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THE GCG Trust
GOLDENSELECT products are issued by
Golden American Life Insurance Company
and distributed by Directed Services, Inc., member NASD ING VARIABLE ANNUITIES
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Table of Contents
The GCG Trust
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Page
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Chairman's Letter.......................................................... 1
Portfolio Manager Reports.................................................. 2
Statements of Assets and Liabilities....................................... 26
Statements of Operations................................................... 30
Statements of Changes in Net Assets........................................ 34
Financial Highlights....................................................... 42
Portfolios of Investments.................................................. 65
Notes to Financial Statements.............................................. 111
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The information contained in this report is intended for general informa-
tion purposes only. This report is not authorized for distribution to pro-
spective investors unless preceded or accompanied by current Trust and Sep-
arate Account prospectuses which contain important information concerning
the Trust, the Company, and its current public offering of variable con-
tracts. Investment return and principal value will vary, and shares may be
worth more or less at redemption than at original purchase.
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Directed Services, Inc. Tel: 610-425-3400
1475 Dunwoody Drive, West Chester, PA 19380 Fax: 610-425-3520
August 5, 1999
Dear Shareholder of The GCG Trust:
We are pleased to present the 1999 Semi-Annual Report of the GCG Trust (the
"Trust"). The following report provides information about the performance and
financial position of the portfolios of the Trust.
During the first six months of the year, the net assets of the Trust increased
35% to end the period at $5.8 billion. This increase can be attributed to new
investment by shareholders and strong investment returns.
During 1999, the following enhancements were made to the Trust:
. Janus Capital Corporation was appointed to be the new Portfolio Manager
for the Value + Growth Series, effective March 1, 1999. Along with this
change was a name change from "Value + Growth Series" to "Growth
Series". The new name better reflects the change in investment style
from a value style to a growth style.
. T. Rowe Price Associates, Inc. was hired to manage the Equity Income
Series, formerly the Multiple Allocation Series, effective March 1,
1999. Also, changes in the investment objectives were made to reflect
the investment style of T. Rowe Price.
. Alliance Capital Management L.P. was hired to manage the Growth & Income
Series effective March 1, 1999. In addition, the name of the Growth &
Income Series has been changed to Capital Growth Series, effective July
1, 1999.
. AIM Capital Management, Inc. was hired to manage the Strategic Equity
Series, effective March 1, 1999. In addition, certain changes in the
investment policies and procedures were made to reflect the investment
style of AIM. AIM was also hired to manage the Capital Appreciation
Series, effective April 1, 1999.
. Baring International Investment Ltd. was hired to manage the Hard Assets
Series and Developing World Series, effective March 1, 1999.
The Report contains comments from the Portfolio Managers of the Trust's
Series. The comments of the Portfolio Managers reflect their views as of the
date written and are subject to change at any time. For more complete
information about these portfolios, the Trust or any products, including
charges and expenses, please consult your prospectus. Read it carefully before
investing or sending money.
Thank you for your continued support.
Sincerely,
R. Brock Armstrong
Chairman
The GCG Trust
1
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The GCG Trust
Liquid Asset Series
The objective of the Liquid Asset Series (the "Series") is a high level of
current income consistent with the preservation of capital and liquidity. For
the six months ended June 30, 1999, the Series had a return of 2.20% versus the
Merrill Lynch 3-Month Treasury Index return of 2.35%.
The first half of 1999 marked a period of rising interest rates. Market fears
of a slowing economy and/or a potential recession faded as indicators continued
to show signs of economic strength. GDP growth in the first quarter of 1999
remained strong at 4.3% after increasing 3.9% in 1998. While unemployment rates
were at historical lows and the labor market appeared tight, productivity
growth kept the growth in unit labor costs at a minimum. Nevertheless, this
strong domestic backdrop combined with improving foreign economies led to fears
that domestic economic growth might be faster than that associated with steady
inflation. As a result, the Federal Reserve Board's Open Market Committee (the
Fed) voted to raise the Fed Funds rate by 25 basis points on June 30, 1999 in a
"pre-emptive" move intended to keep economic growth at a sustainable level.
As signs of a potential Fed tightening emerged in May, interest rates in the
six-month to one-year area began to rise. In fact, throughout the first half of
1999, one-year LIBOR rates increased approximately 75 basis points. In the
second quarter, the Liquid Asset Series began to barbell its portfolio to take
advantage of the high rates in the nine-month to one-year area and to keep a
portion of the portfolio short as a hedge to the increasingly probable Fed
tightening. The average maturity of the Liquid Asset Series was shortened to 43
days on June 30, 1999 versus the 61-day average of competitors.
Going forward, the Series will invest selectively at cheap points on the yield
curve keeping in mind the potential for an additional Fed tightening by year-
end. Technical factors associated with Y2K are expected to impact the market
but the actual effect of Y2K is unknown at this time.
ING Investment Management, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 4.71%
5 Year 5.02%
10 Year 4.97%
Since 1/24/1989 (Inception) 5.12%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 2.20%
</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.
Investment in the Liquid Asset Series (or in any other Series) is neither
insured nor guaranteed by the U.S. Government. There can be no assurance that
the Liquid Asset Series will be able to maintain a stable net asset value of
$1.00 per share.
Top Five Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Exxon Asset Management, 7.301% due
07/06/1999 4.9%
2. AT&T Corporation, 4.871% to 7.301% due
07/01/1999 4.1%
3. Coca-Cola Company, 7.301% due 07/01/1999 3.2%
4. General Electric Capital Corporation,
5.318% due 07/06/1999 2.9%
5. Gannet Company, Inc., 5.008% due
07/07/1999 2.9%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Personal Credit Institutions 20.0%
2. Communications 10.1%
3. Electric, Gas & Sanitary Services 9.3%
4. Miscellaneous Business Credit Institu-
tions 9.1%
5. Securities Brokers 8.5%
</TABLE>
2
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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 and,
secondary, enhance total return through capital appreciation when market
factors are appropriate. For the six months ended June 30, 1999, the Series
returned 0.00%. This compares to the Merrill Lynch 1-5 Year
Corporate/Government Bond index total return of 0.64% for the same time period.
The first half of 1999 marked a period of rising interest rates. Market fears
of a slowing economy and/or a potential recession faded as indicators continued
to show signs of economic strength. GDP growth in the first 3 months of 1999
remained strong at 4.3% after increasing 3.9% in 1998. While unemployment rates
were at historical lows and the labor market appeared tight, productivity
growth kept the growth in unit labor costs at a minimum. Nevertheless, this
strong domestic backdrop combined with improving foreign economies led to fears
that domestic economic growth might be faster than that associated with steady
inflation. As a result, the Federal Reserve Board's Open Market Committee (the
Fed) voted to raise the Fed Funds rate by 25 basis points on June 30, 1999 in a
"pre-emptive" move to keep economic growth at a sustainable level.
The market environment and resulting Fed tightening was negative for the bond
market as interest rates rose significantly and bond prices fell throughout the
first half of 1999. Rates on the 30-year Treasury bond increased by 88 basis
points to 5.97% from 5.09% at the beginning of the year. In addition, interest
rates in the 2-10 year sectors increased by over 100 basis points causing a
slight flattening of the yield curve. In general, spread sectors outperformed
the U.S. Treasury market and short-term bonds outperformed long-term bonds. The
Merrill Lynch U.S. Treasury Master Index reported a return of (2.4)% for
Treasury bonds over the first half of 1999.
The Limited Maturity Bond Series began the year barbelled versus the benchmark
and with a longer duration than the benchmark. Throughout 1999 as interest
rates began to rise, the barbell was reduced and the portfolio was adjusted to
more closely match its index. It ended the period with duration flat to the
benchmark but still slightly barbelled relative to the benchmark. The emphasis
on spread product (U.S. government agency and corporate bonds, mortgage-backed
securities and asset-backed securities) helped the portfolio's return while the
barbell detracted from return.
Going forward, the portfolio will continue to overweight spread product versus
the benchmark while keeping duration in line with the benchmark. Uncertainty
abounds for the remainder of the year as participants try to determine the
potential impact of Y2K on the market and decipher economic data that might
indicate another Fed tightening is necessary by year-end.
ING Investment Management, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 3.65%
5 Year 5.89%
10 Year 6.22%
Since 1/24/1989 (Inception) 6.47%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 0.00%
</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.
Top Five Non Cash Holdings as of June 30, 1999
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1. U.S Treasury Notes due through 2004
ranging from 4.625% to 8.750% 37.9%
2. Alltel Corporation, 7.250% due
04/01/2004 2.3%
3. Marsh & McLennan Cos., Inc, 6.625% due
06/15/2004 2.2%
4. El Paso Natural Gas Co., 6.750% due
11/15/2003 2.0%
5. Waste Management, Inc., 7.125% due
06/15/2001 1.7%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Corporate Bonds 38.4%
2. U.S. Treasury Obligations 37.9%
3. Discount Commercial Paper 8.5%
4. U.S. Government Agency Obligations 8.4%
5. Asset Backed Securities 4.8%
</TABLE>
3
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The GCG Trust
Global Fixed Income Series
The Global Fixed Income Series (the "Series") seeks to invest primarily in
high-grade debt securities, both foreign and domestic, and related foreign
currency transactions. For the six months ended June 30, 1999, the Series had a
total return of (8.15%). Over the same time period, the Merrill Lynch Global
Government Bond Index II had a total return of (6.97%).
Against a backdrop of anticipated interest rate rises by the U.S. Federal
Reserve, a continuing series of strong economic numbers in the United States,
and some evidence of improving growth in the United Kingdom and Europe, the
second quarter of 1999 was a quiet period for global bond markets.
United States economic data continued to be strong: the effect of improving
industrial production and retail sales figures led to the Fed officially
adopting a tightening bias. Fears that this might manifest itself in an
interest rate rise sooner rather than later shifted bond yields upwards along
the U.S. Treasury curve, especially during May. Federal Reserve Chairman
Greenspan confirmed that the Fed would be likely to make a pre-emptive strike
against inflation, and this duly occurred, with a 25bp rise in the Fed Funds
rate on the final day of the quarter.
Rises in Treasury yields fed through to other major markets. The European curve
steepened as a result, but it was also adversely affected by the consequent
weak currency discouraging potential overseas investors, and some signs of an
improvement in European growth. The UK bond market also suffered as a result of
the US market's fall, helped downwards by the realisation that public sentiment
was beginning to make the UK's EMU convergence path look less certain than had
previously been thought.
The Euro's fall against the US Dollar continued into the second quarter,
although the slide was not as dramatic as it had been through the first three
months of the year. In contrast, Sterling has remained strong throughout the
quarter, despite further rate cuts as the Bank of England expressed concerns
about inflation undershooting their target.
The first half of 1999 has generally been a difficult time for global bond
markets, but we are now looking towards a likely continuation of the bond
market rally seen throughout most of 1998. Three months ago we were expecting a
sell-off in the major bond markets, and this has now happened, leaving the way
clear for further good performance from securities.
With the exception of Japan, the major global bond markets - especially the US
- - are beginning to look more attractive than they have done over the past few
months, and we expect that Global Fixed Income as an asset class is once again
poised to produce good performance for investors through the medium to long-
term.
Baring International Investment Limited
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
Since 8/14/1998 (Inception) (0.81)%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date (8.15)%
</TABLE>
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.
Top Five Non Cash Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. U.S. Treasury Obligations due through
11/15/2016 ranging from 4.250% to
7.250% (United States) 36.7%
2. Dutch Government, 6.000% due 01/15/2006
(Netherlands) 3.4%
3. Federal National Mortgage Association,
4.625% due 10/15/2001 (United States) 3.3%
4. Government of Spain, 4.500% due
07/30/2004 (Spain) 3.3%
5. Government of France, 7.000% due
10/12/2000 (France) 3.2%
</TABLE>
Top Five Countries as of June 30, 1999
<TABLE>
<S> <C>
1. United States 45.9%
2. Germany 13.1%
3. France 11.7%
4. United Kingdom 9.0%
5. Australia 4.7%
</TABLE>
4
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The GCG Trust
Total Return Series
The Total Return Series (the "Series") seeks to obtain above-average income
(compared to a portfolio entirely in equity securities) consistent with the
prudent employment of capital. A secondary goal is the reasonable opportunity
for growth of capital and income. For the six months ended June 30, 1999, the
Series provided a total return of 5.06%. This compares to a 12.38% return for
the Standard & Poor's 500 Index and a (2.28)% return for the Lehman Brothers
Government/Corporate Bond Index over the same time period.
In the first three months of 1999, the Series was hurt by the continued
underperformance of value stocks compared to growth stocks. Prices of value
stocks reflect the underlying value of companies' assets and earnings, while
prices of growth stocks tend to reflect investors' earnings growth
expectations. Late in March, however, value stocks began to recover, due in
part to second-quarter concerns about inflation. Investors trying to anticipate
the effects of rising inflation and interest rates have bought value stocks and
moved out of growth companies, which have been trading at very high prices
relative to their earnings. Because interest rates help determine the value of
future earnings, any interest-rate increase lowers future earnings value.
Therefore, stocks trading at high prices relative to future earnings become
less attractive.
Among industries, we think the energy sector looks particularly attractive. The
price of oil has gone from $12 per barrel to around $17. Also, the major oil
companies cut spending on drilling last year, so any increase in supply this
year should be modest, creating a good supply/demand picture. Two oil companies
we like are BP Amoco Plc, which continues to be a big holding, and Mobil Corp.
We believe these companies are benefiting from the consolidation of the
industry. In addition, the supply/demand picture for natural gas appears to be
quite favorable. Two companies that we think could benefit from consolidation
and rising gas prices are Apache Corp. and Coastal Corp.
Another important sector is financial services. Life insurance companies such
as Lincoln National Corp. and Hartford Financial Services Group are benefiting
from the growing popularity of annuities. On the property/casualty side of the
business, premiums are beginning to increase after years of decline. We believe
this should benefit companies such as Chubb Corp. and St. Paul Companies, Inc.
Companies that have performed well for the Series include AlliedSignal, Inc., a
diversified industrial company, and those in the paper industry. AlliedSignal
had some earnings problems last year, but with its planned acquisition of
Honeywell, another diversified industrial company, we believe its future
appears bright. Paper companies have reduced their excess supply and, because
global economies have strengthened, demand for paper has been better than
expected. As a result, we've seen higher prices for such holdings as
Weyerhaeuser Co., Champion International, and International Paper Co.
In February, we began increasing the Series' stock allocation to around 60% of
assets because we felt prices of value stocks had become attractive, especially
given the big gains in growth stocks over the previous year or so. This
increase has helped the Series because the market began turning toward value
stocks in April and May. We also have increased the Series' holdings of bonds
maturing in less than two years because when interest rates rose, prices of
bonds maturing in 10 years or more fell farther than prices of shorter-maturity
bonds. However, we have not changed the basic makeup of the bond portfolio,
keeping about 45% of fixed-income assets in investment-grade corporate issues
and 30% in U.S. Treasuries to help limit price volatility.
Massachusetts Financial Services Company
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
Since 8/14/1998 (Inception) 12.32%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 5.06%
</TABLE>
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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. GTE Corporation 1.8%
2. BP Amoco Plc, ADR 1.8%
3. Allied Signal, Inc. 1.4%
4. Coastal Corporation 1.1%
5. Equitable Companies, Inc. 1.1%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Financials 23.2%
2. Utilities & Communication 23.0%
3. Energy 10.5%
4. Leisure 7.5%
5. Technology 6.5%
</TABLE>
5
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The GCG Trust
Equity Income Series*
The Equity Income Series (the "Series") seeks substantial dividend income as
well as long-term growth of capital. For the six months ended June 30, 1999,
the Series had a total return of 7.89%. During the same period the Standard &
Poor's 500 Index had a return of 12.38% and the Lehman Brothers Intermediate
Government/Corporate Bond Index had a total return of (0.58)%.
T. Rowe Price Associates, Inc. became portfolio manager of the Series on March
1, 1999 and performance for the 4 month period ended June 30, 1999 was 9.71%
for the Series versus 11.33% for the S&P 500 Index. The broad stock market and
the fund advanced strongly during the second quarter of 1999. Continued
corporate earnings growth and a healthier global outlook, particularly among
some of last years' weaker economies, combined to offset the increase in
interest rates we witnessed over the last six months. Good overall economic
news, high investor confidence, and trust in the Federal Reserve's ability to
take the proper pre-emptive action against potentially higher inflation
provided solid support for equities. We are very pleased with this performance,
particularly considering the conservative nature of the Series investment
approach. Value stocks, which make up the majority of the holdings, rebounded
nicely during the period.
The strong stock market environment during the second quarter was profitable
for many of the Series' holdings. During the past few months new trends came
into play that benefited portfolio investments. While value characteristics
such as low price/earnings ratios and high dividend yields were penalized in
1998, they returned to favor in the most recent period. Companies with exposure
to the cyclical nature of the economy or to commodities suddenly sprang to
life. Some of the better performers in the second quarter included GTE Corp.,
SBC Communications, Inc., Dow Chemical Co., Bell Atlantic Corp., Hewlett-
Packard Co., Hercules, Inc., and Whirlpool Corp.
At the end of June, energy and utilities stocks accounted for approximately 28%
of portfolio assets, consumer nondurables 17%, financial stocks 16%, and 15% of
assets were in capital equipment, process industries, and basic materials. The
balance was diversified among several other industries. The narrow breadth of
the market's advance over the past few years has resulted in many stocks with
the value characteristics we focus on - in particular, low price/earnings
ratios and relatively high dividend yields. Our preference for high-yielding,
lower p/e companies has always been a consistent cornerstone of our investment
approach. Given the wide variations in performance among companies and sectors
over the last two years, there is plenty of work to be done as we investigate
new investment opportunities on your behalf.
So far this year, we are pleasantly surprised by the durability of the stock
markets' strength and resilience, particularly in the face of rising interest
rates. We believe it will be difficult, but not impossible, for stocks to post
such robust returns in the second half of 1999. Given historically high stock
valuations and unrealistic investor expectations, we would not be surprised to
see a bit of turbulence ahead. Nevertheless, whatever happens over the short
term, our investment approach will remain constant. We will continue to
emphasize investments in sound companies that may be out of favor in the short
run but offer an attractive combination of good upside potential and relatively
limited downside risk.
T. Rowe Price Associates, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 11.28%
5 Year 12.52%
10 Year 10.02%
Since 1/24/1989 (Inception) 10.06%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 7.89%
</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 1, 1999 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.
*On February 16, 1999 the Board of Trustees approved a change in name of the
Multiple Allocation Series to the Equity Income Series.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. SBC Communications, Inc. 2.2%
2. Mellon Bank Corporation 1.9%
3. ALLTEL Corporation 1.8%
4. BP Amoco, PLC 1.7%
5. Exxon Corporation 1.6%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Consumer Nondurables 17.1%
2. Financial 15.7%
3. Utilities 14.4%
4. Energy 13.7%
5. Process Industries 11.2%
</TABLE>
6
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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 with
prudent investment risk. For the six months ended June 30, 1999, the Series had
a total return of 8.73%. During this same period, the Standard & Poor's 500
Index (the "S&P 500") had a return of 12.38% and the Lehman Brothers
Government/Corporate Bond Index had a return of (2.28)%.
The markets hit some occasional turbulence, but by and large the financial
weather made for smooth flying and comfortable returns during the first half of
1999. The Series provided a respectable return for the six months and exceeded
the S&P 500 for the second quarter. Nevertheless, for the entire first half,
our strategy of risk avoidance continued to be less rewarding than the broad
stock market and more aggressive fund competitors. Our approach remains unique
in seeking to minimize risk of loss while maintaining exposure to the long-term
advantage of equity investing.
Performance benefited from a change in investor preference toward value and
basic industry stocks - staples of your portfolio - and away from growth
stocks. In an environment of strong stock prices and weak fixed income markets,
however, the fund's significant bond exposure generated a strong headwind. Our
bond holdings held up comparatively well considering the negative impact of
rising interest rates, but they constrained performance. Bonds will seldom
outperform stocks over time, but they are inherently less risky than stocks and
are an important tool in our risk management kit.
A number of the Series' top contributors to performance were natural resources
or energy holdings, such as MacMillan Bloedel Ltd., a Canadian forest products
producer that appreciated by over 75%, and Domtar Inc. The strong performance
of our energy holdings - Amerada Hess Corp., Mitchell Energy & Development
Corp., Kerr-McGee Corp., Murphy Oil Corp., and Texaco Inc. - was partially the
result of improved world oil prices and partially a rebound from their price
swoon in 1998. While generally inclined to stick with these resource holdings
going forward, we have done some selective selling. Specifically, Atlantic
Richfield Co., a long-held position, was eliminated after its price ran up, and
others were trimmed as they reached intermediate price objectives.
Negative contributors to performance were headed by Loews Corp. and Philip
Morris Co., two companies selling far below our perception of their value, but
tainted by tobacco litigation uncertainties. Tennessee Valley Authority bonds
were our third worst contributor to performance. This large position fell about
one-third as much as similar maturity Treasury securities because of their
unique features.
Our allocation among asset classes stayed reasonably consistent over the past
six months, with approximately 53% in common stocks, 25% in convertibles, and
12% in bonds accounting for the majority of assets.
We remain cautious. We believe the economy looks good, but market valuations
(price/earnings ratios, dividend yields) are expensive. We believe there is a
very strong risk of higher interest rates in coming months, which historically
have hurt the financial markets before slowing the real economy.
Nevertheless, we continue to invest more than half of the Series in common
stocks because: 1) we hope our expertise enables us to benefit from specific
company situations or swings in investor enthusiasm and 2) the American economy
is strong and constantly creating new investment opportunities. We expect also
to continue holding significant non-equity assets to reduce the Series' overall
risk and enable investors to benefit from the long-term advantages of common
stocks, but with less interim volatility.
T. Rowe Price Associates, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 9.04%
5 Year 13.62%
10 Year 9.25%
Since 1/24/1989 (Inception) 9.45%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 8.73%
</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.
Top Five Non Cash Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Amerada Hess Corporation 4.7%
2. Loews Corporation 4.1%
3. Tennesse Valley Authority, 5.880% due
04/01/2036 3.8%
4. MacMillan Bloedel Ltd. 3.4%
5. Niagra Mohawk Power Corporation 3.2%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Consumer Services 13.2%
2. Energy 12.2%
3. Bonds 12.0%
4. Consumer Nondurables 9.2%
5. Process Industries 8.9%
</TABLE>
7
<PAGE>
The GCG Trust
Rising Dividends Series
The Rising Dividends Series (the "Series") seeks capital appreciation and,
secondarily, dividend income. For the six months ended June 30, 1999, the
Series produced a total return of 12.22%, slightly underperforming the Standard
& Poor's 500 Index, which returned 12.38% for the period.
Returns for the first half were helped by improved investor sentiment for
economically sensitive companies, which benefited our basic materials and
capital goods positions. In addition, selected technology holdings performed
well, reflecting restructuring activity and fast growth in selected segments of
the industry. Our returns were reduced by declines in certain consumer-oriented
companies, reflecting slowing of short-term sales growth, resulting from
difficulties in foreign economies.
Major purchase and sale activity in the first half centered on the financial
services, technology, telecommunications and energy sectors. We sold one
position in financial services and used the proceeds to increase our weighting
in another company in the same sector. We believe that the net effects on the
portfolio of these related transactions are to lower volatility and improve
relative value. We increased our weighting in technology and initiated a
weighting in telecommunication services. We reduced our weighting in energy,
after the rebound in oil prices, by eliminating one position.
Our outlook assumes continued moderate growth in the domestic economy,
accompanied by low inflation. We believe that international economies will
begin to recover over the next year, which will benefit our multinational
companies, particularly the branded consumer-oriented positions. Our focus will
continue to be on positioning the Rising Dividends Series for consistent long-
term growth.
Kayne Anderson Investment Management, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 12.04%
5 Year 22.05%
Since 10/14/1993 (Inception) 19.12%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 12.22%
</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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. International Business Machines Corpora-
tion 5.4%
2. Illinois Tool Works 4.3%
3. Medtronic, Inc. 4.2%
4. Merck & Company, Inc. 4.2%
5. Hewlett-Packard Company 4.1%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Technology 16.5%
2. Staples 16.3%
3. Financial 16.0%
4. Health 15.6%
5. Capital Goods 11.2%
</TABLE>
8
<PAGE>
The GCG Trust
Growth & Income Series*
The Growth & Income Series (the "Series") seeks to achieve long-term total
return. For the six months ended June 30, 1999, the Series returned 10.37%
compared to 12.38% for the Standard & Poor's 500 Index (the "S&P 500") and
6.87% for the Standard & Poor's Mid-Cap 400 Index.
Alliance Capital Management, L.P. became subadviser of the Series on March 1,
1999 and performance for the four months ended June 30, 1999 was 12.39% versus
17.34% for the S&P Mid-Cap 400 Index. As you know, mid-cap stocks have under-
performed the larger cap indices since 1994, but in the last several months the
mid-cap area has shown more vigorous returns. This may indicate a change in
market leadership that could be more positive for the Series. The Series is
focused on the mid-cap portion of the market, generally defined as companies
with $1 billion to $10 billion in market capitalization. For a point of
reference, the S&P 500 has a mean market cap of more than $100 billion. As of
June 30, 1999 our median market capitalization was $2.2 billion with the mean
at $4.0 billion. Our approach as growth stock investors is to buy and hold the
most rapidly growing mid-cap companies at reasonable stock market valuations.
The largest sector weights in the Series included consumer companies, financial
companies, technology and heath care. Basic industries, energy, and capital
goods companies had lesser weights.
In the financial area we have larger holdings in MBIA, Inc. and Radian Group,
Inc., two specialty finance companies with strong growth rates and low
valuations. In the consumer sector American Standard Cos., The Limited, Inc.
and Continental Airlines, Inc. are major holdings. Continental, for example,
has positioned itself as one of the fastest growing air carriers, has
established a very aggressive share buy back program, and is selling at a
valuation much lower than the overall market.
Technology holdings, accounting for 26% of the Series, were positive
contributors to recent performance. Large holdings include NTL Inc., a U.K.
based cable and telephony provider; Novell, Inc., a rapidly growing systems
company; and Ceridian Corp., a leading computer services company. Our 11% in
health care holdings modestly impaired performance. Datascope Corp., a provider
of various cardiac assist products, performed poorly in the second quarter;
however, since July 1, the stock has recovered and is trading at a twelve month
high as of July 15.
Much has changed in the overall economy over the past year. The concerns about
Asian financial meltdown have ebbed, world economies appear more stable and the
U.S. economy is showing good growth(3-4%) with inflation in check (2%). With
mid-cap stocks selling well below S&P 500 market p/e levels, we believe that
this asset class has substantial potential. With the world in a
disinflationary, economic recovery mode and relatively low p/e levels in the
mid-cap area, we are optimistic about the longer term prospects for the Series.
Alliance Capital Management, L.P.
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
Since 8/14/1998 (Inception) 21.61%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 10.37%
</TABLE>
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 1, 1999 Alliance Capital Management, Inc. became the Portfolio Manager
of the Series. Prior to that date the Series had been advised by other
Portfolio Managers.
*On July 1, 1999, the Series changed its name to Capital Growth Series.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Ceridian Corporation 4.0%
2. Novell, Inc. 3.7%
3. NTL, Inc. 3.4%
4. The Limited, Inc. 3.3%
5. MBIA, Inc. 3.1%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Consumer Services 26.4%
2. Technology 25.7%
3. Finance 13.2%
4. Healthcare 11.1%
5. Consumer Manufacturing 8.9%
</TABLE>
9
<PAGE>
The GCG Trust
Growth Series*
The Growth Series (the "Series") seeks to achieve capital appreciation. During
the six months ended June 30, 1999, the Series had a total return of 21.70%.
For the same period, the Standard & Poor's 500 Index (the "S&P 500") had a
return of 12.38% and the Russell Mid-Cap Index had a return of 10.34%.
Janus Capital Corporation became subadviser of the Series on March 1, 1999 and
performance for the four months ended June 30, 1999 was 14.04% versus 11.33%
for the S&P 500. Equity markets were volatile throughout the period as
investors grappled with a consistent rise in interest rates and growing fears
of inflation. The markets' skittishness was perhaps most visible in the retreat
of Internet shares during the middle of the period and the relative
outperformance of cyclical shares, a segment that had been depressed for some
time. Investors cheered, however, when the Federal Reserve announced a modest
25 basis point increase in short-term rates and adopted a neutral bias toward
future rate increases on June 30--moves that sent equities broadly higher and
allowed growth shares to regain some of their earlier momentum.
The Series weathered the volatility well and outperformed the S&P 500. Gainers
included semiconductor positions Texas Instruments, Inc. and Vitesse
Semiconductor Corp., both of which have developed a unique and profitable niche
in what was once considered a commodity business. Enron Corp.was another strong
performer as the company's unique approach to power generation and distribution
continued to impress investors.
A number of our cable and media positions also gained during the quarter. The
cable industry is undergoing a significant transformation that has repositioned
cable television lines as a two-way "fat pipe" into the home capable of
providing services ranging from traditional telephony and video-on-demand to
high speed Internet access. We believe that this transformation has enormously
increased the value of existing cable systems, a fact demonstrated during the
period by AT&T's seemingly lavish bid for cable provider MediaOne. Our position
in Comcast, the national cable provider that was edged out by AT&T in the
bidding war for MediaOne, gained as investors cheered the rich break-up fees
and subscriber concessions paid to Comcast by AT&T. International cable
operator United International Holdings also gained, while the Series' position
in Liberty Media Group rose as investors recognised the increasing value of
media content as the convergence of telecommunications, cable television and
the Internet became reality.
While we were pleased with the strong performances of most of the Series'
holdings, there were a few disappointments. Amazon and America Online were
caught in the volatility associated with the Internet sector early in the
period, but we remain committed to these stocks and are extremely impressed by
the successful brand each has built within the rapidly growing Internet space.
We are confident that our thorough research has identified companies capable of
sustainable growth when the extreme amount of emotion surrounding Internet
investments--evidenced by the sector's recent volatility--finally dissipates.
Our confidence in our research process has enabled us to maintain, and in
certain cases even build, our exposure to these companies.
Looking forward, we will continue to explore new opportunities in technology,
communications and other sectors of the economy. While we were encouraged by
the Federal Reserve's restraint, further rate increases are a possibility and
we are monitoring developments closely. Meanwhile, we remain committed to
finding individual companies that are capable of performing well in any
economic environment.
Janus Capital Corporation
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
Since 8/14/1998 (Inception) 39.47%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 21.70%
</TABLE>
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 1, 1999 Janus Capital Corporation became the Portfolio Manager of the
Series. Prior to that date the Series had been advised by other Portfolio
Managers.
*On February 16, 1999 the Board of Trustees approved a change in name of the
Value + Growth Series to the Growth Series.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Nokia Oyj, Sponsored ADR 6.7%
2. Amazon.com, Inc. 6.0%
3. AT&T Corp.--Liberty Media Group, Class A 5.1%
4. Time Warner, Inc. 3.7%
5. Enron Corporation. 3.7%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Technology 34.2%
2. Consumer Cyclical 28.0%
3. Consumer Non-cyclical 6.5%
4. Financial 5.6%
5. Energy 3.9%
</TABLE>
10
<PAGE>
The GCG Trust
Value Equity Series
The Value Equity Series (the "Series") seeks to achieve capital appreciation
and, secondarily, dividend income. The Series had a 1999 year-to-date return of
10.52% through June 30. Over the same time period, the Standard & Poor's 500
Index had a return of 12.38%.
The Series employs a "deep value" investment style focusing on companies whose
stock has temporarily fallen out of favor. The stocks of such companies are
typically priced at a discount to their estimated intrinsic value and have a
low price/earnings ratio, low price/book ratio, high dividend yield and low
price volatility.
If 1998 was the year of the "value trap," then 1999 is emerging as the year of
the "value gap." In 1998 and the first quarter of 1999, inexpensive stocks got
cheaper while expensive stocks got more expensive. This led to a huge valuation
gap. Early in the second quarter of 1999, however, as the global economy began
to improve, fear of an overheating economy drove long-term interest rates up
and caused many investors to abandon expensive high tech growth stocks in favor
of more mundane, less expensive value names. This roll over in market
leadership helped to close the valuation gap considerably as the performance of
certain value stocks caught up with and ultimately surpassed the performance of
growth stocks.
The Series' paper, chemical and heavy machinery holdings were but a few of the
beneficiaries of this transition in market leadership. The energy sector also
performed particularly well as oil prices started to rise in March, on
anticipation of production cuts from OPEC, and continued their upward trend
recently reaching close to $20 per barrel. Merger activity and consolidation
among many of the world's largest energy companies also contributed to the
strength in this sector and the Series.
As the second quarter came to a close, we saw the Federal Reserve increase the
Federal Funds rate by 0.25 percent. The equity markets reacted very positively
to the rate hike, particularly since the Federal Reserve also adopted a
"neutral bias" following the rate increase. As we enter the second half of the
year, the U.S. economy is showing some early signs of cooling. If the economy
continues to moderate, we believe it would be positive for the equity markets,
because it would relieve the upward pressure on interest rates. Additionally,
if the recent strengthening in the Asian and Latin American markets continues,
we believe that the market broadening we witnessed in the first half of the
year should continue to benefit value stocks as we head into the next
millennium.
Eagle Asset Management, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 11.54%
Since 1/3/1995 (Inception) 18.43%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 10.52%
</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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Koninklijke (Royal) Philips Electronics
N.V. 3.3%
2. International Business Machines Corpora-
tion 3.2%
3. Du Pont (E.I) de Nemours and Company 3.2%
4. Fortune Brands, Inc. 3.2%
5. Waste Management, Inc. 3.1%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Financials 23.1%
2. Capital Goods 11.5%
3. Energy 9.8%
4. Healthcare 9.5%
5. Technology 9.2%
</TABLE>
11
<PAGE>
The GCG Trust
Research Series
The Research Series (the "Series") seeks to achieve long-term growth of capital
and future income. For the six months ended June 30, 1999, the Series provided
a total return of 9.31%. This compares to a 12.38% return for the Standard &
Poor's 500 Index (the "S&P 500") and 10.34% for the Russell Mid-Cap Index for
the same period.
The Series currently has a light position, relative to the S&P 500, in large-
cap growth stocks and heavy positions in small- and mid-cap stocks, whose long-
term opportunities we think are more attractive. Small- and mid-cap stocks are
selling at much cheaper prices relative to earnings than large-cap growth
stocks. Stocks with lower prices relative to earnings are less vulnerable to
negative events such as earnings disappointments or a broad market downturn. We
think the companies in the Series will see higher growth rates than many of the
large-cap stocks. At the same time, we are avoiding Internet stocks or other
companies trading at what we see as unsustainably high prices relative to their
earnings.
Three industry sectors have helped performance: financial services, leisure,
and technology. The Series' gains in financial services largely came from
brokerage and investment banking stocks. Specifically, the Series had large
holdings in Morgan Stanley Dean Witter & Co. and Merrill Lynch, both of which
are well managed and experienced in the markets they serve. Companies around
the world are using firms like Morgan Stanley and Merrill Lynch to help arrange
the mergers and acquisitions.
Most of the Series' leisure stocks are in the restaurant industry. For the past
dozen years restaurants, particularly the national chains, generally have been
poor investments because the number of new ones has exceeded demand. However,
in the past year or so restaurants such as McDonald's Corp. have stopped adding
domestic capacity. Now, the U.S. economy is strong, and people are eating out
more often. The result is greater demand at existing restaurants and higher
profits.
The leading contributors to technology performance were semiconductor
companies. The semiconductor industry was hurt in 1998 by the Asian economic
slowdown as well as by the fact that it had built up its manufacturing
capability to a point at which there was too much supply in some market
segments, so prices came down. Now, demand is beginning to catch up with supply
and Asia seems to be recovering, both of which helped semiconductor companies.
A few of the Series' retailing holdings have underperformed. Although the
retailing environment has been very good and Dayton Hudson, the department
store chain, has performed well, the Series was hurt by two stocks, Rite Aid
Corp. and CompUSA Inc. The Series had a significant position in Rite Aid
because we believe that as the population ages people will use more
prescription medicines. However, Rite Aid opened a number of stores in a short
period of time and underestimated the costs of closing old stores. The company
also had inventory and accounting problems. Over the long term, however, we
believe Rite Aid will continue to benefit from increasing prescription sales.
CompUSA, meanwhile, is losing computer and software sales to companies that
sell over the telephone or on the Internet. Also, some business customers, who
tend to buy more expensive equipment, are cutting orders to prepare for any
Year 2000 (Y2K) computer problems. By the end of this year, we think the Y2K
issue will largely be resolved, and the company should perform better.
Looking ahead, we see a continuation of a low-inflation, low-interest-rate
environment, which would mean steady economic growth and a strong consumer
sector. However, we expect the U.S. economy to slow from its rapid pace of the
past few quarters and the S&P 500's average growth rate to fall to single
digits this year. Given that earnings growth is falling while stock prices are
rising, we do not believe prices of many companies, particularly the big ones,
are attractive. Therefore, the Series is avoiding companies with declining
earnings and, instead, is focusing on companies with at least flat to
accelerating growth.
Massachusetts Financial Services Company
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
Since 8/14/1998 (Inception) 25.19%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 9.31%
</TABLE>
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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Microsoft Corporation 4.6%
2. Tyco International Ltd. 3.0%
3. United Technologies Corporation 2.6%
4. MCI WorldCom, Inc. 2.4%
5. Oracle Corporation 2.3%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Technology 23.8%
2. Financials 16.1%
3. Health Care 10.7%
4. Utilities & Communication 9.5%
5. Consumer Staples 8.7%
</TABLE>
12
<PAGE>
The GCG Trust
Market Manager Series
The Market Manager Series (the "Series") seeks favorable equity market
performance and preservation of capital. For the six months ended June 30,
1999, the Series had a total return of 8.97%. Over the same time period, The
Standard & Poor's 500 Index and Russell Midcap Index had returns of 12.38% and
10.34% , respectively.
The Series began operations on November 14, 1994. At the same time, all funds
were invested in short-term money market securities. On March 6, 1995, the
Series was closed to further investment, and the 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 series to track the performance of the
equity markets. The debt securities provide some degree of capital protection.
ING Investment Management, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 19.47%
Since 11/14/1994 (Inception) 23.97%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 8.97%
</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.
Top Five Non Cash Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. S&P 500 European 37.0%
2. U.S. Treasury Strip, 3.032% due
02/15/2001 29.8%
3. S&P Midcap Companies Index 400 European 27.6%
4. Cabco (Texas Capital), zero coupon due
10/01/2001 2.7%
5. Philip Morris Companies, Inc., 6.000%
due 07/15/2001 1.8%
</TABLE>
Top Four Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Call Options Purchased 64.6%
2. U.S. Treasury Strip, 3.032% due
02/15/2001 29.8%
3. Financial Services 2.7%
4. Industrial 1.8%
</TABLE>
13
<PAGE>
The GCG Trust
Mid-Cap Growth Series
The Mid-Cap Growth Series (the "Series") seeks to achieve long-term growth of
capital. For the six months ended June 30, 1999, the Series had a total return
of 21.27%. This compares to a 9.28% return over the same period for the Russell
2000 Index, and 10.34% for the Russell Midcap Growth Index.
Until early April, a narrow band of about 50 large-company stocks beat the rest
of the stock market by a wide margin, partly because investors were seeking
less volatility at a time of global market turmoil. That situation has changed
over the past couple of months. Investors, apparently tired of paying
excessively high prices for a few big companies with relatively slow growth
rates, have found more attractive prices in mid-cap and small-company stocks.
The Series' relative performance can be largely attributed to strong stock
selection in the Technology, Leisure and Healthcare sectors. Gemstar
International Group, the Series' top leisure holding, contributed significantly
to the absolute return, gaining 73% in the quarter. The security continues to
benefit from healthy growth and is up 127% year-to-date.
Semi-conductor and Internet-related holdings led the Technology sector's
relative out-performance in the quarter. Leaders in the overweighted semi-
conductor segment include Teradyne, Inc. and KLA-Tencor Corp. Edify Corp., a
leading provider of Internet self-service software, announced an acquisition by
Security First in May, resulting in a 145% return over the last quarter.
VeriSign, Inc., an Internet-related Business Services holding, is the leading
provider of encrypted digital Internet IDs.
Within the Technology sector, software holdings are underweight the Index, as
these companies are currently experiencing lock-down impacts resulting from Y2K
concerns.
The Series also benefited from holdings in the overweighted Healthcare sector.
Total Renal Care Holdings, Inc., the Series' largest healthcare holding,
rebounded from a first quarter earnings disappointment to return nearly 50% in
the second quarter. Another leading healthcare performer continues to be Cytyc
Corp., up 40% for the quarter.
A few sectors experienced weighting shifts during the last six months. Buyout
activity in Retailing, including the acquisition of Fred Meyer by Kroger in
June, prompted a decrease in the overall sector weight. The Energy sector
weight was increased to roughly 8.5%, with new names in the gas segment
including Newfield Exploration Co. and The Houston Exploration Co.
Massachusetts Financial Services Company
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
Since 8/14/1998 (Inception) 40.82%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 21.27%
</TABLE>
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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Gemstar International Group, Ltd. 8.4%
2. Network Solutions, Inc., Class A 5.0%
3. SportLine USA, Inc. 4.3%
4. Total Renal Care Holdings, Inc. 4.3%
5. IDEXX Laboratories, Inc. 3.0%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Health 25.2%
2. Technology 19.6%
3. Miscellaneous 18.9%
4. Leisure 11.2%
5. Energy 7.7%
</TABLE>
14
<PAGE>
The GCG Trust
All-Growth Series
The All-Growth Series (the "Series") seeks capital appreciation. For the first
half of 1999, the Series returned 26.15%. Over the same period, the Russell
Midcap Index had a total return of 10.34%.
Favorable sector weightings and stock selection are the two major factors which
lead to the large outperformance. The Series' most heavily weighted sector, at
40%, is technology. For the first half of 1999, this sector contributed well
over half of the Series' positive performance. Semiconductors,
telecommunication equipment, Internet services and contract manufacturing
companies all participated in this rally due to robust expectations for first
and second quarter earnings. The Series' representation in software is small
due to concerns over Year 2000 demand imbalances. The consumer cyclical sector,
which comprises mostly retailers, was the next largest contributor to Series'
performance in the first half of 1999. No one stock drove the overall
performance, but again, strength was broad among holdings. Health care and
business services were the only sectors to produce negative returns during the
first half and their effect was minimal.
U.S. economic outlook continues to be positive by most measures. The GDP report
for the first quarter of 1999 surprised everyone when it came in at a healthy
4.5%. At 4.3%, unemployment remains near a 30-year low. Despite the continued
tight labor market, wage inflation does not appear to be a significant threat,
according to the employment cost index. Productivity remains high. After a
scare in May, the CPI number release in June was zero. At its June 30th Open
Market Committee meeting, the Federal Reserve raised interest rates one-quarter
point and adopted "a directive that included no predilection about near-term
policy action".
Although large capitalization stocks have surpassed their smaller brethren
year-to-date, the second quarter provided an environment where small stocks
beat mid-size stocks which beat large caps. Growth stocks, other than having a
tough May, have led the market higher for the year across all capitalizations.
The business outlook for technology firms can change quickly. We believe that
investment managers need to be able to react quickly to, as well as anticipate,
the changing landscape of this sector. At no time is this more likely to be
true than in 1999, when Year 2000 issues will cause more opportunities and more
disappointments than in a typical year. The Series will continue to be actively
managed and repositioned as the event unfolds.
We continue to like the long-term prospects of the mid-cap growth companies we
own. Superior technologies, services, balance sheets, business models and
ability to execute are all characteristics commonly found in top quality growth
companies that we believe contribute to sustained, above-average growth rates.
Many investors have been anxiously waiting for the rebound in small/mid
capitalization stocks. We are encouraged with their recent outperformance and
there is much evidence to suggest their relative performance will continue to
be strong.
Pilgrim Baxter & Associates, Ltd.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 25.33%
5 Year 12.25%
10 Year 7.72%
Since 1/24/1989 (Inception) 8.02%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 26.15%
</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 Pilgrim Baxter & Associates, Ltd. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Inktomi Corporation 3.4%
2. Outdoor Systems, Inc. 3.3%
3. Broadcom Corporation, Class A 3.1%
4. Xilinx, Inc. 3.0%
5. Premier Parks, Inc. 2.8%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Technology 39.5%
2. Consumer Cyclicals 15.9%
3. Industrial 12.9%
4. Services 9.9%
5. Healthcare 7.0%
</TABLE>
15
<PAGE>
The GCG Trust
Growth Opportunities Series
The Growth Opportunities Series (the "Series") seeks to achieve capital
appreciation. For the six months ended June 30, 1999, the Series had a return
of 18.43%. The Standard & Poor's 500 Index (the "S&P 500") and the Russell
Midcap Index had returns of 12.38% and 10.34%, respectively.
The Series' strong relative returns resulted from its positioning going into
the quarter. In the past several years, results for the S&P 500 have been
fueled by the greatest growth stock speculation we have ever witnessed. Today,
roughly two-thirds of the market capitalization of the S&P 500 has an average
P/E (price to earnings) ratio above 40. By contrast, the market's historical
P/E multiple has typically been less than 20, even during periods of robust
economic growth combined with low inflation. Furthermore, these historically
high valuations are based on company earnings which are themselves at historic
highs (i.e., record net profit margins for the high valuation companies). Our
strategy, in contrast, involves seeking out companies that are undergoing
positive fundamental change and are attractively valued. This led the Series to
recently be overweighted in basic materials, global industrial stocks and
smaller capitalization issues.
Portfolio stocks that performed particularly well during the quarter included
Alcoa, Inc. and Dow Chemical Co. Alcoa, a good example of one of the Series'
commodity sector holdings, is the world's leading aluminum producer. While
prices of aluminum were depressed, the company had undergone significant
restructuring to enable it to grow earnings even during periods of weak
commodity prices. As a result, any aluminum price increase will contribute
directly to profits, a fact that is now being recognized by the market.
Similarly, Dow Chemical, a long-term holding in the portfolio, is another
beneficiary of restructuring efforts and stronger world growth.
During the quarter, we added the stock of Lockheed Martin Corp., the leading
U.S. defense contractor. The company is the technological leader in satellite
manufacturing, launch services, defense electronics and federal information
services. After a series of fundamental disappointments, we believe the company
has reached a depressed P/E level on normalized earnings and would benefit from
announced restructuring moves. Also, the war in Kosovo and a federal surplus
both should serve as catalysts. Military stockpiles have been depleted,
military preparedness appears to be at historical low levels, and for the first
time in thirteen years the U.S. defense budget is being increased.
We have taken the opportunity to trim or eliminate stocks we believe have
become fully valued, specifically technology stocks Comverse Technology, Inc,
Motorola, Inc. and Nokia Corp. We believe that in spite of the rally in stocks
owned in the portfolio, the holdings continue to be attractively valued
compared to their long-term fundamentals. We believe that companies such as
Alcoa are global players, and still have a lot of leverage to improving prices
as world economic growth begins to accelerate.
Montgomery Asset Management, LLC
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 12.26%
Since 2/18/1998 (Inception) 11.33%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 18.43%
</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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Alcoa, Inc. 4.0%
2. The Dow Chemical Company 3.1%
3. Amerada Hess Corporation 3.0%
4. Boise Cascade Corporation 3.0%
5. Golden West Financial Corporation 2.8%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Materials & Processing 21.4%
2. Technology 13.0%
3. Capital Goods 11.2%
4. Business Services 10.0%
5. Transportation 9.0%
</TABLE>
16
<PAGE>
The GCG Trust
Strategic Equity Series
The Strategic Equity Series (the "Series") seeks to achieve capital
appreciation. The Series had a total return of 10.14% for the six months ended
June 30, 1999. Over the same time period, the Russell Midcap Index had a return
of 10.34% and the Russell 2000 Index had a return of 9.28%.
AIM Capital Management, Inc. became subadviser on March 1, 1999 and performance
for the four months ended June 30, 1999 was 17.28% versus 14.33% for the
Russell Mid-Cap Index and 17.36% for the Russell 2000 Index. The market during
this period has at its foundation the resilient performance of the U.S.
economy, as evidenced by an exceptional rebound in corporate earnings following
the economic and financial turmoil which characterized much of 1998. Indeed,
the current expansion in the U.S. has just celebrated a most significant
milestone as this expansion is now 100 months in duration and is poised to
become the longest economic expansion in U.S. history. The dynamics of 4% Gross
Domestic Product growth, combined with benign inflation should not be
underestimated and the investment implications are highlighted in our
commentary.
The substantial improvement in economic activity has had a most beneficial
impact upon the Series as our stock selection process maintained a succinct
focus upon companies which possessed the ability to capitalize upon favorable
trends due to their competitive position. In particular, portfolio holdings in
both the consumer cyclical and technology sectors were standout performers for
your account. First, in regard to the consumer cyclical holdings, the U.S.
consumer has remained one of the few bastions of strength and consistency as
global economic softness in 1998 translated directly into both lower commodity
prices and lower import prices, thus allowing the consumer sector to gain
greater purchasing power. Secondly, three successive reductions in interest
rates on the part of the Federal Reserve Board further augmented consumer
spending, thus contributing to the favorable macro environment for many of our
holdings. However, it must be noted that individual company dynamics remained
crucial as not all companies benefited or were capable of capitalizing upon
these trends. The second principal driver of portfolio performance during this
time frame was our large commitment to specific areas of technology,
principally telecommunications, computer services and computer software which
continue to benefit from the desire of corporations to enhance productivity and
capitalize upon the growing internet market. Corporate restructuring combined
with global competition mandates continued investment in new product
development, and as a result of our portfolio selection the fund obtained
superior appreciation from our reliance upon technology issues.
Analysis of our holdings reveals that nearly 70% of the fund was represented by
holdings in the consumer cyclical and technology sectors of the market.
Likewise, it is also apparent that slower growth areas such as utilities,
consumer staples, basic materials, healthcare and financials were
underweighted. At the end of the quarter, the Fund maintained 131 individual
holdings, a median market capitalization of $3.3B and a stellar +32% EPS growth
on a Y/Y basis for the most recent quarter. Furthermore, our focus upon
companies in the mid capitalization arena received a favorable market response
as the dynamics of these companies were rewarded by a broadening of market
participation beyond the large capitalization issues which dominated market
returns in 1998.
AIM Capital Management, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 4.19%
Since 10/2/1995 (Inception) 14.09%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 10.14%
</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 1, 1999 AIM Capital Management, Inc. became the Portfolio Manager of
the Series. Prior to that date the Series had been advised by another Portfolio
Manager.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. VeriSign, Inc. 1.1%
2. QLogic Corporation 1.1%
3. SFX Entertainment, Inc. 1.0%
4. Uniphase Corporation 1.0%
5. MIPS Tachnologies, Inc., Class A 0.9%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Technology 40.3%
2. Consumer Cyclical 26.6%
3. Financials 9.1%
4. Consumer Staples 6.8%
5. Healthcare 6.4%
</TABLE>
17
<PAGE>
The GCG Trust
Capital Appreciation Series
The Capital Appreciation Series (the "Series") seeks to achieve long-term
capital growth. For the six months ended June 30, 1999, the Series had a return
of 9.84%. Over the same time period, the Standard & Poor's 500 Index (the "S&P
500") had a total return of 12.38%.
AIM Capital Management, Inc. became subadviser on April 1, 1999 and performance
for the three months ended June 30, 1999 was 5.47% versus 6.70% for the S&P
500. Investment management during the initial transition period took place amid
volatile equity markets which were characterized by rapid group and sector
rotation. Additionally, steady improvement in corporate earnings and growing
optimism about global expansion served to create an environment whereby value
outperformed growth, small cap outperformed large cap and previously laggard
groups such as energy and basic materials became market leaders.
Despite this volatile market environment we have maintained our disciplined
strategy of finding quality companies with under-appreciated earnings growth.
We continue to find the majority of our opportunities in the technology and
consumer cyclical sectors. The explosive Internet economy has led to strong
earnings momentum in technology and communications companies that support the
infrastructure of the Internet. In addition, Internet-driven productivity
improvements and new revenue opportunities can be found across multiple
sectors. The digital product revolution and the extension of cable TV companies
into additional services have provided attractive opportunities in the retail
and media/entertainment sectors. We remain more cautious in the healthcare,
financial and the traditional cyclical sectors where the sustainability of
earnings growth is less certain.
The Fund presently contains seventy-six individual securities holdings and the
portfolio transition process has been successfully implemented. Of the original
sixty-one names in the Series, twenty-two issues were retained and thirty-nine
eliminated. We remain most optimistic in our outlook for the financial markets
over the balance of the year and believe that the disciplined strategy of the
Fund is well positioned to achieve our performance goals.
AIM Capital Management, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 10.66%
5 Year 20.52%
Since 5/4/1992 (Inception) 16.33%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 9.84%
</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 April 1, 1999 AIM Capital Management, Inc. became the Portfolio Manager of
the Series. Prior to that date the Series had been advised by another Portfolio
Manager.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Nokia Oyj, Sponsored ADR 4.7%
2. MCI WorldCom, Inc. 4.4%
3. Pharmacia & Upjohn, Inc. 3.4%
4. American International Group, Inc. 3.3%
5. Guidant Corporation 3.2%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Technology 22.8%
2. Consumer Staples 19.3%
3. Consumer Cyclical 15.5%
4. Financials 13.6%
5. Healthcare 11.9%
</TABLE>
18
<PAGE>
The GCG Trust
Small Cap Series
The Small Cap Series (the "Series") seeks long-term capital appreciation. The
Series had a total return of 17.09% for the six months ended June 30, 1999. The
Russell 2000 Index (the "Index") had a total return of 9.28% for the same
period.
During the first quarter of 1999, after fluctuations amid profit taking, the
stock market approached the 10,000 level late in the quarter, before finally
closing over 10,000 on March 29. At the same time the economy was robust,
interest rates and inflation were at low levels, and we were seeing the
beginnings of a technological revolution led by the Internet. All of these
factors contributed to a solid quarter for the Series and the stock markets in
general. Technology and specifically Internet stocks were among the Series'
best performing holdings, bolstering the performance for the quarter.
Posting a return of 7.2% for the first quarter, versus (1.7)% for the Index,
the Series took advantage of the rally in technology stocks, with holdings such
as Excite Inc. (+232.8% return), Ebay Inc. (+70.8%), Amazon.Com (+60.8%),
Intuit, Inc. (+40.3%) and ASM Lithography Holding (+47.5%) which accounted for
over 16% of the Series.
The second quarter also saw the stock market approach new heights, crossing the
11,000 boundary during the period, only to close slightly below that level.
Internet stocks also played a prominent role during the quarter, this time
reversing the trend of the previous quarter, in some cases, posting huge
losses. Inflation remained one of the paramount concerns in the market as the
Fed shifted to a tightening bias at the May 18th meeting. Subsequently, at the
June meeting the Fed raised rates a quarter of a point, but shifted back to a
neutral bias. The economy was still robust, although there were signs of
slowing. All of these factors contributed to a challenging quarter for the
Series. Overall, however, the small cap stocks performed much better this
quarter than in recent quarters, and better than their larger cap peers.
During the second quarter, the Series performance did suffer, due to the
relatively poor performance of its financial sector holdings, an underweighting
in the health care sector and the poor performance of several Internet and
related holdings. Strong performance by several holdings in the Series -
Skywest Inc. (+72.7), PRI Automation Inc. (+72.6%), Dendrite International Inc.
(+61.9%), IDEC Pharmaceuticals (+50.0%) and Antec Corp. (+49.1%) helped buoy
performance. Quarterly returns for the Series were 9.7% vs. 14.8% for the
Index.
Looking ahead, while the economy still appears to be robust, there are signs of
slowing. Interest rates on the long end of the market should be considerably
lower by year-end. We believe that this should spark a year-end rally, pushing
the market to a close of 11,500. Continuing forward, we will continue to seek
out and invest in companies that we feel will grow their earnings rapidly and
consistently.
Fred Alger Management, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 20.94%
Since 1/3/1996 (Inception) 19.77%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 17.09%
</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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Linens 'N Things Inc. 3.3%
2. CNET, Inc. 3.2%
3. Medquist Inc. 3.2%
4. Intuit Inc. 3.1%
5. Broadcast.com Inc. 3.1%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Technology 33.0%
2. Consumer Cyclicals 32.0%
3. Consumer Staples 16.2%
4. Healthcare 6.3%
5. Capital Goods 6.1%
</TABLE>
19
<PAGE>
The GCG Trust
Real Estate Series
The Real Estate Series (the "Series) seeks capital appreciation and,
secondarily, current income. For the six months ended June 30, 1999, the Series
had a total return of 4.79%. Over the same time period, the Wilshire Real
Estate Securities Index had a total return of 6.78%.
Beginning in early April the real estate securities market rallied sharply from
extremely oversold valuation levels. With the shares trading at discounts to
their net asset value of nearly 20%, it was only a matter of time before
investors re-discovered the bargains in the real estate sector. Many pundits
credited the announcement of Warren Buffett's investments in a few small REITs
for the change in investor sentiment, but we believe larger forces were at
work. Beginning eighteen months earlier, the word "deflation" returned to the
vernacular of investors after a fifty-year hiatus. This fear, coupled with
expectations of a slowing economy, caused investors to avoid cyclical stocks
and hard assets. However, recent economic growth has remained strong. With the
potential for a synchronized global acceleration and creeping re-inflation
(primarily from tight labor markets), investor concerns have turned 180
degrees. In response, both cyclical and real estate stocks have recovered
smartly.
Even with the recovery of share prices from their recent lows, overall
valuation levels remain attractive. At the present time, we view real estate
securities as slightly undervalued, trading at modest discounts to net asset
values. With real estate fundamentals in equilibrium, the valuations relative
to direct real estate are expected to remain stable. Looking forward, we expect
that current income will be a more important component of total return than it
has over the past several years. It is our view that the role of real estate
securities is to provide income and a certain stability in the context of
attractive total returns. The current state of affairs is consistent with our
expectations. We are finally seeing REIT pricing multiples widen as the market
differentiates between those companies with distinctive management, properties
or geographic focus versus those with more commodity-like portfolios. The more
highly valued companies maintain a competitive advantage through a lower cost
of capital. The lower valued companies may opt to merge or restructure. These
trends provide more opportunities to add value through active management of a
real estate securities portfolio over a passive investment approach.
The rate of cash flow growth for public real estate companies has been
gradually slowing since mid-1998 as external growth opportunities have been
abating. We believe this trend will continue as rates of cash flow growth
return to "normalized" levels of 6-8% over the next two years. Nevertheless,
during the first quarter of 1999 average cash flow growth was still a healthy
11% - 150 basis points better than expected. Modestly levered internal growth
provided 75% of this quarterly increase as demand for real estate throughout
the economy remained solid.
In general the outlook for real estate supply has improved. The lending crunch
that occurred in 1998 reduced new construction levels for most property types.
When lenders returned, they did so with more conservative underwriting
criteria. We think this condition will continue through the remainder of the
year.
EII Realty Securities, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year (5.42)%
5 Year 12.29%
10 Year 9.49%
Since 1/24/1989 (Inception) 9.66%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 4.79%
</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, EII Realty Securities, Inc. became Portfolio Manager for
the Series. Prior to that date the Series had been advised by another Portfolio
Manager.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Equity Office Properties Trust 4.9%
2. Simon Property Group, Inc. 4.6%
3. Reckson Associates Realty Corporation 4.5%
4. Kimco Realty Corporation 4.2%
5. Equity Residential Properties Trust 3.6%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Office/Industrial 32.3%
2. Apartments 14.9%
3. Regional Malls 12.7%
4. Shopping Centers 12.7%
5. Manufactured Housing 12.7%
</TABLE>
20
<PAGE>
The GCG Trust
Hard Assets Series
The Hard Assets Series (the "Series") seeks to achieve long-term capital
appreciation. For the six months ended June 30, 1999 the Series had a total
return of 21.25%. For the same period, the Standard & Poor's 500 Index (the
"S&P 500") had a total return of 12.38% and the Russell 2000 Index had a total
return of 9.28%.
Baring International Investments Limited became subadviser of the Series on
March 1, 1999 and performance for the four months ended June 30, 1999 was
26.80% versus 11.33% for the S&P 500 and 17.36% for the Russell 2000 Index. The
US's economy continued to grow in the first six months of 1999. There is now a
general consensus that the global economy is past the worst of the problems
experienced during the 4th quarter of 1998. Looking at commodities as a leading
indicator, confirmation of an improvement in the economic outlook for Asia and
Japan is emerging, where double digit declines in consumption have reversed to
record positive growth in most countries on a year on year basis.
Of the major events in the commodities sector, the largest effected has been
the energy sector. After OPEC's agreement to cut production by 1.5-million
barrels/day in February, 1999 did not change the direction of the oil price.
OPEC in March 1999 again agreed to reduce global output by another 2.1 million
barrels/day. Following this implementation, oil prices rallied from below
US$11.00 and are currently at US$20.00/barrel. A shrinking inventory-to-
consumption ratio and surprisingly strong US demand-market will help to
maintain the current price environment into 2000. World economic growth is
expected to assist holding the oil price at current levels and could even see
the price rise well above the US$20.00 level. We are therefore maintaining our
50% allocation to the energy sector.
Overshadowing the precious metals sector was the Bank of England's announcement
to sell part of its gold reserves. The metal continues on its downward trend
and is now, at US$255.50 an ounce, at 20 year low. It seems that gold is
heading for a reappraisal and that it is loosing its status of being a monetary
metal and becoming a commodity. We have reduced our position in gold
significantly and now hold about 3% in that asset class. On the other hand, the
platinum group is a positive. Strong fundamentals and consumers willingness to
build stock should ensure that demand remains firm. About 5% of the Series is
allocated to Platinum.
The market sentiment for metals has turned more bullish and we believe that
prices are at their cyclical lows. Supply cutbacks, such as BHP's announcement
to cut copper output and close production facilities, inventories running at
all-time lows, and improving economic indicators should raise expectations in
this sector. The cyclical low can be seen as an opportunity for companies to
become efficient and has "cleansed" the market. The "survivors", well-managed,
cost-efficient companies with strong fundamentals, such as Alcoa, Inc. (we hold
5% in the Series), are the first to benefit from further price increases,
making us feel bullish on this segment.
In short, we believe that healthy economic fundamentals, cutbacks in
production, and low inventories are positive for the industry's future.
Further, bond prices are weak, either indicating fear of inflation or increased
economic activity. Either is good for resources. We prefer and see activity and
believe the world economy has moved onto a recovery trend. Also, the World Wide
Web poses an opportunity for the resources industry. As middlemen are
eliminated, prices will fall and demand should rise. We are still bullish on
this sector.
Baring International Investment Limited
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year (2.28)%
5 Year 6.91%
10 Year 7.18%
Since 1/24/1989 (Inception) 6.82%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 21.25%
</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 1, 1999, Baring International Investment Ltd. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by other
Portfolio Managers.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Atlantic Richfield Company (ARCO) 6.7%
2. Exxon Corporation 6.5%
3. Alcoa, Inc. 5.3%
4. Mobil Oil Corporation 4.4%
5. Anglo American Platinum Corporation 3.9%
</TABLE>
Top Five Sectors as of June 30, 1999
<TABLE>
<S> <C>
1. Energy 54.8%
2. Base Metals 22.8%
3. Precious Metals 11.2%
4. Soft Products 10.8%
5. Other 0.4%
</TABLE>
21
<PAGE>
The GCG Trust
Managed Global Series
The Managed Global Series (the "Series") seeks capital appreciation. The Series
had a total return of 7.19% for the six-month period ended June 30, 1999. Over
the same period, the Morgan Stanley Capital International All-Country World
Free Index had a return of 9.82%.
Global equities experienced dramatic changes in 1999. The combination of an
acceleration in U.S., Asian, and emerging markets economic growth, coupled with
a sustained increase in interest rates in the United States, led to a dramatic
shift in investor sentiment and a rapid, widespread market rotation. Investors
sold large-cap growth stocks, which offered more predictable earnings and had
dominated the market since mid 1994, to buy economically sensitive, cyclical
stocks. Money flowed into large-cap value stocks as well as into mid- and
small-cap stocks, areas that had previously lagged.
After enjoying heady gains for several previous quarters, European equities
suddenly stumbled in the first quarter of the new year amid sluggish economic
growth and reduced corporate earnings expectations. The already underperforming
stocks were further restrained by a weak currency. As a result, local currency
gains of 8.05% for the MSCI Europe Index during the semiannual period
translated to (2.41)% in U.S. dollars.
Conversely, Pacific Basin and emerging-markets countries, both laggards in
1998, boasted the most robust economies in the world in 1999. Sharp interest-
rate declines in late 1998 reliquified the struggling Asian economies, setting
the stage for this year's impressive recovery. Asian economies also benefited
as companies in the region responded to the recessionary environment by
increasing their restructuring efforts, focusing on return on equity and
profitability, and attempting to add value for shareholders. Despite a
beleaguered economy, Japan's equity market also staged a dramatic rally in
early 1999. Touched off by government spending initiatives, which at least
temporarily revived economic growth, and the aggressive restructuring efforts
by Japanese companies, the recovery received an added spark in the second
quarter from signs of a stronger-than-expected economy. Driven by competitive
currencies, robust M&A activity, and compelling valuations, emerging markets
were among the most vibrant markets in the world, led by Latin America and
Asia. Moreover, pro-growth monetary policies by central banks around the world
have reduced risk on a global basis, boosting investor tolerance for emerging
markets.
Country allocation was a mild negative as a result of overweighting Europe and
underweighting the robust Pacific Basin markets. Stock selection also was a bit
of a drag on performance given the rotation in the U.S. market toward value-
oriented cyclical stocks. Good stock selection in Japan did not completely
offset the less successful selection in Australia, the United Kingdom, and
Ireland.
Looking ahead, we expect the U.S. economy to continue to expand for the balance
of 1999. Despite the Fed's declared neutral stance, continued strong growth
could prompt additional interest-rate hikes to slow the economy toward year-
end. We will emphasize select consumer cyclicals, technology, and consumer
staples and underweight health care and energy. Continental Europe appears
poised for a rebound after sluggish economic growth in the year's first half.
The weak euro should benefit export-oriented economies such as France and
Germany. We believe the United Kingdom offers attractive opportunities as its
economy rebounds gradually from near-recession. We intend to selectively take
profits in our emerging-markets holdings and redeploy the assets in developed
markets, especially Europe, where we are relatively underweight; weakness in
the euro will enable us to invest at an attractive dollar cost. We remain
cautious regarding Japan. While we remain sensitive to individual stock
valuations, we continue to believe that emerging stock markets, particularly
those of Asia and Latin America, offer some of the world's best investment
opportunities.
Putnam Investment Management, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 14.86%
5 Year 12.59%
Since 10/21/1992 (Inception) 8.62%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 7.19%
</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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Nokia Oyj 2.5%
2. Microsoft Corporation 2.3%
3. General Electric Company 1.7%
4. Tyco International Ltd. 1.5%
5. International Business Machines
Corporation 1.4%
</TABLE>
Top Five Countries as of June 30, 1999
<TABLE>
<S> <C>
1. United States 45.8%
2. Great Britain 12.3%
3. Japan 10.3%
4. France 8.9%
5. Netherlands 2.6%
</TABLE>
22
<PAGE>
The GCG Trust
Developing World Series
The Developing World Series (the "Series") seeks to achieve capital
appreciation. During the six months ended June 30, 1999 the Series had a total
return of 29.31%. During the same period, the Morgan Stanley Capital
International Emerging Markets Free Index (the "MSCI Index") had a return of
39.87%.
Baring International Investments Limited became subadviser of the Series on
March 1, 1999 and performance for the four months ended June 30, 1999 was
34.41% versus 40.79% for the MSCI Index. Emerging Markets have delivered a
strong performance during the first six months of 1999. Sentiment towards the
asset class has improved significantly compared to last year. Growing
confidence about a recovery in global demand, fueling higher commodity prices
and allowing the risk premium to decline, attracted liquidity into the asset
class. We are positive about the major markets and we are comfortable
maintaining a fully invested position. We have changed the regional emphasis in
favour of Emerging Asia at the expense of Latin America. This is primarily due
to Emerging Asia's buoyant liquidity conditions as a result of sharp interest
rate declines.
The decision to add to the positions in Asia have been positive for the
performance. Despite the strong performance from the markets this year we
believe that the absolute size of Asian countries' current account surpluses
mean that domestic liquidity conditions should remain favourable and the de-
leveraging and re-capitalisation of the corporate and banking sectors will
continue. This in turn should benefit corporate earnings. The new money has
been focused in Korea. The stock market is benefiting from better than expected
industrial production data and the most powerful Government driven
restructuring story in Asia. In India share price weakness on the back of
concern about military activity in Kashmir was used to add to positions. The
domestic economy is showing signs of improvement and the chances are improving
that a strong government will take power after the elections this September.
In Latin America we have become more cautious in the short term as the region
is the most vulnerable to the rise in the external dollar cost of capital. The
regional weight has been reduced to neutral. The policy has been to favour
Mexico rather than Argentina or Brazil. The performance has been helped by the
decision at the beginning of the second quarter to build up positions in
cyclical companies and particularly the steel stocks in Brazil and Mexico.
Within the EMEA region we have also reflected our increasing confidence in the
nascent signs of a global recovery. This has resulted in an increased
investment in South Africa, a stock market heavily dominated by cyclical
companies. The Series reflects both cyclical and interest rate sensitive
stocks. Within Emerging Europe we have become increasingly cautious about
Greece as the market is extremely expensive relative to the fundamentals.
We remain positive about the outlook for the asset class and believe the benign
international environment will support continued liquidity flows into the area.
We are encouraged by signs of positive net fund flows into the asset class.
Baring International Investment Limited
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 15.42%
Since 2/18/1998 (Inception) (3.44)%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 29.31%
</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 1, 1999 Baring International Investment Ltd. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Pohang Iron & Steel Company Ltd., ADR
(Korea) 5.1%
2. Samsung Electronics, GDR (Korea) 4.1%
3. Asustek Computer Inc., GDR (Taiwan) 4.1%
4. Telefonos de Mexico S.A., Class L, ADR
(Mexico) 3.5%
5. Taiwan Semiconductor Manufacturing
Company Ltd., ADR (Taiwan) 2.9%
</TABLE>
Top Five Countries as of June 30, 1999
<TABLE>
<S> <C>
1. Mexico 15.5%
2. Korea 14.8%
3. S. Africa 9.6%
4. Taiwan 9.0%
5. Brazil 8.4%
</TABLE>
23
<PAGE>
The GCG Trust
Emerging Markets Series
The Emerging Markets Series (the "Series") seeks long-term capital
appreciation. The Series had a total return of 40.72% for the six-month period
ended June 30, 1999. Over the same period, the Morgan Stanley Capital
International Emerging Markets Free Index had a return of 39.87%.
Driven by competitive currencies, robust M&A activity, and compelling
valuations, emerging markets were among the most vibrant markets in the world,
led by Latin America and Asia. Moreover, pro-growth monetary policies by
central banks around the world have reduced risk on a global basis, boosting
investor tolerance for emerging markets.
In Latin America, the focus was on Brazil, which rallied from its currency
devaluation in January with double-digit monthly gains in U.S. dollar terms
later in the semiannual period. As confidence returned to the Brazilian
currency, Latin American economies stabilized and equity markets rallied.
During the second quarter of 1999, Asian markets also enjoyed phenomenal gains,
as evidenced by Indonesia (+121.6%), Malaysia (+67.5%), and Korea (+64.4%). The
surprisingly strong rally in Pacific Basin markets was touched off as sharply
lower interest rates in late 1998 reliquified economies and set the stage for
economic growth.
Disappointing performance came in Eastern Europe, especially in Hungary,
largely on fears that fallout from the conflict in Kosovo might negatively
affect the markets in coming months.
Our strong returns resulted from positive stock selection. Early in the six-
month period, the Series benefited from a heavy exposure to electronic stocks
in Taiwan and bank stocks in Greece. Later in the period, performance was
boosted by stock selection in Korea, especially the focus on liquid blue chips
such as steel maker Posco and electric utility Kepco. Stock selection in Mexico
also aided performance, including heavy weightings of telecommunications giant
Telmex and media company Televisa. On the negative side, stock selection in
Argentina restrained returns.
Performance was restrained by poor stock selection in Hungary, including meat
processor Pick Szeged, whose price fell by more than a third; and in India,
where the broad, value-oriented industrial stocks in the Series significantly
underperformed the growth consumer, technology, and pharmaceutical stocks,
which are heavily weighted in the index.
While we remain sensitive to individual stock valuations going forward, we
continue to believe that emerging stock markets, particularly those of Asia and
Latin America, offer some of the best investment opportunities in global
capital markets. While growth prospects in major Latin American economies are
expected to contract in the second half of 1999, the likelihood of regional
recovery in 2000 is strong. We are equally enthused about Pacific Basin
markets, which appear poised for continued expansion. However, slower growth,
deflation, and the threat of currency devaluation in China, coupled with
continued troubles in the Japanese economy, could restrain emerging markets in
the region.
Putnam Investment Management, Inc.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1999
<TABLE>
<S> <C>
1 Year 25.84%
5 Year (1.17)%
Since 10/4/1993 (Inception) (0.26)%
</TABLE>
AGGREGATE TOTAL RETURN
<TABLE>
<S> <C>
Year-to-Date 40.72%
</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.
Top Five Equity Holdings as of June 30, 1999
<TABLE>
<S> <C>
1. Telefonos de Mexico S.A., ADR 3.7%
2. Grupo Televisa S.A., GDR 2.7%
3. Taiwan Semiconductor Manufacturing
Company, Ltd. 2.5%
4. Korea Electric Power Corporation 2.1%
5. Samsung Electronics Company Ltd. 1.9%
</TABLE>
Top Five Countries as of June 30, 1999
<TABLE>
<S> <C>
1. Korea 13.3%
2. Mexico 12.9%
3. United States 12.7%
4. Taiwan 10.2%
5. Brazil 9.7%
</TABLE>
24
<PAGE>
Description of Comparative Indices
Lehman Brothers Government/Corporate Bond Index -- an index comprised of
U.S. government securities and investment grade corporate debt securities.
Lehman Brothers Intermediate Government/Corporate Bond Index -- an index
comprised of intermediate-term U.S. government securities and investment grade
corporate debt securities.
Merrill Lynch 1-5 Year Corporate/Government Bond Index -- an index comprised
of government and investment-grade corporate debt securities with remaining
maturities of one to five years.
Merrill Lynch Global Government Bond Index II -- an index comprised of
government bonds from major companies, including the United States.
Morgan Stanley Capital International All Country World Free Index -- an
index comprised of equity securities in countries around the world, including
the United States, other developed countries and emerging markets.
Morgan Stanley Capital International Emerging Markets Free Index -- an index
comprised of equity securities in emerging markets.
Russell 2000 Index -- an index representing the 2,000 smallest companies in
the Russell 3000 Index, which contains the 3,000 largest U.S. companies, based
on total market capitalization.
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.
Standard & Poor's 500 Index (S&P 500) -- an index composed of 500 U.S.
stocks.
Standard & Poor's Midcap 400 Index (S&P 400) -- and index composed of 400
mid-cap U.S. stocks.
Wilshire Real Estate Securities Index -- an equity index consisting of real
estate investment trusts (REITs) and real estate operating companies (REOCs).
25
<PAGE>
Statements of Assets and Liabilities
The GCG Trust
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Limited Global
Liquid Maturity Fixed Total
Asset Bond Income Return
Series Series Series Series
------------ ------------ ----------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and
4):
At identified cost......... $347,912,308 $181,462,412 $24,244,112 $578,590,133
============ ============ =========== ============
At value (a)............... $347,912,308 $179,830,786 $23,147,819 $614,548,913
Cash, including foreign
currency, at value......... 904 441,016 704,139 1,684,038
Receivables:
Shares of beneficial
interest sold............. -- -- -- --
Investment securities
sold...................... -- 2,154 -- 1,299,797
Receivable for forward
foreign currency contracts
(Note 1).................. -- -- 28,131 --
Receivable from Adviser.... -- 19,806 287 --
Dividends and/or interest.. 560,575 2,176,810 422,307 3,337,710
Other assets................ -- 5,716 900 --
------------ ------------ ----------- ------------
Total Assets.............. 348,473,787 182,476,288 24,303,583 620,870,458
------------ ------------ ----------- ------------
LIABILITIES:
Payables:
Investment securities
purchased................. -- -- -- 7,800,075
Payable for forward foreign
currency contracts (Note
1)........................ -- -- -- --
Options written (Premiums
received $50,398) (Note
1)......................... -- -- -- --
Accrued expenses and other
payables................... 1,265,400 56,559 16,761 95,961
------------ ------------ ----------- ------------
Total Liabilities......... 1,265,400 56,559 16,761 7,896,036
------------ ------------ ----------- ------------
NET ASSETS.................. $347,208,387 $182,419,729 $24,286,822 $612,974,422
============ ============ =========== ============
NET ASSETS consist of:
Paid-in Capital............. $347,212,935 $179,842,953 $25,282,003 $561,277,187
Undistributed net investment
income/(loss).............. -- 5,192,775 195,357 8,890,034
Accumulated net realized
gain/(loss) on securities,
futures contracts, written
options, forward foreign
currency exchange contracts
and foreign currency
transactions............... (4,548) (1,075,629) (95,663) 6,852,414
Net unrealized
appreciation/(depreciation)
on securities, futures
contracts, written options,
forward foreign currency
exchange contracts and
other assets and
liabilities denominated in
foreign currencies......... -- (1,540,370) (1,094,875) 35,954,787
------------ ------------ ----------- ------------
Total Net Assets.......... $347,208,387 $182,419,729 $24,286,822 $612,974,422
============ ============ =========== ============
Shares of beneficial
interest outstanding....... 347,218,817 17,083,480 2,366,465 36,924,601
============ ============ =========== ============
NET ASSET VALUE, offering
price and redemption price
per share of beneficial
interest outstanding....... $ 1.00 $ 10.68 $ 10.26 $ 16.60
============ ============ =========== ============
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
<TABLE>
<CAPTION>
Equity Fully Rising Growth & Value
Income Managed Dividends Income Growth Equity
Series Series Series Series Series Series
- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
$263,848,882 $245,277,557 $613,068,883 $372,346,341 $478,226,352 $120,319,398
============ ============ ============ ============ ============ ============
$283,774,765 $266,554,814 $754,251,993 $410,048,949 $545,212,749 $142,785,687
5,300,106 6,473,305 890 947,722 57,918 3,404
-- -- -- -- -- --
553,503 862,519 14,443,918 890,491 19,277,941 2,642,762
-- -- -- -- -- --
-- -- -- -- -- --
500,250 1,654,697 615,638 314,811 113,961 123,904
651 -- -- -- 21,940 --
- ------------ ------------ ------------ ------------ ------------ ------------
290,129,275 275,545,335 769,312,439 412,201,973 564,684,509 145,555,757
- ------------ ------------ ------------ ------------ ------------ ------------
62,631 1,960,755 8,861,065 195,187 8,809,274 1,507,071
-- -- -- -- 558,082 --
-- 70,313 -- -- -- --
4,447 4,005 10,461 114,705 5,616 2,046
- ------------ ------------ ------------ ------------ ------------ ------------
67,078 2,035,073 8,871,526 309,892 9,372,972 1,509,117
- ------------ ------------ ------------ ------------ ------------ ------------
$290,062,197 $273,510,262 $760,440,913 $411,892,081 $555,311,537 $144,046,640
============ ============ ============ ============ ============ ============
$240,852,852 $232,997,665 $585,271,172 $349,320,473 $462,426,870 $123,765,229
6,186,836 6,019,289 1,754,748 1,389,000 (440,023) 1,005,026
23,096,707 13,229,687 32,231,883 23,370,109 26,896,376 (3,189,904)
19,925,802 21,263,621 141,183,110 37,812,499 66,428,314 22,466,289
- ------------ ------------ ------------ ------------ ------------ ------------
$290,062,197 $273,510,262 $760,440,913 $411,892,081 $555,311,537 $144,046,640
============ ============ ============ ============ ============ ============
21,220,901 16,517,424 30,785,311 23,897,076 29,213,093 8,207,337
============ ============ ============ ============ ============ ============
$ 13.67 $ 16.56 $ 24.70 $ 17.24 $ 19.01 $ 17.55
============ ============ ============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Statements of Assets and Liabilities
The GCG Trust
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Market Mid-Cap All- Growth
Research Manager Growth Growth Opportunities
Series Series Series Series Series
------------ ---------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost........................................ $682,089,952 $3,209,989 $315,307,387 $ 91,908,677 $10,538,064
============ ========== ============ ============ ===========
At value (a).............................................. $802,589,609 $7,068,827 $375,579,279 $107,037,546 $12,455,002
Cash, including foreign currency, at value................. 749,317 92,484 97,559 -- 988,851
Receivables:
Shares of beneficial interest sold........................ -- -- -- -- --
Investment securities sold................................ 5,610,200 -- 728,977 16,003 --
Receivable for forward foreign currency contracts (Note 1).. -- -- -- -- --
Receivable from Adviser................................... -- -- -- -- --
Dividends and/or interest................................. 319,132 3,599 189,733 17,976 11,972
Other assets............................................... 2,476 -- -- -- 7,882
------------ ---------- ------------ ------------ -----------
Total Assets............................................. 809,270,734 7,164,910 376,595,548 107,071,525 13,463,707
------------ ---------- ------------ ------------ -----------
LIABILITIES:
Payables:
Investment securities purchased........................... 6,180,327 -- 2,624,361 918,605 112,230
Payable for forward foreign currency contracts (Note 1)... -- -- -- -- --
Options written (Premiums received $194,382) (Note 1)...... -- -- -- -- --
Accrued expenses and other payables........................ 161,774 18,066 99,755 1,512 --
------------ ---------- ------------ ------------ -----------
Total Liabilities........................................ 6,342,101 18,066 2,724,116 920,117 112,230
------------ ---------- ------------ ------------ -----------
NET ASSETS................................................. $802,928,633 $7,146,844 $373,871,432 $106,151,408 $13,351,477
============ ========== ============ ============ ===========
NET ASSETS consist of:
Paid-in Capital............................................ $662,445,388 $2,402,631 $279,782,598 $ 68,498,625 $11,477,769
Undistributed net investment income/(loss)................. 114,228 60,795 (56,765) (245,535) 36,452
Accumulated net realized gain/(loss) on securities, futures
contracts, written options, forward foreign currency
exchange contracts and foreign currency transactions...... 19,913,921 824,580 33,873,707 22,769,449 (79,682)
Net unrealized appreciation/(depreciation) on securities,
futures contracts, written options, forward foreign
currency exchange contracts and other assets and
liabilities denominated in foreign currencies............. 120,455,096 3,858,838 60,271,892 15,128,869 1,916,938
------------ ---------- ------------ ------------ -----------
Total Net Assets......................................... 802,928,633 $7,146,844 $373,871,432 $106,151,408 $13,351,477
============ ========== ============ ============ ===========
Shares of beneficial interest outstanding.................. 36,170,224 334,213 17,033,357 5,613,414 1,161,203
============ ========== ============ ============ ===========
NET ASSET VALUE, offering price and redemption price per
share of beneficial interest outstanding.................. $ 22.20 $ 21.38 $ 21.95 $ 18.91 $ 11.50
============ ========== ============ ============ ===========
</TABLE>
- -------------
(a) The All-Growth Series, Managed Global Series and the Emerging Market Series
include repurchase agreements amounting to $6,276,398, $3,291,000 and
$4,291,000, respectively.
See Notes to Financial Statements.
28
<PAGE>
<TABLE>
<CAPTION>
Strategic Capital Small Real Hard Managed Developing Emerging
Equity Appreciation Cap Estate Assets Global World Markets
Series Series Series Series Series Series Series Series
- ----------- ------------ ------------ ----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$79,996,022 $267,274,760 $164,449,400 $70,381,101 $38,493,582 $111,232,249 $23,484,141 $30,937,164
=========== ============ ============ =========== =========== ============ =========== ===========
$93,590,866 $303,550,786 $214,172,954 $68,668,820 $39,238,272 $131,207,572 $26,070,380 $37,443,274
1,462 3,562 67,627 130,576 1,624,006 457 1,683,462 100,959
-- -- -- -- 15,000 -- -- --
136,634 4,341,953 4,711,225 31,959 74,650 3,978,964 30,235 658,441
-- -- -- -- -- 40,921 -- --
-- -- -- -- -- -- -- --
16,564 77,424 15,806 542,302 62,337 312,530 83,540 249,063
2,092 -- -- -- -- -- -- 11,346
- ----------- ------------ ------------ ----------- ----------- ------------ ----------- -----------
93,747,618 307,973,725 218,967,612 69,373,657 41,014,265 135,540,444 27,867,617 38,463,083
- ----------- ------------ ------------ ----------- ----------- ------------ ----------- -----------
210,708 4,368,149 1,393,377 208,434 -- 4,213,401 1,022,778 1,232,697
-- -- -- -- -- -- -- --
-- 141,312 -- -- -- -- -- --
1,160 4,401 2,668 1,067 537 14,828 14,417 455
- ----------- ------------ ------------ ----------- ----------- ------------ ----------- -----------
211,868 4,513,862 1,396,045 209,501 537 4,228,229 1,037,195 1,233,152
- ----------- ------------ ------------ ----------- ----------- ------------ ----------- -----------
$93,535,750 $303,459,863 $217,571,567 $69,164,156 $41,013,728 $131,312,215 $26,830,422 $37,229,931
=========== ============ ============ =========== =========== ============ =========== ===========
$81,307,997 $217,621,755 $161,033,972 $66,324,936 $47,599,435 $ 90,827,858 $24,843,004 $50,167,890
335,146 514,464 (460,435) 3,085,605 488,333 (335,567) 482,107 364,627
(1,662,320) 48,994,548 7,274,476 1,465,896 (7,818,431) 20,816,225 (1,078,643) (19,769,023)
13,554,927 36,329,096 49,723,554 (1,712,281) 744,391 20,003,699 2,583,954 6,466,437
- ----------- ------------ ------------ ----------- ----------- ------------ ----------- -----------
$93,535,750 $303,459,863 $217,571,567 $69,164,156 $41,013,728 $131,312,215 $26,830,422 $37,229,931
=========== ============ ============ =========== =========== ============ =========== ===========
6,625,516 15,272,587 11,593,461 4,859,933 3,523,893 8,636,113 2,815,444 3,961,299
=========== ============ ============ =========== =========== ============ =========== ===========
$ 14.12 $ 19.87 $ 18.77 $ 14.23 $ 11.64 $ 15.21 $ 9.53 $ 9.40
=========== ============ ============ =========== =========== ============ =========== ===========
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Statements of Operations
The GCG Trust
For the Six Months Ended June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Limited Global
Liquid Maturity Fixed Total
Asset Bond Income Return
Series Series Series Series
---------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends.................... -- -- -- $ 2,919,331
Interest..................... $7,002,969 $ 4,490,230 $ 530,929 7,152,657
Foreign taxes withheld on
dividend and interest
income...................... -- -- (1,904) (19,175)
Other income................. -- -- 6,311 --
---------- ----------- ----------- -----------
Total Investment Income.... 7,002,969 4,490,230 535,336 10,052,813
---------- ----------- ----------- -----------
EXPENSES:
Unified fees (Note 2)........ 805,041 456,862 184,857 2,394,652
Trustees' fees and expenses
(Note 2).................... 3,584 2,329 369 8,324
---------- ----------- ----------- -----------
Total Expenses............. 808,625 459,191 185,226 2,402,976
Expenses Reimbursed by
Advisor.................... -- -- (287) --
---------- ----------- ----------- -----------
Net Expenses................ 808,625 459,191 184,939 2,402,976
---------- ----------- ----------- -----------
NET INVESTMENT
INCOME/(LOSS)............... 6,194,344 4,031,039 350,397 7,649,837
---------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES
(Notes 1 and 3):
Net realized gain/(loss)
from:
Security transactions....... (316) (976,015) 129,256 7,994,689
Futures contracts........... -- -- -- --
Written options............. -- -- -- --
Long options................ -- -- -- --
Forward foreign currency
exchange contracts......... -- -- (185,291) --
Foreign currency
transactions............... -- -- (18,346) (1,772)
Net change in unrealized
appreciation/(depreciation)
on:
Securities.................. 270 (3,170,551) (2,205,323) 11,813,188
Futures contracts........... -- -- -- --
Written options............. -- -- -- --
Forward foreign currency
exchange contracts......... -- -- (25,006) (3,780)
Other assets and liabilities
denominated in foreign
currencies................. -- 91,256 (27,050) --
---------- ----------- ----------- -----------
Net realized and unrealized
gain/(loss) on
investments................ (46) (4,055,310) (2,331,760) 19,802,325
---------- ----------- ----------- -----------
NET INCREASE/(DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS.................. $6,194,298 $ (24,271) $(1,981,363) $27,452,162
========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
<TABLE>
<CAPTION>
Equity Fully Rising Growth & Value
Income Managed Dividends Income Growth Equity
Series Series Series Series Series Series
- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
$ 2,108,813 $ 2,810,404 $ 3,991,200 $ 1,619,745 $ 575,828 $ 1,204,069
2,955,438 3,062,118 243,220 1,178,319 756,204 78,059
-- (6,008) -- (10,174) -- (13,327)
-- 118,103 10,195 11,129 39,678 --
- ----------- ----------- ----------- ----------- ----------- -----------
5,064,251 5,984,617 4,244,615 2,799,019 1,371,710 1,268,801
- ----------- ----------- ----------- ----------- ----------- -----------
1,346,621 1,201,107 3,174,244 1,810,904 1,806,117 620,452
4,448 4,006 10,461 5,421 5,616 2,046
- ----------- ----------- ----------- ----------- ----------- -----------
1,351,069 1,205,113 3,184,705 1,816,325 1,811,733 622,498
-- -- -- -- -- --
- ----------- ----------- ----------- ----------- ----------- -----------
1,351,069 1,205,113 3,184,705 1,816,325 1,811,733 622,498
- ----------- ----------- ----------- ----------- ----------- -----------
3,713,182 4,779,504 1,059,910 982,694 (440,023) 646,303
- ----------- ----------- ----------- ----------- ----------- -----------
18,020,407 8,187,986 24,041,554 35,508,442 41,473,929 (4,999,803)
-- -- -- -- -- --
-- -- -- 119,793 -- 20,850
-- (391,610) -- -- -- --
-- -- -- -- -- --
-- 149,773 -- 6,531 -- --
(270,057) 8,827,440 51,338,774 (1,209,152) 21,645,052 16,915,985
-- -- -- -- -- --
-- (19,914) -- -- -- --
-- -- -- -- -- --
-- (5,359) -- 110,082 -- --
- ----------- ----------- ----------- ----------- ----------- -----------
17,750,350 16,748,316 75,380,328 34,535,696 63,118,981 11,937,032
- ----------- ----------- ----------- ----------- ----------- -----------
$21,463,532 $21,527,820 $76,440,238 $35,518,390 $62,678,958 $12,583,335
=========== =========== =========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Statements of Operations
The GCG Trust
For the Six Months Ended June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Market Mid-Cap All- Growth
Research Manager Growth Growth Opportunities
Series Series Series Series Series
----------- --------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends................... $ 2,678,060 -- $ 179,904 $ 42,631 $ 73,270
Interest.................... 545,313 $ 86,239 1,042,379 172,188 --
Foreign taxes withheld on
dividend and interest
income..................... (35,228) -- -- -- --
Other income................ 47 10,172 9,045 -- 7,398
----------- --------- ----------- ----------- ----------
Total Investment Income... 3,188,192 96,411 1,231,328 214,819 80,668
----------- --------- ----------- ----------- ----------
EXPENSES:
Unified fees (Note 2)....... 3,063,127 35,502 1,327,193 458,841 59,952
Trustees' fees and expenses
(Note 2) .................. 10,837 114 4,608 1,513 181
----------- --------- ----------- ----------- ----------
Total Expenses............ 3,073,964 35,616 1,331,801 460,354 60,133
Expenses Reimbursed by
Advisor................... -- -- -- -- --
----------- --------- ----------- ----------- ----------
Net Expenses............... 3,073,964 35,616 1,331,801 460,354 60,133
----------- --------- ----------- ----------- ----------
NET INVESTMENT
INCOME/(LOSS).............. 114,228 60,795 (100,473) (245,535) 20,535
----------- --------- ----------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(Notes 1 and 3):
Net realized gain/(loss)
from:
Security transactions...... 27,272,282 824,862 28,096,415 17,993,173 540,276
Futures contracts.......... -- -- -- -- --
Written options............ -- -- -- -- --
Long options............... -- -- -- -- --
Forward foreign currency
exchange contracts........ -- -- -- -- --
Foreign currency
transactions.............. 13,595 -- -- -- --
Net change in unrealized
appreciation/(depreciation)
on:
Securities................. 37,509,663 (348,063) 33,932,220 4,483,109 1,462,083
Futures contracts.......... -- -- -- -- --
Written options............ -- -- -- -- --
Forward foreign currency
exchange contracts........ -- -- -- -- --
Other assets and
liabilities denominated in
foreign currencies........ (20,841) -- -- -- --
----------- --------- ----------- ----------- ----------
Net realized and unrealized
gain/(loss) on
investments............... 64,774,699 476,799 62,028,635 22,476,282 2,002,359
----------- --------- ----------- ----------- ----------
NET INCREASE/(DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS................. $64,888,927 $ 537,594 $61,928,162 $22,230,747 $2,022,894
=========== ========= =========== =========== ==========
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
<TABLE>
<CAPTION>
Strategic Capital Small Real Hard Managed Developing Emerging
Equity Appreciation Cap Estate Assets Global World Markets
Series Series Series Series Series Series Series Series
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 229,986 $ 1,020,349 $ 101,361 $1,984,139 $ 409,418 $ 576,975 $ 306,622 $ 426,826
202,262 372,955 250,368 46,767 53,098 35,376 -- 38,800
-- (260) -- -- (5,268) (49,731) (2,511) (12,425)
30,531 -- 1,514 4,902 3,964 2,081 2,691 195,609
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
462,779 1,393,044 353,243 2,035,808 461,212 564,701 306,802 648,810
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
350,427 1,333,382 811,010 323,451 163,277 803,650 110,355 250,996
1,160 4,401 2,668 1,067 538 2,057 198 455
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
351,587 1,337,783 813,678 324,518 163,815 805,707 110,553 251,451
-- -- -- -- -- -- -- --
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
351,587 1,337,783 813,678 324,518 163,815 805,707 110,553 251,451
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
111,192 55,261 (460,435) 1,711,290 297,397 (241,006) 196,249 397,359
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
(911,873) 45,388,438 10,206,460 (111,280) 525,519 14,936,858 334,191 1,423,058
74,402 -- -- -- 19,939 -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- (24,697) -- -- --
-- -- -- -- 15,541 59,455 -- (55,399)
-- 1,787 -- -- (34,781) (4,995) (196,007) (194,529)
8,691,047 (18,839,035) 18,320,250 1,323,826 5,562,381 (5,526,600) 3,208,969 8,412,599
4,305 -- -- -- -- -- -- --
-- 53,070 -- -- -- -- -- --
-- -- -- -- -- 39,845 -- 45,387
(5) -- -- -- (6,602) (16,594) 9,737 (10,159)
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
7,857,876 26,604,260 28,526,710 1,212,546 6,057,300 9,487,969 3,356,890 9,620,957
---------- ------------ ----------- ---------- ---------- ----------- ---------- -----------
$7,969,068 $ 26,659,521 $28,066,275 $2,923,836 $6,354,697 $ 9,246,963 $3,553,139 $10,018,316
========== ============ =========== ========== ========== =========== ========== ===========
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Statements of Changes in Net Assets
The GCG Trust
For the Six Months Ended June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Limited Global
Liquid Maturity Fixed Total
Asset Bond Income Return
Series Series Series Series
------------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income/(loss)............. $ 6,194,344 $ 4,031,039 $ 350,397 $ 7,649,837
Net realized gain/(loss) on
securities, futures
contracts, written
options, forward foreign
currency exchange
contracts and foreign
currency transactions..... (316) (976,015) (74,381) 7,992,917
Net change in unrealized
appreciation/(depreciation)
on securities, futures
contracts, written
options, forward foreign
currency exchange
contracts and other assets
and liabilities
denominated in foreign
currencies................ 270 (3,079,295) (2,257,379) 11,809,408
------------- ------------ ----------- ------------
Net increase/(decrease) in
net assets resulting from
operations................ 6,194,298 (24,271) (1,981,363) 27,452,162
Distributions to
shareholders from:
Net investment income...... (6,194,344) -- -- --
Capital Share Transactions:
Shares sold................ 754,108,765 53,516,655 13,438,516 138,293,395
Shares issued as
reinvestment of
dividends................. 4,935,340 -- -- --
Shares redeemed............ (623,565,492) (19,498,822) (9,102,338) (5,863,999)
------------- ------------ ----------- ------------
Net increase/(decrease) in
net assets from shares of
beneficial interest
transactions............... 135,478,613 34,017,833 4,336,178 132,429,396
------------- ------------ ----------- ------------
Net increase/(decrease) in
net assets................. 135,478,567 33,993,562 2,354,815 159,881,558
NET ASSETS:
Beginning of period......... 211,729,820 148,426,167 21,932,007 453,092,864
------------- ------------ ----------- ------------
End of period............... $ 347,208,387 $182,419,729 $24,286,822 $612,974,422
============= ============ =========== ============
Undistributed net investment
income/(loss).............. $ -- $ 5,192,775 $ 195,357 $ 8,890,034
============= ============ =========== ============
Transactions in Fund Shares:
Shares sold................ 754,108,765 5,009,960 1,257,864 8,610,690
Shares issued as
reinvestment of
dividends................. 4,935,340 -- -- --
Shares redeemed............ (623,565,491) (1,827,308) (854,781) (364,737)
------------- ------------ ----------- ------------
Net increase/(decrease)..... 135,478,614 3,182,652 403,083 8,245,953
============= ============ =========== ============
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
<TABLE>
<CAPTION>
Equity Fully Rising Growth & Value
Income Managed Dividends Income Growth Equity
Series Series Series Series Series Series
- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
$ 3,713,182 $ 4,779,504 $ 1,059,910 $ 982,694 $ (440,023) $ 646,303
18,020,407 7,946,149 24,041,554 35,634,766 41,473,929 (4,978,953)
(270,057) 8,802,167 51,338,774 (1,099,070) 21,645,052 16,915,985
- ------------ ------------ ------------ ------------ ------------ ------------
21,463,532 21,527,820 76,440,238 35,518,390 62,678,958 12,583,335
-- -- -- -- -- --
17,647,514 21,636,115 131,494,234 106,415,696 340,997,680 21,186,472
-- -- -- -- -- --
(27,123,339) (15,849,323) (22,336,724) (28,880,705) (79,581,482) (19,507,664)
- ------------ ------------ ------------ ------------ ------------ ------------
(9,475,825) 5,786,792 109,157,510 77,534,991 261,416,198 1,678,808
- ------------ ------------ ------------ ------------ ------------ ------------
11,987,707 27,314,612 185,597,748 113,053,381 324,095,156 14,262,143
278,074,490 246,195,650 574,843,165 298,838,700 231,216,381 129,784,497
- ------------ ------------ ------------ ------------ ------------ ------------
$290,062,197 $273,510,262 $760,440,913 $411,892,081 $555,311,537 $144,046,640
============ ============ ============ ============ ============ ============
$ 6,186,836 $ 6,019,289 $ 1,754,748 $ 1,389,000 $ (440,023) $ 1,005,026
============ ============ ============ ============ ============ ============
1,348,304 1,380,300 5,643,425 6,554,517 18,908,013 1,217,131
-- -- -- -- -- --
(2,083,352) (1,027,917) (973,495) (1,785,797) (4,495,074) (1,184,647)
- ------------ ------------ ------------ ------------ ------------ ------------
(735,048) 352,383 4,669,930 4,768,720 14,412,939 32,484
============ ============ ============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Statements of Changes in Net Assets
The GCG Trust
For the Six Months Ended June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Market Mid-Cap All- Growth
Research Manager Growth Growth Opportunities
Series Series+ Series Series* Series*
------------ ----------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment
income/(loss)............. $ 114,228 $ 60,795 $ (100,473) $ (245,535) $ 20,535
Net realized gain/(loss) on
securities, futures
contracts, written
options, forward foreign
currency exchange
contracts and foreign
currency transactions..... 27,285,877 824,862 28,096,415 17,993,173 540,276
Net change in unrealized
appreciation/(depreciation)
on securities, futures
contracts, written
options, forward foreign
currency exchange
contracts and other assets
and liabilities
denominated in foreign
currencies................ 37,488,822 (348,063) 33,932,220 4,483,109 1,462,083
------------ ----------- ------------ ------------ -----------
Net increase/(decrease) in
net assets resulting from
operations................ 64,888,927 537,594 61,928,162 22,230,747 2,022,894
Distributions to
shareholders from:
Net investment income...... -- -- -- -- --
Capital Share Transactions:
Shares sold................ 171,542,554 -- 125,838,302 19,814,330 7,897,642
Shares issued as
reinvestment of
dividends................. -- -- -- -- --
Shares redeemed............ (47,274,250) (1,530,183) (65,916,848) (19,823,993) (5,659,975)
------------ ----------- ------------ ------------ -----------
Net increase/(decrease) in
net assets from shares of
beneficial interest
transactions............... 124,268,304 (1,530,183) 59,921,454 (9,663) 2,237,667
------------ ----------- ------------ ------------ -----------
Net increase/(decrease) in
net assets................. 189,157,231 (992,589) 121,849,616 22,221,084 4,260,561
NET ASSETS:
Beginning of period......... 613,771,402 8,139,433 252,021,816 83,930,324 9,090,916
------------ ----------- ------------ ------------ -----------
End of period............... $802,928,633 $ 7,146,844 $373,871,432 $106,151,408 $13,351,477
============ =========== ============ ============ ===========
Undistributed net investment
income/(loss).............. $ 114,228 $ 60,795 $ (56,765) $ (245,535) $ 36,452
============ =========== ============ ============ ===========
Transactions in Fund Shares:
Shares sold................ 8,239,123 -- 6,516,452 1,342,061 754,011
Shares issued as
reinvestment of
dividends................. -- -- -- -- --
Shares redeemed............ (2,289,389) (80,653) (3,408,507) (1,329,371) (529,107)
------------ ----------- ------------ ------------ -----------
Net increase/(decrease)..... 5,949,734 (80,653) 3,107,945 12,690 224,904
============ =========== ============ ============ ===========
</TABLE>
- ----------
* As of May 1, 1999, the Trust no longer accepts investments in the All-Growth
Series and the Growth Opportunities Series.
See Notes to Financial Statements.
36
<PAGE>
<TABLE>
<CAPTION>
Strategic Capital Small Real Hard Managed Developing Emerging
Equity Appreciation Cap Estate Assets Global World Markets
Series Series Series Series Series Series Series Series
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 111,192 $ 55,261 $ (460,435) $ 1,711,290 $ 297,397 $ (241,006) $ 196,249 $ 397,359
(837,471) 45,390,225 10,206,460 (111,280) 501,521 14,991,318 138,184 1,173,130
8,695,347 (18,785,965) 18,320,250 1,323,826 5,555,779 (5,503,349) 3,218,706 8,447,827
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
7,969,068 26,659,521 28,066,275 2,923,836 6,354,697 9,246,963 3,553,139 10,018,316
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
25,475,081 34,299,552 78,988,670 13,566,090 22,371,898 50,346,132 26,703,138 14,069,072
-- -- -- -- -- -- -- --
(13,169,012) (20,812,702) (37,179,824) (17,237,153) (18,242,820) (62,358,668) (12,222,823) (12,885,688)
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
12,306,069 13,486,850 41,808,846 (3,671,063) 4,129,078 (12,012,536) 14,480,315 1,183,384
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
20,275,137 40,146,371 69,875,121 (747,227) 10,483,775 (2,765,573) 18,033,454 11,201,700
73,260,613 263,313,492 147,696,446 69,911,383 30,529,953 134,077,788 8,796,968 26,028,231
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
$ 93,535,750 $303,459,863 $217,571,567 $ 69,164,156 $ 41,013,728 $131,312,215 $ 26,830,422 $ 37,229,931
============ ============ ============ ============ ============ ============ ============ ============
$ 335,146 $ 514,464 $ (460,435) $ 3,085,605 $ 488,333 $ (335,567) $ 482,107 $ 364,627
============ ============ ============ ============ ============ ============ ============ ============
1,954,572 1,824,616 4,544,513 965,786 2,073,581 3,471,888 3,179,584 1,604,387
-- -- -- -- -- -- -- --
(1,042,939) (1,111,207) (2,165,976) (1,252,456) (1,729,745) (4,287,799) (1,557,675) (1,539,376)
- ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
911,633 713,409 2,378,537 (286,670) 343,836 (815,911) 1,621,909 65,011
============ ============ ============ ============ ============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Statements of Changes in Net Assets
The GCG Trust
For the Year Ended December 31, 1998
<TABLE>
<CAPTION>
Limited Global
Liquid Maturity Fixed Total Multiple
Asset Bond Income Return Allocation
Series Series Series* Series* Series
------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment
income/(loss)............. $ 6,680,411 $ 4,812,514 $ 174,306 $ 4,279,676 $ 9,775,332
Net realized gain/(loss) on
securities, futures
contracts, written
options, forward foreign
currency exchange
contracts and foreign
currency transactions..... (1,797) 245,793 (93,077) (1,151,705) 21,152,198
Net change in unrealized
appreciation/(depreciation)
on securities, futures
contracts, written
options, investments sold
short, forward foreign
currency exchange
contracts and other assets
and liabilities
denominated in foreign
currencies................ (270) 981,576 1,162,504 24,145,379 (9,697,386)
------------- ------------ ------------ ------------ ------------
Net increase/(decrease) in
net assets resulting from
operations................ 6,678,344 6,039,883 1,243,733 27,273,350 21,230,144
Distributions to
shareholders from:
Net investment income...... (6,680,411) (4,592,701) (174,306) (3,028,277) (9,833,207)
In excess of net investment
income.................... -- -- (83,245) -- --
Net realized gains......... -- -- -- -- (19,438,596)
In excess of capital
gains..................... -- -- -- -- --
Capital Share Transactions:
Shares issued upon
consolidation............. 48,475,961 38,957,271 15,564,753 311,044,440 --
Shares sold................ 626,247,687 92,354,735 17,660,000 119,647,099 24,873,960
Shares issued as
reinvestment of
dividends................. 6,713,421 4,594,890 257,551 3,001,719 29,271,803
Shares redeemed............ (529,157,998) (42,767,130) (12,536,479) (4,845,467) (32,628,367)
------------- ------------ ------------ ------------ ------------
Net increase/(decrease) in
net assets from shares of
beneficial interest
transactions............... 152,279,071 93,139,766 20,945,825 428,847,791 21,517,396
------------- ------------ ------------ ------------ ------------
Net increase/(decrease) in
net assets................. 152,277,004 94,586,948 21,932,007 453,092,864 13,475,737
NET ASSETS:
Beginning of period......... 59,452,816 53,839,219 -- -- 264,598,753
------------- ------------ ------------ ------------ ------------
End of period............... $ 211,729,820 $148,426,167 $ 21,932,007 $453,092,864 $278,074,490
============= ============ ============ ============ ============
Undistributed net investment
income/(loss).............. $ -- $ 1,161,736 $ (155,040) $ 1,240,197 $ 2,473,654
============= ============ ============ ============ ============
Transactions in Fund Shares:
Shares issued upon
consolidation............. 48,481,812 3,694,955 1,485,968 20,909,077 --
Shares sold................ 626,247,687 7,380,066 1,573,242 7,912,653 1,826,179
Shares issued as
reinvestment of
dividends................. 6,713,421 432,257 23,224 191,436 2,334,275
Shares redeemed............ (529,157,998) (2,830,765) (1,119,052) (334,518) (2,422,779)
------------- ------------ ------------ ------------ ------------
Net increase/(decrease)..... 152,284,922 8,676,513 1,963,382 28,678,648 1,737,675
============= ============ ============ ============ ============
</TABLE>
- -------------
+ As of March 6, 1995, The Trust no longer accepts investments in the Market
Manager Series.
* The Global Fixed Income Series, Total Return Series, Growth and Income
Series, Value + Growth Series, and Research Series commenced operations on
August 14, 1998, respectively.
See Notes to Financial Statements.
38
<PAGE>
<TABLE>
<CAPTION>
Fully Rising Growth & Value + Value Market
Managed Dividends Income Growth Equity Research Manager
Series Series Series* Series* Series Series* Series+
- ------------ ------------ ------------ ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
$ 5,911,618 $ 2,905,740 $ 1,697,079 $ (397,445) $ 1,581,831 $ 424,921 $ 127,813
17,323,306 19,244,423 (12,238,230) (14,577,553) 2,204,365 (7,265,864) 208,771
(12,166,269) 24,693,039 38,911,569 44,783,262 (2,973,867) 82,966,272 1,304,268
- ------------ ------------ ------------ ------------ ------------ ------------ ----------
11,068,655 46,843,202 28,370,418 29,808,264 812,329 76,125,329 1,640,852
(5,333,418) (2,574,608) (1,317,200) -- (1,388,071) (424,921) (128,425)
-- -- -- -- -- (189,329) --
(15,405,399) (19,104,120) -- -- (2,501,369) -- (213,782)
-- -- -- -- -- -- (282)
-- -- 225,438,123 149,396,501 -- 391,978,647 --
73,935,108 304,438,120 56,079,686 65,942,401 56,607,571 162,449,837 --
20,738,817 21,678,728 1,314,569 -- 3,889,440 595,142 342,488
(8,794,799) (28,628,951) (11,046,896) (13,930,785) (7,683,469) (16,763,303) (292,468)
- ------------ ------------ ------------ ------------ ------------ ------------ ----------
85,879,126 297,487,897 271,785,482 201,408,117 52,813,542 538,260,323 50,020
- ------------ ------------ ------------ ------------ ------------ ------------ ----------
76,208,964 322,652,371 298,838,700 231,216,381 49,736,431 613,771,402 1,348,383
169,986,686 252,190,794 -- -- 80,048,066 -- 6,791,050
- ------------ ------------ ------------ ------------ ------------ ------------ ----------
$246,195,650 $574,843,165 $298,838,700 $231,216,381 $129,784,497 $613,771,402 $8,139,433
============ ============ ============ ============ ============ ============ ==========
$ 1,239,785 $ 694,837 $ 406,306 $ -- $ 358,723 $ -- --
============ ============ ============ ============ ============ ============ ==========
-- -- 15,829,527 10,963,565 -- 22,082,990 --
4,521,295 13,882,960 4,028,631 4,889,604 3,450,964 9,097,545 --
1,377,079 974,325 85,696 -- 247,893 29,772 18,054
(537,671) (1,327,846) (815,498) (1,053,015) (487,517) (989,817) (15,632)
- ------------ ------------ ------------ ------------ ------------ ------------ ----------
5,360,703 13,529,439 19,128,356 14,800,154 3,211,340 30,220,490 2,422
============ ============ ============ ============ ============ ============ ==========
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Statements of Changes in Net Assets
The GCG Trust
For the Year Ended December 31, 1998
<TABLE>
<CAPTION>
Mid-Cap All- Growth Strategic Capital
Growth Growth Opportunities Equity Appreciation
Series* Series Series* Series Series
------------ ------------ ------------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment
income/(loss)............. $ 114,842 $ (380,854) $ 71,145 $ 920,850 $ 2,119,090
Net realized gain/(loss) on
securities, futures
contracts, written
options, forward foreign
currency exchange
contracts and foreign
currency transactions..... 7,139,551 6,801,674 (619,950) 1,514,102 13,189,628
Net change in unrealized
appreciation/(depreciation)
on securities, futures
contracts, written
options, investments sold
short, forward foreign
currency exchange
contracts and other assets
and liabilities
denominated in foreign
currencies................ 26,339,672 732,283 454,855 (2,467,677) 10,657,145
------------ ------------ ----------- ----------- ------------
Net increase/(decrease) in
net assets resulting from
operations................ 33,594,065 7,153,103 (93,950) (32,725) 25,965,863
Distributions to
shareholders from:
Net investment income...... (71,134) -- (55,236) (857,830) (1,985,719)
In excess of net investment
income.................... -- -- -- -- --
Net realized gains......... (1,362,260) (482,429) -- (3,147,571) (21,481,203)
In excess of capital
gains..................... -- -- -- (768,811) --
Capital Share Transactions:
Shares issued upon
consolidation............. 169,854,219 -- -- -- --
Shares sold................ 68,050,467 17,212,183 14,853,619 27,135,472 63,842,885
Shares issued as
reinvestment of
dividends................. 1,429,200 482,429 55,236 4,774,212 23,466,922
Shares redeemed............ (19,472,741) (14,291,443) (5,668,753) (5,630,659) (20,480,864)
------------ ------------ ----------- ----------- ------------
Net increase/(decrease) in
net assets from shares of
beneficial interest
transactions............... 219,861,145 3,403,169 9,240,102 26,279,025 66,828,943
------------ ------------ ----------- ----------- ------------
Net increase/(decrease) in
net assets................ 252,021,816 10,073,843 9,090,916 21,472,088 69,327,884
NET ASSETS:
Beginning of period......... -- 73,856,481 -- 51,788,525 193,985,608
------------ ------------ ----------- ----------- ------------
End of period............... $252,021,816 $ 83,930,324 $ 9,090,916 $73,260,613 $263,313,492
============ ============ =========== =========== ============
Undistributed net investment
income/(loss).............. $ 43,708 $ -- $ 15,917 $ 223,959 $ 459,203
============ ============ =========== =========== ============
Transactions in Fund Shares:
Shares issued upon
consolidation............. 10,833,373 -- -- -- --
Shares sold................ 4,348,959 1,274,223 1,527,372 1,951,428 3,374,720
Shares issued as
reinvestment of
dividends................. 81,762 33,807 5,845 383,471 1,308,808
Shares redeemed............ (1,338,682) (1,069,193) (596,918) (420,675) (1,113,005)
------------ ------------ ----------- ----------- ------------
Net increase/(decrease)..... 13,925,412 238,837 936,299 1,914,224 3,570,523
============ ============ =========== =========== ============
</TABLE>
- -------------
* The Growth Opportunities Series and Developing World Series commenced
operations on February 18, 1998, respectively. The Mid-Cap Growth Series
commenced operations on August 14, 1998.
See Notes to Financial Statements.
40
<PAGE>
<TABLE>
<CAPTION>
Small Real Hard Managed Developing Emerging
Cap Estate Assets Global World Markets
Series Series Series Series Series* Series
- ------------ ------------ ------------ ------------ ----------- ------------
<S> <C> <C> <C> <C> <C>
$ (299,861) $ 3,976,536 $ 753,907 $ (200,950) $ 37,668 $ 264,799
1,277,047 3,671,935 (6,237,915) 11,285,119 (965,087) (10,235,843)
20,807,299 (19,233,132) (7,457,697) 19,156,582 (634,752) 1,111,863
- ------------ ------------ ------------ ------------ ----------- ------------
21,784,485 (11,584,661) (12,941,705) 30,240,751 (1,562,171) (8,859,181)
-- (2,940,340) (738,546) (436,006) (817) --
-- -- -- (391) (2,733) --
-- (6,743,350) (2,062,110) (5,137,434) -- --
-- -- -- -- -- --
-- -- -- -- -- --
72,810,460 22,838,788 22,317,164 49,773,384 13,236,980 4,829,405
-- 9,683,690 2,800,656 5,573,832 3,550 --
(13,294,050) (16,872,712) (25,074,108) (51,238,921) (2,877,841) (9,378,128)
- ------------ ------------ ------------ ------------ ----------- ------------
59,516,410 15,649,766 43,712 4,108,295 10,362,689 (4,548,723)
- ------------ ------------ ------------ ------------ ----------- ------------
81,300,895 (5,618,585) (15,698,649) 28,775,215 8,796,968 (13,407,904)
66,395,551 75,529,968 46,228,602 105,302,573 -- 39,436,135
- ------------ ------------ ------------ ------------ ----------- ------------
$147,696,446 $ 69,911,383 $ 30,529,953 $134,077,788 $ 8,796,968 $ 26,028,231
============ ============ ============ ============ =========== ============
$ -- $ 1,374,315 $ 190,936 $ (94,561) $ 285,858 $ (32,732)
============ ============ ============ ============ =========== ============
-- -- -- -- -- --
5,146,630 1,326,791 1,843,131 3,771,249 1,565,640 598,485
-- 728,645 298,259 399,558 484 --
(944,398) (1,042,917) (2,033,543) (3,908,600) (372,589) (1,183,502)
- ------------ ------------ ------------ ------------ ----------- ------------
4,202,232 1,012,519 107,847 262,207 1,193,535 (585,017)
============ ============ ============ ============ =========== ============
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
Financial Highlights
The GCG Trust
Liquid Asset Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- ------- ------- ------- -------
Income from investment
operations:
Net investment income... 0.022 0.050 0.050 0.049 0.054 0.040
-------- -------- ------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... (0.022) (0.050) (0.050) (0.049) (0.054) (0.040)
-------- -------- ------- ------- ------- -------
Net asset value, end of
period................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======= ======= ======= =======
Total return............ 2.20%++ 5.13% 5.07% 5.01% 5.51% 3.89%
======== ======== ======= ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $347,208 $211,730 $59,453 $39,096 $38,589 $46,122
Ratio of operating
expenses to average net
assets................. 0.57%+ 0.59% 0.61% 0.61% 0.61% 0.61%
Ratio of net investment
income to average net
assets................. 4.39%+ 4.92% 4.99% 4.89% 5.39% 3.89%
</TABLE>
- ----------
* On January 2, 1998, ING Investment Management, LLC ("IIM") became the
Portfolio Manager of the Series. From August 13, 1996 to January 1, 1998,
Equitable Investment Services, Inc., an affiliate of IIM, was the Portfolio
Manager of the Series. Prior to August 13, 1996, the Series had been advised
by other Portfolio Managers.
+ Annualized
++Non-annualized
See Notes to Financial Statements.
42
<PAGE>
Financial Highlights
The GCG Trust
Limited Maturity Bond Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97# 12/31/96# 12/31/95 12/31/94
----------- -------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 10.68 $ 10.31 $ 10.43 $ 11.15 $ 9.98 $ 10.62
-------- -------- ------- ------- ------- -------
Income/(loss) from
investment operations:
Net investment income... 0.22 0.24 0.60 0.59 0.60 0.51
Net realized and
unrealized gain/(loss)
on investments and
foreign currencies..... (0.22) 0.47 0.09 (0.13) 0.57 (0.64)
-------- -------- ------- ------- ------- -------
Total from investment
operations............. 0.00 0.71 0.69 0.46 1.17 (0.13)
-------- -------- ------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.34) (0.81) (1.15) -- (0.51)
Distributions from
capital gains.......... -- -- -- (0.03) -- --
-------- -------- ------- ------- ------- -------
Total distributions..... -- (0.34) (0.81) (1.18) -- (0.51)
-------- -------- ------- ------- ------- -------
Net asset value, end of
period................. $ 10.68 $ 10.68 $ 10.31 $ 10.43 $ 11.15 $ 9.98
======== ======== ======= ======= ======= =======
Total return............ 0.00%++ 6.86% 6.67% 4.32% 11.72% (1.19)%
======== ======== ======= ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $182,420 $148,426 $53,839 $81,317 $90,081 $72,213
Ratio of operating
expenses to average net
assets................. 0.57%+ 0.60% 0.61% 0.61% 0.61% 0.60%
Ratio of net investment
income to average net
assets................. 5.05%+ 5.15% 5.71% 5.33% 5.58% 4.73%
Portfolio turnover
rate................... 90%++ 52% 81% 250% 302% 209%
</TABLE>
- ----------
* On January 2, 1998, ING Investment Management, LLC ("IIM") became the
Portfolio Manager of the Series. From August 13, 1996 to January 1, 1998,
Equitable Investment Series Inc., an affiliate of IIM, was the Portfolio
Manager of the Series. Prior to August 13, 1996, the Series had been advised
by other Portfolio Managers.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
43
<PAGE>
Financial Highlights
The GCG Trust
Global Fixed Income Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited) 12/31/98*#
----------- ----------
<S> <C> <C>
Net asset value, beginning of period................ $ 11.17 $ 10.47
------- -------
Income/(loss) from investment operations:
Net investment income............................... 0.16 0.09
Net realized and unrealized gain/(loss) on
investments and foreign currencies................. (1.07) 0.74
------- -------
Total from investment operations.................... (0.91) 0.83
------- -------
Less Distributions:
Dividends from net investment income................ -- (0.09)
Dividends in excess of net investment income........ -- (0.04)
Distributions from capital gains.................... -- --
------- -------
Total distributions................................. -- (0.13)
------- -------
Net asset value, end of period...................... $ 10.26 $ 11.17
======= =======
Total return........................................ (8.15)%++ 7.99%++
======= =======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................ $24,287 $21,932
Ratio of operating expenses to average net assets... 1.60%+ 1.74%+
Ratio of net investment income to average net
assets............................................. 3.03%+ 2.37%+
Portfolio turnover rate............................. 38%++ 25%++
</TABLE>
- ----------
* The Global Fixed Income Series commenced operations on August 14, 1998.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
44
<PAGE>
Financial Highlights
The GCG Trust
Total Return Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited) 12/31/98*#
----------- ----------
<S> <C> <C>
Net asset value, beginning of period............... $ 15.80 $ 14.88
-------- --------
Income from investment operations:
Net investment income.............................. 0.20 0.17
Net realized and unrealized gain on investments and
foreign currencies................................ 0.60 0.86
-------- --------
Total from investment operations................... 0.80 1.03
-------- --------
Less Distributions:
Dividends from net investment income............... -- (0.11)
-------- --------
Net asset value, end of period..................... $ 16.60 $ 15.80
======== ========
Total return....................................... 5.06%++ 6.90%++
======== ========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)............... $612,974 $453,093
Ratio of operating expenses to average net assets.. 0.92%+ 0.98%+
Ratio of net investment income to average net
assets............................................ 2.92%+ 2.95%+
Portfolio turnover rate............................ 62%++ 37%++
</TABLE>
- ----------
* The Total Return Series commenced operations on August 14, 1998.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
45
<PAGE>
Financial Highlights
The GCG Trust
Equity Income Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 12.67 $ 13.09 $ 12.41 $ 12.52 $ 11.33 $ 11.89
-------- -------- -------- -------- -------- --------
Income/(loss) from
investment operations:
Net investment income... 0.18 0.49 0.57 0.56 0.58 0.42
Net realized and
unrealized gain/(loss)
on investments and
foreign currencies..... 0.82 0.58 1.58 0.52 1.56 (0.56)
-------- -------- -------- -------- -------- --------
Total from investment
operations............. 1.00 1.07 2.15 1.08 2.14 (0.14)
-------- -------- -------- -------- -------- --------
Less Distributions:
Dividends from net
investment income...... -- (0.50) (0.55) (0.58) (0.45) (0.42)
Distributions from
capital gains.......... -- (0.99) (0.92) (0.61) (0.50) --
-------- -------- -------- -------- -------- --------
Total distributions..... -- (1.49) (1.47) (1.19) (0.95) (0.42)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period................. $ 13.67 $ 12.67 $ 13.09 $ 12.41 $ 12.52 $ 11.33
======== ======== ======== ======== ======== ========
Total return............ 7.89%++ 8.26% 17.44% 8.77% 18.93% (1.18)%
======== ======== ======== ======== ======== ========
Ratios to average net
assets/supplemental data:
Net assets, end of
period (in 000's)...... $290,062 $278,074 $264,599 $272,791 $307,691 $299,392
Ratio of operating
expenses to average net
assets................. 0.97%+ 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment
income to average net
assets................. 2.67%+ 3.63% 3.88% 3.86% 4.42% 3.56%
Portfolio turnover
rate................... 109%++ 61% 79% 158% 187% 291%
</TABLE>
- ----------
* Since March 1, 1999, T. Rowe Price Associates, Inc. has served as the
Portfolio Manager of the Series. Prior to that date a different firm served
as Portfolio Manager. Along with this change was a name change from the
Multiple Allocation Series to the Equity Income Series.
+ Annualized
++Non-annualized
See Notes to Financial Statements.
46
<PAGE>
Financial Highlights
The GCG Trust
Fully Managed Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 15.23 $ 15.73 $ 14.82 $ 13.79 $ 11.70 $ 12.99
-------- -------- -------- -------- -------- -------
Income/(loss) from
investment operations:
Net investment income... 0.29 0.36 0.39 0.56 0.45 0.35
Net realized and
unrealized gain/(loss)
on investments and
foreign currencies..... 1.04 0.55 1.86 1.69 1.98 (1.29)
-------- -------- -------- -------- -------- -------
Total from investment
operations............. 1.33 0.91 2.25 2.25 2.43 (0.94)
-------- -------- -------- -------- -------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.36) (0.41) (0.56) (0.34) (0.35)
Distributions from
capital gains.......... -- (1.05) (0.93) (0.66) -- --
-------- -------- -------- -------- -------- -------
Total distributions..... -- (1.41) (1.34) (1.22) (0.34) (0.35)
-------- -------- -------- -------- -------- -------
Net asset value, end of
period................. $ 16.56 $ 15.23 $ 15.73 $ 14.82 $ 13.79 $ 11.70
======== ======== ======== ======== ======== =======
Total return............ 8.73%++ 5.89% 15.27% 16.36% 20.80% (7.27)%
======== ======== ======== ======== ======== =======
Ratios to average net
assets/supplemental data:
Net assets, end of
period (in 000's)...... $273,510 $246,196 $169,987 $136,660 $118,589 $99,854
Ratio of operating
expenses to average net
assets................. 0.97%+ 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment
income to average net
assets................. 3.83%+ 2.83% 2.67% 3.83% 3.41% 2.62%
Portfolio turnover
rate................... 19%++ 44% 48% 45% 113% 66%
</TABLE>
- ----------
* Since January 1, 1995, T. Rowe Price Associates, Inc. has served as Portfolio
Manager for the Fully Managed Series. Prior to that date, a different firm
served as Portfolio Manager.
+ Annualized
++Non-annualized
See Notes to Financial Statements.
47
<PAGE>
Financial Highlights
The GCG Trust
Rising Dividends Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96# 12/31/95 12/31/94
----------- -------- -------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 22.01 $ 20.04 $ 15.81 $ 13.30 $ 10.22 $ 10.30
-------- -------- -------- -------- ------- -------
Income/(loss) from
investment operations:
Net investment income... 0.03 0.10 0.14 0.14 0.13 0.14
Net realized and
unrealized gain/(loss)
on investments and
foreign currencies..... 2.66 2.74 4.57 2.61 3.04 (0.08)
-------- -------- -------- -------- ------- -------
Total from investment
operations............. 2.69 2.84 4.71 2.75 3.17 0.06
-------- -------- -------- -------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.10) (0.13) (0.13) (0.09) (0.14)
Distributions from
capital gains.......... -- (0.77) (0.35) (0.11) -- --
-------- -------- -------- -------- ------- -------
Total distributions..... -- (0.87) (0.48) (0.24) (0.09) (0.14)
-------- -------- -------- -------- ------- -------
Net asset value, end of
period................. $ 24.70 $ 22.01 $ 20.04 $ 15.81 $ 13.30 $ 10.22
======== ======== ======== ======== ======= =======
Total return............ 12.22%++ 14.13% 29.82% 20.65% 31.06% 0.59%
======== ======== ======== ======== ======= =======
Ratios to average net
assets/supplemental data:
Net assets, end of
period (in 000's)...... $760,441 $574,843 $252,191 $126,239 $81,210 $50,712
Ratio of operating
expenses to average net
assets................. 0.97%+ 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment
income to average net
assets................. 0.32%+ 0.72% 0.96% 0.99% 1.24% 1.88%
Portfolio turnover
rate................... 21%++ 34% 26% 15% 43% 26%
</TABLE>
- ----------
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
48
<PAGE>
Financial Highlights
The GCG Trust
Growth & Income Series**
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited) 12/31/98*#
----------- ----------
<S> <C> <C>
Net asset value, beginning of period............... $ 15.62 $ 14.24
-------- --------
Income from investment operations:
Net investment income.............................. 0.04 0.09
Net realized and unrealized gain on investments and
foreign currencies................................ 1.58 1.36
-------- --------
Total from investment operations................... 1.62 1.45
-------- --------
Less Distributions:
Dividends from net investment income............... -- (0.07)
-------- --------
Net asset value, end of period..................... $ 17.24 $ 15.62
======== ========
Total return....................................... 10.37%++ 10.19%++
======== ========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)............... $411,892 $298,839
Ratio of operating expenses to average net assets.. 1.06%+ 1.08%+
Ratio of net investment income to average net
assets............................................ 0.58%+ 1.86%+
Portfolio turnover rate............................ 144%++ 92%++
</TABLE>
- ----------
* The Growth & Income Series commenced operations on August 14, 1998.
** Since March 1, 1999, Alliance Capital Management, Inc. has served as the
Portfolio Manager for the Growth & Income Series. Prior to that date, a
different firm served as Portfolio Manager.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
49
<PAGE>
Financial Highlights
The GCG Trust
Growth Series**
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited) 12/31/98*#
----------- ----------
<S> <C> <C>
Net asset value, beginning of period............... $ 15.62 $ 13.63
-------- --------
Income/(loss) from investment operations:
Net investment loss................................ (0.02) (0.03)
Net realized and unrealized gain on investments and
foreign currencies................................ 3.41 2.02
-------- --------
Total from investment operations................... 3.39 1.99
-------- --------
Net asset value, end of period..................... $ 19.01 $ 15.62
======== ========
Total return....................................... 21.70%++ 14.60%++
======== ========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)............... $555,312 $231,216
Ratio of operating expenses to average net assets.. 1.02%+ 1.09%+
Ratio of net investment loss to average net
assets............................................ (0.25)%+ (0.58)%+
Portfolio turnover rate............................ 95%++ 88%++
</TABLE>
- ----------
* The Growth Series commenced operations on August 14, 1998.
** Since March 1, 1999, Janus Capital Corporation has served as Portfolio
Manager for the Growth Series. Prior to that date, a different firm served
as Portfolio Manager. Along with this change was a name change from the
Value + Growth Series to the Growth Series.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
50
<PAGE>
Financial Highlights
The GCG Trust
Value Equity Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year
6/30/99 Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95*
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 15.88 $ 16.13 $ 13.92 $ 13.18 $ 10.00
-------- -------- ------- ------- -------
Income from investment
operations:
Net investment income... 0.08 0.19 0.16 0.22 0.08
Net realized and
unrealized gain on
investments and foreign
currencies............. 1.59 0.06 3.63 1.18 3.44
-------- -------- ------- ------- -------
Total from investment
operations............. 1.67 0.25 3.79 1.40 3.52
-------- -------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.18) (0.18) (0.19) (0.06)
Distributions from
capital gains.......... -- (0.32) (1.40) (0.47) (0.28)
-------- -------- ------- ------- -------
Total distributions..... -- (0.50) (1.58) (0.66) (0.34)
-------- -------- ------- ------- -------
Net asset value, end of
period................. $ 17.55 $ 15.88 $ 16.13 $ 13.92 $ 13.18
======== ======== ======= ======= =======
Total return............ 10.52%++ 1.55% 27.28% 10.62% 35.21%++
======== ======== ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $144,047 $129,784 $80,048 $44,620 $28,830
Ratio of operating
expenses to average net
assets................. 0.97%+ 0.98% 0.99% 1.00% 1.01%+
Ratio of net investment
income to average net
assets................. 1.01%+ 1.49% 1.31% 1.80% 1.53%+
Portfolio turnover
rate................... 38%++ 124% 128% 131% 86%++
</TABLE>
- ----------
* The Value Equity Series commenced operations on January 3, 1995.
+ Annualized
++Non-annualized
See Notes to Financial Statements.
51
<PAGE>
Financial Highlights
The GCG Trust
Research Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited) 12/31/98*#
----------- ----------
<S> <C> <C>
Net asset value, beginning of period............... $ 20.31 $ 17.75
-------- --------
Income from investment operations:
Net investment income.............................. 0.00## 0.02
Net realized and unrealized gain on investments and
foreign currencies................................ 1.89 2.56
-------- --------
Total from investment operations................... 1.89 2.58
-------- --------
Less Distributions:
Dividends from net investment income............... -- (0.01)
Distributions in excess of net investment income... -- (0.01)
-------- --------
Total distributions................................ -- (0.02)
-------- --------
Net asset value, end of period..................... $ 22.20 $ 20.31
======== ========
Total return....................................... 9.31%++ 14.54%++
======== ========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)............... $802,929 $613,771
Ratio of operating expenses to average net
assets............................................ 0.92%+ 0.94%+
Ratio of net investment income to average net
assets............................................ 0.30%+ 0.23%+
Portfolio turnover rate............................ 48%++ 35%++
</TABLE>
- ----------
* The Research Series commenced operations on August 14, 1998.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
## Amount represents less than $0.01 per share.
See Notes to Financial Statements.
52
<PAGE>
Financial Highlights
The GCG Trust
Market Manager Series**
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Period
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94*
----------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $19.62 $16.47 $13.22 $12.03 $10.02 $10.00
------ ------ ------ ------ ------ ------
Income from investment
operations:
Net investment income... 0.18 0.32 0.36 0.46 0.37 0.02
Net realized and
unrealized gain on
investments and foreign
currencies............. 1.58 3.69 4.11 1.89 2.06 0.02
------ ------ ------ ------ ------ ------
Total from investment
operations............. 1.76 4.01 4.47 2.35 2.43 0.04
------ ------ ------ ------ ------ ------
Less Distributions:
Dividends from net
investment income...... -- (0.32) (0.36) (0.46) (0.37) (0.02)
Distributions from
capital gains.......... -- (0.54) (0.86) (0.70) (0.05) --
Distributions in excess
of capital gains....... -- 0.00# -- -- -- --
------ ------ ------ ------ ------ ------
Total distributions..... -- (0.86) (1.22) (1.16) (0.42) (0.02)
------ ------ ------ ------ ------ ------
Net asset value, end of
period................. $21.38 $19.62 $16.47 $13.22 $12.03 $10.02
====== ====== ====== ====== ====== ======
Total return............ 8.97%++ 24.55% 33.82% 19.40% 24.33% 0.44%++
====== ====== ====== ====== ====== ======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $7,147 $8,139 $6,791 $5,585 $5,952 $2,754
Ratio of operating
expenses to average net
assets................. 1.00%+ 1.01% 1.01% 1.02% 0.89% --
Decrease reflected in
above expense ratio due
to expense
limitations............ -- -- -- -- 0.13% 0.13%++
Ratio of net investment
income to average net
assets................. 1.71%+ 1.78% 2.19% 3.06% 3.42% 0.65%++
Portfolio turnover
rate................... -- -- -- -- 5% --
</TABLE>
- ----------
* The Market Manager Series commenced operations on November 14, 1994.
** On January 2, 1998, ING Investment Management, LLC ("IIM") became the
Portfolio Manager of the Series. From March 3, 1997 to January 1, 1998,
Equitable Investment Services, Inc., an affiliate of IIM, was the Portfolio
Manager of the Series. Prior to March 3, 1997, the Series had been advised
by other Portfolio Managers.
+ Annualized
++Non-annualized
# Amount represents less than $0.01 per share.
See Notes to Financial Statements.
53
<PAGE>
Financial Highlights
The GCG Trust
Mid-Cap Growth Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited) 12/31/98*#
----------- ----------
<S> <C> <C>
Net asset value, beginning of period............... $ 18.10 $ 15.68
-------- --------
Income/(loss) from investment operations:
Net investment income/(loss)....................... (0.01) 0.01
Net realized and unrealized gain/(loss) on
investments and foreign currencies................ 3.86 2.52
-------- --------
Total from investment operations................... 3.85 2.53
-------- --------
Less Distributions:
Dividends from net investment income............... -- (0.01)
Distributions from capital gains................... -- (0.10)
-------- --------
Total distributions................................ -- (0.11)
-------- --------
Net asset value, end of period..................... $ 21.95 $ 18.10
======== ========
Total return....................................... 21.27%++ 16.12%++
======== ========
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)............... $373,871 $252,022
Ratio of operating expenses to average net assets.. 0.92%+ 0.95%+
Ratio of net investment income/(loss) to average
net assets........................................ (0.07)%+ 0.15%+
Portfolio turnover rate............................ 73%++ 55%++
</TABLE>
- ----------
* The Mid-Cap Growth Series commenced operations on August 14, 1998.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
54
<PAGE>
Financial Highlights
The GCG Trust
All-Growth Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 14.99 $ 13.77 $ 13.39 $ 13.78 $ 11.86 $ 13.42
-------- ------- ------- ------- ------- -------
Income/(loss) from
investment operations:
Net investment
income/(loss).......... (0.04) (0.07) (0.06) 0.14 0.18 0.11
Net realized and
unrealized gain/(loss)
on investments and
foreign currencies..... 3.96 1.38 0.84 (0.23) 2.47 (1.56)
-------- ------- ------- ------- ------- -------
Total from investment
operations............. 3.92 1.31 0.78 (0.09) 2.65 (1.45)
-------- ------- ------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- -- (0.03) (0.14) (0.14) (0.11)
Distributions from
capital gains.......... -- (0.09) (0.37) (0.16) (0.59) --
-------- ------- ------- ------- ------- -------
Total distributions..... -- (0.09) (0.40) (0.30) (0.73) (0.11)
-------- ------- ------- ------- ------- -------
Net asset value, end of
period................. $ 18.91 $ 14.99 $ 13.77 $ 13.39 $ 13.78 $ 11.86
======== ======= ======= ======= ======= =======
Total return............ 26.15%++ 9.52% 5.87% (0.57)% 22.42% (10.77)%
======== ======= ======= ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $106,151 $83,930 $73,856 $78,750 $93,198 $71,218
Ratio of operating
expenses to average net
assets................. 0.97%+ 0.99% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment
income/(loss) to
average net assets..... (0.52)%+ (0.51)% (0.47)% 0.86% 1.42% 1.08%
Portfolio turnover
rate................... 195%++ 229% 325% 118% 81% 196%
</TABLE>
- ----------
* Since February 3, 1997, Pilgrim Baxter & Associates, Ltd. has served as
Portfolio Manager for the All-Growth Series. Prior to that date, a different
firm served as Portfolio Manager.
+ Annualized
++Non-annualized
See Notes to Financial Statements.
55
<PAGE>
Financial Highlights
The GCG Trust
Growth Opportunities Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited) 12/31/98*#
----------- ----------
<S> <C> <C>
Net asset value, beginning of period................ $ 9.71 $10.00
------- ------
Income/(loss) from investment operations:
Net investment income............................... 0.01 0.08
Net realized and unrealized gain/(loss) on
investments and foreign currencies................. 1.78 (0.31)
------- ------
Total from investment operations.................... 1.79 (0.23)
------- ------
Less Distributions:
Dividends from net investment income................ -- (0.06)
------- ------
Net asset value, end of period...................... $ 11.50 $ 9.71
======= ======
Total return........................................ 18.43%++ (2.28)%++
======= ======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's)................ $13,351 $9,091
Ratio of operating expenses to average net assets... 1.06%+ 1.15%+
Ratio of net investment income to average net
assets............................................. 0.35%+ 0.99%+
Portfolio turnover rate............................. 45%++ 77%++
</TABLE>
- ----------
* The Growth Opportunities Series commenced operations on February 18, 1998.
+ Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
56
<PAGE>
Financial Highlights
The GCG Trust
Strategic Equity Series**
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Period
6/30/99 Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96## 12/31/95*
----------- -------- -------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period................ $ 12.82 $ 13.63 $ 11.68 $ 10.01 $10.00
------- ------- ------- ------- ------
Income/(loss) from
investment operations:
Net investment income..... 0.01 0.16 0.20 0.23 0.06
Net realized and
unrealized gain/(loss) on
investments and foreign
currencies............... 1.29 (0.07) 2.49 1.71 (0.03)#
------- ------- ------- ------- ------
Total from investment
operations............... 1.30 0.09 2.69 1.94 0.03
------- ------- ------- ------- ------
Less Distributions:
Dividends from net
investment income........ -- (0.16) (0.19) (0.14) (0.02)
Distributions from capital
gains.................... -- (0.59) (0.55) (0.13) --
Distributions in excess of
capital gains............ -- (0.15) -- -- --
------- ------- ------- ------- ------
Total distributions....... -- (0.90) (0.74) (0.27) (0.02)
------- ------- ------- ------- ------
Net asset value, end of
period................... $ 14.12 $ 12.82 $ 13.63 $ 11.68 $10.01
======= ======= ======= ======= ======
Total return.............. 10.14%++ 0.84% 23.16% 19.39% 0.33%++
======= ======= ======= ======= ======
Ratios to average net
assets/supplemental data:
Net assets, end of period
(in 000's)............... $93,536 $73,261 $51,789 $30,423 $8,067
Ratio of operating
expenses to average net
assets................... 0.96%+ 0.99% 0.99% 1.00% 1.00%+
Ratio of net investment
income to average net
assets................... 0.30%+ 1.46% 1.88% 2.05% 4.04%+
Portfolio turnover rate... 156%++ 139% 105% 133% 29%++
</TABLE>
- ----------
* The Strategic Equity Series commenced operations on October 2, 1995.
** Since March 1, 1999 A I M Capital Management, Inc. has served as Portfolio
Manager for the Strategic Equity Series. Prior to that date, a different
firm served as Portfolio Manager.
+ Annualized
++Non-annualized
# The amount shown may not accord with the change in the aggregate gains and
losses of portfolio securities due to timing of sales and redemption of
Series shares.
## Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
57
<PAGE>
Financial Highlights
The GCG Trust
Capital Appreciation Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 18.09 $ 17.65 $ 15.06 $ 13.51 $ 11.34 $ 11.76
-------- -------- -------- -------- -------- -------
Income/(loss) from
investment operations:
Net investment income... 0.00# 0.15 0.16 0.16 0.19 0.23
Net realized and
unrealized gain/(loss)
on investments and
foreign securities..... 1.78 2.07 4.19 2.57 3.22 (0.42)
-------- -------- -------- -------- -------- -------
Total from investment
operations............. 1.78 2.22 4.35 2.73 3.41 (0.19)
-------- -------- -------- -------- -------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.15) (0.16) (0.17) (0.15) (0.23)
Distributions from
capital gains.......... -- (1.63) (1.60) (1.01) (1.09) --
-------- -------- -------- -------- -------- -------
Total distributions..... -- (1.78) (1.76) (1.18) (1.24) (0.23)
-------- -------- -------- -------- -------- -------
Net asset value, end of
period................. $ 19.87 $ 18.09 $ 17.65 $ 15.06 $ 13.51 $ 11.34
======== ======== ======== ======== ======== =======
Total return............ 9.84%++ 12.68% 28.95% 20.26% 30.16% (1.59)%
======== ======== ======== ======== ======== =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $303,460 $263,313 $193,986 $148,752 $122,227 $88,890
Ratio of operating
expenses to average net
assets................. 0.97%+ 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment
income to average net
assets................. 0.04%+ 0.95% 0.95% 1.12% 1.53% 1.96%
Portfolio turnover
rate................... 95%++ 64% 51% 64% 98% 84%
</TABLE>
- -------------
* Since April 1, 1999 A I M Capital Management, Inc. has served as the
Portfolio Manager for the Capital Appreciation Series. Prior to that date, a
different firm served as Portfolio Manager.
# Amount represents less than $0.01 per share.
+Annualized
++Non-annualized
See Notes to Financial Statements.
58
<PAGE>
Financial Highlights
The GCG Trust
Small Cap Series
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year
6/30/99 Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96*
----------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period...................... $ 16.03 $ 13.25 $ 12.01 $ 10.00
-------- -------- ------- -------
Income/(loss) from investment
operations:
Net investment loss.......... (0.04) (0.03) (0.03) (0.01)
Net realized and unrealized
gain on investments and
foreign currencies.......... 2.78 2.81 1.27 2.02
-------- -------- ------- -------
Total from investment
operations.................. 2.74 2.78 1.24 2.01
-------- -------- ------- -------
Net asset value, end of
period...................... $ 18.77 $ 16.03 $ 13.25 $ 12.01
======== ======== ======= =======
Total return................. 17.09%++ 20.98% 10.32% 20.10%++
======== ======== ======= =======
Ratios to average net
assets/supplemental data:
Net assets, end of period (in
000's)...................... $217,572 $147,696 $66,396 $34,365
Ratio of operating expenses
to average net assets....... 0.97%+ 0.99% 0.99% 0.99%++
Ratio of net investment loss
to average net assets....... (0.55)%+ (0.32)% (0.34)% (0.08)%++
Portfolio turnover rate...... 54%++ 133% 130% 117%++
</TABLE>
- -------------
* The Small Cap Series commenced operations on January 3, 1996.
+Annualized
++Non-annualized
See Notes to Financial Statements.
59
<PAGE>
Financial Highlights
The GCG Trust
Real Estate Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 13.58 $ 18.27 $ 15.98 $ 12.63 $ 11.29 $ 11.18
------- ------- ------- ------- ------- -------
Income/(loss) from
investment operations:
Net investment income... 0.37 0.83 0.69 0.70 0.75 0.60
Net realized and
unrealized gain/(loss)
on investments
and foreign
currencies............. 0.28 (3.34) 2.93 3.70 1.12 0.11#
------- ------- ------- ------- ------- -------
Total from investment
operations............. 0.65 (2.51) 3.62 4.40 1.87 0.71
------- ------- ------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.66) (0.63) (0.77) (0.53) (0.60)
Distributions from
capital gains.......... -- (1.52) (0.70) (0.28) -- --
------- ------- ------- ------- ------- -------
Total distributions..... -- (2.18) (1.33) (1.05) (0.53) (0.60)
------- ------- ------- ------- ------- -------
Net asset value, end of
period................. $ 14.23 $ 13.58 $ 18.27 $ 15.98 $ 12.63 $ 11.29
======= ======= ======= ======= ======= =======
Total return............ 4.79%++ (13.45)% 22.79% 35.30% 16.59% 6.34%
======= ======= ======= ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $69,164 $69,911 $75,530 $51,135 $34,975 $37,336
Ratio of operating
expenses to average net
assets................. 0.97%+ 0.99% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment
income to average net
assets................. 5.12%+ 5.26% 4.49% 5.53% 5.79% 5.31%
Portfolio turnover
rate................... 22%++ 29% 41% 31% 53% 64%
</TABLE>
- -------------
* 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.
+Annualized
++Non-annualized
See Notes to Financial Statements.
60
<PAGE>
Financial Highlights
The GCG Trust
Hard Assets Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 9.60 $ 15.05 $ 17.85 $ 15.04 $ 13.88 $ 13.89
------- ------- ------- ------- ------- -------
Income/(loss) from
investment operations:
Net investment income... 0.08 0.26 0.14 0.05 0.15 0.13
Net realized and
unrealized gain/(loss)
on investments
and foreign
currencies............. 1.96 (4.73) 0.99 4.92 1.34 0.23
------- ------- ------- ------- ------- -------
Total from investment
operations............. 2.04 (4.47) 1.13 4.97 1.49 0.36
------- ------- ------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.26) (0.13) (0.07) (0.13) (0.13)
Distributions from
capital gains.......... -- (0.72) (3.80) (2.09) (0.20) (0.24)
------- ------- ------- ------- ------- -------
Total distributions..... -- (0.98) (3.93) (2.16) (0.33) (0.37)
------- ------- ------- ------- ------- -------
Net asset value, end of
period................. $ 11.64 $ 9.60 $ 15.05 $ 17.85 $ 15.04 $ 13.88
======= ======= ======= ======= ======= =======
Total return............ 21.25%++ (29.58)% 6.22% 33.17% 10.69% 2.53%
======= ======= ======= ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $41,014 $30,530 $46,229 $43,903 $27,147 $32,879
Ratio of operating
expenses to average net
assets................. 0.97%+ 1.00% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment
income to average net
assets................. 1.76%+ 1.99% 0.76% 0.34% 0.89% 1.01%
Portfolio turnover
rate................... 100%++ 178% 124% 96% 24% 25%
</TABLE>
- -------------
* Prior to January 23, 1997, the Hard Assets Series was named the Natural
Resources Series. Since March 1, 1999, Baring International Investment Ltd.
has served as Portfolio Manager for the Hard Assets Series. Prior to that
date, a different firm served as Portfolio Manager.
+Annualized
++Non-annualized
See Notes to Financial Statements.
61
<PAGE>
Financial Highlights
The GCG Trust
Managed Global Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96**# 12/31/95# 12/31/94#
----------- -------- -------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 14.19 $ 11.46 $ 11.13 $ 9.96 $ 9.26 $ 10.67
-------- -------- -------- ------- ------- -------
Income/(loss) from
investment operations:
Net investment
income/(loss).......... (0.03) (0.02) 0.02 0.04 0.05 0.07
Net realized and
unrealized gain/(loss)
on investments and
foreign currency....... 1.05 3.37 1.33 1.18 0.65 (1.48)
-------- -------- -------- ------- ------- -------
Total from investment
operations............. 1.02 3.35 1.35 1.22 0.70 (1.41)
-------- -------- -------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- (0.05) (0.17) -- -- --
Dividends in excess of
net investment income.. -- 0.00## (0.07) -- -- --
Distributions from
capital gains.......... -- (0.57) (0.78) (0.05) -- --
-------- -------- -------- ------- ------- -------
Total distributions..... -- (0.62) (1.02) (0.05) -- --
-------- -------- -------- ------- ------- -------
Net asset value, end of
period................. $ 15.21 $ 14.19 $ 11.46 $ 11.13 $ 9.96 $ 9.26
======== ======== ======== ======= ======= =======
Total return............ 7.19%++ 29.31% 12.17% 12.27% 7.56% (13.21)%
======== ======== ======== ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $131,312 $134,078 $105,305 $86,376 $72,375 $86,209
Ratio of operating
expenses to average net
assets................. 1.25%+ 1.26% 1.36% 1.26% 1.26% 1.31%
Decrease reflected in
above expense ratio due
to expense
limitations............ -- -- -- -- 0.09% 0.09%
Ratio of net investment
income/(loss) to
average net assets..... (0.41)%+ (0.17)% 0.06% 0.39% 0.51% 0.69%
Portfolio turnover
rate................... 52%++ 173% 199% 141% 44% N/A
</TABLE>
- -------------
* Since March 3, 1997, Putnam Investment Management, Inc. has served as
Portfolio Manager of the Account. Prior to that date, different firms served
as Portfolio Manager.
** On September 3, 1996, the Managed Global Account of Separate Account D of
Golden American Life Insurance Company was reorganized into the Trust. Net
investment income and net realized gains earned prior to September 3, 1996
are not subject to Internal Revenue Code distribution requirements for
regulated investment companies. Financial highlights from prior periods
have been restated to account for the entity as if it had been a regulated
investment company since the commencement of operations.
+Annualized
++Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
## Amount represents less than $0.01 per share.
See Notes to Financial Statements.
62
<PAGE>
Financial Highlights
The GCG Trust
Developing World Series**
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Period
6/30/99 Ended
(Unaudited)## 12/31/98*##
------------- -----------
<S> <C> <C>
Net asset value, beginning of period.............. $ 7.37 $ 10.00
------- -------
Income/(loss) from investment operations:
Net investment income/(loss)...................... 0.12 0.04
Net realized and unrealized gain/(loss) on
investments and foreign currencies............... 2.04 (2.67)
------- -------
Total from investment operations.................. 2.16 (2.63)
------- -------
Less Distributions:
Dividends from net investment income.............. -- 0.00#
Dividends in excess of net investment income...... -- 0.00#
------- -------
Total distributions............................... -- 0.00#
------- -------
Net asset value, end of period.................... $ 9.53 $ 7.37
======= =======
Total return...................................... 29.31%++ (26.27)%++
======= =======
Ratios to average net assets/supplemental data:
Net assets, end of period (in 000's).............. $26,830 $ 8,797
Ratio of operating expenses to average net
assets........................................... 1.74%+ 1.83%+
Ratio of net investment income to average net
assets........................................... 3.08%+ 0.69%+
Portfolio turnover rate........................... 107%++ 67%++
</TABLE>
- -------------
* The Developing World Series commenced operations on February 18, 1998.
** Since March 1, 1999, Baring International Investment Ltd. has served as
Portfolio Manager for the Developing World Series. Prior to that date, a
different firm served as Portfolio Manager.
+Annualized
++Non-annualized
# Amount represents less than 0.01 per share.
## Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
See Notes to Financial Statements.
63
<PAGE>
Financial Highlights
The GCG Trust
Emerging Markets Series*
For a share of beneficial interest outstanding throughout each period.
<TABLE>
<CAPTION>
Six Months
Ended Year Year Year Year Year
6/30/99 Ended Ended Ended Ended Ended
(Unaudited) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 6.68 $ 8.80 $ 9.72 $ 9.06 $ 10.08 $ 12.44
------- ------- ------- ------- ------- -------
Income/(loss) from
investment operations:
Net investment
income/(loss).......... 0.10 0.06 (0.01) 0.04 0.04 --
Net realized and
unrealized gain/(loss)
on investments
and foreign
currencies............. 2.62 (2.18) (0.90) 0.62 (1.06) (1.89)
------- ------- ------- ------- ------- -------
Total from investment
operations............. 2.72 (2.12) (0.91) 0.66 (1.02) (1.89)
------- ------- ------- ------- ------- -------
Less Distributions:
Dividends from net
investment income...... -- -- (0.01) -- -- --
Distributions from
capital gains.......... -- -- -- -- (0.00)# (0.47)
------- ------- ------- ------- ------- -------
Total distributions..... -- -- (0.01) -- (0.00) (0.47)
------- ------- ------- ------- ------- -------
Net asset value, end of
period................. $ 9.40 $ 6.68 $ 8.80 $ 9.72 $ 9.06 $ 10.08
======= ======= ======= ======= ======= =======
Total return............ 40.72%++ (24.09)% (9.37)% 7.28% (10.11)% (15.18)%
======= ======= ======= ======= ======= =======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000's)...... $37,230 $26,028 $39,436 $51,510 $47,974 $65,224
Ratio of operating
expenses to average net
assets................. 1.76%+ 1.83% 1.80% 1.55% 1.53% 1.73%
Ratio of net investment
income/(loss) to
average net assets..... 2.78%+ 0.83% (0.09)% 0.38% 0.40% 0.03%
Portfolio turnover
rate................... 93%++ 108% 170% 136% 141% 106%
</TABLE>
- -------------
* Since March 3, 1997, Putnam Investment Management, Inc. has served as
Portfolio Manager for the Emerging Markets Series. Prior to that date, a
different firm served as Portfolio Manager.
+Annualized
++Non-annualized
# Amount represents less than $0.01 per share.
See Notes to Financial Statements.
64
<PAGE>
Portfolio of Investments
The GCG Trust
Liquid Asset Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
CORPORATE DEBT SECURITIES -- 7.3%
Depository Institutions -- 0.6%
$ 2,000,000 Toronto Dominion Bank, 5.640%** due 07/14/1999..... $ 2,000,133
------------
Miscellaneous Business Credit Institutions -- 3.0%
Xerox Credit Corporation:
5,000,000 4.915%** due 10/12/1999............................ 4,998,250
2,000,000 5.113%** due 03/21/2000............................ 1,999,486
3,300,000 5.635%** due 07/14/2000............................ 3,297,871
------------
10,295,607
------------
Personal Credit Institutions -- 2.0%
3,000,000 Chrysler Financial Corporation, 5.850%** due
05/15/2000........................................ 3,018,901
1,000,000 Ford Motor Credit Corporation, 7.470%** due
07/29/1999........................................ 1,001,887
3,000,000 Toyota Motor Credit Corporation, 5.011%** due
09/23/1999........................................ 3,000,000
------------
7,020,788
------------
Pharmaceuticals -- 0.5%
1,905,000 American Home Products Corporation, 7.700%** due
02/15/2000........................................ 1,930,426
------------
Security Brokers -- 1.2%
2,000,000 Goldman Sachs Group, Inc.,
5.400%** due 02/25/2000........................... 2,000,000
2,000,000 Merrill Lynch & Company, 5.400%** due 02/15/2000... 2,005,627
------------
4,005,627
------------
Total Corporate Debt Securities
(Cost $25,252,581)................................ 25,252,581
------------
COMMERCIAL PAPER -- 88.7%
Asset Backed Securities -- 8.2%
Corporate Asset Funding Company:
5,000,000 5.279%+ due 07/08/1999............................. 4,994,847
4,527,000 4.933%+ due 07/16/1999............................. 4,517,927
3,000,000 4.920%+ due 07/19/1999............................. 2,992,800
Delaware Funding Corporation:
5,000,000 5.230%+ due 07/14/1999............................. 4,990,846
8,000,000 5.111%+ due 07/19/1999............................. 7,979,920
3,000,000 4.913%+ due 07/20/1999............................. 2,992,400
------------
28,468,740
------------
Chemicals & Allied Products -- 0.6%
2,000,000 Du Pont (E.I.) De Nemours & Company,
4.911%+ due 07/14/1999............................ 1,996,569
------------
Communications -- 10.1%
14,171,000 AT&T Corporation, 4.871%+ to 7.301%+ due
07/01/1999........................................ 14,171,000
BellSouth Corporation:
3,000,000 5.008%+ due 07/12/1999............................. 2,995,444
10,000,000 4.972%+ due 07/13/1999............................. 9,983,567
3,110,000 5.095%+ due 07/14/1999............................. 3,104,452
Lucent Technologies, Inc.:
3,000,000 5.174%+ due 02/03/2000............................. 2,911,211
2,000,000 5.307%+ due 02/09/2000............................. 1,937,560
------------
35,103,234
------------
Construction Machinery & Equipment -- 5.2%
Caterpillar Financial Services Corporation:
10,000,000 5.000%+ due 07/12/1999............................. 9,985,150
3,209,000 4.920%+ due 07/19/1999............................. 3,201,298
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
Construction Machinery & Equipment -- (Continued)
Deere & Company:
$ 3,000,000 4.952%+ due 07/28/1999............................. $ 2,989,178
2,000,000 4.956%+ due 09/08/1999............................. 1,981,638
------------
18,157,264
------------
Depository Institutions -- 0.6%
2,102,000 Abbey National North America,
4.900%+ due 07/15/1999............................ 2,098,068
------------
Electric, Gas & Sanitary Services -- 9.3%
Consolidated Natural Gas:
8,000,000 7.301%+ due 07/01/1999............................. 8,000,000
5,000,000 5.095%+ due 07/08/1999............................. 4,995,120
3,000,000 5.055%+ due 07/15/1999............................. 2,994,108
9,168,000 Florida Power Corporation, 5.055%+ due 07/06/1999.. 9,161,710
Southern California Edison Company:
4,000,000 5.009%+ due 07/08/1999............................. 3,996,205
3,000,000 4.954%+ due 07/14/1999............................. 2,994,778
------------
32,141,921
------------
Entertainment -- 5.4%
3,000,000 Hasbro, Inc.,
5.040%+ due 09/13/1999............................ 2,969,907
Disney (Walt) Company:
9,000,000 4.963%+ due 07/02/1999............................. 8,998,775
4,000,000 4.986%+ due 11/09/1999............................. 3,930,424
3,000,000 4.996%+ due 11/17/1999............................. 2,944,516
------------
18,843,622
------------
Food & Kindred Products -- 7.8%
Coca-Cola Company,
11,025,000 7.301%+ due 07/01/1999............................. 11,025,000
3,000,000 4.926%+ due 07/06/1999............................. 2,997,992
3,000,000 4.966%+ due 07/30/1999............................. 2,988,279
2,000,000 General Mills, Inc., 5.292%+ due 02/16/2000........ 1,935,856
Heinz (H.J.) Company:
2,500,000 4.569%+ due 07/06/1999............................. 2,498,247
5,525,000 4.967%+ to 5.405%+ due 07/21/1999.................. 5,509,652
------------
26,955,026
------------
Insurance -- 1.4%
5,000,000 American General Corporation,
4.880%+ due 07/01/1999............................ 5,000,000
------------
Miscellaneous Business Credit Institutions -- 6.1%
17,000,000 Exxon Asset Management, 7.301%+ due 07/01/1999..... 17,000,000
4,155,000 Xerox Credit Corporation, 5.220%+ due 07/06/1999... 4,151,913
------------
21,151,913
------------
Miscellaneous Retail -- 2.1%
Toys 'R' Us, Inc.:
6,625,000 5.225%+ due 07/08/1999............................. 6,618,404
579,000 5.055%+ due 07/09/1999............................. 578,350
------------
7,196,754
------------
Multimedia -- 4.0%
Gannett Company, Inc.:
10,000,000 5.008%+ due 07/07/1999............................. 9,991,833
4,000,000 4.950%+ due 07/08/1999............................. 3,996,189
------------
13,988,022
------------
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Liquid Asset Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
COMMERCIAL PAPER -- (Continued)
Personal Credit Institutions -- 18.0%
American Express Credit Corporation:
$ 6,000,000 4.950%+ due 07/09/1999............................. $ 5,993,400
3,000,000 4.912%+ due 07/13/1999............................. 2,995,200
3,000,000 4.924%+ due 08/11/1999............................. 2,983,634
3,000,000 4.995%+ due 11/17/1999............................. 2,944,516
3,000,000 American General Finance Corporation, 4.983%+ due
07/07/1999........................................ 2,997,585
Ford Motor Credit Corporation:
3,000,000 5.478%+ due 07/02/1999............................. 2,999,563
8,976,000 5.095%+ due 07/16/1999............................. 8,957,225
3,000,000 4.959%+ due 08/10/1999............................. 2,984,000
3,000,000 4.946%+ due 10/20/1999............................. 2,955,970
General Electric Capital Corporation:
10,000,000 5.318%+ due 07/06/1999............................. 9,992,945
3,000,000 4.983%+ due 07/30/1999............................. 2,988,255
1,600,000 4.973%+ due 08/06/1999............................. 1,592,288
3,000,000 5.009%+ due 08/17/1999............................. 2,980,926
Household Finance Corporation:
5,000,000 5.020%+ due 07/12/1999............................. 4,992,422
4,000,000 4.966%+ due 07/28/1999............................. 3,985,480
------------
62,343,409
------------
Pharmaceuticals -- 0.6%
2,000,000 Schering Corporation, 4.928%+ due 07/07/1999....... 1,998,400
------------
Publishing -- 0.6%
2,225,000 Donnelley (R.R.) & Sons Company, 5.024%+ due
07/06/1999........................................ 2,223,402
------------
Security Brokers -- 7.3%
Goldman Sachs Group, Inc.:
3,000,000 4.935%+ due 07/01/1999............................. 3,000,000
4,000,000 5.063%+ due 07/06/1999............................. 3,997,178
2,141,000 4.978%+ due 09/08/1999............................. 2,121,303
Merrill Lynch & Company, Inc.:
5,565,000 4.966%+ due 07/09/1999............................. 5,558,990
2,000,000 4.948%+ due 07/16/1999............................. 1,995,992
3,967,000 5.193%+ to 5.451%+ due 02/02/2000.................. 3,848,206
5,000,000 Morgan Stanley Dean Witter & Company, 5.482%+ due
07/07/1999........................................ 4,995,583
------------
25,517,252
------------
Transportation Equipment -- 1.4%
5,000,000 DaimlerChrysler North America Holding Corporation,
4.963%+ to 4.983%+ due 07/14/1999................. 4,991,279
------------
Total Commercial Paper (Cost $308,174,875)......... 308,174,875
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY NOTES -- 4.2%
Federal Farm Credit Bank -- 0.4%
$ 1,499,710 5.020%+ due 03/01/2000............................. $ 1,499,710
------------
Federal Home Loan Bank -- 2.0%
1,000,000 4.915%+ due 01/13/2000............................. 1,000,129
2,000,000 5.100%+ due 03/03/2000............................. 1,999,403
4,000,000 5.260%+ due 05/26/2000............................. 3,999,653
------------
6,999,185
------------
Federal Home Loan Mortgage Corporation -- 0.6%
2,000,000 4.910%+ due 08/20/1999............................. 1,986,889
------------
Federal National Mortgage Association -- 1.2%
4,000,000 4.980%+ due 04/20/2000............................. 3,999,068
------------
Total U.S. Government Agency Notes
(Cost $14,484,852)................................ 14,484,852
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $347,912,308*)..................... 100.2% 347,912,308
OTHER ASSETS AND LIABILITIES (Net)......................... (0.2) (703,921)
----- ------------
NET ASSETS................................................. 100.0% $347,208,387
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Variable Rate Note. Rate shown is in effect as of 6/30/99.
+ Annualized yield at date of purchase.
See Notes to Financial Statements.
66
<PAGE>
Portfolio of Investments
The GCG Trust
Limited Maturity Bond Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
CORPORATE BONDS -- 38.4%
Finance, Insurance & Real Estate -- 16.4%
AT&T Capital Corporation,
$ 2,000,000 7.500% due 11/15/2000.............................. $ 2,012,560
2,000,000 6.875% due 01/16/2001.............................. 1,994,900
3,000,000 Capital One Bank, 6.375% due 02/15/2003............ 2,943,330
2,000,000 Donaldson Lufkin & Jenrette,
5.875% due 04/01/2002............................. 1,965,000
530,000 First Fidelity Bancorp, 9.625% due 08/15/1999...... 532,382
2,500,000 Ford Motor Credit Company, 5.750% due 02/23/2004... 2,415,625
2,000,000 IOS Capital, Inc.,
6.330% due 12/08/2000............................. 1,980,488
Lehman Brothers Holdings,
2,000,000 6.375% due 03/15/2001.............................. 1,987,759
500,000 6.625% due 12/27/2002.............................. 491,949
2,000,000 6.625% due 04/01/2004.............................. 1,953,364
4,000,000 Marsh & McLennan Companies, Inc., 6.625% due
06/15/2004........................................ 4,010,315
1,500,000 Northern Trust Capital, 5.520%++ due 01/15/2027.... 1,466,250
Paine Webber Group, Inc.:
3,000,000 6.375%++ due 05/15/2004............................ 2,919,134
350,000 5.780% due 07/24/2003.............................. 350,329
1,000,000 Spieker Properties, Inc., 6.800% due 05/01/2004.... 982,983
2,000,000 Transamerica Finance Corporation, 5.920% due
03/29/2002........................................ 1,969,138
------------
29,975,506
------------
Manufacturing -- 5.8%
1,000,000 Dana Corporation, 6.250% due 03/01/2004............ 980,989
1,000,000 Hercules, Inc.,
6.150% due 08/01/2000............................. 999,637
1,000,000 News America Holdings, Inc.,
8.625% due 02/01/2003............................. 1,054,947
500,000 Phillip Morris Companies, Inc.,
6.000% due 11/15/1999............................. 500,049
1,000,000 Raytheon Company, 6.450% due 08/15/2002............ 1,000,970
3,000,000 R.J. Reynolds Tobacco Holdings, Inc., 7.375% due
05/15/2003**...................................... 2,956,488
3,000,000 TRW, Inc.,
6.500% due 06/01/2002**........................... 2,988,627
------------
10,481,707
------------
Oil and Gas -- 2.0%
3,680,000 El Paso Natural Gas Company,
6.750% due 11/15/2003............................. 3,666,001
------------
Retail Trade -- 1.9%
1,000,000 Kroger Company, 6.340% due 06/01/2001**............ 999,890
1,000,000 The Limited, Inc., 9.125% due 02/01/2001........... 1,037,500
500,000 Penney (J.C.) & Company, Inc.,
6.950% due 04/01/2000............................. 501,230
1,000,000 Rite Aid Corporation, 5.500% due 12/15/2000**...... 980,942
------------
3,519,562
------------
Services -- 4.9%
3,000,000 Comdisco, Inc.,
5.950% due 04/30/2002............................. 2,947,358
3,000,000 Service Corporation International, 6.750% due
06/01/2001........................................ 2,982,270
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
Services -- (Continued)
$ 3,000,000 Waste Management, Inc., 7.125% due 06/15/2001**.... $ 3,035,957
------------
8,965,585
------------
Telecommunications -- 6.0%
4,000,000 Alltel Corporation,
7.250% due 04/01/2004............................. 4,124,411
2,000,000 AT&T Corporation,
5.625% due 03/15/2004............................. 1,938,495
3,000,000 Sprint Capital Corporation,
5.875% due 05/01/2004............................. 2,894,364
2,000,000 Telecom De Puerto Rico,
6.150% due 05/15/2002**........................... 1,980,768
------------
10,938,038
------------
Transportation -- 0.8%
1,330,000 AMR Corporation,
9.500% due 05/15/2001............................. 1,392,496
------------
Utilities -- 0.6%
1,000,000 Great Lakes Power, Inc.,
8.900% due 12/01/1999............................. 1,010,090
------------
Total Corporate Debt Securities
(Cost $70,635,058)................................ 69,948,985
------------
YANKEE BONDS -- U.S. DOLLAR DENOMINATED -- 0.6%
(Cost $1,092,198)
Manufacturing -- 0.6%
1,060,000 Carter Holt Harvey Ltd.,
7.625% due 04/15/2002............................. 1,071,780
------------
ASSET-BACKED SECURITIES -- 4.8%
3,000,000 Banc One Home Equity Trust,
6.690% due 06/25/2029............................. 2,999,688
2,000,000 Garanti Trade Payment Rts.,
10.810% due 06/15/2004**.......................... 2,000,000
2,000,000 Green Tree Home Equity Loan,
5.980% due 04/15/2018............................. 1,979,990
1,000,000 Green Tree Lease Finance,
5.550% due 12/20/2000............................. 999,555
750,000 MBNA Master Credit Card Trust,
5.240% due 11/15/2001............................. 749,295
------------
Total Asset-Backed Securities
(Cost $8,749,271)................................. 8,728,528
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.4%
Federal Home Loan Bank (FHLB) -- 1.1%
2,000,000 5.125% due 02/26/2002.............................. 1,962,500
------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 0.1%
5,766 Pool #350042
6.250% due 01/01/2017............................. 5,813
102,495 Pool #846224
6.656% due 07/01/2024............................. 103,648
------------
109,461
------------
Federal Home Loan Mortgage Corporation (Gold) (FGLMC) -- 2.4%
477,934 Pool #E20197
7.000% due 10/01/2010............................. 480,472
522,297 Pool #E61721
6.500% due 11/01/2010............................. 515,931
216,395 Pool #E65976
6.500% due 04/01/2011............................. 213,757
255,829 Pool #E65441
7.500% due 04/01/2011............................. 260,145
577,389 Pool #G10555
6.000% due 06/01/2011............................. 557,718
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Limited Maturity Bond Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS --(Continued)
Federal Home Loan Mortgage Corporation (Gold) (FGLMC) --
(Continued)
$ 454,110 Pool #E00543
6.000% due 03/01/2013.............................. $ 438,638
406,685 Pool #E00538
6.500% due 03/01/2013.............................. 401,728
909,580 Pool #E70003
6.000% due 04/01/2013.............................. 878,590
203,478 Pool #C00374
9.000% due 09/01/2024.............................. 215,750
269,374 Pool #D58465
9.000% due 01/01/2025.............................. 285,620
188,105 Pool #C80428
8.000% due 09/01/2026.............................. 193,102
------------
4,441,451
------------
Federal National Mortgage Association (FNMA) -- 3.0%
1,000,000 6.800% due 01/10/2003............................... 1,024,013
64,323 Pool #70355
8.500% due 03/01/2004.............................. 66,714
4,704 Pool #44026
8.500% due 08/01/2006.............................. 4,878
101,831 Pool #127336
8.500% due 08/01/2006.............................. 105,617
261,044 Pool #341094
6.500% due 04/01/2011.............................. 257,371
313,340 Pool #344243
6.500% due 04/01/2011.............................. 308,931
646,418 Pool #414154
6.000% due 02/01/2013.............................. 624,394
922,664 Pool #425894
6.000% due 04/01/2013.............................. 891,229
620,805 Pool #379881
6.500% due 04/01/2013.............................. 612,070
652,241 Pool #419878
6.500% due 04/01/2013.............................. 643,064
100,016 Pool #103363
7.820% due 12/01/2017.............................. 103,923
232,609 Pool #299481
8.000% due 04/01/2025.............................. 238,641
119,924 Pool #332150
8.500% due 12/01/2025.............................. 125,208
484,760 Pool #397498
7.500% due 08/01/2027.............................. 490,059
------------
5,496,112
------------
Government National Mortgage Association (GNMA) -- 1.8%
158,456 Pool #351992
6.000% due 12/15/2008.............................. 153,207
138,985 Pool #368358
6.000% due 01/15/2009.............................. 134,381
432,900 Pool #430587
6.500% due 02/15/2013.............................. 427,623
888,505 Pool #456797
6.000% due 04/15/2013.............................. 859,069
5,036 Pool #147899
10.000% due 02/15/2016............................. 5,486
6,166 Pool #161670
9.500% due 09/15/2016.............................. 6,646
409,801 Pool #192568
8.000% due 05/15/2017.............................. 421,197
118,542 Pool #223830
8.000% due 06/15/2017.............................. 121,839
64,420 Pool #229269
8.000% due 07/15/2017.............................. 66,211
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
Government National Mortgage Association (GNMA) --(Continued)
$ 13,033 Pool #284666
9.500% due 03/15/2020............................. $ 14,047
18,161 Pool #286024
10.000% due 04/15/2020............................ 19,784
115,490 Pool #308911
9.500% due 07/15/2021............................. 124,476
259,563 Pool #388581
7.500% due 01/15/2024............................. 262,320
96,116 Pool #398795
8.500% due 07/15/2026............................. 100,621
122,782 Pool #399003
9.000% due 12/15/2026............................. 130,378
512,008 Pool #452930
7.500% due 07/15/2027............................. 517,446
------------
3,364,731
------------
Total U.S. Government Agency Obligations (Cost
$15,677,144)...................................... 15,374,255
------------
U.S. TREASURY OBLIGATIONS -- 37.9%
U.S. Treasury Notes:
5,000,000 8.750% due 08/15/2000.............................. 5,184,250
1,000,000 5.750% due 11/15/2000.............................. 1,004,490
2,500,000 4.625% due 12/31/2000.............................. 2,471,775
8,000,000 5.000% due 02/28/2001.............................. 7,944,000
5,000,000 5.625% due 02/28/2001.............................. 5,014,900
2,000,000 4.875% due 03/31/2001.............................. 1,980,240
4,500,000 5.000% due 04/30/2001.............................. 4,464,000
6,000,000 6.625% due 06/30/2001.............................. 6,122,580
4,000,000 5.875% due 11/30/2001.............................. 4,021,600
3,000,000 6.250% due 01/31/2002.............................. 3,043,230
2,000,000 6.250% due 02/28/2002.............................. 2,028,120
2,000,000 6.625% due 04/30/2002.............................. 2,049,100
5,000,000 6.250% due 06/30/2002.............................. 5,076,150
2,000,000 6.000% due 07/31/2002.............................. 2,017,740
3,000,000 5.875% due 09/30/2002.............................. 3,014,160
1,000,000 5.625% due 12/31/2002.............................. 997,020
1,000,000 5.500% due 01/31/2003.............................. 991,950
3,000,000 5.500% due 02/28/2003.............................. 2,975,250
5,000,000 5.250% due 08/15/2003.............................. 4,903,600
3,500,000 4.750% due 02/15/2004.............................. 3,355,625
500,000 5.875% due 02/15/2004.............................. 501,860
------------
Total U.S. Treasury Obligations
(Cost $69,763,143)................................ 69,161,640
------------
DISCOUNT COMMERCIAL PAPER -- 8.5%
9,368,000 IBM Credit Corporation,
4.940%+ due 07/06/1999............................ 9,361,598
6,184,000 Wal-Mart Stores, Inc.,
7.301%+ due 07/01/1999............................ 6,184,000
------------
Total Discount Commercial Paper
(Cost $15,545,598)................................ 15,545,598
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $181,462,412*)..................... 98.6% 179,830,786
OTHER ASSETS AND LIABILITIES (Net)......................... 1.4 2,588,943
----- ------------
NET ASSETS................................................. 100.0% $182,419,729
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** 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.
+ Annualized yield at date of purchase.
++Floating Rate security. Rate shown is in effect at 06/30/1999.
See Notes to Financial Statements.
68
<PAGE>
Portfolio of Investments
The GCG Trust
Global Fixed Income Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
GOVERNMENT BONDS -- 95.3%
Australia -- 4.7% (AUD)
$ 750,000 Queensland Treasury
Corporation,
6.500% due 06/14/2005... $ 501,911
920,000 Queensland Treasury
Corporation, Global,
8.000% due 05/14/2003... 648,259
-----------
1,150,170
-----------
Canada -- 2.7% (CAD)
980,000 Government of Canada,
5.250% due 09/01/2003... 662,257
-----------
Denmark -- 4.4% (EUR)
Kingdom of Denmark:
4,675,000 6.000% due 11/15/2002... 688,651
2,610,000 5.000% due 08/15/2005... 371,682
-----------
1,060,333
-----------
France -- 11.7% (EUR)
Government of France:
703,000 4.000% due 07/12/2000... 732,376
714,000 7.000% due 10/12/2000... 772,852
623,000 5.500% due 04/25/2029... 650,510
614,000 Obligation Assimilable
du Tresor,
5.500% due 04/25/2004... 678,090
-----------
2,833,828
-----------
Germany -- 13.1% (EUR)
526,000 Bundesobligation,
4.500% due 05/17/2002... 556,787
Bundesrepublik:
639,000 6.000% due 01/04/2007... 724,562
400,000 3.750% due 01/04/2009... 389,101
German Federal Republic:
447,000 5.125% due 11/21/2000... 473,301
76,000 5.250% due 02/21/2001... 80,910
665,000 6.750% due 07/15/2004... 771,927
153,000 6.000% due 01/05/2006... 173,313
-----------
3,169,901
-----------
Japan -- 1.8% (GBP)
250,000 Japan Financial
Corporation for
Municipal Enterprises,
8.375% due 12/07/2006... 441,468
-----------
Netherlands -- 3.4% (EUR)
730,000 Dutch Government,
6.000% due 01/15/2006... 825,716
-----------
Spain -- 3.3% (EUR)
760,000 Government of Spain,
4.500% due 07/30/2004... 798,140
-----------
United Kingdom -- 9.0% (GBP)
500,000 U.K. Treasury Strip,
4.656%+ to 4.920%+ due
12/07/1999............. 771,573
U.K. Treasury:
440,000 7.000% due 06/07/2002... 722,678
405,000 6.500% due 12/07/2003... 683,292
-----------
2,177,543
-----------
United States -- 41.2% (USD)
830,000 Federal National
Mortgage Association,
4.625% due 10/15/2001... 809,488
320,000 U.S. Treasury Bill,
4.432%+ due 09/16/1999.. 316,858
U.S. Treasury Notes:
680,000 4.625% due 11/30/2000... 672,880
350,000 5.500% due 12/31/2000... 350,347
600,000 6.375% due 09/30/2001... 609,252
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
United States -- (Continued)
$ 500,000 4.250% due 11/15/2003................................. $ 470,965
1,000,000 7.250% due 08/15/2004................................. 1,060,670
760,000 5.875% due 11/15/2005................................. 758,138
1,030,000 7.000% due 07/15/2006................................. 1,091,419
940,000 6.500% due 10/15/2006................................. 970,663
930,000 5.500% due 02/15/2008................................. 904,453
580,000 5.625% due 05/15/2008................................. 568,272
580,000 4.750% due 11/15/2008................................. 532,463
810,000 U.S. Treasury Bond,
7.500% due 11/15/2016................................. 912,595
-----------
10,028,463
-----------
Total Government Bonds
(Cost $24,244,112)................................... 23,147,819
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $24,244,112*)....................... 95.3% 23,147,819
OTHER ASSETS AND LIABILITIES (Net).......................... 4.7 1,139,003
----- -----------
NET ASSETS.................................................. 100.0% $24,286,822
===== ===========
</TABLE>
- -------------
*Aggregate cost for Federal tax purposes.
+Annualized yield at date of purchase.
Glossary of Terms
AUD -- Australian Dollar
CAD -- Canadian Dollar
EUR -- European Monetary Unit
GBP -- Great British Pound Sterling
USD -- United States Dollar
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY 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>
08/27/1999 CAD 171,000 $1,172,840 $1,161,487 $(11,353)
08/23/1999 EMU 850,984 910,000 880,443 (29,557)
08/11/1999 GBP 283,000,000 2,371,525 2,354,518 (17,007)
--------
$(57,917)
--------
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS TO SELL
<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>
08/23/1999 EMU 2,200,000 $2,362,206 $2,276,157 $ 86,049
--------
Net Unrealized Appreciation of Forward Foreign Exchange
Contracts................................................ $ 28,131
========
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
Portfolio of Investments
The GCG Trust
Total Return Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 52.0%
Aerospace/Defense -- 2.5%
131,500 AlliedSignal, Inc................................... $ 8,284,500
33,200 Lockheed Martin Corporation......................... 1,236,700
42,759 Raytheon Company, Class A........................... 2,945,026
19,100 Raytheon Company, Class B........................... 1,344,163
17,800 United Technologies Corporation..................... 1,276,038
------------
15,086,427
------------
Auto Related -- 0.7%
86,200 Delphi Automotive Systems Corporation............... 1,600,087
49,900 Ford Motor Company.................................. 2,816,231
------------
4,416,318
------------
Banks -- 2.8%
123,300 Bank of New York Company, Inc....................... 4,523,569
120,600 Mellon Bank Corporation............................. 4,386,825
6,800 National City Corporation........................... 445,400
74,600 PNC Bank Corporation................................ 4,298,825
81,300 Wells Fargo Company+................................ 3,475,575
------------
17,130,194
------------
Chemicals -- 1.7%
68,800 Akzo Nobel N.V...................................... 2,892,234
15,200 The Dow Chemical Company............................ 1,928,500
99,000 Engelhard Corporation............................... 2,239,875
70,800 Rohm and Haas Company............................... 3,035,550
------------
10,096,159
------------
Computer Industry -- 1.3%
39,300 Hewlett-Packard Company............................. 3,949,650
33,000 International Business Machines Corporation......... 4,265,250
------------
8,214,900
------------
Consumer Products -- 0.5%
63,000 Fortune Brands, Inc................................. 2,606,625
25,000 The Sherwin-Williams Company........................ 693,750
------------
3,300,375
------------
Electrical Products -- 0.8%
72,500 Emerson Electric Company............................ 4,558,437
9,700 Hubbell, Inc., Class B.............................. 440,138
------------
4,998,575
------------
Entertainment -- 2.3%
48,900 Disney (Walt) Company............................... 1,506,731
56,300 Gannett, Inc. ...................................... 4,018,412
61,000 New York Times Company, Class A..................... 2,245,563
83,300 Time Warner, Inc.................................... 6,122,550
------------
13,893,256
------------
Financial Services -- 2.5%
35,200 American Express Company............................ 4,580,400
81,450 Citigroup Inc....................................... 3,868,875
75,700 Edwards (A.G.), Inc................................. 2,441,325
43,900 Federal Home Loan Mortgage Corporation.............. 2,546,200
3,500 Federated Investors, Inc., Class B.................. 62,781
15,000 Morgan Stanley Dean Witter & Company................ 1,537,500
10,000 Washington Mutual, Inc.............................. 353,750
------------
15,390,831
------------
Food and Beverages -- 2.0%
205,560 Archer-Daniels-Midland Company...................... 3,173,332
38,200 General Mills, Inc. ................................ 3,070,325
18,300 Hershey Foods Corporation........................... 1,086,563
24,300 McCormick & Company, Inc.+.......................... 766,969
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Food and Beverages -- (Continued)
2,125 Nestle SA........................................... $ 3,826,503
4,200 The Quaker Oats Company............................. 278,775
------------
12,202,467
------------
Health Care -- 0.4%
13,400 Baxter International, Inc.+......................... 812,375
77,400 Columbia/HCA Healthcare Corporation+................ 1,765,687
------------
2,578,062
------------
Hotels/Resorts -- 0.2%
24,000 MGM Grand, Inc.+.................................... 1,176,000
------------
Insurance -- 6.4%
79,900 Allstate Corporation+............................... 2,866,412
13,200 American International Group, Inc................... 1,545,225
67,500 Chubb Corporation+.................................. 4,691,250
52,700 CIGNA Corporation................................... 4,690,300
98,300 Equitable Companies, Inc.+.......................... 6,586,100
91,600 The Hartford Financial Services Group, Inc.......... 5,341,425
33,650 Jefferson-Pilot Corporation......................... 2,227,209
124,400 Lincoln National Corporation........................ 6,507,675
57,400 ReliaStar Financial Corporation..................... 2,511,250
72,700 The St. Paul Companies, Inc ........................ 2,312,769
4,100 Torchmark Corporation............................... 139,913
------------
39,419,528
------------
Manufacturing -- 1.2%
6,900 General Electric Company............................ 779,700
30,000 The Stanley Works................................... 965,625
76,500 TRW, Inc............................................ 4,197,938
13,903 Tyco International, Ltd............................. 1,317,309
------------
7,260,572
------------
Metals and Mining -- 0.3%
26,500 Alcoa, Inc ......................................... 1,639,687
------------
Office Equipment and Supplies -- 0.8%
6,000 Eastman Kodak Company............................... 406,500
81,200 Xerox Corporation................................... 4,795,875
------------
5,202,375
------------
Oil and Gas -- 8.3%
21,000 Apache Corporation.................................. 819,000
98,771 BP Amoco Plc, ADR................................... 10,716,653
27,200 Chevron Corporation................................. 2,589,100
167,200 Coastal Corporation................................. 6,688,000
61,150 Columbia Energy Group............................... 3,833,341
80,600 Conoco, Inc., Class A............................... 2,246,725
89,700 CONSOL Energy Inc.+................................. 1,076,400
42,000 Duke Energy Corporation............................. 2,283,750
17,700 Exxon Corporation................................... 1,365,112
35,500 Halliburton Company................................. 1,606,375
42,900 Mobil Corporation................................... 4,247,100
20,000 National Fuel Gas Company........................... 970,000
164,700 Noble Drilling Corporation+......................... 3,242,531
41,000 Royal Dutch Petroleum Company....................... 2,470,250
67,800 Sonat Inc........................................... 2,245,875
33,700 Texaco, Inc ........................................ 2,106,250
65,400 Unocal Corporation.................................. 2,591,475
------------
51,097,937
------------
Paper and Forest Products -- 1.9%
47,100 Bowater, Inc ....................................... 2,225,475
63,800 Champion International Corporation+................. 3,054,425
28,700 International Paper Company......................... 1,449,350
45,000 Kimberly-Clark Corporation.......................... 2,565,000
34,300 Weyerhaeuser Company................................ 2,358,125
------------
11,652,375
------------
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Total Return Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Pharmaceuticals -- 1.4%
37,000 American Home Products Corporation.................. $ 2,127,500
16,700 Bristol-Myers Squibb Company+....................... 1,176,306
42,000 Pharmacia & Upjohn, Inc. ........................... 2,386,125
46,100 Smithkline Beecham Plc, ADR......................... 3,045,481
------------
8,735,412
------------
Real Estate Investment Trust -- 0.3%
12,800 Boston Properties, Inc. ............................ 459,200
45,500 TriNet Corporate Realty Trust, Inc. ................ 1,259,781
------------
1,718,981
------------
Restaurants -- 1.0%
150,300 McDonald's Corporation.............................. 6,209,269
------------
Retail -- 0.8%
76,300 Dayton Hudson Corporation........................... 4,959,500
------------
Semiconductors -- 0.9%
60,900 Motorola, Inc. ..................................... 5,770,275
------------
Supermarket Chains -- 0.5%
50,652 Albertson's, Inc.+.................................. 2,611,744
10,000 The Kroger Co. ..................................... 279,375
------------
2,891,119
------------
Telecommunications -- 5.7%
20,000 ALLTEL Corporation.................................. 1,430,000
55,850 AT&T Corporation.................................... 3,117,128
32,400 Bell Atlantic Corporation........................... 2,118,150
145,400 GTE Corporation..................................... 11,014,050
47,000 MediaOne Group, Inc. ............................... 3,495,625
107,566 SBC Communications, Inc. ........................... 6,238,828
83,000 Sprint Corporation.................................. 4,383,438
38,900 Telephone & Data Systems, Inc. ..................... 2,842,131
------------
34,639,350
------------
Tobacco -- 0.2%
34,650 Philip Morris Companies, Inc........................ 1,392,497
------------
Transportation -- 0.7%
45,100 Burlington Northern Santa Fe Corporation............ 1,398,100
15,900 Canadian National Railway Company................... 1,065,300
51,900 Norfolk Southern Corporation+....................... 1,563,488
------------
4,026,888
------------
Utilities -- 3.8%
75,200 Carolina Power & Light Company...................... 3,219,500
56,700 CMS Energy Corporation.............................. 2,374,312
70,700 Eastern Enterprises................................. 2,810,325
50,000 FirstEnergy Corporation............................. 1,550,000
56,300 GPU, Inc.+.......................................... 2,375,156
21,400 PacifiCorp.......................................... 393,225
46,400 Sempra Energy....................................... 1,049,800
38,300 Sierra Pacific Resources............................ 1,393,163
88,500 Southern Company+................................... 2,345,250
69,700 Pinnacle West Capital Corporation................... 2,805,425
31,400 Texas Utilities Company............................. 1,295,250
26,600 UGI Corporation..................................... 536,988
47,000 Washington Gas Light Company........................ 1,222,000
------------
23,370,394
------------
Waste Disposal -- 0.1%
6,800 Browning-Ferris Industries, Inc..................... 292,400
------------
Total Common Stocks
(Cost $277,713,746)................................ 318,762,123
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
PREFERRED STOCKS -- 2.4%
Financial Services -- 1.3%
81,900 Lincoln National Corporation........................ $ 2,226,656
8,000 NB Capital Corporation.............................. 201,000
33,700 Newell Financial Trust I............................ 1,887,200
21,600 Newell Financial Trust I**.......................... 1,209,600
47,600 Union Pacific Capital Trust......................... 2,528,750
------------
8,053,206
------------
Containers -- 0.1%
10,800 Owens-Illinois Inc.................................. 472,500
------------
Oil and Gas -- 0.1%
8,900 Apache Corporation.................................. 329,300
------------
Retail -- 0.3%
7,400 CVS Corporation..................................... 674,325
20,100 Seagram Company Ltd................................. 1,003,744
------------
1,678,069
------------
Utilities -- 0.6%
43,600 El Paso Energy Capital Trust Inc.................... 2,158,200
32,300 Texas Utilities Company............................. 1,776,500
------------
3,934,700
------------
Total Preferred Stocks
(Cost $13,755,431)................................. 14,467,775
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 21.0%
Aerospace/Defense -- 0.1%
$ 600,000 BE Aerospace, Inc.,
8.000% due 03/01/2008............................... 564,000
Jett Equipment Trust:
50,000 9.410% due 06/15/2010............................... 55,326
45,622 8.640% due 11/01/2012............................... 48,321
10,000 10.690% due 11/01/2013.............................. 12,111
------------
679,758
------------
Airlines -- 1.1%
1,776,000 Atlas Air, Inc.,
7.200% due 01/02/2019............................... 1,700,946
Continental Airlines, Inc.:
5,000 9.500% due 12/15/2001............................... 5,263
93,053 9.500% due 10/15/2013............................... 104,047
23,249 10.220% due 07/02/2014.............................. 25,428
250,000 6.545% due 02/02/2019............................... 237,978
1,237,184 6.648% due 03/15/2019............................... 1,200,204
1,100,000 7.256% due 03/15/2020............................... 1,116,423
Northwest Airlines:
312,000 7.625% due 03/15/2005............................... 287,040
150,000 8.700% due 03/15/2007............................... 147,639
649,000 7.575% due 03/01/2019............................... 650,220
1,500,000 6.810% due 02/01/2020............................... 1,447,178
------------
6,922,366
------------
Apparel and Textiles -- 0.2%
Jones Apparel:
84,000 6.250% due 10/01/2001............................... 82,215
536,000 7.875% due 06/15/2006............................... 538,378
Tommy Hilfiger USA, Inc.:
252,000 6.500% due 06/01/2003............................... 244,859
190,000 6.850% due 06/01/2008............................... 177,875
------------
1,043,327
------------
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Total Return Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- (Continued)
Auto Related -- 0.9%
Ford Motor Credit Company:
$ 1,840,000 5.750% due 02/23/2004............................... $ 1,774,459
3,435,000 5.800% due 01/12/2009............................... 3,149,208
280,000 8.900% due 01/15/2032............................... 324,414
------------
5,248,081
------------
Banks -- 1.0%
1,280,000 Beaver Valley II Funding Corporation,
9.000% due 06/01/2017............................... 1,337,600
1,685,000 Colonial Bank,
8.000% due 03/15/2009............................... 1,612,375
100,000 Colonial Capital II,
8.920% due 01/15/2027............................... 91,528
300,000 Comed Financing II,
8.500% due 01/15/2027............................... 300,411
170,000 First Empire Capital Trust I,
8.234% due 02/01/2027............................... 168,864
338,150 GG1B Funding Corporation,
7.430% due 01/15/2011............................... 336,218
130,000 Golden State Holdings,
7.125% due 08/01/2005............................... 125,358
31,000 Midland Funding Corporation II,
11.750% due 07/23/2005.............................. 34,660
Providian National Bank:
300,000 6.700% due 03/15/2003............................... 294,536
1,800,000 6.650% due 02/01/2004............................... 1,751,337
Riggs National Corporation:
100,000 8.500% due 02/01/2006............................... 104,264
225,000 9.650% due 06/15/2009............................... 220,304
------------
6,377,455
------------
Broadcasting, Radio and Television -- 0.5%
1,000,000 Century Communications, Inc.,
Zero Coupon due 01/15/2008.......................... 450,000
250,000 Chancellor Media Corporation,
8.750% due 06/15/2007............................... 250,312
300,000 Frontiervision Operating Partners, L.P.,
11.000% due 10/15/2006.............................. 328,500
2,224,000 Hearst-Argyle Television, Inc.,
7.500% due 11/15/2027............................... 2,124,600
------------
3,153,412
------------
Building and Construction -- 0.3%
1,700,000 McDermott, Inc.,
9.375% due 03/15/2002............................... 1,776,235
------------
Chemicals -- 0.4%
2,090,000 Lyondell Chemical Company,
9.625% due 05/01/2007............................... 2,157,925
------------
Computer Industry -- 0.2%
920,000 LSI Logic Corporation,
4.250% due 03/15/2004**............................. 1,506,500
------------
Entertainment -- 0.8%
100,000 Circus Circus Enterprise,
6.700% due 11/15/2096............................... 94,227
Time Warner Entertainment:
4,130,000 6.100% due 12/30/2001............................... 4,093,507
630,000 10.150% due 05/01/2012.............................. 772,860
106,000 8.375% due 03/15/2023............................... 115,017
------------
5,075,611
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
Financial Services -- 4.3%
$ 1,171,000 Ahold Finance USA, Inc.,
6.250% due 05/01/2009............................... $ 1,106,374
Aristar, Inc.:
716,000 5.850% due 01/27/2004............................... 692,171
392,000 7.250% due 06/15/2006............................... 393,989
Associates Corporation North America:
3,180,000 5.750% due 11/01/2003............................... 3,084,218
1,361,000 5.500% due 02/15/2004............................... 1,301,019
AT&T Capital Corporation:
500,000 7.500% due 11/15/2000............................... 503,140
531,000 6.250% due 05/15/2001............................... 522,684
3,390,000 Bell Atlantic Financial Services,
4.250% due 09/15/2005............................... 3,466,275
100,000 Capital One Financial Corporation,
7.250% due 12/01/2003............................... 98,756
430,000 Conseco, Inc.,
6.400% due 06/15/2001............................... 420,415
510,000 Countrywide Home Loan,
6.250% due 04/15/2009............................... 470,527
1,250,000 Criimi Mae Commercial Mortgage Trust,
7.000% due 03/02/2011............................... 1,099,860
665,000 Finova Capital Corporation,
6.125% due 03/15/2004............................... 647,630
859,000 General Motors Acceptance Corporation:
859,000 6.150% due 04/05/2007............................... 820,345
423,000 6.750% due 05/01/2028............................... 387,751
GS Escrow Corporation:
1,211,000 6.750% due 08/01/2001............................... 1,198,890
3,868,000 7.125% due 08/01/2005............................... 3,742,290
3,000,000 Goldman Sachs Group, L.P.,
5.900% due 01/15/2003............................... 2,926,737
801,000 Green Tree Acceptance Corporation,
10.250% due 06/01/2002.............................. 833,903
220,000 Midamerican Funding, LLC,
5.850% due 03/01/2001**............................. 218,621
380,000 Providian Capital I,
9.525% due 02/01/2027............................... 352,658
20,000 Salton Sea Funding Corporation,
7.370% due 05/30/2005............................... 20,000
800,000 Seacor Smit, Inc.,
7.840% due 05/30/2010............................... 807,518
793,000 SunAmerica Institutional Funding,
5.750% due 02/16/2009............................... 755,253
250,000 Washington Mutual Capital I,
8.375% due 06/01/2027............................... 254,321
------------
26,125,345
------------
Food & Beverages -- 0.0%#
165,000 Nabisco, Inc.,
6.375% due 02/01/2035............................... 157,928
------------
Forest and Paper Products -- 0.3%
Georgia Pacific Corporation:
10,000 9.875% due 11/01/2021............................... 10,875
1,000,000 9.500% due 05/15/2022............................... 1,061,222
833,000 7.250% due 06/01/2028............................... 780,073
250,000 U.S. Timberlands Company, L.P.,
9.625% due 11/15/2007............................... 250,000
------------
2,102,170
------------
Healthcare -- 0.1%
275,000 Bausch & Lomb, Inc.:
6.500% due 08/01/2005............................... 261,937
580,000 Healthsouth Corporation,
3.250% due 04/01/2003............................... 487,925
------------
749,862
------------
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Total Return Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- (Continued)
Industrial -- 1.6%
$ 2,602,000 AFLAC, Inc,
6.500% due 04/15/2009**............................. $ 2,462,514
Federal-Mogul Corporation:
375,000 7.500% due 07/01/2004............................... 364,501
770,000 7.750% due 07/01/2006............................... 736,667
895,000 7.500% due 01/15/2009**............................. 826,210
357,000 News America, Inc.,
6.703% due 05/21/2004............................... 356,510
300,000 Nortek, Inc.,
9.250% due 03/15/2007............................... 301,500
250,000 Outdoor Systems, Inc.,
8.875% due 06/15/2007............................... 261,875
1,095,000 Protection One Alarm,
7.375% due 08/15/2005**............................. 1,052,569
Seagram, J. & Sons,
1,042,000 5.790% due 04/15/2001............................... 1,028,611
1,355,000 6.400% due 12/15/2003............................... 1,334,644
542,000 TRW, Inc.,
7.125% due 06/01/2009**............................. 529,479
270,000 UPM-Kymmene Corporation,
7.450% due 11/26/2027**............................. 257,315
------------
9,512,395
------------
Insurance -- 0.2%
356,000 Atlantic Mutual Insurance Company,
8.150% due 02/15/2028**............................. 292,284
1,400,000 Loews Corporation,
3.125% due 09/15/2007............................... 1,132,250
------------
1,424,534
------------
Metals and Mining -- 0.0%#
205,000 Ultramar Diamond Company,
7.200% due 10/15/2017............................... 192,569
------------
Office Equipment -- 0.4%
Xerox Corporation:
1,220,000 0.570% due 04/21/2018**............................. 756,400
2,220,000 0.570% due 04/21/2018............................... 1,409,700
------------
2,166,100
------------
Oil & Gas -- 1.6%
Coastal Corporation:
1,258,000 6.200% due 05/15/2004............................... 1,230,967
2,000,000 6.375% due 02/01/2009............................... 1,880,968
682,000 Entergy Mississippi, Inc.,
6.200% due 05/01/2004............................... 667,508
476,000 Husky Oil Ltd.,
8.900% due 08/15/2028............................... 461,528
993,000 Northern Natural Gas,
7.000% due 06/01/2011**............................. 970,658
580,000 Occidental Petroleum,
10.125% due 11/15/2001.............................. 620,425
3,171,000 Phillips Petroleum Company,
7.000% due 03/30/2029............................... 2,977,464
121,000 Seagull Energy,
7.500% due 09/15/2027............................... 100,448
650,000 Tennessee Gas Pipeline Company,
7.625% due 04/01/2037............................... 640,462
100,000 Texas Gas Transmission, Inc.,
7.250% due 07/15/2027............................... 95,381
------------
9,645,809
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
Retail -- 1.1%
$ 275,000 Dillards, Inc.,
7.130% due 08/01/2018............................... $ 257,878
105,000 Lowe's Companies, Inc.,
6.875% due 02/15/2028............................... 98,917
1,615,000 Federated Department Stores:
8.500% due 06/15/2003............................... 1,712,281
6.300% due 04/01/2009**............................. 183,247
947,000 Rite Aid Corporation,
6.000% due 10/01/2003**............................. 907,615
Saks, Inc.:
562,000 7.250% due 12/01/2004............................... 563,803
2,825,000 8.250% due 11/15/2008............................... 2,944,958
------------
6,668,699
------------
Telecommunications -- 1.8%
1,110,000 Cable & Wireless Communications,
6.625% due 03/06/2005............................... 1,084,415
1,549,000 Comcast Corporation,
9.125% due 10/15/2006............................... 1,634,195
808,000 CSC Holdings, Inc.,
7.625% due 07/15/2018............................... 752,450
MCI Worldcom, Inc.:
200,000 8.875% due 01/15/2006............................... 212,273
1,290,000 9.650% due 03/31/2027............................... 1,483,799
924,000 6.950% due 08/15/2028............................... 873,613
Qwest Communications International,
995,000 7.500% due 11/01/2008............................... 968,881
Sprint Capital Corporation:
787,000 5.875% due 05/01/2004............................... 759,288
802,000 6.375% due 05/01/2009............................... 759,806
2,211,000 6.900% due 05/01/2019............................... 2,062,942
490,000 Telecom De Puerto Rico,
6.650% due 05/15/2006**............................. 482,971
------------
11,074,633
------------
Transportation -- 0.3%
757,000 Amerco,
7.850% due 05/15/2003............................... 753,293
789,000 Lear Corporation,
7.960% due 05/15/2005**............................. 770,381
222,000 Union Pacific Corporation,
6.340% due 11/25/2003............................... 216,796
------------
1,740,470
------------
Utilities -- 3.8%
2,000,000 AEP Generating Company,
9.810% due 12/07/2022............................... 2,331,174
2,400,000 CE Generation LLC,
7.416% due 12/15/2018**............................. 2,328,950
Cleveland Electric Illuminating Company:
300,000 7.880% due 11/01/2017............................... 307,481
700,000 9.000% due 07/01/2023............................... 738,106
CMS Energy Corporation:
621,000 8.000% due 07/01/2001............................... 619,847
1,700,000 6.750% due 01/15/2004............................... 1,608,781
2,050,000 7.500% due 01/15/2009............................... 1,911,477
Connecticut Light & Power Company:
1,000,000 8.590% due 06/05/2003**............................. 1,006,170
415,000 7.875% due 10/01/2024............................... 425,331
140,000 El Paso Electric Company,
8.900% due 02/01/2006............................... 150,248
760,000 Empresa Nacional de Electricidad,
7.600% due 04/30/2001**............................. 724,850
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Total Return Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- (Continued)
Utilities -- (Continued)
$ 3,285,000 Marlin Water Trust,
7.090% due 12/15/2001**............................. $ 3,300,817
MidAmerican Energy Holdings:
15,000 7.230% due 09/15/2005............................... 14,969
5,000 7.520% due 09/15/2008............................... 5,004
410,000 8.480% due 09/15/2028............................... 437,408
100,000 Oryx Energy Company,
8.375% due 07/15/2004............................... 105,803
Niagara Mohawk Power Corporation:
283,000 7.750% due 05/15/2006............................... 295,411
2,200,000 8.500% due 07/01/2010............................... 1,659,141
368,000 8.770% due 01/01/2018............................... 390,223
270,000 8.750% due 04/01/2022............................... 288,583
90,000 8.500% due 07/01/2023............................... 95,941
101,000 North Atlantic Energy Corporation,
9.050% due 06/01/2002............................... 102,817
180,059 Northeast Utilities Corporation,
8.580% due 12/01/2006............................... 179,160
862,166 Seabrook Station -- Unit 1,
7.830% due 01/02/2019............................... 839,969
1,238,000 Toledo Edison Company,
7.875% due 08/01/2004............................... 1,269,535
10,000 Utilicorp United, Inc.,
8.450% due 11/15/1999............................... 10,076
1,028,104 Waterford 3 Funding Corporation,
8.090% due 01/02/2017............................... 1,027,977
987,000 Western Massachusetts El Service,
7.375% due 07/01/2001............................... 990,866
------------
23,166,115
------------
Total Corporate Bonds and Notes
(Cost $132,879,549)................................ 128,667,299
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.7%
825,000 American Express Credit Account Master,
5.600% due 11/15/2006............................... 799,219
517,207 Beneficial Mortgage Corporation,
5.038% due 09/28/2037............................... 515,267
95,419 BCF L.L.C.,
7.750% due 09/25/2026**............................. 90,350
327,000 Illinois Power Special Purpose Trust,
5.260% due 06/25/2003............................... 324,266
Residential Accredit Loans, Inc.:
1,000,000 7.000% due 03/25/2028............................... 997,922
1,625,000 6.750% due 10/25/2028............................... 1,563,957
------------
Total Collateralized Mortgage Obligations
(Cost $4,410,494).................................. 4,290,981
------------
U.S. GOVERNMENT AGENCY SECURITIES -- 5.8%
Federal Home Loan Bank (FHLB) -- 0.2%
1,475,000 5.700%++ due 03/03/2009............................. 1,366,219
------------
Federal Home Loan Mortgage Corporation (Gold) (FHLMC) -- 1.6%
1,896,470 Pool #C24456
6.500% due 04/01/2029............................... 1,834,228
1,995,031 Pool #C24344
6.500% due 04/01/2029............................... 1,929,554
1,996,063 Pool #C24683
6.500% due 04/01/2029............................... 1,930,552
3,896,742 Pool #C26854
6.500% due 05/01/2029............................... 3,781,242
------------
9,475,576
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
Federal National Mortgage Association (FNMA) -- 1.1%
$ 1,270,000 Pool #252571
5.722% due 03/01/2009............................... $ 1,232,298
492,063 Pool #251618
6.500% due 11/01/2028............................... 475,299
301,089 Pool #440692
6.500% due 11/01/2028............................... 290,831
319,915 Pool #443615
6.500% due 11/01/2028............................... 309,015
1,396,139 Pool #446373
6.500% due 11/01/2028............................... 1,348,573
326,046 Pool #452026
6.500% due 12/01/2028............................... 314,938
2,854,534 Pool #454393
7.000% due 06/01/2029............................... 2,836,693
------------
6,807,647
------------
Government National Mortgage Association (GNMA) -- 2.9%
654,671 Pool #780598
7.500% due 12/15/2023............................... 662,036
168,587 Pool #1995-4
8.000% due 06/20/2025............................... 170,017
117,048 Pool #353404
7.500% due 09/15/2025............................... 118,291
594,606 Pool #414736
7.500% due 11/15/2025............................... 600,921
83,648 Pool #417340
7.500% due 04/15/2026............................... 84,536
157,933 Pool #423906
7.500% due 07/15/2026............................... 159,610
21,311 Pool #432725
8.000% due 07/15/2026............................... 21,903
319,100 Pool #436405
8.000% due 07/15/2026............................... 327,974
13,402 Pool #436440
7.500% due 08/15/2026............................... 13,544
225,416 Pool #433213
7.500% due 09/15/2026............................... 227,810
1,431,524 Pool #431365
7.500% due 10/15/2026............................... 1,446,727
317,205 Pool #409052
7.500% due 10/15/2026............................... 320,573
266,814 Pool #433128
7.500% due 10/15/2026............................... 269,647
24,426 Pool #442177
8.000% due 12/15/2026............................... 25,106
606,977 Pool #780498
7.500% due 01/15/2027............................... 613,806
589,753 Pool #439051
7.500% due 02/15/2027............................... 596,017
28,252 Pool #432446
7.500% due 04/15/2027............................... 28,552
222,743 Pool #780546
7.500% due 04/15/2027............................... 225,248
732,473 Pool #426435
7.500% due 05/15/2027............................... 740,252
153,433 Pool #418877
7.500% due 05/15/2027............................... 155,062
79,567 Pool #439558
7.500% due 05/15/2027............................... 80,412
411,925 Pool #411815
8.000% due 07/15/2027............................... 423,381
444,256 Pool #448957
7.500% due 09/15/2027............................... 448,974
143,782 Pool #455301
7.500% due 09/15/2027............................... 145,309
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Total Return Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES -- (Continued)
Government National Mortgage Association (GNMA) -- (Continued)
$ 298,024 Pool #427811
7.500% due 11/15/2027............................... $ 301,189
505,181 Pool #410449
7.500% due 02/15/2028............................... 510,546
81,324 Pool #458872
7.000% due 03/15/2028............................... 80,333
53,810 Pool #460810
7.000% due 04/15/2028............................... 53,154
1,391,770 Pool #467737
7.000% due 04/15/2028............................... 1,374,804
274,681 Pool #480413
7.000% due 07/15/2028............................... 271,333
649,398 Pool #480776
7.000% due 07/15/2028............................... 641,481
402,000 Pool #468129
7.000% due 08/15/2028............................... 397,839
777,213 Pool #450368
7.000% due 08/15/2028............................... 769,169
1,675,893 Pool #486467
7.000% due 08/15/2028............................... 1,655,464
3,108,809 Pool #488484
6.500% due 12/15/2028............................... 2,994,157
587,478 Pool #482894
6.500% due 12/15/2028............................... 565,812
427,490 Pool #470480
6.500% due 06/15/2029............................... 411,724
------------
17,932,713
------------
Total U.S. Government Agency Securities
(Cost $36,576,853)................................. 35,582,155
------------
U.S. TREASURY OBLIGATIONS -- 7.8%
U.S. Treasury Bonds -- 4.4%
16,631,000 9.875% due 11/15/2015............................... 22,689,673
2,850,000 6.125% due 11/15/2027............................... 2,828,882
383,000 5.500% due 08/15/2028............................... 350,388
1,377,000 5.250% due 02/15/2029............................... 1,236,381
------------
27,105,324
------------
U.S. Treasury Notes -- 3.4%
19,000,000 5.250% due 05/31/2001............................... 18,913,740
473,000 5.250% due 05/15/2004............................... 465,399
1,300,000 5.250% due 11/15/2028............................... 1,151,371
------------
20,530,510
------------
Total U.S. Treasury Obligations
(Cost $48,111,314)................................. 47,635,834
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
SHORT TERM INVESTMENTS -- 10.6%
Federal Agricultural Mortgage Corporation (FAMC) -- 3.0%
$ 9,500,000 4.992%++ due 07/15/1999............................. $ 9,482,045
8,700,000 4.966%++ due 07/19/1999............................. 8,678,902
------------
18,160,947
------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 4.6%
28,500,000 3.650%++ due 07/01/1999............................. 28,500,000
------------
Federal Maritime Commission (FMC) -- 1.5%
9,500,000 4.878%++ due 07/02/1999............................. 9,498,739
------------
Federal National Mortgage Association (FNMA) -- 1.5%
9,000,000 4.928%++ due 07/15/1999............................. 8,983,060
------------
Total Short Term Investments
(Cost $65,142,746)................................. 65,142,746
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $578,590,133*)..................... 100.3% 614,548,913
OTHER ASSETS AND LIABILITIES (Net)......................... (0.3) (1,574,491)
----- ------------
NET ASSETS................................................. 100.0% $612,974,422
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
++Annualized yield at date of purchase.
# Amount is less than 0.1%.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
75
<PAGE>
Portfolio of Investments
The GCG Trust
Equity Income Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 95.6%
Aerospace/Defense -- 2.0%
36,800 AlliedSignal, Inc. .................................. $ 2,318,400
46,000 The Boeing Company................................... 2,032,625
40,000 Lockheed Martin Corporation.......................... 1,490,000
------------
5,841,025
------------
Automotive -- 1.2%
5,426 Delphi Automotive Systems Corporation................ 100,720
16,800 General Motors Corporation........................... 1,108,800
68,400 Genuine Parts Company................................ 2,394,000
------------
3,603,520
------------
Banks -- 6.6%
24,300 Bank of America Corporation.......................... 1,781,494
30,700 BankBoston Corporation............................... 1,569,537
42,600 Bank One Corporation................................. 2,537,363
24,800 Chase Manhattan Corporation.......................... 2,148,300
20,600 KeyCorp.............................................. 661,775
148,200 Mellon Bank Corporation.............................. 5,390,775
34,700 Mercantile Bancshares Corporation.................... 1,227,512
23,700 National City Corporation............................ 1,552,350
51,000 Wells Fargo Company.................................. 2,180,250
------------
19,049,356
------------
Basic Industries -- 1.9%
60,600 Inco Limited......................................... 1,090,800
55,300 Newmont Mining Corporation........................... 1,099,087
21,000 Phelps Dodge Corporation............................. 1,300,687
36,400 Reynolds Metals Company.............................. 2,147,600
------------
5,638,174
------------
Chemicals -- 6.5%
11,200 Arch Chemicals, Inc. ................................ 272,300
30,900 The Dow Chemical Company............................. 3,920,438
50,100 Du Pont (E.I.) de Nemours and Company................ 3,422,456
44,500 Great Lakes Chemical Corporation..................... 2,049,781
68,600 Hercules, Inc. ...................................... 2,696,838
32,500 Imperial Chemical Industries, PLC.................... 1,291,875
40,400 Nalco Chemical Company............................... 2,095,750
27,300 PPG Industries, Inc. ................................ 1,612,406
68,600 Witco Corporation.................................... 1,372,000
------------
18,733,844
------------
Consumer Goods -- Durables -- 2.2%
45,800 Eastman Kodak Company................................ 3,102,950
36,400 Tupperware Corporation............................... 928,200
30,700 Whirlpool Corporation................................ 2,271,800
------------
6,302,950
------------
Consumer Goods -- Non-Durables -- 3.4%
72,900 International Flavors & Fragrances, Inc. ............ 3,234,938
60,500 Kimberly-Clark Corporation........................... 3,448,500
18,733 R.J. Reynolds Tobacco Holdings, Inc.+................ 590,100
4,200 Unilever NV.......................................... 292,950
81,500 UST, Inc. ........................................... 2,383,875
------------
9,950,363
------------
Consumer Services -- 0.7%
38,900 H & R Block, Inc. ................................... 1,945,000
------------
Diversified Industrial -- 4.2%
37,100 American General Corporation......................... 2,796,413
31,000 Cooper Industries, Inc. ............................. 1,612,000
19,000 General Electric Company............................. 2,147,000
36,200 Minnesota Mining & Manufacturing Company (3M)........ 3,147,138
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Diversified Industrial -- (Continued)
39,900 Olin Corporation..................................... $ 526,181
87,800 Pall Corporation..................................... 1,948,063
------------
12,176,795
------------
Drugs -- 1.8%
16,500 Merck & Company, Inc. ............................... 1,221,000
70,500 Pharmacia & Upjohn, Inc. ............................ 4,005,281
------------
5,226,281
------------
Electronics -- 1.0%
32,200 Hubbell, Inc., Class B............................... 1,461,075
25,700 TRW, Inc. ........................................... 1,410,287
------------
2,871,362
------------
Financial Services -- 5.0%
82,800 Citigroup, Inc. ..................................... 3,933,000
42,300 Federal National Mortgage Association................ 2,892,263
48,500 Fleet Financial Group, Inc. ......................... 2,152,188
23,000 Morgan (J.P.) & Company.............................. 3,231,500
29,600 Transamerica Corporation............................. 2,220,000
------------
14,428,951
------------
Food and Beverages -- 8.7%
41,800 Anheuser-Busch Companies, Inc. ...................... 2,965,188
33,600 Brown-Forman Corporation, Class B.................... 2,190,300
36,800 Campbell Soup Company................................ 1,706,600
53,200 General Mills, Inc. ................................. 4,275,950
39,200 H.J. Heinz Company................................... 1,964,900
27,200 Hershey Foods Corporation............................ 1,615,000
45,300 Kellogg Company...................................... 1,494,900
52,900 McCormick & Company, Inc. ........................... 1,669,656
56,200 Nabisco Group Holdings Corporation................... 1,099,412
20,000 PepsiCo, Inc. ....................................... 773,750
77,300 Philip Morris Companies, Inc. ....................... 3,106,494
35,200 The Quaker Oats Company.............................. 2,336,400
------------
25,198,550
------------
Insurance -- 3.2%
23,500 The Chubb Corporation................................ 1,633,250
33,200 Lincoln National Corporation......................... 1,736,775
52,500 SAFECO Corporation................................... 2,316,563
78,200 The St. Paul Companies, Inc. ........................ 2,487,738
20,900 XL Capital Ltd., Class A............................. 1,180,850
------------
9,355,176
------------
Leisure Entertainment -- 1.4%
50,300 Hilton Hotels Corporation............................ 713,631
84,600 Starwood Hotels & Resorts Worldwide, Inc. ........... 2,585,588
20,800 The Walt Disney Company.............................. 640,900
------------
3,940,119
------------
Oil and Gas Extraction -- 1.8%
80,800 Baker Hughes, Inc. .................................. 2,706,800
24,500 Phillips Petroleum Company........................... 1,232,656
38,600 USX-Marathon Group, Inc. ............................ 1,256,912
------------
5,196,368
------------
Paper and Forest Products -- 2.6%
57,000 Consolidated Papers, Inc. ........................... 1,524,750
44,600 Fort James Corporation............................... 1,689,225
86,193 International Paper Company.......................... 4,352,747
------------
7,566,722
------------
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Equity Income Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Petroleum -- 11.4%
44,200 Amerada Hess Corporation............................. $ 2,629,900
50,300 Atlantic Richfield Company (ARCO).................... 4,203,194
44,700 BP Amoco, PLC........................................ 4,849,950
40,900 Chevron Corporation.................................. 3,893,169
60,800 Exxon Corporation.................................... 4,689,200
39,400 Mobil Corporation.................................... 3,900,600
52,900 Royal Dutch Petroleum Company........................ 3,187,225
56,500 Texaco, Inc. ........................................ 3,531,250
54,600 Unocal Corporation................................... 2,163,525
------------
33,048,013
------------
Pharmaceuticals -- 2.2%
39,700 Abbott Laboratories.................................. 1,806,350
78,000 American Home Products Corporation................... 4,485,000
------------
6,291,350
------------
Producer/Manufacturing -- 1.6%
36,400 Armstrong World Industries, Inc. .................... 2,104,375
36,000 Fortune Brands, Inc. ................................ 1,489,500
35,600 The Stanley Works.................................... 1,145,875
------------
4,739,750
------------
Publishing -- 3.1%
30,400 Dow Jones & Company, Inc. ........................... 1,613,100
40,400 The Dun & Bradstreet Corporation..................... 1,431,675
42,700 Knight-Ridder, Inc. ................................. 2,345,831
47,000 Readers Digest Association, Inc. .................... 1,868,250
43,000 R.R. Donnelley & Sons Company........................ 1,593,687
------------
8,852,543
------------
Real Estate Investment Trust -- 1.2%
44,500 Crescent Real Estate Equities Company................ 1,056,875
30,700 The Rouse Company.................................... 779,012
70,600 Simon Property Group, Inc. .......................... 1,791,475
------------
3,627,362
------------
Retail, Trade and Services -- 1.5%
35,900 The May Department Stores Company.................... 1,467,412
34,400 Penney (J.C.) & Company, Inc. ....................... 1,670,550
61,000 Toys 'R' Us, Inc.+................................... 1,261,937
------------
4,399,899
------------
Technology -- 2.0%
31,100 Compaq Computer Corporation.......................... 736,681
30,200 Hewlett-Packard Company.............................. 3,035,100
18,800 Honeywell, Inc. ..................................... 2,178,450
------------
5,950,231
------------
Telecommunications -- 8.8%
74,500 ALLTEL Corporation................................... 5,326,750
22,700 AT&T Corporation..................................... 1,266,944
38,700 BCE, Inc. ........................................... 1,908,394
52,400 Bell Atlantic Corporation............................ 3,425,650
24,800 BellSouth Corporation................................ 1,162,500
56,700 GTE Corporation...................................... 4,295,025
111,400 SBC Communications, Inc. ............................ 6,461,200
10,200 Telebras ADR......................................... 637
30,700 US West, Inc. ....................................... 1,803,625
------------
25,650,725
------------
Transportation -- 3.4%
19,300 Alexander & Baldwin, Inc. ........................... 429,425
52,000 Burlington Northern Santa Fe Corporation............. 1,612,000
20,800 GATX Corporation..................................... 791,700
105,500 Norfolk Southern Corporation......................... 3,178,188
63,700 Union Pacific Corporation............................ 3,714,506
------------
9,725,819
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Utilities -- 5.1%
20,300 Constellation Energy Group........................... $ 601,387
36,000 DQE, Inc. ........................................... 1,444,500
35,500 Duke Energy Corporation.............................. 1,930,313
32,100 Entergy Corporation.................................. 1,003,125
59,800 FirstEnergy Corporation.............................. 1,853,800
41,500 Niagara Mohawk Holdings, Inc. ....................... 666,594
62,500 PacifiCorp........................................... 1,148,437
51,800 Reliant Energy, Inc. ................................ 1,430,975
70,600 The Southern Company................................. 1,870,900
40,000 TECO Energy, Inc. ................................... 910,000
48,600 Unicom Corporation................................... 1,874,138
------------
14,734,169
------------
Waste Industries -- 1.1%
60,500 Browning-Ferris Industries, Inc. .................... 2,601,500
11,400 Waste Management, Inc. .............................. 612,750
------------
3,214,250
------------
Total Common Stocks
(Cost $257,528,560)................................. 277,258,667
------------
PREFERRED STOCKS -- 0.5%
(Cost $1,346,430)
Telecommunications -- 0.5%
17,100 Telecomicacoes Brasileiras S.A....................... 1,542,206
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
DISCOUNT COMMERCIAL PAPER -- 1.7%
(Cost $4,973,892)
$5,000,000 Dresdner U.S. Finance, Inc.,
4.972%++ due 08/09/1999 ............................ 4,973,892
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $263,848,882*)..................... 97.8% 283,774,765
OTHER ASSETS AND LIABILITIES (Net)......................... 2.2 6,287,432
----- ------------
NET ASSETS................................................. 100.0% $290,062,197
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++Annualized yield at date of purchase.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
77
<PAGE>
Portfolio of Investments
The GCG Trust
Fully Managed Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 54.2%
Banks -- 0.2%
82 Bank International Settlements America............... $ 443,079
------------
Building/Construction -- 0.4%
75,000 Johns Manville Corporation........................... 975,000
------------
Consumer Durables -- 0.7%
72,000 Polaroid Corporation................................. 1,989,000
------------
Consumer Products -- 1.5%
99,000 Philip Morris Companies, Inc. ....................... 3,978,563
------------
Diversified Holdings -- 0.0%#
135,000 Lonrho Africa PLC+................................... 102,141
------------
Energy and Utilities -- 6.7%
147,000 First Energy Corporation+............................ 4,557,000
120,500 Kansas City Power & Light Company.................... 3,072,750
20,000 Nevada Power Company................................. 500,000
539,000 Niagara Mohawk Power Corporation..................... 8,657,687
136,000 UniSource Energy Corporation+........................ 1,623,500
------------
18,410,937
------------
Exploration and Production -- 1.5%
3,000 Mitchell Energy & Development Corporation, Class A... 57,938
223,000 Mitchell Energy & Development Corporation, Class B... 4,097,625
------------
4,155,563
------------
Food-Processing -- 0.5%
43,500 McCormick & Company, Inc. ........................... 1,372,969
------------
General Merchandiser -- 0.6%
34,500 Penney (J.C.) Company, Inc. ......................... 1,675,406
------------
Health Care -- 1.0%
911,948 Smith & Nephew PLC................................... 2,774,295
------------
Hotels -- 1.2%
159,000 Mandalay Resort Group+............................... 3,358,875
------------
Insurance -- 7.2%
11,500 Aetna Inc. .......................................... 1,028,531
19,000 Berkley (WR) Corporation............................. 475,000
110,000 Leucadia National Corporation........................ 2,791,250
142,500 Loews Corporation.................................... 11,275,312
42,000 Unitrin, Inc. ....................................... 1,722,000
17,000 White Mountain Insurance Group Inc. ................. 2,397,000
------------
19,689,093
------------
Leisure Entertainment -- 0.2%
15,100 Readers Digest Association, Inc., Class B............ 566,250
------------
Media -- Communications -- 6.9%
114,000 Chris-Craft Industries Inc. ......................... 5,372,250
37,000 Meredith Corporation................................. 1,281,125
135,000 New York Times Company, Class A...................... 4,969,688
13,400 Washington Post Company, Class B..................... 7,205,850
------------
18,828,913
------------
Mining -- 2.6%
216,000 Homestake Mining Company............................. 1,768,500
266,000 Newmont Mining Corporation........................... 5,286,750
------------
7,055,250
------------
Paper and Allied Products -- 4.5%
327,500 Domtar Inc. ......................................... 3,111,250
512,000 MacMillan Bloedel Ltd. .............................. 9,216,000
------------
12,327,250
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Petroleum -- Domestic -- 7.3%
216,000 Amerada Hess Corporation............................ $ 12,852,000
46,500 Kerr-McGee Corporation.............................. 2,333,694
99,000 Murphy Oil Corporation.............................. 4,832,437
------------
20,018,131
------------
Petroleum -- International -- 1.9%
82,500 Texaco Inc. ........................................ 5,156,250
------------
Pharmaceuticals -- 0.1%
6,000 Schering-Plough Corporation......................... 318,000
------------
Real Estate -- 0.6%
66,500 The Rouse Company................................... 1,687,438
------------
Specialty Chemicals -- 3.7%
32,000 Cabot Corporation................................... 774,000
88,000 Great Lakes Chemical Corporation.................... 4,053,500
63,000 Imperial Chemical Industries PLC, ADR............... 2,504,250
217,000 Octel Corporation+.................................. 2,712,500
------------
10,044,250
------------
Specialty Merchandisers -- 2.3%
689,100 Petrie Stores Corporation+.......................... 1,636,613
124,000 Reebok International Ltd.+.......................... 2,309,500
111,000 Toys R Us Inc.+..................................... 2,296,312
------------
6,242,425
------------
Transportation Services -- 2.6%
88,000 Canadian Pacific Ltd. .............................. 2,095,500
129,500 Overseas Shipholding Group Inc. .................... 1,667,313
62,000 Union Pacific Corporation........................... 3,293,750
------------
7,056,563
------------
Total Common Stocks
(Cost $127,346,951)................................ 148,225,641
------------
PREFERRED STOCKS -- 4.4%
Electric Utilities -- 0.6%
9,500 Cleveland Electric Illuminating Company, Prfd.,
Series L........................................... 952,375
7,891 Entergy Gulf States Utilities Inc., Prfd.,
Series B........................................... 399,482
2,914 Niagara Mohawk Power Corporation, Prfd., Series B... 74,125
8,500 Niagara Mohawk Power Corporation, Prfd., Series C... 213,031
------------
1,639,013
------------
Financial -- 0.9%
40,000 Kemper Corporation, Series E, Conv. Prfd.**......... 2,080,000
12,000 Reckson Associates Realty Corporation, Series A,
Conv. Prfd. ....................................... 273,750
------------
2,353,750
------------
Industrial -- 0.2%
16,500 Cyprus Amax Minerals Company, Series A, Conv.
Prfd. ............................................. 735,289
------------
Real Estate -- 2.2%
148,500 Rouse Company, Class B, Conv. Prfd ................. 5,958,562
------------
Transportation -- 0.5%
26,000 Union Pacific Capital Trust, Conv. Prfd**........... 1,374,750
------------
Total Preferred Stocks
(Cost $12,272,560)................................. 12,061,364
------------
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Fully Managed Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CONVERTIBLE BONDS AND NOTES -- 21.7%
Automobile Parts -- 0.9%
Pep Boys -- Manny, Moe & Jack, Conv.,
$1,150,000 4.000% due 09/01/1999............................... $ 1,147,125
2,680,000 Zero coupon due 09/20/2011.......................... 1,460,600
------------
2,607,725
------------
Commercial Services -- 0.0%#
100,000 Ogden Corporation, Conv.,
5.750% due 10/20/2002............................... 92,250
------------
Computer Software and Services -- 0.2%
900,000 Hyperion Solutions Corporation, Conv.,
4.500% due 03/15/2005............................... 635,625
------------
Financial Services -- 1.2%
2,150,000 Lonrho PLC, Conv.,
6.000% due 02/27/2004............................... 3,325,565
------------
Healthcare -- 1.5%
3,030,000 HEALTHSOUTH Corporation, Conv.,
3.250% due 04/01/2003............................... 2,548,988
2,300,000 Wellpoint Health Networks Inc., Conv.,
Zero coupon due 07/02/2019.......................... 1,544,795
------------
4,093,783
------------
Hotels/Motels -- 1.0%
3,110,000 Hilton Hotels Corporation,
5.000% due 05/15/2006............................... 2,837,875
------------
Industrial -- 10.5%
3,325,000 Chiron Corporation, Conv.,
1.900% due 11/17/2000............................... 3,304,219
747,000 Exide Corporation, Conv.,
2.900% due 12/15/2005 **............................ 457,537
Inco Ltd., Conv.:
5,600,000 5.750% due 07/01/2004................................ 5,145,000
460,000 7.750% due 03/15/2016................................ 414,000
1,770,000 Lennar Corporation Conv.,
Zero coupon due 07/29/2018.......................... 769,950
4,310,000 Loews Corporation, Conv.,
3.125% due 09/15/2007............................... 3,485,713
2,980,000 National Semiconductor, Conv.,
6.500% due 10/01/2002............................... 2,842,175
565,000 Nedlloyd Groep, Conv.,
4.250% due 03/15/2001............................... 295,867
1,825,000 Phycor Inc., Conv.,
4.500% due 02/15/2003............................... 1,382,438
5,015,000 Roche Holdings, Conv.,
Zero coupon due 05/06/2012**........................ 2,447,971
3,050,000 Teck Corporation, Conv.,
3.750% due 07/15/2006............................... 2,207,437
12,500,000 Times Mirror Company, Conv.,
Zero coupon due 04/15/2017.......................... 5,937,500
------------
28,689,807
------------
Mining -- 1.9%
Homestake Mining Company, Conv.,
1,830,000 5.500% due 06/23/2000................................ 1,775,100
3,440,000 5.500% due 06/23/2000**.............................. 3,336,800
------------
5,111,900
------------
Municipal -- 0.5%
1,225,000 California State,
5.250% due 10/01/2011............................... 1,254,094
------------
Petroleum -- 0.1%
300,000 Kerr-McGee Corporation, Conv.,
7.500% due 05/15/2014............................... 300,000
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
Pharmaceuticals -- 0.7%
$ 720,000 Ciba Specialty Chemicals, Conv.,
1.250% due 07/24/2003............................... $ 589,500
600,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004............................... 544,868
750,000 Sepracor Inc., Conv.
7.000% due 12/15/2005**............................. 736,875
------------
1,871,243
------------
Retail -- Special Line -- 0.6%
1,640,000 Jones Apparel Group, Inc., Conv.,
5.500% due 07/15/2003............................... 1,650,250
------------
Telecommunications -- 1.6%
1,000,000 Motorola, Inc., Conv.,
Zero coupon due 09/27/2013.......................... 1,112,500
6,255,000 U.S. Cellular Corporation, Conv.,
Zero coupon due 06/15/2015.......................... 3,213,506
------------
4,326,006
------------
Utilities -- 1.0%
1,245,000 Bellsouth Telecommunications,
5.850% due 11/15/2045............................... 1,251,925
1,450,000 Potomac Electric Power Corporation, Conv.,
5.000% due 09/01/2002............................... 1,415,562
------------
2,667,487
------------
Total Convertible Bonds and Notes
(Cost $58,341,249).................................. 59,463,610
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.3%
1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001............................... 1,023,661
500,000 Federal National Mortgage Association,
6.375% due 01/16/2002............................... 505,483
Tennessee Valley Authority Power,
10,650,000 5.880% due 04/01/2036................................ 10,423,688
1,400,000 5.980% due 04/01/2036................................ 1,393,187
3,900,000 6.235% due 07/15/2045................................ 3,935,489
------------
Total U.S. Government Agency Obligations
(Cost $17,705,482).................................. 17,281,508
------------
U.S. TREASURY NOTES -- 3.4%
4,800,000 5.875% due 02/15/2000................................ 4,821,648
500,000 6.125% due 07/31/2000................................ 503,995
600,000 6.250% due 04/30/2001................................ 607,890
1,100,000 6.250% due 10/31/2001................................ 1,114,839
2,205,000 5.875% due 09/30/2002................................ 2,215,408
------------
Total U.S. Treasury Notes
(Cost $9,257,402)................................... 9,263,780
------------
COMMERCIAL PAPER -- 7.3%
5,100,000 Bayerische Landesbank NY,
5.650%++ due 07/23/1999............................. 5,101,528
5,000,000 Ciesco LP,
5.030%++ due 08/02/1999............................. 4,978,222
5,000,000 Rockwell International Corporation,
4.925%++ due 07/13/1999............................. 4,991,883
5,000,000 Yale University,
4.931%++ due 07/06/1999............................. 4,996,590
------------
Total Commercial Paper
(Cost $20,068,223).................................. 20,068,223
------------
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Fully Managed Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Number of Expiration Strike Value
Contracts Date Price (Note 1)
--------- ---------- ------ ------------
<C> <S> <C> <C> <C>
PUT STOCK OPTIONS PURCHASED -- 0.1%
60 Schering-Plough Corporation,
Class B.......................... 08/21/99 $ 60 $ 49,500
50 Motorola Corporation.............. 10/15/99 90 50,625
50 Motorola Corporation.............. 01/22/00 95 56,875
75 Weyerhaeuser Company.............. 01/22/00 65 33,688
------------
Total Put Stock Options Purchased (Cost $285,690).... 190,688
------------
TOTAL INVESTMENTS (Cost $245,277,557*).................. 97.4% 266,554,814
------------
CALL OPTIONS WRITTEN -- 0.0%#
(Premiums received $50,398)
75 Weyerhaeuser Company.............. 01/22/00 $ 65 (70,313)
------------
OTHER ASSETS AND LIABILITIES (Net)...................... 2.6% 7,025,761
----- ------------
NET ASSETS.............................................. 100.0% $273,510,262
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Illiquid security (see Note 4)
+ Non-income producing security.
++Annualized yield at date of purchase.
# Amount represents less than 0.1%.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
80
<PAGE>
Portfolio of Investments
The GCG Trust
Rising Dividends Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 97.7%
Banks -- 3.8%
675,310 Wells Fargo Company................................. $ 28,869,503
------------
Chemicals and Allied Products -- 4.0%
512,780 PPG Industries, Inc................................. 30,286,069
------------
Computers and Office Equipment -- 9.6%
313,470 Hewlett-Packard Company............................. 31,503,735
319,600 International Business Machines Corporation......... 41,308,300
------------
72,812,035
------------
Consumer Products -- 7.1%
698,740 Gillette Company.................................... 28,648,340
282,510 Procter & Gamble Company............................ 25,214,018
------------
53,862,358
------------
Data Services -- 7.7%
642,440 Automatic Data Processing Inc....................... 28,267,360
535,210 Electronic Data Systems Corporation................. 30,272,816
------------
58,540,176
------------
Electric Machinery -- 3.7%
454,000 Emerson Electric Company............................ 28,545,250
------------
Electrical Equipment -- 3.1%
209,920 General Electric Company............................ 23,720,960
------------
Financial Services -- 8.2%
458,920 Federal National Mortgage Association............... 31,378,655
367,900 State Street Boston Corporation..................... 31,409,462
------------
62,788,117
------------
Food -- 9.2%
581,110 Bestfoods........................................... 28,764,945
219,470 The Coca-Cola Company............................... 13,716,875
260,000 Hershey Foods Corporation........................... 15,437,500
134,470 Wrigley, (Wm) Jr. Company........................... 12,102,300
------------
70,021,620
------------
Insurance -- 3.9%
392,770 Marsh & McLennan Companies, Inc. ................... 29,654,135
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Leisure Entertainment -- 4.0%
982,320 Disney (Walt) Company............................... $ 30,267,735
------------
Manufacturing -- 4.3%
400,940 Illinois Tool Works................................. 32,877,080
------------
Medical Biotechnology -- 4.2%
409,670 Medtronic, Inc. .................................... 31,903,051
------------
Petroleum -- 3.6%
357,900 Exxon Corporation................................... 27,603,037
------------
Pharmaceuticals -- 11.5%
604,180 Abbott Laboratories................................. 27,490,190
287,410 Johnson & Johnson................................... 28,166,180
426,580 Merck & Company, Inc. .............................. 31,566,920
------------
87,223,290
------------
Restaurants -- 3.8%
698,600 McDonald's Corporation.............................. 28,860,912
------------
Technology -- 4.0%
506,520 Intel Corporation................................... 30,137,940
------------
Telecommunications -- 2.0%
269,200 AT&T Corporation.................................... 15,024,725
------------
Total Common Stocks
(Cost $601,814,883)................................ 742,997,993
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
COMMERCIAL PAPER -- 1.5%
(Cost $11,254,000)
$11,254,000 Sigma Finance, Inc.,
7.301%++ due 07/01/1999............................ 11,254,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $613,068,883*)..................... 99.2% 754,251,993
OTHER ASSETS AND LIABILITIES (Net)......................... 0.8 6,188,920
----- ------------
NET ASSETS................................................. 100.0% $760,440,913
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
++Annualized yield at date of purchase.
See Notes to Financial Statements.
81
<PAGE>
Portfolio of Investments
The GCG Trust
Growth & Income Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 95.2%
Apparel and Textiles -- 2.3%
60,000 Gucci Group NV....................................... $ 4,200,000
20,000 Tommy Hilfiger Corporation+.......................... 1,470,000
176,300 Unifi, Inc.+......................................... 3,746,375
------------
9,416,375
------------
Banks -- 0.8%
263,500 Sovereign Bancorp, Inc. ............................. 3,194,938
------------
Broadcast, Radio and Television -- 4.3%
1 AT&T Corporation-Liberty Media Group, Class A+....... 33
80,200 Cablevision Systems Corporation, Class A+............ 5,614,000
103,500 CBS Corporation+..................................... 4,495,781
230,000 Hearst-Argyle Television, Inc.+...................... 5,520,000
50,000 USA Networks, Inc.+.................................. 2,006,250
------------
17,636,064
------------
Chemicals -- 2.0%
140,600 Georgia Gulf Corporation............................. 2,372,625
276,600 Lyondell Chemical Company............................ 5,704,875
------------
8,077,500
------------
Computer Industry -- 8.0%
60,000 Micron Technology, Inc.+............................. 2,418,750
572,400 Novell, Inc.+........................................ 15,168,600
302,200 Policy Management Systems Corporation+............... 9,066,000
250,000 Seagate Technology, Inc.+............................ 6,406,250
------------
33,059,600
------------
Consumer Products -- 5.2%
179,900 American Standard Companies, Inc.+................... 8,635,200
150,000 Ethan Allen Interiors, Inc. ......................... 5,662,500
100,000 Harman International Industries, Inc. ............... 4,400,000
90,000 The Stanley Works.................................... 2,896,875
------------
21,594,575
------------
Financial Services -- 9.0%
193,100 Fiserv, Inc.+........................................ 6,046,444
100,000 Healthcare Financial Partners, Inc.+**............... 3,443,800
60,000 Legg Mason, Inc. .................................... 2,310,000
200,000 MBIA, Inc. .......................................... 12,950,000
254,500 Radian Group, Inc. .................................. 12,422,781
------------
37,173,025
------------
Food and Beverages -- 0.9%
85,000 U.S. Foodservice+.................................... 3,623,125
------------
Industrial -- 4.0%
325,000 Louisiana-Pacific Corporation........................ 7,718,750
150,000 Martin Marietta Materials, Inc. ..................... 8,850,000
------------
16,568,750
------------
Insurance -- 5.0%
25,000 Ace Limited.......................................... 706,250
40,000 CNA Financial Corporation+........................... 1,612,500
100,000 E. W. Blanche Holdings, Inc. ........................ 6,818,750
185,000 Everest Reinsurance Holdings, Inc. .................. 6,035,625
100,000 Gallagher (Arthur J.) & Company...................... 4,950,000
5,000 Loews Corporation.................................... 395,625
------------
20,518,750
------------
Leisure Entertainment -- 3.1%
125,000 Brass Eagle, Inc.+................................... 2,343,750
38,000 MGM Grand, Inc.+..................................... 1,862,000
20,000 Royal Carribean Cruises Ltd. ........................ 875,000
175,000 Sun International Hotels Ltd.+....................... 7,831,250
------------
12,912,000
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Medical -- Hospital Management and
Services -- 3.3%
120,000 Health Management Associates, Inc., Class A+......... $ 1,350,000
165,000 Hooper Holmes, Inc. ................................. 3,361,875
400,000 STERIS Corporation+.................................. 7,750,000
70,000 Tenet Healthcare Corporation+........................ 1,299,375
------------
13,761,250
------------
Medical Products -- 5.2%
150,000 Acuson Corporation+.................................. 2,578,125
286,000 Datascope Corporation+............................... 9,187,750
120,000 Genzyme Corporation+................................. 5,820,000
21,481 Genzyme Surgical Products+........................... 94,652
100,000 St. Jude Medical, Inc.+.............................. 3,562,500
------------
21,243,027
------------
Oil and Gas -- 2.1%
139,800 Kerr-McGee Corporation............................... 7,016,212
46,300 Louis Dreyfus Natural Gas Corporation+............... 998,344
40,000 Tom Brown, Inc.+..................................... 622,500
------------
8,637,056
------------
Pharmaceuticals -- 2.4%
125,000 Algos Pharmaceutical Corporation+.................... 2,757,813
60,000 Barr Laboratories, Inc.+............................. 2,392,500
160,000 Dura Pharmaceuticals, Inc.+.......................... 1,910,000
20,000 Human Genome Sciences, Inc.+......................... 790,000
60,000 Millenium Pharmaceuticals, Inc.+..................... 2,160,000
------------
10,010,313
------------
Real Estate -- 0.6%
100,000 Newhall Land & Farming Company, LP................... 2,462,500
------------
Real Estate Investment Trusts -- 1.2%
115,000 Boston Properties, Inc. ............................. 4,125,625
104,000 Canadian Hotel Income Properties..................... 670,512
------------
4,796,137
------------
Retail -- 7.2%
200,000 AutoNation, Inc.+.................................... 3,562,500
600,000 Food Lion, Inc., Class A............................. 7,125,000
375,000 The Grand Union Company+............................. 4,054,688
300,000 The Limited, Inc. ................................... 13,612,500
40,000 Starbucks Corporation+............................... 1,502,500
------------
29,857,188
------------
Services -- 9.1%
500,000 Ceridian Corporation+................................ 16,343,750
330,400 Cyrk, Inc.+.......................................... 2,003,050
360,000 Nielsen Media Research, Inc.+........................ 10,530,000
250,000 R.H. Donnelley Corporation........................... 4,890,625
100,000 Sterling Commerce, Inc.+............................. 3,650,000
------------
37,417,425
------------
Telecommunications -- 15.9%
395,000 Clearnet Communications Inc.+........................ 5,505,312
100,000 Global TeleSystems Group, Inc.+...................... 8,100,000
419,600 Hyperion Telecommunications, Inc., Class A+.......... 7,893,725
4,000 Millicom International Cellular S.A.+................ 126,000
200,000 Nextel Communications, Inc., Class A+................ 10,037,500
160,000 NTL, Inc.+........................................... 13,790,000
150,000 Pinnacle Holdings Inc.+.............................. 3,675,000
40,000 RCN Corporation+..................................... 1,665,000
185,000 Scientific-Atlanta, Inc. ............................ 6,660,000
20,000 Viatel, Inc.+........................................ 1,122,500
125,000 VoiceStream Wireless Corporation+.................... 3,554,687
125,000 Western Wireless Corporation, Class A+............... 3,375,000
------------
65,504,724
------------
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Growth & Income Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Transportation/Services -- 3.6%
20,000 Budget Group, Inc., Class A+......................... $ 246,250
210,000 Continental Airlines, Inc., Class B+................. 7,901,250
115,000 Knightsbridge Tankers, Ltd. ......................... 2,012,500
75,000 Northwest Airlines Corporation+...................... 2,437,500
1,000,000 OMI Corporation+..................................... 2,062,500
------------
14,660,000
------------
Total Common Stocks
(Cost $355,085,583)................................. 392,124,322
------------
PREFERRED STOCKS -- 0.7%
Industrial -- 0.1%
5,269 Hybridon, Inc., Series A............................. 220,639
------------
Telecommunications -- 0.6%
150,000 Loral Space & Communications Ltd. ................... 2,700,000
------------
Total Preferred Stocks
(Cost $3,017,476)................................... 2,920,639
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
CONVERTIBLE BONDS -- 0.4%
(Cost $1,065,283)
Retail -- 0.4%
$2,000,000 At Home Corporation,
0.525% due 12/28/2018**............................. 1,583,440
------------
<CAPTION>
Shares
------
<C> <S> <C>
WARRANTS -- 0.2%
Financial Services -- 0.2%
40,000 Healthcare Financial Partners, Inc................... 720,400
------------
Pharmaceuticals -- 0.0%#
30,995 Hybridon, Inc........................................ 7,749
------------
Total Warrants
(Cost $485,600)..................................... 728,149
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 3.1%
Financial Services -- 3.1%
Ford Motor Credit Company:
$3,800,000 5.220%++ due 07/02/1999.............................. $ 3,799,464
5,000,000 5.220%++ due 07/06/1999.............................. 4,996,354
3,900,000 Prudential Funding Corporation,
5.220%++ due 07/07/1999............................. 3,896,581
------------
Total Commercial Paper
(Cost $12,692,399).................................. 12,692,399
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $372,346,341*)..................... 99.6% 410,048,949
OTHER ASSETS AND LIABILITIES (Net)......................... 0.4 1,843,132
----- ------------
NET ASSETS................................................. 100.0% $411,892,081
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
++Annualized yield at date of purchase.
# Amount is less than 0.1%.
See Notes to Financial Statements.
83
<PAGE>
Portfolio of Investments
The GCG Trust
Growth Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 82.8%
Advertising -- 1.3%
69,660 Lamar Advertising Company+.......................... $ 2,851,706
119,215 Outdoor Systems, Inc.+.............................. 4,351,348
------------
7,203,054
------------
Auto Parts & Equipment -- 0.7%
70,260 Federal-Mogul Corporation........................... 3,653,520
------------
Banks -- 3.2%
145,610 The Bank of New York Company, Inc. ................. 5,342,067
305,120 Firstar Corporation................................. 8,543,360
58,020 Fifth Third Bancorp. ............................... 3,861,956
------------
17,747,383
------------
Broadcast, Radio & Television -- 11.4%
7,720 Adelphia Communications Corporation, Class A+....... 491,185
774,074 AT&T Corp. -- Liberty Media Group, Class A+......... 28,447,220
79,295 Cablevision Systems Corporation, Class A+........... 5,550,650
435,820 Comcast Corporation, Class A+....................... 16,751,831
110,760 Cox Communications, Inc., Class A+.................. 4,077,353
31,960 TCI Music, Inc., Class A+........................... 1,130,585
101,485 United International Holdings, Inc., Class A+....... 6,862,923
------------
63,311,747
------------
Computer Industry -- 16.7%
48,485 America Online, Inc.+............................... 5,357,592
105,090 Apple Computer, Inc.+............................... 4,866,981
106,435 ASM Lithography Holdings N.V.+...................... 6,319,578
44,345 CIBER, Inc.+........................................ 848,098
318,170 Cisco Systems, Inc.+................................ 20,521,965
54,170 DoubleClick Inc.+................................... 4,970,097
92,245 EMC Corporation+.................................... 5,073,475
39,180 Inktomi Corporation+................................ 5,115,439
114,895 Microsoft Corporation+.............................. 10,362,093
89,970 PSINet Inc.+........................................ 3,936,187
82,460 Sapient Corporation+................................ 4,669,298
79,720 Sun Microsystems, Inc.+............................. 5,490,715
66,110 Verio, Inc.+........................................ 4,594,645
55,250 VeriSign, Inc.+..................................... 4,765,313
33,560 Yahoo! Inc.+........................................ 5,780,710
------------
92,672,186
------------
Financial Services -- 2.2%
36,190 American Express Company............................ 4,709,224
68,845 E*TRADE Group, Inc.+................................ 2,749,497
111,745 TD Waterhouse Group, Inc.+.......................... 2,800,609
45,850 Telebanc Financial Corporation+..................... 1,776,687
------------
12,036,017
------------
Industrial -- 5.2%
85,220 Applied Materials, Inc.+............................ 6,295,628
33,984 Mannesmann AG....................................... 5,066,730
184,285 Tyco International Ltd. ............................ 17,461,004
------------
28,823,362
------------
Insurance -- 0.9%
32,785 The Progressive Corporation......................... 4,753,825
------------
Medical Products -- 6.2%
57,145 Boston Scientific Corporation+...................... 2,510,808
79,510 Centocor, Inc.+..................................... 3,707,154
52,610 Guidant Corporation+................................ 2,706,127
225,905 Medtronic, Inc. .................................... 17,592,352
102,925 MiniMed Inc.+....................................... 7,918,792
------------
34,435,233
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Multimedia -- 4.4%
280,975 Time Warner Inc. ................................... $ 20,651,663
93,140 Viacom Inc., Class B+............................... 4,098,160
------------
24,749,823
------------
Oil & Gas -- 3.7%
251,755 Enron Corporation................................... 20,580,971
------------
Pharmaceuticals -- 1.0%
80,000 Lilly (Eli) & Company .............................. 5,730,000
------------
Retail -- 10.8%
265,670 Amazon.com, Inc.+ .................................. 33,241,959
107,600 Costco Companies, Inc.+............................. 8,614,725
68,870 eBay, Inc.+......................................... 10,399,370
253,700 Staples, Inc.+...................................... 7,848,844
------------
60,104,898
------------
Semiconductors -- 3.9%
117,075 Conexant Systems, Inc.+............................. 6,797,667
73,435 Texas Instruments, Inc. ............................ 10,648,075
65,050 Vitesse Semiconductor Corporation+.................. 4,386,809
------------
21,832,551
------------
Telecommunications -- 11.2%
181,010 Level 3 Communications Inc.+........................ 10,871,913
61,065 NEXTLINK Communications, Inc., Class A+............. 4,541,709
403,050 Nokia Oyj, Sponsored ADR............................ 36,904,266
48,760 NTL Inc.+........................................... 4,202,502
97,285 Sprint PCS+......................................... 5,557,406
------------
62,077,796
------------
Total Common Stocks
(Cost $392,709,483)................................ 459,712,366
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 9.8%
Fannie Mae Discount:
$10,000,000 4.926%++ due 08/02/1999............................. 9,956,978
10,000,000 4.875%++ due 08/26/1999............................. 9,925,955
30,000,000 5.047%++ due 09/22/1999............................. 29,650,500
5,000,000 5.420%++ due 05/15/2000............................. 4,766,950
------------
(Cost $54,316,869).................................. 54,300,383
------------
CORPORATE NOTES -- 5.6%
5,000,000 Household Finance Corporation,
7.301%++ due 07/01/1999............................ 5,000,000
26,200,000 Prudential Funding Corporation,
7.301%++ due 07/01/1999............................ 26,200,000
------------
(Cost $31,200,000).................................. 31,200,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $478,226,352*)..................... 98.2% 545,212,749
OTHER ASSETS AND LIABILITIES (Net)......................... 1.8 10,098,788
----- ------------
NET ASSETS................................................. 100.0% $555,311,537
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++Annualized yield at date of purchase.
Glossary of Terms
ADR -- American Depository Receipt
EMU -- European Monetary Unit
See Notes to Financial Statements.
84
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Growth Series
June 30, 1999 (Unaudited)
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS TO SELL
<TABLE>
<CAPTION>
Contracts to Deliver
----------------------------------- Unrealized
Expiration Local In Exchange Value in Appreciation/
Date Currency for U.S.$ U.S.$ (Depreciation)
- ---------- -------- ----------- -------- --------------
<S> <C> <C> <C> <C>
07/22/1999 EMU 1,500,000 $1,550,730 $1,548,006 $ (2,724)
08/12/1999 EMU 18,800,000 19,989,340 19,443,982 (555,358)
---------
Net Unrealized Depreciation of Forward Foreign Currency
Exchange Contracts...................................... $(558,082)
=========
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
Portfolio of Investments
The GCG Trust
Value Equity Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 96.5%
Aerospace/Defense -- 3.0%
62,000 Raytheon Company, Class B............................ $ 4,363,250
------------
Banks -- 14.0%
69,000 Bank One Corporation................................. 4,109,812
52,000 Chase Manhattan Corporation.......................... 4,504,500
100,000 First Union Corporation.............................. 4,700,000
76,000 Fleet Financial Group, Inc. ......................... 3,372,500
100,000 Washington Mutual, Inc. ............................. 3,537,500
------------
20,224,312
------------
Chemicals -- 3.2%
66,700 du Pont (E.I.) de Nemours and Company................ 4,556,444
------------
Computer Industry -- 6.2%
75,000 Electronic Data Systems Corporation.................. 4,242,187
36,000 International Business Machines Corporation.......... 4,653,000
------------
8,895,187
------------
Consumer Products -- 4.2%
110,000 Fortune Brands, Inc.+................................ 4,551,250
50,000 Libbey, Inc. ........................................ 1,450,000
------------
6,001,250
------------
Electronics -- 7.3%
38,000 Honeywell Inc. ...................................... 4,403,250
46,460 Koninklijke (Royal) Philips Electronics N.V. ........ 4,686,652
56,000 Mattel, Inc. ........................................ 1,480,500
------------
10,570,402
------------
Financial Services -- 6.2%
60,000 Federal Home Loan Mortgage Corporation............... 3,480,000
26,700 Lehman Brothers Holdings Inc. ....................... 1,662,075
81,400 SLM Holding Corporation.............................. 3,729,137
------------
8,871,212
------------
Health Care -- 5.4%
57,000 Bausch & Lomb, Inc. ................................. 4,360,500
140,000 Columbia/HCA Healthcare Corporation.................. 3,193,750
8,684 LifePoint Hospitals, Inc.+........................... 116,693
8,684 Triad Hospitals, Inc.+............................... 117,236
------------
7,788,179
------------
Industrial -- 5.3%
74,000 Caterpillar Inc. .................................... 4,440,000
37,000 Minnesota Mining and Manufacturing Company........... 3,216,688
------------
7,656,688
------------
Insurance -- 5.4%
42,000 Aetna Inc.+.......................................... 3,756,375
112,000 The Allstate Corporation............................. 4,018,000
------------
7,774,375
------------
Iron/Steel -- 2.8%
177,000 Allegheny Teledyne, Inc. ............................ 4,004,625
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Oil and Gas -- 14.2%
40,500 BP Amoco Plc, ADR.................................... $ 4,394,250
44,000 Exxon Corporation.................................... 3,393,500
150,000 MCN Energy Group, Inc.+.............................. 3,112,500
70,000 Royal Dutch Petroleum Company........................ 4,217,500
102,000 Sonat, Inc. ......................................... 3,378,750
67,000 Sunoco, Inc. ........................................ 2,022,563
------------
20,519,063
------------
Paper & Forest Products -- 3.0%
55,000 International Paper Company+......................... 2,777,500
105,600 Schweitzer-Mauduit International, Inc. .............. 1,584,000
------------
4,361,500
------------
Pharmaceuticals -- 1.5%
38,000 Pharmacia & Upjohn, Inc.+............................ 2,158,875
------------
Retail -- 3.0%
80,000 Federated Department Stores, Inc.+................... 4,235,000
------------
Telecommunications -- 5.4%
65,000 Bellsouth Corporation................................ 3,046,875
70,000 SBC Communications, Inc. ............................ 4,060,000
12,000 US West, Inc. ....................................... 705,000
------------
7,811,875
------------
Tobacco -- 3.3%
57,600 Philip Morris Companies, Inc. ....................... 2,314,800
81,800 UST, Inc. ........................................... 2,392,650
------------
4,707,450
------------
Waste Disposal -- 3.1%
84,000 Waste Management, Inc. .............................. 4,515,000
------------
Total Common Stocks
(Cost $116,548,398)................................. 139,014,687
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 2.6%
(Cost $3,771,000)
$3,771,000 Federal Home Loan Bank,
3.650%++ due 07/01/1999............................. 3,771,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $120,319,398*)..................... 99.1% 142,785,687
OTHER ASSETS AND LIABILITIES (Net)......................... 0.9 1,260,953
----- ------------
NET ASSETS................................................. 100.0% $144,046,640
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++Annualized yield at date of purchase.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
86
<PAGE>
Portfolio of Investments
The GCG Trust
Research Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 96.6%
Aerospace -- 4.4%
124,200 Gulfstream Aerospace Corporation+................... $ 8,391,262
17,700 Newport News Shipbuilding, Inc. .................... 522,150
76,400 Raytheon Company, Class B........................... 5,376,650
293,400 United Technologies Corporation..................... 21,033,113
------------
35,323,175
------------
Automotive Parts and Equipment -- 0.6%
95,900 Federal-Mogul Corporation........................... 4,986,800
------------
Banks -- 5.5%
57,700 Bank of America Corporation......................... 4,230,131
172,700 The Bank of New York Company, Inc. ................. 6,335,931
56,752 The Chase Manhattan Corporation..................... 4,916,142
138,100 PNC Bank Corporation................................ 7,958,013
27,000 UBS AG.............................................. 8,054,002
100,000 U.S. Bancorp........................................ 3,400,000
221,200 Wells Fargo Company................................. 9,456,300
------------
44,350,519
------------
Broadcasting, Radio and Television -- 4.1%
93,800 CBS Corporation+.................................... 4,074,438
73,700 Comcast Corporation Class A, Special Shares (Non
Voting)+........................................... 2,832,844
58,400 Gannett Company, Inc. .............................. 4,168,300
181,600 Infinity Broadcasting Corporation, Class A+......... 5,402,600
59,200 MediaOne Group, Inc.+............................... 4,403,000
164,500 Time Warner, Inc. .................................. 12,090,750
------------
32,971,932
------------
Chemicals -- 0.2%
68,900 Cambrex Corporation................................. 1,808,625
------------
Commercial Services -- 0.0%#
17,600 Modis Professional Services, Inc.+.................. 242,000
------------
Computer Software and Services -- 15.3%
3,200 BackWeb Technologies Ltd.+.......................... 87,600
219,200 BMC Software, Inc.+................................. 11,836,800
193,300 Cadence Design Systems, Inc.+....................... 2,464,575
247,800 Cisco Systems, Inc.+................................ 15,983,100
18,300 Citrix Systems, Inc.+............................... 1,033,950
74,725 Computer Associates International, Inc. ............ 4,109,875
223,700 Compuware Corporation+.............................. 7,116,456
101,100 EMC Corporation+.................................... 5,560,500
40,700 Hewlett-Packard Company............................. 4,090,350
1,000 Intuit Inc.+........................................ 90,125
410,500 Microsoft Corporation+.............................. 37,021,969
495,250 Oracle Corporation+................................. 18,386,156
5,900 Phone.com, Inc.+.................................... 330,400
1,000 Software.com, Inc.+................................. 23,187
159,700 Sun Microsystems, Inc.+............................. 10,999,338
38,300 Synopsys, Inc.+..................................... 2,113,681
20,700 VeriSign, Inc.+..................................... 1,785,375
------------
123,033,437
------------
Consumer Products -- 5.5%
71,500 The Clorox Company.................................. 7,637,094
44,100 Colgate-Palmolive Company........................... 4,354,875
168,000 The Dial Corporation................................ 6,247,500
187,500 The Gillette Company................................ 7,687,500
132,200 Newell Rubbermaid Inc. ............................. 6,147,300
131,500 The Procter & Gamble Company........................ 11,736,375
------------
43,810,644
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Electronics -- 4.7%
353,600 Analog Devices, Inc.+................................ $ 17,746,298
53,100 Honeywell Inc. ...................................... 6,152,962
305,300 LSI Logic Corporation+............................... 14,081,962
------------
37,981,222
------------
Energy -- 1.1%
91,600 CMS Energy Corporation............................... 3,835,750
133,200 MidAmerican Energy Holdings Company+................. 4,612,050
------------
8,447,800
------------
Financial Services -- 3.8%
128,314 Associates First Capital Corporation, Class A........ 5,685,914
17,600 The Charles Schwab Corporation....................... 1,933,800
90,000 The CIT Group, Inc., Class A......................... 2,598,750
216,150 CitiGroup, Inc. ..................................... 10,267,125
83,900 First Data Corporation............................... 4,105,856
7,200 The Goldman Sachs Group, Inc. ....................... 520,200
38,800 Morgan Stanley Dean Witter & Company................. 3,977,000
19,000 Providian Financial Corporation...................... 1,776,500
------------
30,865,145
------------
Food and Beverages -- 3.0%
87,200 Anheuser-Busch Companies, Inc. ...................... 6,185,750
20,200 Bestfoods............................................ 999,900
77,200 The Coca-Cola Company................................ 4,825,000
85,500 Nabisco Holdings Corporation, Class A................ 3,697,875
270,700 Ralston-Ralston Purina Group......................... 8,239,431
------------
23,947,956
------------
Healthcare -- 2.9%
187,600 Guidant Corporation.................................. 9,649,675
400,334 HEALTHSOUTH Corporation+............................. 5,979,989
120,300 United Healthcare Corporation........................ 7,533,788
------------
23,163,452
------------
Hotels and Restaurants -- 1.5%
1,000 CKE Restaurants, Inc. ............................... 16,250
292,800 McDonald's Corporation............................... 12,096,300
------------
12,112,550
------------
Insurance -- 6.6%
55,500 American International Group, Inc. .................. 6,496,969
120,800 CIGNA Corporation.................................... 10,751,200
98,407 Conseco Inc. ........................................ 2,995,263
118,400 The Equitable Companies, Inc. ....................... 7,932,800
131,900 The Hartford Financial Services Group, Inc. ......... 7,691,419
165,300 Lincoln National Corporation......................... 8,647,256
62,800 Nationwide Financial Services, Inc., Class A......... 2,841,700
124,054 ReliaStar Financial Corporation...................... 5,427,362
------------
52,783,969
------------
Leisure Entertainment -- 1.9%
90,800 Carnival Corporation................................. 4,403,800
337,800 Disney (Walt) Company................................ 10,408,463
------------
14,812,263
------------
Manufacturing -- 6.2%
68,200 Abitibi-Consolidated Inc. ........................... 775,775
66,300 Bowater Inc. ........................................ 3,132,675
140,100 Danaher Corporation.................................. 8,143,312
42,200 Mannesmann AG........................................ 6,291,667
117,700 Owens-Illinois, Inc.+................................ 3,847,319
111,564 Smurfit-Stone Container Corporation.................. 2,294,035
11,200 SPX Corporation+..................................... 935,200
257,934 Tyco International Ltd. ............................. 24,439,247
------------
49,859,230
------------
</TABLE>
See Notes to Financial Statements.
87
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Research Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Medical Products and Supplies -- 7.3%
147,900 AstraZeneca Group Plc................................ $ 5,720,947
247,100 American Home Products Corporation................... 14,208,250
181,700 Bristol-Myers Squibb Company......................... 12,798,494
119,100 Cardinal Health, Inc. ............................... 7,637,288
400 McKesson HBOC, Inc. ................................. 12,850
90,700 Medtronic, Inc. ..................................... 7,063,262
183,500 Pharmacia & Upjohn, Inc. ............................ 10,425,094
6,200 VISX, Inc.+.......................................... 490,962
------------
58,357,147
------------
Office Equipment -- 0.9%
122,100 Xerox Corporation.................................... 7,211,531
------------
Oil and Gas -- 4.3%
9,400 Atlantic Richfield Company (ARCO).................... 785,488
104,058 BP Amoco PLC, Sponsored ADR.......................... 11,290,293
46,300 Columbia Energy Group................................ 2,902,431
128,900 Conoco Inc., Class A................................. 3,593,088
112,400 Mobil Corporation.................................... 11,127,600
194,500 Repsol SA............................................ 3,967,981
15,400 Total Fina SA........................................ 992,337
------------
34,659,218
------------
Retail -- 6.6%
882 Albertson's, Inc. ................................... 45,478
157,400 CompUSA Inc.+........................................ 1,170,662
194,600 CVS Corporation...................................... 9,875,950
84,700 Dayton Hudson Corporation............................ 5,505,500
332,600 The Kroger Company+.................................. 9,292,013
199,000 Office Depot, Inc.+.................................. 4,390,437
241,500 Rite Aid Corporation................................. 5,946,938
173,600 Safeway Inc.+........................................ 8,593,200
118,300 The TJX Companies, Inc. ............................. 3,940,869
83,500 Wal-Mart Stores, Inc. ............................... 4,028,875
------------
52,789,922
------------
Telecommunications -- 10.2%
221,600 Bell Atlantic Corporation............................ 14,487,100
227,095 MCI WorldCom, Inc.+.................................. 19,544,363
153,000 Motorola, Inc. ...................................... 14,496,750
122,600 Sprint Corporation................................... 6,474,812
274,600 Sprint PCS+.......................................... 15,686,525
33,100 Telefonaktiebolaget LM Ericson, Sponsored ADR ....... 1,090,231
298,900 Telefonaktiebolaget LM Ericson, Class B ............. 9,595,647
10,700 Tellabs, Inc.+....................................... 722,919
------------
82,098,347
------------
Total Common Stocks
(Cost $655,117,227)................................. 775,616,884
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 3.4%
$ 8,600,000 Federal Agricultural Mortgage Corporation,
4.972%++ due 07/16/1999............................ $ 8,582,621
12,500,000 Federal Home Loan Bank,
4.876%++ due 07/07/1999............................ 12,490,104
5,900,000 Federal Home Loan Mortgage Corporation,
3.650%++ due 07/01/1999............................ 5,900,000
------------
Total U.S. Government Agency Discount Notes (Cost
$26,972,725)...................................... 26,972,725
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $682,089,952*)..................... 100.0% 802,589,609
OTHER ASSETS AND LIABILITIES (Net)......................... 0.0 339,024
----- ------------
NET ASSETS................................................. 100.0% $802,928,633
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++Annualized yield at date of purchase.
# Amount is less than 0.1%.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
88
<PAGE>
Portfolio of Investments
The GCG Trust
Market Manager Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ----------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 4.5%
Financial Services -- 2.7%
$ 223,000 Cabco (Texas Capital),
Zero Coupon due 10/01/2001............................ $ 193,446
----------
Industrial -- 1.8%
130,000 Philip Morris Companies, Inc.,
6.000% due 07/15/2001................................. 128,835
----------
Total Corporate Bonds and Notes (Cost $315,480)........ 322,281
----------
U.S. TREASURY OBLIGATIONS -- 29.8%
(Cost $2,068,102)
U.S. Treasury Strips:
2,323,000 3.032% due 02/15/2001.................................. 2,127,032
----------
</TABLE>
<TABLE>
<CAPTION>
Number
of Expiration Strike
Contracts Date Price
--------- ---------- -------
<C> <S> <C> <C> <C>
CALL OPTIONS PURCHASED -- 64.6%
5,188 S&P Midcap Companies
Index 400 European.................. 03/06/2001 $178.50 1,286,771
1,686 S&P Midcap Companies
Index 400 European.................. 03/06/2001 178.50 419,158
1,074 S&P Midcap Companies
Index 400 European.................. 03/06/2001 178.50 266,371
1,902 S&P 500 European.................... 03/06/2001 485.63 1,727,406
621 S&P 500 European.................... 03/06/2001 485.63 560,916
397 S&P 500 European.................... 03/06/2001 485.63 358,892
----------
Total Call Options Purchased
(Cost $826,408)................. 4,619,514
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $3,209,989*)........................ 98.9% 7,068,827
OTHER ASSETS AND LIABILITIES (Net).......................... 1.1 78,017
----- ----------
NET ASSETS.................................................. 100.0% $7,146,844
===== ==========
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
89
<PAGE>
Portfolio of Investments
The GCG Trust
Mid-Cap Growth Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 91.8%
Automotive-Parts -- 0.2%
16,400 Federal-Mogul Corporation............................. $ 852,800
------------
Broadcast, Radio and Television -- 13.4%
1,100 Entercom Communications Corporation+.................. 47,025
482,000 Gemstar International Group, Ltd.+.................... 31,450,500
60,000 Hearst-Argyle Television, Inc.+....................... 1,440,000
32,200 Meredith Corporation.................................. 1,114,925
800 Radio One, Inc.+...................................... 37,200
17,300 Sinclair Broadcast Group, Inc., Class A+.............. 283,288
443,200 SportLine USA, Inc.+.................................. 15,899,800
------------
50,272,738
------------
Commercial Services -- 2.0%
28,900 CSG Systems International, Inc.+...................... 756,819
22,200 Gartner Group, Inc., Class A+......................... 455,100
144,700 Quintiles Transnational Corporation+.................. 6,077,400
------------
7,289,319
------------
Computer Services -- 14.0%
49,300 Affiliated Computer Services, Inc., Class A+.......... 2,495,812
17,900 The BISYS Group, Inc.+................................ 1,047,150
194,240 Cadence Design Systems, Inc.+......................... 2,476,560
21,200 CheckFree Holdings Corporation+....................... 584,325
100 Critical Path, Inc.+.................................. 5,531
37,000 DST Systems, Inc.+.................................... 2,326,375
200 Flycast Communications Corporation+................... 3,825
100 MapQuest.com, Inc.+................................... 1,631
183,000 Maxtor Corporation+................................... 920,719
237,470 Network Solutions, Inc. Class A+...................... 18,789,814
24,800 Online Resources & Communications Corporation+........ 336,350
300 Redback Networks+..................................... 37,669
370,600 Security Dynamics Technologies, Inc.+................. 7,875,250
37,700 Security First Technologies Corporation+.............. 1,701,213
106,400 SunGard Data Systems, Inc.+........................... 3,670,800
43,192 Synopsys, Inc.+....................................... 2,383,659
380,550 Technology Solutions Company+......................... 4,114,697
700 USinternetworking, Inc.+.............................. 29,400
41,600 VeriSign, Inc.+....................................... 3,588,000
500 Ziff-Davis, Inc. -- ZD Net+........................... 13,000
------------
52,401,780
------------
Computer Software -- 6.9%
142,500 Aspen Technology, Inc.+............................... 1,674,375
16,800 BMC Software, Inc.+................................... 907,200
146,800 Citrix Systems, Inc.+................................. 8,294,200
369,900 Edify Corporation+.................................... 4,947,412
107,000 IMRglobal Corporation+................................ 2,059,750
300 Informatica Corporation+.............................. 10,687
44,500 Intuit Inc.+.......................................... 4,010,562
400 Marimba, Inc.+........................................ 21,075
400 Net Perceptions, Inc.+................................ 8,725
117,700 Policy Management Systems Corporation+................ 3,531,000
500 Software.com, Inc.+................................... 11,594
19,400 The Vantive Corporation+.............................. 221,887
------------
25,698,467
------------
Consumer Products -- 0.6%
55,500 The Dial Corporation.................................. 2,063,906
------------
Diversified Minerals -- 0.0%#
366,400 Southern Africa Minerals Corporation+................. 109,410
------------
Educational Services -- 0.5%
156,200 Learning Tree International, Inc.+.................... 1,708,438
810 Sylvan Learning Systems, Inc.+........................ 22,022
------------
1,730,460
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Electronics -- 10.5%
75,200 Analog Devices, Inc.+................................. $ 3,774,100
153,600 Applied Science and Technology, Inc.+................. 3,456,000
400 GlobeSpan, Inc.+...................................... 15,900
117,600 KLA-Tencor Corporation+............................... 7,629,300
178,300 Kulicke and Soffa Industries, Inc.+................... 4,780,669
33,900 MKS Instruments, Inc.+................................ 631,388
34,500 Novellus Systems, Inc.+............................... 2,354,625
318,300 SIPEX Corporation+.................................... 6,525,150
138,700 Teradyne, Inc.+....................................... 9,951,725
------------
39,118,857
------------
Energy -- 0.1%
18,900 CONSOL Energy Inc.+................................... 226,800
------------
Financial Services -- 3.4%
297,500 Edwards (A.G.), Inc................................... 9,594,375
105,500 Fiserv, Inc.+......................................... 3,303,469
------------
12,897,844
------------
Food and Beverages -- 3.9%
473,800 Del Monte Foods Company+.............................. 7,936,150
20,500 The Great Atlantic & Pacific Tea Company, Inc. ....... 693,156
91,800 Keebler Foods Company+................................ 2,788,425
25,300 McCormick & Company, Inc.............................. 798,531
53,300 Suiza Foods Corporation+.............................. 2,231,938
------------
14,448,200
------------
Health Care and Services -- 7.8%
1,800 Advanced Health Corporation+.......................... 6,750
562,065 Concentra Managed Care, Inc.+......................... 8,325,588
450,400 Health Management Associates, Inc., Class A+.......... 5,067,000
1,020,805 Total Renal Care Holdings, Inc.+...................... 15,886,278
------------
29,285,616
------------
Insurance -- 0.1%
6,766 XL Capital Ltd., Class A ............................. 382,279
------------
Manufacturing -- 3.0%
479,700 IDEXX Laboratories, Inc.+............................. 11,183,006
------------
Medical Supplies & Services -- 7.1%
440,200 Cytyc Corporation+.................................... 8,583,900
63,900 LaserSight Inc.+...................................... 1,038,375
118,300 Lincare Holdings, Inc.+............................... 2,957,500
286,378 Martek Biosciences Corporation+....................... 2,434,213
36,500 Omnicare, Inc......................................... 460,813
104,000 PSS World Medical, Inc.+.............................. 1,163,500
443,800 STERIS Corporation+................................... 8,598,625
70,800 Ventana Medical Systems, Inc.+........................ 1,354,050
------------
26,590,976
------------
Oil and Gas -- Equipment and Services -- 3.7%
158,700 Cooper Cameron Corporation+........................... 5,881,819
141,000 Global Industries, Ltd.+.............................. 1,806,562
6,500 The Houston Exploration Company+...................... 123,094
215,500 Newfield Exploration Company+......................... 6,128,281
------------
13,939,756
------------
Oil and Gas Extraction -- 3.1%
87,700 Diamond Offshore Drilling, Inc........................ 2,488,487
228,100 Noble Drilling Corporation+........................... 4,490,719
176,200 Transocean Offshore, Inc. ............................ 4,625,250
------------
11,604,456
------------
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Mid-Cap Growth Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Pharmaceuticals -- 1.8%
27,300 Cytoclonal Pharmaceutics, Inc.+....................... $ 172,331
63,900 Sepracor, Inc.+....................................... 5,191,875
125,500 United Therapeutics Corporation+...................... 1,537,375
------------
6,901,581
------------
Publishing -- 1.5%
109,600 Scholastic Corporation+............................... 5,548,500
------------
Retail, Trade and Services -- 3.5%
139,700 BJ's Wholesale Club, Inc.+............................ 4,199,731
482,700 CompUSA Inc........................................... 3,590,081
331,700 The Gymboree Corporation+............................. 3,482,850
199,200 LoJack Corporation+................................... 1,668,300
1,000 Valley Media, Inc.+................................... 14,875
------------
12,955,837
------------
Telecommunications -- 4.7%
317,000 Aerial Communications, Inc.+.......................... 4,279,500
428,190 Cable Design Technologies Corporation+................ 6,610,183
300 Copper Mountain Networks, Inc.+....................... 23,175
300 Inet Technologies, Inc.+.............................. 7,200
221,700 Intermedia Communications Inc.+....................... 6,651,000
1,400 Time Warner Telecom Inc., Class A+.................... 40,600
17,611,658
------------
Total Common Stocks
(Cost $285,628,764).................................. 343,114,246
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- ------------
<C> <S> <C>
CONVERTIBLE BONDS -- 2.8%
$ 1,160,000 Concentra Managed Care, Inc.,
6.000% due 12/15/2001............................. $ 1,086,050
10,040,000 Concentra Managed Care, Inc.,
4.500% due 03/15/2003............................. 9,500,350
------------
Total Convertible Bonds (Cost $7,799,990).......... 10,586,400
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 5.9%
12,200,000 Federal Agricultural Mortgage Corporation, 4.884%++
due 07/14/1999.................................... 12,178,633
9,700,000 Federal Home Loan Mortgage Corporation, 3.650%++
due 07/01/1999.................................... 9,700,000
------------
Total U.S. Government Agency Discount Notes (Cost
$21,878,633)...................................... 21,878,633
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost $315,307,387*).. 100.5% 375,579,279
OTHER ASSETS AND
LIABILITIES (Net)..... (0.5) (1,707,847)
----- ------------
NET ASSETS............. 100.0% $373,871,432
=========== ===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++Annualized yield at date of purchase.
# Amount is less than 0.1%.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
91
<PAGE>
Portfolio of Investments
The GCG Trust
All-Growth Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 94.9%
Advertising -- 1.9%
49,600 Lamar Advertising Company+............................ $ 2,030,500
------------
Computer Industry -- 14.6%
37,000 AboveNet Communications, Inc.+........................ 1,493,875
32,300 i2 Technologies, Inc.+................................ 1,388,900
25,800 InfoSpace.com, Inc.+.................................. 1,212,600
27,900 Inktomi Corporation+.................................. 3,642,694
24,900 Lycos, Inc.+.......................................... 2,287,688
41,900 PSINet, Inc.+......................................... 1,833,125
14,400 Sapient Corporation+.................................. 815,400
22,700 Verio, Inc.+.......................................... 1,577,650
7,100 VERITAS Software Corporation+......................... 674,056
3,200 Yahoo! Inc.+.......................................... 551,200
------------
15,477,188
------------
Electrical Equipment -- 8.9%
43,400 CommScope, Inc.+...................................... 1,334,550
23,600 Emulex Corporation+................................... 2,624,025
78,500 Gentex Corporation+................................... 2,198,000
18,200 Maxim Integrated Products, Inc.+...................... 1,210,300
26,800 VISX, Inc.+........................................... 2,122,225
------------
9,489,100
------------
Electronics -- 3.1%
19,400 Celestica, Inc.+...................................... 840,262
37,300 Gemstar International Group Ltd.+..................... 2,433,825
------------
3,274,087
------------
Entertainment -- 3.9%
16,500 Adelphia Communications Corporation+.................. 1,049,812
5,200 Cinar Corporation+.................................... 127,400
81,600 Premier Parks, Inc.................................... 2,998,800
------------
4,176,012
------------
Financial Services -- 6.6%
43,500 Capital One Financial Corporation..................... 2,422,406
10,450 The Charles Schwab Corporation........................ 1,148,194
71,200 Heller Financial, Inc................................. 1,980,250
15,400 Providian Financial Corporation....................... 1,439,900
------------
6,990,750
------------
Health Care -- 4.5%
12,100 Immunex Corporation+.................................. 1,541,994
40,300 MedImmune, Inc.+...................................... 2,730,325
10,300 Waters Corporation+................................... 547,187
------------
4,819,506
------------
Manufacturing -- 4.9%
17,900 Corning, Inc. ........................................ 1,255,237
32,800 Danaher Corporation................................... 1,906,500
83,800 Mettler-Toledo International, Inc.+................... 2,079,287
------------
5,241,024
------------
Medical -- Hospital Management and Services -- 1.0%
17,300 Express Scripts, Inc., Class A+....................... 1,041,244
------------
Oil and Gas -- 2.0%
74,600 Diamond Offshore Drilling, Inc. ...................... 2,116,775
------------
Retail -- 9.7%
56,000 American Eagle Outfitters, Inc.+...................... 2,548,000
29,500 AnnTaylor Stores Corporation+......................... 1,327,500
25,600 Circuit City Stores -- Circuit City Group............. 2,380,800
27,825 Staples, Inc.+........................................ 860,836
38,200 Tandy Corporation..................................... 1,867,025
13,100 Tiffany & Co.......................................... 1,264,150
------------
10,248,311
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Semiconductors -- 18.7%
48,800 Atmel Corporation+.................................. $ 1,277,950
23,000 Broadcom Corporation, Class A+...................... 3,324,938
28,000 Conexant Systems, Inc.+............................. 1,625,750
48,400 LSI Logic Corporation+.............................. 2,232,450
62,400 MIPS Technologies, Inc.+............................ 2,991,300
16,500 QLogic Corporation+................................. 2,178,000
39,200 Sanmina Corporation+................................ 2,974,300
55,900 Xilinx, Inc.+....................................... 3,200,275
------------
19,804,963
------------
Services -- 9.5%
40,500 ASM Lithography Holding N.V.+....................... 2,404,688
11,600 Omnicom Group, Inc.................................. 928,000
95,000 Outdoor Systems, Inc.+.............................. 3,467,500
60,000 Snyder Communications, Inc.......................... 1,965,000
44,700 United Rentals, Inc.+............................... 1,318,650
------------
10,083,838
------------
Telecommunications -- 5.6%
20,800 General Instrument Corporation+..................... 884,000
54,900 L-3 Communications Holding, Inc.+................... 2,652,356
34,900 Powerwave Technologies, Inc.+....................... 1,125,525
39,500 Qwest Communications International, Inc.+........... 1,305,969
------------
5,967,850
------------
Total Common Stocks
(Cost $85,632,279)................................. 100,761,148
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
REPURCHASE AGREEMENT -- 5.9%
(Cost $6,276,398)
$6,276,398 Agreement with First Union National Bank, 4.670%
dated 06/30/1999 to be repurchased at $6,277,212 on
07/01/1999, collateralized by: $6,930,000 Federal
National Mortgage Association, due 01/15/2009
(Market value $6,441,065).......................... 6,276,398
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $91,908,677*)...................... 100.8% 107,037,546
OTHER ASSETS AND LIABILITIES (Net)......................... (0.8) (886,138)
----- ------------
NET ASSETS................................................. 100.0% $106,151,408
===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+Non-income producing security.
See Notes to Financial Statements.
92
<PAGE>
Portfolio of Investments
The GCG Trust
Growth Opportunities Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ---------
<C> <S> <C>
COMMON STOCKS -- 93.3%
Aerospace/Defense -- 1.5%
5,300 Lockheed Martin Corporation.............................. $ 197,425
---------
Appliances -- 2.2%
3,900 Whirlpool Corporation+................................... 288,600
---------
Auto Related -- 3.4%
1 Delphi Automotive Systems Corporation.................... 17
3,450 General Motors Corporation............................... 227,700
4,250 PACCAR, Inc.............................................. 226,844
---------
454,561
---------
Banks -- 1.5%
2,810 BankAmerica Corporation.................................. 206,008
---------
Broadcast, Radio & Television -- 2.3%
6,200 Fox Entertainment Group, Inc., Class A+.................. 167,012
4,600 The News Corporation Ltd., Sponsored ADR................. 145,188
---------
312,200
---------
Chemicals -- 4.7%
3,250 The Dow Chemical Company................................. 412,344
4,200 Nalco Chemical Company................................... 217,875
---------
630,219
---------
Computer Industry -- 9.4%
7,200 Autodesk, Inc............................................ 212,850
15,400 Avid Technology, Inc.+................................... 248,325
1,650 Computer Sciences Corporation+........................... 114,159
3,400 Comverse Technology, Inc.+............................... 256,700
4,600 Electronic Data Systems Corporation...................... 260,187
5,800 Newbridge Networks Corporation+.......................... 166,750
---------
1,258,971
---------
Distributor / Wholesaler -- 1.5%
16,700 Fleming Companies, Inc................................... 194,137
---------
Electronics -- 3.3%
1,450 Sony Corporation, ADR.................................... 160,044
1,400 Matsushita Electric Industrial Company, Ltd., ADR........ 277,638
---------
437,682
---------
Financial Services -- 4.3%
3,600 Capital One Financial Corporation........................ 200,475
3,800 Golden West Financial Corporation........................ 372,400
---------
572,875
---------
Food & Beverages -- 2.2%
7,300 Archer-Daniels-Midland Company........................... 112,694
6,100 Seminis, Inc., Class A+.................................. 91,881
1,295 Unilever NV.............................................. 90,301
---------
294,876
---------
Health Care -- 4.8%
3,800 Bausch & Lomb, Inc....................................... 290,700
16,000 First Health Group Corporation+.......................... 345,000
---------
635,700
---------
Hotels/Resorts -- 0.9%
10,000 Host Marriott Corporation+............................... 118,750
---------
Insurance -- 2.5%
1,700 Loews Corporation+....................................... 134,513
6,750 StanCorp Financial Group, Inc.+.......................... 202,500
---------
337,013
---------
Iron/Steel -- 1.0%
4,800 Carpenter Technology Corporation......................... 137,100
---------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Machinery -- 2.8%
4,200 Applied Power, Inc., Class A............................ $ 114,713
6,350 The Manitowoc Company, Inc.............................. 264,319
----------
379,032
----------
Manufacturing -- 2.6%
9,550 Raychem Corporation..................................... 353,350
----------
Metals and Mining -- 5.7%
8,700 Alcoa, Inc.............................................. 538,312
3,250 Rio Tinto Plc, ADR...................................... 218,563
----------
756,875
----------
Oil and Gas -- 7.0%
6,800 Amerada Hess Corporation+............................... 404,600
2,550 Schlumberger, Ltd....................................... 162,403
22,550 Union Pacific Resources Group, Inc...................... 367,847
----------
934,850
----------
Paper and Forest Products -- 7.3%
9,300 Boise Cascade Corporation+.............................. 398,737
3,350 Chesapeake Corporation.................................. 125,416
4,800 International Paper Company+............................ 242,400
3,100 Weyerhaeuser Company.................................... 213,125
----------
979,678
----------
Publishing/Printing Services -- 3.3%
8,200 Donnelley (R.R.) & Sons Company......................... 303,912
2,650 Harcourt General, Inc................................... 136,641
----------
440,553
----------
Retail -- 6.2%
6,400 Duane Reade Inc.+....................................... 196,000
14,200 Kmart Corporation+...................................... 233,413
7,400 Nordstrom, Inc.......................................... 247,900
4,350 The TJX Companies, Inc.................................. 144,909
----------
822,222
----------
Telecommunications -- 1.2%
3,700 Carrier Access Corporation+............................. 162,106
----------
Telecommunications Equipment -- 1.5%
2,050 Motorola, Inc........................................... 194,238
----------
Transportation -- 7.9%
4,100 Canadian National Railway Company....................... 274,700
4,600 FDX Corporation+........................................ 249,550
7,800 Swift Transportion Company, Inc.+....................... 171,600
6,100 Union Pacific Corporation............................... 355,706
----------
1,051,556
----------
Waste Disposal -- 2.3%
12,300 Republic Services, Inc.+................................ 304,425
----------
Total Common Stocks
(Cost $10,538,064)..................................... 12,455,002
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $10,538,064*)....................... 93.3% 12,455,002
OTHER ASSETS AND LIABILITIES (Net).......................... 6.7 896,475
----- -----------
NET ASSETS.................................................. 100.0% $13,351,477
===== ===========
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
93
<PAGE>
Portfolio of Investments
The GCG Trust
Strategic Equity Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 94.4%
Apparel and Textiles -- 1.6%
22,026 Jones Apparel Group, Inc.+............................ $ 755,767
10,000 Tommy Hilfiger Corporation+........................... 735,000
-----------
1,490,767
-----------
Auto Related -- 1.6%
13,000 Harley-Davidson, Inc. ................................ 706,875
31,000 Tower Automotive, Inc.+............................... 788,563
-----------
1,495,438
-----------
Banks -- 3.9%
11,500 Astoria Financial Corporation......................... 505,281
17,100 Bank United Corporation, Class A...................... 687,206
25,000 Compass Bancshares, Inc. ............................. 681,250
17,600 First Tennessee National Corporation.................. 674,300
15,500 GreenPoint Financial Corporation...................... 508,594
27,700 National Commerce Bancorporation...................... 605,937
-----------
3,662,568
-----------
Broadcast, Radio and Television -- 1.7%
11,200 Hispanic Broadcasting Corporation+.................... 849,800
11,800 Univision Communications Inc.+........................ 778,800
-----------
1,628,600
-----------
Computer Industry -- 14.7%
19,000 Adaptec, Inc.+........................................ 670,937
9,500 Adobe Systems Inc. ................................... 780,484
15,000 Apple Computer, Inc.+................................. 694,687
30,000 BEA Systems, Inc.+.................................... 856,875
13,000 Check Point Software Technologies Ltd.+............... 697,125
11,800 Citrix Systems, Inc.+................................. 666,700
9,750 Comverse Technology, Inc.+............................ 736,125
13,800 Electronic Arts Inc.+................................. 748,650
8,100 Intuit Inc.+.......................................... 730,012
20,000 ISS, Group Inc.+...................................... 755,000
7,000 Lycos, Inc.+.......................................... 643,125
15,100 Macromedia, Inc. ..................................... 532,275
17,500 NorthPoint Communications Group, Inc.+................ 638,750
27,900 Novell, Inc.+......................................... 739,350
15,000 Portal Software, Inc.+................................ 694,688
19,800 Rational Software Corporation+........................ 652,163
10,500 Verio Inc.+........................................... 729,750
12,000 VeriSign, Inc.+....................................... 1,035,000
8,000 Veritas Software Corporation+......................... 759,500
-----------
13,761,196
-----------
Consumer Products -- 1.2%
36,600 Callaway Golf Company................................. 535,275
27,400 La-Z-Boy, Inc. ....................................... 630,200
-----------
1,165,475
-----------
Electrical Products -- 2.2%
33,500 American Power Conversion Corporation+................ 674,187
14,000 Jabil Circuit, Inc.+.................................. 631,750
10,000 Teradyne, Inc.+....................................... 717,500
-----------
2,023,437
-----------
Electronics -- 5.2%
13,000 ASM Lithography Holding N.V.+......................... 771,875
12,000 Flextronics International, Ltd.+...................... 666,000
12,000 Gemstar International Group Ltd.+..................... 783,000
21,400 Gentex Corporation+................................... 599,200
14,000 L-3 Communications Holdings, Inc.+.................... 676,375
10,100 Micrel, Inc.+......................................... 747,400
31,250 Vishay Intertechnology, Inc.+......................... 656,250
-----------
4,900,100
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Financial Services -- 4.7%
15,000 The Bear Stearns Companies Inc. ...................... $ 701,250
15,000 Concord EFS, Inc.+.................................... 634,688
37,200 Federated Investors, Inc. Class B..................... 667,275
11,400 The FINOVA Group Inc. ................................ 599,925
18,300 Fiserv, Inc.+......................................... 573,019
10,000 Knight/Trimark Group, Inc.+........................... 603,125
7,000 SEI Investments Company............................... 617,750
-----------
4,397,032
-----------
Food and Beverages -- 0.7%
13,200 Adolph Coors Company, Class B......................... 653,400
-----------
Healthcare -- 2.2%
5,800 Allergan, Inc.+....................................... 643,800
10,500 VISX, Inc.+........................................... 831,469
10,600 Waters Corporation+................................... 563,125
-----------
2,038,394
-----------
Hotels/Resorts -- 1.0%
32,000 Mandalay Resort Group+................................ 676,000
5,700 MGM Grand, Inc.+...................................... 279,300
-----------
955,300
-----------
Industrial Products, Services and Machinery -- 0.7%
8,200 SPX Corporation+...................................... 684,700
-----------
Insurance -- 1.3%
12,600 AFLAC, Inc. .......................................... 603,225
18,800 Protective Life Corporation........................... 620,400
-----------
1,223,625
-----------
Manufacturing -- 0.6%
9,000 Danaher Corporation................................... 523,125
-----------
Medical -- Hospital Management and Services -- 1.2%
7,300 Express Scripts, Inc., Class A+....................... 439,369
17,700 Trigon Healthcare, Inc.+.............................. 643,838
-----------
1,083,207
-----------
Medical Products -- 2.3%
9,000 Bausch & Lomb Inc. ................................... 688,500
14,000 Biomet, Inc. ......................................... 556,500
9,100 Patterson Dental Company+............................. 316,225
4,900 PE Corp-PE Biosystems Group........................... 562,275
-----------
2,123,500
-----------
Oil and Gas -- 4.4%
35,000 ENSCO International Inc. ............................. 697,813
30,500 Nabors Industries, Inc.+.............................. 745,344
80,000 R&B Falcon Corporation+............................... 750,000
33,000 Rowan Companies, Inc.+................................ 608,438
25,000 Transocean Offshore Inc. ............................. 656,250
17,000 Weatherford International, Inc.+...................... 622,625
-----------
4,080,470
-----------
Pharmaceuticals -- 1.4%
10,000 Biogen, Inc.+......................................... 643,125
2,450 Celera Genomics+...................................... 39,659
8,700 MedImmune, Inc.+...................................... 589,425
-----------
1,272,209
-----------
Printing and Forms -- 1.2%
8,800 Lexmark International Group, Inc., Class A+........... 581,350
15,300 Valassis Communications, Inc.+........................ 560,363
-----------
1,141,713
-----------
Publishing -- 1.3%
13,300 Electronics For Imaging, Inc.+........................ 683,287
14,000 The Readers Digest Association, Inc., Class B......... 556,500
-----------
1,239,787
-----------
</TABLE>
See Notes to Financial Statements.
94
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Strategic Equity Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Restaurants -- 2.0%
20,300 Brinker International, Inc.+.......................... $ 551,906
18,000 Outback Steakhouse Inc.+.............................. 707,625
20,100 Sonic Corporation+.................................... 655,762
-----------
1,915,293
-----------
Retail -- 14.4%
14,000 American Eagle Outfitters, Inc.+...................... 637,000
6,400 Abercrombie & Fitch Company, Class A+................. 307,200
16,100 AnnTaylor Stores Corporation.......................... 724,500
16,500 Bed Bath & Beyond Inc.+............................... 635,250
12,200 Best Buy Company, Inc.+............................... 823,500
18,800 Dollar Tree Stores, Inc.+............................. 827,200
14,000 eToys Inc.+........................................... 570,500
40,000 Hollywood Entertainment Corporation+.................. 782,500
12,810 Intimate Brands, Inc. ................................ 606,874
8,100 Kohl's Corporation+................................... 625,219
15,000 Lands' End Inc.+...................................... 727,500
13,200 Linens 'n Things, Inc.+............................... 577,500
29,700 The Men's Wearhouse, Inc.+............................ 757,350
15,100 99 Cents Only Stores+................................. 754,056
11,000 Payless ShoeSource, Inc.+............................. 588,500
69,400 Spiegel, Inc., Class A+............................... 615,925
17,200 Tandy Corporation..................................... 840,650
7,000 Tiffany & Co. ........................................ 675,500
21,000 The TJX Companies, Inc. .............................. 699,563
18,100 Zale Corporation+..................................... 724,000
-----------
13,500,287
-----------
Semiconductors -- 9.4%
17,400 Altera Corporation+................................... 640,537
20,000 Burr-Brown Corporation+............................... 732,500
15,000 Conexant Systems, Inc.+............................... 870,938
12,000 KLA-Tencor Corporation+............................... 778,500
17,100 LSI Logic Corporation+................................ 788,737
18,400 MIPS Technologies, Inc., Class A+..................... 882,050
30,000 National Semiconductor Corporation+................... 759,375
14,000 PMC-Sierra, Inc.+..................................... 825,125
7,500 QLogic Corporation+................................... 990,000
10,200 Vitesse Semiconductor Corporation+.................... 687,863
14,000 Xilinx, Inc.+......................................... 801,500
-----------
8,757,125
-----------
Services -- 5.3%
22,200 American Management Systems, Inc.+.................... 711,787
22,300 Apollo Group, Inc., Class A+.......................... 592,344
28,200 CSG Systems International Inc.+....................... 738,487
12,400 Galileo International, Inc. .......................... 662,625
15,900 Lamar Advertising Company+............................ 650,906
23,000 Nielsen Media Research, Inc.+......................... 672,750
14,200 SFX Entertainment, Inc.+.............................. 908,800
-----------
4,937,699
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Telecommunications -- 6.6%
12,000 ADC Telecommunications, Inc.+........................ $ 546,750
23,000 CommScope, Inc.+..................................... 707,250
11,000 Copper Mountain Networks, Inc.+...................... 849,750
25,000 Crown Castle International Corporation+.............. 520,313
15,900 General Instrument Corporation+...................... 675,750
6,100 NTL Inc.+............................................ 525,744
5,300 QUALCOMM Inc.+....................................... 760,550
18,900 Scientific-Atlanta, Inc.+............................ 680,400
5,400 Uniphase Corporation+................................ 896,400
-----------
6,162,907
-----------
Transportation -- 0.8%
12,200 Kansas City Southern Industries, Inc. ............... 778,512
-----------
Utilities -- 0.8%
10,000 Montana Power Company................................ 705,000
-----------
Total Common Stocks (Cost $74,706,022)............... 88,300,866
-----------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 5.7% (Cost $5,290,000)
$5,290,000 Federal Home Loan Mortgage Corporation, 3.650%++ due
07/01/1999.......................................... 5,290,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost
$79,996,022*)... 100.1% 93,590,866
OTHER ASSETS AND
LIABILITIES
(Net)........... (0.1) (55,116)
----- -----------
NET ASSETS....... 100.0% $93,535,750
======== ===== ===========
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
95
<PAGE>
Portfolio of Investments
The GCG Trust
Capital Appreciation Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 92.7%
Aerospace/Defense -- 0.1%
2,200 United Technologies Corporation.................... $ 157,712
------------
Agricultural Biotechnology -- 1.1%
82,500 Monsanto Company................................... 3,253,594
------------
Auto Related -- 0.9%
49,000 Ford Motor Company................................. 2,765,437
------------
Banks -- 2.4%
84,000 Chase Manhattan Corporation........................ 7,276,500
------------
Broadcast, Radio and Television -- 6.2%
84,200 Cablevision Systems Corporation, Class A+.......... 5,894,000
124,000 Comcast Corporation, Class A, Special Shares (Non-
Voting)........................................... 4,766,250
144,700 Cox Communications, Inc., Class A+................. 5,326,769
40,000 MediaOne Group, Inc.+.............................. 2,975,000
------------
18,962,019
------------
Computer Industry -- 13.2%
89,200 BMC Software, Inc.+................................ 4,816,800
5,000 Cisco Systems, Inc.+............................... 322,500
12,000 Comverse Technology, Inc.+......................... 906,000
18,000 Dell Computer Corporation+......................... 666,000
15,000 EMC Corporation+................................... 825,000
55,000 Gateway Inc.+...................................... 3,245,000
28,800 Lexmark International Group, Inc., Class A+........ 1,902,600
61,000 International Business Machines Corporation........ 7,884,250
83,500 Microsoft Corporation+............................. 7,530,656
37,000 SunGard Data Systems Inc.+......................... 1,276,500
53,000 Sun Microsystems, Inc.+............................ 3,650,375
180,100 Unisys Corporation+................................ 7,012,644
------------
40,038,325
------------
Consumer Products -- 3.6%
110,000 Avon Products, Inc. ............................... 6,105,000
50,300 Colgate-Palmolive Company.......................... 4,967,125
------------
11,072,125
------------
Electronics -- 0.7%
25,000 Solectron Corporation+............................. 1,667,187
5,300 Teradyne, Inc.+.................................... 380,275
------------
2,047,462
------------
Entertainment -- 2.3%
94,900 Time Warner, Inc. ................................. 6,975,150
------------
Financial Services -- 7.6%
20,000 American Express Company........................... 2,602,500
95,000 Associates First Capital Corporation, Class A...... 4,209,688
34,500 Citigroup, Inc. ................................... 1,638,750
14,100 Equifax Inc. ...................................... 503,194
45,000 Federal National Mortgage Association.............. 3,076,875
71,000 Federal Home Loan Mortgage Corporation............. 4,118,000
85,700 First Data Corporation............................. 4,193,944
13,000 Morgan Stanley Dean Witter & Company............... 1,332,500
16,000 Providian Financial Corporation.................... 1,496,000
------------
23,171,451
------------
Insurance -- 4.1%
85,000 American International Group, Inc. ................ 9,950,312
16,900 The Hartford Financial Services Group, Inc. ....... 985,481
6,900 The Progressive Corporation........................ 1,000,500
10,500 XL Capital Ltd., Class A........................... 593,250
------------
12,529,543
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Leisure Entertainment -- 1.5%
93,000 Carnival Corporation................................ $ 4,510,500
3,400 Royal Carribean Cruises Ltd. ....................... 148,750
------------
4,659,250
------------
Manufacturing -- 4.8%
51,000 General Electric Company............................ 5,763,000
92,900 Tyco International, Ltd. ........................... 8,802,275
------------
14,565,275
------------
Medical Products -- 4.2%
19,000 Cardinal Health, Inc. .............................. 1,218,375
187,100 Guidant Corporation+................................ 9,623,956
19,000 Medtronic, Inc. .................................... 1,479,625
6,000 Waters Corporation+................................. 318,750
------------
12,640,706
------------
Office Equipment -- 0.3%
13,400 Xerox Corporation................................... 791,438
------------
Pharmaceuticals -- 7.4%
80,000 Bristol-Myers Squibb Company........................ 5,635,000
14,500 Merck & Co. Inc. ................................... 1,073,000
184,000 Pharmacia & Upjohn, Inc.+........................... 10,453,500
75,000 Warner-Lambert Company.............................. 5,203,125
------------
22,364,625
------------
Publishing -- 0.3%
16,000 Dow Jones & Company, Inc. .......................... 849,000
------------
Retail -- 14.9%
135,000 Best Buy Company Inc.+.............................. 9,112,500
38,000 Costco Companies, Inc.+............................. 3,042,375
135,700 Dayton Hudson Corporation........................... 8,820,500
1,200 The GAP Inc......................................... 60,450
184,000 The Kroger Company+................................. 5,140,500
83,000 Lowe's Companies, Inc............................... 4,705,062
85,000 McDonald's Corporation.............................. 3,511,562
104,000 Safeway Inc.+....................................... 5,148,000
45,000 Tricon Global Restaurants, Inc.+.................... 2,435,625
70,000 Wal-Mart Stores, Inc................................ 3,377,500
------------
45,354,074
------------
Semiconductors -- 0.7%
18,800 Motorola, Inc....................................... 1,781,300
3,200 Texas Instruments Inc............................... 464,000
------------
2,245,300
------------
Services -- 2.1%
69,000 Omnicom Group Inc................................... 5,520,000
85,000 WPP Group Plc+...................................... 718,810
------------
6,238,810
------------
Telecommunications -- 13.4%
72,139 AT&T Corporation.................................... 4,026,258
24,000 Lucent Technologies Inc............................. 1,618,500
155,000 MCI WorldCom, Inc.+................................. 13,339,688
92,900 Nextel Communications Inc., Class A+................ 4,662,419
154,000 Nokia Oyj, Sponsored ADR............................ 14,100,625
14,250 Vodafone Airtouch Plc, Sponsored ADR................ 2,807,250
------------
40,554,740
------------
Waste Disposal -- 0.9%
51,000 Waste Management, Inc............................... 2,741,250
------------
Total Common Stocks (Cost $244,977,760)............. 281,253,786
------------
</TABLE>
See Notes to Financial Statements.
96
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Capital Appreciation Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Value
Amount (Note 1)
--------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 7.3% (Cost $22,297,000)
$22,297,000 Student Loan Marketing Association 3.650%++ due
07/01/1999........................................ $ 22,297,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost
$267,274,760*).. 100.0% 303,550,786
------------
</TABLE>
<TABLE>
<CAPTION>
Number of Expiration Strike
Contracts Date Price
--------- ---------- -------
<C> <S> <C> <C> <C>
CALL OPTIONS WRITTEN -- 0.0%#
195 MCI WorldCom, Inc. ............ 09/18/1999 $ 90.00 (95,063)
25 Cisco Systems, Inc. ........... 10/15/1999 110.00 (30,000)
65 AT&T Corporation............... 10/16/1999 60.00 (16,250)
------------
Total Call Options Written
(Premiums received $194,382)...................... (141,313)
------------
OTHER ASSETS AND LIABILITIES (Net)................... 0.0%# 50,390
------- ------------
NET ASSETS........................................... 100.0% $303,459,863
======= ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount is less than 0.1%.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
97
<PAGE>
Portfolio of Investments
The GCG Trust
Small Cap Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 93.8%
Advertising -- 2.9%
51,475 Outdoor Systems Inc.+................................. $ 1,878,837
99,300 Young & Rubicam Inc.+................................. 4,511,944
------------
6,390,781
------------
Airlines -- 0.5%
42,600 SkyWest, Inc.......................................... 1,062,338
------------
Auto Equipment and Services -- 0.9%
50,700 Speedway Motorsports, Inc.+........................... 1,993,144
------------
Automotive -- 0.9%
60,400 Sonic Automotive Inc.+................................ 830,500
------------
Banking/Financial -- 0.9%
31,000 Dime Bancorp, Inc..................................... 623,875
26,900 North Fork Bancorporation Inc......................... 573,306
15,000 Wilmington Trust Corporation.......................... 860,625
------------
2,057,806
------------
Bio Technology -- 2.0%
63,600 Medimmune Inc.+....................................... 4,308,900
------------
Broadcasting, Radio and Television -- 1.5%
32,171 Clear Channel Communications, Inc.+................... 2,217,813
20,500 Cox Radio, Inc., Class A+............................. 1,112,125
------------
3,329,938
------------
Business Services -- 3.1%
146,600 Ceridian Corporation+................................. 4,791,987
75,000 Rent-Way Inc.+........................................ 1,846,875
------------
6,638,862
------------
Commercial Services -- 3.9%
100,000 Coinstar, Inc.+....................................... 2,868,750
75,000 Nielsen Media Research, Inc.+......................... 2,193,750
21,800 Pittway Corporation, Class A.......................... 745,287
34,100 QRS Corporation+...................................... 2,659,800
------------
8,467,587
------------
Communication -- 9.9%
81,268 At Home Corporation, Class A+......................... 4,383,412
50,000 Broadcast.com Inc.+................................... 6,678,125
120,000 CNET, Inc.+........................................... 6,915,000
39,000 McLeodUSA Inc., Class A+.............................. 2,145,000
50,000 Time Warner Telecom Inc., Class A+.................... 1,450,000
------------
21,571,537
------------
Communication Equipment -- 1.2%
48,400 Dycom Industries, Inc.+............................... 2,710,400
------------
Computer Software and Services -- 5.5%
10,000 Advent Software, Inc.+................................ 670,000
20,000 America Online, Inc.+................................. 2,210,000
67,500 Dendrite International, Inc.+......................... 2,438,438
74,200 Intuit Inc.+.......................................... 6,687,275
------------
12,005,713
------------
Electronics -- 3.1%
29,800 L-3 Communications Holdings, Inc.+.................... 1,439,713
56,700 Mettler-Toledo International Inc.+.................... 1,406,869
51,700 Sanmina Corporation+.................................. 3,922,738
------------
6,769,320
------------
Financial Services -- 5.7%
58,300 The BISYS Group, Inc.+................................ 3,410,550
52,500 FactSet Research Systems Inc.......................... 2,972,812
30,000 Fiserv, Inc.+......................................... 939,375
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Financial Services -- (Continued)
59,100 Kansas City Southern Industries, Inc.................. $ 3,771,319
57,700 National Commerce Bancorporation...................... 1,262,187
------------
12,356,243
------------
Food -- Retail -- 2.5%
68,200 The Kroger Company+................................... 1,905,337
96,400 Starbucks Corporation+................................ 3,621,025
------------
5,526,362
------------
Food and Beverages -- 0.3%
17,000 Beringer Wine Estates Holdings, Inc., Class B+........ 710,281
------------
Furniture, Home and Office -- 1.9%
94,650 Ethan Allen Interiors Inc............................. 3,573,037
20,000 Furniture Brands International, Inc.+................. 557,500
------------
4,130,537
------------
Home Building -- 0.2%
22,000 Champion Enterprises, Inc.+........................... 409,750
------------
Hospital Management and Services -- 0.9%
90,800 Hooper Holmes, Inc.................................... 1,850,050
------------
Hotels -- 0.5%
50,000 Mandalay Resort Group+................................ 1,056,250
------------
Manufacturing -- 1.9%
64,000 Sealed Air Corporation+............................... 4,152,000
------------
Medical Services -- 3.2%
158,000 Medquist Inc.+........................................ 6,912,500
------------
Medical Supplies -- 0.5%
25,500 Biomet, Inc........................................... 1,013,625
------------
Oil and Gas -- 0.6%
128,400 Varco International, Inc.+............................ 1,404,375
------------
Pharmaceuticals -- 2.6%
5,600 AmeriSource Health Corporation, Class A+.............. 142,800
92,200 Forest Laboratories, Inc.+............................ 4,264,250
15,700 IDEC Pharmaceuticals Corporation+..................... 1,209,881
------------
5,616,931
------------
Restaurants -- 3.4%
149,550 Outback Steakhouse, Inc.+............................. 5,879,184
100,000 Rubio's Restaurants, Inc.+............................ 1,543,750
------------
7,422,934
------------
Retail -- 18.8%
40,000 Amazon.com, Inc.+..................................... 5,005,000
168,800 Bed Bath & Beyond Inc.+............................... 6,498,800
164,000 BJ's Wholesale Club, Inc.+............................ 4,930,250
26,900 eBay Inc.+............................................ 4,061,900
109,300 Family Dollar Stores Inc.............................. 2,623,200
42,300 Lands' End, Inc.+..................................... 2,051,550
161,800 Linens 'n Things Inc.+................................ 7,078,750
192,450 Office Depot, Inc.+................................... 4,245,928
26,800 Tiffany & Co.......................................... 2,586,200
53,900 Williams-Sonoma, Inc.+................................ 1,876,394
------------
40,957,972
------------
Semiconductors -- 7.7%
80,000 Altera Corporation+................................... 2,945,000
25,000 Broadcom Corporation, Class A+........................ 3,614,063
25,000 Linear Technology Corporation......................... 1,681,250
125,000 Microchip Technology Inc.+............................ 5,921,875
45,000 Xilinx, Inc.+......................................... 2,576,250
------------
16,738,438
------------
</TABLE>
See Notes to Financial Statements.
98
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Small Cap Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Semiconductors Capital Equipment -- 2.2%
65,000 ASM Lithography Holding Ltd.+........................ $ 3,859,375
23,000 PRI Automation, Inc.+................................ 833,750
------------
4,693,125
------------
Telecommunications Equipment -- 3.9%
105,200 ANTEC Corporation+................................... 3,372,975
110,000 Aware, Inc.+......................................... 5,073,750
------------
8,446,725
------------
Wholesale Distributors -- 1.2%
59,900 U.S. Foodservice, Inc.+.............................. 2,553,238
------------
Total Common Stocks
(Cost $154,364,608)................................. 204,088,162
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
COMMERCIAL PAPER -- 4.6%
$3,700,000 Aetna Services, Inc.
5.159%++ due 07/09/1999 ............................ 3,695,848
2,600,000 Austria Corporation
5.345%++ due 07/12/1999............................. 2,595,750
1,200,000 CSC Enterprises
5.259%++ due 07/16/1999............................. 1,197,365
2,600,000 Merrill Lynch & Company Inc.
5.345%++ due 07/12/1999............................. 2,595,829
------------
Total Commercial Paper
(Cost $10,084,792).................................. 10,084,792
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost
$164,449,400*).. 98.4% 214,172,954
OTHER ASSETS AND
LIABILITIES
(Net)........... 1.6 3,398,613
----- ------------
NET ASSETS....... 100.0% $217,571,567
======== ===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
Glossary of Terms
ADR -- American Depository Receipt
See Notes to Financial Statements.
99
<PAGE>
Portfolio of Investments
The GCG Trust
Real Estate Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 96.1%
Apartments -- 14.9%
44,100 Apartment Investment & Management Company............. $ 1,885,275
41,964 Avalonbay Communities, Inc............................ 1,552,668
43,100 BRE Properties, Inc., Class A......................... 1,117,906
55,287 Equity Residential Properties Trust................... 2,491,370
44,205 Post Properties, Inc.................................. 1,812,405
43,400 Smith, Charles E. Residential Realty, Inc............. 1,472,888
------------
10,332,512
------------
Hotels & Motels -- 7.2%
53,700 Hilton Hotels Corporation............................. 761,869
148,200 Host Marriott Corporation+............................ 1,759,875
48,292 Starwood Hotels & Resorts Worldwide, Inc.+............ 1,475,924
225,600 Wyndham Hotel Corporation+............................ 1,015,200
------------
5,012,868
------------
Manufactured Housing -- 8.2%
74,413 Chateau Communities, Inc.............................. 2,227,739
49,900 Manufactured Home Communities, Inc.................... 1,297,400
60,600 Sun Communities, Inc.................................. 2,151,300
------------
5,676,439
------------
Office/Industrial -- 32.3%
96,400 Arden Realty, Inc..................................... 2,373,850
51,600 Boston Properties, Inc................................ 1,851,150
23,000 Brandywine Realty Trust............................... 455,687
101,100 Cornerstone Properties, Inc........................... 1,604,962
132,935 Equity Office Properties Trust........................ 3,406,459
22,100 Highwoods Properties, Inc............................. 606,369
88,500 Kilroy Realty Corporation+............................ 2,157,187
86,500 Liberty Property Trust................................ 2,151,688
105,190 ProLogis Trust........................................ 2,130,098
132,270 Reckson Associates Realty Corporation................. 3,108,345
68,900 SL Green Realty Corporation........................... 1,408,144
27,100 Spieker Properties, Inc............................... 1,053,513
------------
22,307,452
------------
Real Estate -- 2.5%
65,600 Catellus Development Corporation...................... 1,016,800
32,100 Duke-Weeks Realty Corporation......................... 724,256
------------
1,741,056
------------
Regional Malls -- 12.7%
67,400 General Growth Properties, Inc.+...................... 2,392,700
125,000 Simon Property Group, Inc............................. 3,171,875
107,300 Taubman Centers, Inc.................................. 1,415,019
42,200 The Macerich Company.................................. 1,107,750
22,500 Urban Shopping Centers, Inc........................... 708,750
------------
8,796,094
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Restaurants -- 2.9%
90,800 Franchise Finance Corporation of America............. $ 1,997,600
------------
Self Storage -- 2.7%
65,662 Public Storage, Inc.................................. 1,838,536
------------
Shopping Centers -- 12.7%
53,900 Bradley Real Estate, Inc.+........................... 1,118,425
45,300 Developers Diversified Realty Corporation............ 753,112
72,500 Federal Realty Investment Trust...................... 1,662,969
73,750 Kimco Realty Corporation............................. 2,885,469
66,500 Vornado Realty Trust................................. 2,348,281
------------
8,768,256
------------
Total Common Stocks
(Cost $68,202,366).................................. 66,470,813
------------
PREFERRED STOCK -- 1.3%
16,800 Vornado Realty Trust Pfd. Conv., Series A............ 848,400
------------
3,132 Patriot American Hospitality, Inc.
Pfd. Series B....................................... 76,147
------------
Total Preferred Stocks
(Cost $905,275)..................................... 924,547
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 1.9% (Cost $1,273,460)
$1,280,000 U.S. Treasury Bills
4.43%++ to 4.56%++ due 08/12/1999................... 1,273,460
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost
$70,381,101*)... 99.3% 68,668,820
OTHER ASSETS AND
LIABILITIES
(Net)........... 0.7 495,336
----- -----------
NET ASSETS....... 100.0% $69,164,156
======== ===== ===========
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase
See Notes to Financial Statements.
100
<PAGE>
Portfolio of Investments
The GCG Trust
Hard Assets Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS -- 95.3%
Apartments -- 1.0%
9,100 Equity Residential Properties Trust..................... $ 410,069
----------
Diversified Minerals -- 4.7%
28,800 Iluka Resources Ltd..................................... 62,179
30,000 Outokumpu Oyj, Class A+................................. 336,924
87,630 Rio Tinto Plc........................................... 1,468,979
4,300 Southern Peru Copper Corporation........................ 62,081
----------
1,930,163
----------
Food and Beverages -- 1.2%
3,800 Celestial Seasonings, Inc.+............................. 81,700
138,400 Simeon Wines Ltd........................................ 343,085
1,560 Whole Foods Market, Inc.+............................... 74,977
----------
499,762
----------
Forest Products and Paper -- 9.1%
17,000 Aracruz Celulose S.A.................................... 374,000
3,400 Bowater Inc............................................. 160,650
17,000 Georgia-Pacific (Georgia-Pacific Group)................. 805,375
19,390 Georgia-Pacific Corp. (Timber Group).................... 489,598
20,900 Kimberly-Clark de Mexico, ADR........................... 429,740
32,200 Plum Creek Timber Company, L.P.......................... 1,002,225
22,300 Smurfit-Stone Container Corporation..................... 458,544
----------
3,720,132
----------
Gold/Mining -- 2.9%
630,800 Brazilian Resources, Inc................................ 72,776
550,000 Centaur Mining and Exploration Ltd...................... 96,348
45,300 Euro-Nevada Mining Corporation.......................... 541,079
31,100 Franco-Nevada Mining Corporation Ltd.................... 483,332
----------
1,193,535
----------
Hotels -- 0.7%
1,977 Interstate Hotels Corporation........................... 8,153
59,297 Wyndham International, Inc.............................. 266,837
----------
274,990
----------
Industrial -- 4.4%
40,000 Alleghany Teledyne, Inc................................. 905,000
25,000 Bedford Property Investors, Inc......................... 446,875
29,200 Grupo Imsa, S.A. de C.V., ADR........................... 467,200
----------
1,819,075
----------
Metals/Mining -- 11.3%
22,800 Acerinox S.A............................................ 665,998
35,000 Alcoa, Inc.............................................. 2,165,625
11,100 Compania de Minas Buenaventura S.A...................... 169,969
114,000 Inco Ltd. **............................................ 854,903
1,100 Rio Tinto Plc, ADR...................................... 73,975
21,750 Stillwater Mining Company+.............................. 710,953
----------
4,641,423
----------
Office/Industrial -- 2.7%
17,200 Kilroy Realty Corporation............................... 419,250
5,300 Mack-Cali Realty Corporation............................ 163,969
10,000 Prentiss Properties Trust............................... 235,000
15,000 ProLogis Trust.......................................... 303,750
----------
1,121,969
----------
Oil and Gas Exploration -- 19.3%
49,900 Berkley Petroleum Corporation+.......................... 418,232
9,800 Devon Energy Corporation................................ 350,350
101,000 Encal Energy Ltd.+...................................... 496,946
37,300 Evergreen Resources, Inc................................ 939,494
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Oil and Gas Exploration -- (Continued)
62,500 Forcenergy Inc.**....................................... $ 58,594
15,600 Kerr-McGee Corporation.................................. 782,925
1,200,000 National Resources Exploration+......................... 30,144
50,000 Northrock Resources Ltd.+............................... 525,959
128,400 Pennaco Energy, Inc.+................................... 1,508,700
25,000 Penn West Petroleum Ltd.+............................... 458,093
17,510 Plains Resources, Inc.+................................. 332,690
47,000 Rio Alto Exploration Ltd.+.............................. 712,894
8,200 Shell Canada Ltd., Class A.............................. 166,671
53,000 Stellarton Energy Corporation, Class A+................. 68,341
3,800 Suncor Energy, Inc...................................... 155,636
7,000 Talisman Energy, Inc.+.................................. 190,261
80,000 Velvet Exploration Ltd.+................................ 263,319
29,390 Ventus Energy Ltd.+..................................... 140,617
24,600 Vintage Petroleum, Inc.................................. 264,450
196,000 Windsor Energy Corporation+**........................... 51,876
----------
7,916,192
----------
Oil/Gas -- Equipment and Services -- 2.6%
45,000 Plains Energy Services Ltd.+**.......................... 259,586
14,200 Pride International, Inc.+.............................. 149,987
10,000 Santa Fe International Corporation...................... 230,000
10,000 Williams Companies, Inc................................. 425,625
----------
1,065,198
----------
Oil/Gas -- Integrated -- 3.2%
1,754 BP Amoco Plc, ADR....................................... 190,309
8,700 Burlington Resources, Inc............................... 376,275
4,800 Chevron Corporation..................................... 456,900
7,030 The Coastal Corporation................................. 281,200
----------
1,304,684
----------
Oil/Gas -- International -- 20.4%
32,800 Atlantic Richfield Co. (ARCO)........................... 2,740,850
53,000 British Petroleum....................................... 949,864
34,400 Exxon Corporation....................................... 2,653,100
18,100 Mobil Oil Corporation................................... 1,791,900
4,400 Phillips Petroleum Company.............................. 221,375
----------
8,357,089
----------
Oil/Gas -- Refining -- 0.7%
12,700 Imperial Oil Ltd........................................ 241,330
42,500 S.P. Interoil**......................................... 51,000
----------
292,330
----------
Platinum/Mining -- 3.9%
67,650 Anglo American Platinum Corporation..................... 1,578,575
661 Anglo American Platinum Corporation Ltd., ADR........... 15,005
----------
1,593,580
----------
Real Estate -- 4.7%
13,200 Brandywine Realty Trust................................. 261,525
27,700 Cadillac Fairview Corporation+**........................ 522,838
13,000 Host Marriott Corporation............................... 154,375
18,000 New Plan Excel Realty Trust............................. 324,000
15,000 Philips International Realty Corporation+............... 253,125
20,000 Trizec Hahn Corporation................................. 407,500
----------
1,923,363
----------
Regional Malls -- 1.1%
12,000 The Macerich Company.................................... 315,000
9,500 Westfield America, Inc.................................. 143,094
----------
458,094
----------
</TABLE>
See Notes to Financial Statements.
101
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Hard Assets Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -----------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Other -- 1.4%
20,700 Denali Incorporated+**................................. $ 155,250
7,600 Samsung Electronics, GDR............................... 406,980
-----------
562,230
-----------
Total Common Stocks
(Cost $38,334,985).................................... 39,083,878
-----------
WARRANTS -- 0.4%
(Cost $158,597)
26,000 AltaGas Services, Inc.+**.............................. 154,394
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost
$38,493,582*)... 95.7% 39,238,272
OTHER ASSETS AND
LIABILITIES
(Net)........... 4.3 1,775,456
----- -----------
NET ASSETS....... 100.0% $41,013,728
======== ===== ===========
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
The summary of investments by country at June 30, 1999 was as follows:
<TABLE>
<CAPTION>
% of Total
Country Investments
- ------- -----------
<S> <C>
Australia........................................................... 1.3%
Brazil.............................................................. 1.0
Canada.............................................................. 17.0
Great Britain....................................................... 6.8
Finland............................................................. 0.9
Korea............................................................... 1.0
Peru................................................................ 0.6
Spain............................................................... 1.7
Mexico.............................................................. 2.3
South Africa........................................................ 4.0
United States....................................................... 63.4
-----
100.0%
=====
</TABLE>
Glossary of Terms
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements.
102
<PAGE>
Portfolio of Investments
The GCG Trust
Managed Global Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- 97.4%
Australia -- 1.4%
193,482 Coles Myer Ltd........................................ $ 1,124,252
44,700 Commonwealth Bank of Australia........................ 710,652
------------
1,834,904
------------
Bermuda -- 1.5%
20,800 Tyco International Ltd................................ 1,970,800
------------
Brazil -- 0.6%
5,500 Tele Centro Sul Participacoes S.A., ADR............... 305,250
15,900 Telesp Celular Participacoes S.A., ADR................ 425,325
------------
730,575
------------
Canada -- 1.9%
18,500 Northern Telecom Ltd.................................. 1,581,948
19,400 The Toronto-Dominion Bank............................. 878,826
------------
2,460,774
------------
Finland -- 2.5%
38,054 Nokia Oyj............................................. 3,332,760
------------
France -- 8.9%
1,821 Accor S.A............................................. 456,871
7,832 Axa+.................................................. 954,646
9,173 Cap Gemini S.A........................................ 1,440,393
2,644 Castorama Dubois Investisse........................... 626,576
6,462 Elf Aquitaine S.A.+................................... 947,451
13,190 Equant NV+............................................ 1,214,974
1,947 LVMH (Louis Vuitton Moet Hennessy).................... 569,529
796 L'OREAL............................................... 537,614
17,509 Sanofi S.A............................................ 742,354
10,983 Sidel S.A............................................. 1,334,196
4,410 Societe Television Francaise 1........................ 1,026,909
15,042 STMicroelectronics N.V................................ 1,001,205
9,751 Valeo S.A............................................. 803,755
------------
11,656,473
------------
Germany -- 2.3%
9,865 DaimlerChrysler AG.................................... 853,810
505 EM TV Merchandising AG................................ 710,246
9,930 Mannesmann AG......................................... 1,480,480
------------
3,044,536
------------
Great Britain -- 12.3%
85,400 British Telecommunications Plc........................ 1,430,923
29,900 CMG Plc+.............................................. 782,356
67,800 Colt Telecom Group Plc+............................... 1,422,437
66,401 Dixons Group Plc...................................... 1,240,272
24,600 Energis Plc+***....................................... 586,677
22,200 Granada Group Plc..................................... 411,865
73,400 Mediaset SPA+......................................... 651,911
174,503 Misys Plc............................................. 1,493,578
62,500 Next Plc.............................................. 759,063
77,600 Orange Plc+........................................... 1,137,548
42,400 Royal Bank of Scotland Group Plc...................... 863,483
134,300 SEMA Group Plc........................................ 1,295,545
33,900 Smiths Industries Plc................................. 447,784
359,100 TeleWest Communications Plc+.......................... 1,614,605
2,600 Vodafone AirTouch Plc, ADR............................ 512,200
77,698 Vodafone Group........................................ 1,530,894
------------
16,181,141
------------
Hong Kong -- 0.8%
27,000 Cathay Pacific Airways................................ 41,412
346,000 China Telecom(Hong Kong).............................. 961,037
------------
1,002,449
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
Ireland -- 1.4%
33,151 Allied Irish Banks Plc................................ $ 435,503
25,417 CRH Plc............................................... 450,441
33,700 Elan Corporation Plc, ADR............................. 935,175
------------
1,821,119
------------
Italy -- 1.5%
64,170 Alleanza Assicurazioni................................ 737,211
17,300 Banca Popolare Di Brescia............................. 740,631
62,000 Mediolanum SPA........................................ 475,919
------------
1,953,761
------------
Japan -- 10.3%
7,360 Aiful Corporation..................................... 901,821
21 DDI Corporation....................................... 130,740
59,000 Fujitsu Ltd........................................... 1,187,805
6,000 Fujitsu Support and Service........................... 908,805
1,500 Hikari Tsushin, Inc................................... 463,828
9,900 ITO EN, Ltd........................................... 663,001
13,550 Kao Corporation....................................... 380,901
9,000 Matsushita Communication Industrial
Company, Ltd......................................... 643,654
14,000 Murata Manufacturing Company, Ltd..................... 921,372
186,000 The Nikko Securities Co., Ltd......................... 1,201,042
45 NTT Mobile Communications Network, Inc.+.............. 604,217
3,000 Rohm Company Ltd...................................... 470,029
2,000 Secom Company, Ltd.................................... 208,351
3,000 Seven-Eleven Japan Company, Ltd....................... 294,171
870 Shohkoh Fund & Company................................ 624,357
5,400 Softbank Corporation+................................. 1,094,287
23,100 Takeda Chemical Industries............................ 1,071,443
4,000 Takefuji Corporation**................................ 413,725
6,400 Toyko Electron Ltd.................................... 434,427
24,000 Yamanouchi Pharmaceutical Company, Ltd................ 918,727
------------
13,536,703
------------
Korea -- 1.2%
23,600 Korea Telecom Corporation+............................ 944,000
5,800 Samsung Electronics................................... 636,371
------------
1,580,371
------------
Mexico -- 0.4%
11,300 Grupo Televisa S.A. Sponsored GDR..................... 506,381
------------
Netherlands -- 2.6%
32,700 ABN AMRO Holding N.V.................................. 707,541
14,555 ASM Lithography Holding N.V.+......................... 841,317
30,496 Fortis Amev N.V....................................... 941,076
17,000 Heineken N.V.......................................... 869,667
------------
3,359,601
------------
Portugal -- 0.5%
26,300 Banco Comercial Portugues, S.A........................ 680,978
------------
Singapore/Malaysia -- 0.8%
97,000 Oversea-Chinese Banking Corp. Ltd..................... 809,283
24,000 Singapore Airlines Ltd................................ 228,437
------------
1,037,720
------------
Spain -- 0.6%
76,364 Banco Santander Central Hispano, S.A.................. 794,685
------------
Sweden -- 1.7%
28,352 Hennes & Mauritz AB-B................................. 701,431
40,740 Securitas AB-B**...................................... 609,546
23,460 Securitas AB-B........................................ 351,005
33,700 Skandia Forsakrings AB................................ 631,261
------------
2,293,243
------------
</TABLE>
See Notes to Financial Statements.
103
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Managed Global Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Switzerland -- 1.0%
320 Julius Baer Holding Ltd., Zurich, Class A........... $ 911,347
45 Roche Holding AG.................................... 462,295
------------
1,373,642
------------
United States -- 43.2%
6,900 AFLAC, Inc.......................................... 330,337
1,700 Allergan, Inc....................................... 188,700
4,900 AlliedSignal, Inc................................... 308,700
2,600 Amazon.com, Inc.+................................... 325,325
7,200 America Online, Inc.+............................... 795,600
8,400 American Express Company............................ 1,093,050
4,700 American General Corporation........................ 354,262
9,200 American Home Products Corporation.................. 529,000
9,800 American International Group, Inc................... 1,147,213
6,100 Amgen, Inc.+........................................ 371,337
8,100 Apple Computer, Inc................................. 375,131
9,200 Applied Materials, Inc.+............................ 679,650
6,300 Associates First Capital Corporation, Class A....... 279,169
25,904 AT&T Corp.-Liberty Media Group+..................... 951,972
9,200 Bank of America Corporation......................... 674,475
3,200 Bausch & Lomb, Inc.................................. 244,800
5,500 Best Buy Co., Inc.+................................. 371,250
6,400 Biogen, Inc.+....................................... 411,600
1,700 CMGI, Inc.+......................................... 193,906
10,422 CVS Corporation..................................... 528,916
4,600 The Charles Schwab Corporation...................... 505,425
26,250 Cisco Systems, Inc.+................................ 1,693,125
30,600 Citigroup, Inc...................................... 1,453,500
3,500 Clear Channel Communications, Inc.+................. 241,281
5,800 Colgate-Palmolive Company........................... 572,750
7,500 Comcast Corporation, Class A Special................ 288,281
7,500 Comerica, Inc....................................... 445,781
4,200 Comverse Technology, Inc.+.......................... 317,100
8,100 Conoco, Inc., Class A............................... 225,787
11,800 Costco Companies, Inc............................... 944,738
11,800 EMC Corporation..................................... 649,000
9,500 Enron Corporation................................... 776,625
13,000 The Estee Lauder Companies Inc., Class A............ 651,625
14,100 Exxon Corporation................................... 1,087,463
7,500 FDX Corporation+.................................... 406,875
6,900 Fifth Third Bancorp................................. 459,281
32,776 Firstar Corporation................................. 917,728
11,650 The GAP, Inc........................................ 586,869
19,300 General Electric Company............................ 2,180,900
6,100 Global TeleSystems Group, Inc.+..................... 502,811
6,600 Hewlett-Packard Company............................. 663,300
15,500 The Home Depot, Inc................................. 998,781
2,600 Honeywell, Inc...................................... 301,275
2,100 Immunex Corporation+................................ 267,619
14,100 International Business Machines Corporation......... 1,822,425
9,500 Interpublic Group of Companies, Inc................. 822,938
7,200 Johnson & Johnson................................... 705,600
5,500 Kimberly-Clark Corporation.......................... 313,500
2,100 Lexmark International Group, Inc., Class A+......... 138,731
23,600 Lucent Technologies, Inc............................ 1,591,525
14,400 MCI WorldCom, Inc.+................................. 1,239,300
11,000 MediaOne Group, Inc.+............................... 818,125
34,000 Microsoft Corporation+.............................. 3,066,375
3,700 Morgan Stanley Dean Witter & Co..................... 379,250
13,800 Motorola, Inc....................................... 1,307,550
1,400 Nike, Inc. Class B.................................. 88,637
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ------------
<C> <S> <C>
11,500 Pharmacia & Upjohn, Inc............................ $ 653,344
8,400 Pitney Bowes, Inc.................................. 539,700
9,200 Praxair, Inc....................................... 450,225
6,100 QUALCOMM, Inc.+.................................... 875,350
1,300 Qwest Communication International, Inc.+........... 42,981
13,300 SBC Communications, Inc............................ 771,400
9,200 Safeway, Inc.+..................................... 455,400
23,900 Schering-Plough Corporation........................ 1,266,700
3,700 Sealed Air Corporation+............................ 240,037
6,100 Solectron Corporation+............................. 406,794
21,300 Sprint Corporation................................. 1,124,906
5,200 Sprint Corporation(PCS Group)...................... 297,050
10,700 Sun Microsystems, Inc.+............................ 736,963
22,200 TJX Companies, Inc................................. 739,538
8,100 Tellabs, Inc.+..................................... 547,256
2,900 Texas Instruments, Inc............................. 420,500
19,000 Time Warner, Inc................................... 1,396,500
3,700 Union Pacific Corporation.......................... 215,756
8,100 Unisys Corporation................................. 315,394
15,900 United Technologies Corporation.................... 1,139,831
21,300 Viacom Inc., Class B+.............................. 937,200
33,200 Wal-Mart Stores, Inc............................... 1,601,900
18,200 Walgreen Company................................... 534,625
12,700 Warner-Lambert Company............................. 881,063
12,400 Wells Fargo & Co................................... 530,100
------------
56,706,782
------------
Total Common Stocks (Cost $107,884,756)............ 127,859,398
------------
WARRANTS AND RIGHTS -- 0.0%#
(Cost $56,493)
France -- 0.0%#
1,947 LVMH (Louis Vuitton Moet Hennessy)+................ 57,174
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
REPURCHASE AGREEMENT -- 2.5%
(Cost $3,291,000)
$3,291,000 Agreement with Merrill Lynch, 4.700% dated
07/01/1999 to be repurchased at $3,291,430 on
07/01/1999 collaterized by $2,345,000 U.S.
Treasury Bonds, 12.000% due 08/15/2013
(Market value $3,343,313)......................... 3,291,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS
(Cost
$111,232,249*).. 99.9% 131,207,572
OTHER ASSETS AND
LIABILITIES
(Net)........... 0.1 104,643
----- ------------
NET ASSETS....... 100.0% $131,312,215
======== ===== ============
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Illiquid security (Note 4).
*** Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
# Amount is less than 0.1%.
See Notes to Financial Statements.
104
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Managed Global Series
June 30, 1999 (Unaudited)
The summary of investments by industry classification of the Managed Global
Series at June 30, 1999 was as follows:
<TABLE>
<CAPTION>
% of Value
Industry Classification Net Assets (Note 1)
----------------------- ---------- ------------
<S> <C> <C>
LONG TERM INVESTMENTS:
Banks.................................................. 7% $ 9,125,132
Communication / Telecommunications..................... 20 26,006,692
Computer Industry...................................... 14 18,367,854
Drugs.................................................. 3 3,606,419
Durable Goods.......................................... 0 88,637
Electronics............................................ 4 5,271,623
Financial Services..................................... 6 8,286,501
Food and Beverage Products............................. 2 2,159,371
Insurance.............................................. 4 5,571,925
Machinery/Equipment.................................... 1 1,334,196
Manufacturing.......................................... 5 6,315,770
Medical Supplies & Services............................ 5 6,043,338
Multimedia............................................. 7 9,555,276
Nondurable Goods....................................... 2 2,696,427
Office Supplies and Equipment.......................... 0 678,431
Oil and Gas............................................ 3 3,487,551
Recreation/Entertainment............................... 0 456,871
Retail................................................. 9 11,833,107
Services............................................... 1 1,991,840
Technology............................................. 1 1,966,231
Transportation......................................... 1 892,480
Utility................................................ 2 2,180,900
--- ------------
TOTAL LONG TERM INVESTMENTS............................ 97 127,916,572
REPURCHASE AGREEMENT................................... 3 3,291,000
--- ------------
TOTAL INVESTMENTS...................................... 100 131,207,572
OTHER ASSETS AND LIABILITIES........................... 0 104,643
--- ------------
NET ASSETS............................................. 100% $131,312,215
=== ============
</TABLE>
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY 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>
8/27/99 GBP 2,099,000 $3,351,012 $3,310,091 $40,921
-------
</TABLE>
Glossary of Terms
ADR -- American Depository Receipt
GBP -- Great British Pound Sterling
See Notes to Financial Statements.
105
<PAGE>
Portfolio of Investments
The GCG Trust
Developing World Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS -- 97.2%
Brazil -- 8.4%
6,700 Aracruz Celulose S.A. ADR............................. $ 147,400
9,466 Companhia Energetica de Minas Gerais, ADR............. 194,053
10,300 Companhia Vale do Rio Doce, ADR....................... 203,425
7,300 Companhia Brazileira de Distribuicao Grupo Pao de
Acucar............................................... 136,419
26,100 Companhia Paranaese de Energia-Copel, ADR............. 218,587
8,000 Companhia Siderurgica Nacional, ADR................... 210,000
10,800 Embratel Participacoes S.A., ADR...................... 149,850
3,600 Tele Centro Sul Participacoes S.A., ADR............... 199,800
3,500 Telemig Celular Participacoes S.A., ADR+.............. 86,188
11,500 Tele Norte Leste Participacoes S.A., ADR.............. 213,469
5,000 Tele Sudeste Celular Participacoes S.A., ADR+......... 145,000
8,600 Telesp Participacoes S.A., ADR+....................... 196,725
6,900 Uniao de Bancos Brasileiros S.A., GDR................. 166,031
----------
2,266,947
----------
Chile -- 3.2%
5,600 Banco Santander Chile, ADR............................ 86,800
14,500 Cia. de Telecomunicaciones de Chile S.A., ADR......... 358,875
5,300 Embotelladora Andina S.A., ADR........................ 106,000
10,067 Enersis S.A., ADR..................................... 230,283
2,300 Sociedad Quimica y Minera de Chile S.A., ADR.......... 81,362
----------
863,320
----------
China -- 4.0%
44,179 China Steel Corporation, ADR **+...................... 667,488
378,000 First Tractor Company, Ltd., Class H.................. 112,056
3,400 Huaneng Power International, Inc., ADR................ 58,225
270,000 Huaneng Power International, Inc., Class H............ 113,100
556,000 Zhejiang Expressway Company, Ltd., Class H............ 110,360
----------
1,061,228
----------
Great Britain -- 1.2%
3,800 Anglo American Plc+................................... 177,594
8,788 Liberty International Plc+............................ 58,183
8,700 South African Breweries Plc........................... 75,552
----------
311,329
----------
Greece -- 4.9%
4,775 Alpha Credit Bank S.A................................. 307,429
2,088 ASE, GDR**............................................ 45,988
1,550 Commercial Bank Of Greece, S.A........................ 110,732
1,400 Hellenic Bottling Company, S.A. ...................... 33,790
3,800 Hellenic Petroleum Company, S.A....................... 34,529
13,800 Hellenic Telecommunications Organization S.A. ........ 295,433
7,000 National Bank Of Greece, S.A.......................... 457,342
400 Titan Cement Company, S.A............................. 36,790
----------
1,322,033
----------
Hong Kong -- 1.0%
1,203 China Telecom (Hong Kong) Ltd., ADR+.................. 68,571
22,000 China Telecom (Hong Kong) Ltd. ....................... 61,106
152,000 Cosco Pacific Ltd..................................... 126,363
----------
256,040
----------
Hungary -- 1.6%
1,700 Gedeon Richter Rt., GDR**............................. 74,375
10,400 Magyar Tavkozlesi Rt., ADR............................ 286,000
500 MOL Magyar Olaj--es Gazpari Rt., GDR**................ 11,975
1,100 OTP Bank Rt., GDR..................................... 45,595
----------
417,945
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
India -- 7.1%
9,300 Dr. Reddy's Laboratories Ltd., GDR.................... $ 183,675
14,800 I.T.C. Ltd., GDR**.................................... 416,620
23,100 Larsen & Toubro Ltd., GDR**........................... 356,317
15,000 Mahanagar Telephone Nigam Ltd., GDR**................. 148,500
14,000 Pentafour Software & Exports Ltd., GDR................ 385,000
17,600 Reliance Industries Ltd., GDR**+...................... 176,880
19,400 State Bank of India, GDR**............................ 238,135
----------
1,905,127
----------
Indonesia -- 1.9%
346,000 PT Aneka Tambang Tbk.................................. 77,444
565,000 PT Indah Kiat Pulp & Paper Corporation Tbk+........... 261,083
36,000 PT Indosat (Persero) Tbk.............................. 68,621
123,500 PT Tambang Timah Tbk.................................. 107,004
----------
514,152
----------
Israel -- 2.7%
58,200 Bank Hapoalim, Ltd.................................... 149,295
61,200 Bank Leumi Le-Israel.................................. 115,646
20,400 Bezeq Israeli Telecommunication Corporation, Ltd.+.... 82,140
3,270 ECI Telecom Ltd. ..................................... 108,523
43,500 Israel Chemicals Ltd.................................. 53,025
500 Koor Industries Ltd................................... 57,644
1,500 Orbotech Ltd.......................................... 78,187
1,800 Teva Pharmaceutical Industries Ltd., ADR.............. 88,200
----------
732,660
----------
Korea -- 14.8%
35,846 Kookmin Bank, GDR**................................... 729,466
9,004 Korea Telecom Corporation, ADR+....................... 360,160
40,471 Pohang Iron & Steel Company Ltd., ADR................. 1,360,837
20,744 Samsung Electronics, GDR**............................ 1,110,841
23,532 SK Telecom Company Ltd., ADR.......................... 400,044
----------
3,961,348
----------
Malaysia -- 0.3%
21,000 Berjaya Sports Toto Berhad............................ 36,960
66,000 YTL Power International Berhad........................ 48,048
----------
85,008
----------
Mexico -- 15.5%
104,400 Alfa S.A., Class A.................................... 433,202
1,809 Cemex S.A. de C.V..................................... 8,906
73,700 Cemex S.A. de C.V., Class B........................... 364,790
10,500 Coca-Cola Femsa S.A., ADR............................. 203,437
1 Corporacion Interamericana de Entretenimlento S.A.+... 3
11,800 Desc S.A. de C.V., ADR................................ 266,975
5,600 Fomento Economico Mexicano, S.A. de C.V., ADR......... 223,300
88,500 Grupo Financiero Banamex Accival, S.A. de C.V., Series
O+................................................... 225,119
5,600 Grupo Imsa, S.A. de C.V., ADR......................... 89,600
115,800 Grupo Modelo S.A. de C.V., Series C................... 330,156
13,000 Grupo Televisa S.A., GDR+............................. 582,562
82,200 Hylsamex S.A.+........................................ 257,011
57,300 Kimberly-Clark de Mexico, S.A. de C.V., Class A....... 235,638
11,600 Telefonos de Mexico S.A., ADR, Class L................ 937,425
----------
4,158,124
----------
</TABLE>
See Notes to Financial Statements.
106
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Developing World Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Peru -- 0.6%
5,500 Credicorp Ltd. ....................................... $ 60,500
6,200 Telefonica del Peru S.A.A., ADR....................... 93,775
----------
154,275
----------
Philippines -- 0.0%#
2,900 San Miguel Corporation, Class B....................... 6,326
----------
Poland -- 1.2%
5,200 Bank Handlowy W. Warzawie**........................... 82,940
5,500 KGHM Polska Miedz S.A., GDR........................... 74,250
23,200 Telekomunikacja Polska S.A., GDR**.................... 163,560
----------
320,750
----------
Russia -- 1.8%
5,200 LUKoil Holding, ADR**................................. 206,050
12,800 Mosenergo, ADR........................................ 57,344
8,500 RAO Unified Energy Systems, ADR....................... 79,688
16,900 Surgutneftegaz, ADR................................... 133,088
----------
476,169
----------
South Africa -- 9.6%
52,400 ABSA Group Ltd. ...................................... 296,563
13,500 Anglo American Platinum Corporation, Ltd.............. 315,015
1,800 AngloGold Ltd......................................... 77,560
9 B.O.E. Corporation Ltd., Class N...................... 7
134,600 BOE Ltd. ............................................. 133,842
12,500 De Beers.............................................. 299,553
178,400 FirstRand Ltd......................................... 204,004
3,800 Impala Platinum Holdings Ltd.......................... 95,598
2,600 Investec Group Ltd. .................................. 109,016
8,700 JD Group Ltd.......................................... 53,204
18,850 Liberty Life Association of Africa Ltd. .............. 241,482
46,500 Metropolitan Life Ltd................................. 68,972
9,500 Nedcor Ltd. .......................................... 215,065
8,300 Rembrandt Group Ltd................................... 69,190
81,300 Sanlam Ltd.+.......................................... 96,337
22,200 Sappi Ltd. ........................................... 162,618
20,900 Sasol, Ltd. .......................................... 149,113
----------
2,587,139
----------
Taiwan -- 9.0%
76,755 Asustek Computer Inc., GDR**.......................... 1,107,191
26,849 Evergreen Marine Corporation, GDR**................... 496,707
1,524 Standard Foods Taiwan Ltd., GDR** +................... 11,887
23,288 Taiwan Semiconductor Manufacturing Company, Ltd.,
ADR+................................................. 791,792
----------
2,407,577
----------
Thailand -- 2.8%
29,700 Advanced Info Services Public Company Ltd.
(Foreign)+........................................... 402,712
43,200 Electricity Generating Public Company Ltd. (Foreign).. 82,593
20,800 PTT Exploration and Production Public Company Ltd.
(Foreign) +.......................................... 159,067
37,400 Thai Farmers Bank Public Company Ltd. (Foreign)+...... 115,623
----------
759,995
----------
Turkey -- 2.6%
10,268,000 Akbank T.A.S. ........................................ 150,818
858,000 Ardem Pisirici ve Isitici Cihazlar Sanayii A.S.+...... 25,916
745,000 Koc Holding A.S. ..................................... 46,771
51,500 Migros Turk T.A.S. ................................... 64,053
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ ----------
<C> <S> <C>
Turkey -- (Continued)
846,000 Tupras-Turkiye Petrol Rafinerileri A.S. ............... $ 56,118
7,799,800 Turkiye Is Bankasi, Class C............................ 138,586
4,244,000 Turkiye Garanti Bankasi A.S.+.......................... 31,671
9,845,920 Yapi ve Kredi Bankasi A.S.............................. 142,285
----------
656,218
----------
United States -- 1.5%
40,200 The India Fund Inc..................................... 399,487
----------
Venezuela -- 1.7%
9,300 CIA Anonima Nacional Telefonos de Venezuela, ADR....... 253,425
9,900 C.A. La Electricidad de Caracas, ADR................... 193,758
----------
447,183
----------
Total Common Stocks
(Cost $23,484,141).................................... 26,070,380
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $23,484,141*)....................... 97.2% 26,070,380
OTHER ASSETS AND LIABILITIES (Net).......................... 2.8 760,042
----- -----------
NET ASSETS.................................................. 100.0% $26,830,422
===== ===========
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
Glossary of Terms
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
The summary of investments by industry classification of the Developing
World Series at June 30, 1999 was as follows:
<TABLE>
<CAPTION>
% of Value
Industry Classification Net Assets (Note 1)
----------------------- ---------- -----------
LONG TERM INVESTMENTS:
<S> <C> <C>
Banks................................................... 13.6% $ 3,640,522
Broadcast, Radio and TV................................. 2.2 582,562
Building/Construction................................... 8.6 2,296,437
Chemicals............................................... 0.5 134,387
Communication/Telecommunications........................ 19.7 5,289,902
Computers and Office Equipment.......................... 1.4 385,000
Diversified Operations.................................. 5.8 1,565,298
Electric Utilities...................................... 4.8 1,275,679
Electronics............................................. 11.5 3,088,011
Financial Services...................................... 2.9 787,815
Food and Beverage Products.............................. 7.9 2,104,327
Insurance............................................... 1.5 406,791
Leisure................................................. 0.9 240,398
Medical................................................. 1.3 346,250
Metals and Mining....................................... 6.3 1,684,454
Oil/Gas................................................. 2.8 749,940
Other................................................... 5.0 1,349,434
Retail.................................................. 0.5 143,173
----- -----------
TOTAL INVESTMENTS....................................... 97.2 26,070,380
OTHER ASSETS AND LIABILITIES (Net)...................... 2.8 760,042
----- -----------
NET ASSETS.............................................. 100.0% $26,830,422
===== ===========
</TABLE>
See Notes to Financial Statements.
107
<PAGE>
Portfolio of Investments
The GCG Trust
Emerging Markets Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- 86.4%
Argentina -- 1.8%
7,800 Banco de Galicia y Buenos Aires S.A. de C.V., ADR.... $ 157,950
15,300 Perez Companc S.A., Class B.......................... 87,987
4,900 Telecom Argentina Stet-France Telecom S.A., ADR...... 131,075
9,400 Telefonica de Argentina S.A., ADR.................... 294,925
------------
671,937
------------
Brazil -- 8.9%
11,738 Aracruz Celulose S.A, ADR............................ 258,236
24,700 Centrais Eletricas Brasileiras S.A., ADR............. 231,686
14,414 Companhia Energetica de Minas Gerais, ADR***......... 300,809
10,000,000 Companhia Siderurgica Nacional....................... 261,226
16,757 Companhia Vale do Rio Doce, ADR...................... 330,951
68,000 Empresa Brasil Aeronautica........................... 115,222
16,000 Petroleo Brasileiro S.A., ADR........................ 248,517
5,400 Tele Centro Sul Participacoes S.A., ADR.............. 299,700
24,000 Telesp Celular Participacoes S.A., ADR............... 642,000
27,100 Telesp Participacoes S.A., ADR....................... 619,912
------------
3,308,259
------------
Chile -- 0.9%
5,700 Chilectra S.A., ADR.................................. 123,113
5,300 Cia de Telecomunicaciones de Chile S.A., ADR......... 131,175
1,909 Sociedad Quimica y Minera de Chile S.A., ADR......... 67,531
------------
321,819
------------
China -- 0.9%
534,000 Beijing Yanhua Petrochemical Company Ltd., Class H... 120,447
550,000 Shanghai Petrochemical Company Ltd., Class H......... 129,727
254,000 Yanzhou Coal Mining Company Ltd., Class H............ 90,847
------------
341,021
------------
Croatia -- 0.7%
16,900 Pliva d.d., GDR...................................... 256,035
------------
Czechoslavakia -- 0.7%
7,200 Ceske Radiokomunikace, GDR+***....................... 248,400
------------
Egypt -- 0.4%
14,200 EFG-Hermes, GDR***................................... 163,300
------------
Great Britian -- 0.7%
29,362 Lonmin Plc........................................... 272,501
------------
Greece -- 2.9%
7,675 Commercial Bank of Greece, S.A....................... 548,301
17,189 Hellenic Telecommunications Organization S.A. ....... 367,983
3,400 Panafon Hellenic Telecom S.A.+***.................... 81,900
3,400 STET Hellas Telecommunications S.A., ADR+............ 76,075
------------
1,074,259
------------
Hong Kong -- 2.1%
68,000 China Telecom (Hong Kong) Ltd.+...................... 188,874
21,000 Citic Pacific Ltd. .................................. 66,990
70,000 China Resources Enterprise Ltd. ..................... 123,605
20,000 Dao Heng Bank Group Ltd. ............................ 89,707
80,000 Hengan International Group Company Ltd.+............. 40,471
20,000 Johnson Electric Holdings Ltd. ...................... 82,489
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Hong Kong -- (Continued)
129,000 Legend Holdings Ltd. ................................ $ 123,869
272,000 Shandong International Power Development Company
Ltd., Class H+...................................... 61,351
------------
777,356
------------
Hungary -- 1.4%
7,000 Magyar Tavkozlesi Rt., ADR........................... 192,500
6,300 MOL Magyar Olaj-es Gazipari, Rt., GDR***............. 151,853
3,800 OTP Bank Rt. ........................................ 158,373
------------
502,726
------------
India -- 6.3%
10,000 Bajaj Auto Ltd., GDR................................. 164,000
14,000 Gujarat Ambuja Cements Ltd., GDR**................... 114,800
8,000 Gujarat Ambuja Cements Ltd. ......................... 65,600
2,930 Hindalco Industries, Ltd., GDR***.................... 56,988
6,000 Hindalco Industries Ltd., GDR........................ 116,700
5,000 Infosys Technologies Ltd., ADR....................... 290,000
11,000 I.T.C. Ltd., GDR..................................... 309,650
11,000 Larsen & Toubro Ltd., GDR***......................... 145,365
20,500 Mahanager Telephone Nigam Ltd., GDR**................ 202,950
10,000 Ranbaxy Laboratories Ltd., GDR....................... 165,500
18,500 Reliance Industries Ltd., GDR+....................... 185,925
17,000 State Bank of India, GDR***.......................... 208,675
12,523 Videsh Sanchar Nigam Ltd., GDR....................... 160,451
12,500 Videsh Sanchar Nigam Ltd., GDR***.................... 160,156
------------
2,346,760
------------
Indonesia -- 2.1%
220,000 PT Astra International Tbk+.......................... 100,072
46,000 PT Gudang Garam Tbk.................................. 124,217
72,000 PT Indofood Sukses Makmur Tbk+....................... 97,733
3,700 PT Indosat (Persero) Tbk, ADR........................ 72,150
48,000 PT Semen Gresik (Persero) Tbk........................ 103,971
252,500 PT Telekomunikasi, Indonesia, ADR ***................ 145,848
10,260 PT Telekomunikasi Indonesia, ADR..................... 127,609
------------
771,600
------------
Israel -- 3.2%
179,400 Bank Leumi Le-Israel................................. 339,000
3,300 ECI Telecom Ltd. .................................... 109,519
6,700 Formula Systems (1985) Ltd.+......................... 203,356
3,200 Gilat Satellite Networks Ltd.+....................... 168,000
78,400 Makhteshim-Agan Industries Ltd.+..................... 175,973
1,000 Orbotech Ltd. ....................................... 52,125
14,500 Sapiens International Corporation N.V.+.............. 144,094
------------
1,192,067
------------
Korea -- 12.7%
965 Dacom Corporation+................................... 104,212
650 Hanjin Heavy Industries+............................. 3,650
18,575 Hanwha Chemical Corporation+......................... 134,960
7,500 Housing & Commercial Bank, Korea..................... 236,501
4,500 Hyundai Motor Company Ltd.+ ......................... 106,717
15,000 Kookmin Bank......................................... 304,536
1,430 Korea Chemical Company Ltd. ......................... 128,484
18,800 Korea Electric Power Corporation+.................... 781,235
9,400 Korea Telecom Corporation, ADR+...................... 376,000
6,000 Korea Telecom Corporation+........................... 398,099
5,000 LG Electronics....................................... 138,229
9,200 Samsung Corporation+................................. 216,190
2,350 Samsung Display Devices Company+..................... 127,905
6,291 Samsung Electronics Company Ltd. .................... 690,244
332 Samsung Fire & Marine Insurance...................... 233,762
5,398 Samsung Securities Company Ltd. ..................... 289,115
12,800 Shinhan Bank......................................... 143,758
</TABLE>
See Notes to Financial Statements.
108
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Emerging Markets Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
COMMON STOCKS -- (Continued)
Korea -- (Continued)
5,200 SK Corporation....................................... $ 149,598
117 SK Telecom Company Ltd., ADR......................... 156,674
------------
4,719,869
------------
Malaysia -- 2.2%
91,800 Berjaya Sports Toto Berhad**......................... 161,568
48,000 Commerce Asset-Holding Berhad........................ 90,240
283,000 IJM Corporation Berhad**............................. 186,780
64,000 JAYA Tiasa Holdings Berhad**......................... 99,200
184,000 Public Bank Berhad................................... 106,352
60,000 Tenaga Nasional Berhad............................... 105,000
29,000 Telecom Malaysia Berhad.............................. 82,360
------------
831,500
------------
Mexico -- 12.9%
39,700 Alfa, S.A., Class A.................................. 164,733
106,400 Cemex S.A. de C.V., Class B.......................... 526,643
8,000 Coca-Cola Femsa S.A., ADR............................ 155,000
128,200 Corporacion Moctezuma, S.A. de C.V., Series B1....... 152,862
4,400 Corporacion Moctezuma, S.A. de C.V., Series B2....... 5,246
67,200 Fomento Economico Mexicano S.A. de C.V., Series UBD.. 268,515
26,700 Gropo Modelo S.A. de C.V., Series C.................. 76,124
25,900 Grupo Carso Global Telecom, Series A1+............... 163,882
133,700 Grupo Financiero Banamex Accival, S.A. de C.V.,
Series O+........................................... 340,095
273,100 Grupo Financiero Bancomer, S.A. de C.V., Series O.... 98,704
64,300 Grupo Mexico S.A, Series B........................... 273,284
8,100 Grupo Imsa, S.A. de C.V., ADR........................ 129,600
22,200 Grupo Televisa S.A., GDR+............................ 994,837
16,900 Telefonos de Mexico S.A., ADR........................ 1,365,731
19,100 TV Azteca, S.A. de C.V., ADR+........................ 99,081
------------
4,814,337
------------
Philippines -- 3.2%
230,900 Ayala Land, Inc. 72,820
44,200 Bank of the Philippine Islands***.................... 157,982
570,020 Benpres Holdings Corporation, GDR+................... 134,827
491,500 Cosmos Bottling Corporation***....................... 35,522
1,432,900 International Container Terminal Services, Inc.+..... 186,409
30,900 Manila Electric Company, Class B..................... 111,256
4,000 Philippine Long Distance Telephone Company........... 121,945
62,700 San Miguel Corporation, Class B...................... 136,770
576,000 SM Prime Holdings Inc. .............................. 130,187
120,000 United Broadcasting Corporation Public Company
Ltd.+............................................... 94,373
------------
1,182,091
------------
Poland -- 0.9%
11,300 Agora S.A., GDR+ ***................................. 131,645
4,700 Agora S.A., GDR+..................................... 54,755
18,700 Orbis S.A.+.......................................... 160,973
------------
347,373
------------
Portugal -- 0.7%
8,200 Investec-Consultoria Internacional, S.A. ............ 248,608
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
Russia -- 1.0%
20,000 Surgutneftegaz, ADR................................. $ 157,500
8,900 Vimpel-Communications, ADR+......................... 206,369
------------
363,869
------------
Singapore -- 0.3%
9,800 Asia Pulp & Paper Company Ltd., ADR................. 94,325
------------
South Africa -- 3.3%
20,800 ABSA Group Ltd. .................................... 117,720
70,800 Billiton Plc........................................ 241,710
8,100 DataTec Ltd. ....................................... 117,057
0 Edgars Consolidated Stores Ltd. .................... 3
9,300 Impala Platinum Holdings Ltd. ...................... 233,964
33,400 Johnnies Industrial Corporation Ltd.+............... 218,644
35,000 Kersaf Investments Ltd. ............................ 156,613
43,600 Theta Group Ltd.+................................... 157,159
------------
1,242,870
------------
Taiwan -- 9.5%
13,000 Acer Inc., GDR+***.................................. 162,305
8,800 ASE Test Ltd., ADR+................................. 189,200
35,585 Asustek Computer Inc., GDR.......................... 513,314
12,075 China Steel Corporation, GDR........................ 184,748
13,000 Evergreen Marine Corporation, GDR................... 240,500
23,760 Fubon Insurance Company, GDR+....................... 286,902
19,000 Hon Hai Precision Industry.......................... 171,765
3,090 Pohang Iron & Steel Company Ltd..................... 365,728
21,740 Siliconware Precision Industries Company, GDR+...... 294,033
27,385 Taiwan Semiconductor Manufacturing Company Ltd.,
ADR+............................................... 931,089
93,150 United Microelectronics Corporation, Ltd.+.......... 200,431
------------
3,540,015
------------
Thailand -- 3.1%
16,000 Advanced Information Service Public Company, Ltd.
(Foreign)+......................................... 216,949
54,100 Bangkok Bank Public Company Ltd. (Foreign).......... 202,462
111,600 National Finance***................................. 67,338
78,000 National Petrochemical Public Company Ltd.
(Foreign)+......................................... 71,919
156,700 Siam Commercial Bank Public Company Ltd.+........... 179,541
8,600 The Siam Cement Public Company Ltd.(Foreign)+....... 261,207
55,400 Thai Farmers Bank Public Company Ltd. (Foreign)+.... 171,271
------------
1,170,687
------------
Turkey -- 2.9%
18,495,300 Akbank T.A.S. ...................................... 271,661
38,250 Haci Omer Sabanci Holdings, ADR***.................. 208,463
115,500 Migros Turk T.A.S. ................................. 143,653
2,251,500 Tupras-Turkiye Petrol Rafinerileri A.S. ............ 149,350
1,160,300 Vestel Elektronik Sanayi ve Ticaret A.S.+........... 126,445
13,293 Yapi ve Kredi Bankasi A.S., GDR+.................... 194,084
------------
1,093,656
------------
United States -- 0.7%
14,100 @Entertainment, Inc.+............................... 264,375
------------
Total Common Stocks
(Cost $25,753,700)................................. 32,161,615
------------
</TABLE>
See Notes to Financial Statements.
109
<PAGE>
Portfolio of Investments -- (Continued)
The GCG Trust
Emerging Markets Series
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ --------
<C> <S> <C>
PREFERRED STOCKS -- 2.6%
Brazil -- 0.8%
275,000 Banco Itau S.A...................................... $ 141,344
6,357 Companhia Paulista de Forca e Luz................... 391
9,100,000 Gerdau S.A. ........................................ 151,624
------------
293,359
------------
Korea - 0.6%
150 SK Telecom Company Ltd., ADR........................ 220,892
------------
Taiwan -- 0.7%
348,000 Bank Sinopac........................................ 247,080
------------
United States -- 0.5%
124,000 Far Eastern Textile Ltd., ADR....................... 183,520
------------
Total Preferred Stocks
(Cost $892,464)................................... 944,851
------------
WARRANTS AND RIGHTS -- 0.1%
Korea -- 0.1%
1,546 Samsung Securities Company Ltd. .................... 32,054
27 SK Telecom Company Ltd., ADR........................ 13,754
------------
Total Warrants and Rights (Cost $0)................. 45,808
------------
<CAPTION>
Principal
Amount
---------
<C> <S> <C>
REPURCHASE AGREEMENT -- 11.5%
(Cost $4,291,000)
$4,291,000 Agreement with Merrill Lynch Pierce Fenner & Smith,
4.700% dated 06/30/1999 to be repurchased at
$4,291,560 on 07/01/1999, collateralized by
$3,055,000 U.S. Treasury Bonds, 12.000% due
08/15/2013 (Market Value $4,351,746)............... 4,291,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $30,937,164*)....................... 100.6% 37,443,274
OTHER ASSETS AND LIABILITIES (Net).......................... (0.6) (213,343)
----- -----------
NET ASSETS.................................................. 100.0% $37,229,931
===== ===========
</TABLE>
- -------------
* Aggregate cost for Federal tax purposes.
** Illiquid Securities.
*** 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 summary of investments by industry classification of the Emerging Markets
Series at June 30, 1999 was as follows:
<TABLE>
<CAPTION>
% of Value
Industry Classification Net Assets (Note 1)
----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Aerospace/Defense....................................... 0.3% $ 115,222
Agriculture............................................. 0.9 333,132
Auto.................................................... 0.6 206,789
Banks................................................... 10.1 3,769,276
Broadcast, Radio and TV................................. 6.4 2,367,592
Chemicals............................................... 1.7 653,067
Communication/Telecommunications........................ 21.7 8,088,995
Computers and Office Equipment.......................... 3.5 1,313,068
Construction and Building Materials..................... 5.0 1,847,474
Consumer Goods.......................................... 1.9 720,050
Diversified Operations.................................. 1.9 692,613
Electric Services and Equipment......................... 3.3 1,225,290
Electric Utilities...................................... 5.7 2,104,306
Electronics............................................. 4.1 1,511,001
Financial Services...................................... 3.4 1,278,047
Food and Beverage Products.............................. 2.1 769,664
Insurance............................................... 1.4 520,664
Iron/Steel.............................................. 2.2 811,701
Leisure................................................. 0.9 322,541
Manufacturing........................................... 0.8 291,867
Medical................................................. 1.1 421,535
Metal and Metal Products................................ 0.5 173,689
Mining/Minerals......................................... 3.9 1,443,258
Oil/Gas................................................. 2.5 944,805
Other................................................... 0.4 163,300
Paper and Allied Products............................... 0.9 352,561
Real Estate............................................. 0.9 326,611
Retail.................................................. 0.4 143,656
Transportation.......................................... 0.6 240,500
----- -----------
TOTAL INVESTMENTS....................................... 89.1 33,152,274
REPURCHASE AGREEMENT.................................... 11.5 4,291,000
OTHER ASSETS AND LIABILITIES (Net)...................... (0.6) (213,343)
----- -----------
NET ASSETS.............................................. 100.0% $37,229,931
===== ===========
</TABLE>
Glossary of Terms
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements.
110
<PAGE>
Notes to Financial Statements (Unaudited)
The GCG Trust
June 30, 1999
1. Summary of Significant Accounting Policies
The GCG Trust (the "Trust") is registered under the Investment Company Act of
1940, as amended (the "Act"), as an open-end management investment company.
The Trust was organized as a Massachusetts business trust on August 3, 1988
with an unlimited number of shares of beneficial interest with a par value of
$0.001 each. At June 30, 1999 the Trust had twenty four operational portfolios
(the "Series"): Liquid Asset Series ("LA"), Limited Maturity Bond Series
("LMB"), Global Fixed Income Series ("GF"), Total Return Series ("TR"), Equity
Income Series ("EI"), Fully Managed Series ("FM"), Rising Dividends Series
("RD"), Growth & Income Series ("GI"), Growth Series ("G"), Value Equity
Series ("VE"), Research Series ("R"), Market Manager Series ("MM"), Mid-Cap
Growth Series ("MC"), All-Growth Series ("AG"), Growth Opportunities Series
("GO"), Strategic Equity Series ("SE"), Capital Appreciation Series ("CA"),
Small Cap Series ("SC"), Real Estate Series ("RE"), Hard Assets Series ("HA"),
Managed Global Series ("MG"), Developing World Series ("DW"), Emerging Markets
Series ("EM"), and The Fund For Life Series. All of the Series are diversified
except for GF, MM, MC, HA, and MG which are non-diversified Series. The
information presented in these financial statements pertains to all of the
Series except for The Fund For Life Series, which is presented under separate
cover. The Trust is intended to serve as an investment medium for (i) variable
life insurance policies and variable annuity contracts ("Variable Contracts")
offered by insurance companies, and (ii) certain qualified pension and
retirement plans, as permitted under the Federal tax rules relating to the
Series serving as investment mediums for Variable Contracts. The Trust
currently functions as an investment medium for contracts and policies offered
by Golden American Life Insurance Company ("Golden American"), a wholly owned
subsidiary of Equitable of Iowa Companies ("Equitable of Iowa"), an indirect
wholly owned subsidiary of ING Groep, N.V. ("ING") and First Golden Life
Insurance Company ("First Golden"), a wholly owned subsidiary of Golden
American. The Trust is also an investment medium for contracts offered by the
Security Equity Life Insurance Company.
LA, LMB, EI, FM, AG, RE, and HA commenced operations on January 24, 1989. CA
commenced operations on May 4, 1992. MG commenced operations on October 21,
1992. RD and EM commenced operations on October 4, 1993. MM commenced
operations on November 14, 1994. VE commenced operations on January 3, 1995.
SE commenced operations on October 2, 1995. SC commenced operations on January
3, 1996. GO and DW commenced operations on February 18, 1998. GF, TR, GI, G, R
and MC commenced operations on August 14, 1998.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts and disclosures in the financial statements.
Actual results could differ from those estimates. The following is a summary
of significant accounting policies consistently followed by the Trust in the
preparation of its financial statements. The policies are in conformity with
generally accepted accounting principles.
(A) Valuation: Domestic and foreign portfolio securities, including options
and futures contracts, except as noted below, for which market quotations are
readily available are stated at market value. Market value is determined on
the basis of the last reported sales price in the principal market where such
securities are traded or, if no sales are reported, the mean between
representative bid and asked quotations obtained from a quotation reporting
system or from established market makers or dealers.
Debt securities (except those purchased by LA), including those to be
purchased under firm commitment agreements, are normally valued on the basis
of quotes obtained from brokers and dealers or pricing services, which take
into account appropriate factors such as institutional-size trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics, and other market data. Under certain circumstances,
debt securities having a maturity of sixty days or less may be valued at
amortized cost which approximates market value.
Amortized cost involves valuing a portfolio security instrument at its cost,
initially, and thereafter assuming a constant amortization to maturity of any
discount or premium, regardless of the impact of fluctuating interest rates on
the market value of the instrument. All of the portfolio securities of LA are
valued using the amortized cost method.
Securities for which market quotations are not readily available are valued at
fair value as determined in good faith by, or under the direction of, the
Board of Trustees.
(B) Derivative Financial Instruments: Certain of the Series may engage in
various portfolio strategies, as described below, primarily to seek to manage
its exposure to the equity, bond, metals and other markets and also to manage
fluctuations in interest and foreign currency rates. Buying futures and
forward foreign currency exchange contracts, writing puts and buying calls
tend to increase a Series' exposure to the underlying market or currency.
Selling futures and forward foreign currency 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
111
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
1. Summary of Significant Accounting Policies--(Continued)
financial instruments may involve, to varying degrees, elements of market risk
and risks in excess of the amount recognized in the Statements of Assets and
Liabilities. Losses may arise under futures and forward foreign currency
exchange 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.
Options: Certain Series may engage in option transactions including purchasing
options on securities and securities indices ("purchased options") and writing
covered call and secured put options ("written options"). Generally, purchased
options are utilized to protect security holdings in a portfolio or protect
against substantial increases in market prices in securities to be acquired in
the future. MM invests in purchased options on security 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 FM for the six months ended June 30, 1999 was as
follows:
<TABLE>
<CAPTION>
Number of
Contracts Premiums
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1998.................. -- --
Options written during the period......................... 75 $50,398
Options expired during the period......................... -- --
Options closed during the period.......................... -- --
--- -------
Options outstanding at June 30, 1999...................... 75 $50,398
=== =======
The option activity for GI for the six months ended June 30, 1999 was as
follows:
<CAPTION>
Number of
Contracts Premiums
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1998.................. -- --
Options written during the period......................... 100 $42,218
Options expired during the period......................... -- --
Options closed during the period.......................... 100 42,218
--- -------
Options outstanding at June 30, 1999...................... -- --
=== =======
The option activity for VE for the six months ended June 30, 1999 was as
follows:
<CAPTION>
Number of
Contracts Premiums
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1998.................. -- --
Options written during the period......................... 100 $20,849
Options expired during the period......................... 100 20,849
Options closed during the period.......................... -- --
--- -------
Options outstanding at June 30, 1999...................... -- --
=== =======
</TABLE>
112
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
1. Summary of Significant Accounting Policies--(Continued)
The option activity for CA for the six months June 30, 1999 was as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premiums
--------- --------
<S> <C> <C>
Options outstanding at December 31, 1998................. -- --
Options written during the period........................ 285 $194,382
Options expired during the period........................ -- --
Options closed during the period......................... -- --
--- --------
Options outstanding at June 30, 1999..................... 285 $194,382
=== ========
</TABLE>
Futures Contracts: Certain Series may engage in various futures contracts
including interest rate and stock index futures contracts. The transactions in
futures contracts must constitute bona fide hedging or other strategies under
regulations promulgated by the Commodities Futures Trading Commission. Upon
entering into a contract, the Series deposits and maintains as collateral such
initial margin as required by the exchange on which the transaction is
effected. Pursuant to the contract, the Series agrees to receive from or pay
to the broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Series as unrealized gains or losses. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. During the six months ended June 30, 1999, all futures
transactions were conducted on U.S. exchanges. Contracts open, if any, at June
30, 1999 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 Currency Exchange Contracts: Certain of the Series may enter
into forward foreign currency exchange contracts. A Series will engage in
forward foreign currency exchange transactions to protect itself against
fluctuations in currency exchange rates. Forward foreign currency exchange
contracts are valued at the applicable forward rate and are marked to market
daily. The change in market value is recorded by the Series as an unrealized
gain or loss. When the contract is closed, the Series records a realized gain
or loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed. Contracts open, if any,
at June 30, 1999 and their related unrealized appreciation/(depreciation) are
set forth in the Schedule of Forward Foreign Currency Exchange Contracts which
accompanies the Portfolio of Investments. Realized and unrealized gains and
losses arising from forward foreign currency exchange contracts are included
in net realized and unrealized gain/(loss) on forward foreign currency
exchange contracts.
(C) Foreign currency: Assets and liabilities denominated in foreign currencies
and commitments under forward foreign currency exchange contracts are
translated into U.S. dollars at the mean of the quoted bid and asked prices of
such currencies against the U.S. dollar as of the close of business
immediately preceding the time of valuation. Purchases and sales of portfolio
securities are translated at the rate of exchange prevailing when such
securities were acquired or sold. Income and expenses are translated at the
rate of exchange prevailing when accrued.
The Trust does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on securities from the fluctuations
arising from changes in market prices of securities held. Such fluctuations
are included with the net realized and unrealized gain/(loss) from securities.
Reported net realized gains or losses on foreign currency transactions arise
from sales and maturities of short-term securities, sales of foreign
currencies, currency gains or losses realized between the trade and settlement
dates on securities transactions, the difference between the amounts of
dividends, interest, and foreign withholding taxes recorded on the Series'
books, and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized appreciation/(depreciation) on other assets and
liabilities denominated in foreign currencies arise from changes in the value
of assets and liabilities other than investments in securities at period end,
resulting from changes in the exchange rate.
(D) Repurchase Agreements: All Series may enter into repurchase agreements in
accordance with guidelines approved by the Board of Trustees of the Trust. A
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
113
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
1. Summary of Significant Accounting Policies--(Continued)
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"). Under the Agreement, the
Manager has overall responsibility for engaging Portfolio Managers and for
monitoring and evaluating the management of the assets of each Series by the
Portfolio Managers. Portfolio Managers are compensated by the Manager and not
the Trust. In some cases, Portfolio Managers may be affiliated with the
Manager. Portfolio Managers have full investment discretion and make all
determinations with respect to the investment of a Series' assets and the
purchase and sale of portfolio securities and other investments. Pursuant to
this Agreement, the Manager also is responsible for providing or procuring, at
the Manager's expense, the services reasonably necessary for the ordinary
operation of the Trust including, among other things, custodial,
administrative, transfer agency, portfolio accounting, dividend disbursing,
auditing and ordinary legal services. The Manager does not bear the expense of
brokerage fees, taxes, interest, fees and expenses of the independent
trustees, and extraordinary expenses, such as litigation or indemnification
expenses. As compensation for its services under the Management Agreement, the
Trust pays the Manager a monthly fee (a "Unified Fee") based on the following
annual rates of the average daily net assets of the Series:
<TABLE>
<CAPTION>
Series Fee
------ (based on combined assets of the
indicated groups of Series)
<S> <C>
Equity Income Series, Fully 1.00% on the first $750 million in combined
Managed Series, Rising assets of these Series;
Dividends Series, Value Equity 0.95% on the next $1.250 billion;
Series, All-Growth Series, 0.90% on the next $1.5 billion; and
Strategic Equity Series, 0.85% on the amount over $3.5 billion
Capital Appreciation Series,
Small Cap Series, Real Estate
Series and Hard Assets Series
Liquid Assets Series and 0.60% on the first $200 million in combined
Limited Maturity Bond Series assets of these Series;
0.55% on the next $300 million; and
0.50% on the amount over $500 million
</TABLE>
114
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
2. Fees and Other Transactions With Affiliates--(Continued)
<TABLE>
<S> <C>
Growth & Income Series, 1.10% on the first $250 million;
Growth Series and Growth
Opportunities Series 1.05% on the next $400 million;
1.00% on the next $450 million; and
0.95% on the amount in excess of $1.1 billion
Developing World Series and 1.75%
Emerging Market Series
Total Return Series, Research 1.00% on the first $250 million;
Series and Mid-Cap Growth
Series 0.95% on the next $400 million;
0.90% on the next $450 million; and
0.85% on the amount in excess of $1.1 billion
Global Fixed Income Series 1.60%
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>
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>
<CAPTION>
Series Portfolio Manager
------ -----------------
<S> <C>
Liquid Asset Series ING Investment Management, LLC
Limited Maturity Bond Series ING Investment Management, LLC
Global Fixed Income Series Baring International Investments Limited
Total Return Series Massachusetts Financial Services Company
Equity Income Series T. Rowe Price Associates, Inc.
Fully Managed Series T. Rowe Price Associates, Inc.
Rising Dividends Series Kayne Anderson Investment Management, LLC
Growth & Income Series Alliance Capital Management L.P.
Growth Series Janus Capital Corporation
Value Equity Series Eagle Asset Management, Inc.
Research Series Massachusetts Financial Services Company
Market Manager Series ING Investment Management, LLC
Mid-Cap Growth Series Massachusetts Financial Services Company
All-Growth Series Pilgrim Baxter & Associates, Ltd.
Growth Opportunities Series Montgomery Asset Management, LLC
Strategic Equity Series A I M Capital Management Group, Inc.
Capital Appreciation Series A I M Capital Management Group, Inc.
Small Cap Series Fred Alger Management, Inc.
Real Estate Series EII Realty Securities, Inc.
Hard Assets Series Baring International Investment Limited
Managed Global Series Putnam Investment Management, Inc.
Developing World Series Baring International Investment Limited
Emerging Markets Series Putnam Investment Management, Inc.
</TABLE>
During the six months ended June 30, 1999, TR, GI, G, R, SE, SC, RE and EM, in
the ordinary course of business, paid commissions of $300, $75,765, $19,331,
$3,504, $36, $131,580, $84 and $2,046, respectively, to certain affiliates of
the respective Portfolio Manager and/or the Manager in connection with the
execution of various portfolio transactions.
The custodian for the Trust is Bankers Trust Company. The custodian is paid by
the Manager and not the Trust.
Certain officers and trustees of the Trust are also officers and/or directors
of the Manager, Golden American, First Golden and Equitable of Iowa Companies.
115
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities,
excluding U.S. Government and short-term investments, for the six months ended
June 30, 1999 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
------------ ------------
<S> <C> <C>
Liquid Assets Series.............................. -- --
Limited Maturity Bond Series...................... $ 80,666,740 $119,814,808
Global Fixed Income Series........................ 13,499,209 3,093,407
Total Return Series............................... 307,133,361 161,282,889
Equity Income Series.............................. 292,212,016 137,347,573
Fully Managed Series.............................. 69,701,668 44,407,529
Rising Dividends Series........................... 247,669,599 138,606,103
Growth & Income Series............................ 590,906,196 477,049,537
Growth Series..................................... 491,611,780 320,331,377
Value Equity Series............................... 56,781,395 47,117,776
Research Series................................... 436,678,846 319,516,005
Market Manager Series............................. -- 569,563
Mid-Cap Growth Series............................. 266,835,166 205,869,362
All-Growth Series................................. 171,177,106 173,511,881
Growth Opportunities Series....................... 6,729,169 4,701,263
Strategic Equity Series........................... 118,516,496 102,407,250
Capital Appreciation Series....................... 248,714,006 248,282,760
Small Cap Series.................................. 131,677,602 87,808,606
Real Estate Series................................ 14,506,349 15,399,508
Hard Assets Series................................ 37,831,396 29,818,523
Managed Global Series............................. 104,106,899 116,903,686
Developing World Series........................... 27,689,069 12,963,439
Emerging Markets Series........................... 26,193,998 28,309,499
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short term investments, for the six months
ended June 30, 1999 were as follows:
Limited Maturity Bond Series...................... $ 86,169,922 $ 20,113,418
Global Fixed Income............................... -- 4,911,521
Total Return Series............................... 111,708,507 135,467,537
Equity Income Series.............................. -- 133,907,449
Fully Managed Series.............................. 2,231,184 --
</TABLE>
116
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
3. Purchases and Sales of Securities--(Continued)
At June 30, 1999, 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>
Tax Basis Tax Basis Net Tax Basis
Gross Gross Unrealized
Unrealized Unrealized Appreciation/
Appreciation Depreciation (Depreciation)
------------ ------------ --------------
<S> <C> <C> <C>
Liquid Assets Series............... -- -- --
Limited Maturity Bond Series....... $ 222,671 $ 1,854,297 $ (1,631,626)
Global Fixed Income Series......... 3,944 1,100,237 (1,096,293)
Total Return Series................ 46,325,958 10,367,178 35,958,780
Equity Income Series............... 22,268,287 2,342,404 19,925,883
Fully Managed Series............... 28,811,817 7,554,475 21,257,342
Rising Dividends Series............ 149,309,519 8,126,409 141,183,110
Growth & Income Series............. 53,246,565 15,543,957 37,702,608
Growth Series...................... 73,649,166 6,662,769 66,986,397
Value Equity Series................ 25,246,125 2,779,836 22,466,289
Research Series.................... 134,067,790 13,568,133 120,499,657
Market Manager Series.............. 3,858,838 -- 3,858,838
Mid-Cap Growth Series.............. 73,852,955 13,581,063 60,271,892
All-Growth Series.................. 16,880,672 1,751,803 15,128,869
Growth Opportunities Series........ 2,236,697 319,759 1,916,938
Strategic Equity Series............ 14,832,883 1,238,039 13,594,844
Capital Appreciation Series........ 42,429,060 6,099,965 36,329,095
Small Cap Series................... 51,718,453 1,994,899 49,723,554
Real Estate Series................. 3,098,634 4,810,915 (1,712,281)
Hard Assets Series................. 3,798,270 3,053,580 744,690
Managed Global Series.............. 22,393,794 2,418,471 19,975,323
Developing World Series............ 3,178,236 591,997 2,586,239
Emerging Markets Series............ 7,485,539 979,420 6,506,110
</TABLE>
4. Restricted and Illiquid Securities
Certain Series of the Trust may hold securities purchased in private placement
transactions, without registration under the Securities Act of 1933 (the
"Act") and securities which are deemed illiquid because of low trading volumes
or other factors. These restricted and illiquid securities (which do not
include securities eligible for resale pursuant to Rule 144A of the Act and
4(2) commercial paper that are determined to be liquid under procedures
adopted by the Board of Trustees) are valued under methods approved by the
Board of Trustees as reflecting fair value which includes obtaining quotes
from independent sources if available. The dates of acquisition and costs of
restricted and illiquid securities held at June 30, 1999 are as follows:
Limited Maturity Bond Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- ---------- -----------
<S> <C> <C>
Waste Management, Inc. 144A, Bond 7.125% due
06/15/2001......................................... $3,039,600 05/18/99
Kroger Company 144A, Bond 6.340% due 06/01/2001..... 999,889 06/18/99
R. J. Reynolds Tobacco Holdings, Inc.144A, Bond
7.375% due 05/15/2003.............................. 2,994,930 05/10/99
Telecom De Puerto Rico 144A, Bond 6.150% due
05/15/2002......................................... 1,999,551 05/13/99
TRW, Inc. 144A, Bond 6.500% due 06/01/2002.......... 2,996,076 05/26/99
Rite Aid Corporation 144A, Bond 5.500% due
12/15/2000......................................... 998,703 12/17/98
Garanti Trade Payments Rts. 144A, Bond 10.810% due
06/15/2004......................................... 2,000,000 06/09/99
</TABLE>
Total restricted and/or illiquid securities (fair value of $14,942,672)
represented 8.2% of net assets of LMB at June 30, 1999.
On June 30, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
117
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
4. Restricted and Illiquid Securities--(Continued)
Total Return Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- ---------- -----------
<S> <C> <C>
Newell Financial Trust I 144A....................... $1,236,600 09/11/98
LSI Logic Corporation 144A, Bond 4.250% due
03/15/2004......................................... 920,000 03/16/99
Midamerican Funding LLC 144A, Bond 5.850% due
03/01/2001......................................... 220,358 03/10/99
AFLAC, Inc. 144A, Bond 6.500% due 04/15/2009........ 2,577,902 04/16/99
Federal-Mogul Corporation 144A, Bond 7.500% due
01/15/2009......................................... 882,689 08/14/98
Protection One Alarm 144A, Bond 7.375% due
08/15/2005......................................... 1,082,043 10/15/98
TRW Inc. 144A, Bond 7.125% due 06/01/2009........... 536,890 08/14/98
UMP-Kymmene Corporation 144A, Bond 7.450% due
11/26/2027......................................... 284,749 08/14/98
Atlantic Mutual Insurance Company 144A, Bond 8.150%
due 02/15/2028..................................... 372,771 08/14/98
Xerox Corporation 144A, Bond 0.570% due 04/21/2018.. 710,129 08/14/98
Northern Natural Gas 144A, Bond 7.000% due
06/01/2011......................................... 970,816 06/02/99
Federated Department Stores 144A, Bond 6.300% due
04/01/2009......................................... 194,869 03/11/99
Rite Aid Corporation 144A, Bond 6.000% due
10/01/2003......................................... 904,195 06/17/99
Telecom De Puerto Rico 144A, Bond 6.650% due
05/15/2006......................................... 489,819 05/13/99
Lear Corporation 144A, Bond 7.960% due 05/15/2005... 789,000 05/13/99
CE Generation LLC 144A, Bond 7.416% due 12/15/2018.. 2,441,897 03/11/99
Connecticut Light & Power Company 144A, Bond 8.590%
due 06/05/2003..................................... 1,000,000 08/14/98
Empresa Nacional de Electricidad 144A, Bond 7.600%
due 04/30/2001..................................... 764,056 08/14/98
Marlin Water Trust 144A, Bond 7.090% due
12/15/2001......................................... 3,285,000 12/08/98
BCF L.L.C.144A, Bond 7.750% due 09/25/2026.......... 95,389 08/14/98
</TABLE>
Total restricted and/or illiquid securities (fair value of $19,877,501)
represented 3.2% of net assets of TR at June 30, 1999.
On June 30, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
Fully Managed Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- ---------- -----------
<S> <C> <C>
Kemper Corporation, Series E, Conv. Prfd. 144A...... $1,946,734 02/06/95
Union Pacific Capital Trust, Conv. Prfd. 144A....... 1,264,295 03/27/98
Exide Corporation, Conv. Bond, 144A 2.900% due
12/15/2005......................................... 455,298 04/03/98
Roche Holdings, Conv. Bond, 144A Zero coupon due
05/06/2012......................................... 2,500,878 05/20/99
Homestake Mining Company, Conv. Bond, 144A 5.500%
due 06/23/2000..................................... 3,390,532 12/06/96
Sepracor Inc., Conv. Bond, 144A 7.000% due
12/15/2005......................................... 701,379 06/18/99
</TABLE>
Total restricted and/or illiquid securities (fair value of $10,433,933)
represented 3.8% of net assets of FM at June 30, 1999.
On June 30, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
Growth & Income Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- ---------- -----------
<S> <C> <C>
Healthcare Financial Partners, Inc. 144A............ $3,830,000 08/14/98
At Home Corporation 144A, Bond 0.525% due
12/28/2018......................................... 1,065,282 12/21/98
</TABLE>
Total restricted and/or illiquid securities (fair value of $5,027,240)
represented 1.2% of net assets of GI at June 30, 1999.
On June 30, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
118
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
4. Restricted and Illiquid Securities--(Continued)
Hard Assets Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- -------- -----------
<S> <C> <C>
Inco Ltd. 144A.......................................... $933,820 03/29/99
Forcenergy Inc. 144A.................................... 521,256 06/02/98
Windsor Energy Corporation 144A......................... 548,238 07/28/97
Plains Energy Services Ltd. 144A........................ 319,432 10/07/98
S.P. Interoil 144A...................................... 605,625 01/28/97
Denali Incorporated 144A................................ 276,487 11/20/97
Cadillac Fairview Corporation 144A...................... 589,464 11/05/97
AltaGas Services, Inc. 144A............................. 158,597 04/23/98
</TABLE>
Total restricted and/or illiquid securities (fair value of $2,108,441)
represented 5.1% of net assets of HA at June 30, 1999.
On June 30, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
Managed Global Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- -------- -----------
<S> <C> <C>
Energis Plc............................................. $673,544 01/22/99
Takefuji Corporation.................................... 300,151 01/29/99
Securitas AB-B, 144A.................................... 602,188 04/16/99
</TABLE>
Total restricted and/or illiquid securities (fair value of $1,609,948)
represented 1.2% of net assets of MG at June 30, 1999.
On June 30, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
Developing World Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- -------- -----------
<S> <C> <C>
Dr. Reddy's Laboratories Ltd., GDR...................... $177,988 04/06/99
MOL Magyar Olaj Es Gazipari Rt., GDR 144A............... 13,000 05/06/99
Gedeon Richter Rt., GDR 144A............................ 67,498 06/14/99
I.T.C. Ltd., GDR 144A................................... 389,995 11/23/98
Larsen & Toubro Ltd., GDR 144A.......................... 297,649 04/19/99
Mahanagar Telephone Nigam Ltd., GDR 144A................ 152,045 12/07/98
Reliance Industries Ltd., GDR 144A...................... 163,180 05/11/99
State Bank of India, GDR 144A........................... 208,342 07/16/98
Kookmin Bank, GDR 144A.................................. 594,414 04/29/99
Samsung Electronics, GDR 144A........................... 954,407 04/01/99
Bank Handlowy W. Warszawie 144A......................... 66,690 02/12/99
Telekomunikacja Polska S.A., GDR 144A................... 136,110 03/31/99
LUKoil Holding, ADR 144A................................ 209,612 02/23/98
ASE, GDR 144A........................................... 39,150 02/23/98
Asustek Computer Inc., GDR 144A......................... 895,384 04/01/99
China Steel Corporation, ADR 144A....................... 656,558 04/01/99
Evergreen Marine Corporation, GDR 144A.................. 392,913 04/01/99
Standard Foods Taiwan Ltd., GDR 144A.................... -- 01/21/99
</TABLE>
Total restricted securities (fair value of $6,044,920) represented 22.5% of net
assets and total illiquid securities (fair value of $183,675) represented 0.68%
of net assets of DW at June 30, 1999.
On June 30, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
119
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
4. Restricted and Illiquid Securities--(Continued)
Emerging Markets Series:
<TABLE>
<CAPTION>
Acquisition
Security Cost Date
-------- -------- -----------
<S> <C> <C>
Companhia Energetica de Minas Gerais, ADR 144A.......... $505,925 03/14/97
Ceske Radiokomunikace, GDR 144A......................... 134,145 06/12/98
EIG-Hermes, GDR 144A.................................... 168,912 07/28/98
Panafon Hellenic Telecom S.A. 144A...................... 65,190 11/02/98
MOL Magyar Olaj-es Gazipari, Rt., GDR 144A.............. 127,469 09/24/98
Gujarat Ambuja Cements Ltd., GDR 144A................... 69,600 10/14/98
Hindalco Industries, Ltd., GDR 144A..................... 43,071 03/31/99
Larsen & Toubro Ltd., GDR 144A.......................... 176,000 06/15/99
Mahanager Telephone Nigam Ltd., GDR 144A................ 255,183 12/03/97
State Bank of India, GDR 144A........................... 174,250 05/12/99
Videsh Sanchar Nigam Ltd., GDR 144A..................... 119,108 07/01/98
PT Telekomunikase, Indonesia, ADR 144A.................. 116,558 12/03/98
Berjaya Sports Toto Berhad.............................. 321,483 06/26/97
IJM Corporation Berhad.................................. 97,834 12/15/97
JAYA Tiasa Holdings Berhad.............................. 96,510 04/27/98
Bank of the Phillippine Islands 144A.................... 102,039 11/25/98
Cosmos Bottling Corporation 144A........................ 68,760 03/26/98
Agora SA, GDR 144A...................................... 104,977 02/23/99
National Finance 144A................................... 73,015 05/04/99
Acer Inc., GDR 144A..................................... 101,790 04/22/99
Haci Omer Sabanci Holdings, ADR 144A.................... 161,350 06/30/97
</TABLE>
Total restricted and/or illiquid securities (fair value of $3,191,847)
represented 8.6% of net assets of EM at June 30, 1999.
On June 30, 1999, 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 June 30, 1999 which are available to offset future capital
gains, if any:
<TABLE>
<CAPTION>
Losses Deferred Losses Deferred Losses Deferred Losses Deferred Losses Deferred Losses Deferred
Series Expiring in 2001 Expiring in 2002 Expiring in 2003 Expiring In 2004 Expiring in 2005 Expiring in 2006
------ ---------------- ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Liquid Asset
Series.......... $172 $15 -- $ 1,432 $ 816 $ 537
Limited Maturity
Bond Series..... -- -- -- 6,321 -- --
Global Fixed
Income Series... -- -- -- -- -- 4,149
Total Return
Series.......... -- -- -- -- -- 775,784
Growth & Income
Series.......... -- -- -- -- -- 10,986,279
Growth Series.... -- -- -- -- -- 10,552,893
Research Series.. -- -- -- -- -- 5,357,552
Growth
Opportunities
Series.......... -- -- -- -- -- 435,012
Small Cap
Series.......... -- -- -- 468,717 2,463,267 --
Hard Assets
Series.......... -- -- -- -- -- 5,310,830
Developing World
Series.......... -- -- -- -- -- 489,408
Emerging Markets
Series.......... -- -- $8,462,512 -- -- 10,476,392
</TABLE>
120
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
6. Board Actions
In 1998, the Board of Trustees instructed management to file with the
Securities and Exchange Commission ("SEC"), an application for an ("Order") to
accept the substitution of shares of the Mid-Cap Growth Series for shares of
the All-Growth Series. The substitution will occur as soon as practicable
after the Order is issued by the SEC. Within five days after the substitution,
Golden American will send to owners of contracts written notice of the
substitution stating that shares of All-Growth have been eliminated and that
shares of Mid-Cap Growth have been substituted.
121
<PAGE>
Notes to Financial Statements (Unaudited) -- (Continued)
The GCG Trust
June 30, 1999
Special Meeting of Shareholders
At a special meeting of Shareholders of the Trust held on April 27, 1999, the
following actions were taken:
(1) The new portfolio management agreement among the Capital Appreciation
Series of the Trust, Directed Services, Inc. ("DSI") and AIM Capital
Management, Inc. was approved by the shareholders of the Trust as follows:
<TABLE>
<CAPTION>
Against
or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
13,829,961 113,320 717,404 14,660,685
(2) The new portfolio management agreement among the Strategic Equity Series
of the Trust, DSI and AIM Capital Management, Inc. Limited was approved by the
shareholders of the Trust as follows:
<CAPTION>
Against or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
5,004,423 66,516 338,224 5,409,163
(3) The new portfolio management agreement among the Developing World Series
of the Trust, DSI and Baring International Investment Limited was approved by
the shareholders of the Trust as follows:
<CAPTION>
Against or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
1,031,073 18,938 10,229 1,060,240
(4) The new portfolio management agreement among the Hard Assets Series of the
Trust, DSI and Baring International Investment Limited was approved by the
shareholders of the Trust as follows:
<CAPTION>
Against or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
2,879,829 109,194 137,631 3,126,654
(5) The new portfolio management agreement among the Growth & Income Series of
the Trust, DSI and Alliance Capital Management LP was approved by the
shareholders of the Trust as follows:
<CAPTION>
Against or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
19,020,775 272,143 924,354 20,217,273
(6) The new portfolio management agreement among the Equity Income Series of
the Trust, DSI and T. Rowe Price Associates, Inc. was approved by the
shareholders of the Trust as follows:
<CAPTION>
Against or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
19,903,409 173,535 1,274,282 21,351,226
(7) A change in the Statement of the Series' investment objective for the
Equity Income Series of the Trust was approved by the shareholders of the
Trust as follows:
<CAPTION>
Against or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
19,826,036 212,017 1,313,173 21,351,226
(8) The new portfolio management agreement among the Growth Series of the
Trust, DSI and Janus Capital Corporation was approved by the shareholders of
the Trust as follows:
<CAPTION>
Against or
For Withheld Abstained Total
--- ---------- --------- -----
<S> <C> <C> <C>
14,989,312 164,004 780,484 15,933,800
</TABLE>
122
<PAGE>
THE GCG TRUST
--------------
TRUSTEES AND EXECUTIVE OFFICERS
R. Brock Armstrong, Chair, Trustee and President*
J. Michael Earley, Trustee
R. Barbara Gitenstein, Trustee
Robert A. Grayson, Trustee
Elizabeth J. Newell, Trustee
Stanley B. Seidler, Trustee
Roger B. Vincent, Trustee
Barnett Chernow, Vice President and Trustee*
Mary Bea Wilkinson, Treasurer
Myles R. Tashman, Secretary
*Interested Trustee
--------------
Sutherland Asbill & Brennan LLP, Legal Counsel
Directed Services, Inc., Manager
Ernst & Young LLP, Independent Auditors
<PAGE>
ING VARIABLE ANNUITIES
P.O. Box 2700
West Chester, PA 19380-2700
