (0.35)
Distributions from capital gains................. -- (0.93) (0.66) -- --
-------- -------- -------- -------- -------
Total distributions.............................. -- (1.34) (1.22) (0.34) (0.35)
-------- -------- -------- -------- -------
Net asset value, end of period................... $ 16.61 $ 15.73 $ 14.82 $ 13.79 $ 11.70
======== ======== ======== ======== =======
Total return..................................... 5.59%++ 15.27% 16.36% 20.80% (7.27)%
======== ======== ======== ======== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............. $214,520 $169,987 $136,660 $118,589 $99,854
Ratio of operating expenses to average net
assets......................................... 0.98%+ 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to average net
assets......................................... 2.69%+ 2.67% 3.83% 3.41% 2.62%
Portfolio turnover rate.......................... 26% 48% 45% 113% 66%
</TABLE>
- ------------------
* 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
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
See Notes to Financial Statements.
42
<PAGE> 45
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
LIMITED MATURITY BOND SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98# ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97# 12/31/96# 12/31/95 12/31/94
----------- --------- --------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period.................... $ 10.31 $ 10.43 $ 11.15 $ 9.98 $ 10.62
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................... 0.29 0.60 0.59 0.60 0.51
Net realized and unrealized gain/(loss) on
investments........................................... 0.03 0.09 (0.13) 0.57 (0.64)
------- ------- ------- ------- -------
Total from investment operations........................ 0.32 0.69 0.46 1.17 (0.13)
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.................... -- (0.81) (1.15) -- (0.51)
Distributions from capital gains........................ -- -- (0.03) -- --
------- ------- ------- ------- -------
Total distributions..................................... -- (0.81) (1.18) -- (0.51)
------- ------- ------- ------- -------
Net asset value, end of period.......................... $ 10.63 $ 10.31 $ 10.43 $ 11.15 $ 9.98
======= ======= ======= ======= =======
Total return............................................ 3.10%++ 6.67% 4.32% 11.72% (1.19)%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................... $68,606 $53,839 $81,317 $90,081 $72,213
Ratio of operating expenses to average net assets....... 0.60%+ 0.61% 0.61% 0.61% 0.60%
Ratio of net investment income to average net assets.... 5.64%+ 5.71% 5.33% 5.58% 4.73%
Portfolio turnover rate................................. 0%## 81% 250% 302% 209%
</TABLE>
- ------------------
* On January 2, 1998, ING Investment Management, LLC ("IIM")
became the Portfolio Manager of the Series. From August 13,
1996 to January 1, 1998, Equitable Investment Services,
Inc., an affiliate of IIM, was the Portfolio Manager of the
Series. Prior to August 13, 1996, the Series had been
advised by other Portfolio Managers.
+ 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.
## Represents less than 1%.
See Notes to Financial Statements.
43
<PAGE> 46
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
LIQUID ASSET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR
06/30/98 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period.................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................... 0.025 0.050 0.049 0.054 0.040
-------- ------- ------- ------- -------
Total from investment operations........................ 0.025 0.050 0.049 0.054 0.040
-------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.................... (0.025) (0.050) (0.049) (0.054) (0.040)
-------- ------- ------- ------- -------
Total distributions..................................... (0.025) (0.050) (0.049) (0.054) (0.040)
-------- ------- ------- ------- -------
Net asset value, end of period.......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======= ======= ======= =======
Total return............................................ 2.55%++ 5.07% 5.01% 5.51% 3.89%
======== ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................... $118,330 $59,453 $39,096 $38,589 $46,122
Ratio of operating expenses to average net assets....... 0.60%+ 0.61% 0.61% 0.61% 0.61%
Ratio of net investment income to average net assets.... 5.10%+ 4.99% 4.89% 5.39% 3.89%
</TABLE>
- ------------------
* On January 2, 1998, ING Investment Management, LLC ("IIM")
became the Portfolio Manager of the Series. From August 13,
1996 to January 1, 1998, Equitable Investment Services,
Inc., an affiliate of IIM, was the Portfolio Manager of the
Series. Prior to August 13, 1996, the Series had been
advised by other Portfolio Managers.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
44
<PAGE> 47
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 94.5%
ADVERTISING -- 3.3%
121,275 Outdoor Systems Inc.+.................. $ 3,395,700
------------
AIRLINES -- 2.6%
25,000 Continental Airlines, Inc., Class B+... 1,521,875
42,600 SkyWest, Inc........................... 1,192,800
------------
2,714,675
------------
APPAREL -- 2.5%
45,000 The Finish Line, Inc., Class A+........ 1,265,625
42,000 WestPoint Stevens Inc.+................ 1,386,000
------------
2,651,625
------------
BANKING/FINANCIAL -- 3.1%
16,100 CMAC Investments Corporation........... 990,150
30,000 North Fork Bancorporation Inc.......... 733,125
38,400 Sovereign Bancorp Inc.................. 627,600
15,000 Wilmington Trust Corporation........... 913,125
------------
3,264,000
------------
BIO TECHNOLOGY -- 2.7%
17,000 IDEC Pharmaceuticals Corporation+...... 400,563
71,700 INCYTE Pharmaceuticals Inc.+........... 2,446,762
------------
2,847,325
------------
BROADCASTING, RADIO AND TV -- 3.6%
Capstar Broadcasting Corporation, Class
25,000 A+..................................... 628,125
10,050 Clear Channel Communications, Inc.+.... 1,096,706
34,400 Jacor Communications, Inc.+............ 2,029,600
------------
3,754,431
------------
COMMERCIAL SERVICES -- 4.6%
15,000 America Online, Inc.................... 1,590,000
15,000 Cognizant Corporation.................. 946,875
11,600 Pittway Corporation, Class A........... 856,950
19,100 QRS Corp.+............................. 718,637
4,000 Yahoo! Inc.+........................... 630,000
------------
4,742,462
------------
COMMUNICATION -- 4.1%
43,800 Ascend Communications, Inc.+........... 2,170,838
19,000 Tellabs, Inc.+......................... 1,360,875
10,100 Transaction Network Service Inc.+...... 212,731
14,300 Visual Networks Inc.+.................. 523,737
------------
4,268,181
------------
COMPUTER SOFTWARE -- 10.1%
47,400 CBT Group PLC, ADR+.................... 2,535,900
15,000 Citrix Systems, Inc.+.................. 1,025,625
28,000 HBO & Company.......................... 987,000
28,200 Intuit Inc.+........................... 1,727,250
8,100 Keane Inc.+............................ 453,600
22,500 Network Associates, Inc.+.............. 1,077,187
44,000 Saville Systems PLC, ADR+.............. 2,205,500
18,100 Software AG Systems, Inc.+............. 529,425
------------
10,541,487
------------
CONSUMER SERVICES -- 3.5%
20,000 Bed, Bath & Beyond Inc.+............... 1,036,250
40,000 Michaels Stores Inc.+.................. 1,411,250
36,700 Technology Solutions Company+.......... 1,162,931
------------
3,610,431
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
FINANCIAL SERVICES -- 1.5%
Enhance Financial Services Group
24,400 Inc. .................................. $ 823,500
14,000 The Finova Group Inc. ................. 792,750
------------
1,616,250
------------
FOOD AND BEVERAGES -- 2.2%
25,900 Earthgrains Company.................... 1,447,163
32,100 Keebler Foods Company+................. 882,750
------------
2,329,913
------------
FOOD -- RETAIL -- 0.2%
15,000 Food Lion, Inc., Class A............... 159,375
------------
FURNITURE, HOME AND OFFICE -- 1.7%
32,500 Knoll Inc.+............................ 950,625
32,000 Leggett & Platt Inc.................... 800,000
------------
1,750,625
------------
HEALTH CARE -- 2.3%
58,000 Lincare Holdings Inc.+................. 2,439,625
------------
HEALTH MAINTENANCE -- 3.0%
35,000 Elan Corporation PLC, ADR+............. 2,250,937
24,500 Omnicare Inc. ......................... 934,063
------------
3,185,000
------------
HOSPITAL MANAGEMENT AND SERVICES -- 1.0%
49,000 Hooper Holmes, Inc..................... 1,029,000
------------
INSURANCE -- 0.4%
7,100 Fremont General Corporation............ 384,731
------------
LEISURE -- 2.3%
30,750 Family Golf Centers Inc.+.............. 778,359
24,800 Premier Parks Inc.+.................... 1,652,300
------------
2,430,659
------------
MEDICAL SERVICES -- 2.3%
84,000 Medquist Inc.+......................... 2,425,500
------------
MEDICAL SUPPLIES -- 2.2%
10,100 Bergen Brunswig Corporation............ 468,388
25,500 Biomet, Inc............................ 843,094
23,000 Safeskin Corporation+.................. 945,875
------------
2,257,357
------------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 0.6%
32,000 Varco International Inc.+.............. 634,000
------------
PHARMACEUTICALS -- 4.8%
43,900 ALZA Corporation+...................... 1,898,675
59,400 Forest Laboratories, Inc.+ ............ 2,123,550
16,700 Medimmune Inc.+........................ 1,041,662
------------
5,063,887
------------
POLLUTION CONTROL -- 1.4%
30,517 USA Waste Services Inc.+............... 1,506,777
------------
REAL ESTATE INVESTMENT TRUST -- 0.7%
31,800 Indymac Mortgage Holdings, Inc......... 723,450
------------
RESTAURANTS -- 3.9%
37,380 CKE Restaurants, Inc................... 1,541,925
39,000 Outback Steakhouse, Inc.+.............. 1,521,000
24,800 Showbiz Pizza Time, Inc.+ ............. 999,750
------------
4,062,675
------------
</TABLE>
See Notes to Financial Statements.
45
<PAGE> 48
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL -- 16.9%
23,300 BJ's Wholesale Club, Inc.+............. $ 946,563
72,600 The Bon-Ton Stores, Inc.+.............. 1,166,137
34,400 Borders Group+......................... 1,272,800
27,800 Brylane Inc.+.......................... 1,278,800
The Elder-Beerman Stores
76,100 Corporation+........................... 2,030,919
80,900 Family Dollar Stores Inc............... 1,496,650
32,200 Fred Meyer Inc.+....................... 1,368,500
62,400 Linens 'N Things Inc.+................. 1,907,100
26,000 N2K Inc.+.............................. 510,250
16,000 Office Depot, Inc.+.................... 505,000
21,400 Proffitts Inc.+........................ 864,025
36,000 Rent-Way, Inc.+........................ 1,098,000
39,600 Stage Stores Inc.+..................... 1,791,900
49,000 Sunglass Hut International, Inc.+...... 542,063
13,600 Whole Foods Market Inc.+............... 822,800
------------
17,601,507
------------
TELECOMMUNICATIONS EQUIPMENT -- 0.9%
14,000 Ciena Corporation+..................... 974,750
------------
TRANSPORTATION/SERVICES -- 3.4%
43,100 Coach USA Inc.+........................ 1,952,969
Kansas City Southern Industries,
31,300 Inc.................................... 1,553,263
------------
3,506,232
------------
WHOLESALE DISTRIBUTORS -- 2.7%
23,900 U.S. Foodservice, Inc.+................ 837,994
17,400 United Stationers, Inc.+............... 1,126,650
35,700 VWR Scientific Products Corporation+... 879,112
------------
2,843,756
------------
Total Common Stocks
(Cost $78,519,448)..................... 98,715,386
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 5.4%
$1,500,000 General Electric Capital, 5.659%++ due
07/14/1998............................ $ 1,496,983
300,000 Lexington Parker, 5.647%++ due
07/02/1998............................ 299,953
800,000 Merrill Lynch & Company, 5.705%++ due
07/09/1998............................ 799,001
800,000 Merrill Lynch & Company, 5.688%++ due
07/13/1998............................ 798,507
1,000,000 Thunder Bay Funding, 6.008%++ due
07/07/1998............................ 999,013
1,200,000 Twin Towers, 5.884%++ due 07/15/1998.... 1,197,298
------------
Total Commercial Paper
(Cost $5,590,755)..................... 5,590,755
------------
TOTAL INVESTMENTS (COST $84,110,203*)........ 99.9% 104,306,141
OTHER ASSETS AND LIABILITIES (NET)........... 0.1 122,167
----- ------------
NET ASSETS................................... 100.0% $104,428,308
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
46
<PAGE> 49
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
ALL-GROWTH SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 96.2%
AUTO RELATED -- 3.1%
27,300 Harley-Davidson, Inc. .................. $ 1,057,875
33,600 Tower Automotive, Inc.+................. 1,440,600
-----------
2,498,475
-----------
APPAREL -- 0.9%
13,200 Jones Apparel Group, Inc.+.............. 482,625
11,300 Wolverine World Wide, Inc. ............. 245,069
-----------
727,694
-----------
BROADCAST, RADIO AND TELEVISION -- 0.8%
2,700 Clear Channel Communications, Inc.+..... 294,638
6,100 Jacor Communications, Inc.+............. 359,900
-----------
654,538
-----------
COMPUTER HARDWARE -- 2.7%
44,800 Celestica Inc.+......................... 840,000
9,200 Jabil Circuit, Inc. .................... 304,175
18,500 Kent Electronics Corporation+........... 338,781
17,400 Solectron Corporation................... 731,887
-----------
2,214,843
-----------
COMPUTER SOFTWARE AND SERVICES -- 15.4%
8,100 America Online, Inc.+................... 858,600
32,100 BMC Software Inc.+...................... 1,667,194
9,500 Checkpointe Software Technology+........ 311,125
16,900 Citrix Systems, Inc.+................... 1,155,538
22,600 Computer Horizons Corporation+.......... 837,613
42,600 Compuware Corporation+.................. 2,177,925
21,900 i2 Technologies, Inc.+.................. 769,237
51,500 J.D. Edwards & Company.................. 2,211,281
20,600 Keane, Inc. ............................ 1,153,600
21,600 PeopleSoft, Inc. ....................... 1,015,200
9,600 Veritas Software Corporation+........... 397,200
-----------
12,554,513
-----------
COMPUTER SYSTEMS -- 0.1%
2,300 Avid Technology, Inc.+.................. 77,050
-----------
EDUCATIONAL SERVICES -- 2.8%
49,200 Apollo Group, Inc.+..................... 1,626,675
12,900 CBT Group PLC, ADR+..................... 690,150
-----------
2,316,825
-----------
ELECTRONICS -- 0.9%
20,200 Applied Power Inc., Class A............. 694,375
-----------
ENVIRONMENTAL SERVICES -- 3.9%
63,800 Allied Waste Industries, Inc.+.......... 1,531,200
23,700 American Disposal Services +............ 1,110,937
19,100 Superior Services, Inc.+................ 574,194
-----------
3,216,331
-----------
FINANCIAL SERVICES -- 4.1%
25,300 Amresco, Inc. .......................... 736,863
43,800 FIRSTPLUS Financial Group, Inc.+........ 1,653,450
13,200 Newcourt Credit Group, Inc. ............ 649,275
12,900 Sirrom Capital Corporation.............. 335,400
-----------
3,374,988
-----------
FOOD & KINDRED PRODUCTS -- 1.2%
16,300 Suiza Foods Corporation+................ 972,906
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
HEALTH CARE SERVICES -- 11.2%
65,600 HBO & Company........................... $ 2,312,400
27,300 HEALTHSOUTH Corporation................. 728,568
37,900 IDEXX Laboratories, Inc.+............... 942,762
46,900 Quintiles Transnational Corporation..... 2,306,894
11,800 Rexall Sundown, Inc.+................... 415,950
12,600 STERIS Corporation+..................... 801,281
29,100 Total Renal Care Holdings, Inc. ........ 1,003,950
10,800 Waters Corporation+..................... 636,525
-----------
9,148,330
-----------
HOTELS/RESORTS -- 0.4%
19,100 Signature Resorts, Inc. ................ 315,150
-----------
LEISURE, SPORTING AND RECREATION -- 2.9%
36,000 Premier Parks Inc.+..................... 2,398,500
-----------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICES -- 0.7%
15,700 Sunrise Assisted Living+................ 539,687
-----------
MEDICAL DEVICES -- 1.1%
26,300 Arterial Vascular Engineering, Inc.+.... 940,225
-----------
NETWORK SOFTWARE -- 2.5%
68,900 Xylan Corporation+...................... 2,054,081
-----------
OFFICE SUPPLIES -- 0.5%
13,050 Staples, Inc.+.......................... 377,634
-----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 7.4%
67,600 BJ Services Company+.................... 1,964,625
22,900 Burlington Resources Inc. .............. 986,131
15,400 CAMCO International, Inc. .............. 1,199,275
17,600 Diamond Offshore Drilling, Inc. ........ 704,000
41,900 Global Industries Ltd.+................. 707,062
15,100 Newpark Resources, Inc.+................ 167,987
10,900 Santa Fe International Corporation...... 329,725
-----------
6,058,805
-----------
PHARMACEUTICALS -- 0.5%
10,500 Medicis Pharmaceutical Class A+......... 383,250
-----------
PRINTING SERVICES -- 0.5%
Lexmark International Group, Inc., Class
6,600 A+...................................... 402,600
-----------
REAL ESTATE SERVICES -- 1.3%
CB Commercial Real Estate Services
10,500 Group, Inc.+.......................... 351,094
20,200 Trammell Crow Company+.................. 675,438
-----------
1,026,532
-----------
RETAIL -- 5.4%
5,000 Bed Bath & Beyond, Inc. ................ 259,063
20,600 Borders Group, Inc. .................... 762,200
9,000 CDW Computer Centers, Inc.+............. 450,000
21,400 General Nutrition Companies, Inc.+...... 666,075
42,100 Starbucks Corporation+.................. 2,249,719
-----------
4,387,057
-----------
SEMICONDUCTORS -- 3.8%
26,500 ATMI, Inc.+............................. 397,500
10,200 Altera Corporation+..................... 301,538
13,000 Analog Devices, Inc.+................... 319,312
10,500 Etec Systems, Inc.+..................... 369,469
5,500 Linear Technology Corporation........... 331,719
11,300 Novellus Systems, Inc. ................. 403,269
30,800 Vitesse Semiconductor Corporation....... 950,950
-----------
3,073,757
-----------
</TABLE>
See Notes to Financial Statements.
47
<PAGE> 50
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
ALL-GROWTH SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
SERVICES -- 8.9%
26,600 AccuStaff Inc.+......................... $ 831,250
38,300 Central Parking Corporation............. 1,742,650
19,200 Danka Business Systems PLC, ADR......... 226,800
26,600 Gartner Group, Inc., Class A+........... 931,000
48,800 HA-LO Industries, Inc.+................. 1,518,900
19,300 Paychex, Inc. .......................... 785,269
28,700 Snyder Communications, Inc.+............ 1,262,800
-----------
7,298,669
-----------
TELECOMMUNICATIONS EQUIPMENT -- 10.4%
53,600 Advanced Fibre Communications........... 2,147,350
47,100 Ascend Communications, Inc.+............ 2,334,394
55,500 FORE Systems, Inc.+..................... 1,470,750
28,200 Tekelec+................................ 1,261,950
11,900 Uniphase Corporation.................... 747,097
17,000 World Access Inc.+...................... 510,000
-----------
8,471,541
-----------
TELECOMMUNICATIONS SERVICES -- 2.8%
26,300 Saville Systems PLC, ADR................ 1,318,288
23,400 Star Telecommunications, Inc.+.......... 523,575
29,900 Tel-Save Holdings, Inc.+................ 441,025
-----------
2,282,888
-----------
Total Common Stocks
(Cost $68,274,260)...................... 78,461,244
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 6.1%
(Cost $5,012,855)
$5,012,855 Agreement with Corestates Phi,
5.720% dated 06/30/1998 to be
repurchased at $5,013,654 on
07/01/1998, collateralized
by: $4,990,000 Federal
National Mortgage
Association, due 02/15/1998;
$30,000 Federal Home Loan
Bank, 5.790% due 02/15/2099;
(Market value $5,143,272).... $ 5,012,855
-----------
TOTAL INVESTMENTS (COST $73,287,115*)......... 102.3% 83,474,099
OTHER ASSETS AND LIABILITIES (NET)............ (2.3) (1,902,063)
----- -----------
NET ASSETS.................................... 100.0% $81,572,036
===== ===========
</TABLE>
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
48
<PAGE> 51
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
CAPITAL APPRECIATION SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 96.1%
AUTOMOTIVE -- 1.9%
40,000 Ford Motor Company................... $ 2,360,000
31,000 General Motors Corporation........... 2,071,187
------------
4,431,187
------------
BANKS -- 8.0%
50,000 BankAmerica Corporation.............. 4,321,875
46,336 Chase Manhattan Corporation.......... 3,498,368
20,000 Citicorp............................. 2,985,000
50,000 Fleet Financial Group, Inc. ......... 4,175,000
52,000 NationsBank Corporation.............. 3,978,000
------------
18,958,243
------------
BUILDING -- 1.8%
46,000 Equity Residential Properties
Trust................................ 2,182,125
63,000 Felcor Suite Hotels, Inc. ........... 1,976,625
------------
4,158,750
------------
COMMODITIES -- 7.4%
50,000 du Pont (E.I.) de Nemours &
Company.............................. 3,731,250
57,000 Imperial Chemical Industries......... 3,676,500
160,000 Millennium Chemicals, Inc., ADR...... 5,420,000
82,000 Monsanto Company..................... 4,581,750
------------
17,409,500
------------
COMPUTER SOFTWARE -- 0.8%
35,000 Computer Associates International,
Inc. ................................ 1,944,687
------------
CONSUMER STAPLES -- 4.0%
50,000 Avon Products, Inc. ................. 3,875,000
98,500 Gillette Company..................... 5,583,719
------------
9,458,719
------------
ELECTRONICS -- 0.9%
30,000 Intel Corporation.................... 2,223,750
------------
ENTERTAINMENT -- 4.0%
112,200 Comcast Corporation, Class A, Special
Shares (Non-Voting)................ 4,554,619
58,100 Time Warner Inc. .................... 4,963,919
------------
9,518,538
------------
FINANCIAL SERVICES -- 5.8%
57,000 GreenPoint Financial Corporation..... 2,144,625
76,500 Mellon Bank Corporation.............. 5,326,313
125,000 SLM Holding Corporation.............. 6,125,000
------------
13,595,938
------------
HOTELS/MOTELS -- 1.8%
90,000 Starwood Hotels & Resorts............ 4,348,125
------------
INFORMATION PROCESSING -- 9.0%
157,500 Compaq Computer Corporation.......... 4,469,063
140,000 HBO & Company........................ 4,935,000
35,000 International Business Machines
Corporation........................ 4,018,437
48,000 Microsoft Corporation+............... 5,202,000
35,000 Tellabs, Inc.+....................... 2,506,875
------------
21,131,375
------------
INSURANCE -- 7.9%
41,373 Allstate Corporation................. 3,788,215
114,000 Household International Inc. ........ 5,671,500
69,500 Travelers Group Inc. ................ 4,213,438
77,500 United HealthCare Corporation........ 4,921,250
------------
18,594,403
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MANUFACTURING -- 4.4%
85,000 Tyco International Ltd. ............. $ 5,355,000
175,000 United States Filter Corporation+.... 4,910,937
------------
10,265,937
------------
PETROLEUM -- 6.6%
84,000 Amerada Hess Corporation............. 4,562,250
35,000 Anadarko Petroleum Corporation....... 2,351,563
60,000 McDermott International, Inc. ....... 2,066,250
23,800 Mobil Corporation.................... 1,823,675
130,000 Unocal Corporation................... 4,647,500
------------
15,451,238
------------
PHARMACEUTICALS -- 7.7%
78,000 Glaxo Wellcome PLC, ADR.............. 4,665,375
75,800 Medtronic Inc. ...................... 4,832,250
63,100 Schering-Plough Corporation.......... 5,781,537
40,200 Warner-Lambert Company............... 2,788,875
------------
18,068,037
------------
RETAIL -- 7.4%
79,000 Dayton Hudson Corporation............ 3,831,500
100,000 Federated Department Store........... 5,381,250
62,000 Home Depot Inc. ..................... 5,149,875
130,000 TJX Companies, Inc. ................. 3,136,250
------------
17,498,875
------------
TELECOMMUNICATIONS -- 3.4%
90,000 Bell Atlantic Corporation............ 4,106,250
82,500 US West, Inc. ....................... 3,877,500
------------
7,983,750
------------
TOBACCO -- 4.8%
78,900 Philip Morris Companies Inc. ........ 3,106,688
110,000 RJR Nabisco Holdings Corporation..... 2,605,625
128,000 Service Corporation International.... 5,488,000
------------
11,200,313
------------
UTILITY -- 6.6%
112,500 CMS Energy Corporation............... 4,957,031
80,000 Carolina Power & Light Company....... 3,470,000
160,000 Edison International................. 4,730,000
60,000 Texas Utilities Company.............. 2,497,500
------------
15,654,531
------------
WASTE DISPOSAL -- 1.9%
125,000 Waste Management, Inc. .............. 4,375,000
------------
Total Common Stocks
(Cost $174,178,960).................. 226,270,896
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATION -- 7.0%
(Cost $16,406,424)
U.S. TREASURY BILL:
$16,519,000 5.009%++ due 08/20/1998.............. 16,406,423
------------
TOTAL INVESTMENTS (COST $190,585,384*)....... 103.1% 242,677,319
OTHER ASSETS AND LIABILITIES (NET)........... (3.1) (7,272,510)
----- ------------
NET ASSETS................................... 100.0% $235,404,809
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
49
<PAGE> 52
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
VALUE EQUITY SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 90.3%
AEROSPACE/DEFENSE -- 1.9%
36,000 Raytheon Company...................... $ 2,128,500
------------
BANKS -- 2.0%
30,000 Chase Manhattan Corporation........... 2,265,000
------------
BUILDING MATERIALS -- 2.0%
100,000 Allegheny Teledyne Inc. .............. 2,281,250
------------
CHEMICALS -- 5.8%
65,000 Crompton & Knowles Corporation........ 1,637,188
27,300 du Pont (E.I.) de Nemours & Company... 2,037,262
28,500 Imperial Chemical Industries, PLC
ADR................................. 1,838,250
46,300 Morton International, Inc. ........... 1,157,500
------------
6,670,200
------------
COMMUNICATION AND INFORMATION -- 1.7%
49,300 SBC Communications Inc. .............. 1,972,000
------------
COMPUTER SERVICES -- 3.0%
40,000 Electronic Data Systems Corporation... 1,600,000
73,300 Stratus Computer, Inc.+............... 1,855,406
------------
3,455,406
------------
ELECTRONICS -- 4.5%
26,400 AMP Inc. ............................. 907,500
50,000 Philips Electronics N.V. ............. 4,250,000
------------
5,157,500
------------
FINANCIAL SERVICES -- 5.2%
40,000 Freddie Mac........................... 1,882,500
82,000 SLM Holding Corporation............... 4,018,000
------------
5,900,500
------------
HEALTH CARE -- 7.8%
35,000 Bausch & Lomb, Inc. .................. 1,754,375
130,000 Columbia/HCA Healthcare Corporation... 3,786,250
50,000 Humana, Inc. ......................... 1,559,375
235,000 MedPartners, Inc.+.................... 1,880,000
------------
8,980,000
------------
HOUSEHOLD PRODUCTS -- 1.0%
30,000 Libbey Inc............................ 1,149,375
------------
INSTRUMENTS -- CONTROLS -- 1.6%
50,000 General Signal Corporation............ 1,800,000
------------
INSURANCE -- 4.7%
48,400 Aetna Inc. ........................... 3,684,450
40,000 Travelers Property Casualty
Corporation, Class A................ 1,715,000
------------
5,399,450
------------
INVESTMENT COMPANIES -- 4.6%
70,000 Security Capital Group Incorporated,
Class B Shares+..................... 1,863,750
30,000 Standard and Poor's Depositary
Receipts............................ 3,399,375
------------
5,263,125
------------
MACHINE -- DIVERSIFIED -- 2.0%
50,000 American Standard Companies, Inc.+.... 2,234,375
------------
MANUFACTURING -- 3.5%
90,000 Tupperware Corporation................ 2,531,250
75,200 Walter Industries, Inc.+.............. 1,424,100
------------
3,955,350
------------
PAPER & RELATED PRODUCTS -- 1.1%
45,000 Schweitzer-Mauduit International,
Inc. ............................... 1,305,000
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
PETROLEUM -- 10.2%
45,000 Ashland Inc. ......................... $ 2,323,125
20,000 British Petroleum Company, ADR........ 1,765,000
46,800 Diamond Offshore Drilling, Inc. ...... 1,872,000
22,000 Exxon Corporation..................... 1,568,875
32,500 Royal Dutch Petroleum Company, ADR.... 1,781,406
60,200 Sonat, Inc. .......................... 2,325,225
------------
11,635,631
------------
PHARMACEUTICALS -- 0.9%
26,400 Abbott Laboratories................... 1,079,100
------------
RETAIL -- 3.4%
25,000 Federated Department Stores, Inc.+.... 1,345,313
110,000 Toys R Us Inc.+....................... 2,591,875
------------
3,937,188
------------
STEEL -- 1.6%
80,200 British Steel PLC, ADR................ 1,824,550
------------
TELECOMMUNICATIONS -- 1.6%
27,500 BellSouth Corporation................. 1,845,937
------------
TOBACCO -- 11.4%
230,000 Dimon, Inc. .......................... 2,587,500
52,500 Fortune Brands, Inc. ................. 2,017,969
70,000 Philip Morris Companies, Inc. ........ 2,756,250
113,600 RJR Nabisco Holdings Corporation...... 2,690,900
110,000 UST Inc. ............................. 2,970,000
------------
13,022,619
------------
UTILITIES -- 2.6%
74,600 PacifiCorp. .......................... 1,687,825
50,000 Teco Energy, Inc. .................... 1,340,625
------------
3,028,450
------------
WASTE DISPOSAL -- 2.6%
85,000 Waste Management, Inc. ............... 2,975,000
------------
WHOLESALE DISTRIBUTORS -- 1.2%
125,000 Unisource Worldwide, Inc. ............ 1,351,562
------------
WIRE AND CABLE PRODUCTS -- 2.4%
115,500 Essex International, Inc.+............ 2,728,688
------------
Total Common Stocks
(Cost $100,143,290)................. 103,345,756
------------
<CAPTION>
PRINCIPAL
AMOUNT
- ----------
<C> <S> <C>
DISCOUNT NOTES -- 14.0%
(Cost $15,998,000)
$15,998,000 Federal Home Loan Mortgage
Corporation,
5.576%++ due 07/01/1998............. 15,998,000
------------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (COST $116,141,290*)....... 104.3% 119,343,756
OTHER ASSETS AND LIABILITIES (NET)........... (4.3) (4,866,133)
----- ------------
NET ASSETS................................... 100.0% $114,477,623
===== ============
</TABLE>
- ---------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
50
<PAGE> 53
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
RISING DIVIDENDS SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 94.0%
BANKS -- 5.2%
179,876 Banc One Corporation................. $ 10,039,328
79,650 Fifth Third Bancorp.................. 5,017,950
197,360 Norwest Corporation.................. 7,376,330
------------
22,433,608
------------
BEVERAGES -- 1.1%
54,000 Coca-Cola Company.................... 4,617,000
------------
CHEMICALS AND ALLIED PRODUCTS -- 5.8%
145,600 du Pont (E.I.) de Nemours &
Company............................ 10,865,400
203,520 PPG Industries, Inc. ................ 14,157,360
------------
25,022,760
------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.3%
234,510 Hewlett-Packard Company.............. 14,041,286
------------
CONSUMER PRODUCTS -- 2.1%
95,200 Gillette Company..................... 5,396,650
41,140 Procter & Gamble Company............. 3,746,311
------------
9,142,961
------------
CONSUMER SERVICES -- 1.7%
138,880 Cintas Corporation................... 7,082,880
------------
DATA SERVICES -- 5.9%
124,500 Automatic Data Processing Inc. ...... 9,072,937
409,110 Electronic Data Systems
Corporation........................ 16,364,400
------------
25,437,337
------------
ELECTRIC MACHINERY -- 0.8%
58,080 Emerson Electric Company............. 3,502,950
------------
ELECTRICAL EQUIPMENT -- 5.8%
136,620 General Electric Company............. 12,432,420
92,340 Grainger (W.W.), Inc. ............... 4,599,686
126,620 Linear Technology Corporation........ 7,636,769
------------
24,668,875
------------
FINANCIAL SERVICES -- 12.2%
448,080 Equifax Inc. ........................ 16,270,905
266,100 Franklin Resources Inc. ............. 14,369,400
181,780 Morgan Stanley Dean Witter &
Company............................ 16,610,147
74,320 State Street Boston Corporation...... 5,165,240
------------
52,415,692
------------
FOOD -- 6.5%
274,780 Bestfoods............................ 15,954,414
85,100 Kellogg Company...................... 3,196,569
90,480 Wrigley, (Wm) Jr. Company............ 8,867,040
------------
28,018,023
------------
INSURANCE -- 3.8%
31,450 General Re Corporation............... 8,059,063
132,900 Marsh & McLennan Companies, Inc. .... 8,032,144
------------
16,091,207
------------
LEISURE ENTERTAINMENT -- 2.6%
103,880 Disney (Walt) Company................ 10,913,893
------------
MANUFACTURING -- 1.2%
80,300 Illinois Tool Work................... 5,355,006
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MEDICAL BIOTECHNOLOGY -- 1.7%
112,270 Medtronic, Inc. ..................... $ 7,157,213
------------
PAPER AND ALLIED PRODUCTS -- 3.0%
277,260 Kimberly-Clark Corporation........... 12,719,303
------------
PETROLEUM -- 7.5%
151,600 Exxon Corporation.................... 10,810,975
133,950 Mobil Corporation.................... 10,263,919
205,840 Royal Dutch Petroleum................ 11,282,605
------------
32,357,499
------------
PHARMACEUTICALS -- 9.7%
208,100 Abbott Laboratories.................. 8,506,087
214,710 Johnson & Johnson.................... 15,834,863
128,200 Merck & Company, Inc. ............... 17,146,750
------------
41,487,700
------------
PUBLISHING -- 1.1%
69,000 Gannett Company...................... 4,903,313
------------
RESTAURANTS -- 2.8%
175,650 McDonald's Corporation............... 12,119,850
------------
SPECIALTY MATERIALS -- 2.5%
131,760 Minnesota Mining & Manufacturing
Company............................ 10,829,025
------------
TECHNOLOGY -- 6.5%
207,870 Intel Corporation.................... 15,408,363
238,420 Motorola Inc. ....................... 12,531,951
------------
27,940,314
------------
TELECOMMUNICATIONS EQUIPMENT -- 1.2%
183,600 Ericsson (L.M.) Telecommunications
Company, Class B, ADR.............. 5,255,550
------------
Total Common Stocks
(Cost $300,613,022)................ 403,513,245
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 5.5%
$10,000,000 Hasbro,
6.205%++ due 07/01/1998............ 10,000,000
13,910,000 Merrill Lynch & Company,
6.134%++ due 07/01/1998............ 13,910,000
------------
Total Commercial Paper (Cost
$23,910,000)................ 23,910,000
------------
TOTAL INVESTMENTS (COST $324,523,022*)....... 99.5% 427,423,245
OTHER ASSETS AND LIABILITIES (NET)........... 0.5 1,935,656
----- ------------
NET ASSETS................................... 100.0% $429,358,901
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
51
<PAGE> 54
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 80.8%
AEROSPACE -- 1.5%
9,450 AAR Corporation........................ $ 279,366
11,500 Cordant Technologies Inc. ............. 530,437
1,300 Northrop Grumman Corporation........... 134,063
2,400 Sundstrand Corporation................. 137,400
-----------
1,081,266
-----------
AIR FREIGHT -- 0.8%
11,700 Airborne Freight Corporation........... 408,769
3,000 Expeditors International of
Washington, Inc. .................... 132,000
-----------
540,769
-----------
APPAREL AND TEXTILES -- 2.9%
14,050 Guilford Mills Inc. ................... 281,000
23,600 Interface, Inc. ....................... 476,425
6,600 Jones Apparel Group Inc.+.............. 241,313
9,100 Kellwood Company....................... 325,325
8,800 Mohawk Industries, Inc.+............... 278,850
5,100 Nautica Enterprises, Inc.+............. 136,744
6,500 Springs Industries, Inc., Class A...... 299,813
200 Tommy Hilfiger Corporation+............ 12,500
-----------
2,051,970
-----------
AUTOMOBILES -- 1.5%
2,500 Chrysler Corporation................... 140,937
16,200 Ford Motor Company**................... 955,800
-----------
1,096,737
-----------
AUTOMOTIVE PARTS AND EQUIPMENT -- 2.4%
17,100 Arvin Industries Inc.**................ 620,944
5,600 Borg-Warner Automotive, Inc. .......... 269,150
2,600 Dana Corporation....................... 139,100
1,700 Excel Industries, Inc. ................ 24,331
16,800 Gentex Corporation+.................... 304,500
5,200 Intermet Corporation................... 94,250
5,600 Mark IV Industries, Inc. .............. 121,100
1,700 MascoTech, Inc. ....................... 40,800
1,900 Standard Products Company.............. 53,438
-----------
1,667,613
-----------
BANKS -- 1.0%
4,856 First Union Corporation................ 282,881
2,900 Imperial Bancorp....................... 87,000
3,300 National Commerce Bancorporation....... 138,188
9,500 North Fork Bancorporation, Inc. ....... 232,156
-----------
740,225
-----------
BUILDING MATERIALS AND PRODUCTS -- 2.0%
14,400 Lafarge Corporation.................... 566,100
10,200 Southdown Inc.**....................... 728,025
2,500 USG Corporation+....................... 135,313
-----------
1,429,438
-----------
CASINO OPERATORS -- 0.1%
3,800 Rio Hotel and Casino Inc.+**........... 71,725
-----------
CHEMICALS -- 1.2%
2,700 B.F. Goodrich and Company.............. 133,988
3,100 Lyondell Petrochemical Company......... 94,356
9,200 Millennium Chemicals Inc. ............. 311,650
2,600 Quaker Chemical Corporation............ 49,237
12,400 Wellman, Inc. ......................... 281,325
-----------
870,556
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMERCIAL SERVICES -- 1.3%
5,500 Accustaff Inc.+........................ $ 171,875
4,900 CIBER, Inc. ........................... 186,200
2,800 Computer Horizons Corporation+......... 103,775
13,400 Laidlaw Inc. .......................... 163,313
5,000 Ogden Corporation...................... 138,438
5,400 Systems & Computer Technology
Corporation+......................... 145,800
-----------
909,401
-----------
COMPUTERS AND SOFTWARE -- 2.0%
4,300 Avid Technology, Inc.+................. 144,050
5,000 Check Point Software Technologies
Ltd.+................................ 163,750
3,600 Cognos, Inc.+.......................... 95,906
4,900 Lexmark International Group, Inc.,
Class A+............................. 298,900
2,100 Platinum Technology, Inc.+............. 59,981
6,700 Sterling Software, Inc.+............... 198,069
7,300 Symantec Corporation+.................. 190,712
9,300 Unisys Corporation+.................... 262,725
-----------
1,414,093
-----------
CONSTRUCTION AND FARM EQUIPMENT -- 0.3%
4,800 The Manitowoc Company, Inc. ........... 193,800
-----------
CONTAINERS AND PACKAGING -- 0.5%
8,400 Ball Corporation....................... 337,575
-----------
ELECTRICAL PRODUCTS -- 0.5%
6,100 Tecumseh Products Company, Class A..... 322,156
-----------
ELECTRONICS -- 1.0%
4,900 General Motors Corporation, Class H.... 230,913
3,700 Ingram Micro Inc., Class A+............ 163,494
6,900 Level One Communications, Inc.+........ 162,150
2,600 Waters Corporation+.................... 153,238
-----------
709,795
-----------
ENGINEERING -- 0.3%
2,600 Fluor Corporation...................... 132,600
2,800 Jacobs Engineering Group Inc.+......... 89,950
-----------
222,550
-----------
ENTERTAINMENT -- 0.4%
3,800 Anchor Gaming+......................... 294,975
-----------
FINANCE -- 2.7%
7,200 AmeriCredit Corporation+............... 256,950
9,100 Equitable Companies, Inc. ............. 681,363
13,000 SunAmerica Inc.**...................... 746,688
3,500 XTRA Corporation....................... 211,750
-----------
1,896,751
-----------
FOOD AND BEVERAGES -- 1.2%
11,700 Adolph Coors Company, Class B.......... 397,800
10,100 Interstate Bakeries Corporation........ 335,194
5,000 Michael Foods, Inc. ................... 146,875
-----------
879,869
-----------
FOREST AND PAPER PRODUCTS -- 0.5%
3,300 Bowater Inc. .......................... 155,925
1,100 Chesapeake Corporation................. 42,831
1,900 Glatfelter (P.H.) Company.............. 30,044
4,500 The Mead Corporation................... 142,875
-----------
371,675
-----------
</TABLE>
See Notes to Financial Statements.
52
<PAGE> 55
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
HEALTHCARE FACILITIES AND PRODUCTS -- 0.4%
6,000 NovaCare, Inc.+........................ $ 70,500
4,300 Total Renal Care Holdings, Inc. ....... 148,350
1,300 West Inc. ............................. 36,806
-----------
255,656
-----------
HOMEBUILDING AND LAND DEVELOPMENT -- 2.0%
8,200 Centex Corporation..................... 309,550
3,500 Champion Enterprises, Inc.+............ 102,375
11,400 Fairfield Communities, Inc. ........... 218,737
9,300 Fleetwood Enterprises, Inc. ........... 372,000
8,300 Kaufman and Broad Home Corporation..... 263,525
3,000 Ryland Group Inc. ..................... 78,750
3,600 Webb (Del E.) Corporation.............. 93,375
-----------
1,438,312
-----------
HOTELS -- 0.5%
9,300 Host Marriot Corporation+.............. 165,656
6,700 Prime Hospitality Corporation+......... 116,831
1,100 Sun International Hotels Ltd.+......... 50,050
-----------
332,537
-----------
HOUSEHOLD FURNISHINGS AND PRODUCTS -- 1.7%
12,000 Ethan Allen Interiors Inc.**........... 599,250
9,600 Furniture Brands International,
Inc.+................................ 269,400
3,500 Maytag Corporation..................... 172,812
2,100 Whirlpool Corporation.................. 144,375
-----------
1,185,837
-----------
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY -- 0.9%
6,000 Applied Power Inc., Class A............ 206,250
11,300 Cincinnati Millacron Inc. ............. 275,437
3,300 Ingersoll Rand Company................. 145,406
-----------
627,093
-----------
INSURANCE -- 3.7%
2,200 Allstate Corporation................... 201,437
6,300 Conseco Inc. .......................... 294,525
3,200 Everest Reinsurance Holdings, Inc. .... 123,000
5,200 Financial Security Assurance Holdings
Ltd. ................................ 300,300
1,500 Foremost Corporation of America........ 36,188
6,000 IPC Holdings Ltd. ..................... 181,875
1,300 Loews Corporation...................... 113,263
3,400 Mercury General Corporation............ 218,663
9,800 Old Republic International
Corporation**........................ 287,263
2,700 PartnerRe Ltd. ........................ 137,700
16,100 Reliance Group Holdings, Inc. ......... 281,750
7,700 Selective Insurance Group, Inc. ....... 172,528
4,300 TIG Holdings, Inc. .................... 98,900
3,300 Travelers Property Casualty
Corporation, Class A................. 141,488
-----------
2,588,880
-----------
INVESTMENT BANKING AND BROKERAGE -- 4.5%
15,350 AG Edwards Inc.**...................... 655,253
15,280 Bear Stearns Companies, Inc.**......... 869,050
4,000 Donaldson, Lufkin & Jenrentte, Inc. ... 203,250
7,900 Lehman Brothers Holdings, Inc. ........ 612,744
6,885 Morgan Stanley, Dean Witter, Discover
and Company.......................... 629,117
4,200 Paine Webber Group Inc. ............... 180,075
-----------
3,149,489
-----------
MANUFACTURING -- 2.7%
7,100 Aeroquip-Vickers Inc. ................. 414,462
2,400 Carlisle Companies Inc. ............... 103,650
9,600 Graco Inc. ............................ 334,800
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MANUFACTURING -- (CONTINUED)
7,700 Hanson PLC, ADR........................ $ 233,406
1,400 Pentair Inc. .......................... 59,500
4,800 Premark International, Inc. ........... 154,800
6,100 Smith (A.O.) Corporation............... 315,294
6,600 Trinity Industries Inc. ............... 273,900
1,100 United Dominion Industries Ltd. ....... 36,713
-----------
1,926,525
-----------
METAL FABRICATION -- 2.0%
5,700 Hexcel Corporation+.................... 128,963
12,000 Kaydon Corporation..................... 423,750
2,800 Kennametal Inc. ....................... 116,900
13,500 Timken Company......................... 415,969
2,800 Tower Automotive, Inc.+................ 120,050
7,000 Varlen Corporation..................... 241,500
-----------
1,447,132
-----------
METALS AND MINING -- 0.4%
6,200 Alcan Aluminum Ltd. ................... 171,275
2,500 Reynolds Metals Company................ 139,844
-----------
311,119
-----------
OFFICE AUTOMATION AND EQUIPMENT -- 0.5%
14,000 Miller (Herman), Inc. ................. 340,375
-----------
OIL AND GAS -- 3.3%
5,700 Ashland Inc. .......................... 294,262
900 CTG Resources Inc. .................... 21,150
1,000 Eastern Enterprises.................... 42,875
5,900 Equitable Resources Inc. .............. 179,950
10,100 Global Industries Ltd.+................ 170,437
5,400 Input/Output, Inc.+.................... 96,187
20,500 Parker Drilling Company+............... 144,781
5,000 Pride International, Inc.+............. 84,688
2,900 Seacor Smit Inc.+...................... 177,806
1,150 Stolt-Nielsen S.A. .................... 20,125
2,300 Stolt Comex Seaway, S.A.+.............. 44,563
3,900 TrizecHahn Corporation................. 83,606
4,400 Tuboscope Inc.+........................ 86,900
26,000 Varco International Inc.+**............ 515,125
7,600 Veritas DGC Inc.+...................... 379,525
-----------
2,341,980
-----------
PERSONAL CARE PRODUCTS -- 0.3%
10,000 NBTY, Inc. ............................ 183,750
-----------
PRINTING AND FORMS -- 1.2%
4,900 Banta Corporation...................... 151,287
12,400 Bowne & Company Inc. .................. 558,000
7,000 Mail-Well, Inc.+....................... 151,812
-----------
861,099
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.8%
4,500 CarrAmerica Realty Corporation......... 127,687
4,900 FelCor Suite Hotels, Inc. ............. 153,737
4,300 Liberty Property Trust................. 109,919
5,700 Prentiss Properties Trust.............. 138,581
-----------
529,924
-----------
RECREATIONAL PRODUCTS -- 0.2%
4,700 Brunswick Corporation.................. 116,031
1,900 Coachmen Industries, Inc. ............. 49,637
-----------
165,668
-----------
RESTAURANTS -- 1.5%
10,100 Bob Evans Farms, Inc. ................. 213,994
20,195 CKE Restaurants, Inc.**................ 833,044
-----------
1,047,038
-----------
</TABLE>
See Notes to Financial Statements.
53
<PAGE> 56
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL TRADE -- 3.6%
3,500 Central Garden & Pet Company+.......... $ 108,937
19,300 Dress Barn, Inc.+...................... 480,088
1,900 Hughes Supply Inc. .................... 69,587
9,500 Kmart Corporation+..................... 181,688
900 Neiman Marcus Group, Inc.+............. 39,094
20,150 Pier 1 Imports Inc. ................... 481,081
13,700 Ross Stores, Inc.**.................... 589,100
24,600 TJX Companies, Inc. ................... 593,475
-----------
2,543,050
-----------
SAVINGS AND LOAN ASSOCIATIONS -- 1.2%
4,700 Ahmanson (H.F.) & Company.............. 333,700
6,100 Dime Bancorp Inc. ..................... 182,619
1,300 Golden West Financial Corporation...... 138,206
5,700 Webster Financial Corporation.......... 189,525
-----------
844,050
-----------
STEEL -- 2.5%
6,400 AK Steel Holding Corporation........... 114,400
2,800 Birmingham Steel Corporation........... 34,650
10,400 British Steel Plc, ADR................. 236,600
4,400 Carpenter Technology Corporation....... 221,100
4,300 Cleveland Cliffs....................... 231,931
5,500 Inland Steel Industries, Inc. ......... 155,031
6,800 LTV Corporation........................ 65,025
3,400 Quanex Corporation..................... 103,062
5,000 Texas Industries Inc. ................. 265,000
10,800 USX-US Steel Group, Inc................ 356,400
-----------
1,783,199
-----------
SUPERMARKET CHAINS -- 0.6%
4,000 Great Atlantic & Pacific Tea Company... 132,250
7,300 Supervalu, Inc. ....................... 323,937
-----------
456,187
-----------
TELECOMMUNICATIONS -- 1.1%
7,900 360 Communications Company+............ 252,800
17,100 Brightpoint, Inc....................... 247,950
3,500 Tele Danmark A/S ADR................... 164,938
3,200 Telefonica de Argentina S.A., ADR...... 103,800
-----------
769,488
-----------
TOBACCO -- 1.1%
13,100 RJR Nabisco Holdings Corporation....... 310,306
13,000 Universal Corporation.................. 485,875
-----------
796,181
-----------
TRANSPORTATION -- 5.9%
10,100 Alaska Air Group Inc. ................. 550,450
3,100 Alexander & Baldwin.................... 90,287
10,700 America West Holdings Corporation,
Class B+............................. 305,619
5,200 AMR Corporation+....................... 432,900
1,500 Burlington Northern Santa Fe
Corporation.......................... 147,281
2,500 Canadian National Railway Company...... 132,812
8,100 Comair Holdings, Inc. ................. 250,087
3,400 Continental Airlines, Inc., Class B+... 206,975
8,100 GATX Corporation....................... 355,387
6,300 Hunt (J.B.) Transport Services,
Inc. ................................ 224,437
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
TRANSPORTATION -- (CONTINUED)
8,100 M.S. Carriers, Inc.+................... $ 219,713
4,200 Ryder System, Inc. .................... 132,563
11,150 Southwest Airlines Company............. 330,319
8,300 Swift Transportation Company, Inc.+.... 164,444
14,400 USFreightways Corporation.............. 472,950
6,900 Werner Enterprises, Inc. .............. 131,531
-----------
4,147,755
-----------
TRUCKS -- 1.1%
2,600 Cummins Engine Inc. ................... 133,250
5,700 Navistar International Corporation+.... 164,587
8,500 PACCAR Inc. ........................... 444,125
-----------
741,962
-----------
UTILITIES -- 12.5%
3,900 Allegheny Energy Inc. ................. 117,487
10,300 Baltimore Gas & Electric Company....... 319,944
11,300 BEC Energy............................. 469,656
7,900 Central & South West Corporation....... 212,312
5,000 CMS Energy Corporation................. 220,313
2,400 Commonwealth Energy System Companies... 91,050
6,000 Consolidated Edison Company of New
York, Inc. .......................... 276,375
3,400 Dominion Resources Inc. ............... 138,550
3,600 DQE, Inc. ............................. 129,600
5,400 DTE Energy Company..................... 218,025
10,900 Eastern Utilities Associates........... 286,125
16,300 Edison International................... 481,869
15,900 Energy East Corporation**.............. 661,838
9,700 Entergy Corporation.................... 278,875
7,300 FirstEnergy Corporation................ 224,475
3,900 Florida Progress Corporation........... 160,388
2,600 FPL Group Inc. ........................ 163,800
10,100 GPU Inc. .............................. 381,906
8,754 Houston Industries, Inc. .............. 270,280
2,600 Montana Power Company.................. 90,350
6,300 New England Electric System............ 272,475
11,900 PECO Energy Company.................... 348,819
9,651 PG&E Corporation....................... 304,610
13,200 Pinnacle West Capital Corporation**.... 594,000
4,300 PP&L Resources, Inc. .................. 97,556
18,700 Public Service Company of New Mexico... 424,256
14,200 Public Service Enterprise.............. 489,013
8,400 Sempra Energy+......................... 233,100
3,000 Sierra Pacific Resources............... 108,938
3,500 Texas Utilities Company................ 145,687
3,700 TNP Enterprises Inc.................... 114,238
3,800 Unicom Corporation..................... 133,238
6,600 UtiliCorp United, Inc. ................ 248,737
5,200 West Coast Energy, Inc. ............... 116,025
-----------
8,823,910
-----------
WASTE MANAGEMENT -- 0.5%
9,600 Allied Waste Industries, Inc.+......... 230,400
3,000 USA Waste Services, Inc.+.............. 148,125
-----------
378,525
-----------
Total Common Stocks
(Cost $50,200,127)................... 57,119,660
-----------
</TABLE>
See Notes to Financial Statements.
54
<PAGE> 57
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.3%
(Cost $199,406)
U.S. TREASURY BILLS:
$ 200,000 4.974%++ due 07/23/1998**....... $ 199,405
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 18.2%
6,859,000 Federal National Mortgage Association,
(FNMA)
5.932%++ due 07/01/1998.............. 6,859,000
3,000,000 Federal Home Loan Mortgage Corporation,
(FHLMC)
5.541%++ due 07/10/1998.............. 2,995,920
3,000,000 Federal Home Loan Mortgage
Corporation, (FHLMC)
5.551%++ due 07/17/1998....... 2,992,733
-----------
Total U.S. Government Agency
Obligations (Cost $12,847,653)....... 12,847,653
-----------
TOTAL INVESTMENTS (COST $63,247,186*)......... 99.3% 70,166,718
OTHER ASSETS AND LIABILITIES (NET)............ 0.7 489,267
----- -----------
NET ASSETS.................................... 100.0% $70,655,985
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** This security is pledged as collateral for futures contracts.
+ Non-income producing security.
++ Annualized yield at date of purchase.
<TABLE>
<CAPTION>
NUMBER OF UNREALIZED
CONTRACTS APPRECIATION
--------- ------------
<C> <S> <C> <C>
FUTURES CONTRACTS -- LONG POSITION
2 S&P 500, September 1998.............. $22,635
-------
Net unrealized appreciation on
futures contracts -- Long
Position........................... $22,635
=======
</TABLE>
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
55
<PAGE> 58
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
GROWTH OPPORTUNITY SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 89.6%
ADVERTISING SERVICES -- 2.9%
5,800 Snyder Communications, Inc.+............. $ 255,200
----------
APPAREL -- 0.4%
700 VF Corporation........................... 36,050
----------
AUTO RELATED -- 1.3%
1,750 General Motors Corporation............... 116,922
----------
BANKS -- 2.5%
1,000 BankAmerica Corporation.................. 86,437
900 Citicorp................................. 134,325
----------
220,762
----------
CHEMICALS -- 4.1%
1,700 The Dow Chemical Company................. 164,369
1,400 Eastman Chemical Company................. 87,150
3,100 Nalco Chemical Company................... 108,887
----------
360,406
----------
COMMERCIAL SERVICES -- 0.9%
4,350 Caribiner International, Inc.+........... 76,125
----------
COMMODITIES -- 1.5%
2,050 Aluminum Company of America.............. 135,172
----------
COMPUTER SOFTWARE AND SERVICES -- 5.3%
1,500 Computer Sciences Corporation+........... 96,000
3,800 Electronic Data Systems Corporation...... 152,000
7,650 Structural Dynamics Research
Corporation+........................... 176,906
6,700 Sybase, Inc.+............................ 46,691
----------
471,597
----------
COMPUTER SYSTEMS -- 7.3%
8,800 Avid Technology, Inc.+................... 294,800
4,500 Comverse Technology, Inc.+............... 233,438
5,800 Data General Corporation+................ 86,638
2,400 Sequent Computer Systems, Inc.+.......... 28,950
----------
643,826
----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT -- 0.3%
600 PACCAR Inc. ............................. 31,350
----------
CONSUMER PRODUCTS -- 4.9%
2,050 Masco Corporation........................ 124,025
700 Matsushita Electric Industrial Company,
Ltd., ADR.............................. 112,525
1,050 Unilever NV, ADR......................... 82,884
1,600 Whirlpool Corporation.................... 110,000
----------
429,434
----------
DISTRIBUTOR/WHOLESALER -- 2.5%
6,200 Fleming Companies, Inc. ................. 108,888
1,800 United Stationers, Inc.+................. 116,550
----------
225,438
----------
DIVERSIFIED MANUFACTURING -- 4.0%
4,100 The Manitowoc Company, Inc. ............. 165,538
3,400 Raychem Corporation...................... 100,513
1,400 Tyco International Ltd. ................. 88,200
----------
354,251
----------
ENTERTAINMENT -- 1.2%
1,250 Time Warner Inc. ........................ 106,797
----------
FINANCIAL SERVICES -- 4.4%
2,950 FIRSTPLUS Financial Group, Inc.+......... 111,362
2,650 Golden West Financial Corporation........ 281,728
----------
393,090
----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
FOOD & KINDRED PRODUCTS -- 1.9%
3,350 Dole Food Company, Inc. ................. $ 166,453
----------
HEALTH CARE -- 3.8%
2,600 Bausch & Lomb, Inc. ..................... 130,325
4,500 First Health Group Corporation+.......... 128,250
2,800 Meditrust Companies...................... 78,050
----------
336,625
----------
HOTELS/RESORTS -- 2.4%
3,700 Cendant Corporation+..................... 77,237
5,700 Patriot American Hospitality, Inc. ...... 136,444
----------
213,681
----------
INSURANCE -- 2.1%
3,500 Annuity and Life Re (Holdings), Ltd.+.... 77,438
1,250 Loews Corporation........................ 108,906
----------
186,344
----------
IRON/STEEL -- 0.9%
1,550 Carpenter Technology Corporation......... 77,887
----------
OFFICE FURNISHINGS -- 1.2%
4,100 Steelcase Inc., Class A.................. 106,600
----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 7.0%
3,300 Amerada Hess Corporation................. 179,231
1,100 Enron Corporation........................ 59,469
3,700 R & B Falcon Corporation+................ 83,713
9,550 Union Pacific Resources Group Inc. ...... 167,722
1,900 Schlumberger Ltd. ....................... 129,794
----------
619,929
----------
PAPER AND FOREST PRODUCTS -- 6.1%
5,800 Boise Cascade Corporation................ 189,950
1,500 Champion International Corporation....... 73,781
2,350 Chesapeake Corporation................... 91,503
4,300 International Paper Company.............. 184,900
----------
540,134
----------
PUBLISHING/PRINTING SERVICES -- 4.1%
4,850 Donnelley (R.R.) & Sons Company.......... 221,887
5,000 Hollinger International Inc. ............ 85,000
1,600 World Color Press, Inc.+................. 56,000
----------
362,887
----------
RETAIL -- 4.5%
1,200 Dayton Hudson Corporation................ 58,200
3,250 Nordstrom, Inc. ......................... 251,063
3,600 The TJX Companies, Inc. ................. 86,850
----------
396,113
----------
SEMICONDUCTORS -- 0.5%
700 Texas Instruments Inc. .................. 40,819
----------
TELECOMMUNICATIONS EQUIPMENT -- 5.1%
5,600 Aspect Telecommunications Corporation+... 153,300
2,450 Motorola, Inc. .......................... 128,778
6,000 Telefonaktiebolaget Ericsson (L.M.),
ADR.................................... 171,750
----------
453,828
----------
</TABLE>
See Notes to Financial Statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
GROWTH OPPORTUNITY SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
TRANSPORTATION -- 6.5%
3,200 Canadian National Railway Company........ $ 170,000
2,700 Canadian Pacific Ltd. ................... 76,612
2,050 FDX Corporation+......................... 128,637
4,700 Swift Transportation Company, Inc.+...... 93,119
2,400 Union Pacific Corporation................ 105,900
----------
574,268
----------
Total Common Stocks
(Cost $7,886,666)...................... 7,931,988
----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (COST $7,886,666*).......... 89.6% 7,931,988
OTHER ASSETS AND LIABILITIES (NET)............ 10.4 921,260
----- ----------
NET ASSETS.................................... 100.0% $8,853,248
===== ==========
</TABLE>
- ---------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
57
<PAGE> 60
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 98.3%
ARGENTINA -- 0.1%
5,373 Banco Frances S.A. ................... $ 40,626
766 IRSA Inversiones y Representaciones
S.A., GDR........................... 22,310
7,700 Perez Companc S.A., Class B........... 38,660
1,200 Telefonica De Argentina S.A., ADR..... 38,925
------------
140,521
------------
AUSTRALIA -- 0.5%
24,900 AMP Ltd.+............................. 292,131
28,500 AMP Ltd.+**........................... 334,367
1 QBE Insurance Group Ltd. ............. 3
------------
626,501
------------
BRAZIL -- 0.4%
2,500 Brazil Realty S.A., GDR**............. 51,875
367 Cemig Companhia New ADR............... 11,289
6,000 CIA Brasil Dist. PAO Acuar, ADR....... 135,750
3,671 CIA Energetica Minas Geras Cemig,
ADR**............................... 111,975
1,200 Companhia Siderurgica Nacional, ADR... 30,069
4,400 Companhia Vale do Rio Doce, ADR....... 89,672
3,700 Petroleo Brasileiro S.A., ADR......... 68,782
1,900 Unibanco GDR.......................... 56,050
------------
555,462
------------
CANADA -- 2.4%
1 Bank of Nova Scotia................... 20
30,400 Bombardier Inc., Class B+............. 826,340
19,971 Northern Telecom Ltd. ................ 1,131,860
8,500 Royal Bank of Canada.................. 515,061
12,300 Toronto-Dominion Bank................. 555,843
------------
3,029,124
------------
CHILE -- 0.0%#
1,300 Distribucion Y Servicio, ADR+......... 19,500
700 Madeco, ADR........................... 6,169
------------
25,669
------------
CHINA -- 0.0%#
12,000 Cheung Kong Infrastructure............ 22,690
------------
DENMARK -- 0.8%
7,000 Novo-Nordisk A/S...................... 966,009
------------
FINLAND -- 1.4%
23,700 Oy Nokia AB, Class A.................. 1,751,535
------------
FRANCE -- 8.8%
6,072 Alcatel Alsthom....................... 1,236,355
17,485 Axa+.................................. 1,966,654
5,125 Cap Gemini SA......................... 805,324
2,026 L'OREAL............................... 1,126,989
3,035 Promodes.............................. 1,681,732
4,870 Sodexho Alliance...................... 920,722
5,325 Total S.A., Class B................... 692,302
12,457 Valeo S.A. ........................... 1,273,372
6,624 Vivendi............................... 1,414,490
------------
11,117,940
------------
GERMANY -- 5.5%
193 Bayer Motoren Werke (BMW) AG.......... 192,951
736 Bayerische Motoren Werke AG........... 744,939
18,600 Bayerische Vereinsbank AG+............ 1,578,282
7,870 Deutsche Bank AG...................... 666,054
19,290 Mannesmann AG......................... 1,984,523
2,945 SAP AG................................ 1,788,462
------------
6,955,211
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
GREAT BRITAIN -- 8.9%
83,200 British Petroleum Company PLC......... $ 1,214,152
90,000 Cable & Wireless Communications
PLC+................................ 911,406
113,200 Compass Group PLC..................... 1,305,114
1 Dixons Group PLC...................... 6
0 Granada Group PLC..................... 5
0 HSBC Holdings PLC..................... 8
4,175 Lonhro Africa PLC..................... 4,928
27,000 Misys PLC............................. 1,533,686
15,800 Orange PLC+........................... 167,521
1,930 Ramco Energy PLC, ADR................. 20,989
113,500 SEMA Group PLC........................ 1,343,633
31,200 Siebe PLC............................. 623,573
36,700 Smith Industries PLC.................. 508,607
63,826 SmithKline Beecham PLC................ 779,562
150,658 Vodafone Group........................ 1,914,323
21,500 Zeneca Group PLC+..................... 923,311
------------
11,250,824
------------
GREECE -- 0.3%
260 Alpha Credit Bank..................... 21,080
250 Commercial Bank of Greece, S.A.,
GDR................................. 18,547
4,200 Hellenic Telecommunication
Organization S.A. (OTE), GDR........ 53,760
11,233 Hellenic Telecommunication
Organization S.A.................... 288,015
900 STET Hellas Telecommunications S.A.,
ADR+................................ 37,350
------------
418,752
------------
HONG KONG -- 0.5%
10,000 Asia Satellite Telecommunications
Holdings Ltd. ...................... 16,520
370,000 China Telecom (Hong Kong) Ltd.+....... 642,295
16,000 Guangdong Kelon Elec Holding.......... 12,597
1 Jardine Matheson Holdings Ltd., ADR... 3
1,485 Sun Hung Kai Properties Ltd. ......... 6,306
------------
677,721
------------
HUNGARY -- 0.1%
800 Mol Magyar Olaj Es Gazipari, GDR**.... 21,400
2,900 Pick Szeged RT, GDR**................. 33,698
------------
55,098
------------
INDIA -- 0.1%
1,930 Bombay Suburban Electric Company
GDR................................. 19,927
1,300 Indian Hotels Company Ltd., GDR**..... 10,075
1,700 Larson & Toubro Ltd., GDR............. 15,513
250 Larson & Toubro***.................... 2,281
3,100 Mahanagar Telephone Nigam Ltd.,
GDR+**.............................. 31,620
1,050 Ranbaxy Laboratories Ltd., GDR........ 16,590
1,700 State Bank of India, GDR***........... 20,060
3,600 Tata Engineering & Locomotive Company,
GDR................................. 11,520
------------
127,586
------------
INDONESIA -- 0.0%#
1 PT Steady Safe........................ 0
------------
IRELAND -- 1.8%
36,100 CRH PLC............................... 512,817
26,700 Elan Corporation PLC, ADR............. 1,717,144
------------
2,229,961
------------
ISRAEL -- 0.1%
16,100 Bank Leumi Le-Israel.................. 32,120
200 Formula Systems (1985) Ltd.+.......... 6,999
1,500 Koor Industries Ltd., ADR............. 35,063
</TABLE>
See Notes to Financial Statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
ISRAEL -- (CONTINUED)
1,300 Super-Sol Ltd. ....................... $ 21,450
2,300 Super-Sol Ltd., ADR................... 7,579
500 Tadiran Ltd. ......................... 16,502
------------
119,713
------------
ITALY -- 5.1%
37,400 Alleanza Assicurazioni................ 508,350
15,300 Assicurazioni Generali................ 497,729
586,600 Banca di Roma+........................ 1,221,567
187,600 Credito Italiano...................... 982,478
105,000 La Rinascente S.P.A. ................. 1,046,011
193,200 Telecom Italia Mobile................. 1,181,981
131,700 Telecom Italia S.P.A. ................ 969,914
------------
6,408,030
------------
JAPAN -- 6.5%
13,800 Aiful Corporation..................... 675,678
106,550 Kao Corporation....................... 1,649,071
186 Nippon Telegraph & Telephone
Corporation......................... 1,546,973
40,000 Ricoh Company, Ltd. .................. 422,651
2,800 Shohkoh Fund Company.................. 690,533
15,200 Sony Corporation...................... 1,313,662
41,000 Takeda Chemical Industries............ 1,094,163
10,100 Takefuji Corporation.................. 467,491
7,500 Takefuji Corporation**................ 347,147
400 Toyko Electron Ltd. .................. 12,295
------------
8,219,664
------------
KOREA -- 0.1%
2,400 Korea Electric Power Corporation...... 25,608
440 Pohang Iron & Steel Company Ltd. ..... 12,434
42 SK Telecom Company Ltd. .............. 19,246
75 Samsung Electronics Company Ltd. ..... 2,321
------------
59,609
------------
MALAYSIA -- 0.1%
18,000 Berjaya Sports Toto BHD............... 26,673
32,000 IJM Corporation BHD................... 8,481
5,000 MNI Holdings Berhad................... 4,843
37,000 Public Bank Berhad.................... 10,966
------------
50,963
------------
MEXICO -- 0.3%
10,150 Cemex S.A. de C.V. ................... 44,789
1 Cifra S.A. de C.V., Series V.......... 1
2,100 Coca-Cola Femsa S.A., ADR............. 36,488
26,100 Corporacion Moctezuma, S.A. de
C.V.+............................... 30,499
34,000 Grupo Financiero Banamex Accival, S.A.
de C.V. (Banacci), Series B......... 66,218
2,900 Grupo Imsa, S.A. de C.V., ADR......... 43,863
2,300 Grupo Televisa S.A., GDR+............. 86,537
15,700 Kimberly-Clark de Mexico, S.A. de
C.V., Class A....................... 55,475
1,100 Telefono de Mexico S.A., ADR.......... 52,869
------------
416,739
------------
NETHERLANDS -- 4.9%
27,900 AEGON N.V. ........................... 2,429,489
0 Getronics............................. 25
62,900 Koninklijke Ahold NV.................. 2,020,697
13,000 Wolters Kluwer N.V. .................. 1,785,649
------------
6,235,860
------------
PHILIPPINES -- 0.1%
50,160 Ayala Land, Inc., Class B............. 14,435
7,000 Benpres Holdings Corporation,
GDR**+.............................. 19,250
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
PHILIPPINES -- (CONTINUED)
154,000 Cosmos Bottling Corporations**........ $ 17,357
133,700 International Container Terminal
Services, Inc. ..................... 15,230
775 Philippine Long Distance Telephone
Company, ADR........................ 17,534
72,600 SM Prime Holdings Inc. ............... 11,491
------------
95,297
------------
PORTUGAL -- 2.1%
44,490 Banco Comercial Portugues, S.A. ...... 1,264,085
500 Investec-Consultoria Internacional,
S.A.+............................... 23,020
450 Portugal Telecom, S.A. ............... 23,865
7,800 Telecel-Comunicacaoes Pessoais, SA.... 1,385,915
------------
2,696,885
------------
RUSSIA -- 0.1%
450 Lukoil Oil Company, ADR............... 15,413
2,100 Tatneft, ADR+**....................... 16,275
1,200 Unified Energy Systems, GDR........... 16,050
------------
47,738
------------
SOUTH AFRICA -- 0.1%
5,300 Amalgamated Banks of South Africa
Ltd. ............................... 33,069
16,900 Engen Ltd. ........................... 46,739
7,775 FirstRand Ltd. ....................... 11,931
2,285 Liberty Life Association of Africa
Ltd. ............................... 44,536
1,975 Lonrho PLC............................ 9,059
5,300 Sasol Ltd. ........................... 30,701
------------
176,035
------------
SPAIN -- 1.7%
28,800 Banco Santander S.A. ................. 737,137
29,327 Telefonica De Espana S.A. ............ 1,355,908
------------
2,093,045
------------
SWEDEN -- 0.0%#
1,930 Mandamus Fastigheter AB+.............. 12,100
------------
SWITZERLAND -- 3.2%
1,012 Nestle S.A. .......................... 2,169,287
5,149 UBS AG................................ 1,917,655
------------
4,086,942
------------
TAIWAN -- 0.1%
3,150 Acer Inc., GDR........................ 18,270
1,060 ASE Test Ltd.+........................ 32,860
1,800 Asustek Computer Inc., GDR+........... 14,423
2,304 Siliconware Precision Industries
Company, GDR........................ 18,605
------------
84,158
------------
THAILAND -- 0.0%#
2,000 Advanced Information Services Public
Company, Ltd. ...................... 7,962
7,300 Electricity Generating Public Company
Ltd. (Foreign)...................... 11,331
1,500 PTT Exploration and Production Public
Company, Ltd. (Foreign)............. 11,374
7,000 Thai Farmers Bank PLC................. 6,179
------------
36,846
------------
TURKEY -- 0.1%
2,100 Sabanci Holdings+***.................. 32,340
255,251 Turkiye Garanti Bankasi A.S.+......... 10,304
128,900 Vestel Electronik Sanayi ve Ticaret
A.S.+............................... 17,183
1,738 Yapi ve Kredi Bankasi S.A., GDR***.... 41,712
------------
101,539
------------
</TABLE>
See Notes to Financial Statements.
59
<PAGE> 62
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
UNITED STATES -- 42.1%
7,600 AES Corporation....................... $ 399,475
5,500 AMR Corporation+...................... 457,875
11,600 Advanced Fibre Communications,
Inc.+............................... 464,725
7,800 American Express Company.............. 889,200
5,900 American International Group, Inc. ... 861,400
7,500 America Online, Inc.+................. 795,000
5,200 Ascend Communications, Inc.+.......... 257,725
2,600 @Entertainment, Inc.+................. 28,600
15,000 BMC Software, Inc.+................... 779,063
5,600 BankAmerica Corporation............... 484,050
9,300 Bristol-Myers Squibb Company.......... 1,068,919
25,400 CBS Corporation....................... 806,450
24,822 CVS Corporation....................... 966,507
5,800 Cablevision Systems Corporation, Class
A+.................................. 484,300
8,100 Cadence Design Systems, Inc.+......... 253,125
5,800 Capital One Financial Corporation..... 720,288
7,500 Cardinal Health, Inc. ................ 703,125
25,400 Cendant Corporation................... 530,225
13,700 Centocor, Inc.+....................... 496,625
13,050 Cisco Systems, Inc.+.................. 1,201,416
6,800 Clorox Company........................ 648,550
18,600 Coca-Cola Enterprises Inc. ........... 730,050
5,900 Colgate-Palmolive Company............. 519,200
12,500 Computer Association International
Inc................................. 694,531
12,100 Compuware Corporation................. 618,612
13,900 Costco Companies, Inc. ............... 876,569
16,800 Dayton Hudson Corporation............. 814,800
4,200 Dell Computer Corporation+............ 389,813
15,300 EMC Corporation....................... 685,631
11,100 Fannie Mae............................ 674,325
9,600 Freddie Mac........................... 451,800
16,700 Fore Systems, Inc.+................... 442,550
500 Fort James Corporation................ 22,250
9,400 Fred Meyer, Inc.+..................... 399,500
5,700 Gateway 2000, Inc.+................... 288,563
30,200 General Electric Company.............. 2,748,200
20,800 HBO & Company......................... 733,200
10,900 Halliburton Company................... 485,731
21,500 Healthsouth Corporation+.............. 573,781
9,600 The Home Depot, Inc. ................. 797,400
8,100 Interpublic Group of Companies,
Inc. ............................... 491,569
18,600 Jones Apparel Group, Inc.+............ 680,063
7,100 Lehman Brothers Holdings Inc. ........ 550,694
10,300 Lilly (Eli) & Company................. 680,444
16,500 Lucent Technologies, Inc. ............ 1,372,594
10,050 MBNA Corporation...................... 331,650
14,800 Marriot International Inc., Class A... 479,150
13,300 MediaOne Group Inc.+.................. 584,369
13,700 Merck & Company, Inc. ................ 1,832,375
5,700 Merrill Lynch & Company, Inc. ........ 525,825
17,400 Microsoft Corporation+................ 1,885,725
14,000 Miller (Herman), Inc. ................ 340,375
13,300 Omnicare Inc. ........................ 507,063
8,400 Owens Illinois, Inc.+................. 379,050
13,800 Parametric Technology Company+........ 374,325
6,500 Payless ShoeSource Inc.+.............. 478,969
12,400 PeopleSoft Inc. ...................... 582,800
14,700 PepsiCo, Inc. ........................ 605,456
15,500 Pfizer Inc. .......................... 1,684,656
7,800 Procter & Gamble Company.............. 710,288
13,000 Quintiles Transnational
Corporation+........................ 639,437
7,500 Rite Aid Corporation.................. 281,719
3,000 Sara Lee Corporation.................. 167,813
11,700 Schering-Plough Corporation........... 1,072,013
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
UNITED STATES -- (CONTINUED)
14,500 The ServiceMaster Company............. $ 551,906
12,850 Southtrust Corporation................ 558,975
18,600 Southwest Airlines Company............ 551,025
32,800 TJX Companies Inc. ................... 791,300
1,850 Taiwan Semiconductor Manufacturing
Company Ltd, ADR+................... 31,219
17,100 Tele-Communications, Inc.+............ 657,281
7,100 Tellabs, Inc.+........................ 508,538
9,600 Tiffany & Company..................... 460,800
10,950 Travelers Group, Inc. ................ 663,844
9,700 Tyco International Ltd. .............. 611,100
0 US West Inc. ......................... 10
14,400 VERITAS Software Corporation+......... 595,800
17,100 Wal-Mart Stores, Inc. ................ 1,038,825
14,500 Walgreen Company...................... 599,031
21,900 Warner-Lambert Company................ 1,519,312
3,200 Western Atlas Inc. ................... 271,600
5,500 Worldcom, Inc.+....................... 266,406
------------
53,158,543
------------
VENEZUELA -- 0.0%#
1,000 Siderurgica Venezolana Sivensa, ADR... 6,015
------------
Total Common Stocks
(Cost $102,846,647)................. 124,056,325
------------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION
DATE
----------
<C> <S> <C>
WARRANTS AND RIGHTS -- 0.0%#
GREECE -- 0.0%#
900 Alpha Credit Bank............ 07/24/98 1,533
-----------
PHILIPPINES -- 0.0%#
59,620 Belle Corporations........... 82
-----------
Total Warrants and Rights
(Cost $0).................. 1,615
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- ----------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 2.2%
$ 800,000 General Electric Capital
Corporation,
5.550%+ due 07/28/1998..... 796,670
2,000,000 Merrill Lynch,
5.600%+ due 07/08/1998..... 1,997,822
-----------
Total Commercial Paper
(Cost $2,794,492).......... 2,794,492
-----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 0.5%
(Cost $669,000)
669,000 Agreement with JP Morgan, 5.750% dated
06/30/1998 to be repurchased at
$669,107 on 07/01/1998,
collateralized by $512,000 U.S.
Treasury Bonds, 11.625% due
11/15/2004 (Market value $669,000)... 669,000
------------
TOTAL INVESTMENTS (COST $106,310,139*)........ 101.0% 127,521,432
OTHER ASSETS AND LIABILITIES (NET)............ (1.0) (1,294,315)
----- ------------
NET ASSETS.................................... 100.0% $126,227,117
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Illiquid security (See Note 4).
*** 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.
60
<PAGE> 63
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 1998 (UNAUDITED)
The industry classification of the Managed Global Series at June 30, 1998 was as
follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Financial Services.................... 8.8% $ 11,145,544
Health Care........................... 6.9 8,674,499
Communication/Telecommunications...... 12.1 15,418,894
Technology............................ 5.5 6,904,478
Food and Beverage Products............ 2.9 3,602,895
Oil and Gas........................... 1.0 1,234,234
Durable Goods......................... 0.5 630,908
Insurance............................. 3.9 4,968,005
Electronics........................... 0.1 102,189
Banks................................. 6.8 8,621,868
Drugs................................. 4.7 5,914,308
Retail................................ 7.8 9,803,865
Services.............................. 7.8 9,812,824
Machinery/Equipment................... 1.9 2,419,386
Computer Industry..................... 6.5 8,171,080
Nondurable Goods...................... 2.1 2,690,576
Basic Industries...................... 1.8 2,308,909
Metals/Mining......................... 0.0 47,346
Construction/Engineering.............. 2.1 2,617,883
Holding Company....................... 2.3 2,855,856
Utility............................... 3.2 3,990,892
Chemicals and Allied Products......... 2.0 2,477,961
Recreation/Entertainment.............. 0.0 28,600
Transportation........................ 1.5 1,850,470
Office Supplies and Equipment......... 0.3 437,073
Industrial............................ 0.6 730,050
Textiles.............................. 0.5 680,063
Printing/Publishing................... 1.4 1,808,669
Real Estate........................... 0.5 648,823
Manufacturing......................... 4.6 5,754,754
Other................................. 0.4 499,530
----- ------------
TOTAL LONG TERM INVESTMENTS........... 100.5 126,852,432
REPURCHASE AGREEMENT.................. 0.5 669,000
----- ------------
TOTAL INVESTMENTS..................... 101.0 127,521,432
OTHER ASSETS AND LIABILITIES.......... (1.0) (1,294,315)
----- ------------
NET ASSETS............................ 100.0% $126,227,117
===== ============
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
-------------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
- ---------- -------- ----------- -------- --------------
<S> <C> <C> <C> <C> <C>
07/01/1998 JPY 15,866,331 $111,202 $114,749 $ 3,547
07/01/1998 GRD 9,137,993 29,796 30,038 242
07/01/1998 DKK 95,292 13,803 13,872 69
07/01/1998 DEM 371,164 205,017 205,847 830
07/01/1998 NLG 1,562,599 768,995 768,749 (246)
07/02/1998 GBP 73,365 122,604 122,498 (106)
07/02/1998 PTE 5,926,958 31,986 32,107 121
07/02/1998 GRD 10,139,362 33,114 33,328 214
07/02/1998 JPY 10,410,856 73,440 75,295 1,855
07/03/1998 AUD 11,392 6,895 7,071 176
07/06/1998 IEP 86,236 119,989 120,457 468
07/06/1998 GRD 14,985,410 49,351 49,238 (113)
07/06/1998 CAD 758,448 517,429 515,433 (1,996)
07/07/1998 IEP 212,468 296,148 296,784 636
07/07/1998 JPY 19,119,188 137,667 138,337 670
07/14/1998 TWD 3,230,100 97,395 94,006 (3,389)
07/14/1998 TWD 2,972,900 89,640 86,521 (3,119)
-------
$ (141)
-------
</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>
07/01/1998 GBP 137,130 $ 228,774 $ 228,966 $ (192)
07/02/1998 HKD 17,832 2,302 2,302 0
07/07/1998 ITL 323,738,625 182,070 182,216 (146)
07/14/1998 TWD 3,230,100 91,894 94,006 (2,112)
07/14/1998 TWD 2,972,900 84,578 86,521 (1,943)
07/31/1998 FRF 641,713 105,710 106,352 (642)
07/31/1998 FRF 301,602 49,975 49,985 (10)
08/28/1998 JPY 337,000,000 2,443,047 2,458,841 (15,794)
--------
$(20,839)
--------
Net Unrealized Depreciation of Forward Foreign Exchange
Contracts.............................................. $(20,980)
========
</TABLE>
<TABLE>
<S> <C> <C> <C>
- ------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
AUD -- Australian Dollar
CAD -- Canadian Dollar
DEM -- German Mark
DKK -- Danish Krona
FRF -- French Franc
GBP -- British Pound Sterling
GDR -- Global Depositary Receipt
GRD -- Greek Dracham
HKD -- Hong Kong Dollar
IEP -- Irish Punt
ITL -- Italian Lira
JPY -- Japanese Yen
NLG -- Netherland Dollar
PTE -- Portuguese Escudo
TWD -- Taiwan Dollar
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
61
<PAGE> 64
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 86.3%
ARGENTINA -- 4.5%
31,265 Banco Frances del Rio de la Plata S.A.,
ADR.................................. $ 236,398
5,466 IRSA Inversiones y Representaciones
S.A., GDR............................ 159,197
63,000 Perez Companc S.A., Class B............ 316,306
5,200 Telefonica de Argentina S.A., ADR...... 168,675
17,800 Y.P.F. S. A., ADR...................... 535,112
-----------
1,415,688
-----------
BRAZIL -- 13.6%
8,900 Brazil Reality S.A., GDR**............. 184,675
4,000 Centrais Eletrobras.................... 118
4,000 Centrais Geradoras do Sul do Brasil
S.A.+................................ 5
31,500 Companhia Brasileira de Distribuicao
Grupo Pao de Acuar, ADR.............. 712,687
1,000,000 Companhia de Saneamento Basico do
Estado de Sao Paulo+................. 120,185
20,315 Companhia Energetica de Minas Geras,
ADR**................................ 639,909
10,300,000 Companhia Siderurgica Nacional......... 258,090
32,900 Companhia Vale do Rio Doce, ADR........ 670,502
7,000,000 Empresa Brasil Aeronautica-PFA......... 124,076
23,000 Souza Crus S.A. ....................... 171,026
6,200 Telebras, ADR.......................... 676,962
800 Telec Brasileiras-Telebras ON.......... 64
3,200,000 Telecomunicacoes de Sao Paulo S.A. .... 752,583
-----------
4,310,882
-----------
CANADA -- 0.7%
48,600 Hurricane Hydrocarbons Ltd., Class
A+................................... 234,487
-----------
CHILE -- 1.3%
17,200 Distribucion y Servicio D&S S.A.,
ADR+................................. 258,000
19,100 Madeco S.A., ADR....................... 168,319
-----------
426,319
-----------
CZECH REPUBLIC -- 0.9%
14,100 Ceske Radiokomunikace, GDR**........... 299,625
-----------
GREAT BRITAIN -- 2.0%
74,900 Billiton PLC+.......................... 147,779
33,500 Lonhro PLC............................. 153,659
33,500 Lonhro Africa PLC+..................... 39,545
25,700 Ramco Energy PLC, ADR.................. 279,487
-----------
620,470
-----------
GREECE -- 5.7%
2,900 Alpha Credit Bank...................... 235,121
3,300 Commercial Bank of Greece, S.A., GDR... 244,826
2,760 National Bank of Greece, S.A.+......... 353,732
16,889 Hellenic Telecommunication Organization
S.A. ................................ 433,020
20,500 Hellenic Telecommunication Organization
S.A, GDR............................. 262,400
6,300 STET Hellas Telecommunications S.A.,
ADR+................................. 261,450
-----------
1,790,549
-----------
HONG KONG -- 3.0%
86,000 Asia Satellite Telecommunications
Holdings Ltd. ....................... 142,075
220,000 Beijing Datang Power Generation Company
Ltd.+................................ 61,758
74,000 Cheung Kong Infrastructure............. 139,920
80,000 China Telecom (Hong Kong) Ltd.+........ 138,875
140,000 Guangdong Kelon Elec Holding........... 110,222
30,000 Johnson Electric Holdings Ltd. ........ 111,125
82,000 Qingling Motors Company................ 22,754
39,000 Smartone Telecommunications**.......... 95,134
32,000 VTech Holdings Ltd. ................... 119,153
-----------
941,016
-----------
HUNGARY -- 2.1%
10,600 Mol Magyar Olaj Es Gazipari, GDR**..... 283,550
31,600 Pick Szeged Rt., GDR**................. 367,192
-----------
650,742
-----------
INDIA -- 4.6%
13,500 Bombay Suburban Electric Company,
GDR+................................. 139,388
28,200 Gujarat Ambuja Cements Ltd.**.......... 136,065
8,800 Hindalco Industries, Ltd., GDR......... 122,760
12,700 Indian Hotels Ltd.**................... 98,425
19,900 Larson & Toubro Ltd., GDR+***.......... 181,588
28,000 Mahanager Telephone Nigam Ltd.,
GDR+**............................... 285,600
14,800 Mahindra & Mahindra Ltd., GDR**........ 64,010
11,000 Ranbaxy Laboratories Ltd., GDR......... 173,800
13,000 State Bank of India, GDR***............ 153,400
28,100 Tata Engineering & Locomotive Company,
GDR.................................. 89,920
-----------
1,444,956
-----------
INDONESIA -- 0.0%
3 PT Bank International Indonesia+....... 0
-----------
ISRAEL -- 5.1%
207,100 Bank Leumi Le-Israel................... 413,173
3,900 Formula Systems (1985) Ltd.+........... 136,480
2,300 Koor Industries Ltd. .................. 265,787
6,700 Koor Industries Ltd., ADR.............. 156,612
4,000 Super-Sol Ltd. ........................ 66,000
106,100 Super-Sol Ltd., ADR.................... 349,609
6,900 Tadiran Ltd. .......................... 227,737
-----------
1,615,398
-----------
KOREA -- 2.3%
1 Housing & Commercial Bank, GDR***...... 3
27,500 Korea Electric Power Corporation....... 293,427
3,390 Pohang Iron & Steel Company Ltd. ...... 95,799
5,319 Samsung Electronics Company Ltd. ...... 164,644
230 Samsung Fire & Marine Insurance........ 38,361
260 SK Telecom Company Ltd., ADR........... 119,142
-----------
711,376
-----------
MALAYSIA -- 3.1%
136,800 Berjaya Sports Toto BHD................ 202,716
588,000 IJM Corporation BHD.................... 155,846
72,000 JASA Tiasa Holdings BHD................ 89,344
88,000 Malakoff BHD........................... 162,207
98,000 MNI Holdings Berhad.................... 94,924
324,000 PPB Oil Palms BHD+..................... 210,782
209,000 Public Bank Berhad..................... 61,941
-----------
977,760
-----------
MEXICO -- 11.4%
102,897 Cementos Mexicanos S.A., Class B....... 454,050
91,005 Cifra S.A. de C.V., Series B........... 135,715
15,100 Coca-Cola Femsa S.A., ADR.............. 262,363
187,700 Corporacion Moctezuma, S.A. de C.V.+... 219,337
8,740 Fomento Economico Mexicana, Class B.... 272,350
19,300 Grupo Accion S.A. de C.V., ADR+**...... 130,275
135,000 Grupo Financiero Banamex Accival, S.A.
de C.V. (Banacci), Series B.......... 262,924
</TABLE>
See Notes to Financial Statements.
62
<PAGE> 65
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MEXICO -- (CONTINUED)
19,400 Grupo Imsa S.A. de C.V., ADR........... $ 293,425
15,000 Grupo Telivisa S.A., GDR............... 564,375
95,300 Kimberly-Clark de Mexico, S.A. de C.V.,
Class A.............................. 336,740
14,100 Telefonos de Mexico S.A., ADR.......... 677,680
-----------
3,609,234
-----------
PERU -- 2.6%
18,000 Panamerican Beverages Inc., Class A.... 565,875
11,800 Telefonica del Peru S.A., ADR.......... 241,163
-----------
807,038
-----------
PHILIPPINES -- 2.9%
620,280 Ayala Land Inc., Class B............... 178,498
42,001 Benpres Holdings Corporation, GDR+**... 111,723
972,000 Cosmos Bottling Corporation**.......... 109,554
491,500 Cosmos Bottling Corporation............ 55,397
1,205,600 International Container Terminal
Services, Inc. ...................... 137,329
4,400 Philippine Long Distance Telephone
Company.............................. 100,240
3,600 Philippine Long Distance Telephone
Company, ADR......................... 81,450
847,000 SM Prime Holdings Inc. ................ 134,058
-----------
908,249
-----------
POLAND -- 1.3%
14,000 @Entertainment, Inc.+.................. 154,000
14,000 Kredyt Bank, GDR+**.................... 263,900
-----------
417,900
-----------
PORTUGAL -- 2.3%
9,800 Investec-Consultadoria Internacional,
S.A.+................................ 451,193
5,400 Portugal Telecom S.A. ................. 286,381
-----------
737,574
-----------
RUSSIA -- 2.4%
8,200 Lukoil Oil Company, ADR................ 280,850
31,400 Tatneft, ADR........................... 243,350
18,200 Unified Energy Systems, GDR+........... 243,425
-----------
767,625
-----------
SOUTH AFRICA -- 4.2%
41,800 ABSA Group Ltd. ....................... 260,809
83,500 Engen Ltd. ............................ 230,928
115,425 FirstRand Ltd. ........................ 177,128
16,248 Liberty Life Association of Africa
Ltd. ................................ 316,743
60,700 Sasol, Ltd. ........................... 351,610
-----------
1,337,218
-----------
TAIWAN -- 3.8%
18,875 Acer Inc., GDR......................... 109,475
7,500 ASE Test Ltd.+......................... 232,500
24,875 Asustek Computer Inc., GDR+............ 199,311
9,000 Fubon Insurance Company, GDR+.......... 156,375
25,840 Siliconware Precision Industries
Company, GDR......................... 208,658
17,500 Taiwan Semiconductor Manufacturing
Company Ltd., ADR+................... 295,313
-----------
1,201,632
-----------
THAILAND -- 1.5%
25,000 Advanced Information Services Public
Company, Ltd. (Foreign).............. 106,635
48,000 Bangkok Bank Public Company Ltd.
(Foreign)**.......................... 59,147
73,100 Electricity Generating Public Company
Ltd. (Foreign)....................... 113,461
16,000 PTT Exploration and Production Public
Company, Ltd. (Foreign)**............ 121,327
72,000 Thai Farmers Bank PLC**................ 63,555
-----------
464,125
-----------
TURKEY -- 3.5%
23,500 Haci Omer Sabanci Holdings, ADR+**..... 364,250
1,684,000 Turkiye IS Bankasi TRL................. 67,980
1,398,800 Vestel Elektronik Sanayi ve Ticaret
A.S.+................................ 186,472
20,764 Yapi ve Kredi Bankasi S.A., GDR+***.... 498,336
-----------
1,117,038
-----------
UNITED STATES -- 0.8%
37,000 R.O.C. Taiwan Fund..................... 249,750
-----------
VENEZUELA -- 0.7%
7,300 Compania Anonima Nacional Telefonos de
Venezula, ADR........................ 182,500
6,333 Siderurgica Venezolana "Sivensa",
ADR.................................. 38,097
6,550 Siderurgica Venezolana "Sivensa", Class
B.................................... 592
-----------
221,189
-----------
Total Common Stocks
(Cost $33,026,670)................... 27,277,840
-----------
PREFERRED STOCKS -- 7.3%
BRAZIL -- 7.3%
52,138,488 Banco Bradesco......................... 435,032
800,000 Banco Itau S.A. ....................... 456,530
195,000 Celesc................................. 148,372
600,000 Companhia Cimento Portland Itau+....... 106,403
14,600,000 Gerdau S.A. ........................... 201,980
35,000,000 Lojas Americanas S.A.+................. 194,587
1,951,000 Mesbla**............................... 8,435
2,390,500 Petroleo Brasileir..................... 444,388
3,800,000 Telesp Celular S.A.+................... 315,421
-----------
Total Preferred Stocks
(Cost $2,841,329).................... 2,311,148
-----------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION
DATE
----------
<C> <S> <C> <C>
WARRANTS AND RIGHTS -- 0.0%#
BRAZIL -- 0.0%#
177,697 Mesbla..................... 01/01/2100 0
150,390 Telec de Sao Paulo S.A. ... 2,406
-----------
GREECE -- 0.0%#
2,900 Alpha Credit Bank.......... 07/24/1998 4,941
-----------
INDONESIA -- 0.0%#
2,200 PT Bank International
Indonesia+............... 01/17/2000 10
-----------
PHILIPPINES -- 0.0%#
374,200 Belle Corporation+......... 01/17/2000 516
-----------
Total Warrants and Rights
(Cost $1,140)............ 7,873
-----------
</TABLE>
See Notes to Financial Statements.
63
<PAGE> 66
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
CONVERTIBLE BONDS -- 1.8%
MEXICO -- 1.5%
$480,000 Alpha, Class A,
8.000% due 09/15/2000***.............. $ 484,800
-----------
TAIWAN -- 0.3%
75,000 Formosa Chemical & Fibre
Corporation,
1.750% due 07/19/2001................. 81,375
-----------
Total Convertible Bonds
(Cost $636,504)..................... 566,175
-----------
REPURCHASE AGREEMENT -- 2.9%
(Cost $906,000)
906,000 Agreement with JP Morgan,
5.750% dated 06/30/1998 to be
repurchased at $906,145 on
07/01/1998 collateralized by
$693,000 U.S. Treasury Bonds,
11.625% due 11/15/2004
(Market value $906,000)............... 906,000
-----------
TOTAL INVESTMENTS (COST $37,411,643*)......... 98.3% 31,069,036
OTHER ASSETS AND LIABILITIES (NET)............ 1.7 542,920
----- -----------
NET ASSETS.................................... 100.0% $31,611,956
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Illiquid security (See Note 4).
*** 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%.
The industry classification of the Emerging Markets Series at June 30, 1998 was
as follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Oil/Gas................................ 10.2% $ 3,200,069
Communication/Telecommunications....... 13.4 4,201,896
Banking/Financials..................... 6.4 2,023,549
Banks.................................. 7.2 2,268,340
Electric Utilities..................... 1.6 505,264
Construction........................... 3.8 1,186,049
Food and Beverage Products............. 4.2 $ 1,317,188
Retail................................. 4.0 1,265,318
Industrial............................. 2.1 655,519
Utility................................ 3.3 1,053,618
Insurance.............................. 1.5 473,118
Computers and Office Equipment......... 1.7 551,901
Financial Services..................... 1.7 541,378
Metal and Metal Products............... 0.7 218,559
Broadcast, Radio and TV................ 1.8 564,375
Auto................................... 0.4 112,674
Publishing............................. 1.4 451,193
Electric Services and Equipment........ 4.7 1,496,324
Electronics............................ 3.4 1,087,586
Miscellaneous Services................. 1.2 388,140
Mining................................. 3.4 1,081,524
Agriculture............................ 2.3 740,182
Diversified Operations................. 0.9 293,425
Iron/Steel............................. 1.4 460,070
Real Estate............................ 2.3 718,702
Engineering/Construction............... 2.5 798,522
Consumer............................... 0.6 174,232
Leisure................................ 0.6 202,716
Paper and Allied Products.............. 1.1 336,740
Other.................................. 5.6 1,794,865
----- -----------
TOTAL LONG TERM INVESTMENTS............ 95.4 30,163,036
REPURCHASE AGREEMENT................... 2.9 906,000
----- -----------
TOTAL INVESTMENTS...................... 98.3 31,069,036
OTHER ASSETS AND LIABILITIES (NET)..... 1.7 542,920
----- -----------
NET ASSETS............................. 100.0% $31,611,956
===== ===========
</TABLE>
SCHEDULE OF FORWARD
FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
--------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- -------- ----------- -------- -------------
<S> <C> <C> <C> <C>
07/14/1998 TWD 19,755,200 595,664 574,939 $(20,725)
07/14/1998 TWD 18,181,800 548,222 529,148 (19,074)
--------
$(39,799)
--------
</TABLE>
See Notes to Financial Statements.
64
<PAGE> 67
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1998 (UNAUDITED)
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<TABLE>
<CAPTION>
CONTRACTS TO DELIVER
---------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- -------- ----------- -------- ------------
<S> <C> <C> <C> <C>
07/14/1998 TWD 19,755,200 562,026 574,940 $(12,914)
07/14/1998 TWD 18,181,800 517,263 529,148 (11,885)
--------
$(24,799)
--------
</TABLE>
<TABLE>
<S> <C>
Net Unrealized Depreciation of Forward Foreign
Exchange Contracts............................ $(64,598)
========
</TABLE>
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
TWD -- Taiwan Dollar
See Notes to Financial Statements.
65
<PAGE> 68
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
DEVELOPING WORLD SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 82.0%
ARGENTINA -- 3.5%
3,600 Banco de Galicia y Buenos Aires S.A. de
C.V., ADR.............................. $ 65,700
4,200 Telefonica de Argentina, S.A., ADR....... 136,237
----------
201,937
----------
BRAZIL -- 20.3%
5,700 Centrais Eletricas Brasileiras S.A.,
ADR.................................... 81,966
570 Centrais Geradoras do Sul do Brasil S.A.,
ADR+................................... 3,893
14,167 Companhia Energetica de Minas Gerais
(CEMIG) S.A., ADR...................... 435,623
10,600 Petroleo Brasileiro S.A., ADR............ 197,052
4,000 Telecomunicacoes Brasileiras S.A., ADR... 436,750
----------
1,155,284
----------
CHILE -- 1.7%
2,500 Cia. de Telecomunicaciones de Chile S.A.,
ADR.................................... 50,781
6,000 Linca Aeres Nacional Chile S.A., ADR..... 48,750
----------
99,531
----------
CZECHOSLOVAKIA -- 1.1%
2,840 Ceske Radiokomunikace, GDR+**............ 60,847
----------
GREAT BRITAIN -- 2.8%
5,000 Al Ahram Beverage, GDR**................. 158,750
----------
HONG KONG -- 3.3%
2,000 China Telecom (Hong Kong) Ltd., ADR+..... 69,125
20,000 Citic Pacific Ltd. ...................... 35,364
33,000 New World Infrastructure Ltd.+........... 37,907
20,000 Shanghai Industrial Holdings Ltd. ....... 47,109
----------
189,505
----------
INDIA -- 3.7%
4,000 Bajaj Auto Ltd., GDR**................... 53,400
4,000 BSES Ltd., GDR**......................... 41,300
4,000 Hindalco Industries Ltd., GDR............ 55,800
5,600 Videsh Sanchar Nigam Ltd., GDR**......... 57,960
----------
208,460
----------
ISRAEL -- 3.5%
5,300 ECI Telecommunications Ltd. ............. 200,737
----------
KOREA -- 1.9%
12,189 Kookmin Bank, SP GDR**................... 47,842
6,000 L.G. Chemical Ltd., GDR**+............... 34,560
1,600 Samsung Electronics, GDR................. 25,576
----------
107,978
----------
MALAYSIA -- 1.2%
21,000 Berjaya Sports Toto Berhad............... 31,119
66,000 YTL Power International Berhad+.......... 35,940
----------
67,059
----------
MEXICO -- 5.1%
16,940 Corporacion Interamericana de
Entretenimiento S.A., Class B+......... 47,697
2,259 Corporacion Interamericana de
Entretenimiento S.A., Class L+......... 5,279
6,400 Grupo Radio Centro S.A. de C.V., ADR..... 71,200
2,300 Panamerican Beverages Inc., Class A...... 72,306
2,000 Telefonos de Mexico S.A., ADR............ 96,125
----------
292,607
----------
PHILIPPINES -- 1.1%
2,700 Philippine Long Distance Telephone
Company, ADR........................... 61,088
----------
POLAND -- 0.8%
2,700 Prokom Software, GDR+**.................. 46,372
----------
PORTUGAL -- 4.5%
3,500 Companhia de Seguros Tranquilidade....... 94,800
3,000 Sonse Investimentos-Sociedade Gestora de
Participacoes Sociais, S.A. ........... 163,960
----------
258,760
----------
RUSSIA -- 1.7%
6,500 AO Tatneft, ADR.......................... 50,375
1,400 LUKoil Holding, ADR...................... 47,950
----------
98,325
----------
SOUTH AFRICA -- 12.4%
18,000 Barlow Ltd. ............................. 94,857
9,800 De Beers................................. 172,202
34,700 JCI Ltd. ................................ 180,522
5,600 Liberty Life Association of Africa
Ltd. .................................. 109,167
90,000 Molope Foods Ltd.+....................... 107,757
35,000 NBS Boland Group Ltd. ................... 45,447
----------
709,952
----------
TAIWAN -- 4.4%
2,900 Advanced Semiconductor Engineering,
GDR**.................................. 25,302
10,000 GVC Corporation, GDR**................... 40,000
6,500 Standard Foods Taiwan Ltd., GDR**+....... 75,075
3,500 Synnex Technology International
Corporation, GDR+...................... 59,850
6,300 Yagco Corporation, GDR**................. 51,975
----------
252,202
----------
THAILAND -- 1.5%
9,400 BEC World Public Company Ltd.
(Foreign)**............................ 35,863
60,000 The Cogeneration Public Company Ltd.
(Foreign).............................. 24,171
3,100 PTT Exploration and Production Public
Company Ltd. (Foreign)+................ 23,507
----------
83,541
----------
TURKEY -- 6.4%
1,500,000 Dogan Sirketler Grubu Holding A.S.+...... 91,532
400,000 Eregli Demir Ve Celik Fabrikalari
T.A.S.+................................ 62,336
1,600,000 Haci Omer Sabanci Holdings A.S. ......... 99,136
4,296,000 Yapi ve Kredi Bankasi A.S. .............. 109,699
----------
362,703
----------
UNITED STATES -- 0.6%
4,000 Indian Hotels Ltd., GDR**................ 31,000
132 Samsung Electronics America, Inc.+....... 2,110
----------
33,110
----------
VENEZUELA -- 0.5%
1,250 Compania Anonima Nacional Telefonos de
Venezuela, ADR......................... 31,250
----------
Total Common Stocks
(Cost $5,728,826)...................... 4,679,998
----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (COST $5,728,826*)........... 82.0% 4,679,998
OTHER ASSETS AND LIABILITIES (NET)............. 18.0 1,024,840
----- ----------
NET ASSETS..................................... 100.0% $5,704,838
===== ==========
</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.
See Notes to Financial Statements.
66
<PAGE> 69
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
DEVELOPING WORLD SERIES
JUNE 30, 1998 (UNAUDITED)
The industry classification of the Developing World Series at June 30, 1998 was
as follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Oil/Gas................................. 1.3% $ 71,457
Airlines................................ 0.9 48,750
Communication/Telecommunications........ 26.2 1,491,602
Banks................................... 8.1 461,748
Electric Utilities...................... 7.6 435,623
Food and Beverage Products.............. 9.5 538,049
Industrial.............................. 3.0 173,344
Insurance............................... 1.9 109,167
Computers and Office Equipment.......... 4.6 264,972
Financial Services...................... 3.2 180,522
Metal and Metal Products................ 1.0 55,800
Broadcast, Radio and TV................. 1.2 71,200
Electronics............................. 1.8 104,963
Miscellaneous Services.................. 0.9 53,400
Mining.................................. 3.0 172,202
Diversified Operations.................. 2.3 130,221
Iron/Steel.............................. 1.1 62,336
Engineering/Construction................ 2.4 139,547
Leisure................................. 1.5 84,095
Other................................... 0.5 31,000
----- ----------
TOTAL INVESTMENTS....................... 82.0 4,679,998
OTHER ASSETS AND LIABILITIES (NET)...... 18.0 1,024,840
----- ----------
NET ASSETS.............................. 100.0% $5,704,838
===== ==========
</TABLE>
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
See Notes to Financial Statements.
67
<PAGE> 70
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
HARD ASSETS SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 77.5%
ALUMINUM -- 1.0%
6,000 Aluminum Company of America............. $ 395,625
-----------
APARTMENTS -- 1.8%
15,000 Equity Residential Properties Trust..... 711,563
-----------
CHEMICALS -- 1.5%
7,800 Potash Corporation of Saskatchewan
Inc. ................................. 589,388
-----------
DIVERSIFIED MINERALS -- 0.6%
345,000 Auspex Minerals Ltd.+................... 77,367
69,500 Billiton Plc+........................... 140,994
-----------
218,361
-----------
FOREST PRODUCTS AND PAPER -- 6.6%
67,800 Asia Pulp & Paper Company Ltd., ADR+.... 762,750
9,000 Bowater Inc............................. 425,250
2,000 Buckeye Technologies Inc.+.............. 47,125
8,237 Fort James Corporation.................. 366,547
53,500 St. Laurent Paperboard Inc.+............ 612,602
11,000 Willamette Industries, Inc. ............ 352,000
-----------
2,566,274
-----------
GOLD/MINING -- 4.8%
338,150 Acacia Resources Ltd. .................. 361,039
11,300 Barrick Gold Corporation................ 216,819
220,419 Consolidated Gold+...................... 0
21,200 Getchell Gold Corporation+.............. 325,950
40,000 Greenstone Resources Ltd.+.............. 150,861
164,000 Herald Resources Ltd.+.................. 26,978
49,500 Homestake Mining Company................ 513,562
9,400 Newmont Mining Corporation.............. 222,075
17,800 Nambian Minerals Corporation+........... 40,522
-----------
1,857,806
-----------
HOTEL -- 10.2%
15,000 CapStar Hotel Company+.................. 420,000
4,600 Host Marriott Corporation+.............. 81,938
17,150 Lasalle Hotel Properties+............... 290,478
50,000 Legacy Hotels Real Estate Investment
Trust................................. 292,209
49,389 Patriot American Hospitality, Inc. ..... 1,182,249
30,000 Signature Resorts, Inc.+................ 495,000
24,300 Starwood Lodging Trust.................. 1,173,994
-----------
3,935,868
-----------
INDUSTRIAL -- 1.2%
25,000 Bedford Property Investors, Inc. ....... 456,250
-----------
INSURANCE -- 0.1%
1,000 Highlands Insurance Group Inc.+......... 18,500
-----------
IRON/STEEL -- 0.9%
26,000 Steel Dynamics, Inc.+................... 360,750
-----------
METALS/MINING -- 1.2%
14,000 Cameco Corporation...................... 390,065
103,700 Portman Mining Ltd. .................... 83,683
-----------
473,748
-----------
OFFICE/INDUSTRIAL -- 15.0%
15,000 AMB Property Corporation................ 367,500
12,050 Arden Realty Group, Inc. ............... 311,794
17,700 Bentall Corporation..................... 204,478
24,250 CarrAmerica Realty Corporation.......... 688,094
35,000 Cornerstone Properties, Inc. ........... 616,875
8,000 Corporate Office Properties Trust,
Inc. ................................. 71,000
15,000 Equity Office Properties Trust.......... 425,625
14,000 Highwoods Properties, Inc. ............. 452,375
17,200 Kilroy Realty Corporation............... 430,000
22,500 Mack-Cali Realty Corporation............ 773,437
40,000 O&Y Properties Corporation+............. 212,021
15,000 Parkway Properties, Inc. ............... 442,500
10,000 Prentiss Properties Trust............... 243,125
6,000 SL Green Realty Corporation............. 135,000
13,200 TriNet Corporate Realty Trust, Inc. .... 448,800
-----------
5,822,624
OIL AND GAS EXPLORATION -- 12.4%
6,200 Apache Corporation...................... $ 195,300
204,500 Black Sea Energy Ltd.+.................. 76,433
5,400 Burlington Resources Inc................ 232,537
45,000 Carmanah Resources Ltd+................. 90,211
20,000 Chieftain International, Inc.+.......... 473,750
50,000 Edge Energy Inc. ....................... 132,513
14,700 Forcenergy Inc. ........................ 261,844
42,500 Hurricane Hydrocarbons, Class A+........ 205,056
45,000 KCS Energy, Inc. ....................... 514,688
20,000 Louis Dreyfus Natural Gas
Corporation+.......................... 378,750
25,000 Miller Exploration Company+............. 193,750
1,200,000 National Resources Exploration+......... 26,071
47,000 Pacalta Resources Ltd.+................. 271,482
19,600 Pendaries Petroleum Ltd.+............... 69,926
110,000 Startech Energy, Inc.+.................. 340,118
80,000 Stellarton Energy Corporation, Class
A+.................................... 133,193
13,100 Stone Energy Corporation+............... 465,869
23,500 Swift Energy Company+................... 374,531
196,000 Windsor Energy Corporation+............. 346,301
-----------
4,782,323
-----------
OIL/GAS -- EQUIPMENT AND SERVICES -- 6.8%
15,000 BJ Services Company+.................... 435,938
5,000 EVI Weatherford Inc.+................... 185,625
12,000 J. Ray McDermott, S.A.+................. 498,000
34,200 NQL Drilling Tools, Inc.+............... 209,167
11,100 Pride International, Inc.+.............. 188,006
23,500 Prudential Steel Ltd. .................. 180,456
20,400 Smith International, Inc.+.............. 710,175
18,000 Tubos de Acero de Mexico S.A., ADR+..... 230,625
-----------
2,637,992
-----------
OIL/GAS -- INTEGRATED -- 1.2%
7,000 ENI SPA, ADR............................ 455,000
-----------
OIL/GAS -- INTERNATIONAL -- 1.9%
2,454 British Petroleum Plc, ADR.............. 216,565
4,600 Exxon Corporation....................... 328,037
2,700 Mobil Oil Corporation................... 206,888
-----------
751,490
-----------
OIL/GAS -- REFINING -- 0.6%
42,500 S.P. Interoil **........................ 223,125
-----------
PLATINUM/MINING -- 0.0%#
661 Anglo American Platinum Corporation
Ltd., ADR............................. 7,271
-----------
REAL ESTATE -- 6.8%
15,000 Boardwalk Equities, Inc.+............... 173,287
15,000 Brandywine Realty Trust................. 335,625
14,000 Brookfield Properties Corporation....... 192,654
20,000 Cadillac Fairview Corporation+.......... 460,000
10,000 Excel Legacy Corporation+............... 43,750
36,000 Philips International Realty
Corporation+.......................... 594,000
1,300 Societe Fonciere Lyonnaise.............. 205,353
17,000 Trizec Hahn Corporation................. 364,438
6,500 Vornado Realty Trust.................... 257,969
-----------
2,627,076
-----------
REGIONAL MALLS -- 2.1%
15,000 Excel Reality Trust, Inc. .............. 434,062
10,000 Pan Pacific Retail Properties, Inc. .... 203,750
10,000 Westfield America, Inc. ................ 183,750
-----------
821,562
-----------
OTHER -- 0.8%
20,700 Denali Incorporated+.................... 323,438
-----------
Total Common Stocks
(Cost $33,417,594).................... 30,036,034
-----------
</TABLE>
See Notes to Financial Statements.
68
<PAGE> 71
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
HARD ASSETS SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 2.2%
(Cost $900,000)
$900,000 Gold/Silver Ratio Indexed Note,
2.610% due 06/18/1999............... $ 852,480
-----------
<CAPTION>
SHARES
- ----------
<C> <S> <C>
WARRANTS -- 2.5%
26,000 Altagas Services Inc., Expires
04/29/1999.......................... 154,599
630,800 Brazillian Resources Inc.,
Expires 09/12/1998+................. 92,163
175,000 Bromley-Marr ECOS Inc.,
Expires 07/23/1998.................. 66,002
50,000 Bromley-Marr ECOS Inc.,
Expires 08/21/1998.................. 18,857
100,000 Cypress Energy Inc., Expires
10/14/1998+......................... 339,778
150,000 Kappa Energy Company Inc., Expires
01/03/1999+......................... 0
25,000 NQL Drilling Tools, Inc., Expires
08/01/1998+......................... 152,900
30,000 Plains Energy, Expires 10/08/1998+.... 128,436
-----------
Total Warrants (Cost $1,461,405)...... 952,735
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ---------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 9.8%
$1,900,000 American Express Corporation, 6.033%++
due 07/01/1998....................... 1,900,000
1,900,000 General Electric Capital Corporation,
5.678%++ due 07/01/1998.............. 1,900,000
-----------
Total Commercial Paper
(Cost $3,800,000).................... 3,800,000
-----------
TOTAL INVESTMENTS (COST $39,578,999*)......... 92.0% 35,641,249
OTHER ASSETS AND LIABILITIES (NET)............ 8.0 3,116,314
----- -----------
NET ASSETS.................................... 100.0% $38,757,563
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration
to qualified institutional buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
The summary of investments by country at June 30, 1998 was as follows:
<TABLE>
<CAPTION>
% OF TOTAL
COUNTRY INVESTMENTS
- ------- -----------
<S> <C>
Australia............................................ 1.4%
Canada............................................... 14.6
France............................................... 0.6
Great Britain........................................ 1.0
Mexico............................................... 0.6
Singapore/Malaysia................................... 2.1
United States........................................ 79.7
-----
100.0%
=====
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<TABLE>
<CAPTION>
CONTRACT TO DELIVER
------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- ------------ ----------- -------- -------------
<S> <C> <C> <C> <C>
09/16/1998 CAD 6,625,000 4,500,679 4,509,091 (8,412)
</TABLE>
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
CAD -- Canadian Dollar
See Notes to Financial Statements.
69
<PAGE> 72
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
REAL ESTATE SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 94.2%
APARTMENTS -- 13.1%
43,364 Avalon Properties Inc. ............... $ 1,636,991
53,200 BRE Properties, Inc. ................. 1,386,525
55,387 Equity Residential Property Trust..... 2,627,421
18,400 Merry Land & Investment Company....... 387,550
53,405 Post Properties Inc. ................. 2,056,093
53,200 Security Capital Pacific Trust........ 1,197,000
49,500 Smith, Charles E. Residential Realty
Inc. ................................. 1,584,000
-----------
10,875,580
-----------
HEALTH CARE REAL ESTATE -- 1.1%
38,600 Nationwide Health Properties Inc. .... 921,575
-----------
MANUFACTURED HOUSING -- 6.3%
68,613 Chateau Properties, Inc. ............. 1,972,624
38,200 Manufactured Home Communities,
Inc. ................................. 921,575
71,100 Sun Communities Inc. ................. 2,355,187
-----------
5,249,386
-----------
OFFICE/INDUSTRIAL -- 30.1%
89,600 Arden Realty Group, Inc. ............. 2,318,400
46,400 Boston Properties, Inc. .............. 1,600,800
42,000 CarrAmerica Realty Corporation........ 1,191,750
109,300 Cornerstone Properties, Inc. ......... 1,926,413
147,335 Equity Office Properties Trust........ 4,180,631
79,300 Kilroy Realty Corporation............. 1,982,500
75,700 Liberty Property Trust................ 1,935,081
117,600 Reckson Associates Realty
Corporation........................... 2,778,300
109,390 Security Capital Industries........... 2,734,750
67,100 SL Green Realty Corporation........... 1,509,750
40,900 Spieker Properties Inc. .............. 1,584,875
52,400 Tower Realty Trust Inc. .............. 1,172,450
-----------
24,915,700
-----------
REAL ESTATE -- 3.8%
93,600 Catellus Development Corporation+..... 1,655,550
42,100 Mack Cali Realty Corporation.......... 1,447,187
-----------
3,102,737
-----------
RESTAURANTS -- 2.9%
93,200 Franchise Finance Corporation of
America............................... 2,417,375
-----------
REGIONAL MALLS -- 12.6%
68,100 General Growth Properties............. 2,540,981
56,200 Macerich Company...................... 1,647,363
117,800 Simon DeBartolo Group, Inc. .......... 3,828,500
118,500 Taubman Centers Inc. ................. 1,688,625
23,500 Urban Shopping Centers, Inc. ......... 740,250
-----------
10,445,719
-----------
SELF STORAGE -- 1.8%
50,000 Storage Trust Realty.................. $ 1,168,750
9,100 Storage USA Inc. ..................... 318,500
-----------
1,487,250
-----------
SHOPPING CENTERS -- 13.9%
53,200 Bradley Real Estate, Inc. ............ 1,123,850
45,100 Developers Diversified Realty
Corporation........................... 1,767,356
37,200 Federal Realty Investment Trust....... 895,125
97,550 Kimco Realty Corporation.............. 3,999,550
51,800 Price Enterprises Inc. ............... 951,825
70,700 Vornado Realty Trust.................. 2,805,906
-----------
11,543,612
-----------
SPECIALTY REAL ESTATE -- 8.6%
122,600 Patriot American Hospitality Inc. .... 2,934,738
8,328 Reckson Service Industries, Inc.+..... 27,586
86,292 Starwood Lodging Trust................ 4,168,982
-----------
7,131,306
-----------
Total Common Stocks
(Cost $70,316,325).................. 78,090,240
-----------
CONVERTIBLE PREFERRED STOCK -- 1.3%
9,828 Kimco Realty Corporation Pfd. Conv.,
Series D............................ 266,585
14,400 Vornado Realty Trust Pfd. Conv.,
Series A.............................. 826,200
-----------
Total Convertible Preferred Stock
(Cost $989,858)..................... 1,092,785
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 3.3%
U.S. TREASURY BILLS:
$ 550,000 4.983%++ due 07/23/1998........ 548,353
2,200,000 5.075%++ due 09/17/1998........ 2,176,724
-----------
Total U.S. Treasury Obligations
(Cost $2,724,641)............ 2,725,077
-----------
TOTAL INVESTMENTS (COST $74,030,824*)......... 98.8% 81,908,102
OTHER ASSETS AND LIABILITIES (NET)............ 1.2 962,614
----- -----------
NET ASSETS.................................... 100.0% $82,870,716
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
70
<PAGE> 73
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MARKET MANAGER SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATION -- 33.6%
(Cost $2,386,262)
$2,867,000 U.S. Treasury Strip,
7.172%++ due 02/15/2001............... $2,490,591
----------
CORPORATE BONDS AND NOTES -- 5.2%
FINANCIAL SERVICES -- 3.1%
276,000 Cabco (Texaco Capital),
Zero coupon due 10/01/2001............ 228,390
----------
INDUSTRIAL -- 2.1%
160,000 Philip Morris Companies Inc., 6.000% due
07/15/2001............................ 158,200
----------
Total Corporate Bonds and Notes
(Cost $369,194)....................... 386,590
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ------ --------
<C> <S> <C> <C> <C>
CALL OPTIONS PURCHASED** -- 60.2
6,543 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 $178.50 $1,283,905
2,125 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 420,339
1,352 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 267,702
2,397 S&P 500 European...... 03/06/2001 485.63 1,625,933
782 S&P 500 European...... 03/06/2001 485.63 529,989
499 S&P 500 European...... 03/06/2001 485.63 339,852
----------
Total Call Options Purchased
(Cost $1,041,615)......................... 4,467,720
----------
</TABLE>
<TABLE>
<C> <C> <C>
TOTAL INVESTMENTS (COST $3,797,071*)........... 99.0% 7,344,901
OTHER ASSETS AND LIABILITIES (NET)............. 1.0 72,686
----- ----------
NET ASSETS..................................... 100.0% $7,417,587
===== ==========
</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.
71
<PAGE> 74
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 35.7%
AEROSPACE/DEFENSE -- 0.8%
15,400 B.F. Goodrich Company................ $ 764,225
25,600 General Motors Corporation,
Class H.............................. 1,206,400
3,000 Lockheed Martin Corporation.......... 317,625
------------
2,288,250
------------
AGRICULTURAL EQUIPMENT -- 0.1%
4,900 Deere & Company...................... 259,088
------------
APPAREL -- 0.3%
13,800 VF Corporation....................... 710,700
------------
AUTOMOTIVE -- 1.0%
14,700 Chrysler Corporation................. 828,713
25,100 Ford Motor Company................... 1,480,900
7,700 General Motors Corporation........... 514,456
------------
2,824,069
------------
BANKS -- 0.6%
20,000 NationsBank Corporation.............. 1,530,000
------------
BASIC INDUSTRIES -- 0.6%
25,500 Alcan Aluminum Ltd. ................. 704,438
15,600 Reynolds Metals Company.............. 872,625
------------
1,577,063
------------
BUILDING MATERIALS -- 0.1%
8,900 Lafarge Corporation.................. 349,881
------------
CHEMICALS -- 0.3%
2,900 Dow Chemical Company................. 280,394
14,700 Millennium Chemicals Inc. ........... 497,962
5,800 Wellman, Inc. ....................... 131,587
------------
909,943
------------
COMMERCIAL SERVICES -- 0.2%
16,300 Ogden Corporation.................... 451,306
------------
COMPUTER -- 0.1%
11,472 Compaq Computer Corporation.......... 325,518
------------
CONSUMER GOODS -- DURABLES -- 0.4%
24,900 Cooper Tire and Rubber Company....... 513,563
8,400 Whirlpool Corporation................ 577,500
------------
1,091,063
------------
DOMESTIC INVESTMENT COMPANIES -- 0.4%
13,400 Blackrock Strategic Term Trust,
Inc. .............................. 117,250
13,400 Blackrock 2001 Term Trust, Inc. ..... 118,087
19,900 Gabelli Equity Trust, Inc. .......... 233,825
23,400 Gabelli Global Multimedia Trust,
Inc. .............................. 236,925
24,235 Royce Value Trust.................... 399,878
------------
1,105,965
------------
ELECTRONICS -- 0.3%
13,100 Avnet, Inc. ......................... 716,406
------------
ENGINEERING/CONSTRUCTION -- 0.4%
23,000 Fluor Corporation.................... 1,173,000
------------
FINANCIAL SERVICES -- 4.0%
11,500 Ahmanson (H.F.) & Company............ 816,500
34,257 Bear Stearns Companies, Inc. ........ 1,948,367
16,040 Charter One Financial, Inc. ......... 540,347
9,400 Countrywide Credit Industries,
Inc. .............................. 477,050
39,000 Edwards (A.G.), Inc. ................ 1,664,812
10,800 GATX Corporation..................... 473,850
13,400 Morgan Stanley, Dean Witter, Discover
and Company........................ 1,224,425
8,100 PIMCO Advisors....................... 276,413
38,000 Paine Webber Group Inc. ............. 1,629,250
13,800 Quinenco S.A., ADR................... 124,200
28,500 Ryder System, Inc. .................. $ 899,531
21,300 St. Paul Bancorp, Inc. .............. 895,931
------------
10,970,676
------------
FOOD AND BEVERAGES -- 0.2%
19,000 Coors (Adolph) Company, Class B...... 646,000
------------
FOREIGN INVESTMENT FUNDS -- 1.3%
9,700 AIM Eastern Europe Fund.............. 77,600
10,200 Argentina Fund, Inc. ................ 110,925
9,700 Brazil Fund Inc. .................... 175,812
14,307 Central European Equity Fund......... 230,700
14,000 Chile Fund, Inc. .................... 189,875
12,400 Emerging Markets Telecommunications
Fund............................... 155,000
38,000 Emerging Markets Infrastructure
Fund, Inc. ........................ 370,500
10,500 Emerging Mexico Fund, Inc. .......... 83,344
4,900 France Growth Fund, Inc. ............ 73,806
10,800 The India Fund Inc. ................. 68,850
6,700 Italy Fund, Inc. .................... 90,450
2,500 Mexico Equity and Income Fund........ 20,313
25,700 Mexico Fund.......................... 375,862
21,600 Morgan Stanley Emerging Markets Fund,
Inc. .............................. 202,500
16,000 Morgan Stanley India Investment Fund,
Inc. .............................. 103,000
12,800 Portugal Fund, Inc. ................. 257,600
23,000 Scudder New Europe Fund.............. 483,000
13,000 Swiss Helvetia Fund.................. 416,000
------------
3,485,137
------------
HOMEBUILDING -- 0.1%
11,900 Kaufman & Broad Home Corporation..... 377,825
------------
INSURANCE -- 2.7%
15,400 Allstate Corporation................. 1,410,063
21,300 Conseco Inc. ........................ 995,775
7,000 Hartford Financial Services Group,
Inc. .............................. 800,625
9,700 Horace Mann Educators Corporation.... 334,650
11,200 Loews Corporation.................... 975,800
26,400 Old Republic International
Corporation........................ 773,850
15,000 Orion Capital Corporation............ 838,125
12,200 Reliance Group Holdings, Inc. ....... 213,500
11,900 ReliaStar Financial Corporation...... 571,200
11,000 Selective Insurance Group, Inc. ..... 246,469
3,900 Travelers Group, Inc. ............... 236,437
------------
7,396,494
------------
IRON/STEEL -- 0.2%
26,000 AK Steel Holding Corporation......... 464,750
------------
MARINE TRANSPORTATION -- 0.1%
7,700 Sea Containers, Ltd., Class A........ 294,525
------------
METAL MINING -- 1.0%
12,600 Asarco, Inc. ........................ 280,350
28,200 British Steel PLC, ADR............... 641,550
3,900 Cleveland-Cliffs, Inc. .............. 210,356
15,200 Cyprus Amax Minerals Company......... 201,400
3,500 Quanex Corporation................... 106,094
39,400 USX-US Steel Group, Inc. ............ 1,300,200
------------
2,739,950
------------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 0.2%
16,300 Tidewater Inc. ...................... 537,900
3,400 Transocean Offshore Inc. ............ 151,300
------------
689,200
------------
</TABLE>
See Notes to Financial Statements.
72
<PAGE> 75
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
OIL AND GAS EXTRACTION -- 1.0%
17,250 Columbia Gas System.................. $ 959,531
10,000 Equitable Resources Inc. ............ 305,000
47,000 Y.P.F. Sociedad Anonima, ADR......... 1,412,938
------------
2,677,469
------------
PAPER AND FOREST PRODUCTS -- 1.0%
28,500 Bowater Inc. ........................ 1,346,625
9,700 Fort James Corporation............... 431,650
9,800 Georgia-Pacific Group................ 577,588
14,700 Mead Corporation..................... 466,725
------------
2,822,588
------------
PETROLEUM -- 2.2%
22,200 Ashland Inc. ........................ 1,146,075
1,600 Elf Aquitaine, ADR................... 113,600
13,300 Helmerich & Payne Inc. .............. 305,900
10,200 Murphy Oil Corporation............... 517,012
19,200 Occidental Petroleum Corporation..... 518,400
18,100 Pennzoil Company..................... 916,312
41,700 Sun Company, Inc. ................... 1,618,481
24,300 USX-Marathon Group................... 833,794
------------
5,969,574
------------
PRODUCER/MANUFACTURING -- 2.9%
5,900 Aeroquip-Vickers Inc. ............... 344,413
13,200 Borg-Warner Automotive, Inc. ........ 634,425
14,000 Cincinnati Milacron Inc. ............ 341,250
20,500 Cummins Engine Company, Inc. ........ 1,050,625
8,400 Dexter Corporation................... 267,225
15,900 Fortune Brands, Inc. ................ 611,156
13,200 Johnson Controls Inc. ............... 753,225
11,300 Kennametal Inc. ..................... 471,775
25,100 Herman Miller, Inc. ................. 610,244
8,300 PACCAR Inc. ......................... 433,675
19,400 Parker-Hannifin Corporation ......... 739,625
29,200 Timken Company....................... 899,725
21,600 Trinity Industries, Inc ............. 896,400
------------
8,053,763
------------
REAL ESTATE INVESTMENT TRUST -- 0.6%
10,500 Camden Property Trust................ 312,375
19,100 Crescent Real Estate Equities
Company............................ 642,238
5,600 Excel Industries, Inc. .............. 162,050
9,700 Felcor Suite Hotels Inc. ............ 304,338
8,500 Reckson Associates Realty
Corporation........................ 200,812
4,080 Reckson Service Industries, Inc.+.... 13,515
------------
1,635,328
------------
RECREATIONAL PRODUCTS/TOYS -- 0.4%
21,100 Brunswick Corporation................ 520,906
11,500 Fleetwood Enterprises, Inc. ......... 460,000
------------
980,906
------------
RESTAURANTS -- 0.2%
11,300 Bob Evans Farms, Inc. ............... 239,419
18,600 Wendy's International Inc. .......... 437,100
------------
676,519
------------
RETAIL, TRADE AND SERVICES -- 0.8%
14,000 Fingerhut Companies, Inc. ........... 462,000
8,200 Proffitt's, Inc.+.................... 331,075
10,400 Ross Stores Inc. .................... 447,200
19,400 Supervalu, Inc. ..................... 860,875
------------
2,101,150
------------
TECHNOLOGY -- 2.1%
10,200 Applied Materials Inc. .............. $ 300,900
23,400 Dell Computer Corporation............ 2,171,813
13,200 Harris Corporation................... 589,875
11,800 Intel Corporation.................... 874,675
16,300 Microsoft Corporation+............... 1,766,513
------------
5,703,776
------------
TELECOMMUNICATIONS -- 1.5%
13,400 BCE, Inc. ........................... 572,012
12,100 Telebras, ADR........................ 1,321,169
25,500 Telefonica de Argentina S.A., ADR.... 827,156
6,000 Telefonica de Espana, ADR............ 834,375
11,800 Telefonos de Mexico S.A., ADR........ 567,137
------------
4,121,849
------------
TEXTILES -- 0.2%
16,800 Interface, Inc. ..................... 339,150
19,600 Shaw Industries, Inc. ............... 345,450
------------
684,600
------------
TOBACCO -- 0.4%
30,600 RJR Nabisco Holdings Corporation..... 724,837
7,400 Universal Corporation................ 276,575
------------
1,001,412
------------
TRANSPORTATION -- 1.4%
12,600 Burlington Northern Santa Fe
Corporation........................ 1,237,163
19,900 CNF Transportation Inc. ............. 845,750
19,900 Canadian Pacific, Ltd. .............. 564,663
5,580 FDX Corporation+..................... 350,145
21,000 Laidlaw Inc. ........................ 255,938
19,000 US Freightways Corporation........... 624,031
------------
3,877,690
------------
UTILITY -- 5.6%
28,600 CMS Energy Corporation............... 1,260,187
17,300 Consolidated Edison Inc. ............ 796,881
18,800 DQE Inc. ............................ 676,800
19,800 DTE Energy Company................... 799,425
36,700 Edison International................. 1,084,943
32,000 Energy East Corporation.............. 1,332,000
12,200 FPL Group Inc. ...................... 768,600
13,900 First Energy Corporation+............ 427,425
33,100 GPU, Inc. ........................... 1,251,594
28,500 PECO Energy Company.................. 835,406
38,400 PG&E Corporation..................... 1,212,000
29,000 Pinnacle West Capital Corporation.... 1,305,000
27,100 PP&L Resources, Inc. ................ 614,831
22,700 Public Service Company of New
Mexico............................. 515,006
5,900 Sierra Pacific Resources............. 214,244
31,900 Southern Company..................... 883,231
22,100 Texas Utilities Company.............. 919,913
15,700 UtiliCorp United, Inc. .............. 591,694
------------
15,489,180
------------
Total Common Stocks
(Cost $82,981,421)................. 98,172,613
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 46.0%
U.S. TREASURY BOND -- 6.7%
$6,000,000 10.750% due 05/15/2003................. 7,312,379
3,700,000 7.250% due 08/15/2022.................. 4,429,899
2,900,000 7.500% due 11/15/2024.................. 3,598,204
2,800,000 6.375% due 08/15/2027.................. 3,077,816
------------
18,418,298
------------
</TABLE>
See Notes to Financial Statements.
73
<PAGE> 76
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (CONTINUED)
U.S. TREASURY NOTES -- 39.3%
$31,000,000 6.250% due 08/31/2000.................. $ 31,459,417
13,500,000 7.500% due 02/15/2005.................. 14,940,990
3,100,000 6.500% due 05/15/2005.................. 3,273,352
21,800,000 6.875% due 05/15/2006.................. 23,605,692
13,900,000 6.500% due 10/15/2006.................. 14,756,795
18,900,000 6.625% due 05/15/2007.................. 20,281,210
------------
108,317,456
------------
Total U.S. Treasury Obligations
(Cost $122,435,540).................. 126,735,754
------------
</TABLE>
<TABLE>
<C> <S> <C> <C>
COMMERCIAL PAPER -- 16.7%
11,200,000 Goldman Sachs
5.685%++ 07/01/1998.................. 11,200,000
13,200,000 Merrill Lynch,
5.640%++ 07/01/1998.................. 13,200,000
10,000,000 Pharmacia & Upjohn,
5.691%++ 07/08/1998.................. 9,989,111
11,500,000 Sara Lee Corporation,
6.135%++ 07/01/1998.................. 11,500,000
------------
Total Commercial Paper
(Cost $45,889,111)................... 45,889,111
------------
TOTAL INVESTMENTS (COST $251,306,072*)....... 98.4% 270,797,478
OTHER ASSETS AND LIABILITIES (NET)........... 1.6 4,465,923
----- ------------
NET ASSETS................................... 100.0% $275,263,401
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
74
<PAGE> 77
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 49.1%
BANKS -- 0.2%
51 Bank International Settlements
America............................. $ 335,105
------------
BUILDING/CONSTRUCTION -- 0.4%
58,000 Johns Manville Corporation............ 873,625
------------
CONSUMER DURABLES -- 1.0%
31,000 Corning Inc. ......................... 1,077,250
28,000 Polaroid Corporation.................. 995,750
------------
2,073,000
------------
CONSUMER PRODUCTS -- 1.7%
10,000 Cross (A.T.) Company, Class A......... 148,750
17,500 Hanson PLC, ADR....................... 530,469
72,000 Philip Morris Companies, Inc. ........ 2,835,000
7,000 Tupperware Corporation................ 196,875
------------
3,711,094
------------
DIVERSIFIED HOLDINGS -- 0.1%
44,688 BTR PLC............................... 127,591
131,850 Lonrho Africa PLC.+................... 161,810
------------
289,401
------------
ELECTRICAL EQUIPMENT -- 0.2%
5,000 AMP Inc. ............................. 171,875
12,000 Exide Corporation..................... 201,750
------------
373,625
------------
ENERGY AND UTILITIES -- 8.1%
201,000 First Energy Corporation+............. 6,180,750
70,000 Kansas City Power & Light Company..... 2,030,000
388,000 Niagara Mohawk Power Corporation...... 5,795,750
94,000 Unicom Corporation.................... 3,295,875
------------
17,302,375
------------
EXPLORATION AND PRODUCTION -- 0.5%
52,500 Mitchell Energy & Development
Corporation, Class B................ 1,010,625
------------
FINANCIAL SERVICES -- 0.8%
11,500 Fund American Enterprise Holdings..... 1,702,000
------------
FOOD-PROCESSING -- 0.6%
35,000 McCormick & Company, Inc. ............ 1,250,156
------------
FOREST PRODUCTS AND PAPER -- 0.7%
32,000 Weyerhaeuser Company.................. 1,478,000
------------
GENERAL MERCHANDISER -- 0.4%
30,000 Hills Stores Company+................. 172,500
13,000 Wal-Mart Stores, Inc. ................ 789,750
------------
962,250
------------
HEALTH CARE -- 0.7%
7,500 Pharmacia & Upjohn, Inc. ............. 345,938
505,000 Smith & Nephew PLC.................... 1,260,582
------------
1,606,520
------------
HOTELS -- 0.3%
43,000 Circus C Enterprises Inc.+............ 728,313
------------
INFORMATION PROCESSING -- 0.3%
6,400 International Business Machines
Corporation......................... 734,800
------------
INSURANCE -- 5.5%
8,500 Aetna Inc. ........................... 647,063
49,500 Leucadia National Corporation......... 1,636,594
82,000 Loews Corporation..................... 7,144,250
18,000 Unitrin, Inc.......................... 1,251,000
90,000 Willis Corroon Group PLC, ADR......... 1,130,625
------------
11,809,532
------------
LEISURE ENTERTAINMENT -- 0.5%
31,000 Readers Digest Association, Inc.,
Class A............................. $ 840,875
10,000 Readers Digest Association, Inc.,
Class B............................. 271,250
------------
1,112,125
------------
MEDIA -- COMMUNICATIONS -- 7.7%
67,000 Chris-Craft Industries Inc............ 3,664,062
30,000 Meredith Corporation.................. 1,408,125
52,000 New York Times Company, Class A....... 4,121,000
22,966 Time Warner Inc. ..................... 1,962,158
9,300 Washington Post Company, Class B...... 5,356,800
------------
16,512,145
------------
MINING -- 2.6%
82,000 Homestake Mining Company.............. 850,750
5,000 Inco Ltd. ............................ 68,125
197,750 Lonrho Ltd. .......................... 942,673
113,000 Newmont Mining Corporation............ 2,669,625
156,100 Prime Resources Group, Inc., ADR...... 1,094,097
------------
5,625,270
------------
PAPER AND ALLIED PRODUCTS -- 1.6%
171,000 Domtar Inc. .......................... 1,154,250
209,000 MacMillan Bloedel Ltd. ............... 2,220,625
------------
3,374,875
------------
PETROLEUM -- DOMESTIC -- 6.3%
161,000 Amerada Hess Corporation.............. 8,744,312
15,500 Atlantic Richfield Company............ 1,210,937
5,500 Kerr-McGee Corporation................ 318,313
63,000 Murphy Oil Corporation................ 3,193,312
------------
13,466,874
------------
PETROLEUM -- INTERNATIONAL -- 1.7%
60,000 Texaco Inc. .......................... 3,581,250
------------
PHARMACEUTICALS -- 2.3%
59,000 Genentech Inc.+....................... 4,004,625
9,500 Schering-Plough Corporation........... 870,437
------------
4,875,062
------------
SPECIALTY CHEMICALS -- 1.9%
77,000 Great Lakes Chemical Corporation...... 3,036,688
54,000 Octel Corporation+.................... 1,073,250
------------
4,109,938
------------
SPECIALTY MERCHANDISERS -- 1.5%
4,500 Nine West Group Inc.+................. 120,656
487,500 Petrie Stores Corporation+............ 1,394,250
38,000 Reebok International Ltd.+............ 1,052,125
28,500 Toys R Us Inc.+....................... 671,531
------------
3,238,562
------------
TELECOMMUNICATION -- 1.0%
37,000 MCI Communications Corporation........ 2,150,625
------------
TRANSPORTATION SERVICES -- 0.5%
56,000 Overseas Shipholding Group Inc. ...... 1,141,000
------------
Total Common Stocks
(Cost $87,105,127).................. 105,428,147
------------
PREFERRED STOCKS -- 4.8%
ELECTRIC UTILITIES -- 2.2%
25,000 Cleveland Electric Illuminating
Company, Prfd., Series L............ 2,500,000
150 Cleveland Electric Illuminating
Company, Prfd., Series R............ 162,210
350 Cleveland Electric Illuminating
Company, Prfd., Series S............ 380,055
</TABLE>
See Notes to Financial Statements.
75
<PAGE> 78
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
PREFERRED STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- (CONTINUED)
8,772 Entergy Gulf States Utilities Inc.,
Prfd., Series B..................... $ 443,534
3,000 Niagara Mohawk Power Corporation,
Prfd., Series B..................... 74,250
8,500 Niagara Mohawk Power Corporation,
Prfd., Series C..................... 211,969
19,500 Union Pac Cap Conv. Prfd.**........... 918,937
------------
4,690,955
------------
FINANCIAL -- 1.0%
40,000 Kemper Corporation, Series E, Conv.
Prfd.**............................. 2,080,000
------------
PAPER AND ALLIED PRODUCTS -- 0.1%
3,250 International Paper Company, Conv.
Prfd. .............................. 159,250
------------
REAL ESTATE -- 1.5%
68,500 Rouse Company, Class B, Conv.
Prfd. .............................. 3,407,875
------------
Total Preferred Stocks
(Cost $9,077,395)................... 10,338,080
------------
<CAPTION>
PRINCIPAL
AMOUNT
- ----------
<C> <S> <C>
CONVERTIBLE BONDS AND NOTES -- 18.3%
AUTOMOBILE PARTS -- 0.6%
Pep Boys - Manny, Moe & Jack, Conv.:
$ 900,000 4.000% due 09/01/1999................. 884,250
850,000 Zero coupon due 09/20/2011............ 466,438
------------
1,350,688
------------
COMMERCIAL SERVICES -- 0.0%#
100,000 Ogden Corporation, Conv.,
5.750% due 10/20/2002............... 98,500
------------
COMPUTER SERVICE AND SOFTWARE -- 1.8%
4,100,000 Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012.......... 3,782,250
------------
ELECTRIC UTILITIES -- 0.7%
1,450,000 Potomac Electrical Power Company,
Conv.,
5.000% due 09/01/2002............... 1,408,313
------------
FINANCIAL SERVICES -- 0.7%
360,000 Deutsche Bank Financial, Inc., Conv.,
Zero coupon due 02/12/20017***...... 200,700
900,000 Lonrho PLC, Conv.,
6.000% due 02/27/2004............... 1,384,390
------------
1,585,090
------------
HOTELS/MOTELS -- 0.4%
1,275,000 Marriott International, Inc., Conv.,
Zero coupon due 03/25/2011.......... 843,094
------------
INDUSTRIAL -- 10.2%
2,925,000 Chiron Corporation, Conv.,
1.900% due 11/17/2000............... 2,701,969
400,000 Clear Channel Communications, Conv.,
2.625% due 04/01/2003............... 434,500
360,000 Exide Corporation, Conv.,
2.900% due 12/15/2005**............. 224,100
Inco Ltd., Conv.:
3,400,000 5.750% due 07/01/2004............... 3,136,500
450,000 7.750% due 03/15/2016............... 433,125
250,000 Interpublic Group, Conv.,
1.800% due 09/16/2004**............. 235,000
925,000 National Semiconductor, Conv.,
6.500% due 10/01/2002............... 848,688
1,375,000 News America Holdings, Conv.,
Zero coupon due 03/11/2013.......... 935,000
$ 835,000 Phycor Inc., Conv.,
4.500% due 02/15/2003............... $ 698,269
4,900,000 Roche Holdings Inc., Conv.,
Zero coupon due 05/06/2012**........ 2,388,750
1,415,000 Teck Corporation, Conv.,
3.750% due 07/15/2006............... 1,086,012
400,000 Thomas Nelson Inc., Conv.,
5.750% due 11/30/1999**............. 398,000
10,600,000 Times Mirror Company, Conv.,
Zero coupon due 04/15/2017.......... 4,756,750
3,700,000 WMX Technologies Inc., Conv.,
2.000% due 01/24/2005............... 3,672,250
------------
21,948,913
------------
MINING -- 0.9%
Homestake Mining Company, Conv.:
100,000 5.500% due 06/23/2000............... 96,000
1,975,000 5.500% due 06/23/2000**............. 1,896,000
------------
1,992,000
------------
PETROLEUM -- 0.0%#
104,000 Shell Oil Company, Conv.,
7.250% due 02/15/2002............... 104,130
------------
PHARMACEUTICALS -- 0.4%
600,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004............... 546,000
250,000 Merck & Co., Inc.,
5.760% due 05/03/2037............... 253,750
------------
799,750
------------
REAL ESTATE -- 1.0%
1,925,000 Rouse Company, Conv.,
5.750% due 07/23/2002............... 2,146,375
------------
RETAIL -- SPECIAL LINE -- 0.2%
450,000 Office Depot Inc., Conv.:
Zero coupon due 11/01/2008.......... 348,187
------------
TELECOMMUNICATIONS -- 0.8%
4,400,000 U.S. Cellular Corporation, Conv.,
Zero coupon due 06/15/2015.......... 1,672,000
------------
UTILITY -- TELEPHONE -- 0.6%
1,245,000 Bellsouth Telecommunications,
5.850 due 11/15/2045................ 1,251,225
------------
Total Convertible Bonds and Notes
(Cost $36,188,320).................. 39,330,515
------------
CORPORATE NOTE -- 0.4%
(Cost $752,824)
750,000 First National Bank of Chicago Note,
5.750%++ due 05/10/1999............. 752,824
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.9%
1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001............... 1,038,220
500,000 Federal National Mortgage Association,
6.375% due 01/16/2002............... 511,150
Tennessee Valley Authority Power,
5,700,000 5.880% due 04/01/2036............... 5,871,000
1,400,000 5.980% due 04/01/2036............... 1,442,000
3,600,000 6.235% due 07/15/2045............... 3,730,500
------------
Total U.S. Government Agency
Obligations
(Cost $12,383,332).................. 12,592,870
------------
</TABLE>
See Notes to Financial Statements.
76
<PAGE> 79
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
U.S. TREASURY NOTES -- 5.2%
$4,000,000 5.500% due 02/28/1999................. $ 4,001,960
4,800,000 5.875% due 02/15/2000................. 4,825,728
500,000 6.125% due 07/31/2000................. 506,039
600,000 6.250% due 04/30/2001................. 611,274
1,100,000 6.250% due 10/31/2001................. 1,123,034
------------
Total U.S. Treasury Notes
(Cost $11,049,386).................. 11,068,035
------------
COMMERCIAL PAPER -- 15.2%
5,500,000 British Colombia,
5.621%++ due 07/10/1998............. 5,492,438
2,770,000 Canadian Wheat Board,
5.625%++ due 07/15/1998............. 2,764,075
Ciesco:
3,393,000 6.287%++ due 07/01/1998............. 3,393,000
5,000,000 5.625%++ due 07/17/1998............. 4,987,778
100,000 CommerzBank,
5.700%++ due 09/10/1998............. 100,006
5,010,000 Dupont,
5.620%++ due 07/09/1998............. 5,003,877
1,000,000 Finova Capital,
5.646%++ due 07/07/1998............. 999,077
1,455,000 General Electric Capital,
5.663%++ due 07/23/1998............. 1,450,056
2,090,000 IBM Credit Capital,
5.600%++ due 07/08/1998............. 2,087,765
500,000 Island Finance Puerto Rico,
5.667%++ due 08/11/1998............. 496,851
1,841,000 Kellog Company,
5.614%++ due 07/21/1998............. 1,835,364
100,000 Merrill Lynch,
5.710%++ due 09/04/1998............. 99,003
3,025,000 Metlife Funding,
5.603%++ due 07/10/1998............. 3,020,841
930,000 Statoil,
5.681%++ due 08/27/1998............. 921,857
------------
Total Commercial Paper
(Cost $32,651,979).................. 32,651,988
------------
CERTIFICATE OF DEPOSIT -- 0.5%
(Cost $1,006,884)
1,000,000 Credit Agricole Indosuez,
5.750 due 04/16/1999................ 1,000,035
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
- --------- ---------- ------
<C> <S> <C> <C> <C>
PUT STOCK OPTIONS PURCHASED -- 0.3%
40 AIZA, Class B....... 07/18/1998 $ 40 $ 1,250
50 AMP, Class B........ 11/21/1998 45 53,750
40 Automotive Data,
Class B........... 11/21/1998 75 19,000
21 Clear Channel,
Class B........... 01/16/1999 110 20,344
8 Clear Channel
Communication..... 01/16/1999 120 12,500
40 International
Business Machines
Corporation,
Class B........... 07/18/1998 120 22,000
40 International
Business Machines
Corporation,
Class B........... 01/16/1999 130 71,500
10 News Corporation,
Class B........... 07/18/1998 30 313
43 News Corporation,
Class B........... 10/17/1998 30 3,628
45 Nine West, Class
B................. 09/19/1998 30 17,719
35 Pharmacia &
Upjohn............ 10/17/1998 50 18,156
40 Pharmacia & Upjohn,
Class B........... 01/16/1999 40 23,500
50 Reebok
International..... 01/16/1999 35 6,875
10 Rouse, Class B...... 07/18/1998 40 8,500
40 Schering-Plough
Corporation,
Class B........... 08/22/1998 65 1,000
45 Schering-Plough
Corporation,
Class B........... 11/21/1998 95 33,750
50 Schering-Plough
Corporation,
Class B........... 11/22/1998 90 26,250
70 Time Warner Inc.,
Class B........... 09/19/1998 80 10,937
90 Time Warner Inc.,
Class B........... 12/19/1998 85 39,937
50 Time Warner Inc.,
Class B........... 12/19/1998 95 53,125
70 Tupperware, Class
B................. 10/17/1998 30 22,750
40 Wal-Mart Stores
Inc., Class B..... 09/19/1998 43 500
40 Wal-Mart Stores
Inc., Class B..... 09/19/1998 55 4,000
90 Wal-Mart Stores
Inc., Class B..... 12/19/1998 60 28,125
40 Wal-Mart Stores
Inc., Class B..... 12/19/1998 65 21,500
90 Worldcom, Class B... 09/19/1998 50 32,625
80 Worldcom, Class B... 09/19/1998 37.50 3,000
320 Worldcom, Class B... 12/19/1998 50 132,000
50 Worldcom, Class B... 01/16/1999 55 38,125
------------
Total Put Stock Options
Purchased (Cost $1,304,806)... 726,659
------------
TOTAL INVESTMENTS (COST $191,520,053*)........ 99.7% 213,889,153
OTHER ASSETS AND LIABILITIES (NET)............ 0.3 631,198
----- ------------
NET ASSETS.................................... 100.0% $214,520,351
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Illiquid security (see Note 4).
*** Security is exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
77
<PAGE> 80
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
CORPORATE DEBT SECURITIES -- 41.5%
AIRLINES -- 2.1%
$ 1,330,000 AMR Corporation,
9.500% due 05/15/2001............... $ 1,446,375
-----------
BANKS -- 2.9%
1,000,000 Northern Trust Capital,
6.176%+++ due 01/15/2027............ 986,600
1,000,000 Societe Generale,
5.750% due 08/04/1998............... 999,790
-----------
1,986,390
-----------
BROKERAGE -- 2.0%
1,320,000 Paine Webber Group Inc.,
8.250% due 05/01/2002............... 1,409,100
-----------
FINANCIAL SERVICES -- 14.3%
2,000,000 Aristar Inc., 6.500% due 11/15/2003... 2,022,500
1,500,000 Chrysler Financial Corporation, 5.850%
due 01/26/2001...................... 1,496,250
530,000 First Fidelity Bancorp, 9.625% due
08/15/1999.......................... 549,875
2,245,000 Ford Motor Credit Company, 6.550% due
09/10/2002.......................... 2,289,900
490,000 KFW International Finance Inc., 9.125%
due 05/15/2001...................... 531,038
2,000,000 Lehman Brothers Holdings, 6.150% due
03/15/2000.......................... 2,005,000
1,000,000 MBNA Global Capital Securities,
6.519%+++ due 02/01/2027............ 949,980
-----------
9,844,543
-----------
INDUSTRIAL -- 7.7%
2,000,000 Boise Cascade Corporation, 9.850% due
06/15/2002.......................... 2,242,500
1,000,000 Hercules Inc., 6.150% due
08/01/2000.......................... 1,005,000
1,000,000 Ingersoll-Rand Company, MTN, 6.540%
due 08/24/1998...................... 1,001,133
1,000,000 Raytheon Company, 6.450% due
08/15/2002.......................... 1,015,000
-----------
5,263,633
-----------
PETROLEUM -- 2.7%
525,000 Burlington Resources, Inc., 7.150% due
05/01/1999.......................... 530,250
1,250,000 Sun Company Inc., 7.950% due
12/15/2001.......................... 1,315,625
-----------
1,845,875
-----------
PUBLISHING -- 1.6%
1,000,000 News America Holdings Inc., 8.625% due
02/01/2003.......................... 1,092,500
-----------
RETAIL/APPAREL -- 2.3%
1,000,000 Limited Inc., 9.125% due 02/01/2001... 1,065,000
500,000 Penney J.C., & Company, 6.950% due
04/01/2000.......................... 508,750
-----------
1,573,750
-----------
TELEPHONE -- 3.1%
2,000,000 Worldcom Inc., 9.375% due
01/15/2004.......................... 2,132,500
-----------
UTILITY/ELECTRIC -- 2.8%
1,000,000 Great Lakes Power Inc., 8.900% due
12/01/1999.......................... 1,035,000
850,000 Southern California Edison Company,
6.500% due 06/01/2001............... 862,750
-----------
1,897,750
-----------
Total Corporate Debt Securities
(Cost $28,247,412).................. 28,492,416
-----------
FOREIGN BONDS -- U.S. DOLLAR DENOMINATED -- 3.6%
GOVERNMENT -- 1.5%
1,000,000 Republic of Colombia, 8.750% due
10/06/1999.......................... 1,020,000
-----------
PAPER AND FOREST PRODUCTS -- 1.6%
1,060,000 Carter Holt Harvey Ltd., 7.625% due
04/15/2002.......................... 1,109,025
-----------
WASTE MANAGEMENT -- 0.5%
310,000 Laidlaw Inc., 7.700% due 08/15/2002... 325,500
-----------
Total Foreign Bonds -- U.S. Dollar
Denominated (Cost $2,446,684)....... 2,454,525
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.8%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.0%#
FHLMC:
7,722 Pool #350042, 7.250%+++ due
01/01/2017.......................... 7,866
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 0.4%
FNMA:
6,761 Pool #044026, 8.500% due 08/01/2006... 7,050
12,968 Pool #048832, 10.000% due
06/01/2017.......................... 14,058
92,542 Pool #070355, 8.500% due 03/01/2004... 96,504
141,264 Pool #127336, 8.500% due 08/01/2006... 147,311
31,326 Series #1991-121, Class F, 5.987%+++
due 09/25/2098...................... 31,327
-----------
296,250
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.4%
GNMA:
5,145 Pool #147899, 10.000% due
02/15/2016.......................... 5,624
6,394 Pool #161670, 9.500% due 09/15/2016... 6,909
13,220 Pool #284666, 9.500% due 03/15/2020... 14,286
24,839 Pool #286024, 10.000% due
04/15/2020.......................... 27,153
170,330 Pool #308911, 9.500% due 07/15/2021... 184,063
-----------
238,035
-----------
Total U.S. Government Agency
Obligations (Cost $517,194)......... 542,151
-----------
U.S. TREASURY OBLIGATIONS -- 41.5%
U.S. TREASURY NOTES:
5,000,000 6.000% due 06/30/1999................. 5,024,800
6,000,000 5.375% due 02/15/2001................. 5,979,960
10,000,000 6.625% due 06/30/2001................. 10,292,900
</TABLE>
See Notes to Financial Statements.
78
<PAGE> 81
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- (CONTINUED)
U.S. TREASURY NOTES -- (CONTINUED)
$ 5,000,000 6.625% due 04/30/2002................. $ 5,182,650
2,000,000 5.500% due 04/30/2003................. 1,998,260
-----------
Total U.S. Treasury Obligations
(Cost $28,044,074).................. 28,478,570
-----------
DISCOUNT COMMERCIAL PAPER -- 10.0%
1,385,000 Merck & Company,
5.881%++ due 07/01/1998............. 1,385,000
2,428,000 Oyster Creek,
5.885%++ due 07/06/1998............. 2,426,044
3,020,000 PHH Corporation, 5.871%++ due
07/02/1998.......................... 3,019,514
-----------
Total Discount Commercial Paper
(Cost $6,830,558)................... 6,830,558
-----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (COST $66,085,922*)......... 97.4% 66,798,220
OTHER ASSETS AND LIABILITIES (NET)............ 2.6 1,808,056
----- -----------
NET ASSETS.................................... 100.0% $68,606,276
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase.
+++ Floating rate security. Rate shown is rate in effect at 06/30/1998.
# Amount represents less than 0.1%.
GLOSSARY OF TERMS
MTN -- Medium Term Note
See Notes to Financial Statements.
79
<PAGE> 82
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIQUID ASSET SERIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 89.3%
AEROSPACE -- 4.2%
$5,000,000 AlliedSignal Inc.,
5.638%+ due 09/11/1998............. $ 4,945,000
------------
AUTOMOTIVE -- 7.8%
Daimler-Benz Aktieng:
2,010,000 5.594%+ due 07/10/1998............. 2,007,231
3,000,000 5.628%+ due 08/18/1998............. 2,977,960
Ford Motor Company:
618,000 5.570%+ due 08/11/1998............. 614,157
3,650,000 5.571%+ due 08/12/1998............. 3,626,750
------------
9,226,098
------------
BEVERAGES -- 4.4%
1,503,000 Anheuser-Busch Companies, Inc.,
5.485%+ due 07/01/1998............. 1,503,000
Coca-Cola Company:
782,000 5.564%+ due 07/22/1998............. 779,505
3,000,000 5.596%+ due 08/17/1998............. 2,978,537
------------
5,261,042
------------
CHEMICALS -- 2.5%
3,000,000 du Pont (E.I.) De Nemours & Company
5.577%+ due 07/14/1998............. 2,994,052
------------
COMMERCIAL SERVICES -- 3.1%
3,680,000 PHH Corporation
5.728%+ due 08/03/1998............. 3,661,042
------------
COMPUTERS -- 3.1%
3,650,000 International Business Machines
Corporation,
5.562%+ due 08/13/1998............. 3,626,240
------------
FINANCIAL SERVICES -- 20.9%
3,321,000 Cargill Inc.,
5.574%+ due 07/22/1998............. 3,310,384
3,000,000 Caterpillar Financial Services
Corporation,
5.587%+ due 08/06/1998............. 2,983,560
3,223,000 Eksport Finances,
5.606%+ due 08/05/1998............. 3,205,766
General Electric Capital Corporation:
2,500,000 5.569%+ due 07/16/1998............. 2,494,292
2,500,000 5.600%+ due 09/14/1998............. 2,471,562
3,000,000 Motorola Credit,
5.596%+ due 07/24/1998............. 2,989,458
3,300,000 Toyota Motor Credit Corporation,
5.572%+ due 07/20/1998............. 3,290,456
1,345,000 Toyota Motor Credit Corporation,
5.586%+ due 07/24/1998............. 1,340,282
2,647,000 Trans America Finance Corporation,
5.610%+ due 07/29/1998............. 2,635,656
------------
24,721,416
------------
FOODS -- 11.0%
3,760,000 Archer-Daniels-Midland Company,
5.579%+ due 07/28/1998............. 3,744,546
2,500,000 Heinz Company,
5.566%+ due 07/13/1998............. 2,495,433
Hershey Foods Corporation:
2,048,000 5.570%+ due 07/17/1998............. 2,043,012
2,500,000 5.598%+ due 08/19/1998............. 2,481,353
2,250,000 Nestle Capital Corporation,
5.531%+ due 07/08/1998............. 2,247,616
------------
13,011,960
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
FOREIGN BANKS -- 3.9%
$2,110,000 Abbey National
5.557%+ due 07/02/1998............. $ 2,109,679
2,500,000 Toronto Dominion,
5.611%+ due 08/10/1998............. 2,484,722
------------
4,594,401
------------
FOREIGN GOVERNMENT -- 1.4%
1,635,000 Sweden (Kingdom of),
5.510%+ due 07/06/1998............. 1,633,767
------------
HEALTH CARE -- 2.6%
3,105,000 Schering Corporation,
5.688%+ due 07/13/1998............. 3,099,204
------------
MULTIMEDIA -- 2.8%
Disney (Walt) Company:
1,694,000 5.521%+ due 07/07/1998............. 1,692,464
1,581,000 5.547%+ due 08/20/1998............. 1,569,077
------------
3,261,541
------------
OFFICE EQUIPMENT -- 7.6%
Eastman Kodak:
2,000,000 5.588%+ due 07/15/1998............. 1,995,722
2,231,000 5.585%+ due 07/23/1998............. 2,223,515
Xerox Corporation:
2,290,000 11.177%+ due 07/09/1998............ 2,287,206
2,500,000 5.614%+ due 07/21/1998............. 2,492,333
------------
8,998,776
------------
RETAIL -- 1.6%
1,953,000 Toys R Us,
5.598%+ due 08/07/1998............. 1,941,980
------------
SECURITIES BROKERAGE -- 8.0%
3,978,000 Goldman, Sachs & Company
5.624%+ due 08/14/1998............. 3,951,210
Merrill Lynch, Pierce, Fenner & Smith
Inc.:
2,700,000 5.622%+ due 07/30/1998............. 2,687,994
2,896,000 5.670%+ due 08/31/1998............. 2,868,814
------------
9,508,018
------------
TELECOMMUNICATIONS -- 4.4%
BellSouth Corporation:
2,700,000 5.578%+ due 07/27/1998............. 2,689,314
2,600,000 5.579%+ due 09/02/1998............. 2,575,203
------------
5,264,517
------------
Total Commercial Paper
(Cost $105,749,054)................ 105,749,054
------------
CERTIFICATES OF DEPOSIT -- 1.7%
(Cost $1,999,582)
2,000,000 Societe Generale-NY,
5.831%+ due 08/04/1998............. 1,999,582
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 0.8%
(Cost $910,898)
915,000 Federal Home Loan Bank,
5.479%+ due 07/31/1998............. 910,898
------------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (COST $108,659,534*)....... 91.8% 108,659,534
OTHER ASSETS AND LIABILITIES (NET)........... 8.2 9,670,188
----- ------------
NET ASSETS................................... 100.0% $118,329,722
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Annualized yield at date of purchase.
See Notes to Financial Statements.
80
<PAGE> 83
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The GCG Trust, (the "Trust") is registered under the Investment Company Act of
1940 as an open-end management investment company. The Trust was organized as a
Massachusetts business trust on August 3, 1988 with an unlimited number of
shares of beneficial interest with a par value of $0.001 each. At June 30, 1998
the Trust had eighteen 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"), Growth Opportunities Series ("GO"), Managed Global Series ("MG"),
Emerging Markets Series ("EM"), Developing World Series ("DW"), Hard Assets
Series ("HA"), Real Estate Series ("RE"), Market Manager Series ("MM"), Multiple
Allocation Series ("MA"), Fully Managed Series ("FM"), Limited Maturity Bond
Series ("LMB"), Liquid Asset Series ("LA") and The Fund For Life Series. All of
the Series are diversified except for HA, 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"), a wholly owned subsidiary
of Equitable of Iowa Companies ("Equitable of Iowa"), an indirect wholly owned
subsidiary of ING Groep, N.V. ("ING") and affiliated insurance companies. The
Trust is also an investment medium for contracts offered by the Mutual Benefit
Life Insurance Company in Rehabilitation and by the Security Equity Life
Insurance Company.
All of the Series commenced operations on January 24, 1989, except for CA which
commenced operations on May 4, 1992, MG which commenced operations on October
21, 1992, RD and EM which commenced operations on October 4, 1993, MM which
commenced operations on November 14, 1994, VE which commenced operations on
January 3, 1995, SE which commenced operations on October 2, 1995, SC which
commenced operations on January 3, 1996, GO and DW which commenced operations on
February 18, 1998.
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 market 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
81
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Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
imperfect correlation between movements in the price of the derivative financial
instruments and the price of the underlying securities, indices or currency.
OPTIONS: Certain Series may engage in option transactions including purchasing
options on securities and securities indices ("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 indices 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 in on exchanges and on
over-the-counter markets. When a Series writes an option, an amount equal to the
premium received by the Series is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market on a
daily basis to reflect the current value of the option written. When a security
is sold through an exercise of an option, the related premium received (or paid)
is deducted from (or added to) the basis of the security sold. When an option
expires (or the Series enters into a closing transaction), the Series realizes a
gain or loss on the option to the extent of the premiums received or paid.
Realized and unrealized gains and losses arising from purchased option
transactions are included in the net realized and unrealized gain/(loss) on
securities.
The option activity for VE for the six months ended June 30, 1998 was as
follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1997.................... 150 $ 26,398
Options written during the period........................... 1,433 416,928
Options expired during the period........................... 1,058 249,894
Options closed during the period............................ 525 193,432
----- --------
Options outstanding at June 30, 1998........................ -- --
===== ========
</TABLE>
The option activity for HA for the six months ended June 30, 1998 was as
follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1997.................... -- --
Options written during the period........................... 98 $ 28,943
Options expired during the period........................... 98 28,943
Options closed during the period............................ -- --
----- --------
Options outstanding at June 30, 1998........................ -- --
===== ========
</TABLE>
FUTURES CONTRACTS: Certain Series may engage in various futures contracts
including interest rate and stock index futures contracts. The transactions in
futures contracts must constitute bona fide hedging or other strategies under
regulations promulgated by the Commodities Futures Trading Commission. Upon
entering into a contract, the Series deposits and maintains as collateral such
initial margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Series agrees to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the contract. Such
receipts or payments are known as variation margin and are recorded by the
Series as unrealized gains or losses. When the contract is closed, the Series
records a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
During the six months ended June 30, 1998, all futures transactions were
conducted on U.S. exchanges. Contracts open, if any, at June 30, 1998 are
included in the portfolio of investments and their related realized and
unrealized gains and losses are included in the net realized and unrealized
gain/(loss) on futures contracts.
FORWARD FOREIGN EXCHANGE CONTRACTS: Certain of the Series may enter into forward
foreign exchange contracts. A Series will engage in forward foreign exchange
currency transactions to protect itself against fluctuations in currency
exchange rates. Forward foreign exchange contracts are valued at the applicable
forward rate and are marked to market daily. The change in market value is
recorded by the Series as an unrealized gain or loss. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed. Contracts open, if any, at June 30,
82
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Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
1998 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 rate of exchange prevailing when such securities were acquired
or sold. Income and expenses are translated at the rate of exchange prevailing
when accrued.
The Trust does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on securities from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain/(loss) from securities.
Reported net realized gains or losses on foreign currency transactions arise
from sales and maturities of short-term securities, sales of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Series' books, and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
appreciation/(depreciation) on other assets and liabilities denominated in
foreign currencies arise from changes in the value of assets and liabilities
other than investments in securities at period end, resulting from changes in
the exchange rate.
(D) REPURCHASE AGREEMENTS: All Series may enter into repurchase agreements in
accordance with guidelines approved by the Board of Trustees of the Trust. Each
Series bears a risk of loss in the event that the other party to a repurchase
agreement defaults on its obligations and the Series is delayed or prevented
from exercising its rights to dispose of the underlying securities received as
collateral including the risk of a possible decline in the value of the
underlying securities during the period while the Series seeks to exercise its
rights. Each Series takes possession of the collateral and reviews the value of
the collateral and the creditworthiness of those banks and dealers with which
the Series enters into repurchase agreements to evaluate potential risks. The
market value of the underlying securities received as collateral must be at
least equal to the total amount of the repurchase obligation. In the event of
counterparty default, the Series has the right to use the underlying securities
to offset the loss.
(E) FEDERAL INCOME TAXES: Each Series of the Trust is a separate entity for
Federal income tax purposes. No provision for Federal income taxes has been made
since each Series of the Trust has complied and intends to continue to comply
with provisions of subchapter M of the Internal Revenue Code of 1986, as
amended, 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, except certain dividends from foreign
securities where the ex-dividend date may have passed are reported as income
when the Series identifies the dividend. 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
83
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Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
and gains on various investment securities held by the Series, timing
differences and differing characterization of distributions made by each Series
as a whole.
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Directed Services, Inc. (the "Manager"), a wholly owned subsidiary of ING,
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 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 1.00% on the first $750 million in combined assets of
Appreciation Series, Value Equity Series, Rising these Series;
Dividends Series, Strategic Equity Series, Hard 0.95% on the next $1.250 billion;
Assets Series, Real Estate Series, Multiple 0.90% on the next $1.5 billion; and
Allocation Series and Fully Managed Series 0.85% on the amount over $3.5 billion
Limited Maturity Bond Series and 0.60% on the first $200 million in combined assets
Liquid Asset Series of these Series;
0.55% on the next $300 million; and
0.50% on the amount over $500 million
Growth Opportunities Series 1.10% on the first $250 million;
1.05% on the next $400 million;
1.00% on the next $450 million; and
0.95% on the amount in excess of $1.1 billion
Emerging Markets Series and Developing World 1.75%
Series
Market Manager Series 1.00%
Managed Global Series 1.25% on the first $500 million and 1.05% on the amount
over $500 million
</TABLE>
84
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Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
The Manager and the Trust have entered into Portfolio Management Agreements with
the Portfolio Managers. These Portfolio Managers provide investment advice for
the various Series and are paid by the Manager based on the average net assets
of the respective Series. The Portfolio Managers of each of the Series are as
follows:
<TABLE>
<S> <C>
SERIES PORTFOLIO MANAGER
Small Cap Series Fred Alger Management, Inc.
All-Growth Series Pilgrim Baxter & Associates, Ltd.
Capital Appreciation Series INVESCO (NY) Inc.
Value Equity Series Eagle Asset Management, Inc.
Rising Dividends Series Kayne, Anderson Investment Management, LLC
Strategic Equity Series Zweig Advisors Inc.
Growth Opportunities Series Montgomery Asset Management, LLC
Managed Global Series Putnam Investment Management, Inc.
Emerging Markets Series Putnam Investment Management, Inc.
Developing World Series Montgomery Asset Management, LLC
Hard Assets Series Van Eck Associates Corporation
Real Estate Series EII Realty Securities, Inc.
Market Manager Series ING Investment Management, LLC
Multiple Allocation Series Zweig Advisors Inc.
Fully Managed Series T. Rowe Price Associates, Inc.
Limited Maturity Bond Series ING Investment Management, LLC
Liquid Asset Series ING Investment Management, LLC
</TABLE>
During the six months ended June 30, 1998, SC, VE, SE, HA and MA, in the
ordinary course of business, paid commissions of $121,483, $5,508, $17, $1,884,
and $21,094, respectively, to certain affiliates of the respective Portfolio
Manager and/or the Manager in connection with the execution of various portfolio
transactions.
The custodian for the Trust is Bankers Trust Company. The custodian is paid by
the Manager and not the Trust.
Certain officers and trustees of the Trust are also officers and/or directors of
the Manager, Golden American and Equitable of Iowa Companies.
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. Government and short-term investments, for the six months ended June 30,
1998 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -----------
<S> <C> <C>
Small Cap Series............................................ $ 71,441,426 $47,015,094
All-Growth Series........................................... 60,707,962 60,612,672
Capital Appreciation Series................................. 92,491,735 56,430,158
Value Equity Series......................................... 82,533,517 49,078,127
Rising Dividends Series..................................... 134,367,155 7,242,731
Strategic Equity Series..................................... 41,910,326 37,345,358
Growth Opportunities Series................................. 8,451,572 592,945
Managed Global Series....................................... 94,331,599 93,517,678
Emerging Markets Series..................................... 17,026,876 19,279,198
Developing World Series..................................... 7,331,116 1,604,057
Hard Assets Series.......................................... 30,804,268 34,576,908
Real Estate Series.......................................... 27,793,063 13,773,294
Market Manager Series....................................... -- 17,423
Multiple Allocation Series.................................. 39,619,988 70,551,194
Fully Managed Series........................................ 60,128,926 41,891,915
Limited Maturity Bond Series................................ 3,499,559 --
</TABLE>
85
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Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
3. PURCHASES AND SALES OF SECURITIES--(CONTINUED)
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short-term investments, for the six months
ended June 30, 1998 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -----------
<S> <C> <C>
Market Manager Series....................................... $ -- $ 110,072
Multiple Allocation Series.................................. 25,190,156 32,608,844
Fully Managed Series........................................ 5,971,734 350,000
Limited Maturity Bond Series................................ 7,985,313 163,250
</TABLE>
At June 30, 1998, the aggregate gross unrealized appreciation for all securities
in which there is an excess of value over tax cost and aggregate gross
unrealized depreciation for all securities in which there is an excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
NET TAX
TAX BASIS TAX BASIS BASIS
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ --------------
<S> <C> <C> <C>
Small Cap Series.......................................... $ 21,382,805 $1,186,867 $ 20,195,938
All-Growth Series......................................... 13,602,306 3,415,322 10,186,984
Capital Appreciation Series............................... 55,689,929 3,597,994 52,091,935
Value Equity Series....................................... 9,678,947 6,476,481 3,202,466
Rising Dividends Series................................... 105,264,435 2,364,212 102,900,223
Strategic Equity Series................................... 8,105,720 1,186,188 6,919,532
Growth Opportunities Series............................... 450,214 404,892 45,322
Managed Global Series..................................... 23,684,346 2,473,053 21,211,293
Emerging Markets Series................................... 1,907,128 8,249,735 (6,342,607)
Developing World Series................................... 186,365 1,235,193 (1,048,828)
Hard Assets Series........................................ 1,737,945 5,675,695 (3,937,750)
Real Estate Series........................................ 9,733,897 1,856,619 7,877,278
Market Manager Series..................................... 3,547,830 -- 3,547,830
Multiple Allocation Series................................ 23,639,026 4,147,620 19,491,406
Fully Managed Series...................................... 27,592,761 5,223,661 22,369,100
Limited Maturity Bond Series.............................. 776,772 64,474 712,298
</TABLE>
4. RESTRICTED AND ILLIQUID SECURITIES
Certain Series of the Trust may hold securities purchased in private placement
transactions, without registration under the Securities Act of 1933 (the "Act")
and securities which are deemed illiquid because of low trading volumes or other
factors. These restricted and illiquid securities (which do not include
securities eligible for resale pursuant to Rule 144A of the Act and 4(2)
commercial paper that are determined to be liquid under procedures adopted by
the Board of Trustees) are valued under methods approved by the Board of
Trustees as reflecting fair value which includes obtaining quotes from
independent sources if available. The dates of acquisition and costs of
restricted and illiquid securities held at June 30, 1998 are as follows:
MANAGED GLOBAL SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
-------- -------- -----------
<S> <C> <C>
AMP Limited 144A............................................ $319,699 06/15/1998
Brazil Realty 144A GDR...................................... 68,813 03/20/1997
CIA Energetica Minas Geras Cemig ADR 144A................... 138,875 03/18/1997
Mol Magyar Olaj Es Gazipari 144A GDR........................ 24,000 05/07/1997
Pick Szeged Rt. GDR 144A.................................... 37,340 05/04/1998
Indian Hotels Ltd. GDR 144A................................. 29,413 07/31/1997
Mahanagar Telephone Nigam 144A GDR.......................... 40,733 12/03/1997
Takefuji Corporation 144A Deal STK.......................... 368,567 03/18/1998
Benpres Holdings Corporation 144A GDR....................... 39,270 08/15/1997
Cosmos Bottling Company 144A................................ 19,667 03/02/1998
</TABLE>
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Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
4. RESTRICTED AND ILLIQUID SECURITIES -- (CONTINUED)
Total restricted and/or illiquid securities (fair value of $978,764) represented
0.8% of net assets of MG at June 30, 1998.
On June 30, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
EMERGING MARKETS SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
-------- -------- -----------
<S> <C> <C>
Brazil Realty 144A GDR...................................... $240,300 03/20/1997
Cemig 144A ADS.............................................. 743,038 03/14/1997
Mesbla S A Pfd.............................................. 416,450 02/07/1994
Ceske Radiokomunikace GDR 144A.............................. 230,253 06/12/1998
Mol Magyar Olaj Es Gazipari 144A GDR........................ 318,000 05/13/1996
Pick Szeged Rt. GDR 144A.................................... 407,324 12/09/1997
Gujarat Ambuja Cement 144A.................................. 244,335 03/14/1997
Indian Hotels Ltd. GDR 144A................................. 195,700 12/16/1997
Mahanagar Tel Nigam 144A.................................... 342,992 12/03/1997
Mahindra & Mahindra GLR 144A................................ 158,325 04/09/1996
Grupo Accion 144A ADR....................................... 306,213 06/19/1997
Benpres Holdings Corp. 144A GDR............................. 235,620 05/08/1995
Cosmos Bottling Company 144A................................ 124,121 03/02/1998
Kredyt Bank GDR 144A........................................ 167,440 12/11/1997
Bangkok Bank Public Company Ltd. 144A....................... 116,459 04/24/1998
PTT Exploration and Production Public Company, Ltd. 144A.... 113,178 06/09/1998
Thai Farmers Bank Public Company 144A....................... 165,572 03/26/1998
Sabanci Holdings 144A....................................... 211,185 06/30/1997
</TABLE>
Total restricted and/or illiquid securities (fair value of $3,591,217)
represented 11.4% of net assets of EM at June 30, 1998.
On June 30, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
FULLY MANAGED SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
-------- ---------- -----------
<S> <C> <C>
Kemper Corporation, Series E, Conv. Pfd. Stock, 144A........ $1,946,734 02/06/1995
Exide Corporation, Conv. Bond, 144A,
2.900% due 12/15/2005..................................... 240,348 04/03/1998
Thomas Nelson Conv. Bond, 144A,
5.75% due 11/30/1999...................................... 402,735 12/15/1997
Homestake Mining Company, Conv. Bond, 144A,
5.500% due 6/23/2000...................................... 1,959,857 02/16/1995
Interpublic Group, Conv. Bond, 144A,
1.800%, due 09/16/2004.................................... 212,750 02/03/1998
Roche Holdings Inc., 144A
Conv. Bond due 05/06/2012................................. 2,055,240 04/29/1997
Union Pacific Capital Trust,
Conv. Pfd. Stock, 144A.................................... 971,875 03/27/1998
</TABLE>
Total restricted and/or illiquid securities (fair value of $8,140,787)
represented 3.8% of net assets of FM at June 30, 1998.
On June 30, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
87
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Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
5. CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Series' indicated below have capital loss
carryforwards as of December 31, 1997 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED
SERIES EXPIRING IN 2001 EXPIRING IN 2002 EXPIRING IN 2003 EXPIRING IN 2004 EXPIRING IN 2005
------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
Small Cap Series................. -- -- -- $1,707,414 $2,463,267
Emerging Markets Series.......... -- -- $8,462,512 -- --
Limited Maturity Bond Series..... -- -- -- $ 339,928 --
Liquid Asset Series.............. $172 $15 -- $ 1,432 $ 816
</TABLE>
6. SUBSEQUENT EVENT
On August 14, 1998, the consolidation of the Equi-Select Series ("ESS") Trust
into the GCG Trust took place at no cost to contract holders. The separate
accounts investing in the ESS Trust Portfolios substituted shares of similar GCG
Trust Series for shares of the ESS Trust Portfolios as follows:
<TABLE>
<CAPTION>
ESS TRUST PORTFOLIO REPLACED GCG SUBSTITUTED SERIES
---------------------------- ----------------------
<S> <C>
Growth & Income Portfolio Growth & Income Series
Research Portfolio Research Series
Total Return Portfolio Total Return Series
Value + Growth Portfolio Value + Growth Series
International Fixed Income Portfolio Global Fixed Income Series
OTC Portfolio Mid-Cap Growth Series
Money Market Portfolio Liquid Asset Series
Mortgage-Backed Securities Portfolio Limited Maturity Bond Series
Advantage Portfolio Limited Maturity Bond Series
</TABLE>
As of August 14, 1998, the Portfolios of the ESS Trust are no longer available
as investment options.
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
At a Special Meeting of Shareholders of the Capital Appreciation Series of the
Trust held on April 28, 1998, the following actions were taken:
(1) The new Portfolio Management agreement between the Trust, DSI and Invesco
(NY), Inc. was approved by the shareholders of the series as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
--- ---------- --------- -----
<S> <C> <C> <C>
10,543,941 171,225 695,135 11,410,301
</TABLE>
88
<PAGE> 91
THE GCG TRUST
------------------------
TRUSTEES AND EXECUTIVE OFFICERS
Frederick S. Hubbell, Chair, Trustee and President*
J. Michael Earley, Trustee
R. Barbara Gitenstein, Trustee
Keith T. Glover, Trustee*
Robert A. Grayson, Trustee
Elizabeth J. Newell, Trustee
Stanley B. Seidler, Trustee
Robert B. Vincent, Trustee
Barnett Chernow, Vice President
Mary Bea Wilkinson, Treasurer
Myles R. Tashman, Secretary
*Interested Trustee
------------------------
Sutherland, Asbill & Brennan LLP, Legal Counsel
Directed Services, Inc., Manager
Ernst & Young, LLP, Independent Auditors
<PAGE> 92
Golden American Life Insurance Company
1001 Jefferson Street
Wilmington, DE 19801
BULK RATE
U.S. POSTAGE
PAID
PERMIT NO. 3361
DES MOINES, IA
