<PAGE> 1
[Golden Select Logo]
Annual Report
------------------
THE GCG TRUST
------------------
DECEMBER 31, 1997
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc., Member NASD.
<PAGE> 2
- --------------------------------------------------------------------------------
Table of Contents
THE GCG TRUST
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Chairman's Letter........................................... 1
Portfolio Manager Reports................................... 2
Report of Ernst & Young LLP, Independent Auditors........... 18
Statements of Assets and Liabilities........................ 20
Statements of Operations.................................... 22
Statements of Changes in Net Assets......................... 24
Financial Highlights:
Small Cap Series.......................................... 28
All-Growth Series......................................... 29
Capital Appreciation Series............................... 30
Value Equity Series....................................... 31
Rising Dividends Series................................... 32
Strategic Equity Series................................... 33
Managed Global Series..................................... 34
Emerging Markets Series................................... 35
Hard Assets Series........................................ 36
Real Estate Series........................................ 37
Market Manager Series..................................... 38
Multiple Allocation Series................................ 39
Fully Managed Series...................................... 40
Limited Maturity Bond Series.............................. 41
Liquid Asset Series....................................... 42
Portfolios of Investments:
Small Cap Series.......................................... 43
All-Growth Series......................................... 45
Capital Appreciation Series............................... 47
Value Equity Series....................................... 48
Rising Dividends Series................................... 49
Strategic Equity Series................................... 50
Managed Global Series..................................... 54
Emerging Markets Series................................... 59
Hard Assets Series........................................ 62
Real Estate Series........................................ 64
Market Manager Series..................................... 65
Multiple Allocation Series................................ 66
Fully Managed Series...................................... 69
Limited Maturity Bond Series.............................. 72
Liquid Asset Series....................................... 74
Notes to Financial Statements............................... 76
</TABLE>
<PAGE> 3
DIRECTED SERVICES, INC.
1001 JEFFERSON STREET, SUITE 400, WILMINGTON, DE 19801 TEL: 302-576-3400
FAX: 302-576-3450
February 12, 1998
Dear Shareholder of The GCG Trust:
We are pleased to provide you with your December 31, 1997 Annual Report (the
"Report") for the GCG Trust (the "Trust") which includes reports from all
GoldenSelect Portfolio Managers. 1997 was another solid year for the Trust with
assets under management increasing 25% from $1.23 billion to $1.54 billion.
We are pleased to announce that, effective January 2, 1998, ING Investment
Management, LLC, an affiliate of Equitable Investment Services, Inc., assumed
the portfolio management responsibilities for Market Manager Series, Limited
Maturity Bond Series and Liquid Asset Series of the Trust.
The Report contains comments from the Portfolio Managers of the Trust's Series.
The comments of the Portfolio Managers reflect their views as of the date
written and are subject to change at any time. For more complete information
about the Series, The GCG Trust or any GoldenSelect product, including charges
and expenses, please consult your prospectus. Read it carefully before investing
or sending money.
Thank you for your continued support of GoldenSelect and The GCG Trust.
Sincerely,
/s/ Terry L. Kendall
- ---------------------------
Terry L. Kendall
Chairman
The GCG Trust
1
<PAGE> 4
THE GCG TRUST
SMALL CAP SERIES
The Small Cap Series (the "Series") seeks to achieve long-term capital
appreciation. In 1997, the Series returned 10.32% versus a gain of 22.36% for
the Russell 2000 Index.
This discrepancy can be attributed to the weak performance of growth stocks
relative to value stocks, particularly in the smaller end of the market cap
spectrum. The Russell 2000 Growth Index returned a modest 12.95%, compared to a
lofty 31.78% for the Russell 2000 Value Index. The Portfolio Manager utilizes a
growth- oriented investment style. When growth stocks lag the market, returns of
the Series will generally trail the Russell 2000 Index. For investors in small
cap growth equities, 1997 consisted of two quarters of euphoric prosperity
sandwiched between two quarters of acute volatility. The Series began the year
investments such as small cap growth stocks were sold off amid fears that the
Federal Reserve Board (the "Fed") would raise interest rates.
During the second quarter, fears of inflation and subsequent Fed action ebbed,
and investors could no longer ignore the relative values of small cap growth
stocks. The Series came roaring back with second and third quarter returns of
17.18% and 17.56%, respectively. A sizable position in the technology sector
helped fuel performance. During the fourth quarter, economic turbulence overseas
led to a heightened sense of domestic uncertainty. These conditions triggered an
abrupt return to defensive equity investing. Technology stocks with considerable
business in Asia, particularly semiconductors, were among the hardest hit. To
combat these developments, we liquidated investments in companies that we felt
would be significantly impacted. This included a drastic reduction in the
portfolio's technology holdings.
We are optimistic about the future of the Series and small cap growth stocks for
several reasons. First, the Series is attractively valued; its holdings are
selling at a slight premium to the rest of the market, yet they possess much
greater earnings growth potential.
Second, compared to large cap stocks, small cap growth stocks are less dependent
on foreign markets for revenue. Thus, international events are less likely to
affect the earnings of companies in the Series.
Lastly, cash flows into small cap growth funds may increase if investors shift
their holdings from international funds to aggressive domestic funds. This would
increase the demand for small cap growth stocks.
FRED ALGER MANAGEMENT, INC.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1997
<TABLE>
<S> <C>
1. America Online Inc. 2.3%
2. Executive Risk Inc. 2.1%
3. CBT Group PLC, ADR 2.1%
4. Vesta Insurance Group, Inc. 2.1%
5. Earthgrains Company 2.0%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 10.32%
1/31/96 (Inception) 15.17%
[MOUNTAIN CHART]
<TABLE>
<CAPTION>
Small Cap Russell 2000 Russell 2000
Series Growth Index Index*
<C> <C> <C> <C>
"1/3/96" 10000 10000 10000
"3/96" 11170 10574 10510
"6/96" 11880 11192 11036
"9/96" 12120 11097 11073
"12/96" 12010 11126 11650
"3/97" 10300 9952 11047
"6/97" 12070 11698 12838
"9/97" 14190 13678 14749
"12/97" 13250 12557 14255
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO 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.
* The comparative index has changed to the Russell 2000 Index. This index
provides a broader representation of the stock returns of small U.S.
companies.
INDUSTRY BREAKDOWN
[PIE CHART]
<TABLE>
<S> <C>
Retail 9.4%
Food and Beverages 5.3%
Bio Technology 5.2%
Consumer Services 4.4%
Transportation/Services 4.4%
Commercial Services 4.3%
Insurance 4.2%
Banking - Financial 3.9%
Other 58.9%
</TABLE>
2
<PAGE> 5
THE GCG TRUST
ALL-GROWTH SERIES
The All Growth Series (the "Series") seeks capital appreciation. During 1997,
the Series had a total return of 5.87%. The Russell Midcap Index had a total
return of 29.01% over the same period.
The Series invests in small/mid-cap companies with high rates of earnings
growth. In 1997, stocks with these characteristics trailed the broad equity
markets by a significant margin. For example, the Russell Top 200 Value Index
(large-cap value stocks) had a total return of 35.48%. The Russell Midcap Growth
Index (mid- cap growth stocks) and Russell 2000 Growth Index (small-cap growth
stocks) produced returns of only 22.54% and 12.95%, respectively.
During the second half of 1996 and first quarter of 1997, small/ mid-cap growth
stocks experienced a significant valuation correction relative to large-cap
stocks. The Series lost 11.80% during the first quarter of the year.
Small/mid-cap growth stocks rebounded in the second and third quarters of 1997,
and the Series gained 29.66%. That sector of the market appeared to be well on
track toward recovery. Then prices dropped during the fourth quarter, primarily
due to economic problems in Asia. The Series lost 7.43% during the fourth
quarter.
Technology companies and several of our energy services companies do a
significant amount of business in Asia -- both in terms of manufacturing and
final sales. Consequently, the turmoil in Asia had a significantly negative
impact on the Series. Energy issues were further impacted by an unusually warm
winter and the prospect of renewed oil sales by Iraq.
The Series had an underweighted position in the finance sector which had a
negative impact on relative performance. Inflation and long-term interest rates
fell throughout the year, creating an environment that was quite favorable for
these companies.
This sector also benefited from significant consolidation activity. Several
individual holdings generated exceptional returns in 1997. At the end of the
year, PeopleSoft, Inc., Bed Bath & Beyond, Inc., and HBO & Company were the
largest positions in the portfolio. During 1997, the prices of these stocks
appreciated 62.7%, 61.7% and 58.8%, respectively.
Some of the weakest performers include Oxford Health Plans, Inc., Electronics
for Imaging, Inc., and Chesapeake Energy Corporation. During 1997, the prices of
these stocks dropped 73.4%, 59.6% and 72.8%, respectively.
1997 was a difficult year for small/mid-cap growth investors, but we remain
committed to our philosophy. We will continue to invest in the fastest growing
small/mid-cap companies we can find.
PILGRIM BAXTER & ASSOCIATES, LTD.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1997
<TABLE>
<S> <C>
1. People Soft Inc. 3.3%
2. Bed Bath & Beyond 3.1%
3. HBO & Company 3.1%
4. Clear Channel Communications 3.0%
5. Paychex, Inc. 2.8%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 5.87%
5 YEAR 4.14%
(INCEPTION) 5.53%
[MOUNTAIN GRAPH]
<TABLE>
<CAPTION>
Measurement Period
(Fiscal Year Covered) All-Growth Series S&P 500 Russell Midcap Index
<S> <C> <C> <C>
1/24/89 10000 10000 10000
10084 9979 10140
10623 10858 11067
11338 12019 12122
Dec-89 10720 12266 11914
9930 11897 11453
10802 12643 11877
9442 10908 9522
Dec-90 9933 11885 10545
11366 13608 12704
10686 13575 12770
11985 14300 13716
Dec-91 13557 15497 14922
12865 15107 15154
12329 15393 15122
12362 15879 15711
Dec-92 13205 16676 17360
12902 17404 18304
13007 17488 18593
14062 17938 19588
Dec-93 14071 18354 19843
13505 17659 19256
12540 17733 18840
13201 18598 19911
Dec-94 12554 18595 19428
13497 20403 21450
14047 22348 23245
15211 24123 25306
Dec-95 15369 25574 26121
16261 26946 27693
15558 28154 28474
14666 29025 29366
Dec-96 15281 31442 31084
13478 32287 30830
15886 37918 35012
17475 40758 39662
Dec-97 16177 41928 40102
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On February 3, 1997, Pilgram Baxter & Associates, Ltd. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by other
Portfolio Managers. **The comparative index has changed to the Russell Midcap
Index. This index more accurately reflects the investment style of the
portfolio.
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE CHART]
<TABLE>
<S> <C>
Retail - Special Line 9.0%
Computer Systems 8.8%
Telecommunications Equipment 8.5%
Services 8.3%
Semiconductors 6.7%
Oil and Gas - Equipment and Services 5.3%
Environmental Services 5.2%
Health Care Services 4.7%
Other 43.5%
</TABLE>
3
<PAGE> 6
THE GCG TRUST
CAPITAL APPRECIATION SERIES
The Capital Appreciation Series (the "Series") seeks to generate long-term
capital growth. In 1997, the Series provided a total return of 28.95%. The
Standard & Poors 500 Index (the "S&P 500") had a total return of 33.36% over the
same period.
Economic conditions were extremely favorable during 1997. The U.S. equity market
advanced strongly, but the highest returns were generated by a small number of
very large companies. Indices like the S&P 500 were difficult to beat because
they are dominated by these large companies.
Series returns trailed the S&P 500 during the first quarter of 1997. The Series
experienced a loss of 1.53%, while the S&P 500 returned 2.68%. Significant
losses by networking stocks was the primary cause of this variance. For the
quarter, 3Com Corporation declined 55.4% and Cascade Communications Corporation
lost 52.2%.
For the last nine months of the year, the Series provided a total return of
30.95%, while the S&P 500 returned only 29.88%. Many stocks did exceptionally
well over this period. Some of the strongest growth stocks were Schering Plough
Corporation (72.8%), Eli Lilly & Company (71.1%), Compaq Computer Corporation
(84.4%) and Home Depot Inc. (65.6%). The strongest value stocks included
Travelers Group Inc. (69.5%), Comcast Corporation (95.3%), Time Warner Inc.
(44.1%) and Allstate Corporation (53.9%).
The Series is comprised of two components -- value and growth. The value
component contains stocks that the Portfolio Manager regards as fundamentally
undervalued. The growth component contains stocks with above-average earnings
growth rates. At the end of 1997, the value and growth components represented
45% and 55% of the portfolio, respectively. This style mix is roughly equivalent
to the S&P 500. There were few changes to the style mix during the year, as
conditions were favorable for both styles.
Moving into 1998, health care, consumer products and mature technology companies
are key investments within the growth component. Financial services is an area
of focus in the value component.
It is unlikely that equity market returns will be as robust in 1998 as they have
been over the past few years. Higher volatility is also highly probable.
Notwithstanding these comments, the Portfolio Manager is optimistic about the
new year. He believes that stocks are still attractive investments relative to
other asset classes. In addition, higher volatility can actually help
performance by creating excellent trading opportunities.
CHANCELLOR LGT ASSET MANAGEMENT, INC.
TOP FIVE EQUITY HOLDINGS AS OF
DECEMBER 31, 1997
<TABLE>
<S> <C>
1. Cendant Corporation 2.7%
2. Allstate Corporation 2.3%
3. SLM Holding Corporation 2.2%
4. RJR Nabisco Holdings Corporation 2.1%
5. Bell Atlantic Corporation 2.1%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 28.95%
5 YEAR 16.56%
5/4/1992 (INCEPTION) 16.61%
[MOUNTAIN GRAPH]
<TABLE>
<CAPTION>
Capital Appreciation Series S&P 500
<S> <C> <C>
5/4/92 10000 10000
9911 9899
10256 10212
12/92 11087 10725
11661 11193
11419 11246
11903 11536
12/93 12008 11803
11569 11356
11610 11404
11998 11960
12/94 11817 11958
12661 13121
13807 14372
15026 15513
12/95 15381 16447
16326 17329
16861 18106
17609 18666
12/96 18497 20220
18214 20764
21309 24385
23576 26212
12/97 23852 26964
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO 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.
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE GRAPH]
<TABLE>
<S> <C>
Pharmaceuticals 9.8%
Banks 9.5%
Information Processing 8.5%
Insurance 8.1%
Retail 7.2%
Commodities 6.9%
Petroleum 6.3%
Tobacco 6.1%
Other 37.6%
</TABLE>
<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 returned
27.28% for the year, and the Standard
& Poors 500 Index ("S&P 500") returned
33.36%.
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 1997, 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
an annual return of only 29.98%.
During periods of market exuberance,
value-oriented stocks typically lag
the market. Over long periods of time,
however, value stocks and growth
stocks have historically generated
very similar returns. In addition,
value stock usually have less
volatility (i.e. risk).
The Series also has a significant
mid-cap component. Mid-cap stocks
trailed the market in 1997 as well.
The Russell Midcap Index had an annual
return of only 29.01%.
Throughout the year, the Series was
over weighted in stocks and industries
that had been neglected by the market.
We held significant positions in the
building supplies, furniture, tobacco
and appliances industries. The medical
and electronic industries weren't
undervalued in 1997, but we bought
specific undervalued companies like,
Columbia/HCA Healthcare Corporation
("Columbia") and Philips Electronics
N.V. ("Philips").
Columbia's stock price had dropped due
to negative publicity regarding
billing practices and a government
investigation. We began buying it
because we believed that their
restructuring plan and the underlying
value of the business made the company
worth much more than the stock price
reflected.
After we began buying it, more
problems surfaced and the price
dropped further. We took the
opportunity to add to our position.
Although the stock remained
undervalued through the end of the
year, we continued to hold it. We
still thought the underlying value was
significantly higher than its trading
price.
Philips had phenomenal performance
during the first three quarters of
1997. In the fourth quarter, their
stock price dropped significantly due
to problems in the Asian markets.
After the price dropped, we believed
that the investment was even more
attractive on a relative value basis.
We continued to hold it at the end of
the year.
Overall, the Series performed as
expected in a strong bull market. If a
market correction occurs, the
Portfolio Manager's conservative style
should produce strong relative
performance.
EAGLE ASSET
MANAGEMENT, INC.
TOP FIVE EQUITY HOLDINGS AS OF
DECEMBER 31, 1997
1. Sunbeam Corporation 4.4%
2. Philips Electronics N.V. 4.2%
3. American Standard Companies,
Inc. 3.4%
4. Columbia/HCA Healthcare
Corporation 3.3%
5. RJR Nabisco Holdings
Corporation 3.3%
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 27.28%
1/3/1995
(INCEPTION) 24.01%
<TABLE>
<CAPTION>
Measurement Period
(Fiscal Year Covered) Value Equity Series S&P 500 Russell Midcap Index
<S> <C> <C> <C>
Jan-95 10000 10000 10000
10630 10973 11041
11690 12017 11965
12570 12973 13026
Dec-95 13521 13753 13445
13952 14491 14255
13686 15141 14656
13863 15609 16115
Dec-96 14958 16909 16000
15237 17363 15869
17709 20392 18022
19359 21919 20415
Dec-97 19038 22548 20642
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE
SERIES INCLUDE
REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. THEY DO 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.
INDUSTRY BREAKDOWN
LOGO
5
<PAGE> 8
THE GCG TRUST
RISING DIVIDENDS SERIES
The Rising Dividends Series (the "Series") seeks capital appreciation. During
1997, the Series provided a total return of 29.82%. The Standard & Poors 500
Index ("S&P 500") had an annual return of 33.36%.
The U.S. stock market produced solid returns during 1997. Corporate profits were
very strong, and economic conditions were extremely favorable. Economic turmoil
in Asia caused increased volatility during the fourth quarter, but the S&P 500
still provided respectable returns.
For the Series, the highest returns came from the financial sector. Financial
companies benefited from the strong financial markets and low interest rates
that persisted throughout the year. The Russell 3000 Financial Services Index
(all U.S. financial services companies) provided a total return of 48.27% during
1997.
Within this sector, Cincinnati Financial Corporation was one of the strongest
positions. Its stock returned 72.3% during the fourth quarter, when it was added
to the S&P 500. Overall, the Series realized a gain of approximately 111% in
1997 on this security. The investment was sold at the end of December.
The Series invests in high-quality growth companies. The Portfolio Manager seeks
to identify companies with excellent management teams and strong competitive
positions in their respective industries.
At the end of the year, the Series was heavily invested in the consumer staples
sector. Significant holdings include Kellogg Company, Coca Cola Company, and
Gillette Company. Kellogg provided exceptional returns, with an annual return of
54.5%. Shares of Coca Cola and Gillette declined during the third quarter
because of disappointing earnings news. However, both companies rebounded in the
fourth quarter and posted solid gains for the year.
Another major holding is CPC International, which became Bestfoods at the
beginning of 1998 after the company's corn refining business was spun off.
Bestfoods sells packaged food products under the brand names Knorr, Best Foods,
Hellman's, and Entenmann's. Bestfoods is an attractive in- vestment opportunity,
given current economic conditions. Asian markets account for only 5% of its
sales, while 44% of its sales are derived from Europe, where economies are
expanding.
The portfolio is overweighted in the technology sector. However, the Portfolio
Manager has avoided companies with strong ties to Southeast Asia. At the end of
the year, Intel Corporation and Linear Technology Corporation were added to the
portfolio.
KAYNE ANDERSON INVESTMENT MANAGEMENT, LLC
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1997
<TABLE>
<S> <C>
1. Intel Corporation 4.6%
2. Disney (Walt) Company 4.1%
3. CPC International 3.9%
4. Motorola Inc. 3.8%
5. PPG Industries, Inc. 3.7%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 29.82%
10/4/1993 (INCEPTION) 19.48%
[MOUNTAIN GRAPH]
<TABLE>
<CAPTION>
Rising Dividends Series S&P 500
<S> <C> <C>
10/4/93 10000 10000
12/93 10314 10232
9974 9844
10074 9885
10494 10368
12/94 10375 10366
11126 11374
11664 12459
12517 13448
21/95 13598 14257
14446 15022
14958 15695
15503 16181
12/96 16406 17528
16758 17999
19456 21138
20258 22722
12/97 21298 23374
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO 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.
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE GRAPH]
<TABLE>
<S> <C>
Technology 8.5%
Data Services 7.3%
Food 7.3%
Chemicals and Allied Products 7.2%
Pharmaceuticals 7.1%
Electrical Equipment 5.9%
Financial Services 5.2%
Petroleum 5.1%
Other 46.4%
</TABLE>
<PAGE> 9
THE GCG TRUST
STRATEGIC EQUITY SERIES
The Strategic Equity Series (the "Series") seeks to achieve capital
appreciation. In 1997, the Series provided a total return of 23.16%. The Russell
Midcap Index and Russell 2000 Index had total returns of 29.01% and 22.36%,
respectively.
The Series produced strong investment returns, while maintaining a relatively
low risk profile. The Portfolio Manager's asset allocation and stock selection
strategies both contributed to these results.
The Portfolio Manager has a risk-averse asset allocation strategy. Exposure to
equity securities is reduced when the Portfolio Manager believes that their
risk/reward characteristics are less attractive. Equity exposure is increased
when conditions are more favorable for the stock market.
Monetary conditions deteriorated early in the year, and equity exposure was
reduced significantly. In early April, equity exposure was only 45%. This
strategy helped performance, as stock prices dropped substantially in February
and March.
Monetary conditions subsequently improved, and the Portfolio Manager steadily
increased his commitment to the equity markets. Higher exposure levels were
beneficial because stock returns were very strong for the remainder of the year.
At the end of the year, the Series was fully invested in stocks.
Overall, Series returns were very strong, given the portfolio's lower exposure
to stocks. For the year, the portfolio's average equity exposure was only 68%.
Stock selection also contributed to performance. When selecting individual
stocks, the Portfolio Manager divides his equity exposure evenly between
"growth" stocks (those with strong earnings growth) and "income" stocks (those
with high dividend yields).
Because of its diversified approach, the Series provides respectable returns in
many different environments. Growth stocks appreciated significantly during the
second and third quarters of 1997, and the portfolio's growth component boosted
Series returns. Growth stocks declined in the first and fourth quarters of the
year, but the portfolio's income component mitigated the losses incurred by the
Series.
During 1997, the Series benefited from overweight positions in the capital goods
and financial sectors. An overweight position in consumer cyclicals was a drag
on performance. Utility holdings hurt performance during the first and second
quarters, but they produced exceptional returns during the second half of the
year.
Currently, the Portfolio Manager is optimistic about the U.S. equity market.
Long-term interest rates are at their lowest level since 1977. Although the
economic crisis in Asia creates some uncertainty, he doesn't believe that it
will trigger a recession in the United States.
ZWEIG ADVISORS INC.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1997
<TABLE>
<S> <C>
1. Bear Stearns Companies, Inc. 2.0%
2. CKE Restaurants, Inc. 1.5%
3. Global Marine, Inc. 1.2%
4. South Down Inc. 1.2%
5. USX-Marathon Group 1.2%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 23.16%
10/12/1995* (INCEPTION) 18.92%
[MOUNTAIN GRAPH]
<TABLE>
<CAPTION>
Strategic S&P 500 S&P 500/S&P S&P Russell Russell 2000
Equity Midcap 400 Midcap 400 Midcap Index* Index*
Series (Blended Index 50/50)
<S> <C> <C> <C> <C> <C> <C>
10/2/95 10000 10000 10000 10000 10000 10000
10033 10602 10372 10143 10322 10217
10595 11170 10969 10767 10944 10738
11146 11671 11374 11077 11252 11275
11299 12032 11716 11400 11605 11313
12/96 11979 13034 12562 12090 12284 11902
11907 13384 12648 11911 12183 11287
12871 15719 14693 13667 13836 13116
14448 16896 16377 15858 15673 15068
12/97 14753 17381 16686 15990 15847 14564
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE THEREUNDER WHOSE PROCEEDS
ARE INVESTED IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
* The comparative indices have changed to the Russell Midcap Index and Russell
2000 Index. These indices more accurately reflect the investment style of the
portfolio.
INDUSTRY BREAKDOWN
[INDUSTRY BREAKDOWN PIE GRAPH]
<TABLE>
<S> <C>
Other 57.4%
Electric Utilities 15.7%
Financial Services 6.0%
Insurance 4.5%
Oil/Refining/Marketing 4.0%
Automobile Parts 3.4%
Contract Drilling 3.2%
Building Materials and Products 3.1%
Metal Fabricate/Hardware 2.7%
</TABLE>
7
<PAGE> 10
THE GCG TRUST
MANAGED GLOBAL SERIES
The Managed Global Series (the "Series") seeks capital appreciation. In 1997,
the Series had an annual return of 12.17%. This compares to a 15.00% return for
the Morgan Stanley Capital International All Country World Free Index (the
"benchmark").
The U.S. equity market experienced strong gains in 1997, with the Standard &
Poors 500 Index providing a total return of 33.36%. Macroeconomic conditions
were extremely favorable to the stock market throughout the year.
In general, exposure to the U.S. market was underweighted in the Series. This
strategy hurt performance relative to the benchmark. U.S. exposure was steadily
increased during the year, and at the end of the year, North American holdings
represented 46% of the portfolio.
Developed countries in Europe also benefited from low inflation, low interest
rates and steady economic growth. These markets performed exceptionally well,
with the Morgan Stanley Capital International Europe Index providing an annual
return of 23.80%. The Series maintained an overweight position in the United
Kingdom, and this helped performance. At year-end, holdings in the United
Kingdom represented 15% of the portfolio, and 23% of the portfolio was invested
in other European countries.
It was quite a different story in Asia. During the third quarter, economic
turmoil erupted in Thailand before spreading to Malaysia, Indonesia and the
Philippines. The crisis intensified in the fourth quarter, affecting markets in
Hong Kong, South Korea and Japan.
Asian markets fell sharply. The Morgan Stanley Capital International Japan Index
had a loss of 23.67% and the Morgan Stanley Capital International All Country
Asia Pacific Index lost 26.79%. Losses were particularly high among technology
and energy stocks.
With respect to Asia, country allocations helped performance. The Series was
underweighted in Japan and other Asian markets. Stock selection had a negative
impact on performance, as the Series was more heavily invested in the technology
and energy sectors.
At the end of 1997, 7% of the portfolio was invested in Japan, 5% was invested
in other developed Asian countries, and 4% was in various emerging markets.
Currency management contributed positively to performance during the year. The
portfolio was partially hedged against European currencies (early in the year)
and the Japanese Yen (for the entire year). This helped performance because the
U.S. dollar strengthened significantly against these currencies.
PUTNAM INVESTMENT MANAGEMENT, INC.
TOP FIVE EQUITY HOLDINGS AS OF
DECEMBER 31, 1997
<TABLE>
<S> <C>
1. General Electric Company (United States) 2.0%
2. Total S.A., Class B (France) 1.6%
3. Nestle S.A. (Switzerland) 1.5%
4. Vodafone Group (Great Britain) 1.5%
5. Mannesmann AG (Germany) 1.3%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 12.17%
5 YEAR 4.61%
10/21/1992 (INCEPTION) 4.46%
[MOUNTAIN GRAPH]
<TABLE>
<CAPTION>
Managed Morgan Stanley Morgan Stanley All Country
Global Series EAFE Index World Free Index**
<S> <C> <C> <C>
10/21/92 10000 10000 10000
10/92 10010 10146 10140
10220 11363 11309
9900 12505 12431
10350 13335 13255
12/93 10620 13450 13679
9870 13920 14019
9610 14631 14602
9980 14646 14959
12/94 9270 14496 14586
8790 14766 14631
8990 14873 14926
9720 15493 15485
12/95 9960 16121 16036
10360 16587 16560
10970 16849 16891
10760 16828 16833
12/96 11182 17096 17107
11192 16828 17064
12679 19012 19279
13341 18878 19102
12/97 12543 117400 17456
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On March 3, 1997, Putnam Investment Management, Inc. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by other
Portfolio Managers.
** The comparative index has changed to the Morgan Stanley Capital International
All Country World Free Index. This index more accurately reflects the investment
style of the portfolio.
ASSET DISTRIBUTION BY COUNTRY
[PIE GRAPH]
<TABLE>
<S> <C>
Great Britain 14.1%
Japan 7.3%
France 4.3%
Netherlands 3.4%
Switzerland 3.1%
Hong Kong 1.7%
United States 43.0%
Other 23.1%
</TABLE>
<PAGE> 11
THE GCG TRUST
EMERGING MARKETS SERIES
The Emerging Markets Series (the "Series") seeks long-term capital appreciation.
In 1997, the Series had a total return of (9.37)%. Over the same period, the
Morgan Stanley Capital International Emerging Markets Free Index (the
"benchmark") had a total return of (11.59)%.
Series returns were quite strong during the first half of 1997. Over that
six-month period, the Series provided a total return of 17.28%. Returns were
especially strong in Latin America. The Latin American component of the
benchmark gained 40.8% during the first half of the year. Returns were much
weaker in Asia. The Asian component of the benchmark returned only 2.8% during
the first six months of 1997. Unfortunately, economic conditions continued to
deteriorate in this region, and Asian markets suffered substantially greater
losses during the second half of the year.
In the third quarter, severe economic problems surfaced in Thailand and quickly
spread to other countries in Southeast Asia. These problems intensified during
the fourth quarter, and stock prices plummeted throughout the region. Over the
last six months of 1997, the Asian component of the benchmark dropped 49.6%.
Repercussions from Asia caused stock prices to fall in financial markets around
the world. For example, the Latin American component of the benchmark lost 19.0%
in October. Fortunately, many non-Asian markets rebounded during November and
December, ending the year on a positive note. Despite the sharp decline in
October, the Latin American component of the benchmark lost only 6.5% during the
second half of the year.
Throughout the year, the Series maintained an underweight position in the Asian
markets. This strategy helped performance, as the Asian component of the
benchmark dropped 48.2% during 1997. At the beginning of 1998, the Series
remains slightly underweighted in Asia. Economic conditions are still very poor
in this region.
The Series also benefited from an overweighted position in Latin America. For
the year, the Latin American component of the benchmark gained 31.6%. Entering
1998, the Portfolio Manager has maintained an overweighted allocation to this
region. In particular, the portfolio is overweighted in Mexico and Argentina,
but underweighted in Brazil. 1997 was a very difficult year for investors in
emerging markets. Fortunately, periods of market difficulty often give rise of
exceptional investment opportunities. Given the poor relative performance of
many emerging market countries, the Portfolio Manager is optimistic about
performance in 1998.
PUTNAM INVESTMENT MANAGEMENT, INC.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1997
<TABLE>
<S> <C>
1. Tatneft, ADR 2.2%
2. Y.P.F. S.A., ADR 2.0%
3. Yapi ve Kredi Bankasi S.A., GDR 2.0%
4. Panamerican Beverages Inc., Class A 2.0%
5. Grupo Telivisa S.A., GDR 2.0%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR (9.37)%
10/4/1993 (INCEPTION) (1.89)%
[MOUNTAIN GRAPH INSERTS HERE]
<TABLE>
<CAPTION>
Emerging IFC-Composite Morgan Stanley Emerging
Markets Series Investable Index Markets Free Index**
<S> <C> <C> <C>
10/4/93 10000 10000 10000
12/93 12440 13499 13260
11050 11904 12061
10450 11525 11888
12820 14286 14355
12/94 10552 11879 12290
8867 10132 10769
9809 11018 11886
9842 10980 11810
12/95 9486 10879 11650
9884 11700 12375
10470 12198 12893
10355 11931 12426
12/96 10177 11899 12353
10899 13033 13399
11936 13819 14546
11277 12567 13241
12/97 9223 10145 10922
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On March 3, 1997, Putnam Investment Management, Inc. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
** The comparative index has changed to the Morgan Stanley Capital International
Emerging Market Free Index. This index is similar to the IFC Composite
Investable Index and it should provide a similar representation of stock
returns in emerging market countries.
ASSET DISTRIBUTION BY REGION
[ASSET DISTRIBUTION PIE CHART]
<TABLE>
<S> <C>
Latin American Countries 43.1%
Pacific Rim Countries 20.4%
Eastern Europe 12.5%
Middle East 10.2%
South Africa 7.5%
Western Europe 4.9%
Canada 1.4%
</TABLE>
<PAGE> 12
THE GCG TRUST
HARD ASSETS SERIES
The Hard Assets Series (the "Series") seeks long-term capital appreciation. In
1997, the Series provided a total return of 6.22%. Over the same period, the
Standard and Poors 500 Index and Russell 2000 Index had total returns of 33.36%
and 22.36%, respectively.
In 1997, the Series outperformed the most relevant comparative indices. The
Goldman Sachs Commodity Index declined 14.1%, the Morgan Stanley
Commodity-Related Equity Index lost 0.6%, and the spot price of gold decreased
21.5%. Real estate was the only asset class in the portfolio to provide solid
returns. For the year, the Wilshire Real Estate Securities Index returned 19.8%.
Over the past year, the Series concluded its transition from a natural resources
portfolio to a diversified alternative asset fund. The portfolio's investment
policies were revised to permit investments in sectors that were previously
disallowed. Most importantly, investments in real estate securities were
permitted.
The portfolio's real estate component increased from 0% to 40% during the year.
This strategy helped performance significantly. Over the past year, real estate
securities consistently outperformed the portfolio's other components. Low
interest rates and the favorable supply/demand characteristics of the real
estate market were two of the key reasons.
Another major shift was the reduction of the gold component from 20% to 5% of
the portfolio. This move was also beneficial. Gold-related stocks dropped
significantly due to lower gold prices. Concerns over central bank sales and
weak demand both contributed to the decline in gold prices. Performance was very
strong during the first three quarters of the year. Conditions were more
difficult in the fourth quarter, primarily due to economic turmoil in Asia.
Asian countries consume a large percentage of the world's primary commodities.
When the economic crisis erupted, commodity prices dropped significantly. The
Series doesn't invest in commodities, but many of its investments are heavily
influenced by commodity prices. During the fourth quarter, the Series posted a
loss of 13.45%.
Going into 1998, real estate securities remain the largest component of the
portfolio. Approximately 40% is currently invested in that sector.
Natural resource equities currently represent 40% of the portfolio. The
Portfolio Manager sees tremendous value in this sector, and he is selectively
adding to this component.
Finally, the Portfolio Manager continues to avoid a significant allocation to
gold-related securities. Currently, less than 5% of the portfolio is invested in
that asset class.
VAN ECK ASSOCIATES CORPORATION
TOP FIVE EQUITY HOLDINGS AS OF
DECEMBER 31, 1997
<TABLE>
<S> <C>
1. Aluminum Company of America 3.0%
2. Patriot American Hospitality, Inc. 2.0%
3. Prentiss Properties Trust 2.0%
4. Mack-Cali Reality Corporation 1.9%
5. Tubos de Acero de Mexico SA, ADR 1.9%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
1 YEAR 6.22%
5 YEAR 19.20%
1/24/1989 (INCEPTION) 9.93%
</TABLE>
[MOUNTAIN GRAPH INSERTS HERE]
<TABLE>
<CAPTION>
Hard Assets Series S&P 500 Russell 2000 Index
<S> <C> <C> <C>
1/24/89 10000 10000 10000
9810 9979 10311
9940 10858 10967
10990 12019 11706
12/89 11896 12266 11129
11325 11897 10880
10994 12643 11290
10873 10908 8530
12/90 10250 11885 8962
10629 13608 11626
11147 13575 11442
10922 14300 12378
12/91 10732 15497 13088
10392 15107 14069
11121 15393 13105
10563 15879 13483
12/92 9679 16676 15497
11176 17404 16160
12705 17488 16514
11914 17938 17958
12/93 14512 18354 18423
14324 17659 17932
14240 17733 17231
16183 18598 18428
12/94 14879 18595 18428
14889 20403 18922
15286 22348 20696
16219 24123 22740
12/95 16469 25574 23233
19076 26946 24419
19667 28154 25640
20014 29025 25727
12/96 21932 31442 27065
20949 32287 25666
22583 37918 29827
26917 40758 34266
12/97 23297 41928 33118
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO 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.
[PIE CHART GOES HERE]
<TABLE>
INDUSTRY BREAKDOWN
<S> <C>
Office/Industrial 16.9%
Oil and Gas Exploration 14.2%
Oil/Gas-Equipment and Services 9.2%
Hotel 8.8%
Forest Products and Paper 5.8%
Real Estate 5.8%
Gold/Mining 5.4%
Oil/Gas - International 4.1%
Other 29.8%
</TABLE>
10
<PAGE> 13
THE GCG TRUST
REAL ESTATE SERIES
The Real Estate Series (the "Series") seeks capital appreciation. In 1997, the
Series provided a total return of 22.79%. The Wilshire Real Estate Securities
Index had a total return of 19.80% over the same period.
Over the past year, economic conditions were very favorable for the real estate
securities market. Interest rates were low. Economic growth was strong. Real
estate development activity was relatively low, creating supply/demand
relationships that were favorable for existing properties.
Returns were impressive in most sectors of the real estate securities market.
The hotel and office sectors were the strongest, providing total returns of 30%
and 25%, respectively. Returns were more normalized in the retail and apartment
sectors (14% - 15%). Only two groups were disappointing this year -- storage and
factory outlets. The storage sector experienced a correction, after producing
exceptionally high returns in 1996. Factory outlet companies suffer from weak
fundamentals.
Sector allocations contributed to performance during the year. The Series had
overweighted positions in the hotel and office sectors, and underweighted
exposure to factory outlets and storage companies.
In the future, we see less opportunity to add value through sector allocations.
Most sectors have started to recover from the declines of the 1980s, and
valuations are more consistent across property types. Heading into 1998, our
overweights and underweights are less pronounced, and individual security
selection has become more important.
Stock selection contributed significantly to performance during 1997. The
strongest returns were provided by Vornado Realty Trust (87.7%), Starwood
Lodging (72.2%), Patriot American Hospitality (44.7%), and Catellus Development
(53.8%). The most disappointing returns were provided by Rouse Company (0.8%),
Weeks Corporation (1.8%), Taubman Centers (7.6%) and Nationwide Health (9.4%).
Earlier in the year, we invested in several potential merger targets within the
apartment sector. This strategy worked nicely, as four of our five of these
companies were purchased by other real estate companies. During the fourth
quarter, Evans- Withycombe was merged into Equity Residential, and Post
Properties merged with Columbus.
The U.S. equity market has experienced higher volatility in recent months,
primarily due to economic turmoil in Asia. Since real estate is almost entirely
a domestic industry, the Series was largely insulated from these problems. Most
real estate securities offer a high dividend yield (approximately 6%), which
also protects the portfolio from market volatility.
The Portfolio Manager remains optimistic about the real estate securities
market.
EII REALTY SECURITIES, INC.
TOP FIVE EQUITY HOLDINGS AS OF
DECEMBER 31, 1997
<TABLE>
<S> <C>
1. Crescent Real Estate Equities Inc. 4.6%
2. Equity Office Properties Trust 4.5%
3. Simon DeBartolo Group, Inc. 4.4%
4. Patriot American Hospitality Inc. 4.0%
5. CarrAmerica Realty Corporation 3.6%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
1 YEAR 22.79%
1/24/1989 (INCEPTION) 12.59%
</TABLE>
[MOUNTAIN GRAPH INSERTS HERE]
<TABLE>
<CAPTION>
Real Estate Series Wilshire Real Estate
Securities Index
<S> <C> <C>
1/24/89 10000 10000
9980 10096
10564 10574
10836 10769
12/89 9878 10074
9611 9573
9197 9364
7800 7032
12/90 7826 6703
9660 8482
9618 8123
9905 7900
12/91 10491 8046
10626 8221
10717 7873
11378 8113
12/92 11947 8678
14297 10383
13761 9893
14979 10773
12/93 14010 10000
14586 10225
14661 10347
14511 10190
12/94 14898 10165
14739 10203
15544 10647
16481 11152
12/95 17369 11552
17616 12040
18565 12611
19704 13356
12/96 23499 15811
24029 16101
25029 16842
28410 18969
12/97 28854 18492
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
*On January 1, 1995, EII Realty Securities, Inc. became Portfolio Manager for
the Series. Prior to that date the Series had been advised by another Portfolio
Manager.
[PIE GRAPH INSERTS HERE]
INDUSTRY BREAKDOWN
<TABLE>
<S> <C>
Office/Industrial 29.2%
Apartments 15.2%
Regional Malls 10.7%
Shopping Centers 9.9%
Real Estate 8.6%
Specialty Real Estate 8.4%
Manufactured Housing 4.2%
Self-Storage 3.6%
Other 10.2%
</TABLE>
11
<PAGE> 14
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 year,
the Series provided a total return of 33.82%. The Standard & Poors 500 Index and
Russell Midcap Index had annual returns of 33.36% and 29.01%, respectively.
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.
The accompanying line graph compares the growth of a $10,000 investment in the
Series to similar investments in the Standard & Poors 500 Index and Russell
Midcap Index. As the graph illustrates, Series returns have been very similar to
the returns in the U.S. equity market.
EQUITABLE INVESTMENT SERVICES, INC.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
1 YEAR 33.82%
11/14/1994 (INCEPTION) 24.62%
</TABLE>
[MOUNTAIN GRAPH INSERTS HERE]
<TABLE>
<CAPTION>
Market Manager Series S&P 500 S&P Midcap 400 S&P 500 Midcap 400 Russell Midcap Index**
(Blended Index 50/50)
<S> <C> <C> <C> <C> <C>
11/14/94 10000 10000 10000 10000 10000
12/94 10020 9779 9637 9708 9683
10070 10730 10416 10573 10691
11050 11753 11335 11544 11585
12000 12686 12441 12564 12613
12/95 12458 13449 12619 13034 13019
13100 14171 13396 13783 13803
13473 14806 13782 14294 14192
13848 15264 14183 14724 14636
12/96 14875 16535 15042 15789 15493
3/97 14954 16980 14818 15899 15366
17474 19941 17003 18472 17450
19646 21435 19729 20582 19768
12/97 19906 22050 19893 20972 19987
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE DIVIDENDS AND DISTRIBUTIONS.
THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS
OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE SERIES. PAST
PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On March 3, 1997, Equitable Investment Services, Inc. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
**The comparative indices have changed to the Standard & Poor's 500 Index and
Russell Midcap Index. The Russell Midcap Index is similar to the Standard &
Poor's Midcap 400 Index and should provide a similar representation of stock
returns for mid-cap U.S. stocks.
ASSET ALLOCATION
[ASSET ALLOCATION PIE CHART INSERTS HERE]
<TABLE>
<S> <C>
Equity Index Call Options Purchased 57.2%
U.S. Treasury Obligation 37.0%
Corporate Debt Obligations 5.8%
</TABLE>
12
<PAGE> 15
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 and elimination of unnecessary
risk. The Series had an annual return
of 17.44%.
1997 was a good year for stocks and
bonds. The Standard & Poors 500 Index
(the "S&P 500") had a total return of
33.36%, and the Lehman Brothers
Intermediate Government/Corporate Bond
Index had a total return of 7.87%.
Series returns can be compared to the
portfolio's benchmark, which is a
blend of these two indices (40% of the
S&P 500 and 60% of the Lehman index).
During 1997, the benchmark had a total
return of 17.73%.
The U.S. bond market provided
exceptional returns during 1997.
Yields on 30-year U.S. Treasury bonds
fell from 6.64% to 5.92% over the
course of the year. Declining bond
yields have an inverse effect on bond
prices. When bond yields decrease, the
value of the portfolio's bond
component increases. The lower rates
in 1997 were largely the result of the
Asian economic crisis and the lack of
inflation in the United States.
The portfolio's stock component also
performed extremely well. Returns were
particularly strong in the financial
sector. Financial stocks benefited
from strong financial markets, falling
interest rates and a variety of
mergers. Some highlights include A.G.
Edwards (80.6%), Bear Stearns (81.9%),
Paine Webber (87.3%), Ahmanson & Co
(110.0%) and Fremont General (79.3%).
The telecommunications sector also had
strong performance during 1997.
Unfortunately, many of these stocks
also exhibited considerable
volatility. International phone
companies (especially those in South
America) dropped significantly during
the fourth quarter, primarily due to
repercussions from the crisis in Asia.
Many of these stocks rebounded at the
end of the year, however, and the
industry continues to show impressive
strength.
The most disappointing industry group
was metals and mining. Their weak
performance can be attributed to
deteriorating commodity prices.
Despite their performance in 1997,
these stocks still rank highly in our
value-oriented stock selection models.
The Series has substantial holdings in
the utilities sector. Utility
companies trailed the market during
the first half of the year, but they
provided exceptional returns during
the fourth quarter.
The automotive industry is another
area of concentration. In general,
these companies provided respectable
returns. Ford Motor Company had an
outstanding year, with a total return
of 57.2%.
ZWEIG ADVISORS INC.
TOP FIVE NON CASH HOLDINGS AS OF
DECEMBER 31, 1997
1. U.S. Treasury Obligations due
through 2024
ranging from 5.625% to
10.750% 50.3%
2. Ahmanson (H.F.) &
Company 1.2%
3. Edwards (A.G.), Inc. 1.0%
4. USX-Marathon Group 1.0%
5. Sun Company, Inc. 1.0%
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
1 YEAR 17.44%
5 YEAR 10.78%
1/24/1989 (INCEPTION) 9.91%
<TABLE>
<CAPTION>
[MOUNTAIN GRAPH] 37.5% S&P
500/62.5%
Lehman Lehman 40% S&P
Multiple Brothers Brothers|Intermediate 500/60%
Measurement Period Allocation Intermediate|Government Government Lehman|Intermediate
(Fiscal Year Covered) Series S&P 500 Bond Index Bond Index Govt/Corp.*
<S> <C> <C> <C> <C> <C>
1/24/89 10000 10000 10000 10000 10000
10193 9979 10004 9978 9992
10459 10858 10668 10809 10743
10949 12019 10789 11307 11285
Dec-89 10892 12266 11157 11645 11602
10638 11897 11142 11426 11444
11141 12643 11491 11957 11958
10979 10908 11714 11350 11384
Dec-90 11408 11885 12223 12086 12063
12369 13608 12492 12938 12936
12242 13575 12703 13044 13056
12923 14300 13307 13773 13714
Dec-91 13693 15497 13948 14671 14576
13145 15107 13802 14392 14344
13413 15393 14337 14853 14788
13787 15879 14965 15478 15362
Dec-92 13948 16676 14914 15785 15649
14486 17404 15472 16501 16296
14853 17488 15776 16832 16531
15537 17938 16108 17341 16926
Dec-93 15500 18354 16133 17465 17109
15252 17659 15834 16874 16633
15070 17733 15746 16774 16605
15200 18598 15867 17148 17029
Dec-94 15318 18595 15851 17185 17017
15953 20403 16510 18372 18160
16967 22348 17282 19797 19438
17535 24123 17550 20681 20321
Dec-95 18218 25574 18136 21767 21277
18422 26946 18013 21997 21734
18538 28154 18133 22505 22286
18878 29025 18446 23043 22830
Dec-96 19816 31442 18872 24321 24071
19848 32287 18868 24529 24396
21397 37918 19394 27093 26987
23064 40758 19889 28609 28442
Dec-97 23271 41926 20330 29476 29170
<CAPTION>
Lehman
Intermediate
Measurement Period Government/Corporate
(Fiscal Year Covered) Index
<S> <C>
1/24/89 10000
10002
10666
10795
Dec-89 11159
11243
11500
11702
Dec-90 12181
12488
12710
13323
Dec-91 13962
13836
14384
15018
Dec-92 14964
15557
15893
16252
Dec-93 16279
15947
15853
15983
Dec-94 15965
16665
17498
17787
Dec-95 18413
18259
18374
18700
Dec-96 19158
19136
19900
20232
Dec-97 20665
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE
SERIES INCLUDE REINVESTMENT OF
DIVIDENDS AND DISTRIBUTIONS. THEY DO
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.
*The comparative index has changed from prior years. The new benchmark (40% S&P
500/60% Lehman Intermediate Government/Corporate) more accurately reflects the
investment style of the portfolio.
ASSET ALLOCATION
[ASSET ALLOCATION PIE CHART]
13
<PAGE> 16
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 year, the Series provided a return of 15.27%.
During 1997, the Standard & Poors 500 Index ("S&P 500") had a total return of
33.36%, and the Lehman Brothers Government/Corporate Bond Index ("Lehman") had a
total return of 9.76%. The benchmark for this portfolio (60% S&P 500, 40%
Lehman) had an annual return of 23.66%. Throughout the year, the Portfolio
Manager believed that stocks, in general, were overpriced. He was also concerned
about high levels of volatility in the equity market. For those reasons, he
adopted a cautious investment strategy.
Exposure to the equity markets was reduced. This strategy reduced portfolio
risk, but it also hurt performance. The U.S. stock market generated
exceptionally high returns during 1997, with the Standard & Poors 500 Index
providing an annual return of 33.36%. Portfolio returns were strong, but they
were unable to keep pace with the market.
Many of the portfolio's holdings provided exceptional returns during 1997.
FirstEnergy was one of the strongest equity positions. It was formed through the
merger of Ohio Edison Company and Centerior Energy Corporation. Prior to the
merger, the Series had investments in both of these companies. These investments
provided solid returns before and after the merger.
Media companies continued to be an important part of the portfolio. The Series
had significant positions in the New York Times and Washington Post. In 1997,
these stocks generated total returns of 76.3% and 47.0%, respectively. The
Series continues to hold large positions in these companies, although the New
York Times investment has been reduced substantially.
Gold mining stocks had the most disappointing performance. Their weak
performance is attributable to unfavorable commodity prices. During 1997, gold
prices dropped more than 20%.
Currently, the portfolio is still positioned quite conservatively. The Portfolio
Manager continues to believe that the stock market is overvalued, and he is
concerned about the current level of market risk. The economy is strong, but
economic turmoil in Asia could have negative implications for the United States.
In his opinion, higher equity exposure would not be consistent with the
portfolio's risk-averse mandate.
T. ROWE PRICE ASSOCIATES, INC.
TOP FIVE NON CASH HOLDINGS AS OF DECEMBER 31, 1997
<TABLE>
<S> <C>
1. FirstEnergy Corporation 5.3%
2. Genentech Inc. 3.2%
3. Amerada Hess Corporation 3.2%
4. Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012 2.9%
5. Loews Corporation 2.7%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
1 YEAR 15.27%
5 YEAR 10.08%
1/24/1989 (INCEPTION) 9.37%
</TABLE>
[MOUNTAIN GRAPH INSERTS HERE]
<TABLE>
<CAPTION>
Fully Managed Series S&P 500 Lehman Brothers 60% S&P 500/40%
Corp./Govt. Lehman Brothers Corp./Govt.
<S> <C> <C> <C> <C>
1/89 10000 10000 10000 10000
10101 9979 9977 9978
10589 10858 10779 10826
12/89 10777 12019 10881 11564
10390 12266 11273 11869
10229 11897 11144 11596
10734 12643 11546 12204
12/90 9573 10908 11615 11191
10060 11885 12207 12014
11058 13608 12536 13179
10884 13575 12725 13235
12/91 11912 14300 13457 13963
12970 15497 14175 14969
12820 15107 13963 14649
12470 15393 14528 15047
12/92 12856 15879 15238 15623
13778 16676 15250 16106
14110 17404 15959 16826
14276 17488 16438 17068
12/93 14986 17938 16982 17556
14823 18354 16933 17785
14207 17659 16402 17156
13545 17733 16198 17119
12/94 13910 18598 16279 17670
13745 18595 16338 17692
14356 20403 17153 19103
15272 22348 18266 20715
12/95 16059 24123 18615 21920
16604 25574 19482 23137
17314 26946 19027 23778
17687 26154 19116 24539
12/96 18271 29025 19453 25196
19321 31442 20048 26884
19347 32287 19875 27322
20898 37918 20598 30990
21903 40758 21320 32983
12/97 22271 41928 22004 33958
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On January 1, 1995 T. Rowe Price Associates, Inc. became the Portfolio Manager
of the Series. Prior to that date the Series had been advised by another
Portfolio Manager.
[ASSET ALLOCATION PIE CHART HERE]
ASSET ALLOCATION
<TABLE>
<S> <C>
Common Stocks 51.1%
Convertible Bonds and Notes 22.1%
U.S. Government Agency Obligations 10.0%
Commercial Paper 8.6%
Preferred Stocks 4.5%
U.S. Treasury Obligations 3.5%
Put Stock Options Purchased 0.2%
</TABLE>
14
<PAGE> 17
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.
During 1997, the Series had a total return of 6.67%. The Merrill Lynch 1-5 Year
Corporate/ Government Bond Index (the "benchmark") had a total return of 7.16%
over the same period.
During 1997, the United States had persistently low inflation despite its strong
economy and declining rate of unemployment. This delicate balance was maintained
throughout the year, and bond yields remained within a fairly narrow range. The
yield on five year U.S. Treasury securities varied between 6% and 6.5% for most
of the year. In October, economic problems in Asia started to accelerate. Many
investors moved away from stocks and into fixed income securities, and bond
yields dropped by a substantial amount.
The Portfolio Manager believes that yields will continue to decrease in 1998.
The Federal Reserve Board appears to be unconcerned about inflation. In fact,
Alan Greenspan has indicated that he is concerned about deflation. Conditions in
Asia are still problematic, and investors continue to shift money into the bond
market.
The economy is strong, but it should slow down due to repercussions from the
turmoil in Asia. Many companies have already announced lower sales and earnings.
If economic activity slows, it is very likely that the Federal Reserve Board
will lower the federal funds rate.
The duration of the portfolio was longer than the benchmark throughout most of
the year. This strategy helped performance during the fourth quarter, when bond
yields fell.
A longer duration has also been carried into 1998. This will position the Series
for an environment of stable or declining interest rates.
As bond yields declined, the Portfolio Manager sold some of the portfolio's
mortgage-backed securities. In general, mortgage- backed securities don't
perform well in lower interest rate environments because prepayment rates are
higher. This strategy will help performance in 1998 if rates continued to
decline.
Finally, the Portfolio Manager has increased the average credit quality of the
portfolio. Higher quality securities generate lower returns when interest rates
fall, but they also have less risk. This strategy is designed to reduce
volatility in the portfolio's returns.
EQUITABLE INVESTMENT SERVICES, INC.
TOP FIVE NON CASH HOLDINGS AS OF DECEMBER 31, 1997
<TABLE>
<S> <C>
1. U.S. Treasury Notes due
through 2002 ranging from 6.000% to 6.625% 38.5%
2. Ford Motor Credit Company, 6.550%
due 09/10/2002 4.3%
3. Boise Cascade Corporation,
9.850% due 06/15/2002 4.2%
4. Worldcom Inc., 9.375% due 01/15/2004 4.0%
5. Aristar Inc., 6.500% due 11/15/2003 3.8%
</TABLE>
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1997
<TABLE>
<S> <C>
1 YEAR 6.67%
5 YEAR 5.46%
1/24/1989 (INCEPTION) 6.79%
</TABLE>
[MOUNTAIN GRAPH INSERTS HERE]
<TABLE>
<CAPTION>
Limited Maturity Bond Series Merrill Lynch 1-5 Year Corp./Govt.
Bond Index
<S> <C> <C>
1/24/89 10000 10000
10021 10022
10515 10596
10640 10740
12/89 10958 11068
11013 10944
11298 11261
11473 11521
12/90 11821 11940
12054 12209
12267 12452
12660 12952
12/91 13153 13495
13074 13450
13464 13926
13837 14454
12/92 13789 14424
14148 14882
14334 15112
14585 15383
12/93 14644 15453
14493 15288
14437 15251
14479 15388
12/94 14470 15368
14920 15964
15543 16606
15732 16859
12/95 16167 17360
16138 17345
16283 17488
16521 17786
12/96 16865 18161
16897 18231
17301 18685
17678 19109
12/97 17990 19461
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On August 13, 1996 Equitable Investment Services, Inc. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by other
Portfolio Managers.
[PIE CHART INSERTS HERE]
ASSET ALLOCATION
<TABLE>
<S> <C>
Corporate Debt Securities 48.9%
U.S. Treasury Obligations 38.5%
Commercial Paper 6.7%
Foreign Bonds - U.S. Dollar Denominated 4.6%
U.S. Government Agency Obligations 1.3%
</TABLE>
15
<PAGE> 18
THE GCG TRUST
LIQUID ASSET SERIES
<TABLE>
<CAPTION>
<S> <C>
The objective of the Liquid Asset Series (the "Series") is
a high level of current income consistent with the AVERAGE ANNUAL TOTAL RETURN
preservation of capital and liquidity. For the year, the FOR PERIOD ENDED DECEMBER 31, 1997
Series had a total return of 5.07%. 1 YEAR 5.07%
5 YEAR 4.38%
Short-term interest rates increased gradually throughout 1/24/1989 (INCEPTION) 5.16%
the first quarter of the year. Economic activity had AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF
accelerated during the fourth quarter of 1996 and first DIVIDENDS AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE
quarter of 1997, and investors were concerned about VARIABLE ANNUITY AND VARIABLE LIFE CONTRACTS OR CERTIFICATES
inflationary pressures. On March 25, 1997, the Federal THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE SERIES. PAST
Reserve Board (the "Fed") raised the discount rate by 25 PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
basis points to 5.50% (0.25%), demonstrating their concerns INVESTMENT IN THE LIQUID ASSET SERIES (OR IN ANY OTHER SERIES) IS
about inflation. NEITHER INSURED OR GUARANTEED BY THE U.S. GOVERNMENT. THERE CAN BE
NO ASSURANCE THAT THE LIQUID ASSET SERIES WILL BE ABLE TO MAINTAIN
During the second quarter, the economy slowed and A STABLE NET ASSET VALUE OF $1.00 PER SHARE.
inflationary concerns subsided. Short-term interest rates
declined during the second and third quarters. Then, in the INDUSTRY BREAKDOWN
fourth quarter, Asian markets started their downturn.
The Asian crisis caused short-term interest rates to [INDUSTRY BREAKDOWN PIE CHART]
increase during November and most of December. In
late-December, it became apparent that the Fed was
considering a reduction in the federal funds rate.
Short-term interest rates pulled back, and the year closed
on a positive note.
Despite these fluctuations in short-term interest rates,
the current yield of the Series remained remarkably stable.
The 30-day yield ranged from 4.81% to 5.12%. The highest
yields were obtained during the fourth quarter.
The Portfolio Manager maintained a fairly conservative
stance throughout the year. The average maturity of the
Series ranged from 35 days to 70 days.
In January and February, the average maturity was generally
between 60 and 70 days. During March, the average maturity
was reduced to protect the portfolio from the effects of
rising interest rates. As of April 30, the Series had an
average maturity of approximately 35 days.
Short-term interest rates declined between May and
September, and the average maturity was extended. The
Series had an average maturity of 45 days on June 30 and 65
days on September 30.
As economic problems developed in Asia, the average
maturity was reduced. The average maturity was
approximately 45 days at the end of the year.
Recently, the Portfolio Managers has been extending the
portfolio's average maturity. This strategy will position
the portfolio for a stable or declining interest rate
environment.
This strategy may be changed in conditions warrant. The
Series holds highly liquid instruments, and this provides
the Portfolio Manager with a significant amount of
flexibility.
EQUITABLE INVESTMENT SERVICES, INC.
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1997
1. Anheuser-Busch Companies, Inc.,
5.707% due 01/30/1998 4.4%
2. Cargill Inc.,
5.693% due 03/09/1998 4.2%
3. International Business Machines
Corporation, 5.691% due
03/11/1998 4.0%
4. Florida Power,
5.906% due 02/17/1998 3.9%
5. Sweden (Kingdom of),
5.732% due 03/16/1998 3.8%
</TABLE>
16
<PAGE> 19
DESCRIPTION OF COMPARATIVE INDICES
IFC Composite Investable Index -- an index of equity securities in emerging
markets.
Lehman Brothers Government/Corporate Bond Index -- an index consisting of
U.S. government securities and investment grade corporate debt securities. As of
January 31, 1998, the average maturity of the index was 10.2 years.
Lehman Brothers Intermediate Government/Corporate Bond Index -- an index
consisting of intermediate-term U.S. government securities and investment grade
corporate debt securities. As of January 31, 1998, the average maturity of the
index was 4.2 years.
Lehman Brothers Intermediate Government Bond Index -- an index consisting
of intermediate-term U.S. government securities. As of January 31, 1998, the
average maturity of the index was 3.8 years.
Merrill Lynch 1-5 Year Corporate/Government Bond Index -- an index
consisting of government securities and investment grade corporate debt
securities with remaining maturities between one and five years.
Morgan Stanley Capital International All Country World Free Index -- an
index of equity securities in countries around the world, including the United
States, other developed countries and emerging markets.
Morgan Stanley Capital International EAFE (Europe, Australasia and Far
East) Index -- an index of equity securities in developed countries outside the
United States.
Morgan Stanley Capital International Emerging Markets Free Index -- an
index of equity securities in emerging markets.
Russell Midcap Index -- an index consisting of the 800 smallest companies
in the Russell 1000 Index. The Russell 1000 Index contains the 1,000 largest
companies in the U.S. As of May 31, 1997, the median market capitalization of
the Russell Midcap Index was $2.3 billion.
Russell 2000 Index -- an index consisting of the 2,000 smallest companies
in the Russell 3000 Index. The Russell 3000 Index contains the 3,000 largest
companies in the U.S. As of May 31, 1997, the median market capitalization of
the Russell 2000 Index was $400 million.
Russell 2000 Growth Index -- an index consisting of companies in the
Russell 2000 Index with higher price-to-book ratios and higher forecasted
earnings growth.
Standard & Poors 500 Index -- an index consisting of 500 U.S. stocks. As of
January 31, 1998, the mean market value of these companies was $15.3 billion.
Standard & Poors Midcap 400 Index -- an index consisting of 400 mid-cap
stocks. As of January 31, 1998, the mean market value of these companies was
$2.2 billion.
Wilshire Real Estate Securities Index -- an index consisting of equity
securities issued by real estate investment trusts (REITs) and real estate
operating companies (REOCs).
17
<PAGE> 20
[This page is intentionally left blank]
18
<PAGE> 21
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Board of Trustees and Contractholders
The GCG Trust
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments of Small Cap Series, All-Growth Series,
Capital Appreciation Series, Value Equity Series, Rising Dividends Series,
Strategic Equity Series, Managed Global Series, Emerging Markets Series, Hard
Assets Series, Real Estate Series, Market Manager Series, Multiple Allocation
Series, Fully Managed Series, Limited Maturity Bond Series and Liquid Asset
Series (15 of the Series comprising The GCG Trust) as of December 31, 1997, and
the related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1997, by correspondence with the custodian
and brokers, or other appropriate auditing procedures where replies from brokers
were not received. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective Series constituting The GCG Trust at December 31, 1997,
and the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended, in
conformity with generally accepted accounting principles.
[ERNST & YOUNG LLP SIGNATURE]
Boston, Massachusetts
February 20, 1998
19
<PAGE> 22
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1997
<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................... $55,741,861 $65,947,148 $149,615,210 $70,890,868 $185,980,800 $44,527,743
=========== =========== ============ =========== ============ ===========
At value............................. $66,337,866 $75,860,625(a) $194,073,126 $79,436,766 $251,132,097 $51,837,263
Cash................................... 94,108 -- 944 -- 1,809 2,685
Receivables:
Shares of beneficial interest sold... 48,022 137,364 2,266 218,626 858,114 1,243
Investment securities sold........... -- -- -- 2,179,833 -- 36,632
Dividends and/or interest............ 8,535 28,278 248,848 121,958 198,780 56,193
Net unrealized appreciation on forward
foreign exchange contracts........... -- -- -- -- -- --
Prepaid expenses....................... -- -- -- -- -- --
Other assets........................... -- -- -- 9,175 -- --
----------- ----------- ------------ ----------- ------------ -----------
Total Assets....................... 66,488,531 76,026,267 194,325,184 81,966,358 252,190,800 51,934,016
----------- ----------- ------------ ----------- ------------ -----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed......................... 92,980 55 339,576 1 6 145,298
Investment securities purchased.... -- 2,169,731 -- 1,844,746 -- --
Cash overdraft......................... -- -- -- 25,420 -- 193
Options written (Premiums received
$26,398) (Note 1).................... -- -- -- 48,125 -- --
Variation margin....................... -- -- -- -- -- --
Accrued Trustees' fees and expenses
(Note 2)............................. -- -- -- -- -- --
Accrued expenses and other payables.... -- -- -- -- -- --
----------- ----------- ------------ ----------- ------------ -----------
Total Liabilities.................. 92,980 2,169,786 339,576 1,918,292 6 145,491
----------- ----------- ------------ ----------- ------------ -----------
NET ASSETS............................. $66,395,551 $73,856,481 $193,985,608 $80,048,066 $252,190,794 $51,788,525
=========== =========== ============ =========== ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital........................ $60,008,577 $65,485,969 $137,305,962 $69,272,879 $178,625,765 $42,722,903
Undistributed net investment
income/(loss)........................ -- -- 336,095 164,963 363,705 161,924
Accumulated net realized gain/(loss) on
securities, futures contracts,
written options, forward foreign
exchange contracts and foreign
currency transactions................ (4,209,031) (1,542,965) 11,885,635 2,086,053 8,050,027 1,576,446
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
written options, forward foreign
exchange contracts and other assets
and liabilities denominated in
foreign currencies................... 10,596,005 9,913,477 44,457,916 8,524,171 65,151,297 7,327,252
----------- ----------- ------------ ----------- ------------ -----------
Total Net Assets................... $66,395,551 $73,856,481 $193,985,608 $80,048,066 $252,190,794 $51,788,525
=========== =========== ============ =========== ============ ===========
Shares of beneficial interest
outstanding.......................... 5,012,692 5,361,887 10,988,655 4,963,513 12,585,942 3,799,659
=========== =========== ============ =========== ============ ===========
NET ASSET VALUE, offering price and
redemption price per share of
beneficial interest outstanding...... $ 13.25 $ 13.77 $ 17.65 $ 16.13 $ 20.04 $ 13.63
=========== =========== ============ =========== ============ ===========
</TABLE>
- ------------------
(a) The All-Growth Series and the Managed Global Series include repurchase
agreements amounting to $5,221,095 and $1,517,000, respectively.
See Notes to Financial Statements.
20
<PAGE> 23
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 97,493,000 $40,424,923 $39,870,643 $57,805,023 $3,887,490 $231,729,826 $145,440,502 $52,664,423
============ =========== =========== =========== ========== ============ ============ ===========
$103,590,533(a) $37,716,002 $42,524,976 $74,002,049 $6,790,123 $261,623,021 $170,068,366 $53,221,772
565,564 1,163,986 4,206,221 61,413 -- 111,687 2,544 809
1,028,025 85,260 930,375 481,444 -- 54,596 -- 16,134
1,430,280 722,214 529,981 984,306 -- -- 45,198 --
242,317 126,781 104,418 317,569 4,629 2,809,452 813,094 600,264
334,613 -- -- -- -- -- -- --
9,083 4,991 -- -- -- -- -- --
-- 3 16,380 -- 174 -- -- 265
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
107,200,415 39,819,237 48,312,351 75,846,781 6,794,926 264,598,756 170,929,202 53,839,244
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
-- 29 19 21 -- 3 64,564 25
1,876,102 383,073 2,081,520 316,792 -- -- 877,952 --
-- -- -- -- 3,876 -- -- --
-- -- -- -- -- -- -- --
-- -- 2,210 -- -- -- -- --
-- -- -- -- -- -- -- --
21,740 -- -- -- -- -- -- --
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
1,897,842 383,102 2,083,749 316,813 3,876 3 942,516 25
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
$105,302,573 $39,436,135 $46,228,602 $75,529,968 $6,791,050 $264,598,753 $169,986,686 $53,839,219
============ =========== =========== =========== ========== ============ ============ ===========
$ 98,834,109 $53,984,527 $43,426,645 $54,346,233 $3,882,794 $228,811,281 $141,331,747 $52,685,354
84,471 (138,391) 34,617 664,535 612 2,527,112 932,261 940,370
33,527 (11,316,748) 121,031 4,322,175 5,011 3,367,115 3,094,955 (343,854)
6,350,466 (3,093,253) 2,646,309 16,197,025 2,902,633 29,893,245 24,627,723 557,349
------------ ----------- ----------- ----------- ---------- ------------ ------------ -----------
$105,302,573 $39,436,135 $46,228,602 $75,529,968 $6,791,050 $264,598,753 $169,986,686 $53,839,219
============ =========== =========== =========== ========== ============ ============ ===========
9,189,817 4,481,305 3,072,210 4,134,084 412,444 20,218,274 10,804,338 5,224,315
============ =========== =========== =========== ========== ============ ============ ===========
$ 11.46 $ 8.80 $ 15.05 $ 18.27 $ 16.47 $ 13.09 $ 15.73 $ 10.31
============ =========== =========== =========== ========== ============ ============ ===========
<CAPTION>
LIQUID
ASSET
SERIES
-----------
<S> <C>
$57,565,917
===========
$57,565,917
119
1,841,130
--
47,597
--
--
-----------
59,454,763
-----------
1,947
--
--
--
-----------
1,947
-----------
$59,452,816
===========
$59,455,251
--
(2,435)
--
-----------
$59,452,816
===========
59,455,281
===========
$ 1.00
===========
</TABLE>
See Notes to Financial Statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
Statements of Operations
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY
SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ------------ ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends................................... $ 140,238 $ 152,507 $ 2,701,921 $ 1,220,286 $ 2,820,718 $ 663,251
Foreign taxes withheld on dividend and
interest income........................... (313) -- -- (5,471) -- (2,290)
Interest.................................... 173,892 232,631 578,587 171,109 742,701 490,784
----------- ----------- ----------- ----------- ----------- ----------
Total Investment Income................... 313,817 385,138 3,280,508 1,385,924 3,563,419 1,151,745
----------- ----------- ----------- ----------- ----------- ----------
EXPENSES:
Unified fees (Note 2)....................... 472,567 730,309 1,664,222 591,758 1,794,223 394,343
Trustees' fees and expenses (Note 2)........ 3,527 6,514 13,847 4,594 13,630 3,065
Other....................................... -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------
Total Expenses............................ 476,094 736,823 1,678,069 596,352 1,807,853 397,408
----------- ----------- ----------- ----------- ----------- ----------
NET INVESTMENT INCOME/(LOSS)................ (162,277) (351,685) 1,602,439 789,572 1,755,566 754,337
----------- ----------- ----------- ----------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) from:
Security transactions..................... (2,345,204) 6,011,558 25,886,926 7,145,879 12,060,684 4,231,193
Futures contracts......................... -- -- -- -- -- (1,187,460)
Written options........................... -- -- -- 823,251 -- --
Forward foreign exchange contracts........ -- -- -- -- -- (2)
Foreign currency transactions............. -- -- -- -- -- (75)
Net change in unrealized
appreciation/(depreciation) on:
Securities................................ 7,983,775 (1,400,729) 15,156,059 4,582,156 32,431,516 5,063,763
Futures contracts......................... -- -- -- -- -- (47,122)
Written options........................... -- -- -- (45,237) -- --
Investments sold short.................... -- (12,060) -- -- -- --
Forward foreign exchange contracts........ -- -- -- -- -- --
Other assets and liabilities denominated
in foreign currencies................... -- -- -- -- -- 4
----------- ----------- ----------- ----------- ----------- ----------
Net realized and unrealized gain/(loss) on
investments............................. 5,638,571 4,598,769 41,042,985 12,506,049 44,492,200 8,060,301
----------- ----------- ----------- ----------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................ $ 5,476,294 $ 4,247,084 $42,645,424 $13,295,621 $46,247,766 $8,814,638
=========== =========== =========== =========== =========== ==========
</TABLE>
See Notes to Financial Statements.
22
<PAGE> 25
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY MATURITY LIQUID
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1,363,216 $ 683,866 $ 653,004 $ 3,237,171 -- $ 3,465,412 $ 2,310,123 -- --
(140,105) (41,476) (7,936) (427) -- (18,220) (5,526) -- --
182,750 226,738 178,538 167,461 $ 201,968 9,605,243 3,249,575 $4,763,806 $2,699,023
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
1,405,861 869,128 823,606 3,404,205 201,968 13,052,435 5,554,172 4,763,806 2,699,023
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
1,238,852 845,126 462,392 611,872 63,055 2,635,937 1,489,990 454,760 289,064
8,134 4,587 3,899 3,384 523 23,215 12,458 6,809 3,044
101,706 63,283 -- -- -- -- -- -- --
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
1,348,692 912,996 466,291 615,256 63,578 2,659,152 1,502,448 461,569 292,108
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
57,169 (43,868) 357,315 2,788,949 138,390 10,393,283 4,051,724 4,302,237 2,406,915
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
6,656,877 1,164,755 8,420,590 6,334,789 334,050 17,927,764 10,615,255 101,572 (816)
-- -- (51,526) -- -- (123,690) -- -- --
-- -- -- -- -- -- -- -- --
2,162,626 (223,593) (15,503) -- -- -- -- -- --
(331,650) (47,532) (11,159) -- -- (60) (777) -- --
2,007,480 (3,343,583) (5,774,212) 4,106,606 1,357,875 14,967,112 7,041,894 454,094 --
-- -- (4,406) -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
158,835 24 315 -- -- -- -- -- --
(57,699) (351,687) (3,561) -- -- 88 25,648 -- --
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
10,596,469 (2,801,616) 2,560,538 10,441,395 1,691,925 32,771,214 17,682,020 555,666 (816)
----------- ----------- ---------- ----------- ---------- ----------- ----------- ---------- ----------
$10,653,638 $(2,845,484) $2,917,853 $13,230,344 $1,830,315 $43,164,497 $21,733,744 $4,857,903 $2,406,099
=========== =========== ========== =========== ========== =========== =========== ========== ==========
</TABLE>
See Notes to Financial Statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1997
<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)....... $ (162,277) $ (351,685) $ 1,602,439 $ 789,572 $ 1,755,566 $ 754,337
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
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
------------ ------------ ------------ ----------- ------------ -----------
Net increase in net assets
resulting from operations........ 5,476,294 4,247,084 42,645,424 13,295,621 46,247,766 8,814,638
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............. -- (167,479) (1,586,754) (777,919) (1,618,583) (678,032)
In excess of net investment
income........................... -- -- -- -- -- --
Net realized gains................. -- (1,930,785) (16,079,375) (6,283,471) (4,219,889) (1,942,391)
CAPITAL SHARE TRANSACTIONS:
Shares sold........................ 40,302,241 6,640,625 27,704,667 27,490,149 93,744,927 17,949,888
Shares issued as reinvestment of
dividends........................ -- 2,098,264 17,666,128 7,061,390 5,838,473 2,620,421
Shares redeemed.................... (13,747,702) (15,781,173) (25,116,980) (5,358,048) (14,040,541) (5,399,420)
------------ ------------ ------------ ----------- ------------ -----------
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
------------ ------------ ------------ ----------- ------------ -----------
Net increase/(decrease) in net
assets............................. 32,030,833 (4,893,464) 45,233,110 35,427,722 125,952,153 21,365,104
NET ASSETS:
Beginning of period.................. 34,364,718 78,749,945 148,752,498 44,620,344 126,238,641 30,423,421
------------ ------------ ------------ ----------- ------------ -----------
End of period........................ $ 66,395,551 $ 73,856,481 $193,985,608 $80,048,066 $252,190,794 $51,788,525
============ ============ ============ =========== ============ ===========
Undistributed net investment
income/(loss)...................... $ -- $ -- $ 336,095 $ 164,963 $ 363,705 $ 161,924
============ ============ ============ =========== ============ ===========
TRANSACTIONS IN FUND SHARES:
Shares sold........................ 3,265,056 480,563 1,584,454 1,688,644 5,080,986 1,415,924
Shares issued as reinvestment of
dividends........................ -- 153,255 997,478 437,737 292,301 193,606
Shares redeemed.................... (1,114,385) (1,152,164) (1,472,937) (347,566) (770,378) (414,126)
------------ ------------ ------------ ----------- ------------ -----------
Net increase/(decrease).............. 2,150,671 (518,346) 1,108,995 1,778,815 4,602,909 1,195,404
============ ============ ============ =========== ============ ===========
</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.
24
<PAGE> 27
<TABLE>
<CAPTION>
LIMITED
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES SERIES SERIES+ SERIES SERIES SERIES
------------ ------------ ------------ ------------ ---------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 57,169 $ (43,868) $ 357,315 $ 2,788,949 $ 138,390 $ 10,393,283 $ 4,051,724 $ 4,302,237
8,487,853 893,630 8,342,402 6,334,789 334,050 17,804,014 10,614,478 101,572
2,108,616 (3,695,246) (5,781,864) 4,106,606 1,357,875 14,967,200 7,067,542 454,094
------------ ------------ ------------ ------------ ---------- ------------ ------------ ------------
10,653,638 (2,845,484) 2,917,853 13,230,344 1,830,315 43,164,497 21,733,744 4,857,903
(1,426,847) (48,446) (307,920) (2,424,102) (137,990) (10,225,709) (4,129,884) (4,257,186)
(618,109) -- -- -- -- -- -- --
(6,691,768) -- (9,313,654) (2,696,366) (329,039) (17,190,742) (9,274,889) --
30,137,025 18,460,665 16,245,443 25,988,226 -- 4,363,453 24,402,111 12,322,754
8,736,723 48,446 9,621,392 5,120,468 467,029 27,416,451 13,404,773 4,257,185
(21,864,490) (27,689,479) (16,837,912) (14,823,210) (624,125) (55,720,412) (12,808,700) (44,658,613)
------------ ------------ ------------ ------------ ---------- ------------ ------------ ------------
17,009,258 (9,180,368) 9,028,923 16,285,484 (157,096) (23,940,508) 24,998,184 (28,078,674)
------------ ------------ ------------ ------------ ---------- ------------ ------------ ------------
18,926,172 (12,074,298) 2,325,202 24,395,360 1,206,190 (8,192,462) 33,327,155 (27,477,957)
86,376,401 51,510,433 43,903,400 51,134,608 5,584,860 272,791,215 136,659,531 81,317,176
------------ ------------ ------------ ------------ ---------- ------------ ------------ ------------
$105,302,573 $ 39,436,135 $ 46,228,602 $ 75,529,968 $6,791,050 $264,598,753 $169,986,686 $ 53,839,219
============ ============ ============ ============ ========== ============ ============ ============
$ 84,471 $ (138,391) $ 34,617 $ 664,535 $ 612 $ 2,527,112 $ 932,261 $ 940,370
============ ============ ============ ============ ========== ============ ============ ============
2,473,206 1,702,996 868,667 1,496,367 -- 332,402 1,541,076 1,145,356
752,258 4,596 622,948 280,846 28,477 2,079,311 849,634 410,051
(1,798,765) (2,527,913) (878,297) (843,396) (38,453) (4,177,968) (809,383) (4,129,852)
------------ ------------ ------------ ------------ ---------- ------------ ------------ ------------
1,426,699 (820,321) 613,318 933,817 (9,976) (1,766,255) 1,581,327 (2,574,445)
============ ============ ============ ============ ========== ============ ============ ============
<CAPTION>
LIQUID
ASSET
SERIES
------------
<S> <C>
$ 2,406,915
(816)
--
------------
2,406,099
(2,406,915)
--
105,883,519
2,406,914
(87,932,514)
------------
20,357,919
------------
20,357,103
39,095,713
------------
$ 59,452,816
============
$ --
============
105,883,519
2,406,914
(87,932,514)
------------
20,357,919
============
</TABLE>
See Notes to Financial Statements.
25
<PAGE> 28
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY
SERIES* SERIES SERIES SERIES SERIES SERIES
------------ ------------ ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss)....... $ (14,899) $ 788,684 $ 1,514,261 $ 687,984 $ 991,337 $ 406,410
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange
contracts and foreign currency
transactions..................... (1,863,942) (5,626,514) 10,331,984 1,671,519 1,608,438 820,083
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
written options, investments sold
short, forward foreign exchange
contracts and other assets and
liabilities denominated in
foreign currencies............... 2,612,230 3,952,364 12,871,108 1,631,687 15,975,452 2,298,765
------------ ------------ ------------ ----------- ------------ -----------
Net increase/(decrease) in net
assets resulting from
operations....................... 733,389 (885,466) 24,717,353 3,991,190 18,575,227 3,525,258
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............. -- (874,994) (1,559,277) (578,788) (990,183) (347,741)
Net realized gains................. -- (1,084,328) (9,340,494) (1,449,349) (838,560) (334,167)
CAPITAL SHARE TRANSACTIONS:
Shares sold........................ 48,980,471 10,530,736 24,339,298 19,936,825 41,205,991 20,642,101
Shares issued as reinvestment of
dividends........................ -- 1,959,321 10,899,771 2,028,137 1,828,743 681,908
Shares redeemed.................... (15,354,142) (24,093,726) (22,531,393) (8,138,159) (14,752,286) (1,811,398)
------------ ------------ ------------ ----------- ------------ -----------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS....................... 33,626,329 (11,603,669) 12,707,676 13,826,803 28,282,448 19,512,611
------------ ------------ ------------ ----------- ------------ -----------
Net increase/(decrease) in net
assets............................. 34,359,718 (14,448,457) 26,525,258 15,789,856 45,028,932 22,355,961
NET ASSETS:
Beginning of year.................... 5,000 93,198,402 122,227,240 28,830,488 81,209,709 8,067,460
------------ ------------ ------------ ----------- ------------ -----------
End of year.......................... $ 34,364,718 $ 78,749,945 $148,752,498 $44,620,344 $126,238,641 $30,423,421
============ ============ ============ =========== ============ ===========
Undistributed net investment
income/(loss)...................... $ -- $ 167,481 $ 334,278 $ 153,310 $ 226,722 $ 85,696
============ ============ ============ =========== ============ ===========
TRANSACTIONS IN FUND SHARES:
Shares sold........................ 4,204,712 740,422 1,649,994 1,468,459 2,786,219 1,903,728
Shares issued as reinvestment of
dividends........................ -- 147,444 720,410 145,097 115,222 58,493
Shares redeemed.................... (1,343,191) (1,771,856) (1,536,664) (596,801) (1,024,265) (163,819)
------------ ------------ ------------ ----------- ------------ -----------
Net increase/(decrease).............. 2,861,521 (883,990) 833,740 1,016,755 1,877,176 1,798,402
============ ============ ============ =========== ============ ===========
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Small Cap Series commenced operations on January 3,
1996.
+ As of March 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
MANAGED EMERGING HARD REAL MARKET MULTIPLE FULLY MATURITY
GLOBAL MARKETS ASSETS ESTATE MANAGER ALLOCATION MANAGED BOND
SERIES SERIES SERIES SERIES SERIES+ SERIES SERIES SERIES
------------ ------------ ------------ ----------- ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 319,464 $ 198,529 $ 125,181 $ 2,076,475 $ 177,449 $ 11,245,549 $ 4,890,021 $ 4,409,981
7,448,103 (96,039) 5,202,516 1,565,070 271,057 12,734,768 9,354,731 (419,245)
1,405,715 3,437,230 4,502,376 8,753,155 572,521 (239,570) 5,197,655 (625,852)
------------ ------------ ------------ ----------- ----------- ------------ ------------ ------------
9,173,282 3,539,720 9,830,073 12,394,700 1,021,027 23,740,747 19,442,407 3,364,884
-- -- (148,094) (2,222,780) (177,237) (12,158,230) (4,787,012) (8,339,700)
(396,393) -- (4,617,071) (853,544) (271,993) (12,765,407) (5,697,159) (197,828)
17,457,906 14,469,857 18,802,646 9,649,036 -- 4,680,143 13,185,699 12,266,175
396,393 -- 4,765,164 3,076,324 449,230 24,923,638 10,484,171 8,537,528
(12,673,452) (14,473,527) (11,876,336) (5,884,047) (1,388,588) (63,320,596) (14,557,524) (24,395,251)
------------ ------------ ------------ ----------- ----------- ------------ ------------ ------------
5,180,847 (3,670) 11,691,474 6,841,313 (939,358) (33,716,815) 9,112,346 (3,591,548)
------------ ------------ ------------ ----------- ----------- ------------ ------------ ------------
13,957,736 3,536,050 16,756,382 16,159,689 (367,561) (34,899,705) 18,070,582 (8,764,192)
72,418,665 47,974,383 27,147,018 34,974,919 5,952,421 307,690,920 118,588,949 90,081,368
------------ ------------ ------------ ----------- ----------- ------------ ------------ ------------
$ 86,376,401 $ 51,510,433 $ 43,903,400 $51,134,608 $ 5,584,860 $272,791,215 $136,659,531 $ 81,317,176
============ ============ ============ =========== =========== ============ ============ ============
$ 171,198 $ 48,445 $ 12,713 $ 461,696 $ 212 $ 2,359,598 $ 1,011,198 $ 882,464
============ ============ ============ =========== =========== ============ ============ ============
1,553,974 1,483,387 1,055,921 668,832 -- 369,719 899,422 1,109,922
35,776 -- 266,392 199,201 33,652 1,995,933 706,645 810,656
(1,101,006) (1,478,948) (668,408) (437,975) (105,933) (4,951,880) (984,350) (2,201,243)
------------ ------------ ------------ ----------- ----------- ------------ ------------ ------------
488,744 4,439 653,905 430,058 (72,281) (2,586,228) 621,717 (280,665)
============ ============ ============ =========== =========== ============ ============ ============
<CAPTION>
LIQUID
ASSET
SERIES
------------
<S> <C>
$ 1,959,153
(1,432)
--
------------
1,957,721
(1,959,153)
--
71,740,567
1,953,945
(73,186,056)
------------
508,456
------------
507,024
38,588,689
------------
$ 39,095,713
============
$ --
============
71,740,567
1,953,945
(73,186,056)
------------
508,456
============
</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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
ENDED ENDED
12/31/97 12/31/96*
--------- ---------
<S> <C> <C>
Net asset value, beginning of year.......................... $ 12.01 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss......................................... (0.03) (0.01)
Net realized and unrealized gain on investments............. 1.27 2.02
------- -------
Total from investment operations............................ 1.24 2.01
------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income........................ -- --
Distributions from capital gains............................ -- --
------- -------
Total distributions......................................... -- --
------- -------
Net asset value, end of year................................ $ 13.25 $ 12.01
======= =======
Total return................................................ 10.32% 20.10%++
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).......................... $66,396 $34,365
Ratio of operating expenses to average net assets........... 0.99% 0.99%++
Ratio of net investment loss to average net assets.......... (0.34)% (0.08)%++
Portfolio turnover rate..................................... 130% 117%
Average commission rate paid(a)............................. $0.0706 $0.0621
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Small Cap Series commenced operations on January 3,
1996.
++ Non-annualized
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
ALL-GROWTH SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.................... $ 13.39 $ 13.78 $ 11.86 $ 13.42 $ 12.64
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss).......................... (0.06) 0.14 0.18 0.11 0.05
Net realized and unrealized gain/(loss) on
investments......................................... 0.84 (0.23) 2.47 (1.56) 0.78
------- ------- ------- ------- -------
Total from investment operations...................... 0.78 (0.09) 2.65 (1.45) 0.83
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.................. (0.03) (0.14) (0.14) (0.11) (0.05)
Distributions from capital gains...................... (0.37) (0.16) (0.59) -- --
------- ------- ------- ------- -------
Total distributions................................... (0.40) (0.30) (0.73) (0.11) (0.05)
------- ------- ------- ------- -------
Net asset value, end of year.......................... $ 13.77 $ 13.39 $ 13.78 $ 11.86 $ 13.42
======= ======= ======= ======= =======
Total return.......................................... 5.87% (0.57)% 22.42% (10.77)% 6.56%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................... $73,856 $78,750 $93,198 $71,218 $56,491
Ratio of operating expenses to average net assets..... 0.99% 1.00% 1.01% 1.00% 1.01%
Decrease reflected in above expense ratio due to
expense limitations................................. -- -- -- -- 0.01%
Ratio of net investment income/(loss) to average net
assets.............................................. (0.47)% 0.86% 1.42% 1.08% 0.52%
Portfolio turnover rate............................... 325% 118% 81% 196% 29%
Average commission rate paid(a)....................... $0.0533 $0.0592 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since February 3, 1997, Pilgrim Baxter & Associates, Ltd.
has served as Portfolio Manager for the All-Growth Series.
Prior to that date, different firms served as Portfolio
Manager.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
29
<PAGE> 32
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.................... $ 15.06 $ 13.51 $ 11.34 $ 11.76 $ 11.00
-------- -------- -------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................. 0.16 0.16 0.19 0.23 0.13
Net realized and unrealized gain/(loss) on
investments......................................... 4.19 2.57 3.22 (0.42) 0.78
-------- -------- -------- ------- -------
Total from investment operations...................... 4.35 2.73 3.41 (0.19) 0.91
-------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.................. (0.16) (0.17) (0.15) (0.23) (0.13)
Distributions from capital gains...................... (1.60) (1.01) (1.09) -- (0.02)
-------- -------- -------- ------- -------
Total distributions................................... (1.76) (1.18) (1.24) (0.23) (0.15)
-------- -------- -------- ------- -------
Net asset value, end of year.......................... $ 17.65 $ 15.06 $ 13.51 $ 11.34 $ 11.76
======== ======== ======== ======= =======
Total return.......................................... 28.95% 20.26% 30.16% (1.59)% 8.31%
======== ======== ======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................... $193,986 $148,752 $122,227 $88,890 $87,219
Ratio of operating expenses to average net assets..... 0.99% 1.00% 1.01% 1.00% 1.02%
Decrease reflected in above expense ratio due to
expense limitations................................. -- -- -- -- 0.04%
Ratio of net investment income to average net
assets.............................................. 0.95% 1.12% 1.53% 1.96% 1.69%
Portfolio turnover rate............................... 51% 64% 98% 84% 67%
Average commission rate paid(a)....................... $ 0.0599 $ 0.0590 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
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 YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR
ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95*
-------- -------- ---------
<S> <C> <C> <C>
Net asset value, beginning of year.......................... $ 13.92 $ 13.18 $ 10.00
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................................... 0.16 0.22 0.08
Net realized and unrealized gain on investments............. 3.63 1.18 3.44
------- ------- -------
Total from investment operations............................ 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 year................................ $ 16.13 $ 13.92 $ 13.18
======= ======= =======
Total return................................................ 27.28% 10.62% 35.21%
======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).......................... $80,048 $44,620 $28,830
Ratio of operating expenses to average net assets........... 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets........ 1.31% 1.80% 1.53%
Portfolio turnover rate..................................... 128% 131% 86%
Average commission rate paid(a)............................. $0.0589 $0.0575 N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Value Equity Series commenced operations on January 3,
1995.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
31
<PAGE> 34
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96# 12/31/95 12/31/94 12/31/93*
-------- --------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.................. $ 15.81 $ 13.30 $ 10.22 $ 10.30 $ 10.00
-------- -------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............................... 0.14 0.14 0.13 0.14 0.01
Net realized and unrealized gain/(loss) on
investments....................................... 4.57 2.61 3.04 (0.08) 0.30
-------- -------- ------- ------- -------
Total from investment operations.................... 4.71 2.75 3.17 0.06 0.31
-------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................ (0.13) (0.13) (0.09) (0.14) (0.01)
Distributions from capital gains.................... (0.35) (0.11) -- -- --
-------- -------- ------- ------- -------
Total distributions................................. (0.48) (0.24) (0.09) (0.14) (0.01)
-------- -------- ------- ------- -------
Net asset value, end of year........................ $ 20.04 $ 15.81 $ 13.30 $ 10.22 $ 10.30
======== ======== ======= ======= =======
Total return........................................ 29.82% 20.65% 31.06% 0.59% 3.10%++
======== ======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................. $252,191 $126,239 $81,210 $50,712 $14,430
Ratio of operating expenses to average net assets... 0.99% 1.00% 1.01% 1.00% 0.24%++
Ratio of net investment income to average net
assets............................................ 0.96% 0.99% 1.24% 1.88% 0.34%++
Portfolio turnover rate............................. 26% 15% 43% 26% 3%
Average commission rate paid(a)..................... $ 0.0600 $ 0.0600 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Rising Dividends Series commenced operations on October
4, 1993.
++ Non-annualized
# Per share numbers have been calculated using the monthly
average share method, which more appropriately represents
the per share data for the period.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
32
<PAGE> 35
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR PERIOD
ENDED ENDED ENDED
12/31/97 12/31/96## 12/31/95*
-------- ---------- ---------
<S> <C> <C> <C>
Net asset value, beginning of year.......................... $ 11.68 $ 10.01 $10.00
------- ------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................................... 0.20 0.23 0.06
Net realized and unrealized gain/(loss) on investments...... 2.49 1.71 (0.03)#
------- ------- ------
Total from investment operations............................ 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 year................................ $ 13.63 $ 11.68 $10.01
======= ======= ======
Total return................................................ 23.16% 19.39% 0.33%++
======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).......................... $51,789 $30,423 $8,067
Ratio of operating expenses to average net assets........... 0.99% 1.00% 1.00%+
Ratio of net investment income to average net assets........ 1.88% 2.05% 4.04%+
Portfolio turnover rate..................................... 105% 133% 29%
Average commission rate paid(a)............................. $0.0288 $0.0269 N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Strategic Equity Series commenced operations on October
2, 1995.
+ Annualized
++ Non-annualized
# The amount shown may not accord with the change in the
aggregate gains and losses of portfolio securities due to
timing of sales and 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.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
33
<PAGE> 36
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96**# 12/31/95# 12/31/94# 12/31/93#
-------- ----------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.................... $ 11.13 $ 9.96 $ 9.26 $ 10.67 $ 10.01
-------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................. 0.02 0.04 0.05 0.07 0.06
Net realized and unrealized gain/(loss) on
investments......................................... 1.33 1.18 0.65 (1.48) 0.60
-------- ------- ------- ------- -------
Total from investment operations...................... 1.35 1.22 0.70 (1.41) 0.66
-------- ------- ------- ------- -------
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 year.......................... $ 11.46 $ 11.13 $ 9.96 $ 9.26 $ 10.67
======== ======= ======= ======= =======
Total return.......................................... 12.17% 12.27% 7.56% (13.21)% 6.59%
======== ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................... $105,305 $86,376 $72,375 $86,209 $88,477
Ratio of operating expenses to average net assets..... 1.36% 1.26% 1.26% 1.31% 1.69%
Decrease reflected in above expense ratio due to
expense limitations................................. -- -- 0.09% 0.09% 0.03%
Ratio of net investment income to average net
assets.............................................. 0.06% 0.39% 0.51% 0.69% 0.56%
Portfolio turnover rate............................... 199% 141% 44% N/A N/A
Average commission rate paid(a)....................... $ 0.0242 $0.0222 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* 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.
# Per share numbers have been calculated using the monthly
average share method, which more appropriately represents
the per share data for the period.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93*
-------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.................... $ 9.72 $ 9.06 $ 10.08 $ 12.44 $ 10.00
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................. (0.01) 0.04 0.04 -- --
Net realized and unrealized gain/(loss) on (0.90) 0.62 (1.06) (1.89) 2.44
investments.........................................
------- ------- ------- ------- -------
Total from investment operations...................... (0.91) 0.66 (1.02) (1.89) 2.44
------- ------- ------- ------- -------
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 year.......................... $ 8.80 $ 9.72 $ 9.06 $ 10.08 $ 12.44
======= ======= ======= ======= =======
Total return.......................................... (9.37)% 7.28% (10.11)% (15.18)% 24.40%++
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................... $39,436 $51,510 $47,974 $65,224 $31,181
Ratio of operating expenses to average net assets..... 1.80% 1.55% 1.53% 1.73% 0.38%++
Ratio of net investment income/(loss) to average net (.09)% 0.38% 0.40% 0.03% 0.00%++
assets..............................................
Portfolio turnover rate............................... 170% 136% 141% 106% 0%
Average commission rate paid(a)....................... $0.0008 $0.0007 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Emerging Markets Series commenced operations on October
4, 1993.
** Since March 3, 1997, Putnam Investment Management, Inc. has
served as Portfolio Manager for the Emerging Markets Series.
Prior to that date, a different firm served as Portfolio
Manager.
++ Non-annualized
# Amount represents less than $0.01 per share.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
35
<PAGE> 38
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
HARD ASSETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year........................ $ 17.85 $ 15.04 $ 13.88 $ 13.89 $ 9.31
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income..................................... 0.14 0.05 0.15 0.13 0.07
Net realized and unrealized gain/(loss) on investments.... 0.99 4.92 1.34 0.23 4.58
------- ------- ------- ------- -------
Total from investment operations.......................... 1.13 4.97 1.49 0.36 4.65
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income...................... (0.13) (0.07) (0.13) (0.13) (0.07)
Distributions from capital gains.......................... (3.80) (2.09) (0.20) (0.24) --
------- ------- ------- ------- -------
Total distributions....................................... (3.93) (2.16) (0.33) (0.37) (0.07)
------- ------- ------- ------- -------
Net asset value, end of year.............................. $ 15.05 $ 17.85 $ 15.04 $ 13.88 $ 13.89
======= ======= ======= ======= =======
Total return.............................................. 6.22% 33.17% 10.69% 2.53% 49.93%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)........................ $46,229 $43,903 $27,147 $32,879 $21,517
Ratio of operating expenses to average net assets......... 0.99% 1.00% 1.01% 1.00% 1.05%
Decrease reflected in above expense ratio due to expense
limitations............................................. -- -- -- -- 0.08%
Ratio of net investment income to average net assets...... 0.76% 0.34% 0.89% 1.01% 1.03%
Portfolio turnover rate................................... 124% 96% 24% 25% 5%
Average commission rate paid(a)........................... $0.0214 $0.0252 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Prior to January 23, 1997, the Hard Assets Series was named
the Natural Resources Series.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
REAL ESTATE SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year...................... $ 15.98 $ 12.63 $ 11.29 $ 11.18 $ 9.81
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................... 0.69 0.70 0.75 0.60 0.32
Net realized and unrealized gain on investments......... 2.93 3.70 1.12 0.11# 1.37#
------- ------- ------- ------- -------
Total from investment operations........................ 3.62 4.40 1.87 0.71 1.69
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income.................... (0.63) (0.77) (0.53) (0.60) (0.32)
Distributions from capital gains........................ (0.70) (0.28) -- -- --
------- ------- ------- ------- -------
Total distributions..................................... (1.33) (1.05) (0.53) (0.60) (0.32)
------- ------- ------- ------- -------
Net asset value, end of year............................ $ 18.27 $ 15.98 $ 12.63 $ 11.29 $ 11.18
======= ======= ======= ======= =======
Total return............................................ 22.79% 35.30% 16.59% 6.34% 17.27%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)...................... $75,530 $51,135 $34,975 $37,336 $29,000
Ratio of operating expenses to average net assets....... 0.99% 1.00% 1.01% 1.00% 1.04%
Decrease reflected in above expense ratio due to
expense limitations..................................... -- -- -- -- 0.10%
Ratio of net investment income to average net assets.... 4.49% 5.53% 5.79% 5.31% 4.69%
Portfolio turnover rate................................. 41% 31% 53% 64% 38%
Average commission rate paid(a)......................... $0.0585 $0.0647 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since January 1, 1995, EII Realty Securities, Inc. has
served as Portfolio Manager for the Real Estate Series.
Prior to that date, a different firm served as Portfolio
Manager.
# The amount shown may not accord with the change in the
aggregate gains and losses of portfolio securities due to
timing of sales and redemptions of Series shares.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
37
<PAGE> 40
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
MARKET MANAGER SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94*
-------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of year.......................... $13.22 $12.03 $10.02 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income....................................... 0.36 0.46 0.37 0.02
Net realized and unrealized gain on investments............. 4.11 1.89 2.06 0.02
------ ------ ------ ------
Total from investment operations............................ 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 year................................ $16.47 $13.22 $12.03 $10.02
====== ====== ====== ======
Total return................................................ 33.82% 19.40% 24.33% 0.44%++
====== ====== ====== ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).......................... $6,791 $5,585 $5,952 $2,754
Ratio of operating expenses to average net assets........... 1.01% 1.02% 0.89% --
Decrease reflected in above expense ratio due to expense
limitations............................................... -- -- 0.13% 0.13%++
Ratio of net investment income to average net assets........ 2.19% 3.06% 3.42% 0.65%++
Portfolio turnover rate..................................... 0% 0% 5% --
</TABLE>
- ------------------
<TABLE>
<C> <S>
* The Market Manager Series commenced operations on November
14, 1994.
** Since March 3, 1997, Equitable Investment Services, Inc. has
served as Portfolio Manager for the Market Manager Series.
Prior to that date, a different firm served as Portfolio
Manager.
++ Non-annualized
</TABLE>
See Notes to Financial Statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year................. $ 12.41 $ 12.52 $ 11.33 $ 11.89 $ 11.41
-------- -------- -------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income.............................. 0.57 0.56 0.58 0.42 0.24
Net realized and unrealized gain/(loss) on
investments...................................... 1.58 0.52 1.56 (0.56) 1.03
-------- -------- -------- -------- --------
Total from investment operations................... 2.15 1.08 2.14 (0.14) 1.27
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income............... (0.55) (0.58) (0.45) (0.42) (0.24)
Distributions from capital gains................... (0.92) (0.61) (0.50) -- (0.55)
-------- -------- -------- -------- --------
Total distributions................................ (1.47) (1.19) (0.95) (0.42) (0.79)
-------- -------- -------- -------- --------
Net asset value, end of year....................... $ 13.09 $ 12.41 $ 12.52 $ 11.33 $ 11.89
======== ======== ======== ======== ========
Total return....................................... 17.44% 8.77% 18.93% (1.18)% 11.13%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)................. $264,599 $272,791 $307,691 $299,392 $274,231
Ratio of operating expenses to average net
assets........................................... 0.99% 1.00% 1.01% 1.00% 1.01%
Decrease reflected in above expense ratio due to
expense limitations.............................. -- -- -- -- 0.03%
Ratio of net investment income to average net
assets........................................... 3.88% 3.86% 4.42% 3.56% 2.75%
Portfolio turnover rate............................ 79% 158% 187% 291% 348%
Average commission rate paid(a).................... $ 0.0587 $ 0.0593 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
39
<PAGE> 42
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.................. $14.82... $ 13.79 $ 11.70 $ 12.99 $ 12.43
-------- -------- -------- ------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................... 0.39 0.56 0.45 0.35 0.19
Net realized and unrealized gain/(loss) on
investments....................................... 1.86 1.69 1.98 (1.29) 0.75
-------- -------- -------- ------- --------
Total from investment operations.................... 2.25 2.25 2.43 (0.94) 0.94
-------- -------- -------- ------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income................ (0.41) (0.56) (0.34) (0.35) (0.19)
Distributions from capital gains.................... (0.93) (0.66) -- -- (0.19)
-------- -------- -------- ------- --------
Total distributions................................. (1.34) (1.22) (0.34) (0.35) (0.38)
-------- -------- -------- ------- --------
Net asset value, end of year........................ $ 15.73 $ 14.82 $ 13.79 $ 11.70 $ 12.99
======== ======== ======== ======= ========
Total return........................................ 15.27% 16.36% 20.80% (7.27)% 7.59%
======== ======== ======== ======= ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................. $169,987 $136,660 $118,589 $99,854 $108,690
Ratio of operating expenses to average net assets... 0.99% 1.00% 1.01% 1.00% 1.01%
Decrease reflected in above expense ratio due to
expense limitations............................... -- -- -- -- 0.04%
Ratio of net investment income to average net
assets............................................ 2.67% 3.83% 3.41% 2.62% 2.12%
Portfolio turnover rate............................. 48% 45% 113% 66% 55%
Average commission rate paid(a)..................... $ 0.0369 $ 0.0597 N/A N/A N/A
</TABLE>
- ------------------
<TABLE>
<C> <S>
* Since January 1, 1995, T. Rowe Price Associates, Inc. has
served as Portfolio Manager for the Fully Managed Series.
Prior to that date, a different firm served as Portfolio
Manager.
(a) Average commission rate paid per share of portfolio
securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97# 12/31/96# 12/31/95 12/31/94 12/31/93
--------- --------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..................... $ 10.43 $ 11.15 $ 9.98 $ 10.62 $ 10.43
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income.................................. 0.60 0.59 0.60 0.51 0.40
Net realized and unrealized gain/(loss) on
investments.......................................... 0.09 (0.13) 0.57 (0.64) 0.23
------- ------- ------- ------- -------
Total from investment operations....................... 0.69 0.46 1.17 (0.13) 0.63
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................... (0.81) (1.15) -- (0.51) (0.40)
Distributions from capital gains....................... -- (0.03) -- -- (0.04)
------- ------- ------- ------- -------
Total distributions.................................... (0.81) (1.18) -- (0.51) (0.44)
------- ------- ------- ------- -------
Net asset value, end of year........................... $ 10.31 $ 10.43 $ 11.15 $ 9.98 $ 10.62
======= ======= ======= ======= =======
Total return........................................... 6.67% 4.32% 11.72% (1.19)% 6.20%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..................... $53,839 $81,317 $90,081 $72,213 $72,219
Ratio of operating expenses to average net assets...... 0.61% 0.61% 0.61% 0.60% 0.61%
Decrease reflected in above expense ratio due to
expense limitations.................................. -- -- -- -- 0.04%
Ratio of net investment income to average net assets... 5.71% 5.33% 5.58% 4.73% 4.64%
Portfolio turnover rate................................ 81% 250% 302% 209% 115%
</TABLE>
- ------------------
<TABLE>
<S> <C>
* Since August 13, 1996, Equitable Investment Services, Inc.
has served as Portfolio Manager for the Limited Maturity
Bond Series. Prior to that date, different firms served as
Portfolio Manager.
# Per share numbers have been calculated using the monthly
average share method, which more appropriately represents
the per share data for the period.
</TABLE>
See Notes to Financial Statements.
41
<PAGE> 44
- --------------------------------------------------------------------------------
Financial Highlights
THE GCG TRUST
LIQUID ASSET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/97 12/31/96 12/31/95 12/31/94 12/31/93
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................................. 0.050 0.049 0.054 0.040 0.030
------- ------- ------- ------- -------
Total from investment operations....................... 0.050 0.049 0.054 0.040 0.030
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income................... (0.050) (0.049) (0.054) (0.040) (0.030)
------- ------- ------- ------- -------
Total distributions.................................... (0.050) (0.049) (0.054) (0.040) (0.030)
------- ------- ------- ------- -------
Net asset value, end of year........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total return........................................... 5.07% 5.01% 5.51% 3.89% 2.64%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..................... $59,453 $39,096 $38,589 $46,122 $16,808
Ratio of operating expenses to average net assets...... 0.61% 0.61% 0.61% 0.61% 0.61%
Decrease reflected in above expense ratio due to
expense limitations.................................. -- -- -- -- 0.08%
Ratio of net investment income to average net assets... 4.99% 4.89% 5.39% 3.89% 2.60%
</TABLE>
- ------------------
<TABLE>
<S> <C>
* Since August 13, 1996, Equitable Investment Services, Inc.
has served as Portfolio Manager for the Liquid Asset Series.
Prior to that date different firms served as Portfolio
Manager.
</TABLE>
See Notes to Financial Statements.
42
<PAGE> 45
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
SMALL CAP SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 92.1%
ADVERTISING -- 2.9%
29,100 Outdoor Systems Inc. .................. $ 1,116,713
15,000 Universal Outdoor Holdings Inc.+....... 780,000
-----------
1,896,713
-----------
APPAREL -- 3.0%
10,500 Nautica Enterprises Inc.+.............. 244,125
11,000 Polo Ralph Lauren Corporation+......... 267,437
12,000 St John Knits Inc. .................... 480,000
21,000 WestPoint Stevens Inc.+................ 992,250
-----------
1,983,812
-----------
BANKING/FINANCIAL -- 3.9%
16,100 CMAC Investments Corporation........... 972,037
10,000 North Fork Bancorporation Inc. ........ 335,625
32,000 Sovereign Bancorp Inc. ................ 664,000
10,000 Wilmington Trust Corporation........... 623,750
-----------
2,595,412
-----------
BIO TECHNOLOGY -- 5.2%
24,300 DeKalb Genetics Corporation, Class B... 953,775
23,000 Genset SA ADR+......................... 454,250
20,000 IDEC Pharmaceuticals Corporation....... 687,500
29,600 INCYTE Pharmaceuticals Inc. ........... 1,332,000
-----------
3,427,525
-----------
BROADCASTING, RADIO AND TV -- 1.1%
13,700 Jacor Communications, Inc.+............ 727,813
-----------
COMMERCIAL SERVICES -- 4.3%
17,100 America Online Inc.+................... 1,525,106
7,400 Cambridge Technology Partners of Mass.,
Inc.+.................................. 308,025
15,000 Cognizant Corporation.................. 668,437
5,000 Pittway Corporation, Class A........... 348,125
-----------
2,849,693
-----------
COMMUNICATION -- 3.0%
29,300 Bay Networks, Inc.+.................... 748,981
11,000 Tellabs, Inc.+......................... 581,625
36,500 Transaction Network Service Inc.+...... 629,625
-----------
1,960,231
-----------
COMPUTER SOFTWARE -- 3.9%
16,700 CBT Group PLC, ADR+.................... 1,371,488
7,000 Citrix Systems, Inc.+.................. 532,000
14,000 HBO & Company.......................... 672,000
-----------
2,575,488
-----------
CONSUMER SERVICES -- 4.4%
10,000 Bed, Bath & Beyond Inc.+............... 385,000
8,100 Keane Inc. ............................ 329,063
32,000 Michaels Stores Inc.+.................. 936,000
12,000 Rite Aid Corporation................... 704,250
21,700 Technology Solutions Company........... 572,338
-----------
2,926,651
-----------
FINANCIAL SERVICES -- 3.4%
12,000 Associated Banc Corporation............ 661,500
Enhance Financial Services Group
17,400 Inc. .................................. 1,035,300
25,200 The Money Store Inc. .................. 529,200
-----------
2,226,000
-----------
FOOD AND BEVERAGES -- 5.3%
28,400 Earthgrains Company.................... 1,334,800
29,600 Flowers Industries Inc. ............... 608,650
11,800 Interstate Bakeries Corporation........ 441,025
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
FOOD AND BEVERAGES -- (CONTINUED)
18,400 JP Foodservice, Inc.+.................. $ 679,650
7,480 Suiza Foods Corporation+............... 445,528
-----------
3,509,653
-----------
FOOD -- RETAIL -- 0.6%
45,000 Penn Traffic Company+.................. 371,250
-----------
FURNITURE, HOME AND OFFICE -- 1.7%
13,500 Knoll Inc.+............................ 433,687
16,000 Leggett & Platt Inc. .................. 670,000
-----------
1,103,687
-----------
HEALTH CARE -- 2.4%
17,000 Lincare Holdings Inc.+................. 969,000
16,600 ESC Medical Systems Ltd.+.............. 643,250
-----------
1,612,250
-----------
HOSPITAL MANAGEMENT AND SERVICES -- 2.1%
12,000 Express Scripts Inc., Class A+......... 720,000
48,300 Hooper Holmes, Inc. ................... 703,369
-----------
1,423,369
-----------
HEALTH MAINTENANCE -- 2.5%
17,000 Elan Corporation PLC, ADR+............. 870,188
24,500 Omnicare Inc. ......................... 759,500
-----------
1,629,688
-----------
HOTELS -- 0.9%
20,997 Patriot American Hospitality Company... 604,976
-----------
INDUSTRIAL -- 1.4%
47,300 Aviall, Inc.+.......................... 706,544
7,400 Essex International Inc.+.............. 220,150
-----------
926,694
-----------
INSURANCE -- 4.1%
19,900 Executive Risk Inc. ................... 1,389,268
23,000 Vesta Insurance Group, Inc. ........... 1,365,625
-----------
2,754,893
-----------
LEISURE -- 1.0%
20,500 Family Golf Centers Inc.+.............. 643,187
-----------
LEISURE ENTERTAINMENT -- 0.7%
11,100 Cinar Films Inc., Class B+............. 431,512
-----------
MEDICAL SERVICES -- 2.3%
5,000 Medquist Inc. ......................... 173,750
7,100 Pediatrix Medical Group Inc.+.......... 303,525
19,100 QuickResponse Services Inc.+........... 706,700
7,500 Universal Health Services, Inc.,
Class B................................ 377,813
-----------
1,561,788
-----------
MEDICAL SUPPLIES -- 3.0%
20,200 Bergen Brunswig Corporation............ 850,925
25,500 Biomet, Inc. .......................... 653,438
12,700 Mentor Corporation..................... 463,550
-----------
1,967,913
-----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 1.3%
11,000 EVI Inc. .............................. 569,250
13,700 Varco International Inc. .............. 293,694
-----------
862,944
-----------
PHARMACEUTICALS -- 2.0%
12,000 Amerisource Health Corporation+........ 705,000
10,000 Dura Pharmaceuticals, Inc.+............ 458,750
4,200 Medimmune Inc.+........................ 180,075
-----------
1,343,825
-----------
</TABLE>
See Notes to Financial Statements.
43
<PAGE> 46
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
SMALL CAP SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
POLLUTION CONTROL -- 1.3%
22,517 USA Waste Services Inc.+............... $ 883,792
-----------
REAL ESTATE INVESTMENT TRUST -- 1.1%
31,800 INMC Mortgage Holdings Inc.+........... 745,312
-----------
RESTAURANTS -- 1.3%
20,800 CKE Restaurants, Inc. ................. 876,200
-----------
RETAIL -- 9.4%
9,400 Borders Group.......................... 294,338
26,000 Brylane Inc.+.......................... 1,280,500
24,500 Dress Barn Inc.+....................... 695,187
14,000 Family Dollar Stores Inc. ............. 410,375
16,200 Linens 'N Things Inc.+................. 706,725
8,200 The Men's Wearhouse Inc.+.............. 284,950
27,200 Fred Meyer Inc. ....................... 989,400
21,400 Proffitts Inc. ........................ 608,563
7,600 Stage Stores Inc.+..................... 284,050
13,600 Whole Foods Market Inc.+............... 695,300
-----------
6,249,388
-----------
SEMICONDUCTORS -- 2.1%
16,600 Altera Corporation..................... 549,875
15,000 Linear Technology Corporation.......... 864,375
-----------
1,414,250
-----------
TELECOMMUNICATIONS EQUIPMENT -- 3.0%
25,000 Advanced Fibre Communications Inc. .... 728,125
21,100 Ciena Corporation+..................... 1,289,737
-----------
2,017,862
-----------
TEXTILE PRODUCTS -- 0.8%
23,600 Dan River Inc., Class A+............... 387,925
5,200 Pillowtex Corporation.................. 181,350
-----------
569,275
-----------
TRANSPORTATION/SERVICES -- 4.4%
33,000 Avis Rent A Car, Inc.+................. 1,053,937
28,000 Coach USA Inc.+........................ 938,000
15,900 Hvide Marine, Inc., Class A+........... 409,425
18,000 Knightsbridge Tankers LTD. ............ 509,625
-----------
2,910,987
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
WHOLESALE DISTRIBUTORS -- 2.3%
35,700 Central Garden & Pet Company+.......... $ 937,125
Keystone Automotive Industries,
26,100 Inc.+.................................. 619,875
-----------
1,557,000
-----------
Total Common Stocks
(Cost $50,545,027)..................... 61,141,033
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ---------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 7.8%
$1,500,000 Brooklyn Union Gas
6.140%++ due 01/06/1998................ 1,498,739
1,700,000 International Lease Finance
6.048%++ due 01/02/1998................ 1,699,719
2,000,000 PHH Corporation
5.951%++ due 01/06/1998................ 1,998,375
-----------
Total Commercial Paper
(Cost $5,196,834)...................... 5,196,833
-----------
TOTAL INVESTMENTS (COST $55,741,861*)......... 99.9% 66,337,866
OTHER ASSETS AND LIABILITIES (NET)............ 0.1 57,685
----- -----------
NET ASSETS.................................... 100.0% $66,395,551
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $55,780,211.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
44
<PAGE> 47
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
ALL-GROWTH SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 95.6%
AUTO RELATED -- 1.4%
37,500 Harley-Davidson, Inc. ................. $ 1,026,563
-----------
APPAREL -- 1.0%
16,600 Jones Apparel Group, Inc.+............. 713,800
-----------
BROADCAST, RADIO AND TELEVISION -- 4.5%
28,100 Clear Channel Communications, Inc.+.... 2,232,194
20,700 Jacor Communications, Inc.+............ 1,099,687
-----------
3,331,881
-----------
COMPUTER HARDWARE -- 2.2%
18,600 Jabil Circuit, Inc. ................... 739,350
20,600 Solectron Corporation.................. 856,188
-----------
1,595,538
-----------
COMPUTER INDUSTRY -- 1.9%
14,600 Computer Horizons Corporation+......... 664,300
18,500 Keane, Inc. ........................... 751,563
-----------
1,415,863
-----------
COMPUTER SYSTEMS -- 9.1%
25,300 BMC Software Inc.+..................... 1,660,312
24,300 J.D. Edwards & Company................. 716,850
61,800 PeopleSoft, Inc. ...................... 2,410,200
19,800 Viasoft, Inc.+......................... 836,550
27,150 Wind River Systems..................... 1,077,516
-----------
6,701,428
-----------
COMPUTER SOFTWARE AND SERVICES -- 4.6%
12,400 American On Line, Inc.+................ 1,105,925
10,700 Checkpointe Software Technology+....... 436,025
26,600 Gartner Group, Inc., Class A+.......... 990,850
19,700 HNC Software Inc.+..................... 847,100
-----------
3,379,900
-----------
EDUCATIONAL SERVICES -- 2.2%
34,500 Apollo Group, Inc.+.................... 1,630,125
-----------
ENERGY EQUIPMENT -- 1.3%
17,300 Tidewater, Inc. ....................... 953,662
-----------
ENVIRONMENTAL SERVICES -- 5.4%
43,500 Allied Waste Industries, Inc.+......... 1,014,093
18,100 American Disposal Services+............ 660,650
19,100 Superior Services, Inc.+............... 551,513
44,605 U.S.A. Waste Services, Inc.+........... 1,750,746
-----------
3,977,002
-----------
FINANCIAL SERVICES -- 4.0%
25,300 Amresco, Inc. ......................... 765,325
13,500 A. G. Edwards, Inc. ................... 536,625
39,700 The Money Store, Inc. ................. 833,700
10,900 Newcourt Credit Group, Inc. ........... 363,788
18,900 OCWEN Financial Corporation............ 480,769
-----------
2,980,207
-----------
FOOD & KINDRED PRODUCTS -- 1.2%
15,300 Suiza Foods Corporation+............... 911,306
-----------
HEALTH CARE SERVICES -- 4.9%
46,400 HEALTHSOUTH Corporation................ 1,287,600
39,300 Quintiles Transnational Corporation.... 1,503,225
29,100 Total Renal Care Holdings, Inc. ....... 800,250
-----------
3,591,075
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
HOTELS/RESORTS -- 1.1%
12,300 CapStar Hotel Company+................. $ 422,044
19,100 Signature Resorts, Inc. ............... 417,812
-----------
839,856
-----------
INDUSTRIAL -- 0.3%
6,700 Zoltek Companies, Inc+................. 186,763
-----------
INFORMATION PROCESSING -- 3.1%
47,500 HBO & Company.......................... 2,280,000
-----------
LEISURE, SPORTING AND RECREATION -- 0.9%
23,100 Callaway Golf Company.................. 659,794
-----------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICES -- 1.2%
21,100 Sunrise Assisted Living+............... 909,938
-----------
NETWORK SOFTWARE -- 1.8%
36,700 Security Dynamics Technologies,
Inc.+.................................. 1,312,024
-----------
OFFICE SUPPLIES -- 2.0%
53,500 Staples, Inc.+......................... 1,484,625
-----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 5.4%
10,900 Cliffs Drilling Company................ 543,637
10,900 Cooper Cameron Corporation............. 664,900
21,500 ENSCO International Inc. .............. 720,250
33,900 Global Marine Inc.+.................... 830,550
10,900 Nabors Industries, Inc.+............... 342,669
22,000 Santa Fe International Corporation..... 895,125
-----------
3,997,131
-----------
PHARMACEUTICALS -- 2.9%
34,900 Dura Pharmaceuticals, Inc.+............ 1,601,038
10,000 Medicis Pharmaceutical Class A+........ 511,250
-----------
2,112,288
-----------
RETAIL -- 9.2%
60,300 Bed Bath & Beyond, Inc.+............... 2,321,550
13,900 Borders Group, Inc. ................... 435,244
18,300 CDW Computer Centers, Inc.+............ 953,887
24,100 Dollar Tree Stores, Inc. .............. 997,137
35,700 General Nutrition Companies, Inc.+..... 1,213,800
38,400 Nautica Enterprises, Inc.+............. 892,800
-----------
6,814,418
-----------
SEMICONDUCTORS -- 6.8%
25,400 Helix Technology Corporation........... 495,300
22,900 Linear Technology Corporation.......... 1,319,613
20,000 Microchip Technology, Inc. ............ 600,000
19,700 Novellus Systems, Inc. ................ 636,556
22,600 Uniphase Corporation................... 935,075
28,200 Vitesse Semiconductor Corporation...... 1,064,550
-----------
5,051,094
-----------
SERVICES -- 8.5%
39,100 AccuStaff Inc.+........................ 899,300
10,800 BJ Services Company+................... 776,925
12,900 CAMCO International, Inc. ............. 821,569
48,100 Corrections Corporation of America+.... 1,782,706
40,400 Paychex, Inc. ......................... 2,045,250
-----------
6,325,750
-----------
</TABLE>
See Notes to Financial Statements.
45
<PAGE> 48
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
ALL-GROWTH SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
TELECOMMUNICATIONS EQUIPMENT -- 8.7%
47,200 ADC Telecommunications Inc.+........... $ 1,970,600
28,400 Advanced Fibre Communications.......... 827,150
36,000 DSC Communications Corporation+........ 864,000
24,400 P-Com, Inc. ........................... 420,900
3,600 Qualcomm Inc.+......................... 181,800
33,800 Tellabs, Inc.+......................... 1,787,174
17,000 World Access Inc.+..................... 405,875
-----------
6,457,499
-----------
Total Common Stocks
(Cost $60,726,053)..................... 70,639,530
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 7.1%
(Cost $5,221,095)
$5,221,095 Agreement with Corestates Phi, 6.200%
dated 12/31/1997 to be repurchased at
$5,222,893 on 01/02/1998,
collateralized by: $500,000 U.S.
Treasury Bill, due 02/15/1998;
$4,221,000 U.S. Treasury Note, 5.000%
due 02/15/2099; $568,000 Federal Home
Loan Bank, 7.015%, due 04/08/2002
(Market value $5,351,549)............ $ 5,221,095
-----------
TOTAL INVESTMENTS (COST $65,947,148*)......... 102.7% 75,860,625
OTHER ASSETS AND LIABILITIES (NET)............ (2.7) (2,004,144)
----- -----------
NET ASSETS.................................... 100.0% $73,856,481
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $65,966,879.
+ Non-income producing security.
See Notes to Financial Statements.
46
<PAGE> 49
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
CAPITAL APPRECIATION SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 86.6%
AEROSPACE/DEFENSE -- 2.1%
60,000 AlliedSignal Inc. ................... $ 2,336,250
18,900 Burlington Northern Santa Fe......... 1,756,519
------------
4,092,769
------------
AUTOMOTIVE -- 2.1%
61,200 Chrysler Corporation................. 2,153,475
40,000 Ford Motor Company................... 1,947,500
------------
4,100,975
------------
BANKS -- 9.5%
50,000 BankAmerica Corporation.............. 3,650,000
28,168 Chase Manhattan Corporation.......... 3,084,396
25,000 Citicorp............................. 3,160,938
63,000 First Union Corporation.............. 3,228,750
25,000 Fleet Financial Group, Inc. ......... 1,873,437
57,000 NationsBank Corporation.............. 3,466,313
------------
18,463,834
------------
BUILDING -- 1.7%
40,000 Equity Residential Properties
Trust................................ 2,022,500
40,000 Felcor Suite Hotels, Inc. ........... 1,420,000
------------
3,442,500
------------
COMMODITIES -- 6.9%
22,600 Aluminum Company of America.......... 1,590,475
45,000 Hercules Inc. ....................... 2,252,812
50,000 Imperial Chemical Industries......... 3,246,875
43,000 Monsanto Company..................... 1,806,000
27,100 PPG Industries Inc. ................. 1,548,088
37,400 Praxair Inc. ........................ 1,683,000
30,000 Union Carbide Corporation............ 1,288,125
------------
13,415,375
------------
CONSUMER STAPLES -- 3.0%
30,000 Avon Products, Inc................... 1,841,250
40,000 Gillette Company..................... 4,017,500
------------
5,858,750
------------
ELECTRICAL EQUIPMENT -- 0.8%
25,000 Honeywell Inc. ...................... 1,712,500
------------
ELECTRONICS -- 1.1%
30,000 Intel Corporation.................... 2,107,500
------------
ENTERTAINMENT -- 2.5%
82,200 Comcast Corporation, Class A, Special
Shares (Non-Voting).................. 2,594,437
36,100 Time Warner Inc. .................... 2,238,200
------------
4,832,637
------------
HOTELS/MOTELS -- 3.4%
152,893 Cendant Corporation.................. 5,255,696
48,000 Hilton Hotels Corporation............ 1,428,000
------------
6,683,696
------------
INFORMATION PROCESSING -- 8.5%
66,250 Compaq Computer Corporation.......... 3,738,984
45,000 HBO & Company........................ 2,160,000
35,000 International Business Machines
Corporation.......................... 3,659,687
26,600 Microsoft Corporation+............... 3,438,050
40,000 Sun Microsystems, Inc.+.............. 1,595,000
35,000 Tellabs, Inc.+....................... 1,850,625
------------
16,442,346
------------
INSURANCE -- 8.1%
48,373 Allstate Corporation................. 4,395,896
32,000 Household International Inc. ........ 4,082,000
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
INSURANCE -- (CONTINUED)
30,000 Student Loan Marketing Association
(Voting)............................. $ 4,173,750
57,000 Travelers Group Inc. ................ 3,070,875
------------
15,722,521
------------
PETROLEUM -- 6.3%
60,000 Amerada Hess Corporation............. 3,292,500
60,000 McDermott International, Inc. ....... 2,197,500
23,800 Mobil Corporation.................... 1,718,063
45,200 Ultramar Diamond Shamrock
Corporation.......................... 1,440,750
90,000 Unocal Corporation................... 3,493,125
------------
12,141,938
------------
PHARMACEUTICALS -- 9.8%
78,000 Glaxo Wellcome PLC, ADR.............. 3,734,250
30,000 Lilly (Eli) & Company................ 2,088,750
75,800 Medtronic Inc. ...................... 3,965,288
33,600 Merck & Company Inc. ................ 3,570,000
63,100 Schering-Plough Corporation.......... 3,920,088
13,400 Warner-Lambert Company............... 1,661,600
------------
18,939,976
------------
RETAIL -- 7.2%
39,500 Dayton Hudson Corporation............ 2,666,250
80,000 Federated Department Store........... 3,445,000
62,000 Home Depot Inc....................... 3,630,875
65,000 TJX Companies, Inc................... 2,234,375
65,000 Toys R Us, Inc.+..................... 2,043,438
------------
14,019,938
------------
TELECOMMUNICATIONS -- 3.9%
45,000 Bell Atlantic Corporation............ 4,095,000
75,000 US West, Inc. ....................... 3,384,375
------------
7,479,375
------------
TOBACCO -- 6.1%
78,900 Philip Morris Companies Inc. ........ 3,575,156
110,000 RJR Nabisco Holdings Corporation..... 4,125,000
110,000 Service Corporation International.... 4,063,125
------------
11,763,281
------------
UTILITY -- 3.6%
75,000 CMS Energy Corporation............... 3,304,687
70,000 Edison International................. 1,903,125
65,100 Southern Company..................... 1,684,463
------------
6,892,275
------------
Total Common Stocks
(Cost $123,654,270).................. 168,112,186
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATION -- 13.4%
(Cost $25,960,940) U.S. TREASURY BILL:
$26,011,000 4.572%++ due 01/15/1998................ 25,960,940
------------
TOTAL INVESTMENTS (COST $149,615,210*)....... 100.0% 194,073,126
OTHER ASSETS AND LIABILITIES (NET)........... (0.0) (87,518)
----- ------------
NET ASSETS................................... 100.0% $193,985,608
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $149,604,577.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
47
<PAGE> 50
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
VALUE EQUITY SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 90.3%
AEROSPACE/DEFENSE -- 2.1%
33,000 Raytheon Company....................... $ 1,666,500
-----------
AUTOMOTIVE -- 0.6%
10,000 Ford Motor Company..................... 486,875
-----------
BANKS -- 2.1%
15,000 Chase Manhattan Corporation............ 1,642,500
-----------
BUILDING MATERIALS -- 1.9%
60,000 Allegheny Teledyne Inc. ............... 1,552,500
-----------
CHEMICALS -- 6.1%
60,000 Crompton & Knowles Corporation......... 1,590,000
23,000 du Pont (E.I.) de Nemours & Company.... 1,381,436
6,600 Great Lake Chemical Corporation........ 296,175
25,000 Imperial Chemical Industries, PLC
ADR.................................. 1,623,438
-----------
4,891,049
-----------
COMMUNICATION AND INFORMATION -- 3.8%
21,000 Cabletron Systems, Inc.+............... 315,000
20,000 Hewlett Packard Company................ 1,250,000
38,000 Lexmark International Group, Inc.+..... 1,444,000
-----------
3,009,000
-----------
ELECTRONICS -- 5.0%
55,000 General Semicondoctor, Inc.+........... 635,938
55,100 Philips Electronics N.V................ 3,333,550
-----------
3,969,488
-----------
FINANCIAL SERVICES -- 2.6%
15,000 Student Loan Marketing
Association (Voting)................. 2,086,875
-----------
HARDWARE AND TOOLS -- 3.0%
61,000 Black & Decker Corporation............. 2,382,813
-----------
HEALTH CARE -- 10.0%
35,000 Bausch & Lomb, Inc. ................... 1,386,875
22,000 Bergen Brunswig Corporation............ 926,750
90,000 Columbia/HCA Healthcare Corporation.... 2,666,250
42,500 Humana, Inc. .......................... 881,875
140,000 Oxford Health Plans, Inc. ............. 2,178,750
-----------
8,040,500
-----------
HOUSEHOLD PRODUCTS -- 4.4%
83,800 Sunbeam Corporation.................... 3,530,075
-----------
INSTRUMENTS -- CONTROLS -- 2.5%
47,500 General Signal Corporation............. 2,003,906
-----------
INSTRUMENTS -- SCIENTIFIC -- 1.8%
30,300 Fisher Scientific International........ 1,446,825
-----------
INVESTMENT COMPANIES -- 2.0%
50,000 Security Capital Group Incorporated,
Class B Shares+...................... 1,625,000
-----------
MACHINE -- DIVERSIFIED -- 5.5%
70,000 American Standard Companies, Inc.+ .... 2,681,875
35,000 Crown Cork & Seal Company, Inc. ....... 1,754,375
-----------
4,436,250
-----------
MANUFACTURING -- 2.4%
70,000 Tupperware Corporation................. 1,951,250
-----------
OIL SERVICES -- 0.6%
10,000 Halliburton Company.................... 519,375
-----------
PETROLEUM -- 9.4%
40,000 Ashland Inc. .......................... 2,147,500
20,000 British Petroleum Company, ADR......... 1,593,750
22,000 Exxon Corporation...................... 1,346,125
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
PETROLEUM -- (CONTINUED)
14,000 Mobil Corporation...................... $ 1,010,625
26,000 Royal Dutch Petroleum Company, ADR..... 1,408,875
-----------
7,506,875
-----------
PHARMACEUTICALS -- 0.8%
9,000 Abbott Laboratories.................... 590,063
-----------
RETAIL -- 3.4%
45,000 Federated Department Stores, Inc.+ .... 1,937,812
25,000 Toys R Us Inc.+ ....................... 785,937
-----------
2,723,749
-----------
STEEL -- 0.3%
10,000 Ispat International NV+................ 216,250
-----------
TELECOMMUNICATIONS -- 4.0%
20,000 AT&T Corporation....................... 1,225,000
5,000 Bell Atlantic Corporation.............. 455,000
27,500 BellSouth Corporation.................. 1,548,594
-----------
3,228,594
-----------
TOBACCO -- 9.9%
30,000 Fortune Brands, Inc. .................. 1,111,875
42,500 Philip Morris Companies, Inc. ......... 1,925,781
70,000 RJR Nabisco Holdings Corporation....... 2,625,000
60,000 UST Inc. .............................. 2,216,250
-----------
7,878,906
-----------
UTILITIES -- 3.1%
40,000 Central & South West Corporation....... 1,082,500
50,000 Teco Energy, Inc. ..................... 1,406,250
-----------
2,488,750
-----------
WHOLESALE DISTRIBUTORS -- 0.9%
50,000 Unisource Worldwide, Inc. ............. 712,500
-----------
WIRE AND CABLE PRODUCTS -- 2.1%
55,000 Essex International, Inc.+ ............ 1,636,250
-----------
Total Common Stocks
(Cost $63,676,820)................... 72,222,718
-----------
DISCOUNT NOTES -- 9.0%
(Cost $7,214,048)
7,215,000 Federal Home Loan Mortgage Corporation,
4.817%++ due 01/02/1998............... 7,214,048
-----------
TOTAL INVESTMENTS (COST $70,890,868*).......... 99.3% 79,436,766
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
- --------- ---------- ------
<C> <S> <C> <C> <C>
CALL OPTIONS WRITTEN -- (0.1)%
50 Abbott
Laboratories....... 01/17/1998 $65.00 (13,125)
100 Ford Motor Company... 01/17/1998 45.00 (35,000)
-----------
Total Call Options Written
(Premiums received $26,398)..... (0.1) (48,125)
-----------
OTHER ASSETS AND LIABILITIES (NET)............. 0.8 659,425
----- -----------
NET ASSETS..................................... 100.0% $80,048,066
===== ===========
</TABLE>
- ---------------------
* Aggregate cost for Federal tax purposes was $71,211,883.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
48
<PAGE> 51
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
RISING DIVIDENDS SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 93.9%
BANKS -- 5.1%
74,979 Banc One Corporation.................. $ 4,072,297
53,100 Fifth Third Bancorp................... 4,340,925
114,600 Norwest Corporation................... 4,426,425
------------
12,839,647
------------
BEVERAGES -- 1.4%
54,000 Coca-Cola Company..................... 3,597,750
------------
CHEMICALS AND ALLIED PRODUCTS -- 7.2%
145,600 du Pont (E.I.) de Nemours & Company... 8,745,100
165,500 PPG Industries, Inc. ................. 9,454,188
------------
18,199,288
------------
COMPUTERS AND OFFICE EQUIPMENT -- 1.7%
67,000 Hewlett-Packard Company............... 4,187,500
------------
CONSUMER PRODUCTS -- 3.2%
47,600 Gillette Company...................... 4,780,825
41,140 Procter & Gamble Company.............. 3,283,486
------------
8,064,311
------------
CONSUMER SERVICES -- 2.1%
138,880 Cintas Corporation.................... 5,416,320
------------
DATA SERVICES -- 7.3%
124,500 Automatic Data Processing Inc. ....... 7,641,187
175,960 Electronic Data Systems Corporation... 7,731,242
43,430 Reuters Holdings PLC, ADR............. 2,877,238
------------
18,249,667
------------
DEPOSITORY & NON-DEPOSITORY AGENCY -- 1.5%
49,850 Nestle, ADR........................... 3,729,403
------------
ELECTRIC MACHINERY -- 1.3%
58,080 Emerson Electric Company.............. 3,277,890
------------
ELECTRICAL EQUIPMENT -- 5.9%
76,800 General Electric Company.............. 5,635,200
46,170 Grainger (W.W.), Inc.................. 4,487,147
80,200 Linear Technology Corporation......... 4,621,525
------------
14,743,872
------------
FINANCIAL SERVICES -- 5.1%
122,270 Equifax Inc. ......................... 4,332,943
49,550 Franklin Resources Inc................ 4,307,753
74,320 State Street Boston Corporation....... 4,324,495
------------
12,965,191
------------
FOOD -- 7.3%
90,600 CPC International..................... 9,762,150
85,100 Kellogg Company....................... 4,223,088
55,080 Wrigley, (Wm) Jr. Company............. 4,382,302
------------
18,367,540
------------
INSURANCE -- 2.9%
17,150 General Re Corporation................ 3,635,800
48,800 Marsh & McLennan Companies, Inc. ..... 3,638,650
------------
7,274,450
------------
LEISURE ENTERTAINMENT -- 4.1%
103,880 Disney (Walt) Company................. 10,290,612
------------
MANUFACTURING -- 1.9%
80,300 Illinois Tool Work.................... 4,828,038
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MEDICAL BIOTECHNOLOGY -- 1.9%
90,200 Medtronic, Inc. ...................... $ 4,718,587
------------
PAPER AND ALLIED PRODUCTS -- 3.7%
190,440 Kimberly-Clark Corporation............ 9,391,074
------------
PETROLEUM -- 5.1%
54,200 Exxon Corporation..................... 3,316,363
85,150 Mobil Corporation..................... 6,146,765
63,400 Royal Dutch Petroleum................. 3,435,488
------------
12,898,616
------------
PHARMACEUTICALS -- 7.1%
56,150 Abbott Laboratories................... 3,681,334
4 Astra AB, Series A, ADR............... 69
135,040 Johnson & Johnson..................... 8,895,760
50,500 Merck & Company, Inc. ................ 5,365,625
------------
17,942,788
------------
PUBLISHING -- 1.7%
69,000 Gannett Company....................... 4,265,063
------------
RESTAURANTS -- 3.3%
175,650 McDonald's Corporation................ 8,387,287
------------
SPECIALTY MATERIALS -- 3.3%
101,860 Minnesota Mining & Manufacturing
Company............................. 8,358,886
------------
TECHNOLOGY -- 8.4%
166,600 Intel Corporation..................... 11,703,650
167,220 Motorola Inc. ........................ 9,541,991
------------
21,245,641
------------
TELECOMMUNICATIONS EQUIPMENT -- 1.4%
91,800 Ericsson (L.M.) Telecommunications
Company, Class B, ADR............... 3,425,288
------------
Total Common Stocks
(Cost $171,513,412)................. 236,664,709
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ---------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 5.7%
$1,570,000 Cooper Tractor,
6.846%++ due 01/02/1998....... 1,569,705
4,000,000 Duke Energy,
6.593%++ due 01/02/1998....... 3,999,278
8,900,000 McDonalds Corporporation
6.542%++ due 01/02/1998....... 8,898,405
------------
Total Commercial Paper
(Cost $14,467,388)............ 14,467,388
------------
TOTAL INVESTMENTS (COST $185,980,800*)........ 99.6% $251,132,097
OTHER ASSETS AND LIABILITIES (NET)............ 0.4 1,058,697
----- ------------
NET ASSETS.................................... 100.0% $252,190,794
===== ============
</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
STRATEGIC EQUITY SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 94.2%
AEROSPACE/DEFENSE -- 2.2%
5,300 AAR Corporation........................ $ 205,375
1,500 AMR Corporation+....................... 192,750
5,390 Goodrich (BF) Company.................. 223,348
4,500 Moog Inc, Class A...................... 157,218
3,200 Precision Castparts Corporation........ 193,000
114 Raytheon Company -- Class A............ 5,660
2,000 Thiokol Corporation.................... 162,500
-----------
1,139,851
-----------
AGRICULTURAL CHEMICALS -- 0.7%
9,400 Universal Corporation.................. 386,575
-----------
AIRLINES -- 1.4%
6,600 Alaska Airgroup Inc.................... 255,750
100 British Airways PLC, ADR............... 9,369
7,228 KLM Royal Dutch Airlines............... 272,857
7,050 Southwest Airlines Company............. 173,606
-----------
711,582
-----------
ALCOHOLIC BEVERAGE -- 0.4%
6,100 Adolph Coors Company, Class B.......... 202,825
-----------
APPAREL AND OTHER FINISHED PRODUCTS -- 0.7%
4,900 Kellwood Company....................... 147,000
2,500 Oxford Industries, Inc................. 81,250
3,300 Tommy Hilfiger Corporation+............ 115,912
-----------
344,162
-----------
AUTOMOBILE PARTS -- 3.3%
11,100 Arvin Industries Inc................... 369,769
1,000 Barnes Group Inc....................... 22,750
3,400 Borg-Warner Automotive, Inc............ 176,800
1,900 Cummins Engine Inc..................... 112,219
12,400 Excel Industries....................... 223,975
2,500 Lear Corporation+...................... 118,750
15,100 Simpson Industries..................... 177,425
3,200 Standard Motor Products, Inc........... 72,200
8,000 Standard Products Company.............. 205,000
8,150 Wynn's International, Inc.............. 259,781
-----------
1,738,669
-----------
AUTOMOTIVE -- 1.4%
7,900 Ford Motor Company..................... 384,631
2,000 General Motors Corporation............. 121,250
900 Honda Motor Company Ltd, ADR........... 66,487
6,200 Volvo AB, ADR.......................... 167,400
-----------
739,768
-----------
BANKS -- 0.9%
8,500 City National Corporation**............ 313,969
3,000 Providian Financial Corporation........ 135,562
-----------
449,531
-----------
BUILDING MATERIALS AND PRODUCTS -- 3.1%
3,500 Ameron International Corporation....... 221,375
7,700 Lafarge Corporation.................... 227,631
3,900 Oakwood Homes Corporation.............. 129,431
10,500 South Down Inc.**...................... 619,500
4,400 TJ International Inc. ................. 108,900
3,900 Texas Industries Inc. ................. 175,500
4,500 Webb (Del E.) Corporation.............. 117,000
-----------
1,599,337
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
CHEMICALS -- 0.7%
7,300 Albemarle Corporation.................. $ 174,288
4,700 Quaker Chemical Corporation............ 89,006
5,700 Wellman, Inc........................... 111,150
-----------
374,444
-----------
COMMERCIAL SERVICES -- 0.5%
4,700 CPI Corporation........................ 106,338
3,800 Ogden Corporation...................... 107,112
1,300 Unifirst Corporation................... 36,481
-----------
249,931
-----------
COMPUTER COMPONENTS AND SOFTWARE -- 1.1%
4,900 American Power Conversion
Corporation+......................... 115,763
4,800 Storage Technology Corporation+........ 297,300
6,300 Symantec Corporation+.................. 138,206
-----------
551,269
-----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS -- 0.2%
2,200 PACCAR Inc............................. 115,500
-----------
CONTAINERS/PACKAGING -- 0.3%
3,700 Ball Corporation....................... 130,656
500 Sealright Company Inc.................. 6,187
400 Zero Corporation....................... 11,850
-----------
148,693
-----------
CONTRACT DRILLING -- 3.2%
9,200 ENSCO International Incorporated....... 308,200
25,900 Global Marine, Inc.+**................. 634,550
5,600 Helmerich & Payne Inc.................. 380,100
11,000 Rowan Companies, Inc.+................. 335,500
-----------
1,658,350
-----------
DISCOUNT CHAIN -- 2.1%
14,100 Dress Barn, Inc.+...................... 400,088
10,200 Ross Stores, Inc....................... 371,025
15,700 ShopKo Stores, Inc..................... 341,475
-----------
1,112,588
-----------
DIVERSIFIED MANUFACTURING -- 1.2%
4,300 Aeroquip-Vickers Inc................... 210,969
4,300 Ametek Inc............................. 116,100
1,600 Furon Company.......................... 33,400
4,000 Trinity Industries Inc................. 178,500
3,800 Valmont Industries Inc................. 74,100
-----------
613,069
-----------
ELECTRIC UTILITIES -- 15.7%
2,400 Allegheny Energy Inc................... 78,000
7,800 Atlantic Energy, Inc................... 165,263
4,500 Baltimore Gas & Electric Company....... 153,281
7,900 Boston Edison Company.................. 299,213
2,800 CMS Energy Corporation................. 123,375
7,500 Central Hudson Gas & Electric
Corporation.......................... 329,063
600 Central Louisiana Electric............. 19,425
15,100 Central Maine Power Company............ 230,275
9,300 Commonwealth Energy System Companies... 309,225
2,300 Consolidated Edison Company of New
York, Inc............................ 94,300
5,700 Delmarva Power & Light Company......... 131,456
2,800 Dominion Resources Inc................. 119,175
3,400 DQE, Inc............................... 119,425
2,400 DTE Energy Company..................... 83,250
4,300 Eastern Utilities Associates........... 112,875
8,400 Edison International................... 228,375
2,000 Energen Corporation.................... 79,500
4,200 Enova Corporation...................... 113,663
</TABLE>
See Notes to Financial Statements.
50
<PAGE> 53
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- (CONTINUED)
9,400 Entergy Corporation.................... $ 281,413
2,500 FPL Group Inc. ........................ 147,968
6,600 GPU Inc. .............................. 278,025
4,900 Green Mountain Power+.................. 89,731
6,554 Houston Industries, Inc. .............. 174,909
3,700 Illinova Corporation................... 99,668
1,000 Ipalco Enterprises Inc. ............... 42,000
5,400 Long Island Lighting Company........... 162,675
2,700 MDU Resources Group, Inc. ............. 85,387
14,500 MidAmerican Energy Holdings Company.... 319,000
1,600 Minnesota Power & Light Company........ 69,700
8,400 Montana Power Company.................. 267,255
2,900 New England Electric System............ 123,975
10,400 New York State Electric & Gas
Corporation.......................... 369,200
2,200 Northern States Power
Company-Minnesota.................... 128,150
5,400 PECO Energy Company.................... 130,950
6,651 PG&E Corporation....................... 202,439
10,400 Pinnacle West Capital Corporation**.... 440,700
2,800 PP&L Resources, Inc. .................. 67,025
11,400 Public Service Company of New Mexico... 270,037
5,300 Public Service Enterprise.............. 167,943
10,900 Rochester Gas & Electric Corporation... 370,600
100 Sierra Pacific Resources............... 3,750
1,600 Sig Corp Inc. ......................... 47,000
10,500 TNP Enterprises Inc. .................. 349,125
2,600 Unicom Corporation..................... 79,950
6,300 United Illuminating Company............ 289,406
5,400 UtiliCorp United, Inc. ................ 209,587
2,200 WPS Resources Corporation.............. 74,387
-----------
8,131,094
-----------
ELECTRONIC EQUIPMENT -- 0.0%#
400 Rogers Corporation..................... 16,350
-----------
ELECTRONIC PRODUCTS -- 0.9%
1,800 Kuhlman Corporation.................... 70,425
1,800 Philips Electronics NV................. 108,900
3,800 SCI Systems Inc.+...................... 165,537
1,300 Sundstrand Corporation................. 65,000
2,700 Unitrode Corporation................... 58,050
-----------
467,912
-----------
ELECTRONICS -- 0.3%
4,300 MTS Systems Corporation................ 161,250
-----------
ENGINEERING/CONSTRUCTION -- 0.1%
1,400 Jacobs Engineering Group Inc.+......... 35,525
-----------
FINANCIAL SERVICES -- 6.0%
21,880 Bear Stearns Companies, Inc.**......... 1,039,300
11,250 AG Edwards Inc. ....................... 447,188
7,800 Equitable Companies, Inc. ............. 389,025
3,400 Green Tree Financial Corporation....... 89,037
4,700 Lehman Brothers Holdings, Inc. ........ 239,700
1,900 Merrill Lynch & Company, Inc. ......... 138,581
6,485 Morgan Stanley, Dean Witter, Discover
and Company.......................... 383,425
3,700 Paine Webber Group Inc. ............... 127,881
3,000 Raymond James Financial, Inc. ......... 119,062
6,900 The Money Store Inc. .................. 144,900
-----------
3,118,099
-----------
FOOD CHAINS -- 0.2%
3,000 Great Atlantic & Pacific Tea Company... 89,062
2,400 Marsh Supermarkets, Inc., Class A...... 36,300
-----------
125,362
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
FOOD DISTRIBUTORS -- 1.2%
900 Fleming Companies Inc. ................ $ 12,093
7,200 Nash Finch Corporation................. 136,800
3,600 Smithfield Foods Inc.+................. 118,800
4,085 Suiza Foods Corporation+............... 243,312
3,000 Supervalu, Inc. ....................... 125,625
-----------
636,630
-----------
HOMEBUILDERS -- 1.4%
4,400 Centex Corporation..................... 276,925
7,100 Ryland Group Inc. ..................... 167,737
17,700 Standard-Pacific Corporation........... 278,775
-----------
723,437
-----------
HOTELS/RESORTS -- 0.3%
7,500 Rio Hotel and Casino Inc.+............. 157,500
-----------
HOUSEHOLD PRODUCTS/WARE -- 1.0%
10,800 Ethan Allen Interiors Inc.**........... 416,475
3,600 Premark International, Inc. ........... 104,400
-----------
520,875
-----------
INDUSTRIAL MACHINERY/COMPONENTS -- 1.0%
3,600 Applied Power Inc, Class A............. 248,400
2,200 Esterline Technologies Corporation+.... 79,200
2,900 Ingersoll Rand Company................. 117,450
4,000 Magnetek Inc. ......................... 78,000
-----------
523,050
-----------
INSURANCE -- 4.4%
1,800 Allstate Corporation................... 163,575
5,300 Conseco Inc. .......................... 240,819
3,800 Fremont General Corporation............ 208,050
10,200 Old Republic International
Corporation.......................... 379,312
400 Orion Capital Corporation.............. 18,575
4,900 Selective Insurance Group, Inc. ....... 132,300
13,900 SunAmerica Inc.**...................... 594,225
2,900 Torchmark Corporation.................. 121,981
6,784 Travelers Group, Inc. ................. 365,488
3,500 20th Century Industries................ 91,000
-----------
2,315,325
-----------
IRON/STEEL -- 1.8%
2,100 AK Steel Holding Corporation........... 37,144
9,900 British Steel PLC, ADR................. 212,231
1,600 Carpenter Technology Corporation....... 76,900
3,200 Cleveland Cliffs....................... 146,600
12,300 Oregon Steel Mills, Inc. .............. 262,144
6,200 USX-US Steel Group, Inc. .............. 193,750
-----------
928,769
-----------
MACHINE -- DIVERSIFIED -- 1.8%
3,500 Caterpillar Inc. ...................... 169,969
4,800 Cincinnati Millacron Inc. ............. 124,500
1,500 Gleason Corporation.................... 40,406
3,200 Graco Inc. ............................ 119,400
2,100 Nacco Industries, Inc., Class A........ 225,093
2,900 Tecumseh Products Company, Class A..... 141,375
3,900 Varlen Corporation..................... 95,610
-----------
916,353
-----------
MANUFACTURING -- 0.7%
1,600 Carlisle Companies Inc. ............... 68,400
2,000 Pentair Inc. .......................... 71,875
4,900 Smith Corporation...................... 207,025
-----------
347,300
-----------
</TABLE>
See Notes to Financial Statements.
51
<PAGE> 54
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MARINE TRANSPORTATION -- 1.1%
1,700 Alexander & Baldwin.................... $ 46,431
4,500 Sea Containers, Ltd., Class A.......... 144,000
7,300 Tidewater, Inc. ....................... 402,412
-----------
592,843
-----------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICE -- 0.5%
300 Crawford & Company..................... 6,131
5,106 Integrated Health Services............. 159,243
4,400 Phycor Inc.+........................... 118,800
-----------
284,174
-----------
MEDICAL -- INSTRUMENTS -- 0.6%
8,400 Healthdyne Technologies+............... 171,150
4,800 West Inc. ............................. 142,800
-----------
313,950
-----------
METAL FABRICATE/HARDWARE -- 2.8%
4,300 Alcan Aluminum Ltd. ................... 118,788
6,800 Amcast Industrial Corporation.......... 155,975
1,800 Ampco-Pittsburgh Corporation........... 35,213
3,800 Commercial Metals...................... 119,938
8,000 Kaydon Corporation..................... 261,000
4,700 SPS Technologies, Inc.+................ 205,037
15,400 Timken Company**....................... 529,375
-----------
1,425,326
-----------
METAL MINING -- 0.6%
2,200 Arch Coal Corporation.................. 60,225
5,200 Asarco, Inc. .......................... 116,675
4,900 Brush Wellman Inc. .................... 120,050
-----------
296,950
-----------
METALS/MINERALS -- 0.4%
5,600 Cyprus Amax Minerals Company........... 86,100
1,900 Phelps Dodge Corporation............... 118,275
-----------
204,375
-----------
MULTI-SECTOR COMPANIES -- 0.8%
10,200 Canadian Pacific, Ltd.................. 277,950
8,100 Kaman Corporation...................... 132,637
-----------
410,587
-----------
NATURAL GAS DISTRIBUTION -- 0.8%
2,400 Nova Corporation....................... 22,950
9,400 NUI Corporation........................ 269,662
4,300 Southwestern Energy Company............ 55,362
-----------
347,974
-----------
NON-US UTILITY -- 0.6%
12,700 West Coast Energy, Inc. ............... 292,100
-----------
OFFICE SUPPLIES -- 1.2%
2,100 Hon Industries......................... 123,900
6,100 Interface, Inc. ....................... 176,900
6,100 Miller (Herman), Inc. ................. 332,831
-----------
633,631
-----------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 2.5%
3,300 BJ Services+........................... 237,394
2,400 Halliburton Company.................... 124,650
3,900 Smith International, Inc.+............. 239,362
22,900 Varco International Inc.+**............ 490,918
4,300 Weather Ford Enterra, Inc.+............ 188,125
-----------
1,280,449
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
OIL AND GAS PRODUCTION -- 0.6%
3,900 Cabot Oil and Gas Corporation.......... $ 75,806
1,400 Imperial Oil Ltd. ..................... 89,512
2,500 Murphy Oil Corporation................. 135,468
-----------
300,786
-----------
OIL/REFINING/MARKETING -- 4.0%
4,200 Ashland Inc. .......................... 225,488
1,800 Columbia Gas System.................... 141,413
4,000 Equitable Resources Inc. .............. 141,500
500 Holly Corporation...................... 13,812
2,900 Nabors Industries Inc.+................ 91,168
15,500 Parker Drilling Company+............... 188,906
2,200 Phillips Petroleum Company............. 106,975
1,757 Pioneer Natural Resources Company...... 50,843
5,100 Sun Company, Inc. ..................... 214,518
5,200 Tosco Corporation...................... 196,625
17,900 USX-Marathon Group**................... 604,125
3,400 Valero Energy Corporation.............. 106,887
-----------
2,082,260
-----------
OTHER SPECIALTY CHAINS -- 1.1%
200 Fabri-Centers of America, Class A+..... 4,462
9,200 Haverty Furniture...................... 124,200
1,600 Ladd Furniture Inc.+ .................. 24,000
17,650 Pier 1 Imports Inc. ................... 399,331
-----------
551,993
-----------
PAPER AND FOREST PRODUCTS -- 1.0%
11,500 Pope & Talbot Inc. .................... 173,218
2,300 Rayonier Inc. ......................... 97,893
11,480 Wausau-Mosinee Corporation............. 231,035
-----------
502,146
-----------
PETROLEUM -- 1.7%
6 British Petroleum PLC, ADR............. 478
4,600 CTG Resources Inc. .................... 119,888
3,500 Elf Aquitaine, ADR..................... 205,188
600 Indiana Energy Inc. ................... 19,762
4,300 Pennzoil Company....................... 287,293
6,900 YPF Sociedad Anonima, ADR.............. 235,893
-----------
868,502
-----------
PRECIOUS STONES -- 0.2%
5,800 De Beers Cons Mines, ADR............... 118,538
-----------
PRINTING/FORMS -- 0.8%
11,000 Bowne & Company Inc.**................. 438,625
-----------
PUBLISHING AND NEWS -- 0.3%
4,000 Meredith Corporation................... 142,750
400 Playboy Enterprises, Inc.+............. 5,550
-----------
148,300
-----------
REAL ESTATE -- 0.3%
3,100 LNR Property Corporation............... 73,237
3,100 Lennar Corporation..................... 66,843
-----------
140,080
-----------
RECREATIONAL PRODUCTS/TOYS -- 0.1%
4,500 Huffy Corporation...................... 60,750
-----------
RENTAL/LEASING COMPANIES -- 0.6%
4,300 GATX Corporation....................... 312,018
-----------
RESTAURANTS -- 1.8%
18,550 CKE Restaurants, Inc.**................ 781,419
1,800 Piccadilly Cafeterias Inc. ............ 23,625
14,300 Ryan Family Steak Houses, Inc.+........ 122,443
-----------
927,487
-----------
</TABLE>
See Notes to Financial Statements.
52
<PAGE> 55
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL -- 2.6%
5,300 Compusa Inc.+.......................... $ 164,300
6,300 Costco Companies, Inc. ................ 281,138
2,500 Dayton Hudson Corporation.............. 168,750
3,800 General Nutrition Companies+........... 129,200
7,200 Justin Industries...................... 98,100
2 Fred Meyer Inc. ....................... 72
11,900 Office Max Inc.+....................... 169,575
10,200 TJX Companies, Inc. ................... 350,625
-----------
1,361,760
-----------
SAVINGS AND LOAN ASSOCIATIONS -- 1.4%
2,900 Ahmanson (HF) & Company................ 194,119
8,000 Dime Bancorp Inc. ..................... 242,000
7,200 Golden State Bancorp Inc. ............. 269,100
-----------
705,219
-----------
SPECIALTY FOOD/CANDY -- 0.5%
6,900 Interstate Bakeries Corporation........ 257,887
-----------
TELECOMMUNICATIONS -- 0.5%
5,200 Communications Satellite Corporation... 126,100
1,300 Telefonica De Espana -- SP ADR......... 118,381
-----------
244,481
-----------
TEXTILES -- 1.2%
10,250 Guilford Mills Inc. ................... 280,593
3,900 Jones Apparel Group Inc.+.............. 167,700
3,700 Springs Industries, Inc., Class A...... 192,400
-----------
640,693
-----------
TOBACCO MANUFACTURERS -- 0.6%
8,100 RJR Nabisco Holdings Corporation....... 303,750
-----------
TRANSPORTATION -- 0.9%
1,400 Air Express International
Corporation.......................... 42,700
2,800 Airborne Freight Corporation........... 173,950
4,100 Kansas City Southern Industries,
Inc. ................................ 130,175
5,000 Stolt - Nielsen S.A. .................. 105,937
-----------
452,762
-----------
TRUCKING AND LEASING -- 1.4%
100 Arnold Industries Inc. ................ 1,725
8,600 Laidlaw Inc. .......................... 117,175
10,100 Roadway Express, Inc. ................. 223,462
5,700 Rollins Truck Leasing Corporation...... 101,887
900 XTRA Corporation....................... 52,762
8,500 Yellow Corporation .................... 213,562
-----------
710,573
-----------
WATER SUPPLY -- 0.2%
2,100 Aquarion Company....................... 72,581
467 Culligan Water Technologies+........... 23,584
-----------
96,165
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
WHOLESALE DISTRIBUTORS -- 0.4%
800 Hughes Supply Inc. .................... $ 27,950
6,600 VWR Scientific Products Corporation.... 186,450
-----------
214,400
-----------
Total Common Stocks
(Cost $41,472,987)................... 48,782,509
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 0.3%
(Cost $149,551)
US TREASURY BILLS:
$ 150,000 5.200%++ due 01/22/1997**.............. 149,550
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 5.6%
912,000 Federal Home Loan Mortgage Corporation,
(FHLB) 5.750%++ due 01/02/1997....... 911,854
2,000,000 Federal Home Loan Mortgage Corporation,
(FHLMC) 5.750%++ due 01/22/1997...... 1,993,350
-----------
Total US Government Agency Obligations
(Cost $2,905,205).................... 2,905,204
-----------
TOTAL INVESTMENTS (COST $44,527,743*)......... 100.1% 51,837,263
OTHER ASSETS AND LIABILITIES (NET)............ (0.1) (48,738)
----- -----------
NET ASSETS.................................... 100.0% $51,788,525
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $44,567,034.
** This security is pledged as collateral for futures contracts.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.01%.
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF APPRECIATION/
CONTRACTS (DEPRECIATION)
- --------- --------------
<C> <S> <C>
FUTURES CONTRACTS -- LONG POSITION
8 S&P 500, March 1998.................... $17,732
-------
Net unrealized depreciation on futures
contracts -- Long Position........... $17,732
=======
</TABLE>
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
53
<PAGE> 56
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 96.8%
ARGENTINA -- 0.4%
1,666 IRSA Inversiones y Representaciones
S.A., GDR........................... $ 62,683
10,000 Perez Companc S.A., Class B........... 71,414
3,800 Telefonica De Argentina S.A., ADR..... 141,550
3,900 Y.P.F. S.A., ADR...................... 133,331
------------
408,978
------------
AUSTRALIA -- 1.7%
8,347 Australia and New Zealand Bank........ 55,163
130,087 QBE Insurance Group Ltd. ............. 585,604
91,900 Woodside Petroleum Limited............ 648,073
171,814 Woolworths Limited.................... 574,456
------------
1,863,296
------------
BRAZIL -- 0.9%
3,100 Brazil Realty S.A., GDR**............. 60,450
300 Cemig Companhia New ADR............... 12,900
3,500 Centrais Electricas Brasileiras,
ADR................................. 87,028
300 Centrais Electricas de Santa Cartarina
S.A.**.............................. 32,700
4,200 CIA Brasil Dist. PAO Acuar ADR........ 81,375
3,000 CIA Energetica Minas Geras Cemig
ADR**............................... 129,000
1,200 Companhia Siderurgica Nacional, ADR... 33,332
7,000 Companhia Vale do Rio Doce, ADR....... 126,000
6,700 Multicanal Participacoes S.A., ADR+... 39,363
3,900 Petroleo Brasileiro S.A., ADR......... 91,206
1,200 Telebras ADR.......................... 139,725
3,900 Unibanco GDR.......................... 125,531
------------
958,610
------------
CANADA -- 2.7%
12,483 Bank of Nova Scotia................... 588,270
1,700 Bell Canada International............. 25,925
25,500 Bombardier Inc., Class B+............. 524,614
8,100 Newbridge Networks Corporation+....... 283,688
9,518 Northern Telecom Limited.............. 846,938
15,300 Toronto-Dominion Bank................. 576,005
------------
2,845,440
------------
CHILE -- 0.3%
5,100 Cia de Telecomunicaciones de Chile
S.A., ADR........................... 152,363
2,200 Distribucion Y Servicio ADR+.......... 40,838
3,400 Linea Area Nacidnal -- SP ADR+........ 46,325
3,200 Madeco ADR............................ 48,800
------------
288,326
------------
CHINA -- 0.0%#
15,000 Cheung Kong Infrastructure............ 42,393
------------
FINLAND -- 1.1%
8,000 Enso Oy, Class R...................... 62,101
16,060 Oy Nokia AB, Class A.................. 1,122,891
------------
1,184,992
------------
FRANCE -- 4.2%
2,428 L'OREAL............................... 949,824
6,000 SGS Thompson Microelectronics
N.V.+ .............................. 371,262
7,200 SGS-Thompson Microelectronics N.V.,
ADR+................................ 439,650
15,353 Total S.A., Class B................... 1,670,468
14,753 Valeo S.A. ........................... 1,000,361
------------
4,431,565
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
GERMANY -- 3.7%
2,170 Adidas AG ............................ $ 285,393
1,527 Bayerische Motoren Werke AG........... 1,141,643
9,570 Deutsche Bank AG...................... 675,592
2,807 Mannesmann AG......................... 1,418,323
1,380 SAP AG................................ 419,216
------------
3,940,167
------------
GREAT BRITAIN -- 13.9%
63,700 Argos PLC............................. 576,443
36,400 Bass PLC.............................. 559,555
117,900 British Airways....................... 1,084,345
65,600 Compass Group PLC..................... 801,571
53,153 Dixons Group PLC...................... 533,385
47,400 Electrocomponents PLC................. 351,870
22,947 Glaxo Wellcome PLC.................... 542,693
53,009 Granada Group PLC..................... 809,655
43,000 HSBC Holdings PLC..................... 1,101,688
4,900 Ramco Energy PLC, ADR................. 65,231
108,100 Reuters Holdings PLC.................. 1,180,627
44,841 Rio Tinto PLC......................... 551,598
35,600 SEMA Group PLC........................ 866,783
57,800 Siebe PLC............................. 1,134,387
82,900 Smith Industries PLC.................. 1,154,558
103,842 SmithKline Beecham PLC................ 1,062,494
78,700 Unilever PLC.......................... 673,407
216,000 Vodafone Group........................ 1,573,305
------------
14,623,595
------------
HONG KONG -- 1.7%
9,500 Asia Satellite Telecommunications
Holdings Ltd. ...................... 16,244
50,000 Beijing Datang Power Generation
Company Ltd. ....................... 22,906
61,000 Cheung Kong (Holdings) Ltd. .......... 399,503
42,000 China Food Holdings Ltd. ............. 13,821
32,000 Guangdong Kelon Elec Holding.......... 32,830
15,000 Guangnan Holdings..................... 12,292
1 Jardine Matheson Holdings Ltd., ADR... 5
364,000 National Mutual Asia Ltd. ............ 361,698
20,800 New World Infastructure Ltd........... 46,840
20,000 Ng Fung Hong Ltd. .................... 21,035
47,000 Qingling Motors Company............... 23,048
121,000 Sun Hung Kai Properties Ltd. ......... 843,206
30,000 Zhenhai Refining and Chemical Company
Ltd. ............................... 12,485
------------
1,805,913
------------
INDIA -- 0.4%
2,180 Bombay Suburban Electric Company
GDR................................. 37,878
8,900 Gujarat Ambuja Cements Ltd.**......... 63,635
800 Hindalco Industries Ltd., GDR......... 15,750
1,700 Hindalco Industries Ltd., GDR......... 33,469
1,300 Indian Hotels Company Ltd., GDR**..... 24,456
1,700 Larsen & Toubro Ltd. ................. 18,700
3,900 Mahanagar Telephone Nigam Ltd.,
GDR+**.............................. 60,255
1,500 Ranbaxy Laboratories Ltd., GDR........ 38,438
2,500 State Bank of India, GDR***........... 44,688
5,000 Tata Engineering & Locomotive Company,
GDR................................. 41,675
1,100 Videsh Sanchar Nigam Ltd., GDR+....... 15,318
1,100 Videsh Sanchar Nigam Ltd., GDR***..... 15,125
------------
409,387
------------
</TABLE>
See Notes to Financial Statements.
54
<PAGE> 57
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
INDONESIA -- 0.1%
25,500 PT Astra International Inc.
(Foreign)+**........................ $ 9,389
9,000 PT Gudang Garam....................... 13,705
67,000 PT Indah Kiat Pulp & Paper Corporation
Tbk................................. 11,877
27,500 PT Indorama Synthetics................ 12,250
9,000 PT Indosat............................ 16,691
10,000 PT Ramayana Lestari Sentosa........... 9,409
1 PT Steady Safe........................ 0
2,450 PT Telekomunikasi Indonesia, ADR...... 27,103
------------
100,424
------------
ISRAEL -- 0.2%
38,000 Bank Leumi Le-Israel.................. 63,831
17,000 Super-Sol Ltd......................... 48,218
1,800 Super-Sol Ltd., ADR................... 25,313
1,800 Tadiran Ltd........................... 64,238
------------
201,600
------------
ITALY -- 3.3%
291,000 Credito Italiano...................... 897,346
77,500 Ente Nazionale Idrocarburi............ 439,415
64,900 La Rinascente S.P.A. ................. 484,274
174,100 Telecom Italia Mobile................. 803,576
136,000 Telecom Italia S.P.A. ................ 868,739
------------
3,493,350
------------
JAPAN -- 7.2%
8,300 Acom Company, Ltd. ................... 457,756
1,900 Aiful Corporation..................... 128,801
23,000 Canon, Inc............................ 535,580
7,400 Credit Saison Company, Ltd. .......... 182,520
4,600 Hirose Electric....................... 235,021
3,300 Keyence Corporation................... 487,859
12,000 Promise Company, Ltd. ................ 665,492
33,000 Ricoh Company, Ltd. .................. 409,498
6,000 Rohm Company Ltd. .................... 611,260
900 Sankyo Company, Ltd. ................. 20,337
72,000 Shiseido Company, Ltd. ............... 981,693
2,300 Shohkoh Fund Company.................. 701,187
11,700 Sony Corporation...................... 1,039,602
9,000 Takeda Chemical Industries............ 256,454
27,100 Toyko Electron Ltd. .................. 867,698
------------
7,580,758
------------
KOREA -- 0.1%
168 Housing & Commercial Bank, GDR***..... 1,277
5,800 Korea Electric Power Corporation...... 53,723
450 Pohang Iron & Steel Company Ltd. ..... 12,186
80 SK Telecom Company Ltd. .............. 24,783
------------
91,969
------------
MEXICO -- 1.1%
20,000 ALFA, S.A. de C.V..................... 134,564
15,000 Cemex S.A. de C.V. ................... 79,921
28,000 Cifra S.A. de C.V., Series B.......... 68,764
31,000 Corporacion Moctezuma, S.A. de
C.V.+ .............................. 38,642
12,600 Fomento Economico Mexicana, Class B... 101,168
3,200 Grupo Accion, S.A. de C.V., ADR+**.... 33,200
34,000 Grupo Financiero Banamex Accival, S.A.
de C.V. (Banacci), Series B......... 101,741
4,000 Grupo Imsa, S.A. de C.V., ADR......... 94,250
3,200 Grupo Televisa S.A., GDR+............. 123,800
15,700 Kimberly-Clark de Mexico, S.A. de
C.V., Class A....................... 74,896
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
MEXICO -- (CONTINUED)
4,900 PanAmerican Beverages Class A......... $ 159,863
2,100 Telefono de Mexico SA ADR............. 117,731
------------
1,128,540
------------
NETHERLANDS -- 3.3%
15,050 AEGON N.V. ........................... 1,339,707
14,500 ASM Lithography Holding............... 951,078
12,435 Getronics............................. 396,163
12,700 Ispat International N.V.+ ............ 241,135
4,200 Wolters Kluwer N.V. .................. 542,477
------------
3,470,560
------------
NEW ZEALAND -- 1.0%
211,800 Telecom Corporation of New Zealand.... 1,026,896
------------
PHILIPPINES -- 0.2%
121,000 Ayala Land, Inc., Class B............. 47,803
298,100 Belle Corporation..................... 11,482
7,000 Benpres Holdings Corporation,
GDR**+.............................. 21,700
197,700 International Container Terminal
Services, Inc....................... 24,407
6,000 Manila Electric Company, Class B...... 19,852
500 Philippine Long Distance Telephone
Company............................. 10,864
1,600 Philippine Long Distance Telephone
Company, ADR........................ 36,000
215,000 SM Prime Holdings Inc. ............... 31,852
320,000 Solid Group, Inc. .................... 12,642
------------
216,602
------------
POLAND -- 0.0%#
700 Bank Handlowy W. Warszawie+........... 8,936
1,000 Bank Handlowy W. Warszawie, GDR+**.... 13,225
4,200 KGHM Polska Miez S.A., GDR+........... 28,875
------------
51,036
------------
PORTUGAL -- 1.1%
5,400 Colep-Companhia Portuguesa de
Emblagens+.......................... 76,283
1,200 Electricidade de Portugal............. 22,722
3,300 Investec-Consultoria Internacional,
S.A.+............................... 97,718
20,100 Portugal Telecommunications S.A. ..... 932,649
------------
1,129,372
------------
RUSSIA -- 0.4%
1,000 Lukoil Oil Company, ADR............... 92,250
1,600 Mosenergo, ADR**...................... 60,000
1,000 Tatneft, ADR+**....................... 142,500
2,800 Unified Energy Systems, GDR........... 84,700
------------
379,450
------------
SINGAPORE -- 0.0%#
2,400 Asia Pulp & Paper ADR................. 24,150
------------
SOUTH AFRICA -- 0.4%
26,300 Billiton PLC+......................... 67,554
16,900 Engen Ltd. ........................... 85,949
10,400 First National Bank Holdings Ltd. .... 92,428
5,260 Gencor Ltd. .......................... 8,701
2,800 Liberty Life Association of Africa
Ltd. ............................... 71,920
33,000 Lonrho PLC............................ 50,180
8,400 Sasol Ltd. ........................... 88,030
------------
464,762
------------
SPAIN -- 0.3%
5,300 Gas Natural SDG, S.A.+ ............... 274,827
------------
SWEDEN -- 1.1%
29,662 Ericsson Telecommunications, Class
B................................... 1,115,140
------------
</TABLE>
See Notes to Financial Statements.
55
<PAGE> 58
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
SWITZERLAND -- 3.1%
1,083 Nestle S.A. .......................... $ 1,621,925
553 Novartis AG........................... 896,665
2,355 Schweizerischer Bankverein............ 731,481
------------
3,250,071
------------
TAIWAN -- 0.3%
3,150 Acer Inc., GDR........................ 23,940
1,200 ASE Test Ltd.+........................ 78,450
3,870 Asustek Computer Inc., GDR+........... 63,758
1,700 China Steel Corporation............... 25,287
3,900 Siliconware Precision Industries
Company, GDR........................ 50,017
7,500 The R.O.C. Taiwan Fund................ 60,938
------------
302,390
------------
THAILAND -- 0.1%
5,000 Advanced Information Services Public
Company, Ltd. ...................... 24,852
6,000 Bangkok Bank Public Company Ltd. ..... 15,425
9,800 Electricity Generating Public Company
Limited (Foreign)................... 18,897
1,900 PTT Exploration and Production Public
Company, Ltd. (Foreign)............. 22,552
------------
81,726
------------
TURKEY -- 0.2%
5,600 Sabanci Holdings+**................... 85,400
2,700 Yapi ve Kredi Bankasi S.A., GDR**..... 103,950
------------
189,350
------------
UNITED STATES -- 42.2%
11,500 AES Corporation....................... 536,188
3,700 AMR Corporation+...................... 475,450
10,200 American Express Company.............. 910,350
6,100 American International Group, Inc. ... 663,375
4,900 Apollo Group, Inc., Class A+.......... 231,525
2,600 @Entertainment, Inc.+ ................ 28,925
7,100 BMC Software, Inc.+................... 465,938
14,400 Bristol-Myers Squibb Company.......... 1,362,600
26,100 CBS Corporation....................... 768,319
12,311 CVS Corporation....................... 788,673
11,500 Campbell Soup Company................. 668,438
7,900 Cardinal Health, Inc. ................ 593,488
13,600 Cedant Corporation.................... 467,500
9,450 Cisco Systems Inc.+................... 526,838
6,700 Clorox Company........................ 529,719
22,300 Coca-Cola Enterprises Inc. ........... 793,044
7,100 Colgate-Palmolive Company............. 521,850
11,700 Compaq Computer Corporation........... 660,319
12,700 Computer Association International
Inc. ............................... 671,512
12,000 Compuware Corporation................. 384,000
14,900 ConAgra Inc. ......................... 488,906
10,525 Consolidated Stores Corporation....... 462,442
14,000 Costco Companies, Inc. ............... 624,750
8,700 Dayton Hudson Corporation............. 587,250
6,400 Diebold Inc. ......................... 324,000
8,100 Disney (Walt) Company................. 802,406
18,300 EMC Corporation....................... 502,106
11,200 Fort James Corporation................ 428,400
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
UNITED STATES -- (CONTINUED)
4,600 Franklin Resources Inc. .............. $ 399,912
7,100 Gannett Company, Inc. ................ 438,869
28,100 General Electric Company.............. 2,061,839
12,400 HBO & Company......................... 595,200
14,000 Halliburton Company................... 727,125
21,300 Healthsouth Corporation+.............. 591,075
8,800 Interpublic Group of Companies,
Inc. ............................... 438,350
8,500 Ispat International NV+............... 183,813
9,200 Jones Apparel Group, Inc.+............ 395,600
9,500 Lilly (Eli) & Company................. 661,438
7,400 Lucent Technologies, Inc. ............ 591,075
18,850 MBNA Corporation...................... 514,841
7,400 Marriot International Inc. ........... 512,450
6,600 Masco Corporation..................... 335,775
7,000 Merck & Company, Inc. ................ 743,750
7,900 Microsoft Corporation+................ 1,021,075
7,300 Miller (Herman), Inc. ................ 398,306
14,400 Omnicare Inc. ........................ 446,400
9,400 Parametric Technology Company+........ 445,325
10,150 Paychex Inc. ......................... 513,844
6,400 Payless ShoeSource Inc.+.............. 429,600
17,500 PeopleSoft Inc.+...................... 682,500
17,500 PepsiCo, Inc. ........................ 637,656
14,200 Pfizer Inc. .......................... 1,058,788
17,200 Procter & Gamble Company.............. 1,372,775
14,500 Quintiles Transnational
Corporation+........................ 554,625
15,400 QuorumHealth Group, Inc.+............. 402,325
8,000 Rite Aid Corporation.................. 469,500
6,200 SBC Communications Inc. .............. 454,150
11,900 SCI Systems, Inc. .................... 518,394
7,400 Sara Lee Corporation.................. 416,712
12,300 Schering-Plough Corporation........... 764,138
13,600 Schlumberger Ltd. .................... 1,094,800
7,800 Solectron Corporation................. 324,187
8,500 Southtrust Corporation................ 539,219
18,400 Southwest Airlines Company............ 453,100
11,800 SunAmerica, Inc. ..................... 504,450
17,500 TJX Companies Inc..................... 601,563
1,600 Taiwan Semiconductor Manufacturing
Company Ltd., ADR+.................. 29,100
7,000 Tellabs, Inc.+........................ 370,125
9,800 Tiffany & Company..................... 353,413
10,500 Tosco Corporation..................... 397,031
10,850 Travelers Group, Inc. ................ 584,544
8,500 USA Waste Services Inc.+.............. 333,625
17,000 Wal-Mart Stores, Inc. ................ 670,438
14,400 Walgreen Company...................... 451,800
7,300 Warner-Lambert Company................ 905,200
6,500 Washington Mutual Inc. ............... 414,781
6,400 Western Atlas Inc. ................... 473,600
------------
44,546,512
------------
VENEZUELA -- 0.1%
1,200 Compania Anonima Nacional Telefonos de
Venezuela, ADR...................... 49,950
6,000 Siderurgica Venezolana Sivensa, ADR... 24,000
------------
73,950
------------
Total Common Stocks (Cost
$95,896,608)........................ 101,996,097
------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
RIGHTS -- 0.1%
ARGENTINA -- 0.1% (Cost $79,392)
8,333 Banco Frances del Rio de la Plata
S.A. ............................... $ 77,344
------------
WARRANT -- 0.0%#
(Cost $0)
PHILIPPINES -- 0.0%#
59,620 Belle Corporation, Expires
09/11/2000.......................... 92
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 1.4%
(Cost $1,517,000)
$1,517,000 Agreement with SBC Warburg, 6.500%
dated 12/31/1997 to be repurchased
at $1,517,548 on 01/02/1998,
collateralized by $965,000 U.S.
Treasury Notes, 11.250% due
02/15/2015 (Market value
$1,507,137).........................
1,517,000
------------
TOTAL INVESTMENTS (COST $97,493,000*).........
98.3% 103,590,533
OTHER ASSETS AND LIABILITIES (NET)............
1.7 1,763,756
----- ------------
NET ASSETS....................................
100.0% $105,354,289
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $97,827,564.
** 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 Managed Global Series
at December 31, 1997 was as follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Financial Services.................... 6.5% $ 6,859,223
Health Care........................... 7.0 7,356,554
Communication/Telecommunications...... 9.8 10,283,743
Technology............................ 5.8 6,090,427
Food and Beverage Products............ 4.3 4,481,398
Oil and Gas........................... 5.5 5,803,163
Durable Goods......................... 1.7 1,787,278
Insurance............................. 2.9 3,022,305
Electronics........................... 3.8 4,014,427
Banks................................. 3.8 4,023,338
Drugs................................. 2.4 2,570,382
Retail................................ 5.3 5,579,360
Services.............................. 6.8 7,132,087
Machinery/Equipment................... 0.6 587,108
Computer Industry..................... 3.3 3,480,187
Nondurable Goods...................... 4.5 4,761,393
Basic Industries...................... 1.1 1,122,891
Metals/Mining......................... 1.3 1,370,651
Construction/Engineering.............. 2.0 2,101,429
Holding Company....................... 1.4 1,444,422
Utility............................... 1.4 1,506,739
Chemicals and Allied Products......... 2.0 2,089,725
Recreation/Entertainment.............. 0.5 565,831
Transportation........................ 4.5 4,790,560
Office Supplies and Equipment......... 0.4 409,498
Industrial............................ 2.9 3,017,212
Textiles.............................. 0.4 395,600
Printing/Publishing................... 1.1 1,166,723
Real Estate........................... 1.0 1,080,382
Manufacturing......................... 0.1 152,796
Other................................. 2.8 3,026,700
----- ------------
TOTAL LONG TERM INVESTMENTS........... 96.9 102,073,532
REPURCHASE AGREEMENT.................. 1.4 1,517,000
----- ------------
TOTAL INVESTMENTS..................... 98.3 103,590,532
OTHER ASSETS AND LIABILITIES.......... 1.7 1,763,756
----- ------------
NET ASSETS............................ 100.0% $105,354,288
===== ============
</TABLE>
See Notes to Financial Statements.
57
<PAGE> 60
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1997
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>
01/02/1998 ITL 372,451,671 $213,389 $210,543 $(2,846)
01/02/1998 CAD 49,699 34,537 34,778 241
01/05/1998 AUD 9,911 6,493 6,459 (34)
01/05/1998 HKD 434,951 56,130 56,128 (2)
01/06/1998 AUD 45,572 29,836 29,698 (138)
01/06/1998 JPY 61,945 477 475 (2)
01/07/1998 JPY 4,241,415 32,727 32,503 (224)
01/08/1998 ITL 61,115,771 34,770 34,547 (223)
01/30/1998 FRF 571,589 95,186 95,119 (67)
-------
$(3,295)
=======
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<TABLE>
<CAPTION>
CONTRACTS TO DELIVER
------------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
- ---------- -------- ----------- -------- --------------
<S> <C> <C> <C> <C> <C>
01/02/1998 AUD 100,681 $ 66,027 $ 65,618 $ 409
01/02/1998 FIM 50,334 9,312 9,237 75
01/05/1998 DEM 123,264 69,009 68,524 485
01/05/1998 FIM 197,017 36,359 36,158 201
01/06/1998 CHF 112,676 77,467 77,109 358
01/06/1998 DEM 463,079 258,718 257,443 1,275
01/06/1998 PTE 11,091,194 60,610 60,264 346
01/07/1998 AUD 105,156 68,688 68,524 164
01/07/1998 ESP 7,023,881 46,350 46,107 243
01/07/1998 GBP 14,780 24,486 24,275 211
01/07/1998 JPY 1,627 12 12 0
01/07/1998 ESP 9,733,347 63,909 63,892 17
01/08/1998 AUD 200,577 130,744 130,696 48
01/30/1998 FRF 382,459 63,956 63,646 310
02/13/1998 GBP 3,119,000 5,293,567 5,126,595 166,972
02/13/1998 JPY 436,000,000 3,528,250 3,361,456 166,794
--------
$337,908
--------
Net Unrealized Appreciation of Forward Foreign Exchange
Contracts............................................ $334,613
========
- ------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- German Mark
ESP -- Spanish Peseta
FIM -- Finnish Markka
FRF -- French Franc
GBP -- British Pound Sterling
GDR -- Global Depositary Receipt
HKD -- Hong Kong Dollar
ITL -- Italian Lira
JPY -- Japanese Yen
PTE -- Portuguese Escudo
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 87.7%
ARGENTINA -- 6.6%
43,325 Banco Frances del Rio de la Plata
S.A., ADR........................... $ 402,135
9,666 IRSA Inversiones y Representaciones
S.A., GDR........................... 363,684
63,000 Perez Companc S.A., Class B........... 449,905
15,700 Telefonica de Argentina S.A., ADR..... 584,825
23,500 Y.P.F S.A., ADR....................... 803,406
-----------
2,603,955
-----------
BRAZIL -- 7.8%
8,900 Brazil Realty S.A., GDR**............. 173,550
4,000 Centrais Eletrobras................... 199
18,400 Companhia Brasileira de Distribuicao
Grupo Pao de Acuar, ADR............. 356,500
14,700 Companhia Energetica de Minas Geras,
ADR**............................... 635,775
7,500,000 Companhia Siderurgica Nacional........ 208,324
40,900 Companhia Vale do Rio Doce, ADR....... 736,200
800 Souza Crus S.A........................ 6,451
2,100 Telebras, ADR......................... 244,519
7,200,800 Telec Brasileiras-Telebras ON......... 732,307
-----------
3,093,825
-----------
CANADA -- 1.3%
10,400 Bell Canada International Inc.+....... 158,600
48,600 Hurricane Hydrocarbons Ltd., Class
A+.................................. 377,495
-----------
536,095
-----------
CHILE -- 3.9%
24,200 Cia Telecom, ADR...................... 722,975
13,000 Distribucion y Servicio D&S S.A.,
ADR+................................ 241,313
20,700 Linea Aerea Nacional Chile S.A.,
ADR+................................ 282,037
19,100 Madeco S.A., ADR...................... 291,275
-----------
1,537,600
-----------
CHINA -- 0.6%
84,000 Cheung Kong Infrastructure............ 237,398
-----------
GREAT BRITAIN -- 1.0%
31,100 Ramco Energy PLC, ADR................. 414,019
-----------
HONG KONG -- 3.0%
57,000 Asia Satellite Telecommunications
Holdings Ltd........................ 97,464
299,000 Beijing Datang Power Generation
Company Limited+.................... 136,979
254,000 China Food Holdings Ltd. ............. 83,585
159,000 Guangdong Kelon Elec Holding.......... 163,124
88,000 Guangnan Holdings..................... 72,113
126,000 Ng Fung Hong Limited.................. 132,520
134,000 New World Infrastructure Ltd. ........ 301,755
265,000 Qingling Motors Company............... 129,952
180,000 Zhenhai Refining and Chemical Company
Limited............................. 74,913
-----------
1,192,405
-----------
HUNGARY -- 1.3%
31,600 Pick Szeged Rt., GDR**................ 497,700
-----------
INDIA -- 6.6%
13,100 BSES Ltd., GDR+....................... 227,612
62,000 Gujarat Ambuja Cements Ltd.**......... 443,300
14,300 Hindalco Industries, Ltd. GDR......... 281,531
7,800 Indian Hotels Ltd.**.................. 146,737
23,100 Mahanager Telephone Nigam Ltd.,
GDR+**.............................. 356,895
34,800 Mahindra & Mahindra Ltd., GDR**....... 369,315
17,200 State Bank of India, GDR***........... 307,450
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
INDIA -- (CONTINUED)
35,100 Tata Engineering & Locomotive Company,
GDR................................. $ 292,559
11,800 Videsh Sanchar Nigam Ltd., GDR+***.... 162,250
-----------
2,587,649
-----------
INDONESIA -- 1.6%
153,000 PT Astra International Inc.+**........ 56,332
3 PT Bank International Indonesia+...... 0
55,000 PT Gudang Garam....................... 83,750
440,000 PT Indah Kiat Pulp and Paper
(Foreign)........................... 78,000
164,000 PT Indorama Synthetics................ 73,055
54,000 PT Indosat............................ 100,145
69,000 PT Ramayana Lestari Sentosa........... 64,923
14,200 PT Telekomunikasi Indonesia, ADR...... 157,088
-----------
613,293
-----------
ISRAEL -- 3.1%
228,000 Bank Leumi Le-Israel.................. 382,987
95,000 Super-Sol Ltd......................... 269,456
12,300 Super-Sol Ltd., ADR................... 172,968
11,500 Tadiran Ltd........................... 410,413
-----------
1,235,824
-----------
KOREA -- 1.4%
1,014 Housing & Commercial Bank, GDR***..... 7,706
34,000 Korea Electric Power Corporation*..... 314,926
2,600 Pohang Iron & Steel Company Ltd....... 70,407
1 Samsung Electronics Company Ltd. ..... 22
486 SK Telecom Company Ltd., ADR.......... 150,560
-----------
543,621
-----------
MALAYSIA -- 3.2%
127,000 Berjaya Sports Toto BHD............... 324,888
445,000 IJM Corporation BHD................... 147,590
94,000 KFC Holdings (Malaysia) BHD........... 152,256
113,000 Malakoff BHD.......................... 235,326
87,000 Malaysian Assurance Alliance BHD...... 99,761
130,000 PPB Oil Palms BHD+.................... 100,270
67,500 Telecom Malaysia BHD.................. 199,575
-----------
1,259,666
-----------
MEXICO -- 14.8%
87,700 Cementos Mexicanos S.A., Class B...... 467,270
170,000 Cifra S.A. de C.V., Series B.......... 417,496
187,700 Corporacion Moctezuma, S.A. de
C.V.+............................... 233,971
73,300 Fomento Economico Mexicana, Class B... 588,543
19,300 Grupo Accion S.A. de C.V., ADR+**..... 200,238
207,000 Grupo Financiero Banamex Accival, S.A.
de C.V. (Banacci), Series B......... 619,423
26,400 Grupo Imsa S.A. de C.V., ADR.......... 622,050
19,900 Grupo Telivisa S.A., GDR.............. 769,881
95,300 Kimberly-Clark de Mexico, S.A. de
C.V., Class A....................... 454,625
23,600 Panamerican Beverages Inc., Class A... 769,950
12,300 Telefonos de Mexico S.A., ADR......... 689,569
-----------
5,833,016
-----------
PAKISTAN -- 0.0%#
24,200 Karachi Electric Supply Company+...... 13,088
-----------
PHILIPPINES -- 3.2%
609,300 Ayala Land Inc., Class B.............. 240,711
1,871,000 Belle Corporation+.................... 72,068
42,001 Benpres Holdings Corporation,
GDR+**.............................. 120,333
1,201,000 International Container Terminal
Services, Inc. ..................... 148,272
34,000 Manila Electric Company, Class B...... 112,494
</TABLE>
See Notes to Financial Statements.
59
<PAGE> 62
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
PHILIPPINES -- (CONTINUED)
3,000 Philippine Long Distance Telephone
Company............................. $ 65,185
9,600 Philippine Long Distance Telephone
Company, ADR........................ 216,000
1,300,000 SM Prime Holdings Inc. ............... 192,593
1,930,000 Solid Group, Inc.+.................... 76,247
-----------
1,243,903
-----------
POLAND -- 2.0%
15,600 @Entertainment, Inc.+................. 173,550
24,700 KGHM Polska Miez S.A., GDR+........... 169,813
36,900 KREDYT BANK S.A., GDR+**.............. 455,715
-----------
799,078
-----------
PORTUGAL -- 3.7%
39,900 Colep-Cia Portuguesa de Embalagens+... 563,651
7,300 Electricidade de Portugal+............ 138,226
25,000 Investec-Consultadoria Internacional,
S.A.+............................... 740,288
-----------
1,442,165
-----------
RUSSIA -- 4.9%
6,200 Lukoil Oil Company, ADR............... 571,950
6,000 Tatneft, ADR**........................ 855,000
300 Tatneft, ADR.......................... 42,750
15,400 Unified Energy Systems, GDR+.......... 465,850
-----------
1,935,550
-----------
SINGAPORE -- 0.3%
13,350 Asia Pulp & Paper Company Ltd., ADR... 134,334
-----------
SOUTH AFRICA -- 7.1%
163,000 Billiton PLC+......................... 418,679
103,000 Engen Ltd. ........................... 523,836
60,600 First National Bank Holdings Ltd. .... 538,570
32,600 Gencor Ltd. .......................... 53,926
17,003 Liberty Life Association of Africa
Ltd. ............................... 436,736
206,000 Lonrho PLC............................ 313,244
50,800 Sasol, Ltd. .......................... 532,374
-----------
2,817,365
-----------
TAIWAN -- 4.0%
18,875 Acer Inc., GDR........................ 143,450
7,400 ASE Test Ltd.+........................ 483,775
22,900 Asustek Computer Inc., GDR+........... 377,278
10,300 China Steel Corporation............... 153,213
19,000 Siliconware Precision Industries
Company, GDR........................ 243,675
9,200 Taiwan Semiconductor Manufacturing
Company Ltd., ADR+.................. 167,325
-----------
1,568,716
-----------
THAILAND -- 1.3%
27,300 Advanced Information Services Public
Company, Ltd. (Foreign)............. 134,526
34,000 Bangkok Bank Public Company Ltd.
(Foreign)........................... 87,413
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
THAILAND -- (CONTINUED)
60,400 Electricity Generating Public Company
Limited (Foreign)................... $ 116,465
47,400 Industrial Finance Corporation of
Thailand (Foreign).................. 7,515
12,400 PTT Exploration and Production Public
Company, Ltd. (Foreign)............. 147,179
-----------
493,098
-----------
TURKEY -- 3.8%
5,100,000 Dogan Sirketler Grubu Holding A.S..... 201,785
34,000 Haci Omer Sabanci Holdinds, ADR+**.... 518,500
20,100 Yapi ve Kredi Bankasi S.A., GDR+...... 773,850
-----------
1,494,135
-----------
VENEZUELA -- 1.2%
7,300 Compania Anonima Nacional Telefonos de
Venezula, ADR....................... 303,863
38,000 Siderurgica Venezolana "Sivensa",
ADR................................. 152,000
6,550 Siderurgica Venezolana "Sivensa",
Class B............................. 3,052
-----------
458,915
-----------
Total Common Stocks (Cost
$37,246,671)........................ 34,586,413
-----------
REFERRED STOCKS -- 4.6%
BRAZIL -- 4.6%
50,000,700 Banco Bradesco........................ 492,816
900,000 Banco Itau S.A........................ 483,849
341,900 Celesc................................ 425,824
1,951,000 Mesbla**.............................. 8,741
1,740,500 Petroleo Brasileir.................... 407,034
-----------
Total Preferred Stocks (Cost
$1,995,152)......................... 1,818,264
-----------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION
DATE
----------
<C> <S> <C> <C>
WARRANTS AND RIGHTS -- 0.0%#
BRAZIL -- 0.0%#
2,137,788 Banco Bradesco............ 02/09/1998 7,662
700 Souza Cruz................ 01/29/1998 6
-----------
7,668
-----------
INDONESIA -- 0.0%#
2,200 PT Bank International 01/17/2000 30
Indonesia+..............
-----------
PHILIPPINES -- 0.0%#
374,200 Belle Corporation+........ 09/11/2000.. 577
-----------
Total Warrants and Rights
(Cost $1,140)........... 8,275
-----------
</TABLE>
See Notes to Financial Statements.
60
<PAGE> 63
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
CONVERTIBLE BONDS -- 3.3%
MEXICO -- 2.2%
$620,000 ALFA, Class A,
8.000% due 09/15/2000**...... $ 885,050
-----------
TAIWAN -- 1.1%
400,000 Formosa Chemical & Fibre
Corporation,
1.750% due 07/19/2001........ 418,000
-----------
Total Convertible Bonds (Cost
$1,181,960).................. 1,303,050
-----------
TOTAL INVESTMENTS (COST $40,424,923*)......... 95.6% 37,716,002
OTHER ASSETS AND LIABILITIES (NET)............ 4.4 1,720,133
----- -----------
NET ASSETS.................................... 100.0% $39,436,135
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $40,811,946.
** 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 December 31, 1997
was as follows:
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Oil/Gas................................ 13.3% $ 5,271,933
Transportation......................... 1.8 704,549
Communication/Telecommunications....... 14.4 5,727,034
Banking................................ 10.1 4,021,037
Construction........................... 4.8 1,883,932
Food and Beverage Products............. 4.7 1,856,360
Retail................................. 1.8 699,620
Industrial............................. 4.1 1,616,294
Utility................................ 4.0 1,564,577
Insurance.............................. 1.4 536,497
Computers and Office Equipment......... 1.7 655,254
Financial Services..................... 2.7 1,064,585
Metal/Mining........................... 4.7 1,852,018
Publishing............................. 1.9 740,288
Electric Services and Equipment........ 2.0 793,457
Electronics............................ 4.1 1,606,819
Miscellaneous Services................. 1.1 417,496
Agriculture............................ 2.5 979,835
Diversified Operations................. 2.4 944,168
Iron/Steel............................. 0.9 361,537
Real Estate............................ 2.8 1,107,516
Engineering............................ 0.8 302,642
Consumer............................... 1.3 501,835
Recreation/Entertainment............... 1.6 645,176
Paper and Allied Products.............. 1.7 666,959
Other.................................. 3.0 1,194,584
----- -----------
TOTAL INVESTMENTS...................... 95.6 37,716,002
OTHER ASSETS AND LIABILITIES (NET)..... 4.4 1,720,133
----- -----------
NET ASSETS............................. 100.0% $39,436,135
===== ===========
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
</TABLE>
See Notes to Financial Statements.
61
<PAGE> 64
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
HARD ASSETS SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 84.6%
ALUMINUM -- 3.1%
13,600 Aluminum Company of America............ $ 957,100
8,200 Reynolds Metals Company................ 492,000
-----------
1,449,100
-----------
APARTMENTS -- 2.7%
8,000 Ambassador Apartments, Inc. ........... 164,500
15,000 Colonial Properties Trust.............. 451,875
12,500 Equity Residential Properties Trust.... 632,031
-----------
1,248,406
-----------
CHEMICALS -- 2.9%
25,300 General Chemical Group Inc. ........... 676,775
7,800 Potash Corporation of Saskatchewan
Inc. ................................ 647,400
-----------
1,324,175
-----------
DIVERSIFIED MINERALS -- 1.0%
345,000 Auspex Minerals Limited+............... 147,266
128,000 Billiton Plc+.......................... 327,944
-----------
475,210
-----------
FOREST PRODUCTS AND PAPER -- 5.3%
39,000 Abitibi-Consolidated Inc. ............. 544,453
12,750 Buckeye Technologies Inc.+............. 589,687
10,937 Fort James Corporation................. 418,340
12,900 Rayonier, Inc. ........................ 549,056
28,500 St. Laurent Paperboard Inc.+........... 366,957
-----------
2,468,493
-----------
GOLD/MINING -- 5.0%
30,800 Barrick Gold Corporation............... 573,650
220,419 Consolidated Gold+..................... 11,493
600 Getchell Gold Corporation+............. 14,400
6,000,000 Gullewa Gold NL+....................... 50,836
164,000 Herald Resources Ltd.+................. 25,118
40,000 Miramar Mining Corporation+............ 79,773
14,800 Newmont Mining Corporation............. 434,750
80,000 Nambian Minerals Corporation+.......... 237,920
53,000 Placer Dome Inc. ...................... 672,438
75,000 Plutonic Resources Ltd. ............... 209,212
-----------
2,309,590
-----------
HOTEL -- 8.1%
16,500 CapStar Hotel Company+................. 566,156
15,000 Felcor Suite Hotels, Inc. ............. 532,500
4,000 Four Seasons Hotels, Inc. ............. 126,500
10,000 Interstate Hotels Company+............. 350,625
50,000 Legacy Hotels Real Estate Investment
Trust................................ 339,386
31,633 Patriot American Hospitality, Inc. .... 911,426
20,000 Servico, Inc.+......................... 337,500
10,000 Starwood Lodging Trust................. 578,750
-----------
3,742,843
-----------
INDUSTRIAL -- 1.2%
25,000 Bedford Property Investors, Inc. ...... 546,875
-----------
INSURANCE -- 0.1%
1,000 Highlands Insurance Group Inc.+........ 28,375
-----------
IRON/STEEL -- 0.6%
17,700 Steel Dynamics, Inc.+.................. 283,200
-----------
METALS/MINING -- 1.6%
159,000 Grupo Mexico S.A. ..................... 502,385
137,500 Portman Mining Limited................. 197,154
68,800 Western Metals Limited................. 38,114
-----------
737,653
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
OFFICE/INDUSTRIAL -- 15.5%
12,000 AMB Property Corporation............... $ 301,500
17,500 Arden Realty Group, Inc. .............. 538,125
15,000 Boston Properties, Inc. ............... 495,938
24,250 CarrAmerica Realty Corporation......... 768,422
35,000 Cornerstone Properties, Inc. .......... 671,563
9,000 Equity Office Properties Trust......... 284,063
14,000 Highwoods Properties, Inc.............. 520,625
15,200 Kilroy Realty Corporation.............. 437,000
10,000 Liberty Property Trust................. 285,625
20,800 Mack-Cali Realty Corporation........... 852,800
15,000 Parkway Properties, Inc. .............. 514,688
31,000 Prentiss Properties Trust.............. 866,063
4,900 SL Green Realty Corporation............ 127,094
13,200 TriNet Corporate Realty Trust, Inc. ... 510,675
-----------
7,174,181
-----------
OIL AND GAS EXPLORATION -- 13.1%
22,000 Baytex Energy Ltd.+.................... 230,923
198,000 Black Sea Energy Ltd.+................. 261,866
20,000 Bonus Resource Services Corporation+... 82,572
16,200 Canadian Natural Resources Ltd.+....... 346,888
23,500 Chieftain International, Inc.+......... 499,375
52,500 Hurricane Hydrocarbons, Class A+....... 407,788
150,000 KAPPA Energy Services Ltd.+............ 52,482
35,000 KCS Energy, Inc. ...................... 726,250
20,000 Louis Dreyfus Natural Gas
Corporation+......................... 373,750
47,000 Pacalta Resources Ltd.+................ 550,890
19,600 Pendaries Petroleum Ltd.+.............. 154,298
13,000 Santa Fe Energy Resources, Inc. ....... 146,250
15,000 Snyder Oil Corporation................. 273,750
55,000 Startech Energy, Inc.+................. 446,450
11,100 Stone Energy Corporation+.............. 371,850
52,000 Ulster Petroleums Ltd.+................ 502,152
150,000 Windsor Energy Corporation+............ 624,541
-----------
6,052,075
-----------
OIL/GAS -- EQUIPMENT AND SERVICES -- 8.5%
7,500 BJ Services Company+................... 539,531
20,000 Bouygues Offshore S.A., ADR............ 435,000
26,000 CE Franklin Ltd.+...................... 251,531
21,200 Daily International Inc.+.............. 230,550
15,000 Key Energy Group+...................... 325,312
27,200 NQL Drilling Tools, Inc.+.............. 233,162
10,000 Pool Energy Services Company+.......... 222,500
12,500 Pride Petroleum Services Inc.+......... 315,625
58,500 Prudential Steel Ltd. ................. 573,108
37,000 Tubos de Acero de Mexico S.A., ADR+.... 800,125
-----------
3,926,444
-----------
OIL/GAS -- INTEGRATED -- 1.6%
13,000 ENI SPA, ADR........................... 741,813
-----------
OIL/GAS -- INTERNATIONAL -- 3.7%
6,300 British Petroleum PLC, ADR............. 502,031
90,600 Canadian Fracmaster Ltd.+.............. 760,785
6,500 Mobil Oil Corporation.................. 469,219
-----------
1,732,035
-----------
OIL/GAS -- REFINING -- 0.8%
42,500 S.P. Interoil**........................ 361,250
-----------
PLATINUM/MINING -- 0.5%
661 Anglo American Platinum Corporation
Ltd., ADR............................ 8,768
13,000 Stillwater Mining Company+............. 217,750
-----------
226,518
-----------
</TABLE>
See Notes to Financial Statements.
62
<PAGE> 65
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
HARD ASSETS SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
REAL ESTATE -- 5.3%
20,000 Avista Real Estate Investment Trust.... $ 89,570
17,000 Cadillac Fairview Corporation+......... 399,500
20,000 Entertainment Property Trust........... 387,500
10,000 Intrawest Corporation.................. 173,750
27,000 Lexington Corporate Properties,
Inc. ................................ 416,813
1,300 Societe Fonciere Lyonnaise............. 152,674
2,500 Trammel Crow Company+.................. 64,375
34,000 Trizec Hahn Corporation................ 788,375
-----------
2,472,557
-----------
REGIONAL MALLS -- 2.2%
20,000 Excel Reality Trust, Inc. ............. 630,000
6,500 Pan Pacific Retail Properties, Inc. ... 138,938
15,000 Westfield America, Inc. ............... 255,000
-----------
1,023,938
-----------
STORAGE -- 1.3%
20,000 Public Storage, Inc. .................. 587,500
-----------
OTHER -- 0.5%
17,000 Denali Incorporated+................... 225,250
-----------
Total Common Stocks
(Cost $36,261,379)................... 39,137,481
-----------
WARRANTS -- 3.2%
50,000 Bonus Resource Services Corporation,
Expires 08/21/1998+.................. 185,431
630,800 Brazilian Resources Inc., Expires
09/12/1998+.......................... 58,620
175,000 Bromley-Marr ECOS Inc., Expires
07/23/1998........................... 189,811
50,000 Bromley-Marr ECOS Inc., Expires
08/21/1998........................... 54,232
100,000 Cypress Energy Inc., Expires
10/14/1998+.......................... 258,724
413,800 International Uranium Corporation,
Expires 06/30/1997+.................. 289,563
25,000 NQL Drilling Tools, Inc., Expires
08/01/1998+.......................... 214,303
30,000 Plains Energy, Expires 10/08/1998+..... 208,196
-----------
Total Warrants (Cost $1,667,419)....... 1,458,880
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- ----------
<C> <S> <C>
COMMERCIAL PAPER -- 4.2%
$ 925,000 American Express Corporation,
6.542%++ $ due 01/02/1998............ 924,834
1,000,000 General Electric Capital Corporation,
5.730%++ due 01/02/1998.............. 999,843
-----------
Total Commercial Paper
(Cost $1,924,677).................... 1,924,677
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
--------- ---------- ------ --------
<C> <S> <C> <C> <C>
PUT OPTIONS PURCHASED -- 0.0%#
(Cost $17,168)
35 Phila Gold & Silver
Index............. 1/17/1998 $70 $ 3,938
-----------
TOTAL INVESTMENTS (COST $39,870,643*)......... 92.0% 42,524,976
OTHER ASSETS AND LIABILITIES (NET)............ 8.0 3,703,626
----- -----------
NET ASSETS.................................... 100.0% $46,228,602
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $39,968,922.
** 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%.
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF APPRECIATION/
CONTRACTS (DEPRECIATION)
--------- --------------
<C> <S> <C>
FUTURES CONTRACTS -- LONG POSITION
13 Gold, February 1998.................. $(4,406)
-------
Net unrealized depreciation on
futures contracts -- Long
Position........................... $(4,406)
=======
</TABLE>
The summary of investments by country at December 31, 1997 was as follows:
<TABLE>
<CAPTION>
% OF TOTAL
COUNTRY INVESTMENTS
- ------- -----------
<S> <C>
Australia............................................ 1.3%
Canada............................................... 28.3
France............................................... 1.4
Great Britain........................................ 1.2
Italy................................................ 1.7
Mexico............................................... 3.1
South Africa......................................... 0.8
United States........................................ 62.2
-----
100.0%
=====
</TABLE>
GLOSSARY OF TERMS
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
63
<PAGE> 66
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
REAL ESTATE SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 92.2%
APARTMENTS -- 14.9%
43,000 Avalon Properties Inc. ............... $ 1,330,312
25,500 Bay Apartment Communities, Inc. ...... 994,500
46,600 BRE Properties, Inc. ................. 1,310,625
37,087 Equity Residential Property Trust..... 1,875,236
39,600 Merry Land & Investment Company....... 905,850
38,505 Post Properties Inc. ................. 1,564,265
72,300 Security Capital Pacific Trust........ 1,753,275
42,900 Smith, Charles E. Residential Realty
Inc. ................................ 1,522,950
-----------
11,257,013
-----------
HEALTH CARE REAL ESTATE -- 2.3%
19,345..... Meditrust Corporporation.............. 710,928
38,600..... Nationwide Health Properties Inc. .... 984,300
-----------
1,695,228
-----------
MANUFACTURED HOUSING -- 4.1%
39,513 Chateau Properties, Inc. ............. 1,239,720
52,300 Sun Communities Inc. ................. 1,879,531
-----------
3,119,251
-----------
OFFICE/INDUSTRIAL -- 28.6%
68,800 Arden Realty Group, Inc. ............. 2,115,600
23,800 Boston Properties, Inc................ 786,887
86,000 CarrAmerica Realty Corporation........ 2,725,125
30,500 Duke Realty Investments, Inc. ........ 739,625
106,735 Equity Office Properties Trust........ 3,368,823
79,300 Kilroy Realty Corporation............. 2,279,875
60,600 Liberty Property Trust................ 1,730,887
77,400 Reckson Associates Realty
Corporation........................... 1,964,025
91,591 Security Capital Industries........... 2,278,323
42,200 SL Green Realty Corporation........... 1,094,562
40,900 Spieker Properties Inc. .............. 1,753,587
19,500 Tower Realty Trust Inc. .............. 480,187
8,500...... Weeks Corporation..................... 272,000
-----------
21,589,506
-----------
REAL ESTATE -- 8.4%
48,000 Catellus Development Corporation+..... 960,000
88,500 Crescent Real Estates Equities
Trust................................. 3,484,687
450 Crescent Operating Inc.+.............. 11,025
33,500 Glenborough Realty Trust Inc.......... 992,437
21,900 Mack Cali Realty Corporation.......... 897,900
-----------
6,346,049
-----------
RESTAURANTS -- 2.0%
56,900 Franchise Finance Corporation of
America.............................. 1,536,300
-----------
REGIONAL MALLS -- 10.5%
31,800 General Growth Properties............. 1,148,775
55,800 Macerich Company...................... 1,590,300
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
REGIONAL MALLS -- (CONTINUED)
10,700 Rouse Company......................... $ 350,425
101,100 Simon DeBartolo Group, Inc. .......... 3,304,706
118,500 Taubman Centers Inc. ................. 1,510,875
-----------
7,905,081
-----------
SELF STORAGE -- 3.5%
42,900 Storage Trust Realty.................. 1,128,806
38,400 Storage USA Inc. ..................... 1,533,600
-----------
2,662,406
-----------
SHOPPING CENTERS -- 9.7%
44,700 Bradley Real Estate, Inc. ............ 933,112
33,300 Developers Diversified Realty
Corporation.......................... 1,273,725
50,650 Kimco Realty Corporation.............. 1,785,412
15,900 Price Enterprises Inc................. 290,175
11,400 The Price REIT Inc.................... 466,687
55,200 Vornado Realty Trust.................. 2,590,950
-----------
7,340,061
-----------
SPECIALTY REAL ESTATE -- 8.2%
20,200 ITT Corporation New+.................. 1,674,076
104,001 Patriot American Hospitality Inc...... 2,996,532
26,300 Starwood Lodging Trust................ 1,522,122
-----------
6,192,730
-----------
Total Common Stocks (Cost
$53,675,122)........................ 69,643,625
-----------
CONVERTIBLE PREFERRED STOCK -- 1.0%
(Cost $554,860)
11,100 Vornado Realty Trust Pfd. Conv.,
Series A............................. 732,600
-----------
WARRANT -- 0.1%
(Cost $0)
9,673 Security Capital INDS WTS............. 50,783
-----------
</TABLE>
<TABLE>
<CAPTION>
AMOUNT
------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATION -- 4.7%
(Cost $3,575,041)
U.S. TREASURY BILL:
$3,600,000 5.209%++ due 02/19/1998................. 3,575,041
-----------
TOTAL INVESTMENTS (COST $57,805,023*)......... 98.0% 74,002,049
OTHER ASSETS AND LIABILITIES (NET)............ 2.0 1,527,919
----- -----------
NET ASSETS.................................... 100.0% $75,529,968
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $57,579,625.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
64
<PAGE> 67
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MARKET MANAGER SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATION -- 37.0%
(Cost $2,404,906)
$2,994,000 U.S. Treasury Strip,
7.285%++ due 02/15/2001.............. $2,512,505
----------
CORPORATE BONDS AND NOTES -- 5.8%
FINANCIAL SERVICES -- 3.4%
289,000 Cabco (Texaco Capital),
Zero coupon due 10/01/2001........... 230,477
----------
INDUSTRIAL -- 2.4%
167,000 Philip Morris Companies Inc.,
6.000% due 07/15/2001................ 164,912
----------
Total Corporate Bonds
and Notes (Cost $376,472)............ 395,389
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ------ --------
<C> <S> <C> <C> <C>
CALL OPTIONS PURCHASED** -- 57.2%
6,949 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 $178.50 $1,198,817
2,257 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 389,230
1,436 S&P Mid-Cap Companies
Index 400
European............ 03/06/2001 178.50 249,366
2,547 S&P 500 European...... 03/06/2001 485.63 1,331,458
830 S&P 500 European...... 03/06/2001 485.63 434,215
529 S&P 500 European...... 03/06/2001 485.63 279,143
----------
Total Call Options Purchased
(Cost $1,106,112)......................... 3,882,229
----------
TOTAL INVESTMENTS (COST $3,887,490*)........... 100.0% 6,790,123
OTHER ASSETS AND LIABILITIES (NET)............. 0.0 927
----- ----------
NET ASSETS..................................... 100.0% $6,791,050
===== ==========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** The Market Manager Series is exposed to risks on these call options purchased
if the counterparties are unable to meet the terms of the contracts. Such
risks are limited to the cost of such investments.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
65
<PAGE> 68
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 46.1%
AEROSPACE/DEFENSE -- 0.4%
13,700 General Motors Corporation, Class
H.................................. $ 506,044
9,292 Raytheon Company..................... 458,249
------------
964,293
------------
AUTOMOTIVE -- 1.9%
12,800 Chrysler Corporation................. 450,400
41,100 Ford Motor Company................... 2,001,056
24,900 General Motors Corporation........... 1,509,563
35,000 Volvo AB, ADR........................ 945,000
------------
4,906,019
------------
BASIC INDUSTRIES -- 0.3%
25,500 Alcan Aluminum Ltd. ................. 704,438
------------
BICYCLES -- 0.1%
8,300 Huffy Corporation.................... 112,050
------------
BUILDING MATERIALS -- 0.1%
13,900 Lafarge Corporation.................. 410,918
------------
CHEMICALS -- 1.3%
13,900 Albemarle Corporation................ 331,862
12,900 Dow Chemical Company................. 1,309,350
12,600 B.F. Goodrich Company................ 522,113
19,700 Millennium Chemicals Inc. ........... 464,181
6,800 Rohm & Haas Company.................. 651,100
5,800 Wellman, Inc. ....................... 113,100
------------
3,391,706
------------
COMMERCIAL SERVICES -- 0.5%
27,900 Browning Ferris Industries Inc. ..... 1,032,300
16,300 Ogden Corporation.................... 459,456
------------
1,491,756
------------
CONSUMER GOODS -- DURABLES -- 0.4%
24,900 Cooper Tire and Rubber Company....... 606,937
8,400 Whirlpool Corporation................ 462,000
------------
1,068,937
------------
DOMESTIC INVESTMENT COMPANIES -- 0.6%
18,400 Blackrock Strategic Term Trust,
Inc. .............................. 156,400
18,400 Blackrock 2001 Term Trust, Inc. ..... 158,700
22,500 Gabelli Equity Trust, Inc. .......... 262,969
32,900 Gabelli Global Multimedia Trust,
Inc. .............................. 287,875
44,235 Royce Value Trust.................... 666,289
6,900 Tri-Continental Corporation.......... 184,144
------------
1,716,377
------------
ELECTRICAL EQUIPMENT -- 0.2%
2,800 Hitachi Ltd. ADR..................... 193,725
7,000 Phillips Electronics N.V. ........... 423,500
------------
617,225
------------
FINANCIAL SERVICES -- 5.8%
47,600 Ahmanson (H.F.) & Company............ 3,186,225
51,057 Bear Stearns Companies, Inc. ........ 2,425,207
13,020 Charter One Financial, Inc. ......... 821,888
69,000 Edwards (A.G.), Inc. ................ 2,742,750
28,950 Fremont General Corporation.......... 1,585,012
5,400 GATX Corporation..................... 391,837
10,900 PIMCO Advisors....................... 329,044
60,000 Paine Webber Group Inc. ............. 2,073,750
53,500 Ryder System, Inc. .................. 1,752,125
6,200 St. Paul Bancorp, Inc. .............. 162,750
------------
15,470,588
------------
FOOD AND BEVERAGES -- 0.5%
39,000 Coors (Adolph) Company, Class B...... 1,296,750
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
FOREIGN INVESTMENT COMPANIES -- 2.4%
7,500 Argentina Fund, Inc. ................ $ 97,968
14,700 Brazil Fund Inc. .................... 308,700
10,500 Central European Equity Fund......... 192,281
14,000 Chile Fund, Inc. .................... 249,375
8,500 Clemente Global Growth Fund, Inc. ... 80,219
13,900 Emerging Markets Telecommunications
Fund............................... 185,912
9,700 Emerging Mexico Fund, Inc. .......... 103,063
39,300 Emerging Markets Infrastructure Fund,
Inc. .............................. 461,775
9,700 G.T. Greater Eastern Europe Fund..... 122,463
10,800 The India Fund Inc. ................. 79,650
6,700 Italy Fund, Inc. .................... 72,025
12,800 Latin American Discovery Fund........ 229,600
2,500 Mexico Equity and Income Fund........ 26,719
40,700 Mexico Fund.......................... 836,894
33,300 Morgan Stanley Emerging Markets Fund,
Inc. .............................. 434,981
28,700 Morgan Stanley Asia-Pacific Fund,
Inc. .............................. 213,456
9,000 Morgan Stanley India Investment Fund,
Inc. .............................. 75,375
37,000 New Germany Fund, Inc. .............. 499,500
10,100 Portugal Fund, Inc. ................. 159,706
8,500 Southern Africa Fund, Inc. .......... 107,313
7,200 Spain Fund, Inc. .................... 104,400
26,000 Swiss Helvetia Fund.................. 713,375
22,500 Taiwan Fund, Inc. ................... 371,250
41,200 Templeton Dragon Fund, Inc. ......... 442,900
12,300 Templeton China World Fund........... 103,012
------------
6,271,912
------------
HOMEBUILDING -- 0.1%
11,900 Kaufman & Broad Home Corporation..... 267,006
------------
LODGING -- 0.1%
16,950 Marcus Corporation................... 312,516
------------
INSURANCE -- 1.7%
6,900 Lincoln National Corporation......... 539,062
17,600 Old Republic International
Corporation........................ 654,500
15,000 Orion Capital Corporation............ 696,563
30,400 Providian Financial Corporation...... 1,373,700
11,000 Selective Insurance Group, Inc. ..... 297,000
18,700 Travelers Group, Inc. ............... 1,007,463
------------
4,568,288
------------
IRON/STEEL -- 0.3%
26,000 AK Steel Holding Corporation......... 459,875
15,900 Birmingham Steel Corporation......... 250,425
------------
710,300
------------
MARINE TRANSPORTATION -- 0.1%
7,700 Sea Containers, Ltd., Class A........ 246,400
------------
METAL MINING -- 1.9%
23,900 Asarco, Inc. ........................ 536,256
33,200 British Steel PLC, ADR............... 711,725
3,900 Cleveland-Cliffs, Inc. .............. 178,669
25,200 Cyprus Amax Minerals Company......... 387,450
26,400 Oregon Steel Mills, Inc. ............ 562,650
5,600 Phelps Dodge Corporation............. 348,600
3,500 Quanex Corporation................... 98,438
69,400 USX-US Steel Group, Inc. ............ 2,168,750
------------
4,992,538
------------
</TABLE>
See Notes to Financial Statements.
66
<PAGE> 69
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
OIL AND GAS EXTRACTION -- 1.5%
18,500 Columbia Gas System.................. $ 1,453,406
10,000 Equitable Resources Inc. ............ 353,750
62,000 Y.P.F. Sociedad Anonima, ADR......... 2,119,625
------------
3,926,781
------------
PAPER AND FOREST PRODUCTS -- 1.2%
26,400 Bowater Inc. ........................ 1,173,150
46,700 Fort James Corporation............... 1,786,275
9,900 Pope & Talbot, Inc. ................. 149,119
------------
3,108,544
------------
PETROLEUM -- 5.6%
27,200 Ashland Inc. ........................ 1,460,300
8,300 Atlantic Richfield................... 665,037
11,600 Elf Aquitaine, ADR................... 680,050
14,800 Helmerich & Payne Inc. .............. 1,004,550
9,900 Mobil Corporation.................... 714,656
25,000 Murphy Oil Corporation............... 1,354,687
51,500 Occidental Petroleum Corporation..... 1,509,594
23,100 Pennzoil Company..................... 1,543,369
13,900 Phillips Petroleum Company........... 675,888
61,700 Sun Company, Inc. ................... 2,595,256
80,700 USX-Marathon Group................... 2,723,625
------------
14,927,012
------------
PRODUCER/MANUFACTURING -- 3.4%
5,900 Aeroquip-Vickers Inc. ............... 289,469
16,200 Borg-Warner Automotive, Inc. ........ 842,400
15,000 Brown Group, Inc. ................... 199,688
20,500 Cummins Engine Company, Inc. ........ 1,210,781
8,400 Dexter Corporation................... 362,775
13,500 Excel Industries, Inc. .............. 243,844
18,200 Johnson Controls Inc. ............... 869,050
28,200 Herman Miller, Inc. ................. 1,538,663
6,300 PACCAR Inc. ......................... 330,750
16,700 Simpson Industries................... 196,225
7,700 Standard Products Company............ 197,313
44,200 Timken Company....................... 1,519,375
25,000 Trinity Industries, Inc. ............ 1,115,625
------------
8,915,958
------------
RETAIL, TRADE AND SERVICES -- 1.1%
4,500 Dayton Hudson Corporation............ 303,750
25,600 Ross Stores Inc. .................... 931,200
15,900 Shopko Stores, Inc. ................. 345,825
29,400 Supervalu, Inc. ..................... 1,231,125
------------
2,811,900
------------
TECHNOLOGY -- 3.1%
15,200 Applied Materials Inc. .............. 457,900
27,200 Dell Computer Corporation............ 2,284,800
21,100 Digital Equipment Corporation+....... 780,700
33,200 Harris Corporation................... 1,523,050
16,800 Intel Corporation.................... 1,180,200
14,400 Microsoft Corporation+............... 1,861,200
------------
8,087,850
------------
TELECOMMUNICATIONS -- 1.8%
26,400 BCE, Inc. ........................... 879,450
31,200 Communications Satellite
Corporation......................... 756,600
9,800 Telebras ADR......................... 1,141,087
9,800 Telefonica de Espana, ADR............ 892,413
22,000 Telefonos de Mexico S.A., ADR........ 1,233,375
------------
4,902,925
------------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
TOBACCO -- 0.8%
46,300 RJR Nabisco Holdings Corporation..... $ 1,736,250
7,400 Universal Corporation................ 304,325
------------
2,040,575
------------
TRANSPORTATION -- 1.8%
3,300 British Airways PLC, ADR............. 309,168
39,900 CNF Transportation Inc. ............. 1,531,163
16,600 Caliber System, Inc. ................ 808,212
49,900 Canadian Pacific, Ltd. .............. 1,359,775
13,600 KLM Royal Dutch Air Lines NV......... 513,400
11,700 Rollins Truck Leasing Corporation.... 209,138
------------
4,730,856
------------
UTILITY -- 7.1%
11,900 Allegheny Energy Inc. ............... 386,750
8,800 American Electric Power Company...... 454,300
33,600 CMS Energy Corporation............... 1,480,500
23,800 DQE Inc. ............................ 835,975
19,800 DTE Energy Company................... 686,813
46,700 Edison International................. 1,269,656
20,200 FPL Group Inc. ...................... 1,195,588
17,500 First Energy Corporation+............ 507,500
47,500 GPU, Inc. ........................... 2,000,938
3,700 IPALCO Enterprises Inc. ............. 155,400
34,000 New York State Electric & Gas
Company............................ 1,207,000
13,900 Pacific Enterprises.................. 522,988
33,200 PacifiCorp........................... 906,775
18,600 PECO Energy Company.................. 451,050
37,400 PG&E Corporation..................... 1,138,363
39,000 Pinnacle West Capital Corporation.... 1,652,625
20,000 PP&L Resources, Inc. ................ 478,750
22,700 Public Service Company of New
Mexico............................. 537,706
5,900 Sierra Pacific Resources............. 221,250
32,800 TransCanada Pipeline Ltd. ........... 733,900
4,500 United Illuminating Company.......... 206,718
20,700 UtiliCorp United, Inc. .............. 803,418
38,300 Valero Energy Corporation............ 1,204,056
------------
19,038,019
------------
Total Common Stocks
(Cost $96,792,365)................. 122,010,437
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 50.3%
U.S. TREASURY BOND -- 10.0%
$13,500,000 7.250% due 08/15/2022................ 15,597,224
6,000,000 10.750% due 05/15/2003............... 7,365,179
2,900,000 7.500% due 11/15/2024................ 3,472,170
------------
26,434,573
------------
U.S. TREASURY NOTES -- 40.3%
7,150,000 5.625% due 11/30/2000................ 7,133,483
31,000,000 6.250% due 08/31/2000................ 31,420,357
13,500,000 7.500% due 02/15/2005................ 14,846,490
3,100,000 6.500% due 05/15/2005................ 3,232,122
21,800,000 6.875% due 05/15/2006................ 23,334,499
25,500,000 6.500% due 10/15/2006................ 26,712,270
------------
106,679,221
------------
Total U.S. Treasury Obligations
(Cost $128,438,671)................ 133,113,794
------------
</TABLE>
See Notes to Financial Statements.
67
<PAGE> 70
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 2.5%
(Cost $6,498,790)
$6,500,000 Baker Hughes Inc.
6.700%++ due 01/02/1998............ $ 6,498,790
------------
TOTAL INVESTMENTS (COST $231,729,826*)....... 98.9% 261,623,021
OTHER ASSETS AND LIABILITIES (NET)........... 1.1 2,975,732
----- ------------
NET ASSETS................................... 100.0% $264,598,753
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $232,114,604.
+ Non-income producing security.
++ Annualized yield at date of purchase.
GLOSSARY OF TERMS
<TABLE>
<S> <C> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
68
<PAGE> 71
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 51.1%
BANKS -- 0.1%
40 Bank International Settlements
America.............................. $ 249,718
-----------
BUILDING/CONSTRUCTION -- 0.4%
58,000 Johns Manville Corporation............. 583,625
-----------
BUSINESS SERVICES -- 1.4%
146,000 Wheelabrator Technologies Inc. ........ 2,345,125
-----------
CONSUMER DURABLES -- 1.2%
25,000 Corning Inc. .......................... 928,125
24,000 Polaroid Corporation................... 1,168,500
-----------
2,096,625
-----------
CONSUMER PRODUCTS -- 1.7%
10,000 Cross (A.T.) Company, Class A.......... 101,250
17,500 Hanson PLC, ADR........................ 403,594
53,500 Philip Morris Companies Inc............ 2,424,218
-----------
2,929,062
-----------
ELECTRICAL EQUIPMENT -- 0.2%
12,000 Exide Corporation...................... 310,500
-----------
ENERGY AND UTILITIES -- 9.4%
23,000 Energy Group PLC, ADR.................. 1,026,375
310,000 First Energy Corporation+.............. 8,990,000
122,000 Niagara Mohawk Power Corporation....... 1,281,000
150,000 Unicom Corporation..................... 4,612,500
-----------
15,909,875
-----------
EXPLORATION AND PRODUCTION -- 0.7%
40,000 Mitchell Energy & Development
Corporation, Class B................. 1,165,000
-----------
FINANCIAL SERVICES -- 1.6%
8,000 American Express Company............... 714,000
11,000 Federal National Mortgage
Association.......................... 627,688
11,300 Fund American Enterprise Holdings...... 1,367,300
-----------
2,708,988
-----------
FOOD-PROCESSING -- 0.6%
35,000 McCormick & Company, Inc. ............. 980,000
-----------
FOREST PRODUCTS AND PAPER -- 0.9%
5,000 Deltic Timber Corporation.............. 136,875
30,000 Weyerhaeuser Company................... 1,471,875
-----------
1,608,750
-----------
GENERAL MERCHANDISER -- 0.4%
35,000 Hills Stores Company+.................. 111,563
12,000 Wal-Mart Stores, Inc. ................. 473,250
-----------
584,813
-----------
HEALTH CARE -- 0.6%
4,000 Pharmacia & Upjohn, Inc. .............. 146,500
300,000 Smith & Nephew Plc..................... 889,332
-----------
1,035,832
-----------
INFORMATION PROCESSING -- 0.9%
14,000 International Business Machines
Corporation.......................... 1,463,875
-----------
INSURANCE -- 4.5%
23,000 Leucadia National Corporation.......... 793,500
44,000 Loews Corporation...................... 4,669,500
18,000 Unitrin, Inc........................... 1,163,250
90,000 Willis Corroon Group PLC, ADR.......... 1,108,125
-----------
7,734,375
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
LEISURE ENTERTAINMENT -- 0.3%
10,000 Readers Digest Association, Inc., Class
A.................................... $ 236,250
10,000 Readers Digest Association, Inc., Class
B.................................... 243,750
-----------
480,000
-----------
MEDIA -- COMMUNICATIONS -- 6.4%
45,000 Chris-Craft Industries Inc. ........... 2,354,062
30,000 Meredith Corporation................... 1,070,625
54,000 New York Times Company, Class A........ 3,570,750
8,000 Washington Post Company, Class B....... 3,892,000
-----------
10,887,437
-----------
MINING -- 2.8%
74,000 Homestake Mining Company............... 656,750
775,000 Lonrho Ltd. ........................... 1,183,723
83,000 Newmont Mining Corporation............. 2,438,125
82,000 Prime Resources Group, Inc., ADR....... 544,927
-----------
4,823,525
-----------
PAPER AND ALLIED PRODUCTS -- 1.2%
8,000 International Paper Company............ 345,000
22,000 Louisiana-Pacific Corporation.......... 418,000
128,000 MacMillan Bloedel Limited.............. 1,360,000
-----------
2,123,000
-----------
PETROLEUM -- DOMESTIC -- 6.9%
98,000 Amerada Hess Corporation............... 5,377,750
21,000 Atlantic Richfield Company............. 1,682,625
5,500 Kerr-McGee Corporation................. 348,219
44,000 Murphy Oil Corporation................. 2,384,250
90,000 Union Texas Petroleum Holdings Inc. ... 1,873,125
-----------
11,665,969
-----------
PETROLEUM -- INTERNATIONAL -- 1.5%
47,144 Texaco Inc. ........................... 2,563,455
-----------
PHARMACEUTICALS -- 3.6%
89,000 Genentech Inc.+........................ 5,395,625
11,500 Schering-Plough Corporation............ 714,437
-----------
6,110,062
-----------
SPECIALTY CHEMICALS -- 1.8%
59,000 Great Lakes Chemical Corporation....... 2,647,625
20,000 Millennium Chemicals Inc. ............. 471,250
-----------
3,118,875
-----------
SPECIALTY MERCHANDISERS -- 1.1%
24,000 Limited, Inc........................... 612,000
360,000 Petrie Stores Corporation+............. 1,076,400
4,000 Toys R Us Inc.+........................ 125,750
-----------
1,814,150
-----------
TRANSPORTATION SERVICES -- 0.9%
41,000 Overseas Shipholding Group Inc. ....... 894,312
20,000 Ryder System Inc. ..................... 655,000
-----------
1,549,312
-----------
Total Common Stocks
(Cost $66,788,863)................... 86,841,948
-----------
</TABLE>
See Notes to Financial Statements.
69
<PAGE> 72
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<C> <S> <C>
PREFERRED STOCKS -- 4.5%
ELECTRIC UTILITIES -- 2.1%
25,000 Cleveland Electric Illuminating
Company, Prfd., Series L............. $ 2,400,000
150 Cleveland Electric Illuminating
Company, Prfd., Series R............. 159,314
350 Cleveland Electric Illuminating
Company, Prfd., Series S............. 375,827
9,648 Entergy Gulf States Utilities Inc.,
Prfd., Series B...................... 485,415
3,000 Niagara Mohawk Power Corporation,
Prfd., Series B...................... 69,750
8,500 Niagara Mohawk Power Corporation,
Prfd., Series C...................... 204,000
-----------
3,694,306
-----------
FINANCIAL -- 1.2%
40,000 Kemper Corporation, Series E,
Conv. Prfd.**........................ 2,080,000
-----------
PAPER AND ALLIED PRODUCTS -- 0.1%
2,000 International Paper Company, Conv.
Prfd. ............................... 97,718
-----------
REAL ESTATE -- 1.1%
36,000 Rouse Company, Class B, Conv. Prfd. ... 1,818,000
-----------
Total Preferred Stocks
(Cost $6,516,309).................... 7,690,024
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ---------
<C> <S> <C>
CONVERTIBLE BONDS AND NOTES -- 22.1%
AUTOMOBILE PARTS -- 0.9%
Pep Boys -- Manny, Moe & Jack, Conv.:
$ 300,000 4.000% due 09/01/1999.................. 295,500
2,250,000 Zero coupon due 09/20/2011............. 1,200,937
-----------
1,496,437
-----------
COMMERCIAL SERVICES -- 0.1%
100,000 Ogden Corporation, Conv.,
5.750% due 10/20/2002................ 96,250
-----------
COMPUTER SERVICE AND SOFTWARE -- 2.9%
6,350,000 Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012........... 5,008,562
-----------
ELECTRIC UTILITIES -- 0.5%
800,000 Potomac Electrical Power Company,
Conv.,
5.000% due 09/01/2002................ 777,000
-----------
FINANCIAL SERVICES -- 0.6%
600,000 Lonrho PLC, Conv.,
6.000% due 02/27/2004................ 858,538
150,000 UBS Finance (Delaware), Inc., Conv.,
2.000% due 12/15/2000................ 145,010
-----------
1,003,548
-----------
GAS TRANSMISSION -- 1.2%
1,900,000 ENSERCH Corporation, Conv.,
6.375% due 04/01/2002................ 2,047,250
-----------
GOVERNMENT NATIONAL -- 0.2%
327,000 Republic of Italy, Conv.,
5.000% due 06/28/2001................ 402,210
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
HOTELS/MOTELS -- 0.6%
$1,600,000 Marriott International, Inc., Conv.,
Zero coupon due 03/25/2011........... 1,036,000
-----------
INDUSTRIAL -- 10.6%
4,600,000 Alza Corporation,
Zero coupon due 07/14/2014........... 2,116,000
1,900,000 Chiron Corporation, Conv.,
1.900% due 11/17/2000................ 1,729,000
800,000 Grand Metropolitan PLC, Conv.,
6.500% due 01/31/2000***............. 1,052,000
Inco Ltd., Conv.:
1,355,000 5.750% due 07/01/2004................ 1,304,187
250,000 7.750% due 03/15/2016................ 250,625
2,700,000 News America Holdings, Conv.,
Zero coupon due 03/11/2013........... 1,275,750
600,000 Peninsular & Oriental, Conv.,
7.250% due 05/19/2003................ 1,122,135
5,500,000 Roche Holdings Inc., Conv.,
Zero coupon due 05/06/2012**......... 2,571,250
150,000 Thomas Nelson Inc., Conv.,
5.750% due 11/30/1999**.............. 145,125
6,200,000 Time Warner Inc., Conv.,
Zero coupon due 06/22/2013........... 3,146,500
1,200,000 Times Mirror Company, Conv.,
Zero coupon due 04/15/2017........... 496,500
3,200,000 WMX Technologies Inc., Conv.,
2.000% due 01/24/2005................ 2,784,000
-----------
17,993,072
-----------
MINING -- 0.9%
1,700,000 Homestake Mining Company, Conv.,
5.500% due 06/23/2000**.............. 1,583,125
-----------
PETROLEUM -- 0.1%
104,000 Shell Oil Company, Conv.,
7.250% due 02/15/2002................ 104,130
-----------
PHARMACEUTICALS -- 0.5%
600,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004................ 543,000
250,000 Merck & Co., Inc.,
5.760% due 05/03/2037................ 255,625
-----------
798,625
-----------
REAL ESTATE -- 1.3%
1,925,000 Rouse Company, Conv.,
5.750% due 07/23/2002................ 2,213,750
-----------
RETAIL -- SPECIAL LINE -- 0.4%
1,050,000 Office Depot Inc., Conv.:
Zero coupon due 11/01/2008........... 686,438
-----------
TELECOMMUNICATIONS -- 0.9%
4,400,000 U.S. Cellular Corporation, Conv.,
Zero coupon due 06/15/2015........... 1,600,500
-----------
UTILITY -- TELEPHONE -- 0.4%
700,000 Bellsouth Telecommunications,
5.850% due 11/25/2045................ 701,750
-----------
Total Convertible Bonds and Notes
(Cost $33,968,562)................... 37,548,647
-----------
</TABLE>
See Notes to Financial Statements.
70
<PAGE> 73
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS--10.0%
$1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001................ $ 1,038,560
7,629,000 Federal National Mortgage Association,
Discount Note,
4.817% due 01/02/1998................ 7,627,994
500,000 Federal National Mortgage Association,
6.375% due 01/16/2002................ 508,050
Tennessee Valley Authority Power,
4,300,000 5.880% due 04/01/2036.................. 4,305,375
1,400,000 5.980% due 04/01/2036.................. 1,401,750
2,100,000 6.235% due 07/15/2045.................. 2,173,500
-----------
Total U.S. Government Agency
Obligations
(Cost $17,010,474)................... 17,055,229
-----------
U.S. TREASURY OBLIGATIONS -- 3.5%
U.S. TREASURY BILL -- 0.3%
484,000 5.264% due 01/22/1998++................ 482,545
-----------
U.S. TREASURY NOTES -- 3.2%
350,000 6.250% due 06/30/1998.................. 351,427
4,000,000 5.500% due 02/28/1999.................. 3,994,800
500,000 6.125% due 07/31/2000.................. 505,240
600,000 6.250% due 04/30/2001.................. 609,630
-----------
Total U.S. Treasury Notes.............. 5,461,097
-----------
Total U.S. Treasury Obligations
(Cost $5,916,206).................... 5,943,642
-----------
COMMERCIAL PAPER -- 8.6%
175,000 Abbott Laboratories,
5.901%++ due 01/07/1998.............. 174,830
3,878,000 Becton Dickinson and Company,
6.091%++ due 01/07/1998.............. 3,874,122
2,870,000 Bell Atlantic Financial,
5.971%++ due 01/27/1998.............. 2,857,874
4,000,000 Campbell Soup Company,
5.670%++ due 01/27/1998.............. 3,984,053
650,000 Coca-Cola Company,
5.710%++ due 02/09/1998.............. 646,085
143,000 Hewlett-Packard,
5.823%++ due 01/05/1998.............. 142,909
2,988,000 Minnesota Mining & Manufacturing,
5.904%++ due 01/09/1998.............. 2,984,149
-----------
Total Commercial Paper
(Cost $14,664,022)................... 14,664,022
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
- --------- ---------- ------
<C> <S> <C> <C> <C>
PUT STOCK OPTIONS PURCHASED -- 0.2%
40 AUD Lyons........... 05/16/1998 $ 60 12,750
40 Automatic Data
Processing Inc.,
Class B........... 02/21/1998 55 2,750
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ------ --------
<C> <S> <C> <C> <C>
15 Diageo.............. 01/17/1998 $ 45 10,875
35 HFS Inc., Class B... 01/17/1998 65 328
40 International
Business Machines
Corporation, Class
B................. 01/17/1998 95 2,500
30 International
Business Machines
Corporation, Class
B................. 01/17/1998 100 $ 3,938
30 International
Business Machines
Corporation, Class
B................. 01/17/1998 105 9,375
45 International
Business Machines
Corporation, Class
B................. 01/17/1998 115 47,250
40 International
Business Machines
Corporation, Class
B................. 07/18/1998 120 73,000
40 Limited, Inc., Class
B................. 02/21/1998 25 3,750
40 Pharmacia & Upjohn,
Class B........... 04/18/1998 40 17,250
16 Polaroid
Corporation, Class
B................. 04/18/1998 60 18,400
80 Schering-Plough
Corporation, Class
B................. 02/21/1998 55 4,000
30 Schering-Plough
Corporation, Class
B................. 02/21/1998 65 12,938
40 Schering-Plough
Corporation, Class
B................. 08/22/1998 65 25,000
40 Texaco Inc., Class
B................. 04/18/1998 70 63,000
40 Wal-Mart Stores
Inc., Class B..... 06/20/1998 43 17,750
------------
Total Put Stock Options Purchased (Cost
$576,066).............................. 324,854
------------
TOTAL INVESTMENTS (COST $145,440,502*)....... 100.0% 170,068,366
OTHER ASSETS AND LIABILITIES (NET)........... (0.0) (81,680)
----- ------------
NET ASSETS................................... 100.0% $169,986,686
===== ============
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $145,467,655.
** 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
<TABLE>
<S> <C>
ADR -- American Depositary Receipt
</TABLE>
See Notes to Financial Statements.
71
<PAGE> 74
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
CORPORATE DEBT SECURITIES -- 48.3%
AIRLINES -- 2.7%
$ 1,330,000 AMR Corporation,
9.500% due 05/15/2001............... $ 1,456,350
-----------
BANKS -- 3.6%
1,000,000 Northern Trust Capital,
6.278%+++ due 01/15/2027............ 963,750
1,000,000 Societe Generale,
5.750% due 08/04/1998............... 998,619
-----------
1,962,369
-----------
BROKERAGE -- 2.6%
1,320,000 Paine Webber Group Inc.,
8.250% due 05/01/2002............... 1,409,100
-----------
FINANCIAL SERVICES -- 11.9%
2,000,000 Aristar Inc.,
6.500% due 11/15/2003............... 2,012,500
530,000 First Fidelity Bancorp,
9.625% due 08/15/1999............... 557,825
2,245,000 Ford Motor Credit Company,
6.550% due 09/10/2002............... 2,275,869
490,000 KFW International Finance Inc.,
9.125% due 05/15/2001............... 534,100
1,000,000 MBNA Global Capital Securities,
6.550%+++ due 02/01/2027............ 950,000
-----------
6,330,294
-----------
INDUSTRIAL -- 9.8%
2,000,000 Boise Cascade Corporation,
9.850% due 06/15/2002............... 2,255,000
1,000,000 Hercules Inc.,
6.150% due 08/01/2000............... 1,001,250
1,000,000 Ingersoll-Rand Company, MTN,
6.540% due 08/24/1998............... 1,002,100
1,000,000 Raytheon Company,
6.450% due 08/15/2002............... 1,008,750
-----------
5,267,100
-----------
PETROLEUM -- 3.4%
525,000 Burlington Resources, Inc.,
7.150% due 05/01/1999............... 532,875
1,250,000 Sun Company Inc.,
7.950% due 12/15/2001............... 1,315,625
-----------
1,848,500
-----------
PUBLISHING -- 2.0%
1,000,000 News America Holdings Inc.,
8.625% due 02/01/2003............... 1,095,000
-----------
RETAIL/APPAREL -- 2.9%
1,000,000 Limited Inc.,
9.125% due 02/01/2001............... 1,071,250
500,000 Penney J.C., & Company,
6.950% due 04/01/2000............... 508,750
-----------
1,580,000
-----------
TELEPHONE -- 4.0%
2,000,000 Worldcom Inc.,
9.375% due 01/15/2004............... 2,135,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
UTILITY/ELECTRIC -- 5.4%
$ 1,000,000 Great Lakes Power Inc.,
8.900% due 12/01/1999............... $ 1,045,000
850,000 Southern California Edison Company,
6.500% due 06/01/2001............... 859,563
1,000,000 Utilicorp United Inc.,
6.000% due 04/01/1998............... 1,000,000
-----------
2,904,563
-----------
Total Corporate Debt Securities (Cost
$25,865,352)........................ 25,988,276
-----------
FOREIGN BONDS -- U.S. DOLLAR DENOMINATED -- 4.6%
GOVERNMENT -- 1.9%
1,000,000 Republic of Columbia,
8.750% due 10/06/1999............... 1,028,750
-----------
PAPER AND FOREST PRODUCTS -- 2.1%
1,060,000 Carter Holt Harvey Ltd.,
7.625% due 04/15/2002............... 1,107,700
-----------
WASTE MANAGEMENT -- 0.6%
310,000 Laidlaw Inc.,
7.700% due 08/15/2002............... 325,112
-----------
Total Foreign Bonds -- U.S. Dollar
Denominated
(Cost $2,460,146)................... 2,461,562
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.0%#
FHLMC:
9,795 Pool #350042,
7.250%+++ due 01/01/2017............ 10,016
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 0.7%
FNMA:
8,406 Pool #044026,
8.500% due 08/01/2006............... 8,734
13,163 Pool #048832,
10.000% due 06/01/2017.............. 14,286
109,613 Pool #070355,
8.500% due 03/01/2004............... 113,895
26,992 Pool #122591,
8.500% due 06/01/1998............... 27,886
172,112 Pool #127336,
8.500% due 08/01/2006............... 178,836
53,442 Series #1991-121, Class F,
6.020%+++ due 09/25/1998............ 53,451
-----------
397,088
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.6%
GNMA:
5,196 Pool #147899,
10.000% due 02/15/2016.............. 5,663
30,126 Pool #155224,
10.000% due 03/15/2016.............. 32,838
8,167 Pool #161670,
9.500% due 09/15/2016............... 8,841
13,307 Pool #284666,
9.500% due 03/15/2020............... 14,404
24,986 Pool #286024,
10.000% due 04/15/2020.............. 27,235
200,455 Pool #308911,
9.500% due 07/15/2021............... 216,993
-----------
305,974
-----------
Total U.S. Government Agency
Obligations (Cost $681,870)......... 713,078
-----------
</TABLE>
See Notes to Financial Statements.
72
<PAGE> 75
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 38.0%
U.S. TREASURY NOTES:
$ 5,000,000 6.000% due 06/30/1999................. $ 5,026,849
10,000,000 6.625% due 06/30/2001................. 10,279,700
5,000,000 6.625% due 04/30/2002................. 5,161,849
-----------
Total U.S. Treasury Obligations (Cost
$20,066,597)........................ 20,468,398
-----------
DISCOUNT COMMERCIAL PAPER -- 6.7%
$ 1,906,000 Bell South Telephone,
6.038% due 01/05/1998............... 1,904,740
1,686,000 Progress Capital
6.107% due 01/02/1998............... 1,685,718
-----------
Total Discount Commercial Paper (Cost
$3,590,458)......................... 3,590,458
-----------
TOTAL INVESTMENTS (COST $52,664,423*)......... 98.9% 53,221,772
OTHER ASSETS AND LIABILITIES (NET)............ 1.1 617,447
----- -----------
NET ASSETS.................................... 100.0% $53,839,219
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $52,668,349.
++ Annualized yield at date of purchase.
+++ Floating rate security. Rate shown is rate in effect at 12/31/1997.
GLOSSARY OF TERMS
MTN -- Medium Term Note
See Notes to Financial Statements.
73
<PAGE> 76
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIQUID ASSET SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
COMMERCIAL PAPER -- 93.5%
AEROSPACE -- 1.6%
$ 964,000 AlliedSignal Inc.,
5.931%+ due 01/12/1998............... $ 962,286
-----------
AGRICULTURAL -- 4.2%
2,500,000 Cargill Inc.,
5.693%+ due 03/09/1998............... 2,474,363
-----------
AUTOMOTIVE -- 8.6%
Daimler-Benz Aktieng:
1,000,000 5.704%+ due 01/20/1998................. 997,081
1,315,000 5.760%+ due 02/02/1998................. 1,308,536
Ford Motor Company:
1,000,000 6.127%+ due 01/02/1998................. 999,832
1,500,000 5.714%+ due 01/07/1998................. 1,498,607
295,000 5.761%+ due 04/27/1998................. 289,820
-----------
5,093,876
-----------
BANKS -- 0.2%
125,000 Farm Credit Corporation,
5.695%+ due 06/16/1998............... 121,922
-----------
BEVERAGES -- 8.9%
2,650,000 Anheuser-Busch Companies, Inc.,
5.707%+ due 01/30/1998............... 2,638,110
Coca-Cola Company:
1,100,000 5.703%+ due 02/20/1998................. 1,091,536
803,000 5.809%+ due 02/24/1998................. 796,182
800,000 5.799%+ due 03/20/1998................. 790,241
-----------
5,316,069
-----------
CHEMICALS -- 3.8%
du Pont (E.I.) De Nemours & Company:
800,000 5.716%+ due 01/13/1998................. 798,509
1,490,000 5.668%+ due 02/17/1998................. 1,479,301
-----------
2,277,810
-----------
COMMERCIAL SERVICES -- 3.8%
PHH Corporation:
550,000 5.767%+ due 01/09/1998................. 549,313
1,734,000 5.885%+ due 03/27/1998................. 1,710,663
-----------
2,259,976
-----------
COMPUTERS -- 5.5%
874,000 Hewlett Packard Corporation,
6.056%+ due 01/21/1998............... 871,111
2,400,000 International Business Machines
Corporation,
5.691%+ due 03/11/1998............... 2,374,700
-----------
3,245,811
-----------
CONSUMER PRODUCTS -- 1.5%
909,000 Procter & Gamble Company,
5.684%+ due 03/11/1998............... 902,334
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
FINANCIAL SERVICES -- 14.0%
$1,414,000 General Electric Capital Corporation,
5.820%+ due 02/10/1998............... $ 1,405,107
2,202,000 Household Finance Corporation,
5.697%+ due 01/05/1998............... 2,200,661
332,000 Motorola Credit,
5.761%+ due 02/04/1998............... 330,228
1,224,000 Oyster Creek Corporation,
6.607%+ due 01/06/1998............... 1,222,895
612,000 Toyota Motor Credit Corporation,
5.779%+ due 01/16/1998............... 610,559
1,070,000 Toyota Motor Credit Corporation,
6.014%+ due 01/21/1998............... 1,066,493
1,517,000 Trans America Finance Corporation,
5.879%+ due 01/22/1998............... 1,511,912
-----------
8,347,855
-----------
FOODS -- 4.7%
851,000 Archer-Daniels-Midland Company,
5.736%+ due 01/26/1998............... 847,702
1,963,000 General Mills Inc.,
5.774% due 01/08/1998................ 1,960,839
-----------
2,808,541
-----------
FOREIGN BANKS -- 4.3%
Abbey National:
750,000 5.725%+ due 02/02/1998................. 746,287
1,059,000 5.712%+ due 03/31/1998................. 1,044,653
564,000 5.7546%+ due 04/27/1998................ 553,968
200,000 Toronto Dominion,
5.688%+ due 01/02/1998............... 199,969
-----------
2,544,877
-----------
FOREIGN GOVERNMENT -- 3.8%
2,282,000 Sweden (Kingdom of),
5.732%+ due 03/16/1998............... 2,256,182
-----------
HEALTH CARE -- 2.5%
1,481,000 Schering Corporation,
5.879%+ due 03/19/1998............... 1,462,881
-----------
MANUFACTURING -- DIVERSIFIED -- 2.4%
General Electric Company:
1,000,000 6.171%+ due 01/09/1998................. 998,651
400,000 5.683%+ due 01/12/1998................. 399,324
-----------
1,397,975
-----------
MULTIMEDIA -- 4.2%
Disney (Walt) Company:
2,214,000 5.659%+ due 01/23/1998................. 2,206,586
277,000 5.803%+ due 04/28/1998................. 271,959
-----------
2,478,545
-----------
SECURITIES BROKERAGE -- 7.7%
Goldman, Sachs & Company:
738,000 5.922%+ due 01/16/1998................. 736,217
1,500,000 5.888%+ due 04/06/1998................. 1,477,438
Merrill Lynch, Pierce, Fenner & Smith
Inc.:
906,000 5.765%+ due 01/06/1998................. 905,292
148,000 5.986%+ due 01/09/1998................. 147,807
700,000 5.749%+ due 01/12/1998................. 698,807
450,000 5.781%+ due 03/02/1998................. 445,800
171,000 5.778%+ due 03/25/1998................. 168,816
-----------
4,580,177
-----------
</TABLE>
See Notes to Financial Statements.
74
<PAGE> 77
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
LIQUID ASSET SERIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
COMMERCIAL PAPER -- (CONTINUED)
TELECOMMUNICATIONS -- 4.8%
$ 990,000 AT&T Corporation,
5.814%+ due 01/15/1998............... $ 987,805
1,192,000 Ameritech,
5.711%+ due 02/06/1998............... 1,185,325
15,000 BellSouth Corporation,
5.810%+ due 02/04/1998............... 711,164
-----------
2,884,294
-----------
UTILITY -- 7.0%
2,328,000 Florida Power,
5.906%+ due 02/17/1998............... 2,309,717
1,845,000 Southern California Edison Company,
5.957%+ due 02/17/1998............... 1,841,102
-----------
4,150,819
-----------
Total Commercial Paper
(Cost $55,566,593).................. 55,566,593
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
<C> <S> <C>
CERTIFICATES OF DEPOSIT -- 3.3%
(Cost $1,999,324)
$2,000,000 Societe Generale-NY,
5.810%+ due 08/04/1998. ............. $ 1,999,324
-----------
TOTAL INVESTMENTS (COST $57,565,917*)........ 96.8% 57,565,917
OTHER ASSETS AND LIABILITIES (NET)........... 3.2 1,886,899
----- -----------
NET ASSETS................................... 100.0% $59,452,816
===== ===========
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Annualized yield at date of purchase.
See Notes to Financial Statements.
75
<PAGE> 78
- --------------------------------------------------------------------------------
Notes to Financial Statements
THE GCG TRUST
DECEMBER 31, 1997
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The GCG Trust, (the "Trust") is registered under the Investment Company Act of
1940 as an open-end management investment company. The Trust was organized as a
Massachusetts business trust on August 3, 1988 with an unlimited number of
shares of beneficial interest with a par value of $0.001 each. At December 31,
1997 the Trust had sixteen operational portfolios (the "Series"): Small Cap
Series ("SC"), All-Growth Series ("AG"), Capital Appreciation Series ("CA"),
Value Equity Series ("VE"), Rising Dividends Series ("RD"), Strategic Equity
Series ("SE"), Managed Global Series ("MG"), Emerging Markets Series ("EM"),
Hard Assets Series ("HA"; formerly Natural Resources Series), Real Estate Series
("RE"), Market Manager Series ("MM"), Multiple Allocation Series ("MA"), Fully
Managed Series ("FM"), Limited Maturity Bond Series ("LMB"), Liquid Asset Series
("LA") and The Fund For Life Series. All of the Series are diversified except
for HA, 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,
Inc. ("Equitable of Iowa") and Equitable Life Insurance Company of Iowa, an
affiliated company. Equitable of Iowa became an indirect wholly owned subsidiary
of ING Groep, N.V. ("ING") on October 24, 1997. The Trust is also an investment
medium for contracts offered by the Mutual Benefit Life Insurance Company in
Rehabilitation and by the Security Equity Life Insurance Company.
All of the Series commenced operations on January 24, 1989, except for CA which
commenced operations on May 4, 1992, MG which commenced operations on October
21, 1992, RD and EM which commenced operations on October 4, 1993, MM which
commenced operations on November 14, 1994, VE which commenced operations on
January 3, 1995, SE which commenced operations on October 2, 1995 and SC which
commenced operations on January 3, 1996.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of
significant accounting policies consistently followed by the Trust in the
preparation of its financial statements. The policies are in conformity with
generally accepted accounting principles.
(A) VALUATION: Domestic and foreign portfolio securities including options and
futures contracts, except as noted below, for which market quotations are
readily available are stated at market value. Market value is determined on the
basis of the last reported sales price in the principal market where such
securities are traded or, if no sales are reported, the mean between
representative bid and asked quotations obtained from a quotation reporting
system or from established market makers or dealers.
Debt securities (except those purchased by LA), including those to be purchased
under firm commitment agreements, are normally valued on the basis of quotes
obtained from brokers and dealers or pricing services, which take into account
appropriate factors such as institutional-size trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics, and other market data. Under certain circumstances, debt
securities having a maturity of sixty days or less may be valued at amortized
cost which approximates 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 imperfect correlation between movements in the price of the
derivative financial instruments and the price of the underlying securities,
indices or currency.
76
<PAGE> 79
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
DECEMBER 31, 1997
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
OPTIONS: Certain Series may engage in option transactions including purchasing
options on securities and securities indexes ("purchased options") and writing
covered call and secured put options ("written options"). Generally, purchased
options are utilized to protect security holdings in a portfolio or protect
against substantial increases in market prices in securities to be acquired in
the future. MM invests in purchased options on security indexes in accordance
with its long term investment objectives to obtain equity market performance.
Certain Series may use written options to generate additional income, protect
partially against declines in the value of portfolio securities or facilitate a
Series' ability to purchase a security at a price lower than the security's
current market price. Option transactions may be engaged on exchanges and on
over-the-counter markets. When a Series writes an option, an amount equal to the
premium received by the Series is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market on a
daily basis to reflect the current value of the option written. When a security
is sold through an exercise of an option, the related premium received (or paid)
is deducted from (or added to) the basis of the security sold. When an option
expires (or the Series enters into a closing transaction), the Series realizes a
gain or loss on the option to the extent of the premiums received or paid.
Realized and unrealized gains and losses arising from purchased option
transactions are included in the net realized and unrealized gain/(loss) on
securities. The option activity for VE for the year ended December 31, 1997 was
as follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1996.................... 450 $ 78,197
Options written during the period........................... 8339 771,452
Options expired during the period........................... 8639 823,251
---- --------
Options outstanding at December 31, 1997.................... 150 $ 26,398
==== ========
</TABLE>
FUTURES CONTRACTS: Certain Series may engage in various futures contracts
including interest rate and stock index futures contracts. The transactions in
futures contracts must constitute bona fide hedging or other strategies under
regulations promulgated by the Commodities Futures Trading Commission. Upon
entering into a contract, the Series deposits and maintains as collateral such
initial margin as required by the exchange on which the transaction is effected.
Pursuant to the contract, the Series agrees to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the contract. Such
receipts or payments are known as variation margin and are recorded by the
Series as unrealized gains or losses. When the contract is closed, the Series
records a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
During the year ended December 31, 1997, all futures transactions were conducted
on U.S. exchanges. Contracts open, if any, at December 31, 1997 are included in
the portfolio of investments and their related realized and unrealized gains and
losses are included in the net realized and unrealized gain/(loss) on futures
contracts.
FORWARD FOREIGN EXCHANGE CONTRACTS: Certain of the Series may enter into forward
foreign exchange contracts. A Series will engage in forward foreign exchange
currency transactions to protect itself against fluctuations in currency
exchange rates. Forward foreign exchange contracts are valued at the applicable
forward rate and are marked to market daily. The change in market value is
recorded by the Series as an unrealized gain or loss. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed. Contracts open, if any, at December 31, 1997 and their
related unrealized appreciation/(depreciation) are set forth in the Schedule of
Forward Foreign Exchange Contracts which accompanies the Portfolio of
Investments. Realized and unrealized gains and losses arising from forward
foreign exchange contracts are included in net realized and unrealized
gain/(loss) on forward foreign exchange contracts.
SECURITIES SOLD SHORT: AG is engaged in selling securities short, which
obligates the Series to replace a security borrowed by purchasing the same
security at the current market value. The Series would incur a loss if the price
of the security increases between the date of the short sale and the date on
which the Series replaces the borrowed security. The Series would realize a gain
if the price of the security declines between those dates.
(C) FOREIGN CURRENCY: Assets and liabilities denominated in foreign currencies
and commitments under forward foreign currency exchange contracts are translated
into U.S. dollars at the mean of the quoted bid and asked prices of such
currencies against the U.S. dollar as of the close of business immediately
preceding the time of valuation. Purchases and sales of portfolio securities are
translated at the 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.
77
<PAGE> 80
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
DECEMBER 31, 1997
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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 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"), an indirect 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
78
<PAGE> 81
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
DECEMBER 31, 1997
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
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 Liquid Asset 0.60% on the first $200 million in combined assets of
Series these Series;
0.55% on the next $300 million; and
0.50% on the amount over $500 million
*Emerging Markets Series 1.75%
Market Manager Series 1.00%
Managed Global Series 1.25% on the first $500 million and 1.05% on the amount
over $500 million
</TABLE>
* During the year ended December 31, 1997, the fee for Emerging Markets Series
increased from 1.50% to 1.75%.
The Manager and the Trust have entered into Portfolio Management Agreements with
the Portfolio Managers. These Portfolio Managers provide investment advice for
the various Series and are paid by the Manager based on the average net assets
of the respective Series. The Portfolio Managers of each of the Series are as
follows:
<TABLE>
<S> <C>
SERIES PORTFOLIO MANAGER
Small Cap Series Fred Alger Management, Inc.
All-Growth Series Pilgrim Baxter & Associates, Ltd.
Capital Appreciation Series Chancellor LGT Asset Management, Inc.
Value Equity Series Eagle Asset Management, Inc.
Rising Dividends Series Kayne Anderson Investment Management, LLC
Strategic Equity Series Zweig Advisors Inc.
Managed Global Series Putnam Investment Management, Inc.
Emerging Markets Series Putnam Investment Management, Inc.
Hard Assets Series Van Eck Associates Corporation
Real Estate Series EII Realty Securities, Inc.
Market Manager Series Equitable Investment Services, Inc.
Multiple Allocation Series Zweig Advisors Inc.
Fully Managed Series T. Rowe Price Associates, Inc.
Limited Maturity Bond Series Equitable Investment Services, Inc.
Liquid Asset Series Equitable Investment Services, Inc.
</TABLE>
During the year ended December 31, 1997, SC, VE, SE, HA and MA, in the ordinary
course of business, paid commissions of $150,041, $13,239, $1,788, $900, and
$33,263, respectively, to certain affiliates of the respective Portfolio Manager
and/or the Manager in connection with the execution of various portfolio
transactions.
Prior to February 3, 1997, the Trust and the Manager employed a different
Portfolio Manager for AG. Prior to March 3, 1997, the Trust and the Manager
employed different Portfolio Managers for MG, EM and MM.
The custodian for the Trust is Bankers Trust Company. The custodian is paid by
the Manager and not the Trust.
Certain officers and trustees of the Trust are also officers and/or directors of
the Manager, Golden American and Equitable of Iowa Companies.
79
<PAGE> 82
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
DECEMBER 31, 1997
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. Government and short-term investments, for the year ended December 31, 1997
were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- ------------
<S> <C> <C>
Small Cap Series............................................ $ 81,383,634 $ 57,958,471
All-Growth Series........................................... 233,830,495 239,614,046
Capital Appreciation Series................................. 80,583,888 94,631,708
Value Equity Series......................................... 92,719,959 71,752,088
Rising Dividends Series..................................... 114,255,819 44,999,386
Strategic Equity Series..................................... 50,135,310 33,139,804
Managed Global Series....................................... 199,146,137 186,513,245
Emerging Markets Series..................................... 80,338,130 87,632,064
Hard Assets Series.......................................... 52,844,313 56,658,538
Real Estate Series.......................................... 37,872,778 23,320,468
Market Manager Series....................................... -- 21,691
Multiple Allocation Series.................................. 91,447,219 97,705,617
Fully Managed Series........................................ 68,404,852 65,982,408
Limited Maturity Bond Series................................ 32,809,707 35,252,069
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short-term investments, for the year ended
December 31, 1997 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- ------------
<S> <C> <C>
Market Manager Series....................................... $ -- $ 140,974
Multiple Allocation Series.................................. 119,883,039 76,696,082
Fully Managed Series........................................ 951,434 --
Limited Maturity Bond Series................................ 22,589,138 41,463,953
</TABLE>
At December 31, 1997, 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............................................ $11,237,053 $ 679,398 $10,557,655
All-Growth Series........................................... 12,497,983 2,604,237 9,893,746
Capital Appreciation Series................................. 45,425,551 957,001 44,468,550
Value Equity Series......................................... 10,084,054 1,859,171 8,224,883
Rising Dividends Series..................................... 66,496,493 1,345,196 65,151,297
Strategic Equity Series..................................... 7,725,618 455,389 7,270,229
Managed Global Series....................................... 10,033,870 4,270,901 5,762,969
Emerging Markets Series..................................... 4,044,462 7,140,408 (3,095,946)
Hard Assets Series.......................................... 5,751,044 3,194,990 2,556,054
Real Estate Series.......................................... 16,492,887 70,463 16,422,424
Market Manager Series....................................... 2,902,633 -- 2,902,633
Multiple Allocation Series.................................. 32,254,378 2,745,961 29,508,417
Fully Managed Series........................................ 28,298,816 3,698,105 24,600,711
Limited Maturity Bond Series................................ 641,673 88,250 553,423
</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
80
<PAGE> 83
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
DECEMBER 31, 1997
4. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
Trustees as reflecting fair value which includes obtaining quotes from
independent sources if available. The dates of acquisition and costs of
restricted and illiquid securities held at December 31, 1997 are as follows:
MANAGED GLOBAL SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
- -------- -------- -----------
<S> <C> <C>
Brazil Realty 144A GDR...................................... $ 85,013 03/20/1997
CIA Energetica Minas Geras Cemig ADR 144A................... 138,875 03/18/1997
Centrais Electrobras Santa CAT GDS 144A..................... 43,087 04/10/1997
Gujarat Ambuja Cement 144A.................................. 80,030 03/18/1997
Indian Hotels Ltd. GDR 144A................................. 29,413 07/31/1997
Mahanagar Telephone Nigam 144A GDR.......................... 46,636 12/03/1997
PT Astra Agro Niaga 144A.................................... 11,120 11/20/1997
Grupo Accion 144A ADR....................................... 49,188 06/19/1997
Benpres Holdings Corporation 144A GDR....................... 39,270 08/15/1997
Bank Handlowy W Warsz 144A Ord. GDR......................... 10,422 06/18/1997
A.O. Mosenergo 144A ADR..................................... 66,627 03/18/1997
Tatneft 144A ADR............................................ 81,400 03/18/1997
Sabanci Holdings 144A....................................... 50,242 06/30/1997
Yapi Kredi Band 144A GDR.................................... 57,132 06/23/1997
</TABLE>
Total restricted and/or illiquid securities (fair value of $839,860) represented
0.8% of net assets of MG at December 31, 1997.
On December 31, 1997, 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 ADR.............................................. 667,275 03/14/1997
Mesbla S A Pfd. ............................................ 416,450 02/07/1994
Pick Szeged Rt. GDR 144A.................................... 407,324 12/09/1997
Gujarat Ambuja Cement 144A.................................. 575,960 03/14/1997
Indian Hotels Ltd. GDR 144A................................. 156,000 12/16/1997
Mahanagar Telephone Nigam GDR 144A.......................... 276,230 12/03/1997
Mahindra & Mahindra GDR 144................................. 348,369 04/09/1996
PT Astra Agro Niaga 144A.................................... 66,719 11/20/1997
Alfa SA DE CV 8% 9/15/00.................................... 734,314 03/14/1997
Grupo Accion 144A ADR....................................... 306,213 06/19/1997
Benpres Holdings Corp. 144A GDR............................. 235,620 05/08/1995
Kredyt Bank GDR 144A........................................ 441,324 12/11/1997
Tatneft 144A ADR............................................ 450,000 03/14/1997
Sabanci Holdings 144A....................................... 305,685 06/30/1997
</TABLE>
Total restricted and/or illiquid securities (fair value of $5,723,181)
represented 14.5% of net assets of EM at December 31, 1997.
On December 31, 1997, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
81
<PAGE> 84
- --------------------------------------------------------------------------------
Notes to Financial Statements -- (Continued)
THE GCG TRUST
DECEMBER 31, 1997
4. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
FULLY MANAGED SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
- -------- ---------- -----------
<S> <C> <C>
Homestake Mining Company, Conv. Bond, 144A, 5.500% due
6/23/2000................................................. $1,699,885 02/16/1995
Kemper Corporation, Series E, Conv. Pfd. Stock, 144A........ 1,946,734 02/06/1995
Roche Holdings Inc., 144A Conv. Bond due 05/06/2012......... 2,216,916 04/29/1997
Thomas Nelson Inc., Conv. Bond, 144A, 5.75% due
11/30/1999................................................ 148,998 12/15/1997
</TABLE>
Total restricted and/or illiquid securities (fair value of $6,379,500)
represented 3.8% of net assets of FM at December 31, 1997.
On December 31, 1997, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
5. CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Series indicated below have capital loss
carryforwards as of December 31, 1997 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED
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
Effective January 2, 1998, ING Investment Management, LLC ("IIMLLC"), an
affiliate of Equitable Investment Services, Inc. ("EISI"), assumed the portfolio
management responsibilities of EISI, for the Market Manager Series, Limited
Maturity Bond Series and Liquid Assets Series of the Trust. The EISI personnel
who manage these portfolios have moved to IIMLLC and no changes in investment
personnel are anticipated for any portfolio.
82
<PAGE> 85
THE GCG TRUST
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
At a Special Meeting of Shareholders of the Trust held on October 9, 1997, the
following actions were taken:
(1) The new management agreement between the Trust and DSI to become effective
upon the merger of Equitable of Iowa with PFHI Holdings, Inc., an ING subsidiary
was approved by the shareholders of the trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
--- ---------- --------- -----
<S> <C> <C> <C>
134,986,065 1,573,533 10,143,446 146,703,043
</TABLE>
(2) The new portfolio management agreement between the Trust, DSI and each
Series' corresponding Portfolio Manager to become effective upon the merger of
Equitable of Iowa with PFHI was approved by the shareholders of the Trust as
follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
---------- ---------- --------- ----------
<S> <C> <C> <C> <C>
Small Cap Series........................................ 3,723,123 72,839 210,306 4,006,268
All-Growth Series....................................... 4,913,474 65,216 249,869 5,228,558
Capital Appreciation Series............................. 9,001,073 129,522 451,758 9,582,353
Value Equity Series..................................... 3,637,399 20,563 175,168 3,833,131
Strategic Equity Series................................. 3,019,388 22,686 156,927 3,199,001
Rising Dividends Series................................. 9,889,981 86,909 546,099 10,522,989
Emerging Markets Series................................. 4,042,322 119,893 352,168 4,514,384
Managed Global Series................................... 7,700,599 150,732 452,563 8,303,894
Hard Assets Series...................................... 2,250,289 70,932 117,433 2,438,654
Real Estate Series...................................... 3,428,046 64,038 196,129 3,688,214
Market Manager Series................................... 365,419 9,796 22,483 397,698
Multiple Allocation Series.............................. 17,905,806 207,287 1,218,717 19,331,811
Fully Managed Series.................................... 9,032,944 97,069 472,138 9,602,151
Limited Maturity Bond Series............................ 7,056,736 25,992 156,731 7,239,459
Liquid Asset Series..................................... 48,377,164 579,029 5,858,286 54,814,478
</TABLE>
(3) All Growth Series
A change in a fundamental investment restriction of All-Growth Series was
approved by shareholders of the Series as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
--- ---------- --------- -----
<S> <C> <C> <C>
4,681,181 227,964 319,413 5,228,558
</TABLE>
(4) Hard Assets Series
A change in a fundamental investment restriction of Hard Assets Series was
approved by shareholder of the Series as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
--- ---------- --------- -----
<S> <C> <C> <C>
2,166,324 158,582 113,748 2,438,654
</TABLE>
(5) All Series of the Trust
Election of Elizabeth J. Newell on the Board of Trustees of the Trust approved
by the shareholders of the Trust follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
--- ---------- --------- -----
<S> <C> <C> <C>
133,567,305 1,539,039 11,596,699 146,703,043
</TABLE>
83
<PAGE> 86
- --------------------------------------------------------------------------------
Tax Information -- (Unaudited)
THE GCG TRUST
FISCAL YEAR ENDED DECEMBER 31, 1997
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1997, were as follows:
<TABLE>
<S> <C>
All Growth Series................................... $1,930,785
Capital Appreciation Series......................... 11,745,732
Value Equity Series................................. 1,399,789
Rising Dividends Series............................. 4,219,889
Hard Assets Series.................................. 5,003,011
Real Estate Series.................................. 2,351,118
Market Manager Series............................... 329,039
Multiple Allocation Series.......................... 8,997,495
Fully Managed Series................................ 7,958,193
Managed Global Series............................... 395,557
Strategic Equity Series............................. 59,941
</TABLE>
84
<PAGE> 87
<TABLE>
<S> <C>
BULK RATE
Golden American Life Insurance Company U.S. POSTAGE
1001 Jefferson Street PAID
Wilmington, DE 19801 PERMIT NO. 3361
DES MOINES, IA
</TABLE>
