<PAGE>
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THE GCG TRUST
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Annual
Report
December 31, 1998
[Graphic Omitted]
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc., member NASD.
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Table of Contents
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THE GCG TRUST
PAGE
----
Chairman's Letter ........................................................ 1
Portfolio Manager Reports ................................................ 2
Statement of Assets and Liabilities ...................................... 26
Statement of Operations .................................................. 30
Statement of Changes in Net Assets ....................................... 34
Financial Highlights ..................................................... 40
Portfolio of Investments ................................................. 63
Notes to Financial Statements ............................................ 118
Report of Independent Auditors ........................................... 130
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The information contained in this report is intended for compliance reporting
purposes only. This report is not authorized for distribution to prospective
investors unless preceded or accompanied by current Trust and Separate Account
prospectuses which contain important information concerning the Trust, the
Company, and its current public offering of variable contracts. Investment
return and principal value will vary, and shares may be worth more or less at
redemption than at original purchase.
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<PAGE>
DIRECTED SERVICES, INC.
1001 JEFFERSON STREET, SUITE 400, WILMINGTON, DE 19801
TEL: 302-576-3400
FAX: 302-576-3450
February 24, 1999
Dear Shareholder of The GCG Trust:
We are pleased to present the 1998 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 year ended December 31, 1998, the net assets of the
Trust increased 180% to end the year at $4.3 billion. This
increase can be attributed to new investment by shareholders,
another year of strong investment returns and the consolidation of
the Equi-Select Series Trust into the Trust.
During 1999, there will be various enhancements made to the Trust.
Please refer to the supplements mailed to you under a separate
cover.
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,
/s/ Myles R. Tashman
Myles R. Tashman
Secretary
<PAGE>
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
The Multiple Allocation Series (the "Series") seeks the highest total return,
consisting of capital appreciation and current income, consistent with the
preservation of capital. For the year ended December 31, 1998, the Series
returned 8.26%. Over the same period, the Standard & Poors 500 Index ("S&P
500") had a total return of 28.58% and the Lehman Brothers Intermediate
Government/Corporate Bond Index ("Lehman Index") had a total return of 8.4%.
The benchmark for this Series (40% S&P 500/ 60% Lehman Index) was 16.5% for
1998.
We are disappointed that the Series under performed its benchmark for the
year. While part of our underperformance was due to our conservative cash
position, which averaged 16% for 1998, the majority of it can be attributed to
the poor relative performance of our value stocks, which is the primary focus
of the equity selection for the Series.
The key to higher equity performance in 1998 was to rely primarily on market
capitalization and the high flying internet stocks. For example, the 50
largest market cap stocks in the S&P 500 were up 36.4% compared to the 50
smallest cap stocks which were down (0.4%). What also made 1998 challenging
was the enormous performance disparity between high P/E stocks and low P/E
stocks. It was a year that large cap growth stocks continued to soar and P/E's
were pushed higher. According to Barron's, the P/E for the S&P 500 expanded
from approximately 24 at the beginning of 1998 to roughly 32 by year's end.
The internet stocks were the most affected by this phenomenon, as their P/E's
climbed to remarkable heights.
The bond market had a surprisingly solid year as the 30-year Treasury Bond
yield fell from 5.92% to 5.09%. We had an aggressive bond positions for most
of 1998, which contributed to our overall under performance. Economic concerns
prompted the Federal Reserve to lower rates three times in 1998, which helped
fuel the market. Also contributing were global crises, which caused a flight
to quality U.S. Treasury issues.
As for positions with equities, technology stocks had another tremendous year.
Positions such as Dell Computer Corp. and Microsoft Corp. continued to be
market leaders as their prices soared again in 1998. Other newer positions
that had banner years were Cisco Systems and EMC Corp.
The most disappointing industries in 1998 were the ones that were linked to
commodities. None was more disappointing than oil and oil services. The price
of oil dropped from a high of nearly $18 a barrel to a low of approximately
$11 a barrel in 1998, before rallying late in the year to close around $12 a
barrel. While these stocks ranked well in our value-oriented model they were
negatively impacted by the significant price drop as well as warm weather and
the slowdown in demand from Asia and other trouble spots around the world.
Hopefully, 1999 will see continued excellent performance from all the markets
but with less performance disparity between the large cap growth stocks and
value stocks.
ZWEIG ADVISORS, INC.
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AVERAGE ANNUAL TOTAL RETURN)
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 8.26%
5 YEAR 10.21%
1/24/1989 (INCEPTION) 9.75%
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<PAGE>
40% S&P 500/60%
Lehman Lehman
Multiple Intermediate Intermediate
Allocation S&P 500 Govt./Corporate Govt./Corporate
Series Index Index Index
--------- -------- -------------- --------------
1/24/1989 10,000.00 10,000.00 10,000.00 10,000.00
3/89 10,193.07 9,978.66 10,001.69 9,992.48
6/89 10,459.02 10,857.85 10,666.47 10,743.02
9/89 10,949.05 12,018.84 10,795.32 11,284.73
12/89 10,892.28 12,265.82 11,159.38 11,601.96
3/90 10,638.19 11,896.83 11,142.94 11,444.50
6/90 11,140.62 12,643.47 11,500.23 11,957.53
9/90 10,979.36 10,908.11 11,701.60 11,384.20
12/90 11,408.22 11,884.51 12,181.45 12,062.67
3/91 12,368.58 13,607.96 12,487.73 12,935.82
6/91 12,241.52 13,575.45 12,710.37 13,056.40
9/91 12,922.80 14,299.80 13,322.70 13,713.54
12/91 13,692.78 15,497.39 13,962.34 14,576.36
3/92 13,145.18 15,106.57 13,835.91 14,344.17
6/92 13,413.39 15,393.29 14,383.69 14,787.53
9/92 13,787.28 15,878.82 15,017.53 15,362.04
12/92 13,947.91 16,676.48 14,964.10 15,649.05
3/93 14,485.78 17,404.26 15,557.33 16,296.10
6/93 14,852.50 17,487.68 15,893.35 16,531.08
9/93 15,537.06 17,938.05 16,252.09 16,926.48
12/93 15,500.03 18,353.60 16,278.92 17,108.80
3/94 15,252.34 17,658.82 15,948.71 16,632.75
6/94 15,069.83 17,732.60 15,852.98 16,604.83
9/94 15,200.19 18,597.82 15,983.03 17,028.95
12/94 15,317.91 18,594.69 15,964.66 17,016.67
3/95 15,953.34 20,403.18 16,665.22 18,160.41
6/95 16,967.32 22,348.17 17,497.52 19,437.79
9/95 17,353.15 24,122.87 17,787.13 20,321.42
12/95 18,218.24 25,573.97 18,412.74 21,277.24
3/96 18,421.96 26,946.35 18,259.00 21,733.94
6/96 18,538.37 28,154.35 18,373.82 22,285.96
9/96 18,878.07 29,024.73 18,699.93 22,829.85
12/96 19,815.73 31,441.93 19,157.78 24,071.44
3/97 19,847.66 32,286.70 19,136.02 24,396.30
6/97 21,396.51 37,918.08 19,699.76 26,987.10
9/97 23,068.11 40,758.05 20,232.06 28,442.47
12/97 23,275.03 41,928.12 20,665.26 29,170.41
3/98 24,466.34 47,772.50 20,987.26 31,701.36
6/98 24,430.78 49,358.59 21,382.74 32,573.09
9/98 23,861.79 44,460.00 22,342.92 31,189.77
12/98 25,197.67 53,919.09 22,408.92 35,013.00
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 DECEMBER 31, 1998
TOP FIVE NON CASH HOLDINGS AS OF DECEMBER 31, 1998
1. U.S. Treasury Obligations due through 2027
ranging from 6.250% to 10.750% 47.4%
2. Dell Computer Corporation 1.4%
3. MCI WorldCom, Inc. 0.9%
4. DaimlerChrysler AG 0.9%
5. Microsoft Corporation 0.8%
ASSET ALLOCATION
Common Stocks 39.8%
Commercial Paper 12.8%
U.S. Treasury Obligations 47.4%
<PAGE>
THE GCG TRUST
FULLY MANAGED SERIES
The Fully Managed Series (the "Series") seeks, over the long term, a high
total investment return, consistent with the preservation of capital and
prudent investment risk. For the year ended December 31, 1998, the Series
returned 5.89%. Over the same period, the Standard & Poors 500 Index ("S&P
500") had a total return of 28.58% and the Lehman Brothers Government/
Corporate Bond Index ("Lehman Index") had a total return of 9.47%. The
benchmark for this Series (60% S&P 500/ 40% Lehman Index) was 20.62% for 1998.
Our cautious investment approach was clearly in the minority as the S&P 500
advanced strongly in 1998. When equities did drop sharply for 10 weeks
beginning in July, our lonely stance looked terrific. But with the powerful
year-end rally, the rather humbling reality materialized.
Our assembly of asset classes of common stocks, convertible stocks, preferred
stocks, bonds and cash shifted only modestly over the year. Two of our long-
time top five holdings, Genentech, Inc. and Automated Data Processing, were
eliminated during the year. When we initially purchased them, both had very
limited risk and good potential for gain. At today's higher prices, however,
we believed that the relationship of risk and reward, while still marginally
favorable, no longer justified ownership. Positions established during the
past six months include convertibles issued by Loews Corp., Union Pacific
Corp., France Telecom, and Hilton Hotels Corp. With all four of these, we give
up a portion of any future appreciation in return for contractual guarantees
that should significantly limit possible losses. Most of our common stock
purchases supplemented existing holdings, although we also established some
new positions, including Imperial Chemical Industries, and Canadian Pacific,
Ltd.
Unfortunately, although perhaps inevitably given the broad market's dynamics,
this year also featured some negative contributors. Natural resources, energy,
gold, or forest-related issues dominated these issues. We remain convinced
that the Series' specific holdings, including Amerada Hess Corp., Mitchell
Energy Development Corp., Newmont Mining Corp., and MacMillian Bloedel, Ltd.
are attractively positioned, but we must recognize that our expected payoff
has been tabled for the time being.
We were surprised that the economy in 1998 could be so strong while inflation
stayed low and interest rates fell. We doubt this will happen again. More
likely in our view is a modest economic slowing and perhaps lower interest
rates and a benign but not highly positive financial market outlook.
We believe the Series is well positioned for this scenario and valuation
concerns. Should stock prices fall, we would expect the Series to do better
than the broad market, as in the third quarter of 1998. On the other hand, if
stocks soar for an unprecedented fifth straight year, our results are likely
to lag. Maintaining an investment discipline is easy when market trends flow
your way, but when they don't, it can be tempting to make modifications based
on recent events. However, we see no reason to overturn a strategy that has
served investors well over time. We continue to believe in what we own and
continue to find attractive opportunities. We believe our holdings should have
good potential for gain even if the future is gloomier than anticipated.
T. ROWE PRICE ASSOCIATES, INC.
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 5.89%
5 YEAR 9.73%
1/24/1989 (INCEPTION) 9.02%
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60% S&P 500/
Lehman 40% Lehman
Fully Government/ Government/
Managed S&P 500 Corporate Corporate
Series Index Bond Index Bond Index
-------- -------- ----------- ------------
1/24/1989 10,000.00 10,000.00 10,000.00 10,000.00
3/89 10,101.34 9,978.66 10,001.69 9,978.18
6/89 10,588.74 10,857.85 10,666.47 10,826.42
9/89 10,777.33 12,018.84 10,795.32 11,563.51
12/89 10,390.02 12,265.82 11,159.38 11,868.75
3/90 10,228.95 11,896.83 11,142.94 11,595.74
6/90 10,733.90 12,643.47 11,500.23 12,204.29
9/90 9,573.21 10,908.11 11,701.60 11,191.04
12/90 10,059.73 11,884.51 12,181.45 12,013.51
3/91 11,057.77 13,607.96 12,487.73 13,179.18
6/91 10,883.69 13,575.45 12,710.37 13,235.45
9/91 11,911.89 14,299.80 13,322.70 13,962.83
12/91 12,969.57 15,497.39 13,962.34 14,968.63
3/92 12,820.43 15,106.57 13,835.91 14,649.04
6/92 12,470.41 15,393.29 14,383.69 15,047.29
9/92 12,856.27 15,878.82 15,017.53 15,622.56
12/92 13,777.50 16,676.48 14,964.10 16,106.96
3/93 14,110.03 17,404.26 15,557.33 16,826.28
6/93 14,276.29 17,487.68 15,893.35 17,067.96
9/93 14,985.67 17,938.05 16,252.09 17,555.68
12/93 14,822.73 18,353.60 16,278.92 17,785.17
3/94 14,206.54 17,658.82 15,948.71 17,156.22
6/94 13,544.71 17,732.60 15,852.98 17,118.90
9/94 13,909.86 18,597.82 15,983.03 17,670.11
12/94 13,744.97 18,594.69 15,964.66 17,692.18
3/95 14,355.86 20,403.18 16,665.22 19,102.92
6/95 15,272.19 22,348.17 17,497.52 20,715.12
9/95 16,059.30 24,122.87 17,787.13 21,919.76
12/95 16,603.63 25,573.97 18,412.74 23,137.31
3/96 17,314.01 26,946.35 18,259.00 23,778.42
6/96 17,687.26 28,154.15 18,373.82 24,538.88
9/96 18,271.44 29,024.73 18,699.93 25,196.14
12/96 19,320.80 31,441.93 19,157.78 26,884.30
3/97 19,346.87 32,286.70 19,136.02 27,322.01
6/97 20,898.27 37,918.08 19,699.76 30,990.09
9/97 21,903.02 40,758.05 20,232.06 32,982.83
12/97 22,271.31 41,928.12 20,665.26 33,958.50
3/98 23,757.95 47,772.50 20,987.26 37,598.53
6/98 23,517.26 49,358.59 21,382.74 38,783.92
9/98 22,823.49 44,460.00 22,342.92 36,298.89
12/98 23,583.99 53,919.09 22,408.92 41,986.88
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 DECEMBER 31, 1998
1. Loews Corporation 4.4%
2. Amerada Hess Corporation 4.0%
3. Tennessee Valley Authority, 5.880% due 04/01/2036 3.0%
4. Washington Post Company, Class B 2.9%
5. Niagara Mohawk Power Corporation 2.5%
ASSET ALLOCATION
Common Stocks 50.4%
Preferred Stocks 5.3%
Convertible Bonds and Notes 19.9%
Government Bonds 1.2%
U.S. Government Agency Obligations 6.5%
U.S Treasury Obligations 4.5%
Commercial Paper 11.2%
Certificates of Deposit 0.6%
Corporate Note 0.3%
<PAGE>
THE GCG TRUST
LIMITED MATURITY BOND SERIES
The Limited Maturity Bond Series (the "Series") seeks to obtain the highest
current income that is consistent with low risk to principal and liquidity.
For the year ended December 31, 1998, the Series returned 6.86%. Over the same
period, the Merrill Lynch 1-5 Year Corporate/Government Bond index (the
"Index") had a total return of 7.68%.
The second half of 1998 proved to be tumultuous for both the equity and bond
markets. The economic crisis and uncertainty in emerging markets caused the
stock market to sell off dramatically in the 3rd quarter. The U.S.
Treasury bond market rallied significantly during the period as the yield on
the 30-year Treasury bond (which moves in opposite direction to prices) went
from a high of 5.77% at the end of July to a low of 4.72% in October
reflecting an investor flight-to-quality. In response to financial strain
abroad and the resulting impact on the domestic economy as well as reduced
access to credit for lower-quality borrowers, the Federal Reserve Board began
lowering interest rates in late September. By mid-November, after three
quarter-point easings, the Federal Reserve had restored confidence to the
markets and the Federal Funds Rate target stood at 4.75%.
While Treasury bonds performed nicely in 1998, spread sectors (non-Treasury
bonds) experienced arguably one of their worst years. Mortgage-backed and
asset-backed securities, corporate bonds and government agency securities all
underperformed U.S. Treasury bonds. The Series owned more corporate, mortgage
and agency securities and fewer U.S. Treasury securities than the Index, thus
explaining the underperformance of the Series versus the Index. Over the long-
term, owning the higher yielding corporate, mortgage and agency securities
should result in outperformance versus the Index subject, however, to short-
term fluctuations.
Going forward, U.S. economic growth is expected to moderate with inflation
remaining subdued. Excess worldwide capacity, continued instability in
emerging economies, and weaker corporate earnings are likely to impact the
financial markets in 1999. The Portfolio Manager plans to continue to own
spread products after careful consideration of sector and company
fundamentals.
ING INVESTMENT MANAGEMENT, LLC
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 6.86%
5 YEAR 5.59%
1/24/1989 (INCEPTION) 6.80%
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Merrill Lynch
1-5 Year
Limited Maturity Corp./Gov't
Bond Series Bond Index
---------------- -------------
1/24/1989 10,000.00 10,000.00
3/89 10,021.27 10,022.44
6/89 10,515.46 10,595.81
9/89 10,640.34 10,740.40
12/89 10,958.30 11,068.64
3/90 11,012.53 11,126.81
6/90 11,298.04 11,448.40
9/90 11,472.86 11,713.48
12/90 11,820.50 12,138.94
3/91 12,054.04 12,412.33
6/91 12,266.61 12,659.96
9/91 12,659.69 13,167.69
12/91 13,152.69 13,720.29
3/92 13,073.54 13,675.42
6/92 13,463.62 14,159.05
9/92 13,837.09 14,695.03
12/92 13,789.43 14,665.12
3/93 14,148.33 15,130.46
6/93 14,333.62 15,363.97
9/93 14,585.09 15,639.85
12/93 14,644.25 15,711.32
3/94 14,492.57 15,543.46
6/94 14,437.41 15,506.07
9/94 14,478.78 15,644.84
12/94 14,470.23 15,624.90
3/95 14,919.71 16,230.68
6/95 15,543.17 16,883.00
9/95 15,731.66 17,140.60
12/95 16,166.64 17,649.16
3/96 16,137.64 17,634.21
6/96 16,282.63 17,780.46
9/96 16,521.47 18,082.93
12/96 16,864.73 18,464.35
3/97 16,897.07 18,534.99
6/97 17,301.31 18,997.01
9/97 17,677.89 19,428.29
12/97 17,898.69 19,786.44
3/98 18,251.42 20,092.24
6/98 18,548.05 20,427.96
9/98 19,141.31 21,189.14
12/98 19,224.16 21,306.30
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On August 13, 1996 Equitable Investment Services, Inc. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
other Portfolio Managers.
TOP FIVE NON CASH HOLDINGS AS OF DECEMBER 31, 1998
1. U.S. Treasury Notes due through 2005
ranging from 5.375% to 7.875% 50.7%
2. FNMA, 5.750% due 04/01/2003 3.5%
3. WorldCom, Inc., 9.375% due 01/15/2004 1.7%
4. Ford Motor Credit Company, 6.550% due 09/10/2002 1.6%
5. Boise Cascade Corporation, 9.850% due 06/15/2002 1.5%
ASSET ALLOCATION
Corporate Bonds 26.4%
Yankee Bond - U.S. dollar Denominated 1.0%
Collateralized Mortgage Obligations 2.0%
U.S. Government Agency Obligations 15.1%
U.S Treasury Obligations 50.7%
Commercial Paper 4.8%
<PAGE>
THE GCG TRUST
HARD ASSETS SERIES
The Hard Assets Series (the "Series") seeks long-term capital appreciation.
For the year ended December 31, 1998, the Series returned (29.58)%. Over the
same period, the Standard & Poors 500 Index ("S&P 500") had a total return of
28.57% and the Russell 2000 Index had a total return of (2.55)%.
The Series endured a difficult year in 1998 as global economic conditions,
oversupplied commodity markets, and difficult real estate markets all
conspired to pull hard asset markets lower. As was true in equity markets,
value investments provided little support and opportunity. However, looking
forward, we believe the seeds of favorable conditions in hard assets are being
sown and value should be exceptional. We believe the multiple shocks that
resulted in difficult conditions are priced into current valuations. As we
look out, we see multiple opportunities in cheap and under-owned hard asset
stocks. We expect these contrarian opportunities will be recognized over the
next several years.
All hard asset markets declined in value during 1998, as difficult economic
and treacherous financial conditions lead to a decline in the Series. The
confluence of events which lead to the decline have not been seen in decades.
In fact, policy makers called the world financial crisis that hit during 1998
the worst in 50 years. The emerging market crisis was only part of the story
in hard assets as the warmest year in decades (or centuries) affected energy
prices, country debt defaults and disastrous hedge fund performance altered
risk spreads and financial markets, and legislative changes affected the
valuation and structure of real estate securities.
Gold, the best performing major commodity in 1998, ended the year unchanged
while gold shares fell 12%. Perceptions of gold bounced throughout the year
between negative and positive influences. Negative influences included reduced
demand from Asia, concerns of gold sales by European central banks, and lack
of interest in gold as inflation protection. The positive influences included
potential reinflation and gold's role as a safe-haven asset in times of
turmoil. We are getting more positive on gold and believe gold is likely to
trade in a higher range and surpass 1998's high of $315. Our strategy is to
keep assets in both bullion and high-quality shares. Bullion represents a
defensive allocation while the shares represent the traditional leveraged play
on bullion.
Despite a benign interest rate environment, healthy underlying fundamentals,
and attractive yields, real estate securities declined approximately 16.9% in
1998. Real estate was the largest weighting in the fund during the year,
averaging approximately 33%, and the decline was a significant contributor to
the negative performance of the Series. At the beginning of the year, our
assumptions had been for healthy cash flow growth of approximately 15% and
stable multiples. While cash flow growth came in at the 15% rate, an
unexpected decline in multiples resulted in the difficult performance. We
remain relatively positive on real estate going into the new year, and expect
a total return of approximately 15%, arising from cash flow growth of
approximately 10%, yields of 7%, and a relatively constant multiple.
VAN ECK ASSOCIATES CORPORATION
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR (29.58)%
5 YEAR 2.48%
1/24/1989 (INCEPTION) 5.11%
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Hard Assets Russell
Series S&P 500 Index 2000 Index
----------- ------------- ----------
1/24/1989 10000.00 10000.00 10000.00
3/89 9,810.00 9,978.66 10,310.55
6/89 9,940.00 10,857.85 10,967.30
9/89 10,990.00 12,018.84 11,705.80
12/89 11,895.70 12,265.82 11,129.19
3/90 11,324.53 11,896.83 10,879.55
6/90 10,993.82 12,643.47 11,292.08
9/90 10,873.12 10,908.11 8,529.61
12/90 10,249.80 11,884.51 8,961.57
3/91 10,628.97 13,607.96 11,626.26
6/91 11,147.22 13,575.45 11,441.74
9/91 10,921.52 14,299.80 12,377.79
12/91 10,731.98 15,497.39 13,087.84
3/92 10,392.17 15,106.57 14,068.16
6/92 11,121.37 15,393.29 13,105.27
9/92 10,562.93 15,878.82 13,482.53
12/92 9,679.23 16,676.48 15,497.28
3/93 11,176.34 17,404.26 16,159.64
6/93 12,704.63 17,487.68 16,513.87
9/93 11,914.49 17,938.05 17,958.01
12/93 14,511.67 18,353.60 18,423.03
3/94 14,323.61 17,658.82 17,932.37
6/94 14,240.03 17,732.60 17,230.73
9/94 16,183.28 18,597.82 18,427.84
12/94 14,878.69 18,594.69 18,087.04
3/95 14,889.41 20,403.18 18,922.11
6/95 15,286.03 22,348.17 20,696.11
9/95 16,218.63 24,122.87 22,740.03
12/95 16,469.39 25,573.97 23,232.94
3/96 19,075.59 26,946.35 24,418.46
6/96 19,666.91 28,154.15 25,640.01
9/96 20,014.33 29,024.73 25,726.84
12/96 21,931.91 31,441.93 27,065.36
3/97 20,948.97 32,286.70 25,936.77
6/97 22,583.11 37,908.08 29,826.60
9/97 26,917.48 40,758.05 34,265.70
12/97 23,296.93 41,928.12 33,118.25
3/98 23,312.41 47,772.50 36,448.85
6/98 20,355.79 49,358.59 34,749.59
9/98 16,485.86 44,460.00 27,749.02
12/98 16,405.42 53,919.09 32,274.57
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 DECEMBER 31, 1998
1. Barrick Gold Corporation 3.3%
2. Aluminum Company of America 3.1%
3. Plum Creek Timber Company, L.P. 2.8%
4. Cornerstone Properties, Inc. 2.1%
5. Pasminco Ltd. 2.0%
INDUSTRY BREAKDOWN
Oil and Gas Exploration 13.5%
Office/Industrial 12.0%
Gold/Mining 10.9%
Real Estate 9.6%
Forest Products and Paper 8.1%
Metals/Mining 4.1%
Hotels 3.1%
Aluminum 3.1%
Oil/Gas - Equipment and Services 2.6%
Other 33.0%
<PAGE>
THE GCG TRUST
REAL ESTATE SERIES
The Real Estate Series (the "Series") seeks capital appreciation and
secondarily, current income. For the year ended December 31, 1998, the Series
returned (13.45)%. Over the same period, the Wilshire Real Estate Securities
Index had a total return of (17.63)%.
This past year, real estate securities suffered their worst year on record
since 1974, stemming from several principal areas of concern. The relative
under-performance of real estate securities in the first six months of the
year likely had less to do with the economy than it did with several more
pronounced, one-time industry related factors. Starting with the high profile
merger between Starwood Lodging and ITT, the "paired share" lodging real
estate investment trusts ("REITs") attracted both attention and animosity from
competitors as well as Congress, which culminated in legislation which
eliminated the advantage that their paired share organizational structure
could provide for future acquisitions. While the financial impact of the final
legislation was minimal, as it pertained to only five companies, the negative
press and uncertainty surrounding the process caused many investors to seek
refuge elsewhere. It is important to note that Congress has always supported
the REIT industry. Consequently, we do not expect any additional legislation
from Congress for the foreseeable future.
With the Asian crisis as a back-drop, mid-way through 1998 many investors
began to question the velocity of demand for real property space in late 1998
and 1999, and thus pushed down the share prices of the most economically
sensitive property stock sectors, such as the hotel REITs. In retrospect, the
expectations for an economic slow-down appeared to be almost completely at
odds with what was occurring in the "real economy," as final demand and GDP
growth never missed a beat. However, the fears of a foreign-based deflationary
epidemic infecting our markets fed upon themselves, until it was demonstrated
by the Federal Reserve that it was more committed to keeping the economy on an
even keel than to fighting the potential of inflation.
"Overbuilding" is a relative condition and even the modest amounts of new
supply which were projected to come on line in 1998 and 1999 created fears of
over-supply within the context of investors' fears of a slowing economy. Our
in-house calculations of potential vacancy rates in a "zero absorption" worst
case scenario show that even if all demand were to stop and all projected new
supply were to be built within the office segment of the market, vacancy
levels would likely rise only back to year-end 1996 levels. From the current
standpoint, the prospects of new supply now appear much more muted as high
risk capital is now much more difficult to obtain in the aftermath of the
Asian crisis.
As we look forward to 1999 and beyond, it appears that 1998 may prove to have
been a "bitter pill" which real estate markets had to swallow in order for
conditions to remain healthy in underlying property markets for substantially
more years to come. For within the tumult of the gyrating market dynamics of
the past year, there have been many actions and reactions which bode well for
better times ahead.
In short, we believe investors in real estate securities in 1999 should
benefit from the painful experiences of the past year, and that the outlook
for real estate investing improves on several different fronts.
ELL REALTY SECURITIES, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR (13.45)%
5 YEAR 12.26%
1/24/1989 (INCEPTION) 9.65%
- --------------------------------------------------------------------------------
Wilshire Real Estate
Real Estate Series Securities Index
------------------ --------------------
1/24/1989 10,000.00 10,000.00
3/89 9,980.00 10,096.18
6/89 10,564.30 10,573.86
9/89 10,835.51 10,768.63
12/89 9,878.12 10,073.74
3/90 9,610.69 9,573.35
6/90 9,196.69 9,364.08
9/90 7,800.22 7,031.78
12/90 7,825.64 6,703.48
3/91 9,659.84 8,482.17
6/91 9,618.44 8,122.66
9/91 9,905.41 7,899.58
12/91 10,491.35 8,046.29
3/92 10,626.16 8,221.03
6/92 10,716.57 7,872.58
9/92 11,378.33 8,113.39
12/92 11,946.65 8,677.65
3/93 14,297.01 10,382.81
6/93 13,761.17 9,892.91
9/93 14,978.98 10,772.51
12/93 14,009.61 10,000.27
3/94 14,586.03 10,225.15
6/94 14,661.22 10,346.81
9/94 14,510.84 10,090.28
12/94 14,897.80 10,164.55
3/95 14,739.45 10,202.95
6/95 15,544.38 10,646.86
9/95 16,481.27 11,151.74
12/95 17,368.66 11,551.69
3/96 17,616.20 12,039.72
6/96 18,565.08 12,610.86
9/96 19,703.97 13,355.56
12/96 23,499.39 15,811.18
3/97 24,028.79 16,101.46
6/97 25,028.77 16,841.57
9/97 28,409.79 18,969.45
12/97 28,854.04 18,941.51
3/98 28,506.59 18,798.58
6/98 27,669.56 17,936.08
9/98 25,142.66 15,791.29
12/98 24,973.33 15,602.77
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, Ell 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 DECEMBER 31, 1998
1. Equity Office Properties Trust 5.1%
2. Kimco Realty Corporation 4.9%
3. Simon Property Group, Inc. 4.9%
4. Vornado Realty Trust 3.7%
5. General Growth Properties, Inc. 3.6%
INDUSTRY BREAKDOWN
Office/Industrial 33.2%
Apartments 15.5%
Shopping Centers 13.5%
Regional Malls 13.5%
Manufactured Housing 7.7%
Hotels & Motels 6.3%
Restaurants 3.2%
Self Storage 1.7%
Health Care Real Estate 1.7%
Other 3.7%
<PAGE>
THE GCG TRUST
ALL-GROWTH SERIES
The All-Growth Series (the "Series") seeks capital appreciation. For the year
ended December 31, 1998, the Series returned 9.52%. Over the same period, the
Russell Midcap Index had a total return of 10.09%.
The major factors which lead to the slight underperformance included a modest
overweight in energy stocks relative to the benchmark throughout the year as
well as the continued strength of market cap-weighted indexes relative to
equally weighted benchmarks. As an example of the latter, an equally weighted
return for the Russell Mid-Cap Index was 6.9%, about two-thirds of the market
cap-weighted return. This same phenomenon occurred among large cap stocks as
well.
As 1998 came to an end, many of the problems that had appeared so threatening
earlier in the year lost their intensity. Investors became less concerned with
the "Asian contagion" and the threat of global economic problems. Thanks to
the Federal Reserve's three rate cuts, strong employment data and an ever-
spending consumer, the fear of a U.S. recession subsided. The year ended on a
positive note, with the Conference Board reporting that the index of leading
economic indicators rose 0.6% in November, the largest one-month rise in
almost two years. During the earlier part of the year, the market often
reacted strongly and negatively to major news stories. During the latter part
of the year, the markets seemed to focus on good news and ignore bad news.
Amazingly, the markets seemed to shrug off the bombing of Iraq and the
impeachment of the President. Persistent rumors of the possible resignation of
Treasury Secretary Robert Rubin and the announcement of several large mergers/
acquisitions appeared to elicit more response from the market.
The Series remains overweighted in service and technology stocks which
represent 21% and 39% of the Series respectively. Underweighted sectors
include financials, basic industry and capital goods stocks. Among the
different sectors of the market, by far the weakest were the energy and
finance sectors. The former being affected by weak commodity prices for oil
and gas as the international economic slowdown put a drag on demand.
Financials were hurt by a global liquidity scare that impacted companies that
rely on securitizations for ongoing access to capital. Technology was strong
throughout the year with software and services performing well the first three
quarters of 1998 followed by a rapid rebound in hardware companies in the 4th
quarter, including semiconductors, peripherals and semiconductor capital
equipment.
Looking ahead, we are optimistic that the market will more fairly reward
companies that are able to achieve analysts' earnings expectations. It seems
to us that in an economic environment characterized by a more difficult and
slower setting for earnings, smaller, niche-oriented companies should be more
sought after by investors.
In our opinion, investor confidence in small and mid-cap growth stocks needs
the backdrop of a strong market. A strong market needs reasonably good
earnings, stable inflation and interest rates, and a stable attitude on the
part of investors about the appropriate risk premium to assign to various
parts of the market. Because it is impossible to predict these variables with
any certainty, we continue to pursue a strategy investing in the best mid-
sized growth companies that we can find.
PILGRIM BAXTER & ASSOCIATES, LTD.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 9.52%
5 YEAR 4.72%
1/24/1989 (INCEPTION) 5.93%
- --------------------------------------------------------------------------------
All-Growth Series Russell Midcap Index*
----------------- ---------------------
1/24/1989 10,000.00 10,000.00
3/89 10,083.58 10,140.21
6/89 10,623.14 11,067.13
9/89 11,337.89 12,122.20
12/89 10,720.38 11,914.36
3/90 9,929.67 11,453.21
6/90 10,801.55 11,876.83
9/90 9,442.04 9,521.87
12/90 9,932.89 10,544.57
3/91 11,365.69 12,703.58
6/91 10,686.44 12,769.73
9/91 11,984.67 13,715.79
12/91 13,556.58 14,921.84
3/92 12,864.94 15,154.22
6/92 12,328.81 15,122.07
9/92 12,362.47 15,710.72
12/92 13,205.21 17,360.13
3/93 12,902.24 18,303.83
6/93 13,006.71 18,592.45
9/93 14,061.87 19,587.59
12/93 14,070.96 19,842.81
3/94 13,504.77 19,256.17
6/94 12,540.14 18,839.76
9/94 13,200.70 19,911.36
12/94 12,554.40 19,427.59
3/95 13,496.51 21,449.66
6/95 14,046.96 23,244.44
9/95 15,211.36 25,305.44
12/95 15,368.54 26,121.25
3/96 16,260.76 27,693.33
6/96 15,558.13 28,473.81
9/96 14,666.46 29,365.68
12/96 15,280.98 31,084.19
3/97 13,477.84 30,829.67
6/97 15,885.83 35,011.93
9/97 17,474.91 39,662.16
12/97 16,177.32 40,101.83
3/98 17,657.60 44,434.95
6/98 17,833.82 43,765.07
9/98 14,074.39 37,277.08
12/98 17,717.73 44,150.08
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 Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1998
1. Total Renal Care Holdings, Inc. 2.8%
2. Altera Corporation 2.8%
3. Qwest Communications International, Inc. 2.8%
4. Cardinal Health, Inc. 2.8%
5. Abercrombie & Fitch Company, Class A 2.8%
INDUSTRY BREAKDOWN
Computer Industry 17.7%
Telecommunications 12.2%
Services 10.8%
Semiconductors 9.6%
Retail 8.3%
Medical - Hospital Mgt. and Services 6.3%
Electronics 4.6%
Manufacturing 3.9%
Other 26.6%
<PAGE>
THE GCG TRUST
CAPITAL APPRECIATION SERIES
The Capital Appreciation Series (the "Series") seeks to generate long-term
capital growth. For the year ended December 31, 1998, the Series returned
12.68%. Over the same period, the Standard & Poors 500 Index ("S&P 500") had a
total return of 28.58%.
At the beginning of 1998, with the S&P 500 having doubled in the prior three
year period, valuations were high, earnings were likely to slow and the pace
of the market's advance was considered unsustainable. For an unprecedented
fourth year in a row, the S&P 500 racked up a gain in excess of 20%.
The liquidity phenomenon was evident in the continued leadership of a narrow
list of big well known stocks; about twelve stocks accounted for half of the
full year's gain in the S&P 500. If the S&P 500 were calculated with all
stocks weighted equally (important, because this reflects the way most
portfolios are actually diversified to spread risk), the full year gain for
the S&P would have been cut in half. This is because almost half of the stocks
in the S&P 500 were down for the year.
With the market propelled largely by relative valuation and momentum, well
known large-cap growth issues, perceived to have stable earnings, led the way.
Technology, health care, entertainment/cable and retailers were areas that
significantly outperformed.
However, a concentration in special situations in the commodities and basic
industrial areas was not enough to avoid overwhelming deflationary psychology,
even if the fundamentals of the companies were on track to navigate through
the negative trends. As a result, these stocks have yet to work out. Our
consolidation thesis in the energy sector was borne out, most notably with the
Exxon/Mobil deal, but other asset value plays such as Anadarko Petroleum Corp.
and Unocal Corp. continued to decline. The late summer turmoil in the capital
markets continues even now to haunt most financial services companies.
Mortgage insurers and REITs fell victim to perceptions caused by the collapse
of the high yield market. Citigroup and BankAmerica Corp. were dealing with
merger related items while credit sensitive issues such as Household
International, Inc., US Bancorp and National City Corp. were having the
sustainability of earnings growth questioned. Our picks in this area continue
to be driven by an assessment of management skills likely to take advantage
of, rather than be victim to, any problems that may be brewing. Simply put,
our diversified portfolio clearly showed the performance disparity between
consumer/technology driven issues on the growth side and mature industries on
the value side.
We are maintaining a style balance between growth and value basically in line
with that of the overall market. As the market moves to higher levels, we are
monitoring industry exposure and overall portfolio characteristics to ensure
that unanticipated risk does not creep into the Series; this implies a shift
towards the value side.
We continue to construct our portfolios on two fronts: issues where the
market's implied growth valuation is materially less than our specific company
forecast, and, situations where the market is significantly undervaluing the
intrinsic asset value of a company to a rational buyer. Notwithstanding the
extreme valuation of a small segment of the market, there are many
opportunities for investors in names that have been oversold or ignored.
INVESCO (NY), INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 12.68%
5 YEAR 17.48%
5/4/1992 (INCEPTION) 16.00%
- --------------------------------------------------------------------------------
Capital Appreciation Series S&P 500 Index
--------------------------- -------------
5/4/1992 10,000.00 10,000.00
6/92 9,911.10 9,899.45
9/92 10,255.99 10,211.70
12/92 11,086.81 10,724.68
3/93 11,661.31 11,192.72
6/93 11,419.42 11,246.36
9/93 11,903.20 11,535.99
12/93 12,007.82 11,803.24
3/94 11,568.76 11,356.42
6/94 11,609.60 11,403.87
9/94 11,997.61 11,960.29
12/94 11,816.68 11,958.28
3/95 12,660.73 13,121.32
6/95 13,806.97 14,372.15
9/95 15,026.15 15,513.46
12/95 15,380.73 16,446.66
3/96 16,325.66 17,329.24
6/96 16,860.74 18,105.98
9/96 17,608.85 18,665.85
12/96 18,496.57 20,220.36
3/97 18,214.09 20,763.63
6/97 21,309.13 24,385.18
9/97 23,576.25 26,211.57
12/97 23,852.04 26,964.04
3/98 26,325.09 30,722.57
6/98 26,676.45 31,742.59
9/98 23,176.35 28,592.30
12/98 26,875.64 34,675.46
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 DECEMBER 31, 1998
1. International Business Machines Corporation 3.1%
2. Avon Products, Inc. 2.8%
3. Schering-Plough Corporation 2.6%
4. Allstate Corporation 2.6%
5. Gillette Company 2.6%
INDUSTRY BREAKDOWN
Computer Industry 10.3%
Pharmaceuticals 8.2%
Financial Services 8.1%
Retail 7.5%
Oil and Gas 6.7%
Banks 5.5%
Consumer Products 5.3%
Telecommunications 4.8%
Utilities 4.4%
Other 39.2%
<PAGE>
THE GCG TRUST
RISING DIVIDENDS SERIES
The Rising Dividends Series (the "Series") seeks capital appreciation and,
secondarily, dividend income. For the year ended December 31, 1998, the Series
returned 14.13%. Over the same period, the Standard & Poors 500 Index ("S&P
500") had a total return of 28.58%.
For the second half of the year, the Series' largest weightings were in the
consumer staples, financial, and technology sectors. The series' strongest
relative performance was in the technology sector, where holdings in names
such as Intel Corp. and Electronic Data Systems Corp. provided solid returns.
Both companies have continued to announce positive news in 1999.
Amidst the turmoil caused by uncertainty in some international markets and
well-documented domestic political events, we discussed the importance of
taking a long-term approach to investing. Since then, investors have regained
confidence in the market as fourth quarter stocks rose. At this time, we would
emphasize the following:
We encourage you not to spend time worrying about the "market", because your
equity portfolio is not the market. Rather, your portfolio consists of issues
we believe are the highest quality companies in the world, selected for their
strong competitive position in their respective industries, strong earnings
growth, solid balance sheets, and a commitment to sharing their growing cash
flows with shareholders. Our research work has led us to believe that, in both
bull and bear environments, these businesses are sound and their management
teams are excellent stewards of our capital.
We spend our time continually evaluating both macroeconomic and microeconomic
factors in relation to the companies we own. For example, we forecast the
impact of recession or increased competition for each major business division
within each company. We monitor our price limit on each stock for both
relative and absolute valuation and the attractiveness of alternative
investments in each economic sector.
We remain optimistic about the future for your portfolio. We will proceed with
appropriate caution, mindful of world events that may impact investors. We
encourage a long-term perspective and use short-term periods of distress as an
opportunity to add to equities.
KAYNE ANDERSON INVESTMENT MANAGEMENT, LLC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 14.13%
5 YEAR 18.70%
10/14/1993 (INCEPTION) 18.47%
- --------------------------------------------------------------------------------
Rising Dividends Series S&P 500 Index
----------------------- -------------
10/4/1993 10,000.00 10,000.00
12/93 10,314.10 10,231.66
3/94 9,973.63 9,844.34
6/94 10,073.77 9,885.47
9/94 10,494.35 10,367.81
12/94 10,374.98 10,366.06
3/95 11,126.21 11,374.25
6/95 11,664.24 12,458.53
9/95 12,516.98 13,447.87
12/95 13,597.88 14,256.82
3/96 14,446.47 15,021.89
6/96 14,957.67 15,695.21
9/96 15,503.43 16,180.53
12/96 16,405.67 17,528.06
3/97 16,758.48 17,999.00
6/97 19,456.44 21,138.34
9/97 20,258.14 22,721.55
12/97 21,298.24 23,373.83
3/98 24,018.98 26,631.92
6/98 24,348.44 27,516.13
9/98 20,724.34 24,785.29
12/98 24,308.58 30,058.49
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 DECEMBER 31, 1998
1. Intel Corporation 4.3%
2. Royal Dutch Petroleum 4.2%
3. Hewlett Packard Company 4.2%
4. Johnson & Johnson 4.1%
5. Wells Fargo Company 4.1%
INDUSTRY BREAKDOWN
Financial Services 10.4%
Petroleum 8.8%
Pharmaceuticals 7.8%
Data Services 7.5%
Food 7.5%
Consumer Products 7.4%
Technology 6.8%
Computers and Office Equipment 4.2%
Banks 4.1%
Other 35.5%
<PAGE>
THE GCG TRUST
EMERGING MARKETS SERIES
The Emerging Markets Series (the "Series") seeks long-term capital
appreciation. For the year ended December 31, 1998, the Series returned
(24.09)%. Over the same period, the Morgan Stanley Capital International
Emerging Markets Free Index (the "Index") had a total return of (25.34)%.
Clearly, it was a dismal period for emerging-market investments. Nevertheless,
as always, we focused on longer-term strategic investing to seek potential
capital appreciation in emerging markets through both country and stock
selection.
As 1997 ended, it appeared that a turnaround might be forthcoming. However,
economic turmoil in Asia, Latin America, and Eastern Europe destabilized
global markets and pushed emerging markets sharply lower. In particular,
economic woes in Asia restrained performance through the first six months of
1998. The collapse of the Russian economy in August further ravaged emerging
markets, especially those in Latin America. The third quarter of 1998 showed
minor improvement, with Hong Kong and Thailand gaining some ground. Emerging
markets rallied in October and November as global interest rates trended lower
and Pacific Basin markets stabilized. In December, however, emerging markets
paused amid economic woes in Latin America, especially Brazil.
Against this backdrop, we added value by maintaining a limited exposure to
Russia, which severely underperformed, throughout the period. In fact, during
the third quarter of 1998, we virtually eliminated holdings in the country.
Exposure to South Korea late in the year was an important contributor to
performance. Other tactical moves that enhanced returns included a technology
exposure in Taiwan, positive stock selection in Brazil, and an overweight
position in Mexico early in 1998.
Going forward, emerging markets will likely remain volatile. In particular,
problems in Brazil threaten Latin America. Yet, there is cause for optimism
amid indications that price declines are already overdone and that worldwide
panic selling has created significant opportunities. We have already
identified stocks in Latin America, Europe, and Asia that are deemed
undervalued due to market corrections. In addition, global policy makers are
putting forth more of an effort to help with the worldwide crisis and we
believe their efforts will likely calm some of the more mature markets,
allowing for a domino effect recovery.
PUTNAM INVESTMENT MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR (24.09)%
5 YEAR (10.86)%
10/4/1993 (INCEPTION) (6.58)%
- --------------------------------------------------------------------------------
Morgan Stanley
Emerging Markets Emerging Markets
Series Free Index
10/4/1993 10000.00 10000.00
--------- ---------------- -----------------
12/93 12,440.00 13,260.33
3/94 11,050.00 12,061.43
6/94 10,450.00 11,887.82
9/94 12,820.00 14,355.46
12/94 10,552.20 12,290.32
3/95 8,866.78 10,768.95
6/95 9,808.94 11,885.72
9/95 9,841.78 11,809.94
12/95 9,485.80 11,650.07
3/96 9,883.66 12,375.43
6/96 10,469.97 12,892.77
9/96 10,354.80 12,425.80
12/96 10,176.81 12,352.68
3/97 10,899.24 13,398.89
6/97 11,935.77 14,545.61
9/97 11,277.11 13,241.19
12/97 9,222.92 10,921.61
3/98 9,851.75 11,597.94
6/98 7,829.00 8,861.10
9/98 5,994.90 6,910.97
12/98 7,001.03 8,154.10
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 DECEMBER 31, 1998
1. Samsung Electronics Company Ltd. 2.5%
2. Telefonos de Mexico S.A., ADR 2.4%
3. National Bank of Greece, S.A. 2.4%
4. Korea Electric Power Corporation 2.4%
5. Y.P.F. S.A., ADR 1.9%
ASSET DISTRIBUTION BY REGION
Latin America Countries 31.2%
Pacific Rim Countries 37.7%
Eastern Europe 10.4%
Middle East 3.0%
South Africa 3.1%
Western Europe 11.0%
United States 3.6%
<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 total return of 1.55% for
the year ended December 31, 1998. Over the same time period, the Standard &
Poors 500 Index ("S&P 500") had a total return of 28.58%.
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.
The global economic and political uncertainty that prevailed throughout the
year made it a very difficult year for value investing. The flight to quality
that occurred in the third quarter -- resulting from the political and
economic turmoil in Asia and Russia - was particularly devastating to every
class of security other than U.S. Treasuries and a handful of the largest,
most liquid U.S. growth stocks.
In response to this uncertainty, the Series tended to be defensively
positioned for much of the year with concentrations in sectors such as the
utilities, telephone companies, tobacco and healthcare. Companies in these
sectors tend to be larger, less cyclical companies with more of a domestic
focus. While this strategy benefited performance in the difficult months of
August and September, it was a drag on performance for much of the remainder
of the year. An under weighting in the technology and drug sectors also had a
negative impact on the performance of the Series.
Going back in history thirty or forty years, one sees that the annualized
performance of growth and value stocks has been pretty similar. Yet a
comparison of the S&P Barra Growth Index and the S&P Barra Value Index reveals
that growth stocks have outperformed value stocks for each of the past five
years. If history is any indication, we believe it is unlikely that the
relative under performance of value stocks will continue indefinitely.
As of the end of the year, we believe that the Series, with its low price/
earnings ratio (15.7 vs. 25.9 for the S&P 500) and its high projected three-
year growth rate (12% vs. 5% for the S&P 500), is well positioned to
capitalize once value investing does finally come back in style.
EAGLE ASSET MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 1.55%
1/3/1995 (INCEPTION) 17.96%
- --------------------------------------------------------------------------------
Value Equity Russell
Series S&P 500 Index Midcap Index*
1/31/1995 10000.00 10000.00 10000.00
--------- ------------ ------------- ------------
3/95 10,630.00 10,972.59 11,040.82
6/95 11,690.00 12,018.58 11,964.65
9/95 12,570.00 12,972.99 13,025.51
12/95 13,521.49 13,753.37 13,445.44
3/96 13,952.37 14,491.42 14,254.64
6/96 13,685.64 15,140.96 14,656.38
9/96 13,863.40 15,609.15 15,115.45
12/96 14,957.76 16,909.09 16,000.02
3/97 15,237.14 17,363.40 15,869.01
6/97 17,708.61 20,391.89 18,021.75
9/97 19,358.68 21,919.19 20,415.38
12/97 19,038.34 22,548.44 20,641.69
3/98 20,702.57 25,691.47 22,872.08
6/98 19,156.37 26,544.45 22,527.28
9/98 16,477.07 23,910.05 19,187.70
12/98 19,333.99 28,997.04 22,725.46
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 DECEMBER 31, 1998
1. Raytheon Company, Class B 4.1%
2. Waste Management, Inc. 4.0%
3. Aetna, Inc. 3.8%
4. Philips Electronics N.V. 3.8%
5. SLM Holding Corporation 3.7%
INDUSTRY BREAKDOWN
Tobacco 12.4%
Oil and Gas 11.5%
Financial Services 8.4%
Health Care 7.1%
Computer Industry 5.9%
Electronics 5.7%
Insurance 4.9%
Retail 4.7%
Telecommunications 4.4%
Other 35.0%
<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 0.84% for the year ended
December 31, 1998. Over the same time period, the Russell Midcap Index and the
Russell 2000 Index had a total returns of 10.09% and (2.55)%, respectively.
We maintained a significant exposure to stocks throughout the year. We began
the year fully invested, though we scaled back our market exposure to about
90% during the first six months. Long-term interest rates had risen slightly
earlier in the year, and we had concerns about the problems involving
President Clinton. At the market top in mid-July, we were about 85% invested,
reflecting attractive fundamentals such as declining inflation, stable
interest rates, and modestly declining, but still solid, corporate earnings.
As momentum deteriorated through the summer, and the economic/political
problems in Russia surfaced, we systematically cut back exposure, reaching a
low of 67% in early September. Once the Federal Reserve moved to relieve the
global financial strains brought on by the Pacific Rim crises and the Russian
default, we started increasing exposure. When the Fed cut rates a second time
in less than a month - an event with extremely bullish historical tendencies -
we increased exposure more rapidly, reaching a peak equity allocation of 90%
by late October.
We ended the year 87% invested. We would have been better off with a bigger
cash position at the market peak, but our models were suggesting that the
ingredients for a major bear market were not there. Given that the S&P 500
Index, the Dow Jones Industrial Average and the NASDAQ rallied back to new
all-time highs within approximately six weeks of the summer's bottom, it
appears that the models kept us in gear with the prevailing bull market trend.
1998 was a very tough year for our stock selection approach. Our approach in
this Series is to buy two types of stocks: those with above-average dividend
yields selling at relatively attractive prices and those with above-average
earnings growth selling at relatively attractive prices. Our research has
found that a balance of these types of stocks has provided attractive risk-
adjusted returns over the long run. By contrast, the key in 1998 was to buy a
relatively concentrated group of very big, very low-yielding and very high P/E
stocks.
ZWEIG ADVISORS, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 0.84%
10/2/1995 (INCEPTION) 13.02%
- --------------------------------------------------------------------------------
Strategic Equity Russell Russell
Series Midcap Index 2000 Index
---------------- ------------ ----------
10/2/1995 10,000.00 10,000.00 10,000.00
12/95 10,033.42 10,322.38 10,216.76
3/96 10,594.73 10,943.63 10,738.10
6/96 11,146.01 11,252.05 11,275.28
9/96 11,299.10 11,604.49 11,313.47
12/96 11,979.15 12,283.60 11,902.08
3/97 11,907.36 12,183.02 11,286.59
6/97 12,871.43 13,835.73 13,116.35
9/97 14,447.52 15,673.37 15,068.46
12/97 14,752.92 15,847.12 14,563.86
3/98 16,192.50 17,559.44 16,028.51
6/98 15,727.07 17,294.73 15,281.25
9/98 12,902.04 14,730.86 12,202.72
12/98 14,876.95 17,446.87 14,192.85
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 DECEMBER 31, 1998
1. Energy East Corporation 1.5%
2. Ford Motor Company 1.3%
3. Lafarge Corporation 1.2%
4. The TJX Companies, Inc. 1.1%
5. GPU, Inc. 1.0%
INDUSTRY BREAKDOWN
Utilities 14.2%
Computer Industry 5.8%
Auto Related 4.7%
Real Estate Investment Trusts 3.9%
Insurance 3.6%
Retail 3.6%
Manufacturing 3.5%
Transportation 3.5%
Homebuilding and Land Development 3.2%
Other 54.0%
<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 20.98% for the year ended December 31, 1998. Over
the same time period, the Russell 2000 Index had a total return of (2.55)%.
1998 will be remembered as one of the most volatile years in the stock market
in recent memory. From January to mid-July, stocks surged as investors
shrugged off the impact of the Asian crisis and flooded money into U.S. equity
mutual funds. As interest rates remained stable and inflation low, investors
could justify higher multiples. During late July, incidents of international
economic instability and domestic political controversy heightened investor
uncertainty and a dramatic sell off resulted. As measured by the S&P 500
Index, the historically placid month of August marked the biggest monthly
percentage drop since October of 1987.
During the fourth quarter, several events occurred that would be expected to
increase this uncertainty. History was made when William Jefferson Clinton
became the first American president to be impeached in over 130 years. Saddam
Hussein's continued resistance to United Nations weapon inspections prompted
the most sustained military assault since the Gulf War. Multi-national
companies and industry leaders such as Boeing, Merck and Coca-Cola all pre-
announced lower than expected earnings.
Despite the negative implications of these events, the fourth quarter proved
to be highly lucrative for investors in the U.S. equity market. The stock
market rally was prompted by three consecutive rate cuts by the Federal
Reserve including a rare intra-meeting cut in October. Leadership was
established by the technology sector as Intel, Microsoft and Apple all
reported better than expected third quarter earnings.
Although stock market returns were much more volatile than in recent years,
one thing that remained constant was the weak performance of small cap stocks
relative to large caps. In an uncertain market, investors once again placed a
premium on liquidity, stability and size.
The Series was able to realize strong relative performance for several
reasons. First, energy and utilities stocks proved disappointing for investors
and the Series had minimal exposure to those sectors. Throughout 1998, the
Series was heavily weighted in retailing stocks, ending the year with a 19.8%
position. Performance was augmented by many of the holdings in that sector.
Specifically, Linens N Things, Family Dollar Stores and Bed Bath & Beyond were
held in the Series throughout the year and all appreciated over 50% during the
year. The impressive relative performance versus the Index in 1998 cannot be
attributed to any specific time period but stands as the net result of four
consecutive quarters of index-beating results.
In conclusion, although small and mid cap stocks have dramatically
underperformed large caps over the last three years, we see tremendous
potential in the small stocks we own given their rapid earnings growth rates
and attractive relative valuations. Additionally, as multinational companies
are negatively impacted by events in Brazil and Japan, small cap stocks tend
to be significantly more parochial and will benefit from a favorable U.S
economy. We contend that although 1998 was a year in which only a small
percentage of very large companies performed well, 1999 should be a favorable
year market wide.
FRED ALGER MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 20.98%
1/3/1996 (INCEPTION) 17.07%
- --------------------------------------------------------------------------------
Small Cap Series Russell 2000 Index
---------------- ------------------
1/3/1996 10,000.00 10,000.00
3/96 11,170.00 10,510.28
6/96 11,880.00 11,036.06
9/96 12,120.00 11,073.44
12/96 12,010.00 11,649.57
3/97 10,300.00 11,047.14
6/97 12,070.00 12,838.07
9/97 14,190.00 14,748.76
12/97 13,250.00 14,254.88
3/98 15,090.00 15,688.44
6/98 15,520.00 14,957.04
9/98 12,490.00 11,943.83
12/98 16,030.00 13,891.73
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 DECEMBER 31, 1998
1. Amazon.com, Inc. 4.8%
2. Medimmune, Inc. 3.3%
3. Bergen Brunswig Corporation 3.1%
4. ALZA Corporation 2.8%
5. Office Depot, Inc. 2.7%
INDUSTRY BREAKDOWN
Retail 22.2%
Computer Software & Services 10.9%
Pharmaceuticals 8.2%
Financial Services 4.3%
Medical Supplies 3.9%
Medical Services 3.7%
Health Maintenance 3.5%
BioTechnology 3.5%
Food-Retail 3.3%
Other 36.5%
<PAGE>
THE GCG TRUST
MANAGED GLOBAL SERIES
The Managed Global Series (the "Series") seeks capital appreciation. The
Series had a total return of 29.31% for the year ended December 31, 1998. Over
the same time period, the Morgan Stanley Capital International All Country
World Free Index had a return of 21.97%.
Global equities enjoyed robust returns in 1998 after a powerful fourth-quarter
rally recovered equally dramatic losses that occurred one quarter earlier.
Indeed, the year was marked by extreme volatility as markets moved from record
declines to record gains in amazingly short order. This volatility was due in
part to the destabilization of world markets that resulted from the economic
turmoil in Asia, Latin America, and Eastern Europe.
U.S. and European markets demonstrated unparalleled vitality for much of the
12-month period. U.S. growth was spurred by modest inflation and a spate of
mega-mergers while Europe benefited from falling interest rates in advance of
European Economic and Monetary Union and widespread corporate restructuring.
In contrast, Asia's financial troubles were pervasive for most of the year,
with Japan, Hong Kong, South Korea, Singapore, and Malaysia battered by harsh
recessions.
We were overweighted in the European markets throughout the year. In
particular, the Series' performance was helped by exposure to European
financial and telecom stocks, especially during the first half of 1998. During
the same six-month period, the Series benefited from cable, software, telecom,
and consumer staples stock selection in the United States. However, many of
these moves restrained the Series during the volatile third quarter, when the
MSCI All-Country Free Index plummeted 12.3%. Financial and telecom stocks were
especially hard hit. Underweighting oil and energy stocks, which staged a mild
recovery, further hindered performance. The Series finished the year on a high
note, with an advance of 22.1% in the fourth quarter, amid strong gains in
U.S. technology and telecom-related holdings.
It was a difficult year for emerging-market investments, and we were
underweighted in these stocks for most of the year, a strategic move that
enhanced the Series returns. We had limited, if any, exposure in Russia,
Malaysia, Indonesia, and South Africa.
Looking ahead, we believe that Europe's long-term fundamentals remain solid
and offer attractive investment opportunities. Although we have lowered our
estimates for growth in Europe in 1999 to about 2%, they still remain
attractive in a global context. The situation appears to have stabilized in
Asia; however, we believe the recovery will be a slow, difficult process. As a
result, we remain cautious toward Pacific Basin investments. We believe that
the United States has the highest-quality growth companies operating in a
stable environment in which the government has both fiscal and monetary levers
to alleviate a slowdown. As global deflationary pressures continue into 1999,
we are focusing at a stock selection level on companies that are still able to
exert pricing power.
PUTNAM INVESTMENT MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 29.31%
5 YEAR 8.84%
10/21/1992 (INCEPTION) 8.12%
- --------------------------------------------------------------------------------
Morgan Stanley
All Country
Managed Global Series World Free Index
--------------------- ----------------
10/21/1992 10,000.00 10,000.00
12/92 10,010.00 10,262.60
3/93 10,220.00 11,146.48
6/93 9,900.00 11,849.19
9/93 10,350.00 12,456.54
12/93 10,620.00 12,815.96
3/94 9,870.00 12,862.91
6/94 9,610.00 13,226.73
9/94 9,980.00 13,671.97
12/94 9,270.00 13,459.99
3/95 8,790.00 13,937.51
6/95 8,990.00 14,607.21
9/95 9,720.00 15,390.60
12/95 9,960.00 16,079.37
3/96 10,360.00 16,759.34
6/96 10,970.00 17,280.86
9/96 10,760.00 17,462.33
12/96 11,181.63 18,201.94
3/97 11,191.68 18,384.36
6/97 12,678.54 21,135.92
9/97 13,340.53 21,637.13
12/97 12,542.50 20,931.34
3/98 14,424.97 23,830.78
6/98 15,136.37 24,022.88
9/98 13,264.84 21,075.04
12/98 16,219.06 25,529.08
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 DECEMBER 31, 1998
1. Microsoft Corporation 1.8%
2. Tyco International Ltd. 1.6%
3. Wal-Mart Stores, Inc. 1.6%
4. Lucent Technologies, Inc. 1.5%
5. Oy Nokia AB, Class A 1.3%
ASSET DISTRIBUTION BY COUNTRY
United States 50.7%
France 8.0%
Japan 7.9%
Great Britain 7.7%
Netherlands 5.4%
Italy 5.0%
Germany 2.6%
Australia 2.0%
Ireland 1.9%
Other 8.8%
<PAGE>
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES
The Growth Opportunities Series (the "Series") seeks to achieve capital
appreciation. During the period of inception through December 31, 1998, the
Series had a total return of (2.28)%. Over the same time period, the Standard
& Poors 500 Index ("S&P 500") and the Russell Midcap Index had returns of
18.64% and 4.07%, respectively.
Although the Series enjoyed strong performance over the final three months of
the year, it was not enough to offset its third-quarter loss. The narrowness
of the U.S. market in both the third and fourth quarters did not favor the
Fund's strategy. Our investment approach considers not only expected growth
potential but also attractive valuations. We continued to focus on this
disciplined approach, seeking companies in the midst of positive fundamental
change, with both improving earnings growth and reasonable valuations. This
resulted in a portfolio that was concentrated in more cycle-sensitive and
smaller-cap names than the benchmark. Over the second half of the year, the
market's large-cap stocks outperformed midsize stocks. This was true during
the steep third-quarter market correction, when small and mid-sized stocks
lost value disproportionately to large-caps. In the fourth quarter, the
outperformance of a relatively small number of large-cap and Internet stocks
masked much weaker returns in small-caps and cyclicals. In fact, the stocks of
just seven companies--including Microsoft, Intel, Dell and Cisco--accounted
for 77% of market gains in 1998.
At the end of the year, the Series remained fully invested and well
diversified across a broad spectrum of industries. Bearing in mind that we
follow a bottom-up investment approach, our company selections resulted in the
Series being overweighted versus the benchmark in basic materials and
processing, business services and transportation. We were currently
underweighted versus the index financial services, health care and public
utilities.
Looking forward, economic data continues to forecast strength. Low levels of
unemployment, benign inflation and stable to falling interest rates continue
to fuel consumption, the main engine of economic growth. In view of this, we
anticipate continued, albeit more moderate economic expansion through 1999.
Expectations are for 2.5 to 3% growth with modest inflation. At the same time,
consensus expectations are for modest corporate earnings growth of
approximately 4% in 1999. The S&P 500 at 1250 implies price-to-earnings
multiples of 26 times 1999 earnings expectations.
We believe these numbers suggest that we are overdue for a period when rates
of return from stocks regress to the average. After an extraordinary 16-year
period of 18% annualized returns, we expect several years in which stock
returns come in somewhat below the historical average.
In our view, the market outlook for the coming year favors the Series'
fundamental approach to investment over the indexing approach that has been so
successful in the 1998 market. We expect to see a broadening interest in the
market, and the Series may benefit from this trend. Our stock-picking approach
has identified some very interesting companies with promising long-term growth
prospects that are trading at attractive valuations. We believe the Series is
well positioned to take advantage of the returns that these may generate once
the market recognizes their potential.
MONTGOMERY ASSET MANAGEMENT, LLC
- --------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
2/18/1998 (INCEPTION) (2.28)%
- --------------------------------------------------------------------------------
Growth
Opportunity Russell
Series S&P 500 Index Midcap Index
----------- ------------- ------------
2/18/1998 10,000.00 10,000.00 10,000.00
3/98 10,650.00 10,511.67 10,474.28
4/98 10,810.00 10,619.32 10,500.42
5/98 10,430.00 10,437.04 10,175.45
6/98 10,310.00 10,860.67 10,316.38
7/98 9,750.00 10,745.89 9,824.37
8/98 8,140.00 9,193.36 8,252.91
9/98 8,370.00 9,782.81 8,787.02
10/98 9,060.00 10,577.32 9,386.22
11/98 9,600.00 11,218.13 9,830.60
12/98 9,772.06 11,864.15 10,407.13
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 DECEMBER 31, 1998
1. General Motors Corporation 3.6%
2. Dow Chemical Company 3.5%
3. Raychem Corporation 3.4%
4. Golden West Financial Corporation 3.2%
5. Donnelley (R.R.) & Sons Company 3.1%
INDUSTRY BREAKDOWN
Computer Industry 10.5%
Transportation 8.7%
Manufacturing 7.7%
Paper and Forest Products 7.2%
Oil and Gas 6.0%
Retail 5.8%
Financial Services 5.1%
Auto Related 4.8%
Chemicals 4.8%
Other 39.4%
<PAGE>
THE GCG TRUST
DEVELOPING WORLD SERIES
The Developing World Series (the "Series") seeks to achieve capital
appreciation. During the period of inception through December 31, 1998, the
Series had a total return of (26.27)%. Over the same time period, the Morgan
Stanley Capital International Emerging Markets Free Index (the "Index") had a
return of (24.75)%.
Both the losses suffered by the Series and those experienced by the Index were
concentrated in the third quarter of 1998. During this period, all emerging
markets were hit by a tide of extremely negative sentiment which was
exacerbated by the collapse of the Russian ruble and Russia's subsequent
default on its debt. This led investors to pull their funds out of all markets
regardless of fundamentals in preference for what they perceived to be less
risky investments, such as U.S. Treasuries.
By the fourth quarter, following interest rate cuts in the U.S. and Europe,
the specter of a global financial recession began to recede. Investors
reconsidered their emerging markets allocations and poured funds back into
emerging markets. The Asian and European markets benefited most from this
trend. Some of the worst hit Asian economies bottomed out or showed signs of a
fledgling recovery. European investors acknowledged the benefits the emerging
markets would enjoy from their association with the European union.
There were a number of markets that detracted from the Series' performance
during the period. First the Series was underweight in Korea compared to the
Index and absent from Indonesia. These markets recovered rapidly from the
third-quarter sell-off, rebounding by 114% and 126% respectively in the fourth
quarter. In addition, the Series' exposure to Brazil proved a negative
contributor to performance throughout the period even though its weighting was
progressively reduced from overweight to neutral. After the Russian
devaluation, there was a great deal of speculation about the other markets
that might have to devalue their currencies. Because of its large current
account deficit, many investors began to withdraw their investments in Brazil.
We found the turnaround in the fortunes of many of the emerging markets during
the fourth quarter very encouraging. We believe that many of these markets may
continue to register good returns in 1999 if U.S. interest rates remain low
and the U.S. dollar continues to weaken. A stronger or at least a stable Yen
may help bolster fledgling recoveries in the economies of emerging Asia. The
Series is well positioned to take advantage of this trend, with increased
positions in Asian countries.
Meanwhile, lower interest rates and the introduction of the Euro on January 1,
1999 may continue to have a beneficial impact on the economies in emerging
Europe. The only region that we do not expect to do well in the short-term is
Latin America because of the effect of high real interest rates. Even in these
economies there may be some chance of recovery by the second half of the year.
Such an improvement in the prospects for recovery, particularly in Asia,
favors the Series' basic philosophy. If investors shifting emphasis to
fundamentals from market sentiment, active stock picking may prevail. As a
result, we believe that we can expect to see an improvement in performance
moving forward.
MONTGOMERY ASSET MANAGEMENT, LLC
- --------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
2/18/1998 (INCEPTION) (26.27)%
- --------------------------------------------------------------------------------
Morgan Stanley
Developing World Emerging Markets
Series Free Index
---------------- ----------------
2/18/1998 10,000.00 10,000.00
3/98 10,430.00 10,433.96
4/98 10,390.00 10,320.30
5/98 8,950.00 8,906.00
6/98 8,260.00 7,971.79
7/98 8,750.00 8,224.55
8/98 6,040.00 5,846.50
9/98 6,720.00 6,217.38
10/98 7,190.00 6,872.08
11/98 7,870.00 7,443.62
12/98 7,373.02 7,335.74
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 DECEMBER 31, 1998
1. Telecomunicacoes Brasileiras Preferred S.A., ADR (Brazil) 6.8%
2. Commercial Bank of Greece (Greece) 4.6%
3. Liberty Life Association of Africa Ltd. (South Africa) 3.8%
4. Minorco S.A. (Argentina) 3.1%
5. Ceske Radiokomunikace, GDR (Czechoslovakia) 3.1%
ASSET DISTRIBUTION BY REGION
South Africa 10.6%
India 9.9%
Brazil 8.7%
Greece 8.6%
Argentina 6.2%
Portugal 5.3%
Taiwan 5.3%
Israel 4.6%
Mexico 4.6%
Other 36.2%
<PAGE>
THE GCG TRUST
MID-CAP GROWTH SERIES
The Mid-Cap Growth Series (the "Series") seeks to achieve long-term growth of
capital. During the period of inception (August 14, 1998) through December 31,
1998, the Series had a total return of 16.12%. Over the same time period, the
Russell Midcap Index and the Russell 2000 Index had returns of 5.93% and
1.06%, respectively.
1998 was a very unusual year in the market. The U.S. economy has been walking
a fine line between growth, re-accelerating inflationary pressures and
worldwide economic crisis which has been pulling our economy into a recession.
The current "consensus" of the market is that we have attained the best of
both scenarios. Because of the dramatic slowdown in Asia, South America and
Eastern European economies, there is significant excess capacity of all raw
materials, an excess worldwide plant capacity and therefore cheaper "inputs"
to the U.S. economy. This implies little or no inflation. On the other side,
the U.S. economy appears to "robust" with corporate earnings - especially with
the technology sector remaining strong. Therefore, the U.S. Economy is in a
period of good earnings, low inflation, and a high multiple of earnings and
from this a strong stock market.
In 1998, the Series was favorably impacted by investments in technology,
leisure and retailing sectors as well as by a number of "buyouts" by larger
companies. In technology, most of our larger holdings performed very well.
Ascend Communications, a top holding in the Series, was up 168%. Ascend sells
the underlying telecommunication equipment that is the core of the internet.
Software companies such as Compuware, BMC Software, Synopsis and Cadence all
were strong contributors to the Series. In leisure, Gemstar and radio
broadcasters provided great returns. Gemstar was up 135% for the year, and
started the year 1998 as the largest holding in the series. Gemstar owns,
through patents, the software to allow television viewers to interact with
T.V. satellite and cable broadcasters. The company has formed partnerships
with Microsoft, Sony, NBC, Deutsche Telecom, and a number of other large
companies to capitalize on the interactive markets.
Holdings of Jacor Communications, Heftel Broadcasting as well as a number of
other smaller broadcast companies proved very successful, as the consolidation
in the industry continued - and advertising remained strong. Retailing
performed very well with holdings such as Viking Office Products, Rite-Aid,
Fred Meyer, Giant Foods, and Office Depot all providing strong performance.
The Series was hurt by investments in energy, health care, and a number of
smaller technology companies that failed to make their projected earnings. Our
energy holdings consist of deepwater drillers. As a group they were down over
60% last year. The Series took larger positions in energy stocks after a
significant correction in that sector. We believe these stocks will provide
strong returns in 1999. However, the price of crude oil -- at a 30 year low --
needs to stabilize and increase from here for this group to get back on track.
With the market's dramatic recovery from the October lows, we are cautious
about the risks posed by international markets. In addition, we believe the
general slowdown of U.S. multinationals is not appropriately discounted in the
market. In light of this, the Series has increased its weightings in
retailing, energy, business services and health care. We feel this is a more
prudent position given the valuations in the market.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
- --------------------------------------------------------------------------------
TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
8/14/1998 (INCEPTION) 16.12%
- --------------------------------------------------------------------------------
Russell Russell
Mid-Cap Series Midcap Index 2000 Index
-------------- ------------ ----------
8/14/1998 10,000.00 10,000.00 10,000.00
8/98 8,156.89 8,400.45 8,058.20
9/98 9,349.49 8,944.10 8,688.82
10/98 10,338.01 9,554.02 9,043.15
11/98 10,771.68 10,006.35 9,516.94
12/98 11,611.85 10,593.18 10,105.87
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 DECEMBER 31, 1998
1. Ascend Communications, Inc. 8.0%
2. Cytyc Corporation 4.5%
3. Gemstar International Group, Ltd. 4.4%
4. BJ's Wholesale Club, Inc. 3.3%
5. Concentra Managed Care, Inc. 3.0%
INDUSTRY BREAKDOWN
Telecommunications 15.2%
Broadcast, Radio and Television 10.8%
Retail, Trade and Services 9.7%
Medical Supplies & Services 9.1%
Oil & Gas-Equipment & Services 3.4%
Computer Software 8.7%
Computer Services 6.1%
Health Care and Services 5.1%
Financial Services 4.3%
Other 27.6%
<PAGE>
THE GCG TRUST
RESEARCH SERIES
The Research Series (the "Series") seeks to achieve long-term growth of
capital and future income. During the period of inception (August 14, 1998)
through December 31, 1998, the Series had a total return of 14.54%. Over the
same time period, the Standard & Poors 500 Index and the Russell Midcap Index
had returns of 10.41% and 5.93%, respectively.
The roller-coaster ride that the market has been on in the past few months has
been driven by a narrow band of large-capitalization, multinational companies,
while the Series has significant holdings in small and mid-cap stocks. As a
result, this Series does not move in lock-step with the S&P 500, and we feel
this flexibility will better position the Series for long-term growth as the
valuation gap between large and small companies closes.
While volatility bothers some investors, we believe it has created some
compelling bargains for what we feel are fundamentally sound companies. We
tried to take advantage of these during the market's downturn and added to
positions that had shown weaker stock prices, but still demonstrated a sound
fundamental outlook. Now, with share prices rebounding across market
capitalizations, we are paying additional attention to companies' valuations.
If we find instances of valuations that are not supported by stocks'
fundamentals, we will pare back our positions in order to preserve gains for
investors.
Two of our best issues are MCI WorldCom and Lucent Technologies, both of which
have benefited from the growth in demand for data communications products. We
believe MCI WorldCom has achieved the best strategic position in the industry
by focusing on the business market, which was the fastest-growing and most-
profitable segment of the data communications and Internet arena. It is also
expanding internationally and has been successfully taking market share from
larger, more-entrenched European telecommunications companies, many of which
were formerly nationalized industries. Lucent Technologies was the leading
telecommunications equipment supplier in the United States. It continues to
benefit from increased capital spending, as telecommunications companies such
as MCI WorldCom and AT&T spend to accommodate the growth in data and Internet
traffic.
We continue to be overweighted in growth areas such as technology, health
care, and consumer staples. In technology, the Series features Microsoft, our
largest holding, Cisco, Intel, and Oracle. We see positive prospects for
continued earnings growth in these sectors as very positive as the world's
corporations continue to leverage all types of technology to reduce costs and
boost productivity. In health care, our weightings include major
pharmaceutical companies which have strong product pipelines and should
benefit from the worldwide trend toward increased prescription volumes. We
also have large holdings in consumer staples companies which we see as
benefiting from continued consumer confidence in a growing economy.
On the flip side, we are underweighted in a number of cyclical and commodity-
driven industries such as oil, chemical, and paper and forest products. We see
these industries suffering from pricing pressures that have hurt their ability
to generate consistent earnings growth.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
- --------------------------------------------------------------------------------
TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
8/14/1998 (INCEPTION) 14.54%
- --------------------------------------------------------------------------------
Russell
Research Series S&P 500 Index Midcap Index
--------------- ------------- ------------
8/14/1998 10,000.00 10,000.00 10,000.00
8/98 8,839.44 8,555.24 8,400.45
9/98 9,430.99 9,103.77 8,944.10
10/98 10,000.00 9,843.13 9,554.02
11/98 10,704.23 10,439.46 10,006.35
12/98 11,453.64 11,040.64 10,593.18
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 DECEMBER 31, 1998
1. Microsoft Corporation 5.0%
2. Tyco International Ltd. 3.3%
3. MCI WorldCom, Inc. 2.9%
4. United Technologies Corporation 2.4%
5. Oracle Corporation 2.3%
INDUSTRY BREAKDOWN
Computer Software and Services 18.4%
Retail 9.3%
Insurance 7.2%
Telecommunications 6.7%
Consumer Products 6.1%
Medical Products and Supplies 6.0%
Financial Services 5.2%
Manufacturing 4.3%
Banks 4.1%
Other 32.7%
<PAGE>
THE GCG TRUST
TOTAL RETURN SERIES
The Total Return Series (the "Series") seeks to obtain above-average income
(compared to a portfolio invested entirely in equity securities) consistent
with the prudent employment of capital. During the period of inception (August
14, 1998) through December 31, 1998, the Series had a total return of 6.90%.
Over the same time period, the Standard & Poors 500 Index and the Lehman
Brothers Government/Corporate Bond Index ("Lehman") had returns of 10.41% and
4.43%, respectively. The benchmark for the Series (60% S&P 500, 40% Lehman)
had a return of 8.09% for the same period.
The Series benefited from the strong equity market in 1998 and from a rise in
the bond market. However, it was a volatile year in both markets. Equity
returns varied widely based on "style." We believe, as "value" managers, that
we focus more on financial services, basic industry, and energy and utilities
companies, while growth managers are more focused on technology and health
care companies. Although we had many stocks appreciate dramatically in 1998,
it was the technology and health care sectors, groups that we have
historically underweighted, that led the market to new heights.
On the fixed-income side, U.S. Treasuries performed much better than corporate
debt. As economic and political turmoil spread throughout the Far East and
Latin America during 1998, there was a "flight to safety" that pushed up
prices on U.S. Treasuries. At the same time, bonds issued by U.S. corporations
did not keep pace because investors feared that corporate earnings would be
hampered by these global problems. Because the Series tends to hold more
corporate bonds than Treasuries, our return on the fixed-income side, although
strong, did not match the return of an "all-Treasuries" portfolio.
At the end of the year, the Series' allocation consisted of 52% equities
(including convertible securities), 38% bonds, and 10% cash. This allocation
is consistent with prior years and is somewhat conservative. We continue to
have difficulty finding value in the equity markets because price-to-earnings
ratios are very high and dividend yields are at historical lows. However, we
do believe the insurance and the utilities and communications sectors offer
good risk/reward ratios, and we have major allocations in those sectors.
Our goal for the coming year is to follow through with our value-oriented
style. We believe that our conservative stance offers the potential for good
returns should the equity and bond markets rise, while our balanced approach
can offer support should these markets undergo corrections.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
- --------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
8/14/1998 (INCEPTION) 6.90%
- --------------------------------------------------------------------------------
60% S&P 500/
Lehman 40% Lehman
Intermediate Intermediate
Total Return Govt./Corporate Govt./
Series S&P 500 Index Index Corporate Index
------------ ------------- --------------- ---------------
8/14/1998 10,000.00 10,000.00 10,000.00 10,000.00
8/98 9,623.66 8,555.24 10,157.15 9,211.31
9/98 10,000.00 9,103.77 10,412.32 9,657.03
10/98 10,221.77 9,843.13 10,402.07 10,071.03
11/98 10,483.87 10,439.46 10,401.28 10,453.65
12/98 10,690.33 11,040.64 10,443.07 10,824.62
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 DECEMBER 31, 1998
1. U.S. Treasury Obligations due through 11/15/2027
ranging from 4.750% to 9.875% 13.6%
2. International Business Machines Corporation 1.3%
3. GTE Corporation 1.2%
4. Equitable Companies, Inc. 1.2%
5. Allied Signal, Inc. 1.1%
ASSET ALLOCATION
Common Stocks 50.5%
Corporate Bonds and Notes 17.0%
U.S. Treasury Obligations 13.6%
Short Term Investments 10.0%
U.S. Government and Agency Securities 6.1%
Preferred Stocks 1.6%
Obligations 1.0%
Foreign Government Bonds 0.2%
<PAGE>
THE GCG TRUST
GROWTH & INCOME SERIES
The Growth & Income Series (the "Series") seeks to achieve high long-term
total return. During the period of inception (August 14, 1998) through
December 31, 1998, the Series had a total return of 10.19%. Over the same time
period, the Russell Midcap Index and the Russell 2000 Index had total returns
of 5.93% and 1.06%, respectively.
Having endured a strong market decline in the summer, we positioned the Series
in a defensive posture entering the fourth quarter. We expanded our weighting
to convertible, preferred and utility shares. That conservative strategy
hindered our fourth quarter results, as many stocks rallied strongly from
their summer lows. Looking back on the volatility of 1998, particularly the
sharp decline of small and mid-cap stocks in the middle of the year, we are
pleased to finish over 10% for the period.
Our fourth quarter performance resulted from generally strong performance in
areas we have favored for some time, and in select new ideas for the Series.
We have maintained a significant overweight exposure to the cable TV/media
sector. Positions in TCI Group, Aldelphia Communications, and Comcast
Corporation boosted fourth quarter returns.
Our bottom-up research effort led us to an interesting spin-off opportunity in
a company called America Bank Note Holographics, Inc. This company is the
industry leader in hologram applications on credit and transaction cards. The
company is extending their holographic technology to product authentication
for a broad range of business and retail applications. We were attracted to
their strong, topline growth rates and the growth potential created by the
product authentication services. Investors recognized the same opportunity and
the stock rose over 100% in the fourth quarter.
Our roughly market weighted technology allocations in the fourth quarter
produced generally positive results. We enjoyed strong performance from Sun
Microsystems, Inc., a leader in enterprise networking products. Leveraging
their Java suite of products, Sun is playing a significant role in the rapid
development of Internet applications. We also recognized strong gains from
3Com Corporation, a leader in network based solutions to businesses and
institutions.
We have maintained a modest weighting in energy related issues throughout the
period. Our stocks in this Sector did not meet expectations in 1998 and
detracted from performance in the fourth quarter.
Looking forward, we maintain some optimism that small and mid-cap stocks may
catch up to large-cap stocks in 1999 after four years of general
underperformance. The deflationary forces of excess global capacity, coupled
with slowing demand from most energy markets, have already had a negative
effect on the profits of some large-cap multinational companies.
ROBERTSON, STEPHENS & COMPANY INVESTMENT MANAGEMENT, L.P.
- --------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
8/14/1998 (INCEPTION) 10.19%
- --------------------------------------------------------------------------------
Growth & Russell Russell
Income Series Midcap Index 2000 Index
------------- ------------ ----------
8/14/1998 10,000.00 10,000.00 10,000.00
8/98 8,602.53 8,400.45 8,058.20
9/98 9,241.57 8,944.10 8,688.82
10/98 9,655.90 9,554.02 9,043.15
11/98 10,105.34 10,006.35 9,516.94
12/98 11,018.51 10,593.18 10,105.87
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 DECEMBER 31, 1998
1. MediaOne Group, Inc. 1.9%
2. Newbridge Networks Corporation 1.9%
3. American Bank Note Holographics, Inc. 1.8%
4. Sun Microsystems, Inc. 1.6%
5. Tele-Communications, Inc. 1.6%
INDUSTRY BREAKDOWN
Telecommunications 18.8%
Computer Industry 16.1%
Retail 10.6%
Services 7.4%
Financial Services 7.1%
Broadcast, Radio and Television 3.7%
Pharmaceuticals 3.2%
Printing and Forms 3.0%
Other Equity Securities 18.9%
Other 11.2%
<PAGE>
THE GCG TRUST
VALUE + GROWTH SERIES
The Value + Growth Series (the "Series") seeks to achieve capital
appreciation. During the period of inception (August 14, 1998) through
December 31, 1998, the Series had a total return of 14.60%. Over the same time
period, the Standard & Poors 500 Index and the Russell Midcap Index had total
returns of 10.41% and 5.93%, respectively.
Fueled by three interest rate cuts by the Federal Reserve, equity investors'
appetite for growth stocks returned in the fourth quarter. We took advantage
of the late summer volatility to position the Series to take advantage of a
growth stock rally. Coming out of third quarter 1998, we maintained an
overweighted allocation to technology, consumer services, and healthcare.
Our technology positions provided a solid source of return. Inventory excess
that plagued both the semiconductor and personal computer makers for much of
1998 finally broke in the fourth quarter. We have seen semiconductor price
increases as demand for microprocessors and memory chips outstrips supply.
Semiconductor companies like Intel Corporation, Micron Technology, and Texas
Instruments provided strong positive returns. Software leaders Microsoft and
Oracle also added to sub-account returns.
Two PC/Consumer electronics retailers, CompUSA, Inc. and Tandy Corporation,
the large consumer electronics retailer (under the Radio Shack brand),
declined significantly in the quarter, detracting from the Series'
performance. Neither company successfully executed their strategy for the
critical holiday selling season.
A significant overweighing in the retail sector enhanced performance in the
quarter. Discount retailer, Costco Companies and electronics retailer, Best
Buy Company, Inc. both rose strongly in fourth quarter 1998. Major drug store
retailers, CVS Corporation and Walgreen Company, which have produced solid
returns throughout 1998, continued their strong performance.
Despite the sharp run-up in stock prices in fourth quarter 1998, we remain
optimistic about the investment opportunity in 1999. Rate cuts by the Fed have
created a positive backdrop for equities. We see significant opportunity in
the technology area and are looking for selected opportunities in financial
services.
ROBERTSON, STEPHENS & COMPANY INVESTMENT MANAGEMENT, L.P
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
8/14/1998 (INCEPTION) 14.60%
- --------------------------------------------------------------------------------
Value & Growth Russell
Series S&P 500 Index Midcap Index
-------------- ------------- ------------
8/14/1998 10,000.00 10,000.00 10,000.00
8/98 8,252.31 8,555.24 8,400.45
9/98 9,281.00 9,103.77 8,944.10
10/98 9,611.15 9,843.13 9,554.02
11/98 10,366.84 10,439.46 10,006.35
12/98 11,460.01 11,040.64 10,593.18
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 DECEMBER 31, 1998
1. Micron Technology, Inc. 4.9%
2. Intel Corporation 4.5%
3. MCI WorldCom, Inc. 3.9%
4. Safeway, Inc. 3.5%
5. Compaq Computer Corporation 3.2%
INDUSTRY BREAKDOWN
Retail 26.7%
Semiconductors 16.0%
Computer Industry 15.5%
Financial Services 13.1%
Pharmaceuticals 8.7%
Telecommunications 6.6%
Services 4.9%
Banks 4.3%
Supermarket Chains 4.2%
<PAGE>
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
The Global Fixed Income Series (the "Series") seeks to provide a high total
return. During the period of inception (August 14, 1998) through December 31,
1998, the Series had a total return of 7.99%. Over the same time period, the
Merrill Lynch Global Government Bond Index II had a total return of 11.61%.
As a result of our absence from the Japanese bond market and currency, the
Series underperformed the benchmark. However, Japanese bonds performed
negatively in local currency terms during the period.
Most of the return came from our positioning in European bonds and currencies
and the slightly longer than benchmark duration exposure.
During the week of October 5th, the Yen strengthened by over 15%. This move,
in the wake of Russia's default, was caused by investors' reduction of
holdings in riskier investments. During the later part of October, Sterling
and the Deutschemark both depreciated slightly against the Dollar. Sterling
seemed to be overpriced, and we expect equilibrium once the Euro currency is
established.
Interest rate cuts in the US and UK were beneficial to the Series' positions.
Towards the end of the year, positions were added in the US as European
markets outperformed. The year ended with our bond position equally weighted
between the US and Europe. The European exposure was weighted toward what has
become "Euro" investments. This illustrated our view that the advent of the
Euro would be well received by investors. The average duration of the Series
was 6.2 years and the average credit quality AAA. In light of the global
financial turmoil, we are not keen to add credit risk to this Series.
Currency exposure was similar to bonds in that the Series ended the year with
a 45% exposure to the Euro. A small position in Yen in the forward market was
added as a risk reduction measure. As of this writing, the US Dollar is not
trading well due to concerns about growth in Latin America and future
financing of the growing current account deficit. The Dollar exposure has
begun to be reduced, ending the year at 43% of the Series. We expect this
reduction to continue in 1999.
We are forecasting a weaker dollar in the months ahead and positive
performance from European bonds in the face of economic slowdown and the build
up of deflationary focus. Global bonds should continue to perform well as we
go into 1999.
BARING INTERNATIONAL INVESTMENT LIMITED
- --------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
8/14/1998 (INCEPTION) 7.99%
- --------------------------------------------------------------------------------
Merrill Lynch
Global Fixed Global Government
Income Series Bond Index
------------- -----------------
8/14/1998 10,000.00 10,000.00
8/98 10,248.33 10,290.16
9/98 10,725.88 10,790.80
10/98 10,678.13 11,134.29
11/98 10,639.92 10,971.78
12/98 10,798.54 11,155.67
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 DECEMBER 31, 1998
1. U.S. Treasury Obligations due through 11/15/2027
ranging from 4.750% to 7.250% (United States) 46.6%
2. Netherlands Government, 5.500% due 01/15/2028
(Netherlands) 8.8%
3. Dutch Government, 6.000% due 01/15/2006 (Netherlands) 4.8%
4. Bundesrepublik, 6.000% due 01/04/2007 (Germany) 4.2%
5. Government of France, 5.500% due 04/25/2029 (France) 4.0%
ASSET DISTRIBUTION BY REGION
United States 53.8%
Netherlands 13.6%
Germany 13.2%
France 11.8%
United Kingdom 5.8%
Denmark 1.8%
<PAGE>
THE GCG TRUST
MARKET MANAGER SERIES
The objective of the Market Manager Series (the "Series") is to seek favorable
equity market performance and at the same time preserve capital. For the year
ended December 31, 1998, the Series had a total return of 24.55%. Over the
same period, the Standard & Poors 500 Index and Russell Midcap Index had
annual returns of 28.58% and 10.09%, respectively.
The Series began operations on November 14, 1994. At that time, all funds were
invested in short-term money market securities. On March 6, 1995, the Series
was closed to further investment, and the 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.
The accompanying line graph compares the growth of a $10,000 investment in the
Series to similar investments in the Standard & Poors 500 Index and the
Russell Midcap Index. As the graph illustrates, Series returns have been very
similar to the returns in the U.S. equity market.
ING INVESTMENT MANAGEMENT, LLC
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 24.55%
10/14/1994 (INCEPTION) 24.60%
- --------------------------------------------------------------------------------
Limited Market Russell
Manager Series S&P 500 Index Midcap Index
-------------- ------------- ------------
11/14/1994 10,000.00 10,000.00 10,000.00
12/94 10,020.00 9,778.93 9,682.96
3/95 10,070.00 10,730.02 10,690.79
6/95 11,050.00 12,142.46 11,585.33
9/95 12,000.00 12,686.20 12,612.56
12/95 12,457.69 13,449.33 13,019.17
3/96 13,099.73 14,171.06 13,802.71
6/96 13,472.53 14,806.25 14,191.71
9/96 13,847.80 15,264.08 14,636.23
12/96 14,874.91 16,535.28 15,492.76
3/97 14,953.67 16,979.55 15,365.91
6/97 17,474.08 19,941.09 17,450.40
9/97 19,646.30 21,434.63 19,768.14
12/97 19,906.14 22,049.96 19,987.28
3/98 22,528.86 25,123.52 22,146.96
6/98 22,613.47 25,957.64 21,813.09
9/98 19,857.79 23,381.48 18,579.38
12/98 24,577.42 28,356.01 22,004.98
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, Equitable Investment Services, 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 DECEMBER 31, 1998
1. S&P 500 European 34.9%
2. U.S. Treasury Strip, 3.032% due 02/15/2001 32.2%
3. S&P Midcap Companies Index 400 European 27.9%
4. Cabco (Texas Capital), zero coupon due 10/01/2001 3.0%
5. Philip Morris Companies, Inc., 6.000% due 07/15/2001 2.0%
INDUSTRY BREAKDOWN
U.S. Treasury Obligations 32.4%
Call Options Purchased 62.6%
Corporate Bonds and Notes 5.0%
<PAGE>
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 year ended December 31, 1998, the Series had a total return of 5.13%.
The second half of 1998 was tumultuous for both the equity and bond markets.
The economic crisis and uncertainty in emerging markets caused the stock
market to sell off dramatically in the 3rd quarter. The U.S. Treasury bond
market rallied significantly during the period as the yield on the 30-year
Treasury bond (which moves in opposite direction to prices) went from a high
of 5.77% at the end of July to a low of 4.72% in October reflecting an
investor flight-to-quality. In response to financial strain abroad and the
resulting impact on the domestic economy as well as reduced access to credit
for lower-quality borrowers, the Federal Reserve Board began lowering interest
rates in late September. By mid-November, after three quarter-point easings,
the Federal Reserve had restored confidence to the markets and the Federal
Funds Rate target stood at 4.75%.
Money market funds reported large inflows in the second half of 1998
reflecting volatility in the equity and bond markets and investors' flight to
relatively safe and liquid investments. The Series' net assets increased
significantly during the 3rd quarter only to decline again by year-end as
the financial markets stabilized. In September, when the probability of a
Federal Funds Rate ease increased, the average maturity of the Series was
significantly extended. After a peak of 72 days in October, the Series'
average maturity declined to less than 40 days at year-end as cash from
maturing investments was needed to meet redemptions.
Going forward, the portfolio manager currently believes interest rates will
remain unchanged for the foreseeable future. Subject to liquidity
requirements, we expect to position the Series at points along the yield curve
representing value. As the economic environment changes and interest rate
moves appear imminent, we plan to adjust the average maturity of the Series
will be adjusted accordingly (shortened to reflect a bias towards rising rates
or lengthened to reflect an easing bias).
ING INVESTMENT MANAGEMENT, LLC
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1998
1 YEAR 5.13%
5 YEAR 4.88%
1/24/1989 (INCEPTION) 5.15%
- --------------------------------------------------------------------------------
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 OR GUARANTEED BY THE U.S. GOVERNMENT. THERE CAN BE NO ASSURANCE THAT
THE LIQUID ASSET SERIES WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF
$1.00 PER SHARE.
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1998
1. FNMA, 5.300% due 03/08/1999 6.8%
2. FHLMC, 5.185% due 01/07/1999 2.4%
3. Xerox Credit Corporation, 5.259% due 10/21/1999 2.4%
4. Merrill Lynch, Pierce, Fenner & Smith, Inc.,
5.478% due 01/04/1999 2.4%
5. American Express Corporation, 5.114% due 01/05/1999 2.4%
INDUSTRY BREAKDOWN
Security Brokerage 12.1%
Financial Services 18.3%
Food and Kindred Products 8.3%
Chemicals 3.5%
Misc. Business Credit Institutions 5.2%
Construction Machinery & Equipment 2.9%
Other 49.7%
<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.
Wilshire Real Estate Securities Index -- an equity index consisting of
real estate investment trusts (REITs) and real estate operating companies
(REOCs).
<PAGE>
<TABLE>
- --------------------------------------------
Statement of Assets and Liabilities
- --------------------------------------------
THE GCG TRUST
DECEMBER 31, 1998
<CAPTION>
LIMITED
MULTIPLE FULLY MATURITY HARD REAL
ALLOCATION MANAGED BOND ASSETS ESTATE
SERIES SERIES SERIES SERIES SERIES
------------ ------------ ------------ ----------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost .......... $255,209,603 $232,592,616 $147,570,696 $35,524,506 $71,206,633
============ ============ ============ =========== ===========
At value (a) .................. $275,405,425 $245,042,432 $149,109,621 $30,706,816 $68,170,526
Cash, including foreign
currency, at value .......... 162,283 -- 633,720 214,560 81,073
Receivables:
Shares of beneficial
interest sold ............... 79,585 534,075 11,534 259,414 196,086
Investment securities sold .. -- 642,562 -- 240,037 843,857
Receivable for forward
foreign currency contracts
(Note 1) .................. -- -- -- -- --
Dividends and/or interest ... 2,426,546 1,458,428 1,862,745 105,099 619,841
Other assets .................. 651 495 5,716 -- --
------------ ------------ ------------ ----------- -----------
Total Assets .............. 278,074,490 247,677,992 151,623,336 31,525,926 69,911,383
------------ ------------ ------------ ----------- -----------
LIABILITIES:
Payables:
Shares of beneficial
interest redeemed ......... -- 112 3,138,941 26 --
Investment securities
purchased ................... -- 1,367,509 -- 995,947 --
Payable for forward foreign
currency contracts (Note 1) ... -- -- -- -- --
Cash overdraft, including
foreign currency, at value .. -- 114,721 -- -- --
Accrued expenses and other
payables .................... -- -- 58,228 -- --
------------ ------------ ------------ ----------- -----------
Total Liabilities ......... -- 1,482,342 3,197,169 995,973 --
------------ ------------ ------------ ----------- -----------
NET ASSETS .................... $278,074,490 $246,195,650 $148,426,167 $30,529,953 $69,911,383
============ ============ ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital ............... $250,328,677 $227,210,873 $145,825,120 $43,470,357 $69,995,999
Undistributed net investment
income/(loss) ............... 2,473,654 1,239,785 1,161,736 190,936 1,374,315
Accumulated net realized
gain/ (loss) on securities,
futures contracts, written
options, forward foreign
currency exchange contracts
and foreign currency
transactions ................ 5,076,300 5,283,538 (99,614) (8,319,952) 1,577,176
Net unrealized appreciation/
(depreciation) on
securities, futures
contracts, written options,
forward foreign currency
exchange contracts and
other assets and
liabilities denominated in
foreign currencies .......... 20,195,859 12,461,454 1,538,925 (4,811,388) (3,036,107)
------------ ------------ ------------ ----------- -----------
Total Net Assets .......... $278,074,490 $246,195,650 $148,426,167 $30,529,953 $69,911,383
============ ============ ============ =========== ===========
Shares of beneficial
interest outstanding ........ 21,955,949 16,165,041 13,900,828 3,180,057 5,146,603
============ ============ ============ =========== ===========
NET ASSET VALUE, offering
price and redemption
price per share of
beneficial interest
outstanding ................. $ 12.67 $ 15.23 $ 10.68 $ 9.60 $ 13.58
============ ============ ============ =========== ===========
- ------------
(a) The All-Growth Series, Emerging Markets Series and the Managed Global
Series include repurchase agreements amounting to $4,461,533, $782,000 and
$3,083,000, respectively.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
ALL- CAPITAL RISING EMERGING VALUE STRATEGIC SMALL
GROWTH APPRECIATION DIVIDENDS MARKETS EQUITY EQUITY CAP
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
- ------------------- ---------------- ---------------- --------------- ---------------- --------------- ----------------
<S> <C> <C> <C> <C> <C> <C>
$ 74,435,416 $211,469,873 $482,944,485 $28,185,555 $124,121,664 $68,542,135 $112,269,801
============ ============ ============ =========== ============ =========== ============
$ 85,081,176 $266,584,934 $572,788,821 $26,279,067 $129,671,968 $73,445,932 $143,673,105
6,228 -- -- -- 7,518 -- 41,447
61,894 381,730 1,979,721 145,242 277,736 160,103 1,564,659
4,034,379 -- -- 330,095 56,614 -- 2,388,624
-- -- -- -- -- -- --
56,196 296,844 547,383 162,610 189,198 98,718 28,858
-- -- -- 11,735 -- 7,236 --
------------ ------------ ------------ ----------- ------------ ----------- ------------
89,239,873 267,263,508 575,315,925 26,928,749 130,203,034 73,711,989 147,696,693
------------ ------------ ------------ ----------- ------------ ----------- ------------
44 -- -- 23 112 7 247
5,309,505 2,091,059 -- 139,659 418,425 -- --
-- -- -- 45,387 -- -- --
-- 1,858,957 472,760 715,449 -- 451,369 --
-- -- -- -- -- -- --
------------ ------------ ------------ ----------- ------------ ----------- ------------
5,309,549 3,950,016 472,760 900,518 418,537 451,376 247
------------ ------------ ------------ ----------- ------------ ----------- ------------
$ 83,930,324 $263,313,492 $574,843,165 $26,028,231 $129,784,497 $73,260,613 $147,696,446
============ ============ ============ =========== ============ =========== ============
$ 68,508,288 $204,134,905 $476,113,662 $48,984,506 $122,086,421 $69,001,928 $119,225,126
-- 459,203 694,837 (32,732) 358,723 223,959 --
4,776,276 3,604,323 8,190,330 (20,942,153) 1,789,049 (824,849) (2,931,984)
10,645,760 55,115,061 89,844,336 (1,981,390) 5,550,304 4,859,575 31,403,304
============ ============ ============ =========== ============ =========== ============
$ 83,930,324 $263,313,492 $574,843,165 $26,028,231 $129,784,497 $73,260,613 $147,696,446
============ ============ ============ =========== ============ =========== ============
5,600,724 14,559,178 26,115,381 3,896,288 8,174,853 5,713,883 9,214,924
============ ============ ============ =========== ============ =========== ============
$ 14.99 $ 18.09 $ 22.01 $ 6.68 $ 15.88 $ 12.82 $ 16.03
============ ============ ============ =========== ============ =========== ============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- --------------------------------------------
Statement of Assets and Liabilities
- --------------------------------------------
THE GCG TRUST
DECEMBER 31, 1998
<CAPTION>
MANAGED GROWTH DEVELOPING MID-CAP
GLOBAL OPPORTUNITIES WORLD GROWTH
SERIES SERIES SERIES SERIES
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost ........... $108,884,178 $ 7,969,882 $ 8,260,361 $226,075,563
============ =========== ============ ============
At value (a) ................. $134,386,101 $ 8,424,737 $ 7,618,880 $252,415,235
Cash, including foreign
currency, at value ........... 33,113 518,580 1,125,770 --
Receivables:
Shares of beneficial
interest sold .............. 831,624 108,324 7,756 1,179,619
Investment securities
sold ....................... 263,959 21,750 20,789 917,969
Receivable for forward
foreign currency
contracts (Note 1) ......... 1,076 -- -- --
Dividends and/or interest .... 244,542 60,152 23,785 216,839
Other assets ................. -- -- -- --
------------ ----------- ------------ ------------
Total Assets ............... 135,760,415 9,133,543 8,796,980 254,729,662
------------ ----------- ------------ ------------
LIABILITIES:
Payables:
Shares of beneficial
interest redeemed .......... 7 3 12 57,826
Investment securities
purchased .................. 1,669,099 42,624 -- 2,393,634
Payable for forward currency
contracts
(Note 1) .................... -- -- -- --
Cash overdraft, including
foreign currency, at
value ........................ -- -- -- 154,835
Accrued expenses and other
payables ..................... 13,521 -- -- 101,551
------------ ----------- ------------ ------------
Total Liabilities .......... 1,682,627 42,627 12 2,707,846
------------ ----------- ------------ ------------
NET ASSETS ..................... $134,077,788 $ 9,090,916 $ 8,796,968 $252,021,816
============ =========== ============ ============
NET ASSETS CONSIST OF:
Paid-in Capital ................ $102,840,394 $ 9,240,102 $ 10,362,689 $219,861,145
Undistributed net investment
income/(loss) ................ (94,561) 15,917 285,858 43,708
Accumulated net realized
gain/(loss) on securities,
futures contracts, written
options, forward foreign
exchange contracts and
foreign currency
transactions ................. 5,824,907 (619,958) (1,216,827) 5,777,291
Net unrealized appreciation/
(depreciation) on
securities, futures
contracts, written
options, forward foreign
exchange contracts and
other assets and
liabilities denominated in
foreign currencies ........... 25,507,048 454,855 (634,752) 26,339,672
------------ ----------- ------------ ------------
Total Net Assets ........... $134,077,788 $ 9,090,916 $ 8,796,968 $252,021,816
============ =========== ============ ============
Shares of beneficial
interest outstanding ......... 9,452,024 936,299 1,193,535 13,925,412
============ =========== ============ ============
NET ASSET VALUE, offering
price and redemption price
per share of beneficial
interest outstanding ......... $ 14.19 $ 9.71 $ 7.37 $ 18.10
============ =========== ============ ============
- ------------
(a) The All-Growth Series, Emerging Markets Series and the Managed Global Series include repurchase
agreements amounting to $4,461,533, $782,000 and $3,083,000, respectively.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
GLOBAL
TOTAL GROWTH & VALUE + FIXED MARKET LIQUID
RESEARCH RETURN INCOME GROWTH INCOME MANAGER ASSET
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------ ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
$536,643,640 $426,381,137 $238,996,100 $179,954,843 $19,216,118 $3,890,281 $212,882,596
============ ============ ============ ============ =========== ========== ============
$619,633,633 $450,527,770 $277,859,786 $224,738,105 $20,325,148 $8,097,182 $212,882,326
-- -- 20,767,206 1,576,289 762,738 55,634 971
981,184 1,376,368 3,285 2,951,202 317,694 -- 43,447
3,551,476 -- 11,458,455 1,871,551 -- -- --
-- -- -- -- 53,137 -- --
437,563 3,041,754 966,045 136,091 473,663 4,567 222,519
2,476 8,222 -- -- 13,561 -- --
------------ ------------ ------------ ------------ ----------- ---------- ------------
624,606,332 454,954,114 311,054,777 231,273,238 21,945,941 8,157,383 213,149,263
------------ ------------ ------------ ------------ ----------- ---------- ------------
106,555 65,108 1,174,326 28,065 4,100 -- 1,341,179
9,923,574 1,345,085 10,932,536 -- -- -- --
-- 203 -- -- -- -- --
601,791 363,153 -- -- -- -- --
203,010 87,701 109,215 28,792 9,834 17,950 78,264
------------ ------------ ------------ ------------ ----------- ---------- ------------
10,834,930 1,861,250 12,216,077 56,857 13,934 17,950 1,419,443
------------ ------------ ------------ ------------ ----------- ---------- ------------
$613,771,402 $453,092,864 $298,838,700 $231,216,381 $21,932,007 $8,139,433 $211,729,820
============ ============ ============ ============ =========== ========== ============
$538,177,083 $428,847,791 $271,785,482 $201,010,672 $20,945,825 $3,932,814 $211,734,322
-- 1,240,197 406,306 -- (155,040) -- --
(7,371,953) (1,140,503) (12,264,657) (14,577,553) (21,282) (282) (4,232)
82,966,272 24,145,379 38,911,569 44,783,262 1,162,504 4,206,901 (270)
------------ ------------ ------------ ------------ ----------- ---------- ------------
$613,771,402 $453,092,864 $298,838,700 $231,216,381 $21,932,007 $8,139,433 $211,729,820
============ ============ ============ ============ =========== ========== ============
30,220,490 28,678,648 19,128,356 14,800,154 1,963,382 414,866 211,740,203
============ ============ ============ ============ =========== ========== ============
$ 20.31 $ 15.80 $ 15.62 $ 15.62 $ 11.17 $ 19.62 $ 1.00
============ ============ ============ ============ =========== ========== ============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Statement of Operations
- ---------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1998
<CAPTION>
LIMITED
MULTIPLE FULLY MATURITY HARD REAL
ALLOCATION MANAGED BOND ASSETS ESTATE
SERIES SERIES SERIES SERIES SERIES
----------- ----------- ---------- ------------ ------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Dividends ......... $ 2,635,488 $ 2,519,930 $ 8,651 $ 833,610 $ 4,577,076
Interest .......... 9,780,425 5,426,371 5,346,135 296,233 143,974
Foreign taxes
withheld on
dividend and
interest income . (3,798) (20,726) -- (9,576) --
Other income ...... 650 31,974 21,538 12,958 5,582
----------- ----------- ---------- ------------ ------------
Total
Investment
Income .......... 12,412,765 7,957,549 5,376,324 1,133,225 4,726,632
----------- ----------- ---------- ------------ ------------
EXPENSES:
Unified fees
(Note 2) ........ 2,628,164 2,036,662 554,541 370,049 738,372
Trustees' fees
and expenses
(Note 2) ........ 9,269 9,269 9,269 9,269 9,269
Other ............. -- -- -- -- 2,455
----------- ----------- ---------- ------------ ------------
Total
Expenses ........ 2,637,433 2,045,931 563,810 379,318 750,096
----------- ----------- ---------- ------------ ------------
NET INVESTMENT
INCOME/(LOSS) ... 9,775,332 5,911,618 4,812,514 753,907 3,976,536
----------- ----------- ---------- ------------ ------------
NET REALIZED AND
UNREALIZED
GAIN/(LOSS) ON
INVESTMENTS AND
FOREIGN
CURRENCIES
(NOTES 1 AND 3):
Net realized
gain/(loss) from:
Security
transactions .... 21,147,780 17,618,491 245,793 (6,448,360) 3,671,935
Futures
contracts ....... -- -- -- 6,026 --
Written options . -- -- 28,943 --
Forward foreign
currency exchange
contracts ..... -- (172) -- 101,317 --
Foreign currency
transactions .... 4,418 (295,013) -- 74,159 --
Net change in
unrealized
appreciation/
(depreciation) on:
Securities ...... (9,697,373) (12,178,048) 981,576 (7,472,023) (19,233,132)
Futures
contracts ....... -- -- -- 4,406 --
Written options . -- -- -- -- --
Forward foreign
currency exchange
contracts ....... -- -- -- -- --
Other assets and
liabilities
denominated
in foreign
currencies .... (13) 11,779 -- 9,920 --
----------- ----------- ---------- ------------ ------------
Net realized
and unrealized
gain/(loss) on
investments ... 11,454,812 5,157,037 1,227,369 (13,695,612) (15,561,197)
----------- ----------- ---------- ------------ ------------
NET INCREASE/
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS ...... $21,230,144 $11,068,655 $6,039,883 $(12,941,705) $(11,584,661)
=========== =========== ========== ============ ============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
ALL- CAPITAL RISING EMERGING VALUE STRATEGIC SMALL
GROWTH APPRECIATION DIVIDENDS MARKETS EQUITY EQUITY CAP
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
---------- ----------- ----------- ----------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 65,933 $ 3,335,911 $ 5,868,862 $ 701,982 $2,084,461 $1,032,421 $ 240,504
286,208 963,721 1,000,474 45,517 539,767 509,287 394,591
(110) (1,688) (39,976) (32,074) (12,868) (1,735) --
-- 419 19,627 133,641 13,055 4,584 551
---------- ----------- ----------- ----------- ---------- ---------- -----------
352,031 4,298,363 6,848,987 849,066 2,624,415 1,544,557 635,646
---------- ----------- ----------- ----------- ---------- ---------- -----------
723,616 2,170,004 3,933,978 559,306 1,033,315 614,438 922,032
9,269 9,269 9,269 9,269 9,269 9,269 9,269
-- -- -- 15,692 -- -- 4,206
---------- ----------- ----------- ----------- ---------- ---------- -----------
732,885 2,179,273 3,943,247 584,267 1,042,584 623,707 935,507
---------- ----------- ----------- ----------- ---------- ---------- -----------
(380,854) 2,119,090 2,905,740 264,799 1,581,831 920,850 (299,861)
---------- ----------- ----------- ----------- ---------- ---------- -----------
6,801,670 13,189,628 19,244,423 (9,629,219) 1,549,364 2,036,838 1,277,047
-- -- -- -- -- (522,587) --
-- -- -- -- 655,001 -- --
-- -- -- 1,459 -- (149) --
4 -- -- (608,083) -- -- --
732,283 10,657,145 24,693,039 802,433 (2,995,594) (2,405,723) 20,807,299
-- -- -- -- -- (61,954) --
-- -- -- -- 21,727 -- --
-- -- -- (45,387) -- -- --
-- -- -- 354,817 -- -- --
---------- ----------- ----------- ----------- ---------- ---------- -----------
7,533,957 23,846,773 43,937,462 (9,123,980) (769,502) (953,575) 22,084,346
---------- ----------- ----------- ----------- ---------- ---------- -----------
$7,153,103 $25,965,863 $46,843,202 $(8,859,181) $ 812,329 $ (32,725) $21,784,485
========== =========== =========== =========== ========== ========== ===========
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Statement of Operations
- ---------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1998
<CAPTION>
MANAGED GROWTH DEVELOPING MID-CAP
GLOBAL OPPORTUNITIES WORLD GROWTH
SERIES SERIES* SERIES* SERIES*
----------- --------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ...................... $ 1,186,218 $ 97,577 $ 106,674 $ 113,428
Interest ....................... 169,688 56,124 17,557 719,231
Foreign taxes withheld on
dividend and interest income . (99,130) (67) (1,743) --
Other income/(loss) ............ 28,208 -- 14,090 (13)
----------- --------- ----------- -----------
Total Investment Income .... 1,284,984 153,634 136,578 832,646
----------- --------- ----------- -----------
EXPENSES:
Unified fees (Note 2) .......... 1,476,351 78,500 94,921 708,271
Trustees fees and expenses
(Note 2) ..................... 9,269 3,989 3,989 6,105
Other .......................... 314 -- -- 3,428
----------- --------- ----------- -----------
Total Expenses ............. 1,485,934 82,489 98,910 717,804
----------- --------- ----------- -----------
NET INVESTMENT INCOME/(LOSS) ... (200,950) 71,145 37,668 114,842
----------- --------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) from:
Security transactions ........ 10,933,107 (619,958) (1,216,827) 7,216,351
Futures contracts ............ -- -- -- --
Written options .............. -- -- -- (76,800)
Forward foreign currency
exchange contracts ........... 20,410 -- -- --
Foreign currency
transactions ................. 331,602 8 251,740 --
Net change in unrealized
appreciation/(depreciation) on:
Securities ................... 19,404,390 454,855 (641,481) 26,339,672
Futures contracts ............ -- -- -- --
Written options .............. -- -- -- --
Forward foreign currency
exchange contracts ........... (333,538) -- -- --
Other assets and liabilities
denominated in foreign
currencies ................... 85,730 -- 6,729 --
----------- --------- ----------- -----------
Net realized and unrealized
gain/(loss) on
investments ................ 30,441,701 (165,095) (1,599,839) 33,479,223
----------- --------- ----------- -----------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS ................... $30,240,751 $ (93,950) $(1,562,171) $33,594,065
=========== ========= =========== ===========
- ------------
*The Growth Opportunities Series and Developing World Series commenced
operations on February 18, 1998, respectively. The Mid-Cap Growth Series,
Research Series, Total Return Series, Growth & Income Series, Value + Growth
Series and Global Fixed Income Series commenced operations on August 14,
1998, respectively.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
GLOBAL
TOTAL GROWTH & VALUE + FIXED MARKET LIQUID
RESEARCH RETURN INCOME GROWTH INCOME MANAGER ASSET
SERIES* SERIES* SERIES* SERIES* SERIES* SERIES SERIES
---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C>
$1,592,015 $1,563,307 $1,348,404 $ 252,224 -- -- --
576,117 4,125,523 1,359,962 87,404 $ 301,889 $ 199,792 $7,484,194
(9,686) -- (10,464) -- -- -- --
822 16,938 188 -- -- 357 --
---------- ---------- ---------- ---------- ---------- ---------- ----------
2,159,268 5,705,768 2,698,090 339,628 301,889 200,149 7,484,194
---------- ---------- ---------- ---------- ---------- ---------- ----------
1,716,605 1,372,818 994,126 728,286 118,137 72,140 796,602
6,105 6,105 6,105 6,105 6,105 -- 7,181
11,637 47,169 780 2,682 3,341 196 --
---------- ---------- ---------- ---------- ---------- ---------- ----------
1,734,347 1,426,092 1,001,011 737,073 127,583 72,336 803,783
---------- ---------- ---------- ---------- ---------- ---------- ----------
424,921 4,279,676 1,697,079 (397,445) 174,306 127,813 6,680,411
---------- ---------- ---------- ---------- ---------- ---------- ----------
(7,371,953) (1,140,503) (14,451,193) (14,577,553) 4,127 208,771 (1,797)
-- -- -- -- -- -- --
-- -- 2,186,536 -- -- -- --
-- (12,544) -- -- (98,496) -- --
106,089 1,342 26,427 -- 1,292 -- --
82,989,992 24,146,633 38,863,686 44,783,262 1,109,030 1,304,268 (270)
-- -- -- -- -- -- --
-- -- -- -- -- -- --
-- (203) -- -- 53,137 -- --
(23,720) (1,051) 47,883 -- 337 -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
75,700,408 22,993,674 26,673,339 30,205,709 1,069,427 1,513,039 (2,067)
---------- ---------- ---------- ---------- ---------- ---------- ----------
$76,125,329 $27,273,350 $28,370,418 $29,808,264 $1,243,733 $1,640,852 $6,678,344
========== ========== ========== ========== ========== ========== ==========
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Statement of Changes in Net Assets
- ---------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1998
<CAPTION>
LIMITED
MULTIPLE FULLY MATURITY HARD REAL
ALLOCATION MANAGED BOND ASSETS ESTATE
SERIES SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------ -----------
OPERATIONS:
<S> <C> <C> <C> <C> <C>
Net investment income/(loss) .. $ 9,775,332 $ 5,911,618 $ 4,812,514 $ 753,907 $ 3,976,536
Net realized gain/(loss) on
securities, futures contracts,
written options, forward
foreign currency exchange
contracts and foreign currency
transactions ................ 21,152,198 17,323,306 245,793 (6,237,915) 3,671,935
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 .................. (9,697,386) (12,166,269) 981,576 (7,457,697) (19,233,132)
------------ ------------ ------------ ------------ -----------
Net increase/ (decrease) in net
assets resulting from
operations .................. 21,230,144 11,068,655 6,039,883 (12,941,705) (11,584,661)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......... (9,833,207) (5,333,418) (4,592,701) (738,546) (2,940,340)
In excess of net investment
income ...................... -- -- -- -- --
Net realized gains ............ (19,438,596) (15,405,399) -- (2,062,110) (6,743,350)
In excess of capital gains .... -- -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares issued upon consolidati
on (Note 6) ................. -- -- 38,957,271 -- --
Shares sold ................... 24,873,960 73,935,108 92,354,735 22,317,164 22,838,788
Shares issued as reinvestment
of dividends ................ 29,271,803 20,738,817 4,594,890 2,800,656 9,683,690
Shares redeemed ............... (32,628,367) (8,794,799) (42,767,130) (25,074,108) (16,872,712)
------------ ------------ ------------ ------------ -----------
NET INCREASE/(DECREASE) IN NET
ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ......... 21,517,396 85,879,126 93,139,766 43,712 15,649,766
------------ ------------ ------------ ------------ -----------
Net increase/(decrease) in net
assets ........................ 13,475,737 76,208,964 94,586,948 (15,698,649) (5,618,585)
NET ASSETS:
Beginning of period ............. 264,598,753 169,986,686 53,839,219 46,228,602 75,529,968
------------ ------------ ------------ ------------ -----------
End of period ................... $278,074,490 $246,195,650 $148,426,167 $ 30,529,953 $69,911,383
============ ============ ============ ============ ===========
Undistributed net investment
income/(loss) ................. $ 2,473,654 $ 1,239,785 $ 1,161,736 $ 190,936 $ 1,374,315
============ ============ ============ ============ ===========
TRANSACTIONS IN FUND SHARES:
Shares issued upon consolidation
(Note 6) .................... -- -- 3,694,955 -- --
Shares sold ................... 1,826,179 4,521,295 7,380,066 1,843,131 1,326,791
Shares issued as reinvestment
of dividends ................ 2,334,275 1,377,079 432,257 298,259 728,645
Shares redeemed ............... (2,422,779) (537,671) (2,830,765) (2,033,543) (1,042,917)
------------ ------------ ------------ ------------ -----------
Net increase/(decrease) ......... 1,737,675 5,360,703 8,676,513 107,847 1,012,519
============ ============ ============ ============ ===========
See Notes to Financial Statements
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
ALL- CAPITAL RISING EMERGING VALUE STRATEGIC SMALL
GROWTH APPRECIATION DIVIDENDS MARKETS EQUITY EQUITY CAP
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------ ------------ ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
$ (380,854) $ 2,119,090 $ 2,905,740 $ 264,799 $ 1,581,831 $ 920,850 $ (299,861)
6,801,674 13,189,628 19,244,423 (10,235,843) 2,204,365 1,514,102 1,277,047
732,283 10,657,145 24,693,039 1,111,863 (2,973,867) (2,467,677) 20,807,299
------------ ------------ ------------ ------------ ------------ ----------- -------------
7,153,103 25,965,863 46,843,202 (8,859,181) 812,329 (32,725) 21,784,485
-- (1,985,719) (2,574,608) -- (1,388,071) (857,830) --
-- -- -- -- -- -- --
(482,429) (21,481,203) (19,104,120) -- (2,501,369) (3,147,571) --
-- -- -- -- -- (768,811) --
-- -- -- -- -- -- --
17,212,183 63,842,885 304,438,120 4,829,405 56,607,571 27,135,472 72,810,460
482,429 23,466,922 21,678,728 -- 3,889,440 4,774,212 --
(14,291,443) (20,480,864) (28,628,951) (9,378,128) (7,683,469) (5,630,659) (13,294,050)
------------ ------------ ------------ ------------ ------------ ----------- -------------
3,403,169 66,828,943 297,487,897 (4,548,723) 52,813,542 26,279,025 59,516,410
------------ ------------ ------------ ------------ ------------ ----------- -------------
10,073,843 69,327,884 322,652,371 (13,407,904) 49,736,431 21,472,088 81,300,895
73,856,481 193,985,608 252,190,794 39,436,135 80,048,066 51,788,525 66,395,551
------------ ------------ ------------ ------------ ------------ ----------- -------------
$ 83,930,324 $263,313,492 $574,843,165 $ 26,028,231 $129,784,497 $73,260,613 $ 147,696,446
============ ============ ============ ============ ============ =========== =============
$ -- $ 459,203 $ 694,837 $ (32,732) $ 358,723 $ 223,959 $ --
============ ============ ============ ============ ============ =========== =============
-- -- -- -- -- -- --
1,274,223 3,374,720 13,882,960 598,485 3,450,964 1,951,428 5,146,630
33,807 1,308,808 974,325 -- 247,893 383,471 --
(1,069,193) (1,113,005) (1,327,846) (1,183,502) (487,517) (420,675) (944,398)
------------ ------------ ------------ ------------ ------------ ----------- -------------
238,837 3,570,523 13,529,439 (585,017) 3,211,340 1,914,224 4,202,232
============ ============ ============ ============ ============ =========== =============
See Notes to Financial Statements
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Statement of Changes in Net Assets
- ---------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1998
<CAPTION>
MANAGED GROWTH DEVELOPING MID-CAP
GLOBAL OPPORTUNITIES WORLD GROWTH
SERIES SERIES* SERIES* SERIES*
------------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) $ (200,950) $ 71,145 $ 37,668 $ 114,842
Net realized gain/(loss) on
securities, futures
contracts, written options,
forward foreign exchange
contracts and foreign
currency transactions ...... 11,285,119 (619,950) (965,087) 7,139,551
Net change in unrealized
appreciation/(depreciation)
on securities, futures
contracts, written options,
investments sold short,
forward foreign exchange
contracts and other assets
and liabilities denominated
in foreign currencies ...... 19,156,582 454,855 (634,752) 26,339,672
------------- ------------ ----------- ------------
Net increase/(decrease) in
net assets resulting from
operations ................. 30,240,751 (93,950) (1,562,171) 33,594,065
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....... (436,006) (55,236) (817) (71,134)
In excess of net investment
income ..................... (391) -- (2,733) --
Net realized gains .......... (5,137,434) -- -- (1,362,260)
In excess of capital gains .. -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares issued upon
consolidation (Note 6) ...... -- -- -- 169,854,219
Shares sold ................. 49,773,384 14,853,619 13,236,980 68,050,467
Shares issued as reinvestment
of dividends ............... 5,573,832 55,236 3,550 1,429,200
Shares redeemed ............. (51,238,921) (5,668,753) (2,877,841) (19,472,741)
------------- ------------ ----------- ------------
NET INCREASE IN NET ASSETS FROM
SHARES OF BENEFICIAL INTEREST
TRANSACTIONS ................ 4,108,295 9,240,102 10,362,689 219,861,145
------------- ------------ ----------- ------------
Net increase in net assets .... 28,775,215 9,090,916 8,796,968 252,021,816
NET ASSETS:
Beginning of period ........... 105,302,573 -- -- --
------------- ------------ ----------- ------------
End of period ................. $ 134,077,788 $ 9,090,916 $ 8,796,968 $252,021,816
============= ============ =========== ============
Undistributed net investment
income/(loss) ............... $ (94,561) $ 15,917 $ 285,858 $ 43,708
============= ============ =========== ============
TRANSACTIONS IN FUND SHARES:
Shares issued upon
consolidation (Note 6) ...... -- -- -- 10,833,373
Shares sold ................. 3,771,249 1,527,372 1,565,640 4,348,959
Shares issued as reinvestment
of dividends ............... 399,558 5,845 484 81,762
Shares redeemed ............. (3,908,600) (596,918) (372,589) (1,338,682)
------------- ------------ ----------- ------------
Net increase .................. 262,207 936,299 1,193,535 13,925,412
============= ============ =========== ============
- ----------
+ As of March 6, 1995, the Trust no longer accepts investments in the Market Manager Series.
* The Growth Opportunities Series and Developing World Series commenced operations on February 18,
1998, respectively. The Mid-Cap Growth Series, Research Series, Total Return Series, Growth & Income
Series, Value + Growth Series and Global Fixed Income Series commenced operations on August 14, 1998,
respectively.
See Notes to Financial Statements
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
GLOBAL
TOTAL GROWTH & VALUE + FIXED MARKET LIQUID
RESEARCH RETURN INCOME GROWTH INCOME MANAGER ASSET
SERIES* SERIES* SERIES* SERIES* SERIES* SERIES+ SERIES
------------ ------------ ------------ ------------ ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
$ 424,921 $ 4,279,676 $ 1,697,079 $ (397,445) $ 174,306 $ 127,813 $ 6,680,411
(7,265,864) (1,151,705) (12,238,230) (14,577,553) (93,077) 208,771 (1,797)
82,966,272 24,145,379 38,911,569 44,783,262 1,162,504 1,304,268 (270)
------------ ------------ ------------ ------------ ----------- ---------- ------------
76,125,329 27,273,350 28,370,418 29,808,264 1,243,733 1,640,852 6,678,344
(424,921) (3,028,277) (1,317,200) -- (174,306) (128,425) (6,680,411)
(189,329) -- -- -- (83,245) -- --
-- -- -- -- -- (213,782) --
-- -- -- -- -- (282) --
391,978,647 311,044,440 225,438,123 149,396,501 15,564,753 -- 48,475,961
162,449,837 119,647,099 56,079,686 65,942,401 17,660,000 -- 626,247,687
595,142 3,001,719 1,314,569 -- 257,551 342,488 6,713,421
(16,763,303) (4,845,467) (11,046,896) (13,930,785) (12,536,479) (292,468) (529,157,998)
------------ ------------ ------------ ------------ ----------- ---------- ------------
538,260,323 428,847,791 271,785,482 201,408,117 20,945,825 50,020 152,279,071
------------ ------------ ------------ ------------ ----------- ---------- ------------
613,771,402 453,092,864 298,838,700 231,216,381 21,932,007 1,348,383 152,277,004
-- -- -- -- -- 6,791,050 59,452,816
------------ ------------ ------------ ------------ ----------- ---------- ------------
$613,771,402 $453,092,864 $298,838,700 $231,216,381 $21,932,007 $8,139,433 $211,729,820
============ ============ ============ ============ =========== ========== ============
$ -- $ 1,240,197 $ 406,306 $ -- $ (155,040) $ -- $ --
============ ============ ============ ============ =========== ========== ============
22,082,990 20,909,077 15,829,527 10,963,565 1,485,968 -- 48,481,812
9,097,545 7,912,653 4,028,631 4,889,604 1,573,242 -- 626,247,687
29,772 191,436 85,696 -- 23,224 18,054 6,713,421
(989,817) (334,518) (815,498) (1,053,015) (1,119,052) (15,632) (529,157,998)
------------ ------------ ------------ ------------ ----------- ---------- ------------
30,220,490 28,678,648 19,128,356 14,800,154 1,963,382 2,422 152,284,922
============ ============ ============ ============ =========== ========== ============
See Notes to Financial Statements
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Statement of Changes in Net Assets
- ---------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1997
<CAPTION>
LIMITED
MULTIPLE FULLY MATURITY HARD REAL ALL- CAPITAL
ALLOCATION MANAGED BOND ASSETS ESTATE GROWTH APPRECIATION
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------ ------------ ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ..... $ 10,393,283 $ 4,051,724 $ 4,302,237 $ 357,315 $ 2,788,949 (351,685) $ 1,602,439
Net realized gain/(loss) on
securities, futures contracts,
written options, forward
foreign exchange contracts and
foreign currency transactions .. 17,804,014 10,614,478 101,572 8,342,402 6,334,789 6,011,558 25,886,926
Net unrealized appreciation/
(depreciation) on securities,
futures contracts, written
options, investments sold
short, forward foreign exchange
contracts and other assets and
liabilities denominated in
foreign currencies ............. 14,967,200 7,067,542 454,094 (5,781,864) 4,106,606 (1,412,789) 15,156,059
------------ ------------ ----------- ----------- ----------- ----------- ------------
Net increase/(decrease) in net
assets resulting from
operations ..................... 43,164,497 21,733,744 4,857,903 2,917,853 13,230,344 4,247,084 42,645,424
DISTRIBUTION TO SHAREHOLDERS FROM:
Net investment income ............ (10,225,709) (4,129,884) (4,257,186) (307,920) (2,424,102) (167,479) (1,586,754)
In excess of net investment
income ......................... -- -- -- -- -- -- --
Net realized gains ............... (17,190,742) (9,274,889) -- (9,313,654) (2,696,366) (1,930,785) (16,079,375)
In excess of realized gains ...... -- -- -- -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ...................... 4,363,453 24,402,111 23,322,754 16,245,443 25,988,226 6,640,625 27,704,667
Shares issued as reinvestment of
dividends ...................... 27,416,451 13,404,773 4,257,185 9,621,392 5,120,468 2,098,264 17,666,128
Shares redeemed .................. (55,720,412) (12,808,700) (44,658,613) (16,837,912) (14,823,210) (15,781,173) (25,116,980)
------------ ------------ ----------- ----------- ----------- ----------- ------------
NET INCREASE/(DECREASE) IN NET
ASSETS FROM SHARES OF BENEFICIAL
INTEREST ......................... (23,940,508) 24,998,184 (28,078,674) 9,028,923 16,285,484 (7,042,284) 20,253,815
------------ ------------ ----------- ----------- ----------- ----------- ------------
Net increase/(decrease) in net
assets ........................... (8,192,462) 33,327,155 (27,477,957) 2,325,202 24,395,360 (4,893,464) 45,233,110
NET ASSETS:
Beginning of year .................. 272,791,215 136,659,531 81,317,176 43,903,400 51,134,608 78,749,945 148,752,498
------------ ------------ ----------- ----------- ----------- ----------- ------------
End of year ........................ $264,598,753 $169,986,686 $53,839,219 $46,228,602 $75,529,968 $73,856,481 $193,985,608
============ ============ =========== =========== =========== =========== ============
Undistributed net investment
income/(loss) .................... $ 2,527,112 $ 932,261 $ 940,370 $ 34,617 $ 664,535 $ -- $ 336,095
============ ============ =========== =========== =========== =========== ============
TRANSACTIONS IN FUND SHARES:
Shares sold ...................... 332,402 1,541,076 1,145,356 868,667 1,496,367 480,563 1,584,454
Shares issued as reinvestment of
dividends ...................... 2,079,311 849,634 410,051 622,948 280,846 153,255 997,478
Shares redeemed .................. (4,177,968) (809,383) (4,129,852) (878,297) (843,396) (1,152,164) (1,472,937)
------------ ------------ ----------- ----------- ----------- ----------- ------------
Net increase/(decrease) ............ (1,766,255) 1,581,327 (2,574,445) 613,318 933,817 (518,346) 1,108,995
============ ============ =========== =========== =========== =========== ============
- ------------
*As of March 6, 1995, the Trust no longer accepts investments in the Market
Manager Series.
See Notes to Financial Statements
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
RISING EMERGING VALUE STRATEGIC SMALL MANAGED MARKET LIQUID
DIVIDENDS MARKETS EQUITY EQUITY CAP GLOBAL MANAGER ASSET
SERIES SERIES SERIES SERIES SERIES SERIES SERIES* SERIES
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,755,566 $ (43,868) $ 789,572 $ 754,337 $ (162,277) $ 57,169 $ 138,390 $ 2,406,915
12,060,684 893,630 7,969,130 3,043,656 (2,345,204) 8,487,853 334,050 (816)
32,431,516 (3,695,246) 4,536,919 5,016,645 7,983,775 2,108,616 1,357,875 --
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
46,247,766 (2,845,484) 13,295,621 8,814,638 5,476,294 10,653,638 1,830,315 2,406,099
(1,618,583) (48,446) (777,919) (678,032) -- (1,426,847) (137,990) (2,406,915)
-- -- -- -- -- (618,109) -- --
(4,219,889) -- (6,283,471) (1,942,391) -- (6,691,768) (329,039) --
-- -- -- -- -- -- -- --
93,744,927 18,460,665 27,490,149 17,949,888 40,302,241 30,137,025 -- 105,883,519
5,838,473 48,446 7,061,390 2,620,421 -- 8,736,723 467,029 2,406,914
(14,040,541) (27,689,479) (5,358,048) (5,399,420) (13,747,702) (21,864,490) (624,125) (87,932,514)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
85,542,859 (9,180,368) 29,193,491 15,170,889 26,554,539 17,009,258 (157,096) 20,357,919
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
125,952,153 (12,074,298) 35,427,722 21,365,104 32,030,833 18,926,172 1,206,190 20,357,103
126,238,641 51,510,433 44,620,344 30,423,421 34,364,718 86,376,401 5,584,860 39,095,713
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
$252,190,794 $ 39,436,135 $ 80,048,066 $ 51,788,525 $ 66,395,551 $105,302,573 $ 6,791,050 $ 59,452,816
============ ============ ============ ============ ============ ============ ============ ============
$ 363,705 $ (138,391) $ 164,963 $ 161,924 $ -- $ 84,471 $ 612 $ --
============ ============ ============ ============ ============ ============ ============ ============
5,080,986 1,702,996 1,688,644 1,415,924 3,265,056 2,473,206 -- 105,883,519
292,301 4,596 437,737 193,606 -- 752,258 28,477 2,406,914
(770,378) (2,527,913) (347,566) (414,126) (1,114,385) (1,798,765) (38,453) (87,932,514)
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
4,602,909 (820,321) 1,778,815 1,195,404 2,150,671 1,426,699 (9,976) 20,357,919
============ ============ ============ ============ ============ ============ ============ ============
See Notes to Financial Statements
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ... $ 13.09 $ 12.41 $ 12.52 $ 11.33 $ 11.89
-------- -------- -------- -------- --------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income .................. 0.49 0.57 0.56 0.58 0.42
Net realized and unrealized gain/
(loss) on investments and foreign
currencies ........................... 0.58 1.58 0.52 1.56 (0.56)
-------- -------- -------- -------- --------
Total from investment operations ....... 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 ......... $ 12.67 $ 13.09 $ 12.41 $ 12.52 $ 11.33
======== ======== ======== ======== ========
Total return ........................... 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) ... $278,074 $264,599 $272,791 $307,691 $299,392
Ratio of operating expenses to average
net assets ........................... 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to
average net assets ................... 3.63% 3.88% 3.86% 4.42% 3.56%
Portfolio turnover rate ................ 61% 79% 158% 187% 291%
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 15.73 $ 14.82 $ 13.79 $ 11.70 $ 12.99
-------- -------- -------- -------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.36 0.39 0.56 0.45 0.35
Net realized and unrealized gain/(loss)
on investments and foreign
currencies ............................ 0.55 1.86 1.69 1.98 (1.29)
-------- -------- -------- -------- -------
Total from investment operations ........ 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 .......... $ 15.23 $ 15.73 $ 14.82 $ 13.79 $ 11.70
======== ======== ======== ======== =======
Total return ............................ 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) .... $246,196 $169,987 $136,660 $118,589 $99,854
Ratio of operating expenses to average
net assets ............................ 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to
average net assets .................... 2.83% 2.67% 3.83% 3.41% 2.62%
Portfolio turnover rate ................. 44% 48% 45% 113% 66%
- --------------
* 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.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97# 12/31/96# 12/31/95 12/31/94
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 10.31 $ 10.43 $ 11.15 $ 9.98 $ 10.62
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.24 0.60 0.59 0.60 0.51
Net realized and unrealized gain/(loss)
on investments and foreign
currencies ............................ 0.47 0.09 (0.13) 0.57 (0.64)
------- ------- ------- ------- -------
Total from investment operations ........ 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 $ 10.31 $ 10.43 $ 11.15 $ 9.98
======= ======= ======= ======= =======
Total return ............................ 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) .... $148,426 $53,839 $81,317 $90,081 $72,213
Ratio of operating expenses to average
net assets ............................ 0.60% 0.61% 0.61% 0.61% 0.60%
Ratio of net investment income to
average net assets .................... 5.15% 5.71% 5.33% 5.58% 4.73%
Portfolio turnover rate ................. 52% 81% 250% 302% 209%
- --------------
* 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.
# 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.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
HARD ASSETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 15.05 $ 17.85 $ 15.04 $ 13.88 $ 13.89
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.26 0.14 0.05 0.15 0.13
Net realized and unrealized gain/(loss)
on investments and foreign
currencies ............................. (4.73) 0.99 4.92 1.34 0.23
------- ------- ------- ------- -------
Total from investment operations ........ (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 .......... $ 9.60 $ 15.05 $ 17.85 $ 15.04 $ 13.88
======= ======= ======= ======= =======
Total return ............................ (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) .... $30,530 $46,229 $43,903 $27,147 $32,879
Ratio of operating expenses to average net
assets ................................ 1.00% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to average
net assets ............................ 1.99% 0.76% 0.34% 0.89% 1.01%
Portfolio turnover rate ................. 178% 124% 96% 24% 25%
- --------------
* Prior to January 23, 1997, the Hard Asset Series was named the Natural Resources Series.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
REAL ESTATE SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 18.27 $ 15.98 $ 12.63 $ 11.29 $ 11.18
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.83 0.69 0.70 0.75 0.60
Net realized and unrealized gain/
(loss) on investments and foreign
currencies ............................ (3.34) 2.93 3.70 1.12 0.11#
------- ------- ------- ------- -------
Total from investment operations ........ (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 .......... $ 13.58 $ 18.27 $ 15.98 $ 12.63 $ 11.29
======= ======= ======= ======= =======
Total return ............................ (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) .... $69,911 $75,530 $51,135 $34,975 $37,336
Ratio of operating expenses to average
net assets ............................ 0.99% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to
average net assets .................... 5.26% 4.49% 5.53% 5.79% 5.31%
Portfolio turnover rate ................. 29% 41% 31% 53% 64%
- --------------
* Since January 1, 1995, E.I.I. Realty Securities, Inc. has served as Portfolio Manager for the Real Estate Series.
Prior to that date, a different firm served as Portfolio Manager.
# The amount shown may not accord with the change in the aggregate gains and losses of portfolio securities due to
timing of sales and redemptions of Series shares.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
ALL-GROWTH SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 13.77 $ 13.39 $ 13.78 $ 11.86 $ 13.42
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ............ (0.07) (0.06) 0.14 0.18 0.11
Net realized and unrealized gain/(loss) on
investments and foreign currencies .... 1.38 0.84 (0.23) 2.47 (1.56)
------- ------- ------- ------- -------
Total from investment operations ........ 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 .......... $ 14.99 $ 13.77 $ 13.39 $ 13.78 $ 11.86
======= ======= ======= ======= =======
Total return ............................ 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) .... $83,930 $73,856 $78,750 $93,198 $71,218
Ratio of operating expenses to average net
assets ................................ 0.99% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income/(loss) to
average net assets .................... (0.51)% (0.47)% 0.86% 1.42% 1.08%
Portfolio turnover rate ................. 229% 325% 118% 81% 196%
- --------------
* 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.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 17.65 $ 15.06 $ 13.51 $ 11.34 $ 11.76
-------- -------- -------- -------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.15 0.16 0.16 0.19 0.23
Net realized and unrealized gain/(loss)
on investments and foreign
currencies ............................ 2.07 4.19 2.57 3.22 (0.42)
-------- -------- -------- -------- -------
Total from investment operations ........ 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 .......... $ 18.09 $ 17.65 $ 15.06 $ 13.51 $ 11.34
======== ======== ======== ======== =======
Total return ............................ 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) .... $263,313 $193,986 $148,752 $122,227 $88,890
Ratio of operating expenses to average
net assets ............................ 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to
average net assets .................... 0.95% 0.95% 1.12% 1.53% 1.96%
Portfolio turnover rate ................. 64% 51% 64% 98% 84%
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96# 12/31/95 12/31/94
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 20.04 $ 15.81 $ 13.30 $ 10.22 $ 10.30
-------- -------- -------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.10 0.14 0.14 0.13 0.14
Net realized and unrealized gain/(loss)
on investments and foreign
currencies ............................ 2.74 4.57 2.61 3.04 (0.08)
-------- -------- -------- ------- -------
Total from investment operations ........ 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 .......... $ 22.01 $ 20.04 $ 15.81 $ 13.30 $ 10.22
======== ======== ======== ======= =======
Total return ............................ 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) .... $574,843 $252,191 $126,239 $81,210 $50,712
Ratio of operating expenses to average
net assets ............................ 0.98% 0.99% 1.00% 1.01% 1.00%
Ratio of net investment income to
average net assets .................... 0.72% 0.96% 0.99% 1.24% 1.88%
Portfolio turnover rate ................. 34% 26% 15% 43% 26%
- --------------
# 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.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
EMERGING MARKET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 8.80 $ 9.72 $ 9.06 $ 10.08 $ 12.44
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ............ 0.06 (0.01) 0.04 0.04 --
Net realized and unrealized gain/(loss) on
investments and foreign
currencies ............................ (2.18) (0.90) 0.62 (1.06) (1.89)
------- ------- ------- ------- -------
Total from investment operations ........ (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 .......... $ 6.68 $ 8.80 $ 9.72 $ 9.06 $ 10.08
======= ======= ======= ======= =======
Total return ............................ (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) .... $26,028 $39,436 $51,510 $47,974 $65,224
Ratio of operating expenses to average net
assets ................................ 1.83% 1.80% 1.55% 1.53% 1.73%
Ratio of net investment income/(loss) to
average net assets .................... 0.83% (0.09)% 0.38% 0.40% 0.03%
Portfolio turnover rate ................. 108% 170% 136% 141% 106%
- --------------
* 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.
# Amount represents less than $0.01 per share.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95*
-------- ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ........... $ 16.13 $ 13.92 $ 13.18 $ 10.00
-------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .......................... 0.19 0.16 0.22 0.08
Net realized and unrealized gain on investments
and foreign currencies ....................... 0.06 3.63 1.18 3.44
-------- ------- ------- -------
Total from investment operations ............... 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 ................. $ 15.88 $ 16.13 $ 13.92 $ 13.18
======== ======= ======= =======
Total return ................................... 1.55% 27.28% 10.62% 35.21%++
======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $129,784 $80,048 $44,620 $28,830
Ratio of operating expenses to average net
assets ....................................... 0.98% 0.99% 1.00% 1.01%+
Ratio of net investment income to average net
assets ....................................... 1.49% 1.31% 1.80% 1.53%+
Portfolio turnover rate ........................ 124% 128% 131% 86%
- --------------
* The Value Equity Series commenced operations on January 3, 1995.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96## 12/31/95*
-------- -------- ---------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ........... $ 13.63 $ 11.68 $ 10.01 $10.00
------- ------- ------- ------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .......................... 0.16 0.20 0.23 0.06
Net realized and unrealized gain/(loss) on
investments and
foreign currencies ........................... (0.07) 2.49 1.71 (0.03)#
------- ------- ------- ------
Total from investment operations ............... 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 ................. $ 12.82 $ 13.63 $ 11.68 $10.01
======= ======= ======= ======
Total return ................................... 0.84% 23.16% 19.39% 0.33%++
======= ======= ======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $73,261 $51,789 $30,423 $8,067
Ratio of operating expenses to average net
assets ....................................... 0.99% 0.99% 1.00% 1.00%+
Ratio of net investment income to average net
assets ....................................... 1.46% 1.88% 2.05% 4.04%+
Portfolio turnover rate ........................ 139% 105% 133% 29%
- --------------
* The Strategic Equity Series commenced operations on October 2, 1995.
+ Annualized
++ Non-annualized
# The amount shown may not accord with the change in the aggregate gains and losses of portfolio securities due to
timing of sales and redemption of Series shares.
## Per share numbers have been calculated using the monthly average share method, which more appropriately represents
the per share data for the period.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
SMALL CAP SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR
ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96*
-------- -------- --------
<S> <C> <C> <C>
Net asset value, beginning of period .................... $ 13.25 $ 12.01 $ 10.00
-------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss ..................................... (0.03) (0.03) (0.01)
Net realized and unrealized gain on investments and
foreign currencies .................................... 2.81 1.27 2.02
-------- ------- -------
Total from investment operations ........................ 2.78 1.24 2.01
-------- ------- -------
Net asset value, end of period .......................... $ 16.03 $ 13.25 $ 12.01
======== ======= =======
Total return ............................................ 20.98% 10.32% 20.10%++
======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .................... $147,696 $66,396 $34,365
Ratio of operating expenses to average net assets ....... 0.99% 0.99% 0.99%++
Ratio of net investment loss to average net assets ...... (0.32)% (0.34)% (0.08)%++
Portfolio turnover rate ................................. 133% 130% 117%
- --------------
* The Small Cap Series commenced operations on January 3, 1996.
++ Non-annualized
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96**# 12/31/95# 12/31/94#
-------- -------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 11.46 $ 11.13 $ 9.96 $ 9.26 $ 10.67
-------- -------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ............ (0.02) 0.02 0.04 0.05 0.07
Net realized and unrealized gain/
(loss) on investments and
foreign currencies .................... 3.37 1.33 1.18 0.65 (1.48)
-------- -------- ------- ------- -------
Total from investment operations ........ 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 .......... $ 14.19 $ 11.46 $ 11.13 $ 9.96 $ 9.26
======== ======== ======= ======= =======
Total return ............................ 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) .... $134,078 $105,305 $86,376 $72,375 $86,209
Ratio of operating expenses to
average net assets .................... 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 to
average net assets .................... (0.17)% 0.06% 0.39% 0.51% 0.69%
Portfolio turnover rate ................. 173% 199% 141% 44% N/A
- --------------
* 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 Seperate Account D of Golden American Life Insurance Company
was reorganized into the Trust. Net investment income and net realized gains earned prior to September 3, 1996 are
not subject to Internal Revenue Code distribution requirements for regulated investment companies. Financial
highlights from prior periods have been restated to account for the entity as if it had been a regulated
investment company since the commencement of operations.
# Per share numbers have been calculated using the monthly average share method, which more appropriately represents
the per share data for the period.
## Amount represents less than $0.01 per share.
See Notes to Financial Statements.
</TABLE>
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*#
----------
Net asset value, beginning of period ............................... $10.00
------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .............................................. 0.08
Net realized and unrealized loss on investments and
foreign currencies ............................................... (0.31)
------
Total from investment operations ................................... (0.23)
------
LESS DISTRIBUTIONS:
Dividends from net investment income ............................... (0.06)
------
Net asset value, end of period ..................................... $ 9.71
======
Total return ....................................................... (2.28)%++
======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................... $9,091
Ratio of operating expenses to average net assets .................. 1.15%+
Ratio of net investment income to average net assets ............... 0.99%+
Portfolio turnover rate ............................................ 77%
- --------------
* 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.
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*##
-----------
Net asset value, beginning of period ............................. $ 10.00
-------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................................ 0.04
Net realized and unrealized loss on investments and
foreign currencies ............................................. (2.67)
-------
Total from investment operations ................................. (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 ................................... $ 7.37
=======
Total return ..................................................... (26.27)%++
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................. $ 8,797
Ratio of operating expenses to average net assets ................ 1.83%+
Ratio of net investment income to average net assets ............. 0.69%+
Portfolio turnover rate .......................................... 67%
- --------------
* The Developing World Series commenced operations on February 18, 1998.
+ 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.
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*#
----------
Net asset value, beginning of period ............................ $ 15.68
--------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................................... 0.01
Net realized and unrealized gain on investments and foreign
currencies .................................................... 2.52
--------
Total from investment operations ................................ 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 .................................. $ 18.10
========
Total return .................................................... 16.12%++
========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................ $252,022
Ratio of operating expenses to average net assets ............... 0.95%+
Ratio of net investment income to average net assets ............ 0.15%+
Portfolio turnover rate ......................................... 55%
- --------------
* 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.
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
RESEARCH SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*#
----------
Net asset value, beginning of period ............................ $ 17.75
--------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................................... 0.02
Net realized and unrealized gain on investments and foreign
currencies .................................................... 2.56
--------
Total from investment operations ................................ 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 .................................. $ 20.31
========
Total return .................................................... 14.54%++
========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................ $613,771
Ratio of operating expenses to average net assets ............... 0.94%+
Ratio of net investment income to average net assets ............ 0.23%+
Portfolio turnover rate ......................................... 35%
- --------------
* 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.
See Notes to Financial Statements.
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*#
----------
Net asset value, beginning of period ............................ $ 14.88
--------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................................... 0.17
Net realized and unrealized gain on investments and foreign
currencies .................................................... 0.86
--------
Total from investment operations ................................ 1.03
--------
LESS DISTRIBUTIONS:
Dividends from net investment income ............................ (0.11)
--------
Net asset value, end of period .................................. $ 15.80
========
Total return .................................................... 6.90%++
========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................ $453,093
Ratio of operating expenses to average net assets ............... 0.98%+
Ratio of net investment income to average net assets ............ 2.95%+
Portfolio turnover rate ......................................... 37%
- --------------
* 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.
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
GROWTH & INCOME SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*#
----------
Net asset value, beginning of period ............................ $ 14.24
--------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................................... 0.09
Net realized and unrealized gain on investments and foreign
currencies .................................................... 1.36
--------
Total from investment operations ................................ 1.45
--------
LESS DISTRIBUTIONS:
Dividends from net investment income ............................ (0.07)
--------
Net asset value, end of period .................................. $ 15.62
========
Total return .................................................... 10.19%++
========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................ $298,839
Ratio of operating expenses to average net assets ............... 1.08%+
Ratio of net investment loss to average net assets .............. 1.86%+
Portfolio turnover rate ......................................... 92%
- --------------
* The Growth & 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.
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
VALUE + GROWTH SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*#
----------
Net asset value, beginning of period ............................ $ 13.63
--------
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss ............................................. (0.03)
Net realized and unrealized gain on investments and foreign
currencies .................................................... 2.02
--------
Total from investment operations ................................ 1.99
--------
Net asset value, end of period .................................. $ 15.62
========
Total return .................................................... 14.60%++
========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................ $231,216
Ratio of operating expenses to average net assets ............... 1.09%+
Ratio of net investment loss to average net assets .............. (0.58)%+
Portfolio turnover rate ......................................... 88%
- --------------
* The Value + 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.
<PAGE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
12/31/98*#
----------
Net asset value, beginning of period ............................ $ 10.47
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................................... 0.09
Net realized and unrealized gain on investments and foreign
currencies .................................................... 0.74
-------
Total from investment operations ................................ 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 .................................. $ 11.17
=======
Total return .................................................... 7.99%++
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................ $21,932
Ratio of operating expenses to average net assets ............... 1.74%+
Ratio of net investment loss to average net assets .............. 2.37%+
Portfolio turnover rate ......................................... 25%
- --------------
* 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.
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
MARKET MANAGER SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94*
-------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $16.47 $13.22 $12.03 $10.02 $10.00
------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.32 0.36 0.46 0.37 0.02
Net realized and unrealized gain on
investments and foreign currencies .... 3.69 4.11 1.89 2.06 0.02
------ ------ ------ ------ ------
Total from investment operations ........ 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 .......... $19.62 $16.47 $13.22 $12.03 $10.02
====== ====== ====== ====== ======
Total return ............................ 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) .... $8,139 $6,791 $5,585 $5,952 $2,754
Ratio of operating expenses to average
net assets ............................ 1.01% 1.01% 1.02% 0.89% --
Decrease reflected in above expense
ratio due to expense limitations ...... -- -- -- 0.13% 0.13%+
Ratio of net investment income to
average net assets .................... 1.78% 2.19% 3.06% 3.42% 0.65%+
Portfolio turnover rate ................. -- -- -- 5% --
- --------------
* 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.
+ Non-annualized
# Amount represents less than $0.01 per share.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Financial Highlights
- ---------------------------------------
THE GCG TRUST
LIQUID ASSET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.050 0.050 0.049 0.054 0.040
-------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income .... (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
======== ======= ======= ======= =======
Total return ............................ 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) .... $211,730 $59,453 $39,096 $38,589 $46,122
Ratio of operating expenses to average
net assets ............................ 0.59% 0.61% 0.61% 0.61% 0.61%
Ratio of net investment income to
average net assets .................... 4.92% 4.99% 4.89% 5.39% 3.89%
- --------------
* 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.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Portfolio of Investments
- ---------------------------------------
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 39.4%
AEROSPACE/DEFENSE -- 0.9%
25,600 General Motors Corporation, Class H ..................... $ 1,016,000
16,600 Goodrich (B.F.) Company ................................. 595,525
10,900 Northrop Grumman Corporation ............................ 797,063
------------
2,408,588
------------
AGRICULTURAL EQUIPMENT/MATERIALS -- 0.3%
37,000 IMC Global Inc. ......................................... 790,875
------------
APPAREL -- 0.5%
17,700 VF Corporation .......................................... 829,688
26,400 The Warnaco Group, Inc., Class A ........................ 666,600
------------
1,496,288
------------
AUTOMOTIVE -- 1.8%
25,189 DaimlerChrysler AG+ ..................................... 2,419,718
26,700 Dana Corporation ........................................ 1,091,362
25,500 Ford Motor Company ...................................... 1,496,531
------------
5,007,611
------------
BANKS -- 0.7%
19,600 Astoria Financial Corporation ........................... 896,700
18,900 BankAmerica Corporation ................................. 1,136,363
------------
2,033,063
------------
BASIC INDUSTRIES -- 1.2%
22,000 AK Steel Holding Corporation ............................ 517,000
21,500 Alcan Aluminum Ltd. ..................................... 581,844
17,800 British Steel PLC, ADR .................................. 260,325
24,800 Reynolds Metals Company ................................. 1,306,650
22,100 USX-US Steel Group, Inc. ................................ 508,300
------------
3,174,119
------------
BIO TECHNOLOGY -- 0.3%
8,600 Amgen, Inc.+ ............................................ 899,238
------------
BUILDING MATERIALS -- 0.1%
8,900 Lafarge Corporation ..................................... 360,450
------------
CHEMICALS -- 0.1%
14,700 Millennium Chemicals Inc. ............................... 292,162
3,800 Wellman, Inc. ........................................... 38,713
------------
330,875
------------
COMMERCIAL SERVICES -- 0.1%
16,300 Ogden Corporation ....................................... 408,519
------------
CONSUMER GOODS -- DURABLES -- 0.8%
21,400 Cooper Tire and Rubber Company .......................... 437,362
17,700 Maytag Corporation ...................................... 1,101,825
13,300 Whirlpool Corporation ................................... 736,488
------------
2,275,675
------------
DOMESTIC INVESTMENT COMPANIES -- 0.4%
13,400 Blackrock Strategic Term Trust, Inc. .................... 123,112
13,400 Blackrock 2001 Term Trust, Inc. ......................... 120,600
19,900 Gabelli Equity Trust, Inc. .............................. 230,094
23,400 Gabelli Global Multimedia Trust, Inc. ................... 255,938
24,235 Royce Value Trust ....................................... 333,231
------------
1,062,975
------------
DRUGS -- 0.4%
15,300 Warner-Lambert Company .................................. 1,150,369
------------
ELECTRONICS -- 0.3%
13,100 Avnet, Inc. ............................................. 784,363
------------
ENGINEERING/CONSTRUCTION -- 0.4%
25,300 Fluor Corporation ....................................... 1,076,831
------------
FINANCIAL SERVICES -- 2.7%
17,957 Bear Stearns Companies, Inc. ............................ 671,143
15,687 Charter One Financial, Inc. ............................. 435,314
19,100 Countrywide Credit Industries, Inc. ..................... 958,581
22,200 Edwards (A.G.), Inc. .................................... 826,950
10,800 GATX Corporation ........................................ 409,050
8,700 Morgan (J.P.) & Company ................................. 914,044
18,700 Morgan Stanley, Dean Witter, Discover and Company ....... 1,327,700
8,100 PIMCO Advisors .......................................... 252,113
31,000 Paine Webber Group Inc. ................................. 1,197,375
13,800 Quinenco S.A., ADR ...................................... 110,400
16,800 Ryder Systems, Inc. ..................................... 436,800
------------
7,539,470
------------
FOOD AND BEVERAGES -- 0.4%
18,000 Coors (Adolph) Company, Class B ......................... 1,015,875
------------
FOREIGN INVESTMENT FUNDS -- 0.9%
14,307 Central European Equity Fund ............................ 190,462
12,400 Emerging Markets Telecommunications Fund ................ 110,825
38,000 Emerging Markets Infrastructure Fund, Inc. .............. 275,500
9,800 France Growth Fund, Inc. ................................ 133,525
6,700 Italy Fund, Inc. ........................................ 100,500
25,700 Mexico Fund ............................................. 287,519
21,600 Morgan Stanley Emerging Markets Fund, Inc. .............. 175,500
16,000 Morgan Stanley India Investment Fund, Inc. .............. 108,000
12,800 Portugal Fund, Inc. ..................................... 200,000
23,000 Scudder New Europe Fund ................................. 405,375
26,000 Swiss Helvetia Fund ..................................... 416,000
------------
2,403,206
------------
HOMEBUILDING -- 0.1%
11,900 Kaufman & Broad Home Corporation ........................ 342,125
------------
INSURANCE -- 3.1%
42,900 Allstate Corporation .................................... 1,657,012
21,200 CIGNA Corporation ....................................... 1,639,025
30,300 Conseco, Inc. ........................................... 926,044
15,500 Loews Corporation ....................................... 1,522,875
26,400 Old Republic International Corporation .................. 594,000
15,000 Orion Capital Corporation ............................... 597,187
16,100 Provident Companies, Inc. ............................... 668,150
22,800 Reliance Group Holdings, Inc. ........................... 293,550
11,900 ReliaStar Financial Corporation ......................... 548,887
11,000 Selective Insurance Group, Inc. ......................... 221,375
------------
8,668,105
------------
LEISURE -- 0.5%
35,700 Royal Caribbean Cruises Ltd. ............................ 1,320,900
------------
MARINE TRANSPORTATION -- 0.1%
7,700 Sea Containers, Ltd., Class A ........................... 230,519
------------
MEDICAL SUPPLIES & SERVICES -- 0.4%
13,200 McKesson Corporation .................................... 1,043,625
------------
OIL AND GAS -- EQUIPMENT AND SERVICES -- 0.4%
18,600 Tidewater Inc. .......................................... 431,288
23,200 Transocean Offshore Inc. ................................ 622,050
------------
1,053,338
------------
OIL AND GAS EXTRACTION -- 0.8%
8,600 Equitable Resources Inc. ................................ 250,475
18,100 PennzEnergy Company ..................................... 295,256
23,300 Santa Fe International Corporation ...................... 340,762
47,000 Y.P.F. Sociedad Anonima, ADR ............................ 1,313,063
------------
2,199,556
------------
PAPER AND FOREST PRODUCTS -- 0.6%
33,400 Bowater Inc. ............................................ 1,386,100
14,700 Mead Corporation ........................................ 430,894
------------
1,816,994
------------
PETROLEUM -- 1.1%
19,200 Ashland Inc. ............................................ 928,800
20,000 Occidental Petroleum Corporation ........................ 337,500
18,100 Pennzoil-Quaker State Company+ .......................... 268,106
24,700 Sunoco, Inc. ............................................ 890,744
19,700 USX-Marathon Group ...................................... 593,463
------------
3,018,613
------------
PRODUCER/MANUFACTURING -- 2.4%
11,700 Aeroquip-Vickers Inc. ................................... 350,269
13,200 Borg-Warner Automotive, Inc. ............................ 735,900
20,500 Cummins Engine Company, Inc. ............................ 727,750
8,400 Dexter Corporation ...................................... 264,075
22,800 Fortune Brands, Inc. .................................... 721,050
13,200 Johnson Controls Inc. ................................... 778,800
14,700 Kennametal Inc. ......................................... 312,375
24,100 Herman Miller, Inc. ..................................... 647,687
16,400 Milacron Inc. ........................................... 315,700
8,300 PACCAR Inc. ............................................. 341,338
32,000 Timken Company .......................................... 604,000
23,800 Trinity Industries, Inc. ................................ 916,300
------------
6,715,244
------------
REAL ESTATE INVESTMENT TRUST -- 0.5%
10,500 Camden Property Trust ................................... 273,000
19,100 Crescent Real Estate Equities Company ................... 439,300
9,700 Felcor Suite Hotels Inc. ................................ 223,706
6,720 New Plan Excel Realty Trust ............................. 149,100
8,500 Reckson Associates Realty Corporation ................... 188,594
------------
1,273,700
------------
RECREATIONAL PRODUCTS/TOYS -- 0.3%
11,100 Brunswick Corporation ................................... 274,725
16,200 Fleetwood Enterprises, Inc. ............................. 562,950
------------
837,675
------------
RESTAURANTS -- 0.2%
11,300 Bob Evans Farms, Inc. ................................... 294,506
18,600 Wendy's International Inc. .............................. 405,713
------------
700,219
------------
RETAIL, TRADE AND SERVICES -- 1.5%
26,300 The Home Depot, Inc. .................................... 1,609,231
17,100 Pier 1 Imports, Inc. .................................... 165,656
12,900 Premark International, Inc. ............................. 446,663
10,400 Ross Stores Inc. ........................................ 409,500
10,700 Saks Incorporated+ ...................................... 337,719
42,300 Supervalu, Inc. ......................................... 1,184,400
------------
4,153,169
------------
TECHNOLOGY -- 4.3%
10,200 Applied Materials Inc. .................................. 435,412
12,000 Cisco Systems, Inc.+ .................................... 1,113,750
34,372 Compaq Computer Corporation ............................. 1,441,476
51,800 Dell Computer Corporation ............................... 3,791,112
15,600 EMC Corporation+ ........................................ 1,326,000
14,000 Intel Corporation ....................................... 1,659,875
16,300 Microsoft Corporation+ .................................. 2,260,606
------------
12,028,231
------------
TELECOMMUNICATIONS -- 3.9%
29,500 AT&T Corporation ........................................ 2,219,875
13,400 BCE, Inc. ............................................... 508,362
13,100 Lucent Technologies Inc. ................................ 1,441,000
34,200 MCI WorldCom, Inc.+ ..................................... 2,453,850
17,400 Telebras, ADR ........................................... 1,264,763
24,400 Telefonaktiebolaget LM Ericsson, ADR .................... 584,075
25,500 Telefonica de Argentina S.A., ADR ....................... 712,406
3,060 Telefonica de Espana, ADR ............................... 414,247
27,600 Telefonos de Mexico S.A., ADR ........................... 1,343,775
------------
10,942,353
------------
TEXTILES -- 0.5%
25,200 Interface, Inc. ......................................... 233,888
43,000 Shaw Industries, Inc. ................................... 1,042,750
------------
1,276,638
------------
TOBACCO -- 0.1%
7,400 Universal Corporation ................................... 259,925
------------
TRANSPORTATION -- 2.2%
18,600 Airborne Freight Corporation ............................ 670,762
14,300 AMR Corporation ......................................... 849,062
50,800 Burlington Northern Santa Fe Corporation ................ 1,714,500
28,100 CNF Transportation Inc. ................................. 1,055,506
14,800 Canadian Pacific, Ltd. .................................. 279,350
4,380 FDX Corporation+ ........................................ 389,820
29,500 Southwest Airlines Company .............................. 661,906
19,000 US Freightways Corporation .............................. 553,375
------------
6,174,281
------------
UTILITIES -- 4.1%
18,200 Central & South West Corporation ........................ 499,362
15,100 CMS Energy Corporation .................................. 731,406
13,800 Consolidated Edison Inc. ................................ 729,675
21,800 DTE Energy Company ...................................... 934,675
33,600 Edison International .................................... 936,600
19,800 Energy East Corporation ................................. 1,118,700
29,300 GPU, Inc. ............................................... 1,294,694
36,000 PECO Energy Company ..................................... 1,498,500
33,400 PG&E Corporation ........................................ 1,052,100
5,700 Pinnacle West Capital Corporation ....................... 241,537
16,400 Public Service Company of New Mexico .................... 335,175
41,500 Unicom Corporation ...................................... 1,600,344
11,200 UtiliCorp United, Inc. .................................. 410,900
------------
11,383,668
------------
Total Common Stocks
(Cost $96,382,662) .................................... 109,657,268
------------
PRINCIPAL
AMOUNT
---------
U.S. TREASURY OBLIGATIONS -- 47.0%
U.S. TREASURY BONDS -- 10.4%
$ 6,000,000 10.750% due 05/15/2003 .................................. 7,402,560
3,300,000 6.500% due 11/15/2026 ................................... 3,846,117
15,400,000 6.375% due 08/15/2027 ................................... 17,673,040
------------
28,921,717
------------
U.S. TREASURY NOTES -- 36.6%
31,000,000 6.250% due 08/31/2000 ................................... 31,792,360
13,500,000 7.500% due 02/15/2005 ................................... 15,464,385
3,100,000 6.500% due 05/15/2005 ................................... 3,398,189
21,800,000 6.875% due 05/15/2006 ................................... 24,705,722
13,900,000 6.500% due 10/15/2006 ................................... 15,465,001
9,600,000 6.625% due 05/15/2007 ................................... 10,822,464
------------
101,648,121
------------
Total U.S. Treasury Obligations
(Cost $123,648,623) ................................... 130,569,838
------------
COMMERCIAL PAPER -- 12.7%
$12,200,000 Goldman Sachs,
5.478%++ due 01/04/1999 ............................... $ 12,194,866
10,000,000 Marsh & McLennan,
5.587%++ due 01/05/1999 ............................... 9,993,945
10,000,000 General Motors Corporation,
5.587%++ due 01/06/1999 ............................... 9,992,333
3,000,000 Ford Motor Corporation,
5.813%++ due 01/07/1999 ............................... 2,997,175
------------
Total Commercial Paper
(Cost $35,178,318) .................................... 35,178,319
------------
TOTAL INVESTMENTS (COST $255,209,603*) ........................ 99.1% 275,405,425
OTHER ASSETS AND LIABILITIES (NET) ............................ 0.9 2,669,065
----- ------------
NET ASSETS .................................................... 100.0% $278,074,490
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $255,521,228.
+ Non-income producing security.
++ Annualized yield at date of purchase.
- ----------------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- ----------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Portfolio of Investments
- ---------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 50.1%
BANKS -- 0.1%
57 Bank International Settlements America .................. $ 363,123
------------
BUILDING/CONSTRUCTION -- 0.4%
58,000 Johns Manville Corporation .............................. 953,375
------------
CONSUMER DURABLES -- 1.3%
48,000 Corning Inc. ............................................ 2,160,000
51,000 Polaroid Corporation .................................... 953,063
------------
3,113,063
------------
CONSUMER PRODUCTS -- 2.3%
10,000 Cross (A.T.) Company, Class A ........................... 53,750
29,500 Hanson PLC, ADR ......................................... 1,150,500
81,500 Philip Morris Companies, Inc. ........................... 4,360,250
------------
5,564,500
------------
DIVERSIFIED HOLDINGS -- 0.1%
44,688 BTR PLC ................................................. 92,132
135,000 Lonrho Africa PLC+ ...................................... 124,574
------------
216,706
------------
ELECTRICAL EQUIPMENT -- 0.1%
19,000 Exide Corporation ....................................... 308,750
------------
ENERGY AND UTILITIES -- 7.1%
176,500 First Energy Corporation+ ............................... 5,747,281
97,900 Kansas City Power & Light Company ....................... 2,900,288
12,500 Nevada Power Company .................................... 325,000
388,000 Niagara Mohawk Power Corporation ........................ 6,256,500
56,000 Unicom Corporation ...................................... 2,159,500
------------
17,388,569
------------
EXPLORATION AND PRODUCTION -- 1.7%
7,500 Mitchell Energy & Development Corporation, Class A ...... 85,781
193,100 Mitchell Energy & Development Corporation, Class B ...... 2,244,788
62,700 Oryx Energy Company+ .................................... 842,531
33,000 Unocal Corporation ...................................... 963,188
------------
4,136,288
------------
FINANCIAL SERVICES -- 0.8%
15,000 Fund American Enterprise Holdings ....................... 2,100,938
------------
FOOD -- PROCESSING -- 0.5%
40,000 McCormick & Company, Inc. ............................... 1,352,500
------------
FOREST PRODUCTS AND PAPER -- 0.8%
20,000 Georgia-Pacific Corporation ............................. 476,250
28,000 Weyerhaeuser Company .................................... 1,422,750
------------
1,899,000
------------
GENERAL MERCHANDISER -- 0.5%
38,000 Hills Stores Company+ ................................... 54,625
24,000 Penney (J.C.) Company, Inc. ............................. 1,125,000
------------
1,179,625
------------
HEALTH CARE -- 0.8%
670,000 Smith & Nephew PLC ...................................... 2,066,426
------------
HOTELS -- 0.6%
124,000 Circus Circus Enterprises Inc.+ ......................... 1,418,250
------------
INSURANCE -- 6.3%
11,500 Aetna Inc. .............................................. 904,188
77,500 Leucadia National Corporation ........................... 2,441,250
109,500 Loews Corporation ....................................... 10,758,375
21,000 Unitrin, Inc. ........................................... 1,506,750
------------
15,610,563
------------
LEISURE ENTERTAINMENT -- 0.5%
31,000 Readers Digest Association, Inc., Class A ............... 780,812
15,100 Readers Digest Association, Inc., Class B ............... 364,287
------------
1,145,099
------------
MEDIA -- COMMUNICATIONS -- 7.0%
92,500 Chris-Craft Industries Inc. ............................. 4,457,344
35,000 Meredith Corporation .................................... 1,325,625
125,000 New York Times Company, Class A ......................... 4,335,937
12,500 Washington Post Company, Class B ........................ 7,224,219
------------
17,343,125
------------
MINING -- 2.6%
167,166 Homestake Canada, Inc. .................................. 1,511,457
40,534 Homestake Mining Company ................................ 372,406
190,000 Lonrho PLC .............................................. 1,010,892
189,000 Newmont Mining Corporation .............................. 3,413,812
------------
6,308,567
------------
PAPER AND ALLIED PRODUCTS -- 2.2%
287,000 Domtar Inc. ............................................. 1,686,125
384,000 MacMillan Bloedel Ltd ................................... 3,840,000
------------
5,526,125
------------
PETROLEUM -- DOMESTIC -- 6.4%
198,500 Amerada Hess Corporation ................................ 9,875,375
24,500 Atlantic Richfield Company .............................. 1,598,625
15,300 Kerr-McGee Corporation .................................. 585,225
88,000 Murphy Oil Corporation .................................. 3,630,000
------------
15,689,225
------------
PETROLEUM -- INTERNATIONAL -- 1.4%
65,000 Texaco Inc. ............................................. 3,436,875
------------
PHARMACEUTICALS -- 0.2%
8,000 Schering-Plough Corporation ............................. 442,000
------------
SPECIALTY CHEMICALS -- 3.0%
47,000 English China Clays PLC ................................. 129,329
85,000 Great Lakes Chemical Corporation ........................ 3,400,000
55,000 Imperial Chemical Industries PLC, ADR ................... 1,921,562
137,500 Octel Corporation+ ...................................... 1,907,813
------------
7,358,704
------------
SPECIALTY MERCHANDISERS -- 1.5%
600 Nine West Group Inc.+ ................................... 9,337
585,500 Petrie Stores Corporation+ .............................. 1,207,594
77,000 Reebok International Ltd.+ .............................. 1,145,375
87,000 Toys R Us Inc.+ ......................................... 1,468,125
------------
3,830,431
------------
TRANSPORTATION SERVICES -- 1.9%
80,000 Canadian Pacific Ltd. ................................... 1,510,000
82,000 Overseas Shipholding Group Inc. ......................... 1,317,125
40,000 Union Pacific Corporation ............................... 1,835,000
------------
4,662,125
------------
Total Common Stocks
(Cost $112,259,291) ................................... 123,413,952
------------
PREFERRED STOCKS -- 5.3%
ELECTRIC UTILITIES -- 1.3%
18,000 Cleveland Electric Illuminating Company, Prfd., Series L. 1,815,750
150 Cleveland Electric Illuminating Company, Prfd., Series R. 159,750
350 Cleveland Electric Illuminating Company, Prfd., Series S. 372,750
8,772 Entergy Gulf States Utilities Inc., Prfd., Series B ..... 440,793
3,000 Niagara Mohawk Power Corporation, Prfd., Series B ....... 76,313
8,500 Niagara Mohawk Power Corporation, Prfd., Series C ....... 215,953
------------
3,081,309
------------
FINANCIAL -- 0.9%
40,000 Kemper Corporation, Series E, Conv. Prfd.** ............. 2,080,000
9,200 Reckson Associates Realty Corporation, Series A, Conv.
Prfd. ................................................. 194,350
------------
2,274,350
------------
INDUSTRIAL -- 0.4%
17,400 Sealed Air Corporation, Prfd., Series A, Conv. Prfd. .... 902,625
3,000 Unocal Capital Trust, Conv. Prfd. ....................... 146,625
------------
1,049,250
------------
REAL ESTATE -- 2.2%
125,000 Rouse Company, Class B, Conv. Prfd. ..................... 5,421,875
------------
TRANSPORTATION -- 0.5%
26,000 Union Pacific Capital Trust, Conv. Prfd.** .............. 1,192,750
------------
Total Preferred Stocks
(Cost $12,480,660) .................................... 13,019,534
------------
PRINCIPAL
AMOUNT
---------
CONVERTIBLE BONDS AND NOTES -- 19.8%
AUTOMOBILE PARTS -- 0.7%
Pep Boys -- Manny, Moe & Jack, Conv.:
$ 1,150,000 4.000% due 09/01/1999 ................................. 1,135,625
1,210,000 Zero coupon due 09/20/2011 ............................ 627,688
------------
1,763,313
------------
COMMERCIAL SERVICES -- 0.0%#
100,000 Ogden Corporation, Conv.,
5.750% due 10/20/2002 ................................. 95,750
------------
EXPLORATION & PRODUCTION -- 0.1%
175,000 Oryx Energy Co., Conv.,
7.500% due 05/15/2014 ................................. 173,688
------------
FINANCIAL SERVICES -- 1.1%
1,850,000 Lonrho PLC, Conv.,
6.000% due 02/27/2004 ................................. 2,652,968
------------
HOTELS/MOTELS -- 1.4%
1,960,000 Hilton Hotels Corp.,
5.000% due 05/15/2006 ................................. 1,795,850
2,370,000 Marriott International, Inc., Conv.,
Zero coupon due 03/25/2011 ............................ 1,543,462
------------
3,339,312
------------
INDUSTRIAL -- 9.9%
3,325,000 Chiron Corporation, Conv.,
1.900% due 11/17/2000 ................................. 3,349,937
400,000 Clear Channel Communications, Conv.,
2.625% due 04/01/2003 ................................. 434,500
547,000 Exide Corporation, Conv.,
2.900% due 12/15/2005** ............................... 317,944
520,000 Centocor, Inc., Conv.,
4.750% due 02/15/2005 ................................. 554,450
600,000 George Weston, Ltd., Conv.,
3.000% due 06/30/2023 ................................. 339,307
Inco Ltd., Conv.:
4,050,000 5.750% due 07/01/2004 ................................. 3,518,437
1,100,000 7.750% due 03/15/2016 ................................. 979,000
3,420,000 Loews Corporation, Conv.,
3.125% due 09/15/2007 ................................. 2,710,350
1,725,000 National Semiconductor, Conv.,
6.500% due 10/01/2002 ................................. 1,509,375
215,000 Nedlloyd Groep, Conv.,
4.250% due 03/15/2001 ................................. 124,168
1,010,000 News America Holdings, Conv.,
Zero coupon due 03/11/2013 ............................ 582,012
240,000 Peninsular & Oriental, Conv.,
7.250% due 05/19/2003 ................................. 442,432
1,325,000 Phycor Inc., Conv.,
4.500% due 02/15/2003 ................................. 813,219
2,845,000 Roche Holdings Inc., Conv.,
Zero coupon due 05/06/2012** .......................... 1,497,181
2,235,000 Teck Corporation, Conv.,
3.750% due 07/15/2006 ................................. 1,458,338
400,000 Thomas Nelson Inc., Conv.,
5.750% due 11/30/1999** ............................... 404,000
11,725,000 Times Mirror Company, Conv.,
Zero coupon due 04/15/2017 ............................ 5,232,281
------------
24,266,931
------------
MINING -- 1.5%
Homestake Mining Company, Conv.:
810,000 5.500% due 06/23/2000 ................................. 775,575
3,110,000 5.500% due 06/23/2000** ............................... 2,977,825
------------
3,753,400
------------
MUNICIPAL -- 0.6%
1,225,000 California State,
5.250% due 10/01/2011 ................................. 1,332,188
------------
PETROLEUM -- 0.0%#
104,000 Shell Oil Company, Conv.,
7.250% due 02/15/2002 ................................. 104,130
------------
PHARMACEUTICALS -- 0.2%
600,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004 ................................. 564,000
------------
REAL ESTATE -- 0.8%
1,980,000 Rouse Company, Conv.,
5.750% due 07/23/2002 ................................. 2,054,250
------------
RETAIL -- SPECIAL LINE -- 0.4%
1,305,000 Nine West Group, Inc., Conv.,
5.500% due 07/15/2003 ................................. 1,027,688
------------
TELECOMMUNICATIONS -- 2.0%
1,000,000 Motorola, Inc., Conv.,
Zero coupon due 09/27/2013 ............................ 738,750
10,135,000 U.S. Cellular Corporation, Conv.,
Zero coupon due 06/15/2015 ............................ 4,231,363
------------
4,970,113
------------
UTILITIES -- 1.1%
1,245,000 Bellsouth Telecommunications,
5.850% due 11/15/2045 ................................. 1,262,119
1,450,000 Potomac Electric Power Corporation, Conv.,
5.000% due 09/01/2002 ................................. 1,406,500
------------
2,668,619
------------
Total Convertible Bonds and Notes
(Cost $48,829,717) .................................... 48,766,350
------------
CORPORATE NOTE -- 0.3%
(Cost $751,013)
750,000 First National Bank of Chicago Note,
5.750%++ due 05/10/1999 ............................... 750,937
------------
GOVERNMENT BOND -- 1.1%
(Cost $2,399,691)
2,615,000 France Telecom.,
2.000% due 01/01/2004 ................................. 2,830,738
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.5%
Federal Home Loan Bank,
1,487,000 3.423%++ due 01/04/1999 ............................... 1,486,442
1,000,000 7.190% due 04/27/2001 ................................. 1,049,640
500,000 Federal National Mortgage Association,
6.375% due 01/16/2002 ................................. 518,970
Tennessee Valley Authority Power,
7,000,000 5.880% due 04/01/2036 ................................. 7,446,250
1,400,000 5.980% due 04/01/2036 ................................. 1,415,750
3,900,000 6.235% due 07/15/2045 ................................. 4,099,875
------------
Total U.S. Government Agency Obligations
(Cost $15,528,774) .................................... 16,016,927
------------
U.S. TREASURY NOTES -- 4.5%
4,000,000 5.500% due 02/28/1999 ................................... 3,996,662
4,800,000 5.875% due 02/15/2000 ................................... 4,864,368
500,000 6.125% due 07/31/2000 ................................... 511,270
600,000 6.250% due 04/30/2001 ................................... 621,768
1,100,000 6.250% due 10/31/2001 ................................... 1,147,410
------------
Total U.S. Treasury Notes
(Cost $11,038,380) ................................... 11,141,478
------------
COMMERCIAL PAPER -- 11.2%
5,000,000 Bellsouth Telecommunications,
5.100%++ due 01/21/1999 ............................... 5,000,000
6,000,000 Equilon Enterprise,
5.478%++ due 01/04/1999 ............................... 5,997,500
3,000,000 FCAR Owner,
5.159%++ due 01/19/1999 ............................... 2,992,455
1,443,000 General Electric Capital,
5.623%++ due 01/21/1999 ............................... 1,438,591
315,000 International Lease Finance,
5.175%+ due 02/22/1999 ................................ 312,707
Metlife Funding:
7,455,000 5.343%+ due 01/15/1999 ................................ 7,439,779
1,340,000 5.460%+ due 01/22/1999 ................................ 1,335,818
2,950,000 Schering-Plough Corporation,
5.342%++ due 01/15/1999 ............................... 2,943,920
------------
Total Commercial Paper
(Cost $27,460,770) .................................... 27,460,770
------------
CERTIFICATES OF DEPOSIT -- 0.6%
250,000 BankBoston,
5.740% due 04/15/1999 ................................. 250,312
250,000 Bank of Nova Scotia,
5.750% due 04/27/1999 ................................. 250,460
1,000,000 Credit Agricole Indosuez,
5.750%++ due 04/16/1999 ............................... 1,001,590
------------
Total Certificates of Deposit
(Cost $1,503,015) ..................................... 1,502,362
------------
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
PUT STOCK OPTIONS PURCHASED -- 0.1%
21 Clear Channel,
Class B ........................... 01/16/1999 $110 $ 5,972
8 Clear Channel Communication ......... 01/16/1999 120 5,100
40 International Business Machines
Corporation, Class B .............. 01/16/1999 130 250
40 Pharmacia & Upjohn, Class B ......... 01/16/1999 50 1,000
50 Reebok International, Class B ....... 01/16/1999 35 101,250
50 Schering-Plough Corporation,
Class B ........................... 02/20/1999 53 16,250
65 Time Warner Inc., Class B ........... 03/20/1999 50 8,937
50 WorldCom, Class B ................... 01/16/1999 55 625
------------
Total Put Stock Options Purchased
(Cost $341,305) ....................................... 139,384
------------
TOTAL INVESTMENTS (COST $232,592,616*) ........................ 99.5% 245,042,432
OTHER ASSETS AND LIABILITIES (NET) ............................ 0.5 1,153,218
----- ------------
NET ASSETS ...................................................... 100.0% $246,195,650
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $232,646,241.
** 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
- ----------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Portfolio of Investments
- ---------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1998
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -------
<S> <C> <C>
CORPORATE BONDS -- 26.5%
FINANCE, INSURANCE & REAL ESTATE -- 12.6%
$ 1,000,000 American General Finance Corporation,
5.875% due 12/15/2005 ................................. $ 997,500
2,000,000 Aristar, Inc.,
6.500% due 11/15/2003 ................................. 2,087,500
500,000 AT&T Capital Corporaton,
6.520% due 05/14/1999 ................................. 500,660
2,000,000 CarrAmerica Realty Corporation,
6.625% due 10/01/2000 ................................. 1,992,500
2,000,000 Chrysler Financial Corporation,
5.850% due 01/26/2001 ................................. 2,022,500
530,000 First Fidelity Bancorp,
9.625% due 08/15/1999 ................................. 543,912
2,245,000 Ford Motor Credit Company,
6.550% due 09/10/2002 ................................. 2,317,962
1,000,000 General Electric Capital Corporation,
6.150% due 11/05/2001 ................................. 1,026,250
2,000,000 Household Finance Corporation,
5.875% due 09/25/2004 ................................. 2,017,500
490,000 KFW International Finance, Inc.,
9.125% due 05/15/2001 ................................. 530,425
500,000 Lehman Brothers Holdings,
6.625% due 12/27/2002 ................................. 501,875
1,500,000 Northern Trust Capital,
5.868%+ due 01/15/2027 ................................ 1,410,000
Paine Webber Group, Inc.:
1,320,000 8.250% due 05/01/2002 ................................. 1,400,850
350,000 6.125%+ due 07/24/2003 ................................ 350,140
1,000,000 Toyota Motor Credit Corporation,
5.625% due 11/13/2003 ................................. 1,011,250
------------
18,710,824
------------
MANUFACTURING -- 4.5%
2,000,000 Boise Cascade Corporation,
9.850% due 06/15/2002 ................................. 2,200,000
1,000,000 Hercules, Inc.,
6.150% due 08/01/2000 ................................. 1,016,250
500,000 Phillip Morris Companies, Inc.,
6.000% due 11/15/1999 ................................. 500,000
1,000,000 Raytheon Company,
6.450% due 08/15/2002 ................................. 1,023,750
2,000,000 Xerox Corporation,
5.500% due 11/15/2003 ................................. 2,005,000
------------
6,745,000
------------
OIL AND GAS -- 1.3%
525,000 Burlington Resources, Inc.,
7.150% due 05/01/1999 ................................. 528,281
1,250,000 Sun Company, Inc.,
7.950% due 12/15/2001 ................................. 1,335,938
------------
1,864,219
------------
RETAIL TRADE -- 2.7%
$ 1,000,000 The Limited, Inc.,
9.125% due 02/01/2001 ................................. $ 1,068,750
500,000 Penney (J.C.) & Company, Inc.,
6.950% due 04/01/2000 ................................. 511,250
1,000,000 Rite Aid Corporation,
5.500% due 12/15/2000** ............................... 996,250
1,300,000 Wal-Mart Stores, Inc.,
8.625% due 04/01/2001 ................................. 1,394,250
------------
3,970,500
------------
SERVICES -- 0.7%
1,000,000 News America Holdings, Inc.,
8.625% due 02/01/2003 ................................. 1,112,500
------------
TELECOMMUNICATIONS -- 1.7%
2,500,000 Worldcom, Inc.,
9.375% due 01/15/2004 ................................. 2,590,625
------------
TRANSPORTATION -- 1.0%
1,330,000 AMR Corporation,
9.500% due 05/15/2001 ................................. 1,443,050
------------
UTILITIES -- 1.3%
1,000,000 Great Lakes Power, Inc.,
8.900% due 12/01/1999 ................................. 1,028,750
850,000 Southern California Edison Company,
6.500% due 06/01/2001 ................................. 874,438
------------
1,903,188
------------
WHOLESALE TRADE -- 0.7%
1,000,000 Safeway, Inc.,
5.750% due 11/15/2000 ................................. 1,002,500
------------
Total Corporate Debt Securities
(Cost $38,934,671) .................................... 39,342,406
------------
YANKEE BONDS - U.S. DOLLAR DENOMINATED -- 1.0%
(Cost $1,421,208)
MANUFACTURING -- 0.8%
1,060,000 Carter Holt Harvey Ltd.,
7.625% due 04/15/2002 ................................. 1,110,350
------------
TRANSPORTATION -- 0.2%
310,000 Laidlaw, Inc.,
7.700% due 08/15/2002 ................................. 322,013
------------
Total Yankee Bonds - U.S. Dollar Denominated
(Cost $1,421,208) ..................................... 1,432,363
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.0%
265,506 Countrywide Funding Corporation,
7.500% due 09/25/2025 ................................. 265,513
1,000,000 Green Tree Lease Finance,
5.500% due 12/20/2000 ................................. 1,002,245
750,000 MBNA Master Credit Card Trust,
5.642% due 11/15/2001 ................................. 748,590
1,000,000 Premier Auto Trust,
5.190% due 04/08/2003 ................................. 994,370
------------
Total Collateralized Mortgage Obligations
(Cost $3,017,764) ..................................... 3,010,718
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 15.2%
FEDERAL HOME LOAN BANK (FHLB) -- 1.4%
2,000,000 5.125% due 09/15/2003 ................................. 2,003,560
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.1%
6,683 Pool #350042
7.250% due 01/01/2017 ................................. 6,733
118,672 Pool #846224
7.182% due 07/01/2024 ................................. 120,081
------------
126,814
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(GOLD) (FGLMC) -- 3.5%
578,039 Pool #E20197
7.000% due 10/01/2010 ................................. 591,044
623,527 Pool #E61721
6.500% due 11/01/2010 ................................. 633,267
263,407 Pool #E65976
6.500% due 04/01/2011 ................................. 267,522
308,005 Pool #E65441
7.500% due 04/01/2011 ................................. 316,956
633,530 Pool #G10555
6.000% due 06/01/2011 ................................. 636,298
481,114 Pool #E00543
6.000% due 03/01/2013 ................................. 483,216
446,036 Pool #E00538
6.500% due 03/01/2013 ................................. 453,003
952,032 Pool #E70003
6.000% due 04/01/2013 ................................. 956,192
288,181 Pool #C00374
9.000% due 09/01/2024 ................................. 304,210
306,998 Pool #D58465
9.000% due 01/01/2025 ................................. 324,073
259,337 Pool #C80428
8.000% due 09/01/2026 ................................. 268,574
------------
5,234,355
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 7.6%
1,000,000 6.800% due 01/10/2003 ................................. 1,061,770
5,000,000 5.750% due 04/01/2003 ................................. 5,142,450
77,947 Pool #70355
8.500% due 03/01/2004 ................................. 81,186
5,790 Pool #44026
8.500% due 08/01/2006 ................................. 6,031
107,142 Pool #127336
8.500% due 08/01/2006 ................................. 111,595
291,157 Pool #341094
6.500% due 04/01/2011 ................................. 295,525
362,823 Pool #344243
6.500% due 04/01/2011 ................................. 368,265
676,243 Pool #414154
6.000% due 02/01/2013 ................................. 678,562
961,418 Pool #425894
6.000% due 04/01/2013 ................................. 964,716
684,665 Pool #379881
6.500% due 04/01/2013 ................................. 694,935
705,555 Pool #419878
6.500% due 04/01/2013 ................................. 716,138
119,825 Pool #103363
7.820% due 12/01/2017 ................................. 123,869
261,037 Pool #299481
8.000% due 04/01/2025 ................................. 270,416
288,802 Pool #332150
8.500% due 12/01/2025 ................................. 302,700
507,264 Pool #397498
7.500% due 08/01/2027 ................................. 521,371
------------
11,339,529
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 2.6%
175,753 Pool #351992
6.000% due 12/15/2008 ................................. 177,071
149,529 Pool #368358
6.000% due 01/15/2009 ................................. 150,650
464,816 Pool #430587
6.500% due 02/15/2013 ................................. 473,676
952,945 Pool #456797
6.000% due 04/15/2013 ................................. 960,092
5,092 Pool #147899
10.000% due 02/15/2016 ................................ 5,566
6,283 Pool #161670
9.500% due 09/15/2016 ................................. 6,786
454,337 Pool #192568
8.000% due 05/15/2017 ................................. 472,224
120,795 Pool #223830
8.000% due 06/15/2017 ................................. 125,551
75,420 Pool #229269
8.000% due 07/15/2017 ................................. 78,389
13,129 Pool #284666
9.500% due 03/15/2020 ................................. 14,179
24,682 Pool #286024
10.000% due 04/15/2020 ................................ 26,980
124,632 Pool #308911
9.500% due 07/15/2021 ................................. 134,603
274,770 Pool #388581
7.500% due 01/15/2024 ................................. 283,527
167,120 Pool #398795
8.500% due 07/15/2026 ................................. 177,356
162,572 Pool #399003
9.000% due 12/15/2026 ................................. 173,596
608,259 Pool #452930
7.500% due 07/15/2027 ................................. 627,644
------------
3,887,890
------------
Total U.S. Government Agency Obligations
(Cost $22,390,456) ................................... 22,592,148
------------
U.S. TREASURY OBLIGATIONS -- 50.9%
U.S. TREASURY NOTES:
5,000,000 6.000% due 06/30/1999 ................................. 5,036,750
5,000,000 5.875% due 07/31/1999 ................................. 5,035,150
5,000,000 5.625% due 10/31/1999 ................................. 5,039,200
5,005,000 5.375% due 01/31/2000 ................................. 5,044,940
9,000,000 6.625% due 06/30/2001 ................................. 9,423,900
4,000,000 5.875% due 11/30/2001 ................................. 4,136,960
6,000,000 6.250% due 02/28/2002 ................................. 6,277,980
5,000,000 6.625% due 04/30/2002 ................................. 5,297,000
10,000,000 5.750% due 10/31/2002 ................................. 10,373,100
1,000,000 5.625% due 12/31/2002 ................................. 1,034,010
7,000,000 5.500% due 01/31/2003 ................................. 7,207,690
3,000,000 7.875% due 11/15/2004 ................................. 3,476,160
600,000 6.500% due 08/15/2005 ................................. 660,030
7,000,000 5.875% due 11/15/2005 ................................. 7,481,390
------------
Total U.S. Treasury Obligations
(Cost $74,598,871) .................................. 75,524,260
------------
DISCOUNT COMMERCIAL PAPER -- 4.9%
3,324,000 Ford Motor Credit Company,
5.845%+ due 01/04/1999 ................................ 3,322,402
3,887,000 TransAmerica Financial Corporation,
5.478%+ due 01/04/1999 ................................ 3,885,324
------------
Total Discount Commercial Paper
(Cost $7,207,726) ..................................... 7,207,726
------------
TOTAL INVESTMENTS (COST $147,570,696*) ......................... 100.5% $149,109,621
OTHER ASSETS AND LIABILITIES (NET) ............................. (0.5) (683,454)
----- ------------
NET ASSETS ..................................................... 100.0% $148,426,167
===== ============
- -----------------
* 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 rate in effect at 12/31/1998.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Portfolio of Investments
- ---------------------------------------
THE GCG TRUST
HARD ASSETS SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 80.0%
ALUMINUM -- 3.1%
12,800 Aluminum Company of America ........................... $ 954,400
------------
APARTMENTS -- 1.4%
9,100 Equity Residential Properties Trust ................... 367,981
4,800 United Dominion Realty Trust, Inc. .................... 49,500
------------
417,481
------------
DIVERSIFIED MINERALS -- 0.8%
126,800 Billiton Plc+ ......................................... 251,408
------------
FOREST PRODUCTS AND PAPER -- 8.2%
11,600 Bowater Inc. .......................................... 481,400
2,000 Buckeye Technologies Inc.+ ............................ 29,875
9,537 Fort James Corporation ................................ 381,480
32,200 Plum Creek Timber Company, L.P. ....................... 839,213
66,900 St. Laurent Paperboard Inc.+ .......................... 460,765
6,000 Weyerhaeuser Company .................................. 304,875
------------
2,497,608
------------
GOLD/MINING -- 10.9%
340,450 Acacia Resources Ltd. ................................. 503,836
23,500 AngloGold Ltd., ADR ................................... 459,719
51,650 Barrick Gold Corporation .............................. 1,007,175
220,419 Consolidated Gold NL+ ................................. 0
101,051 Delta Gold NL+ ........................................ 153,572
18,900 Euro-Nevada Mining Corporation ........................ 308,461
25,500 Homestake Mining Company .............................. 234,281
27,800 Meridian Gold Inc.+ ................................... 163,337
44,500 Placer Dome Inc. ...................................... 511,750
------------
3,342,131
------------
HOTELS -- 3.2%
1,000 Accor S.A ............................................. 216,419
26,700 Legacy Hotels Real Estate Investment Trust ............ 111,555
66,476 Patriot American Hospitality, Inc. .................... 398,856
10,500 Starwood Hotels & Resorts Worldwide, Inc.+ ............ 238,219
------------
965,049
------------
INDUSTRIAL -- 1.6%
25,000 Bedford Property Investors, Inc. ...................... 421,875
9,000 UNIFAB International, Inc.+ ........................... 72,000
------------
493,875
------------
INSURANCE -- 0.0%#
1,000 Highlands Insurance Group Inc.+ ....................... 13,063
------------
IRON/STEEL -- 1.8%
8,500 Nucor Corporation ..................................... 367,625
16,000 Steel Dynamics, Inc.+ ................................. 188,000
------------
555,625
------------
METALS/MINING -- 4.1%
783,000 Pasminco Ltd. ......................................... 594,980
103,700 Portman Mining Ltd. ................................... 55,286
14,500 Stillwater Mining Company+ ............................ 594,500
------------
1,244,766
------------
OFFICE/INDUSTRIAL -- 12.0%
12,000 AMB Property Corporation .............................. 264,000
10,050 Arden Realty Group, Inc. .............................. 233,034
18,000 Bentall Corporation ................................... 188,014
2,600 Boston Properties, Inc. ............................... 79,300
21,750 CarrAmerica Realty Corporation ........................ 522,000
40,000 Cornerstone Properties, Inc. .......................... 625,000
12,000 Equity Office Properties Trust ........................ 288,000
17,200 Kilroy Realty Corporation ............................. 395,600
17,500 Mack-Cali Realty Corporation .......................... 540,313
10,000 Prentiss Properties Trust ............................. 223,125
15,000 ProLogis Trust ........................................ 311,250
------------
3,669,636
------------
OIL AND GAS EXPLORATION -- 13.5%
11,500 Anadarko Petroleum Corporation ........................ 355,062
17,800 Apache Corporation .................................... 450,562
23,300 Berkley Petroleum Corporation+ ........................ 176,446
100,000 Cypress Energy ........................................ 251,338
50,000 Edge Energy Inc. ...................................... 77,523
62,500 Forcenergy Inc. ....................................... 164,063
38,000 KCS Energy, Inc. ...................................... 116,375
7,100 Kerr-McGee Corporation ................................ 271,575
23,500 Miller Exploration Company+ ........................... 105,750
1,200,000 National Resources Exploration+ ....................... 47,798
34,300 Occidental Petroleum Corporation ...................... 578,813
47,000 Pacalta Resources Ltd.+ ............................... 133,470
20,000 Poco Petroleums Ltd.+ ................................. 167,124
29,000 Pogo Producing Company ................................ 377,000
45,500 Startech Energy, Inc.+ ................................ 111,389
82,500 Stellarton Energy Corporation, Class A+ ............... 75,401
14,400 Stone Energy Corporation+ ............................. 414,000
28,000 Swift Energy Company+ ................................. 206,500
196,000 Windsor Energy Corporation+ ........................... 49,902
------------
4,130,091
------------
OIL/GAS -- EQUIPMENT AND SERVICES -- 2.6%
5,000 BJ Services Company+ .................................. 78,125
17,100 Gulf Island Fabrication, Inc.+ ........................ 132,525
10,000 J. Ray McDermott, S.A.+ ............................... 244,375
3,300 Marine Drilling Companies, Inc.+ ...................... 25,369
28,700 NQL Drilling Tools, Inc.+ ............................. 74,945
12,500 Pride International, Inc.+ ............................ 88,281
10,000 Santa Fe International Corporation .................... 146,250
------------
789,870
------------
OIL/GAS -- INTEGRATED -- 1.6%
7,000 ENI SPA, ADR .......................................... 474,250
------------
OIL/GAS -- INTERNATIONAL -- 2.4%
54 British Petroleum Company Plc, ADR .................... 5,130
8,100 Exxon Corporation ..................................... 592,312
1,400 Mobil Oil Corporation ................................. 121,975
------------
719,417
------------
OIL/GAS -- REFINING -- 0.2%
42,500 S.P. Interoil** ....................................... 46,750
------------
PLATINUM/MINING -- 0.0%#
661 Anglo American Platinum Corporation Ltd., ADR ......... 8,890
------------
REAL ESTATE -- 9.6%
35,000 Boardwalk Equities, Inc.+ ............................. 386,146
15,000 Brandywine Realty Trust ............................... 268,125
20,000 Brookfield Properties Corporation ..................... 245,463
21,700 Cadillac Fairview Corporation+ ........................ 405,519
10,000 Excel Legacy Corporation+ ............................. 40,000
18,000 New Plan Excel Realty Trust ........................... 399,375
22,500 Oxford Properties Group Inc.+ ......................... 267,333
16,500 Philips International Realty Corporation+ ............. 253,687
1,700 Societe Fonciere Lyonnaise ............................ 266,965
20,000 Trizec Hahn Corporation ............................... 410,000
------------
2,942,613
------------
REGIONAL MALLS -- 2.1%
10,000 The Macerich Company .................................. 256,250
10,600 Pan Pacific Retail Properties, Inc. ................... 211,338
9,500 Westfield America, Inc. ............................... 163,875
------------
631,463
------------
OTHER -- 0.9%
20,700 Denali Incorporated+ .................................. 289,800
------------
Total Common Stocks (Cost $29,073,807) ................ 24,438,186
------------
PRINCIPAL
AMOUNT
------
CORPORATE BONDS AND NOTES -- 5.7%
$ 900,000 Gold/Silver Ratio Indexed Note, 2.610% due 06/18/1999 .. 883,710
1,000,000 Yengold Structured Note, 4.850% due 09/30/1999 ......... 844,300
------------
Total Corporate Bonds and Notes (Cost $1,900,000) ...... 1,728,010
------------
SHARES
------
WARRANTS -- 0.5%
(Cost $158,597)
26,000 Altagas Services Inc.+, Expires 04/29/1999 ............. 148,518
PRINCIPAL
AMOUNT
------
COMMERCIAL PAPER -- 4.6%
(Cost $1,399,452)
$ 1,400,000 General Electric Capital Corporation,
4.565%+ due 01/04/1999 ............................... $ 1,399,452
------------
U.S. TREASURY OBLIGATION -- 9.8%
(Cost $2,992,650)
3,000,000 U.S. Treasury Bill, 4.516%++ due 01/21/1999 ............ 2,992,650
------------
TOTAL INVESTMENTS (COST $35,524,506*) ......................... 100.6% $30,706,816
OTHER ASSETS AND LIABILITIES (NET) ............................ (0.6) (176,863)
----- -----------
NET ASSETS ..................................................... 100.0% $30,529,953
===== ===========
- -----------
* Aggregate cost for Federal tax purposes was $36,232,393.
** Security exempt from registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration to qualified institutional
buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount represents less than 0.1%.
The summary of investments by country at December 31, 1998 was as follows:
% OF TOTAL
COUNTRY INVESTMENTS
- ------- -----------
Australia ........................................................................ 4.4%
Canada ........................................................................... 17.1
France ........................................................................... 1.6
Great Britain .................................................................... 0.8
Italy ............................................................................ 1.5
South Africa ..................................................................... 1.5
United States .................................................................... 73.0
-----
100.0%
=====
- ------------------------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ----------------------------
Portfolio of Investments
- ----------------------------
THE GCG TRUST
REAL ESTATE SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 94.9%
APARTMENTS -- 15.1%
20,700 Apartment Investment & Management Company ............. $ 769,781
52,700 Archstone Communities Trust ........................... 1,067,175
43,064 Avalonbay Communities, Inc. ........................... 1,474,942
42,900 BRE Properties, Inc. .................................. 1,061,775
55,887 Equity Residential Properties Trust ................... 2,259,931
64,305 Post Properties, Inc. ................................. 2,471,723
44,900 Smith, Charles E. Residential Realty, Inc. ............ 1,442,412
-----------
10,547,739
-----------
HEALTH CARE REAL ESTATE -- 1.7%
29,800 Meditrust Companies ................................... 447,000
33,700 Nationwide Health Properties, Inc. .................... 726,656
-----------
1,173,656
-----------
HOTELS & MOTELS -- 6.1%
6,260 Crestline Capital Corporation+ ........................ 91,553
62,600 Host Marriott Corporation+ ............................ 864,662
178,000 Patriot American Hospitality, Inc. .................... 1,068,000
99,092 Starwood Hotels & Resorts Worldwide, Inc.+ ............ 2,248,150
-----------
4,272,365
-----------
MANUFACTURED HOUSING -- 7.5%
66,513 Chateau Communities, Inc. ............................. 1,949,662
38,200 Manufactured Home Communities, Inc. ................... 957,387
68,200 Sun Communities, Inc. ................................. 2,374,213
-----------
5,281,262
-----------
OFFICE/INDUSTRIAL -- 32.4%
101,900 Arden Realty, Inc. .................................... 2,362,806
46,400 Boston Properties, Inc. ............................... 1,415,200
35,600 CarrAmerica Realty Corporation ........................ 854,400
105,300 Cornerstone Properties, Inc. .......................... 1,645,313
147,335 Equity Office Properties Trust ........................ 3,536,040
90,000 Kilroy Realty Corporation+ ............................ 2,070,000
74,500 Liberty Property Trust ................................ 1,834,563
37,900 Mack-Cali Realty Corporation .......................... 1,170,162
102,490 ProLogis Trust ........................................ 2,126,668
90,200 Reckson Associates Realty Corporation ................. 2,001,313
67,100 SL Green Realty Corporation ........................... 1,451,038
33,900 Spieker Properties, Inc. .............................. 1,173,788
40,600 Tower Realty Trust, Inc. .............................. 817,075
7,400 TriNet Corporate Realty Trust, Inc. ................... 197,950
-----------
22,656,316
-----------
REAL ESTATE -- 1.0%
50,100 Catellus Development Corporation+ ..................... 717,056
-----------
REGIONAL MALLS -- 13.1%
65,500 General Growth Properties, Inc.+ ...................... 2,480,812
119,300 Simon Property Group, Inc. ............................ 3,400,050
102,100 Taubman Centers, Inc. ................................. 1,403,875
44,800 The Macerich Company .................................. 1,148,000
23,500 Urban Shopping Centers, Inc. .......................... 769,625
-----------
9,202,362
-----------
RESTAURANTS -- 3.1%
90,000 Franchise Finance Corporation of America .............. 2,160,000
-----------
SELF STORAGE -- 1.7%
50,000 Storage Trust Realty .................................. 1,168,750
-----------
SHOPPING CENTERS -- 13.2%
51,900 Bradley Real Estate, Inc.+ ............................ 1,063,950
80,100 Developers Diversified Realty Corporation ............. 1,421,775
31,900 Federal Realty Investment Trust ....................... 753,637
85,850 Kimco Realty Corporation .............................. 3,407,172
75,600 Vornado Realty Trust .................................. 2,551,500
-----------
9,198,034
-----------
Total Common Stocks
(Cost $69,344,139) .................................. 66,377,540
------------
CONVERTIBLE PREFERRED STOCK -- 1.0%
(Cost $767,908)
14,400 Vornado Realty Trust Pfd. Conv., Series A ............. 698,400
-----------
PRINCIPAL
AMOUNT
---------
U.S. TREASURY OBLIGATIONS -- 1.6%
(Cost $1,094,586)
U.S. TREASURY BILLS:
$ 1,100,000 6.537%++ due 02/11/1999 ............................... 1,094,586
-----------
TOTAL INVESTMENTS (COST $71,206,633*) .......................... 97.5% 68,170,526
OTHER ASSETS AND LIABILITIES (NET) ............................. 2.5 1,740,857
----- -----------
NET ASSETS ..................................................... 100.0% $69,911,383
===== ===========
- -----------------
* Aggregate cost for Federal tax purposes was $71,276,489.
+ Non-income producing security.
++ Annualized Yield at date of purchase.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ----------------------------
Portfolio of Investments
- ----------------------------
THE GCG TRUST
ALL-GROWTH SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 96.1%
AEROSPACE/DEFENSE -- 0.6%
10,500 Orbital Sciences Corporation+ ......................... $ 464,625
-----------
AUTO RELATED -- 3.3%
37,100 Harley-Davidson, Inc. ................................. 1,757,612
39,600 Tower Automotive, Inc.+ ............................... 987,525
-----------
2,745,137
-----------
COMPUTER INDUSTRY -- 17.9%
5,800 America Online, Inc.+ ................................. 928,000
9,000 At Home Corporation, Series A+ ........................ 668,250
10,600 BMC Software, Inc.+ ................................... 472,362
21,000 Citrix Systems, Inc.+ ................................. 2,038,313
22,600 Computer Horizons Corporation+ ........................ 601,725
16,200 Fiserv, Inc.+ ......................................... 833,288
77,200 HBO & Company ......................................... 2,214,675
25,000 Mindspring Enterprises, Inc.+ ......................... 1,526,563
30,600 New Era of Networks, Inc.+ ............................ 1,346,400
35,000 PSINet, Inc.+ ......................................... 730,625
67,700 Seagate Technology, Inc.+ ............................. 2,047,925
27,600 VERITAS Software Corporation+ ......................... 1,654,275
-----------
15,062,401
-----------
ELECTRICAL EQUIPMENT -- 1.0%
10,900 Jabil Circuit, Inc.+ .................................. 813,413
-----------
ELECTRONICS -- 4.6%
44,800 Celestica, Inc.+ ...................................... 1,106,000
11,700 Solectron Corporation+ ................................ 1,087,369
39,700 Teradyne, Inc.+ ....................................... 1,682,287
-----------
3,875,656
-----------
ENTERTAINMENT -- 2.1%
58,400 Premier Parks, Inc. ................................... 1,766,600
-----------
FINANCIAL SERVICES -- 2.9%
15,350 The Charles Schwab Corporation ........................ 862,478
54,000 Heller Financial, Inc. ................................ 1,586,250
-----------
2,448,728
-----------
HEALTH CARE -- 2.5%
11,400 Amgen, Inc.+ .......................................... 1,192,012
10,800 Waters Corporation+ ................................... 942,300
-----------
2,134,312
-----------
MANUFACTURING -- 4.0%
36,400 Corning, Inc. ......................................... 1,638,000
60,100 Mettler-Toledo International, Inc.+ ................... 1,686,556
-----------
3,324,556
-----------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICES -- 6.4%
6,000 Express Scripts, Inc., Class A+ ....................... 402,750
23,000 IMS Health, Inc. ...................................... 1,735,063
16,500 Sunrise Assisted Living, Inc.+ ........................ 855,937
80,800 Total Renal Care Holdings, Inc.+ ...................... 2,388,650
-----------
5,382,400
-----------
OIL AND GAS -- 2.2%
15,900 BJ Services Company+ .................................. 248,437
66,300 Diamond Offshore Drilling, Inc. ....................... 1,570,481
-----------
1,818,918
-----------
PHARMACEUTICALS -- 3.6%
30,900 Cardinal Health, Inc. ................................. 2,344,537
11,200 Medicis Pharmaceutical Corporation, Class A+ .......... 667,800
-----------
3,012,337
-----------
RETAIL -- 8.4%
32,900 Abercrombie & Fitch Company, Class A+ ................. 2,327,674
55,000 AnnTaylor Stores Corporation+ ......................... 2,169,063
23,300 Nordstrom, Inc. ....................................... 808,219
19,750 Staples, Inc.+ ........................................ 862,828
15,900 Starbucks Corporation+ ................................ 892,388
-----------
7,060,172
-----------
SEMICONDUCTORS -- 9.8%
37,200 Advanced Micro Devices, Inc.+ ......................... 1,076,475
38,800 Altera Corporation+ ................................... 2,361,950
14,700 Linear Technology Corporation+ ........................ 1,316,569
36,600 Micron Technology, Inc. ............................... 1,850,588
27,900 MIPS Technologies, Inc.+ .............................. 892,800
14,000 Novellus Systems, Inc.+ ............................... 693,000
-----------
8,191,382
-----------
SERVICES -- 11.0%
23,100 CIBER, Inc.+ .......................................... 645,356
25,000 HA-LO Industries, Inc.+ ............................... 940,625
25,900 Metamor Worldwide, Inc.+ .............................. 647,500
28,800 Modis Professional Services, Inc.+ .................... 417,600
21,000 Omnicom Group, Inc. ................................... 1,218,000
42,500 Outdoor Systems, Inc.+ ................................ 1,275,000
15,500 Quintiles Transnational Corporation+ .................. 827,313
37,700 Snyder Communications, Inc. ........................... 1,272,375
87,900 Stewart Enterprises, Inc., Class A .................... 1,955,775
-----------
9,199,544
-----------
TECHNOLOGY -- 0.8%
12,400 Gemstar International Group, Ltd.+ .................... 709,900
-----------
TELECOMMUNICATIONS -- 12.3%
11,700 Ascend Communications, Inc.+ .......................... 769,275
53,200 General Instrument Corporation+ ....................... 1,798,825
36,100 Global Crossing, Ltd.+ ................................ 1,629,013
44,500 Pacific Gateway Exchange, Inc.+ ....................... 2,138,781
47,000 Qwest Communications International, Inc.+ ............. 2,350,000
24,000 Uniphase Corporation+ ................................. 1,665,000
-----------
10,350,894
-----------
WASTE DISPOSAL -- 2.7%
95,605 Allied Waste Industries, Inc.+ ........................ 2,258,668
-----------
Total Common Stocks
(Cost $69,973,883) .................................. 80,619,643
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
REPURCHASE AGREEMENT -- 5.3%
(Cost $4,461,533)
$4,461,533 Agreement with First Union National Bank, 5.720% dated
12/ 31/1998 to be repurchased at $4,464,369 on
01/04/1999, collateralized by: $4,990,000 Federal
National Mortgage Association, due 02/15/1999;
$30,000 Federal Home Loan Bank, 5.790% due
02/15/2099; (Market value $4,566,400) .............. $ 4,461,533
-----------
TOTAL INVESTMENTS (COST $74,435,416*) .......................... 101.4% 85,081,176
OTHER ASSETS AND LIABILITIES (NET) ............................. (1.4) (1,150,852)
----- -----------
NET ASSETS ..................................................... 100.0% $83,930,324
===== ===========
- -----------------
* Aggregate cost for Federal tax purposes was $74,704,378.
+ Non-income producing security.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ----------------------------
Portfolio of Investments
- ----------------------------
THE GCG TRUST
CAPITAL APPRECIATION SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 96.5%
AEROSPACE/DEFENSE -- 1.5%
<S> <C> <C>
48,800 Lockheed Martin Corporation ........................... $ 4,135,800
------------
AUTO RELATED -- 1.2%
55,000 Ford Motor Company .................................... 3,227,813
------------
BANKS -- 5.5%
56,474 BankAmerica Corporation ............................... 3,395,499
100,000 Fleet Financial Group, Inc. ........................... 4,468,750
38,500 Mellon Bank Corporation ............................... 2,646,875
115,000 U.S. Bancorp .......................................... 4,082,500
------------
14,593,624
------------
BROADCAST, RADIO AND TELEVISION -- 3.9%
84,200 Cablevision Systems Corporation, Class A+ ............. 4,225,788
46,900 Comcast Corporation, Class A, Special Shares
(Non-Voting) ........................................ 2,752,444
62,000 Tele-Communications, Inc.+ ............................ 3,429,375
------------
10,407,607
------------
CHEMICALS -- 1.7%
225,000 Millennium Chemicals, Inc.+ ........................... 4,471,875
------------
COMPUTER INDUSTRY -- 10.4%
65,000 Cisco Systems, Inc.+ .................................. 6,032,813
157,500 Compaq Computer Corporation ........................... 6,605,156
43,700 International Business Machines Corporation ........... 8,073,575
48,000 Microsoft Corporation+ ................................ 6,657,000
------------
27,368,544
------------
CONSUMER PRODUCTS -- 5.4%
164,200 Avon Products, Inc. ................................... 7,265,850
142,800 Gillette Company ...................................... 6,899,025
------------
14,164,875
------------
CONTAINERS AND PACKAGING -- 1.4%
225,000 Smurfit-Stone Container Corporation+ .................. 3,557,813
------------
ENTERTAINMENT -- 2.2%
91,600 Time Warner, Inc. ..................................... 5,684,925
------------
FINANCIAL SERVICES -- 8.2%
119,000 Citigroup, Inc. ....................................... 5,890,500
135,800 Household International, Inc. ......................... 5,381,075
60,000 National City Corporation ............................. 4,320,000
125,000 SLM Holding Corporation ............................... 6,000,000
------------
21,591,575
------------
HEALTHCARE -- 2.4%
60,000 Amgen, Inc.+ .......................................... 6,273,750
------------
INSURANCE -- 2.6%
179,446 Allstate Corporation+ ................................. 6,931,101
------------
MACHINERY -- 0.9%
91,000 McDermott International, Inc. ......................... 2,246,562
------------
MANUFACTURING -- 3.5%
63,900 General Electric Company .............................. 6,521,794
36,000 Tyco International, Ltd. .............................. 2,715,750
------------
9,237,544
------------
MEDICAL PRODUCTS -- 2.5%
87,800 Medtronic, Inc. ....................................... 6,519,150
------------
OIL AND GAS -- 6.8%
120,000 Anadarko Petroleum Corporation ........................ 3,705,000
42,800 Mobil Corporation ..................................... 3,728,950
82,700 Royal Dutch Petroleum Company ......................... 3,959,263
220,000 Unocal Corporation .................................... 6,421,250
------------
17,814,463
------------
PHARMACEUTICALS -- 8.3%
54,000 Pfizer, Inc. .......................................... 6,773,625
90,000 Pharmacia & Upjohn, Inc.+ ............................. 5,096,250
126,200 Schering-Plough Corporation ........................... 6,972,550
40,200 Warner-Lambert Company ................................ 3,022,537
------------
21,864,962
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
152,100 FelCor Lodging Trust, Inc. ............................ 3,507,806
------------
RETAIL -- 7.6%
79,000 Dayton Hudson Corporation ............................. 4,285,750
124,600 Federated Department Stores, Inc.+ .................... 5,427,887
105,400 Home Depot, Inc. ...................................... 6,449,163
130,000 The TJX Companies, Inc. ............................... 3,770,000
------------
19,932,800
------------
SEMICONDUCTORS -- 1.9%
41,500 Intel Corporation ..................................... 4,920,344
------------
SERVICES -- 3.9%
166,700 Service Corporation International ..................... 6,345,019
175,000 U.S. Filter Corporation+ .............................. 4,003,125
------------
10,348,144
------------
TELECOMMUNICATIONS -- 4.9%
90,000 Bell Atlantic Corporation ............................. 4,770,000
38,800 MCI WorldCom, Inc.+ ................................... 2,783,900
82,500 US West, Inc. ......................................... 5,331,562
------------
12,885,462
------------
TOBACCO -- 2.2%
108,900 Philip Morris Companies, Inc. ......................... 5,826,150
------------
UTILITIES -- 4.4%
80,000 Carolina Power & Lighting Company ..................... 3,765,000
145,000 Niagra Mohawk Power Corporation ....................... 2,338,125
120,000 Texas Utilities Company ............................... 5,602,500
------------
11,705,625
------------
WASTE DISPOSAL -- 1.9%
108,325 Waste Management, Inc. ................................ 5,050,653
------------
Total Common Stocks
(Cost $199,153,906) ................................. 254,268,967
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
U.S. TREASURY OBLIGATION -- 4.7%
(Cost $12,315,967)
U.S. TREASURY BILL:
$12,367,000 4.459%++ due 02/04/1999 ............................... $ 12,315,967
------------
TOTAL INVESTMENTS (COST $211,469,873*) ....................... 101.2% 266,584,934
OTHER ASSETS AND LIABILITIES (NET) ........................... (1.2) (3,271,442)
----- ------------
NET ASSETS ................................................... 100.0% $263,313,492
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $211,502,644.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Portfolio of Investments
- ---------------------------------------
THE GCG TRUST
RISING DIVIDEND SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 97.1%
BANKS -- 4.1%
586,910 Wells Fargo Company ................................... $ 23,439,718
------------
CHEMICALS AND ALLIED PRODUCTS -- 4.0%
393,020 PPG Industries, Inc. .................................. 22,893,415
------------
COMPUTERS AND OFFICE EQUIPMENT -- 4.2%
349,770 Hewlett-Packard Company ............................... 23,893,663
------------
CONSUMER PRODUCTS -- 7.3%
430,500 Gillette Company ...................................... 20,798,531
234,910 Procter & Gamble Company .............................. 21,450,219
------------
42,248,750
------------
DATA SERVICES -- 7.5%
282,620 Automatic Data Processing Inc. ........................ 22,662,591
409,110 Electronic Data Systems Corporation ................... 20,557,778
------------
43,220,369
------------
ELECTRIC MACHINERY -- 3.7%
350,100 Emerson Electric Company .............................. 21,181,050
------------
ELECTRICAL EQUIPMENT -- 3.1%
176,320 General Electric Company .............................. 17,995,660
------------
FINANCIAL SERVICES -- 10.3%
559,180 Equifax Inc. .......................................... 19,116,966
557,140 Franklin Resources Inc. ............................... 17,828,480
322,500 State Street Boston Corporation ....................... 22,433,906
------------
59,379,352
------------
FOOD -- 7.5%
393,680 Bestfoods ............................................. 20,963,460
179,000 Hershey Foods Corp. ................................... 11,131,563
121,170 Wrigley, (Wm) Jr. Company ............................. 10,852,288
------------
42,947,311
------------
INSURANCE -- 3.9%
382,970 Marsh & McLennan Companies, Inc. ...................... 22,379,809
------------
LEISURE ENTERTAINMENT -- 3.7%
714,920 Disney (Walt) Company ................................. 21,447,600
------------
MANUFACTURING -- 4.0%
400,940 Illinois Tool Works ................................... 23,254,520
------------
MEDICAL BIOTECHNOLOGY -- 4.1%
315,070 Medtronic, Inc. ....................................... 23,393,948
------------
PAPER AND ALLIED PRODUCTS -- 2.6%
277,260 Kimberly-Clark Corporation ............................ 15,110,670
------------
PETROLEUM -- 8.8%
151,600 Exxon Corporation ..................................... 11,085,750
175,550 Mobil Corporation ..................................... 15,294,794
501,330 Royal Dutch Petroleum ................................. 24,001,174
------------
50,381,718
------------
PHARMACEUTICALS -- 7.7%
280,210 Johnson & Johnson ..................................... 23,502,614
142,340 Merck & Company, Inc. ................................. 21,021,839
------------
44,524,453
------------
RESTAURANTS -- 3.8%
282,650 McDonald's Corporation ................................ 21,658,056
------------
TECHNOLOGY -- 6.8%
207,870 Intel Corporation ..................................... 24,645,587
238,420 Motorola Inc. ......................................... 14,558,521
------------
39,204,108
------------
Total Common Stocks
(Cost $468,709,834) ................................. 558,554,170
------------
PRINCIPAL
AMOUNT
- ---------
COMMERCIAL PAPER -- 2.5%
$14,241,000 Panasonic Finance,
5.478%++ due 01/04/1999 ............................. 14,234,651
------------
Total Commercial Paper
(Cost $14,234,651) .................................. 14,234,651
------------
TOTAL INVESTMENTS (COST $482,944,485*) ......................... 99.6% 572,788,821
OTHER ASSETS AND LIABILITIES (NET) ............................. 0.4 2,054,344
----- ------------
NET ASSETS ..................................................... 100.0% $574,843,165
===== ============
- -----------------
* Aggregate cost for Federal tax purposes.
+ Annualized yield at date of purchase.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- ---------------------------------------
Portfolio of Investments
- ---------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 92.1%
ARGENTINA -- 5.5%
12,500 Banco Frances del Rio de la Plata S.A., ADR ........... $ 162,500
50,400 Perez Companc S.A., Class B ........................... 213,392
10,600 Telefonica de Argentina S.A., ADR ..................... 296,137
25,000 Transportadora de Gas del Sur S.A., ADR ............... 253,125
17,800 Y.P.F. S.A., ADR ...................................... 497,288
------------
1,422,442
------------
BRAZIL -- 4.6%
24,800 Aracruz Celulose S.A, ADR ............................. 198,400
4,000 Centrais Eletricas Brasilerras S.A.+ .................. 69
4,000 Centrais Geradoras do Sul do Brasil S.A.+ ............. 5
18,200 Companhia Cervejaria Brahma, ADR ...................... 169,487
20,315 Companhia Energetica de Minas Geras, ADR*** ........... 386,721
2,100,000 Companhia Paulista de Forca e Luz ..................... 151,210
800 Embratel Participacoes S.A.+ .......................... 7
800,000 Light-Servicos de Eletricidade S.A .................... 97,331
20,300 Souza Cruz S.A ........................................ 134,241
800 Tele Celular Sul Participacoes S.A.+ .................. 1
800 Tele Centro Oeste Celular Participacoes S.A.+ ......... 1
800 Tele Centro Sul Participacoes S.A.+ ................... 5
800 Tele Leste Celular Participacoes S.A.+ ................ 0
800 Tele Nordeste Celular Participacoes S.A.+ ............. 0
800 Tele Norte Celular Participacoes S.A.+ ................ 0
800 Tele Norte Leste Participacoes S.A.+ .................. 7
800 Tele Sudeste Celular Participacoes S.A.+ .............. 2
800 Telemig Celular Participacoes S.A.+ ................... 1
16,600,800 Telesp Celular Participacoes S.A.+ .................... 71,446
800 Telesp Participacoes S.A.+ ............................ 10
------------
1,208,944
------------
CHILE -- 4.1%
10,900 Banco Santander Chile, ADR+ ........................... 159,412
6,300 Chilectra S.A., ADR ................................... 139,512
11,200 Companhia de Telecomunicaciones de Chile S.A., ADR .... 231,700
14,300 Enersis S.A., ADR ..................................... 369,119
19,100 Madeco S.A., ADR ...................................... 159,963
------------
1,059,706
------------
CZECHOSLAVAKIA -- 1.7%
14,100 Ceske Radiokomunikace, GDR+*** ........................ 454,725
------------
EGYPT -- 0.6%
15,400 EFG-Hermes, GDR*** .................................... 146,300
------------
GREAT BRITIAN -- 1.4%
74,900 Billiton PLC .......................................... 148,776
29,700 Lonhro PLC ............................................ 161,477
24,100 Coca-Cola Beverages PLC*** ............................ 42,474
------------
352,727
------------
GREECE -- 7.3%
4,832 Commercial Bank of Greece, S.A., GDR .................. 475,505
2,760 National Bank of Greece, S.A.+ ........................ 621,266
12,189 Hellenic Telecommunication Organization S.A ........... 324,451
579 Hellenic Telecommunication Organization S.A, GDR ...... 7,594
10,200 Panafon Hellenic Telecom S.A.+*** ..................... 273,331
6,300 STET Hellas Telecommunications S.A., ADR+ ............. 203,962
------------
1,906,109
------------
HONG KONG -- 3.8%
76,000 Asia Satellite Telecommunications Holdings Ltd. ....... 135,371
171,000 Beijing Datang Power Generation Company, Ltd., Class H+ .. 51,316
14,000 Cheung Kong Infrastructure ............................ 100,741
64,000 China Telecom (Hong Kong) Ltd.+ ....................... 110,692
49,000 Dao Heng Bank Group Ltd. .............................. 151,473
87,000 Guangdong Kelon Electrical Holdings Company Ltd. ...... 77,482
15,000 Henderson Land Development Company Ltd. ............... 77,637
37,000 Johnson Electric Holdings Ltd. ........................ 95,036
144,000 Legend Holdings Ltd. .................................. 50,648
18,000 Sun Hung Kai Properties Ltd. .......................... 131,266
------------
981,662
------------
HUNGARY -- 4.6%
5,200 Magyar Tavkozlesi Rt., ADR ............................ 155,025
17,300 Mol Magyar Olaj Es Gazipari, GDR*** ................... 474,509
6,500 OTP Bank Rt ........................................... 325,823
28,400 Pick Szeged Rt., GDR*** ............................... 241,400
------------
1,196,757
------------
INDIA -- 7.4%
13,500 BSES Ltd., GDR*** ..................................... 172,125
2,900 BSES Ltd., GDR ........................................ 36,975
13,500 Bajaj Auto Ltd., GDR .................................. 210,938
35,300 Gujarat Ambuja Cements Ltd., GDR** .................... 232,980
6,100 Hindalco Industries, Ltd., GDR ........................ 71,523
10,800 Indian Hotels Ltd., GDR ............................... 94,500
7,400 ITC Ltd., GDR ......................................... 164,835
5,700 Mahanager Telephone Nigam Ltd., GDR ................... 69,540
27,500 Mahanager Telephone Nigam Ltd., GDR** ................. 335,500
28,100 Tata Engineering & Locomotive Company, Ltd., GDR ...... 112,400
8,500 Telco GDS ............................................. 34,000
18,723 Videsh Sanchar Nigam Ltd., GDR ........................ 229,357
12,500 Videsh Sanchar Nigam Ltd., GDR*** ..................... 153,125
------------
1,917,798
------------
INDONESIA -- 0.4%
3 PT Bank International Indonesia+ ...................... 0
16,500 PT Telekomunikasi Indonesia, ADR ...................... 107,250
------------
107,250
------------
ISRAEL -- 2.6%
207,100 Bank Leumi Le-Israel .................................. 292,517
7,400 Formula Systems (1985) Ltd.+ .......................... 183,089
5,200 Tadiran Ltd. .......................................... 188,114
------------
663,720
------------
KOREA -- 10.2%
13,000 Hanjin Heavy Industries+ .............................. 99,418
3,580 Hankuk Glass Industry Company Ltd.+ ................... 74,695
26,200 Hanwha Chemical Corporation+ .......................... 125,229
1 Housing & Commercial Bank, GDR+ ....................... 12
20,900 Housing & Commercial Bank, Korea ...................... 258,861
25,000 Korea Electric Power Corporation+ ..................... 619,285
100 Korea Telecom Corporation+ ............................ 3,159
2,000 Samsung Display Devices Company+ ...................... 98,587
9,489 Samsung Electronics Company Ltd. ...................... 636,542
400 Samsung Fire & Marine Insurance ....................... 149,626
8,900 Samsung Securities Company Ltd. ....................... 244,140
1,600 Sindo Ricoh Company+ .................................. 57,323
260 SK Telecom Company Ltd., ADR .......................... 145,453
8,000 Ssangyong Oil Refining Company Ltd.+ .................. 152,951
------------
2,665,281
------------
MALAYSIA -- 2.5%
91,800 Berjaya Sports Toto BHD** ............................. 87,026
489,000 IJM Corporation BHD** ................................. 233,742
55,000 JAYA Tiasa Holdings BHD** ............................. 55,550
46,000 Malakoff BHD** ........................................ 81,880
320,000 PPB Oil Palms Berhad** ................................ 186,240
------------
644,438
------------
MEXICO -- 11.8%
111,000 Alfa, S.A. de C.V., Class A ........................... 304,255
59,900 Cemex S.A. de C.V., Class B ........................... 147,860
8 Cifra S.A. de C.V., Series V+ ......................... 10
17,400 Coca-Cola Femsa S.A., ADR ............................. 230,550
133,300 Corporacion Moctezuma, S.A. de C.V.,
Series B1 ........................................... 125,158
144,400 Fomento Economico Mexicano S.A. de C.V., Class B ...... 391,433
19,300 Grupo Accion, S.A. de C.V., ADR+*** ................... 91,721
77,300 Grupo Carso S.A. de C.V., Series A1 ................... 262,219
46,500 Grupo Mexico S.A, Series B ............................ 103,281
13,000 Grupo Imsa, S.A. de C.V., ADR ......................... 135,688
13,600 Grupo Televisa S.A., GDR+ ............................. 335,750
95,300 Kimberly-Clark de Mexico, S.A. de C.V.,
Class A ............................................. 302,593
13,000 Telefonos de Mexico S.A., ADR ......................... 632,938
------------
3,063,456
------------
PERU -- 0.6%
13,200 Telefonica del Peru S.A., ADR ......................... 167,475
------------
PHILIPPINES -- 2.9%
39,500 Bank of the Philippine Islands*** ..................... 83,772
538,020 Benpres Holdings Corporation, GDR+ .................... 87,134
1,091,500 Cosmos Bottling Corporation*** ........................ 102,416
1,202,900 International Container Terminal Services, Inc.+ ...... 100,499
40,900 Manila Electric Company, Class B ...................... 131,427
4,800 Philippine Long Distance Telephone Company ............ 123,393
576,000 SM Prime Holdings Inc. ................................ 109,573
50,100 United Broadcasting Corporation Public Company Ltd.+ .. 23,775
------------
761,989
------------
POLAND -- 0.8%
14,000 @Entertainment, Inc.+ ................................. 94,500
7,100 Kredyt Bank PBI S.A., GDR+*** ......................... 115,302
------------
209,802
------------
PORTUGAL -- 2.5%
9,200 Investec-Consultoria Internacional, S.A ............... 316,990
2,800 Portugal Telecom S.A .................................. 128,437
10,200 Semapa-Sociedade de Investimento e Gestao, SGPS, S.A .. 202,022
------------
647,449
------------
SINGAPORE -- 0.4%
12,000 Development Bank of Singapore Ltd. .................... 108,298
------------
SOUTH AFRICA -- 3.1%
115,425 FirstRand Ltd. ........................................ 125,806
16,248 Liberty Life Association of Africa Ltd. ............... 223,435
270,000 Sanlam Ltd.+*** ....................................... 268,155
51,700 Sasol, Ltd. ........................................... 195,293
------------
812,689
------------
TAIWAN -- 6.9%
20,094 Acer Inc., GDR+*** .................................... 115,037
9,700 ASE Test Ltd., ADR+ ................................... 314,038
32,975 Asustek Computer Inc., GDR+ ........................... 305,843
10,400 Fubon Insurance Company, GDR+ ......................... 114,140
3,390 Pohang Iron & Steel Company Ltd.+ ..................... 181,758
29,940 Siliconware Precision Industries Company, GDR+ ........ 314,370
30,685 Taiwan Semiconductor Manufacturing Company Ltd., ADR+ . 435,343
------------
1,780,529
------------
THAILAND -- 3.1%
26,000 Advanced Information Service Public Company, Ltd. .....
(Foreign)+ .......................................... 154,498
88,400 Bangkok Bank Public Company Ltd. (Foreign) ............ 182,393
43,100 Electricity Generating Public Company Ltd. (Foreign) .. 116,791
3,400 PTT Exploration and Production Public Company, Ltd. ...
(Foreign)+ .......................................... 23,945
600 PTT Exploration and Production Public Company, Ltd. ...
(Foreign)+*** ....................................... 4,226
9,000 The Siam Cement Public Company, Ltd. (Foreign)+ ....... 204,017
73,000 Thai Farmers Bank PLC ................................. 128,528
------------
814,398
------------
TURKEY -- 2.7%
39,950 Haci Omer Sabanci Holdings, ADR ....................... 149,813
215,000 Migros Turk T.A.S ..................................... 214,686
1,398,800 Vestel Elektronik Sanayi ve Ticaret A.S.+ ............. 115,288
20,863 Yapi ve Kredi Bankasi S.A., GDR+ ...................... 232,105
------------
711,892
------------
UNITED STATES -- 0.6%
27,000 R.O.C. Taiwan Fund .................................... 167,063
------------
Total Common Stocks
(Cost $25,318,012) .................................. 23,972,899
------------
PREFERRED STOCKS -- 5.2%
BRAZIL -- 5.2%
40,500,488 Banco Bradesco S.A .................................... 224,584
7,000,000 Embraer-Empresa Brasileira de Aeronautica S.A ......... 86,903
9,400,000 Embratel Participacoes S.A.+ .......................... 128,368
17,000,000 Gerdau S.A ............................................ 126,629
1,190,500 Petroleo Brasileir .................................... 134,987
19,800,000 Tele Centro Sul Participacoes S.A.+ ................... 171,903
14,100,000 Tele Norte Leste Participacoes S.A.+ .................. 176,214
390 Telecomunicacoes de Sao Paulo S.A ..................... 53
7,500,000 Telesp Celular Participacoes S.A.+ .................... 55,245
10,900,000 Telesp Participacoes S.A.+ ............................ 248,086
------------
Total Preferred Stocks
(Cost $1,748,426) ................................... 1,352,972
------------
EXPIRATION VALUE
SHARES DATE (NOTE 1)
------ ---- --------
WARRANTS AND RIGHTS -- 0.0%#
BRAZIL -- 0.0%#
1,678,705 Banco Bradesco S.A. ............................ 02/04/1999 972
177,697 Mesbla ......................................... 01/01/2100 0
------------
972
------------
INDONESIA -- 0.0%#
2,200 PT Bank International
Indonesia+ ................................... 01/17/2000 18
------------
KOREA -- 0.0%#
122 Samsung Fire & Marine
Insurance .................................... 01/15/1999 0
------------
Total Warrants and Rights
(Cost $1,140) ............................................ 990
------------
PRINCIPAL
AMOUNT
---------
CONVERTIBLE BONDS -- 0.6%
(Cost $335,977)
RUSSIA -- 0.6%
$ 565,000 Russian Government,
12.750% due 06/24/2028 .................................. 170,206
------------
REPURCHASE AGREEMENT -- 3.0%
(Cost $782,000)
782,000 Agreement with Merrill Lynch Pierce Fenner & Smith, 4.800%
dated 12/31/98 to be repurchased at $782,417 on
01/04/1999, collateralized by $710,000 U.S. Treasury
Notes, 6.500% due 08/15/2005 (Market value $796,593) .... 782,000
------------
TOTAL INVESTMENTS (COST $28,185,555*) .............................. 100.9% 26,279,067
OTHER ASSETS AND LIABILITIES (NET) ................................. (0.9) (250,836)
----- ------------
NET ASSETS ......................................................... 100.0% $ 26,028,231
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $28,526,461.
** 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%.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- --------------------------------------------
Portfolio of Investments -- (Continued)
- --------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1998
The summary of investment by industry classification of the Emerging Markets
Series at December 31, 1998 was as follows:
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- ----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Oil/Gas ....................................................... 7.5% $ 1,949,716
Communication/Telecommunications .............................. 21.1 5,482,576
Banks ......................................................... 13.1 3,415,044
Electric Utilities ............................................ 3.4 881,105
Construction and Building Materials ........................... 5.4 1,419,313
Food and Beverage Products .................................... 4.5 1,177,760
Retail ........................................................ 0.8 214,696
Chemicals ..................................................... 0.5 125,229
Insurance ..................................................... 2.9 755,356
Computers and Office Equipment ................................ 2.7 711,940
Financial Services ............................................ 2.4 628,056
Metal and Metal Products ...................................... 0.9 231,485
Broadcast, Radio and TV ....................................... 3.7 973,438
Auto .......................................................... 0.6 146,400
Electric Services and Equipment ............................... 9.4 2,454,531
Electronics ................................................... 3.2 830,165
Miscellaneous Services ........................................ 0.4 100,499
Mining/Minerals ............................................... 1.6 413,535
Agriculture ................................................... 1.4 352,789
Diversified Operations ........................................ 2.7 702,162
Iron/Steel .................................................... 0.7 181,758
Real Estate ................................................... 2.0 510,939
Aerospace/Defense ............................................. 0.3 86,903
Consumer Goods ................................................ 1.4 373,771
Leisure ....................................................... 0.8 209,008
Paper and Allied Products ..................................... 1.9 500,993
Manufacturing ................................................. 1.5 387,838
Other ......................................................... 1.9 483,569
----- -----------
TOTAL INVESTMENTS ............................................. 98.7 25,700,574
REPURCHASE AGREEMENT .......................................... 3.0 782,000
OTHER ASSETS AND LIABILITIES (NET) ............................ (1.7) (454,343)
----- ---------------
NET ASSETS .................................................... 100.0% $26,028,231
===== ===========
</TABLE>
<TABLE>
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS TO BUY
<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>
02/03/1999 DKK 5,265,000 $113,249 $133,733 $20,484
-------
</TABLE>
<TABLE>
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>
02/03/1999 DKK 21,747,000 $486,510 $552,381 $(65,871)
--------
Net Unrealized Depreciation of Forward Foreign Exchange Contracts ............ $(45,387)
========
- ------------------------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
DKK -- Danish Krona
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- --------------------------------------------
Portfolio of Investments
- --------------------------------------------
THE GCG TRUST
VALUE EQUITY SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 90.7%
AEROSPACE/DEFENSE -- 4.1%
<S> <C> <C>
100,000 Raytheon Company, Class B ............................. $ 5,325,000
------------
APPARREL AND TEXTILES -- 0.5%
15,000 Nike, Inc., Class B+ .................................. 608,437
------------
BANKS -- 2.1%
40,000 Chase Manhattan Corporation ........................... 2,722,500
------------
CHEMICALS -- 1.9%
50,000 Crompton & Knowles Corporation ........................ 1,034,375
57,000 Morton International, Inc. ............................ 1,396,500
------------
2,430,875
------------
COMPUTER INDUSTRY -- 5.8%
85,000 Electronic Data Systems Corporation ................... 4,271,250
18,000 International Business Machines Corporation ........... 3,325,500
------------
7,596,750
------------
CONSUMER PRODUCTS -- 2.8%
70,000 Fortune Brands, Inc.+ ................................. 2,213,750
50,000 Libbey, Inc. .......................................... 1,446,875
------------
3,660,625
------------
DISTRIBUTOR/WHOLESALER -- 0.9%
160,000 Unisource Worldwide, Inc. ............................. 1,160,000
------------
ELECTRONICS -- 5.7%
170,000 Input/Output, Inc.+ ................................... 1,243,125
56,000 Mattel, Inc. .......................................... 1,277,500
72,000 Philips Electronics N.V ............................... 4,873,500
------------
7,394,125
------------
FINANCIAL SERVICES -- 8.4%
68,000 Federal Home Loan Mortgage Corporation ................ 4,381,750
6,500 S&P Depository Receipts ............................... 801,531
70,000 Security Capital Group, Inc., Class B+ ................ 949,375
100,000 SLM Holding Corporation ............................... 4,800,000
------------
10,932,656
------------
HEALTH CARE -- 7.1%
35,000 Bausch & Lomb, Inc. ................................... 2,100,000
165,000 Columbia/HCA Healthcare Corporation ................... 4,083,750
200,000 HEALTHSOUTH Corporation+ .............................. 3,087,500
------------
9,271,250
------------
INSURANCE -- 4.9%
62,000 Aetna Inc.+ ........................................... 4,874,750
95,000 TIG Holdings, Inc. .................................... 1,478,438
------------
6,353,188
------------
IRON/STEEL -- 3.0%
145,000 Allegheny Teledyne, Inc. .............................. 2,963,438
61,000 British Steel Plc, ADR ................................ 892,125
------------
3,855,563
------------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICES -- 1.4%
100,000 Humana, Inc.+ ......................................... 1,781,250
------------
OIL AND GAS -- 11.5%
57,000 Ashland Inc.+ ......................................... 2,757,375
30,000 BP Amoco Plc, ADR ..................................... 2,850,000
28,000 Exxon Corporation ..................................... 2,047,500
130,000 MCN Energy Group, Inc.+ ............................... 2,478,125
50,000 Royal Dutch Petroleum Company ......................... 2,393,750
87,000 Sonat, Inc. ........................................... 2,354,438
------------
14,881,188
------------
PAPER & FOREST PRODUCTS -- 2.7%
41,000 International Paper Company+ .......................... 1,837,312
105,600 Schweitzer-Mauduit International, Inc. ................ 1,630,200
------------
3,467,512
------------
PHARMACEUTICALS -- 2.4%
26,400 Abbott Laboratories ................................... 1,293,600
33,000 Pharmacia & Upjohn, Inc.+ ............................. 1,868,625
------------
3,162,225
------------
RETAIL -- 4.7%
40,000 Federated Department Stores, Inc.+ .................... 1,742,500
260,000 Toys R Us, Inc.+ ...................................... 4,387,500
------------
6,130,000
------------
TELECOMMUNICATIONS -- 4.4%
55,000 Bellsouth Corporation ................................. 2,743,125
55,000 SBC Communications, Inc. .............................. 2,949,375
------------
5,692,500
------------
TOBACCO -- 12.4%
500,000 Dimon, Inc. ........................................... 3,593,750
81,500 Philip Morris Companies, Inc. ......................... 4,360,250
140,000 RJR Nabisco Holdings Corporation ...................... 4,156,250
115,000 UST, Inc .............................................. 4,010,625
------------
16,120,875
------------
WASTE DISPOSAL -- 4.0%
110,000 Waste Management, Inc. ................................ 5,128,750
------------
Total Common Stocks
(Cost $112,124,965) ................................. 117,675,269
------------
PRINCIPAL
AMOUNT
- ---------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 9.2%
(Cost $11,996,699)
$12,001,000 Federal Home Loan Bank,
4.565%++ due 01/04/1999 ............................. 11,996,699
------------
TOTAL INVESTMENTS (COST $124,121,664*) ......................... 99.9% 129,671,968
OTHER ASSETS AND LIABILITIES (NET) ............................. 0.1 112,529
----- ------------
NET ASSETS ..................................................... 100.0% $129,784,497
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $124,879,228.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- --------------------------------------------
Portfolio of Investments
- --------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 87.9%
AEROSPACE/DEFENSE -- 2.0%
5,650 AAR Corporation ....................................... $ 133,481
19,600 Cordant Technologies, Inc. ............................ 735,000
2,400 General Dynamics Corporation .......................... 140,700
3,700 Goodrich (B.F.) Company ............................... 132,737
2,100 Northrop Grumman Corporation .......................... 153,563
1,500 United Technologies Corporation ....................... 163,125
-----------
1,458,606
-----------
AIRLINES -- 0.9%
19,600 COMAIR Holdings, Inc. ................................. 661,500
-----------
APPAREL AND TEXTILES -- 2.6%
13,550 Guilford Mills, Inc. .................................. 226,116
13,800 Mohawk Industries, Inc.+ .............................. 580,462
2,100 Quiksilver, Inc.+ ..................................... 63,000
7,200 Russell Corporation ................................... 146,250
7,500 Shaw Industries, Inc. ................................. 181,875
6,300 Springs Industries, Inc., Class A ..................... 261,056
200 Tommy Hilfiger Corporation+ ........................... 12,000
3,000 V.F. Corporation ...................................... 140,625
7,100 The Warnaco Group, Inc., Class A ...................... 179,275
13,800 Wellman, Inc. ......................................... 140,588
-----------
1,931,247
-----------
AUTO RELATED -- 4.7%
17,600 Arvin Industries, Inc. ................................ 733,700
7,200 Borg-Warner Automotive, Inc. .......................... 401,400
2,500 Cummins Engine Company, Inc. .......................... 88,750
16,300 Ford Motor Company .................................... 956,606
1,900 General Motors Corporation ............................ 136,087
12,800 Navistar International Corporation+ ................... 364,800
10,000 PACCAR, Inc. .......................................... 411,250
13,800 Tower Automotive, Inc.+ ............................... 344,138
-----------
3,436,731
-----------
BANKS -- 1.0%
1,800 BSB Bancorp, Inc. ..................................... 59,175
700 Dime Bancorp, Inc. .................................... 18,506
1,900 GreenPoint Financial Corporation ...................... 66,737
2,800 Pacific Century Financial Corporation ................. 68,250
16,100 Roslyn Bancorp, Inc. .................................. 346,150
4,500 UnionBanCal Corporation ............................... 153,281
-----------
712,099
-----------
BUILDING MATERIALS AND PRODUCTS -- 3.0%
2,700 Armstrong World Industries, Inc.+ ..................... 162,844
21,200 Lafarge Corporation** ................................. 858,600
5,200 Masco Corporation ..................................... 149,500
8,900 NCI Building Systems, Inc.+ ........................... 250,312
2,700 Southdown, Inc. ....................................... 159,806
6,200 USG Corporation ....................................... 315,813
7,100 YORK International Corporation ........................ 289,769
-----------
2,186,644
-----------
CHEMICALS -- 1.0%
17,200 Ethyl Corporation ..................................... 99,975
8,200 Grace (W.R.) & Company ................................ 128,637
7,800 IMC Global, Inc. ...................................... 166,725
16,300 Schulman (A.), Inc. ................................... 369,806
-----------
765,143
-----------
COMPUTER INDUSTRY -- 5.8%
8,600 Adaptec, Inc.+ ........................................ 151,038
3,700 Affiliated Computer Services, Inc.+ ................... 166,500
1,700 American Online, Inc.+ ................................ 272,000
12,100 Apple Computer, Inc. .................................. 495,344
15,300 Avant Corporation+ .................................... 244,800
3,000 BMC Software, Inc.+ ................................... 133,688
4,900 Check Point Software Technologies, Ltd.+ .............. 224,481
1,800 Citrix Systems, Inc.+ ................................. 174,712
3,400 Computer Associates International, Inc. ............... 144,925
4,800 Computer Horizons Corporation+ ........................ 127,800
2,400 Compuware Corporation+ ................................ 187,500
900 Comverse Technology, Inc.+ ............................ 63,900
2,500 Dell Computer Corporation+ ............................ 182,969
2,100 EMC Corporation+ ...................................... 178,500
6,100 HBO & Company ......................................... 174,994
1,000 Keane, Inc. ........................................... 39,937
3,200 Legato Systems, Inc.+ ................................. 211,000
3,200 Mercury Interactive Corporation+ ...................... 202,400
1,300 Microsoft Corp. ....................................... 180,294
4,000 Network Appliance, Inc.+ .............................. 180,000
1,600 Oracle Corporation+ ................................... 69,000
5,800 Rational Software Corporation+ ........................ 153,700
2,600 Sykes Enterprises, Inc.+ .............................. 79,300
1,500 Symantec Corporation+ ................................. 32,625
2,700 Veritas Software Corporation+ ......................... 161,831
-----------
4,233,238
-----------
CONSUMER PRODUCTS -- 1.1%
3,300 Blyth Industries, Inc.+ ............................... 103,125
2,000 Estee Lauder Companies, Inc. .......................... 171,000
5,700 Maytag Corporation .................................... 354,825
1,600 Procter & Gamble Company .............................. 146,100
-----------
775,050
-----------
CONTAINERS AND PACKAGING -- 1.3%
12,600 Ball Corporation**+ ................................... 576,450
3,800 First Brands Corporation .............................. 149,862
5,900 Premark International, Inc. ........................... 204,288
2,900 Shorewood Packaging Corporation+ ...................... 59,450
-----------
990,050
-----------
CRUISELINES -- 0.6%
12,200 Royal Caribbean Cruises, Ltd. ......................... 451,400
-----------
DISTRIBUTOR/WHOLESALER -- 0.9%
1,800 CDW Computer Centers, Inc.+ ........................... 172,687
10,000 CHS Electronics, Inc.+ ................................ 169,375
6,700 Hughes Supply, Inc. ................................... 195,975
6,400 Owens & Minor, Inc. ................................... 100,800
-----------
638,837
-----------
ELECTRICAL PRODUCTS -- 1.0%
3,400 American Power Conversion Corporation+ ................ 164,688
2,700 Jabil Circuit, Inc.+ .................................. 201,487
8,600 Tecumseh Products Company, Class A .................... 400,975
-----------
767,150
-----------
ELECTRONICS -- 0.7%
3,200 AMP, Inc.+ ............................................ 166,600
200 Avnet, Inc. ........................................... 11,975
2,300 Flextronics International, Ltd.+ ...................... 196,937
3,800 GenRad, Inc. .......................................... 59,850
1,100 Sanmina Corporation+ .................................. 68,750
-----------
504,112
-----------
ENVIRONMENTAL SERVICES -- 0.0%#
38,600 Philip Services Corporation ........................... 12,062
-----------
FINANCIAL SERVICES -- 2.0%
22,900 AmeriCredit Corporation+ .............................. 316,306
1,400 Capital One Financial Corporaton ...................... 161,000
4,200 Countrywide Credit Industries, Inc. ................... 210,787
2,500 Federal Home Loan Mortgage Corporation ................ 161,094
2,100 Federal National Mortgage Association ................. 155,400
3,300 Healthcare Financial Partners, Inc.+ .................. 120,656
3,300 Old Kent Financial Corporation ........................ 153,450
2,400 Providian Financial Corporation ....................... 180,000
-----------
1,458,693
-----------
FOOD AND BEVERAGES -- 1.8%
3,000 Adolph Coors Company, Class B ......................... 169,312
1,000 Anheuser-Busch Companies, Inc. ........................ 65,625
2,800 Canandaigua Brands, Inc.+ ............................. 161,875
15,300 Chiquita Brands International+ ........................ 146,306
2,700 Flowers Industries, Inc. .............................. 64,631
5,600 IBP, Inc. ............................................. 163,100
10,700 Michael Foods, Inc. ................................... 321,000
4,600 The Robert Mondavi Corporation+ ....................... 188,025
1,200 Smithfield Foods, Inc.+ ............................... 40,650
-----------
1,320,524
-----------
HEALTHCARE -- 1.4%
2,300 Allergan, Inc.+ ....................................... 148,925
1,900 Amgen, Inc.+ .......................................... 198,669
1,700 Lilly (Eli) & Company ................................. 151,087
4,400 Lincare Holdings, Inc.+ ............................... 178,475
2,300 VISX, Inc.+ ........................................... 201,106
1,800 Waters Corporation+ ................................... 157,050
-----------
1,035,312
-----------
HOMEBUILDING AND LAND DEVELOPMENT -- 3.2%
13,000 Centex Corporation+ ................................... 585,813
8,000 Coachmen Industries, Inc. ............................. 210,000
6,600 Fleetwood Enterprises, Inc. ........................... 229,350
21,000 Kaufman and Broad Home Corporation .................... 603,750
6,400 Pulte Corporation ..................................... 178,000
7,600 Ryland Group, Inc. .................................... 219,450
10,900 Webb (Del E.) Corporation ............................. 300,431
-----------
2,326,794
-----------
HOTELS/RESORTS -- 0.4%
9,200 Extended Stay America, Inc.+ .......................... 96,600
10,900 Prime Hospitality Corporation ......................... 115,131
4,300 Starwood Hotels & Resorts Worldwide, Inc.+ ............ 97,556
-----------
309,287
-----------
HOUSEHOLD FURNISHINGS AND PRODUCTS -- 0.8%
17,000 Furniture Brands International, Inc.+ ................. 463,250
12,600 Interface, Inc. ....................................... 116,944
-----------
580,194
-----------
INDUSTRIAL PRODUCTS, SERVICES AND MACHINERY -- 1.5%
5,800 Applied Power Inc., Class A ........................... 218,950
4,700 Ingersoll-Rand Company ................................ 220,606
7,100 McDermott International, Inc. ......................... 175,281
17,300 Milacron, Inc. ........................................ 333,025
7,100 United Dominion Industries, Ltd. ...................... 144,663
-----------
1,092,525
-----------
INSURANCE -- 3.6%
3,800 AFLAC, Inc. ........................................... 167,200
1,900 CIGNA Corporation ..................................... 146,894
4,100 CMAC Investment Corporation ........................... 188,344
5,900 Conseco, Inc.+ ........................................ 180,319
8,700 Financial Security Assurance Holdings Ltd. ............ 471,975
1,800 Fremont General Corporation ........................... 44,550
13,300 Frontier Insurance Group, Inc. ........................ 171,237
1,500 IPC Holdings, Ltd. .................................... 34,781
3,000 Loews Corporation+ .................................... 294,750
14,100 Old Republic International Corporation ................ 317,250
900 PartnerRe, Ltd. ....................................... 41,175
1,000 The Progressive Corporation ........................... 169,375
300 Selective Insurance Group, Inc. ....................... 6,038
4,200 TIG Holdings, Inc. .................................... 65,363
5,200 Travelers Property Casualty Corporation, Class A ...... 161,200
2,700 UNUM Corporation ...................................... 157,613
-----------
2,618,064
-----------
IRON/STEEL -- 1.3%
9,900 AK Steel Holding Corporation .......................... 232,650
7,900 Cleveland-Cliffs, Inc. ................................ 318,469
6,400 Inland Steel Industries, Inc. ......................... 108,000
6,500 LTV Corporation ....................................... 37,781
11,500 USX-U.S. Steel Group, Inc.+ ........................... 264,500
-----------
961,400
-----------
MANUFACTURING -- 3.5%
4,700 Aeroquip-Vickers, Inc. ................................ 140,706
3,200 Albany International Corporation, Class A ............. 60,600
2,900 Briggs & Stratton Corporation ......................... 144,638
1,800 Carlisle Companies, Inc. .............................. 92,925
2,100 Crane Company ......................................... 63,394
400 Graco, Inc. ........................................... 11,800
13,000 Kellwood Company ...................................... 325,000
7,900 The Manitowoc Company, Inc. ........................... 350,562
18,400 Mark IV Industries, Inc. .............................. 239,200
1,200 Olin Corporation ...................................... 33,975
1,600 Perkin-Elmer Corporation .............................. 156,100
15,200 Smith (A.O.) Corporation .............................. 373,350
11,100 Trinity Industries, Inc. .............................. 427,350
2,300 Tyco International, Ltd. .............................. 173,506
-----------
2,593,106
-----------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICES -- 1.0%
4,900 Bergen Brunswig Corporation+ .......................... 170,887
4,500 Mallinckrodt, Inc.+ ................................... 138,656
1,800 PacifiCare Health Systems, Inc.+ ...................... 143,100
8,800 Total Renal Care Holdings, Inc.+ ...................... 260,150
-----------
712,793
-----------
MEDICAL PRODUCTS -- 0.1%
900 Medtronic, Inc. ....................................... 66,825
-----------
METAL FABRICATION -- 0.9%
13,900 Intermet Corporation .................................. 181,569
9,700 Quanex Corporation .................................... 218,250
13,100 Timken Company ........................................ 247,263
-----------
647,082
-----------
METALS AND MINING -- 1.1%
6,000 Alcan Aluminum Ltd. ................................... 162,375
6,600 Barrick Gold Corporation .............................. 128,700
8,600 Placer Dome, Inc. ..................................... 98,900
5,000 Reynolds Metals Company ............................... 263,438
3,900 Stillwater Mining Company+ ............................ 159,900
-----------
813,313
-----------
OFFICE EQUIPMENT AND SUPPLIES -- 1.0%
26,700 Miller (Herman), Inc. ................................. 717,562
-----------
OIL AND GAS -- 1.1%
6,300 Ashland, Inc.+ ........................................ 304,762
2,600 Eastern Enterprises ................................... 113,750
8,600 Equitable Resources, Inc. ............................. 250,475
5,400 Tidewater, Inc. ....................................... 125,213
2,300 Westcoast Energy, Inc. ................................ 45,713
-----------
839,913
-----------
PAPER AND FOREST PRODUCTS -- 0.9%
4,000 Boise Cascade Corporation+ ............................ 124,000
6,400 Bowater, Inc. ......................................... 265,600
6,100 Chesapeake Corporation ................................ 224,938
1,900 Glatfelter (P.H.) Company ............................. 23,512
-----------
638,050
-----------
PHARMACEUTICALS -- 0.2%
2,400 Medicis Pharmaceutical Corporation+ ................... 143,100
-----------
PRINTING AND FORMS -- 1.4%
4,700 Banta Corporation ..................................... 128,663
24,500 Bowne & Company, Inc. ................................. 437,938
2,600 Consolidated Graphics, Inc.+ .......................... 175,662
5,300 Harland (John H.) Company ............................. 82,481
1,400 Lexmark International Group, Inc., Class A+ ........... 140,700
1,300 New England Business Service, Inc. .................... 50,862
-----------
1,016,306
-----------
PUBLISHING -- 0.2%
2,800 Knight-Ridder, Inc. ................................... 143,150
-----------
REAL ESTATE INVESTMENT TRUSTS -- 3.9%
4,300 Apartment Investment & Management Company ............. 159,906
7,600 CarrAmerica Realty Corporation ........................ 182,400
1,900 Catellus Development Corporation+ ..................... 27,194
2,600 Duke Realty Investments, Inc. ......................... 60,450
14,900 Equity Office Properties Trust** ...................... 357,600
8,600 FelCor Lodging Trust, Inc. ............................ 198,338
3,300 First Industrial Realty Trust, Inc. ................... 88,481
2,800 General Growth Properties, Inc.+ ...................... 106,050
8,100 Highwoods Properties, Inc. ............................ 208,575
5,200 Irvine Apartment Communities, Inc. .................... 165,750
10,100 Liberty Property Trust ................................ 248,712
2,400 Macerich Company ...................................... 61,500
14,500 Prentiss Properties Trust ............................. 323,531
3,000 ProLogis Trust ........................................ 62,250
6,600 Public Storage, Inc. .................................. 178,613
7,300 Reckson Associates Realty Corporation ................. 161,969
4,100 Taubman Centers, Inc. ................................. 56,375
10,800 TrizecHahn Corporation ................................ 221,400
-----------
2,869,094
-----------
RECREATIONAL PRODUCTS -- 0.4%
4,600 Brunswick Corporation ................................. 113,850
1,900 Hasbro, Inc. .......................................... 68,637
2,900 Polaris Industries, Inc. .............................. 113,644
-----------
296,131
-----------
RENTAL/LEASING -- 0.2%
6,500 Avis Rent A Car, Inc.+ ................................ 157,219
-----------
RESTAURANTS -- 0.9%
15,300 Bob Evans Farms, Inc. ................................. 398,756
5,700 Brinker International, Inc.+ .......................... 164,587
3,000 CEC Entertainment, Inc.+ .............................. 83,250
900 Ryan's Family Steak Houses, Inc.+ ..................... 11,138
-----------
657,731
-----------
RETAIL -- 3.6%
6,000 AnnTaylor Stores Corp. ................................ 236,625
3,500 Best Buy Company, Inc.+ ............................... 214,813
9,000 Brown Group, Inc.+ .................................... 158,062
1,500 Dollar Tree Stores, Inc.+ ............................. 65,531
3,150 The Gap, Inc. ......................................... 177,187
1,300 Hollywood Entertainment Corporation+ .................. 35,425
1,700 Longs Drug Stores Corporation ......................... 63,750
3,700 Lowe's Companies, Inc. ................................ 189,394
7,200 Micro Warehouse, Inc.+ ................................ 243,450
5,200 Ross Stores, Inc.** ................................... 204,750
900 Talbots, Inc. ......................................... 28,238
28,300 The TJX Companies, Inc. ............................... 820,700
1,900 Wal-Mart Stores, Inc. ................................. 154,731
2,100 Zale Corporation+ ..................................... 67,725
-----------
2,660,381
-----------
SEMICONDUCTORS -- 0.7%
12,200 Cirrus Logic, Inc.+ ................................... 119,712
1,300 Intel Corporation ..................................... 154,131
6,800 Level One Communications, Inc.+ ....................... 241,400
-----------
515,243
-----------
SERVICES -- 2.1%
200 ACNielsen Corporation+ ................................ 5,650
4,800 American Management Systems, Inc.+ .................... 192,000
7,400 CIBER, Inc.+ .......................................... 206,738
5,800 Computer Task Group, Inc. ............................. 157,325
4,100 Deluxe Corporation .................................... 149,906
3,600 Fluor Corporation ..................................... 153,225
1,900 HA-LO Industries, Inc.+ ............................... 71,487
2,800 Jacobs Engineering Group, Inc.+ ....................... 114,100
1,900 McKesson Corporation+ ................................. 150,219
400 Pre-Paid Legal Services, Inc.+ ........................ 13,200
7,800 Romac International, Inc.+ ............................ 173,550
5,100 Sylvan Learning Systems, Inc.+ ........................ 155,550
-----------
1,542,950
-----------
SUPERMARKET CHAINS -- 0.8%
4,700 Great Atlantic & Pacific Tea Company .................. 139,237
16,000 SUPERVALU, Inc. ....................................... 448,000
-----------
587,237
-----------
TELECOMMUNICATIONS -- 2.6%
2,400 AT&T Corporation ...................................... 180,600
3,400 BellSouth Corporation ................................. 169,575
1,700 Cable Design Technologies Corporation+ ................ 31,450
2,600 Century Telephone Enterprises, Inc.+ .................. 175,500
6,000 ECI Telecommunications Ltd.+ .......................... 213,750
1,700 Lucent Technologies, Inc. ............................. 187,000
1,500 Nokia Oyj, ADR ........................................ 180,656
1,800 Sprint Corporation .................................... 151,425
16,900 Tekelec+ .............................................. 279,906
2,700 Tele Danmark A/S ADR .................................. 183,263
2,700 Tellabs, Inc.+ ........................................ 185,119
-----------
1,938,244
-----------
TOBACCO -- 0.9%
12,700 RJR Nabisco Holdings Corporation ...................... 377,031
7,500 Universal Corporation ................................. 263,438
-----------
640,469
-----------
TRANSPORTATION -- 3.5%
3,000 Alexander & Baldwin, Inc. ............................. 69,750
5,700 Burlington Northern Santa Fe Corporation+ ............. 192,375
3,300 Canadian National Railway Company ..................... 171,187
4,100 CNF Transportation, Inc.+ ............................. 154,006
10,400 GATX Corporation ...................................... 393,900
7,600 Hunt (J.B.) Transport Services, Inc. .................. 174,800
600 Laidlaw, Inc. ......................................... 6,038
11,800 Ryder System, Inc. .................................... 306,800
1,600 Swift Transportation Company, Inc.+ ................... 44,850
9,600 USFreightways Corporation ............................. 279,600
19,125 Varlen Corporation .................................... 441,070
7,300 XTRA Corporation+ ..................................... 302,038
-----------
2,536,414
-----------
UTILITIES -- 14.3%
13,100 Allegheny Energy, Inc.** .............................. 451,950
2,900 Ameren Corporation .................................... 123,794
11,400 Baltimore Gas & Electric Company+ ..................... 350,550
12,100 BEC Energy ............................................ 498,369
20,100 Central & South West Corporation** .................... 551,494
2,000 Consolidated Edison, Inc. ............................. 105,750
8,300 DTE Energy Company .................................... 355,863
11,100 Eastern Utilities Associates .......................... 313,575
19,200 Energy East Corporation ............................... 1,084,800
12,100 Entergy Corporation ................................... 376,613
10,000 Florida Progress Corporation** ........................ 448,125
16,700 GPU, Inc.**+ .......................................... 737,931
3,200 Houston Industries, Inc. .............................. 102,800
3,000 IPALCO Enterprises, Inc. .............................. 165,938
600 Kansas City Power & Light Company ..................... 17,775
3,000 Montana Power Company ................................. 169,687
8,300 New England Electric System ........................... 399,438
6,900 Northern States Power Company ......................... 191,475
11,000 OGE Energy Corporation ................................ 318,313
16,700 PECO Energy Company** ................................. 695,138
12,851 PG&E Corporation ...................................... 404,807
4,000 Pinnacle West Capital Corporation ..................... 169,500
6,700 Potomac Electric Power Company ........................ 176,294
10,400 PP&L Resources, Inc. .................................. 289,900
27,300 Public Service Company of New Mexico .................. 557,944
15,100 Public Service Enterprise Group, Inc. ................. 604,000
5,200 Sierra Pacific Resources .............................. 197,600
5,700 Unicom Corporation .................................... 219,806
10,200 UtiliCorp United, Inc. ................................ 374,213
-----------
10,453,442
-----------
Total Common Stocks
(Cost $59,508,620) .................................. 64,412,417
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- --------
U.S. TREASURY OBLIGATIONS -- 1.0%
(Cost $699,005)
U.S. TREASURY BILLS:
$ 700,000 4.052%**++ due 01/14/1999 ............................. $ 699,005
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 11.4%
2,846,000 Federal Home Loan Mortgage Corporation
4.565%+ due 01/04/1999 .............................. 2,844,933
3,000,000 Federal Home Loan Mortgage Corporation
5.235%+ due 01/14/1999 .............................. 2,994,497
2,500,000 Federal National Mortgage Association
5.197%+ due 01/15/1999 .............................. 2,495,080
-----------
Total U.S. Government Agency Obligations
(Cost $8,334,510) ................................... 8,334,510
-----------
TOTAL INVESTMENTS (COST $68,542,135*) .......................... 100.3% 73,445,932
OTHER ASSETS AND LIABILITIES (NET) ............................. (0.3) (185,319)
----- -----------
NET ASSETS ... ................................................. 100.0% $73,260,613
===== ===========
- -----------------
* Aggregate cost for Federal tax purposes was $69,110,916.
** Security is pledged as collateral for futures contracts.
+ Non-income producing security.
++ Annualized yield at date of purchase.
NUMBER OF UNREALIZED
CONTRACTS DEPRECIATION
FUTURES CONTRACTS -- LONG POSITION
2 S&P 500, March 1999 ............................ $ (44,222)
-----------
Net unrealized depreciation on futures
contracts -- Long Position ................... $ (44,222)
===========
- ------------------------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- --------------------------------------------
Portfolio of Investments
- --------------------------------------------
THE GCG TRUST
SMALL CAP SERIES
DECEMBER 31, 1998
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS -- 89.2%
ADVERTISING -- 1.5%
51,475 Outdoor Systems Inc.+ ................................. $ 1,544,250
20,000 Young & Rubicam Inc.+ ................................. 647,500
------------
2,191,750
------------
AIRLINES -- 2.0%
20,000 ASA Holdings, Inc. .................................... 610,000
28,300 Continental Airlines, Inc., Class B+ .................. 948,050
42,600 SkyWest, Inc. ......................................... 1,392,488
------------
2,950,538
------------
BANKING / FINANCIAL -- 2.6%
31,000 Dime Bancorp, Inc. .................................... 819,562
26,900 North Fork Bancorporation Inc. ........................ 643,919
103,400 Sovereign Bancorp Inc. ................................ 1,473,450
15,000 Wilmington Trust Corporation .......................... 924,375
------------
3,861,306
------------
BIO TECHNOLOGY -- 3.4%
17,000 Biogen, Inc.+ ......................................... 1,411,000
54,500 Centocor, Inc.+ ....................................... 2,459,313
24,500 IDEC Pharmaceuticals Corporation+ ..................... 1,151,500
------------
5,021,813
------------
BROADCASTING, RADIO AND TELEVISION -- 2.6%
27,000 Cablevision Systems Corporation, Class A+ ............. 1,355,063
20,500 Cox Radio, Inc., Class A+ ............................. 866,125
24,400 Jacor Communications, Inc.+ ........................... 1,570,750
------------
3,791,938
------------
COMMERCIAL SERVICES -- 2.2%
15,600 Dycom Industries, Inc.+ ............................... 891,150
21,800 Pittway Corporation, Class A .......................... 720,763
34,100 QRS Corporation+ ...................................... 1,636,800
------------
3,248,713
------------
COMMUNICATION -- 2.6%
21,400 Ascend Communications, Inc.+ .......................... 1,407,050
41,000 E-Tek Dynamics, Inc.+ ................................. 1,096,750
20,800 Newbridge Networks Corporation+ ....................... 631,800
18,000 Visual Networks Inc.+ ................................. 675,000
------------
3,810,600
------------
COMPUTER SOFTWARE AND SERVICES -- 10.6%
21,700 At Home Corporation, Class A+ ......................... 1,611,225
37,800 Ceridian Corporation+ ................................. 2,638,912
25,000 Citrix Systems, Inc.+ ................................. 2,426,562
67,500 Dendrite International, Inc.+ ......................... 1,685,391
32,200 Excite, Inc.+ ......................................... 1,354,412
18,000 IMS Health, Inc. ...................................... 1,357,875
5,000 Inktomi Corporation+ .................................. 646,875
20,200 Intuit Inc.+ .......................................... 1,464,500
25,000 Keane Inc.+ ........................................... 998,437
45,800 Maxtor Corporation+ ................................... 641,200
22,800 Seibel Systems, Inc.+ ................................. 773,775
------------
15,599,164
------------
CONSUMER DURABLES -- 0.5%
23,000 WestPoint Stevens Inc.+ ............................... 725,938
------------
ELECTRONICS -- 2.4%
42,000 ASM Lithography Holding Ltd.+ ......................... 1,281,000
35,900 Sanmina Corporation+ .................................. 2,243,750
------------
3,524,750
------------
FINANCIAL SERVICES -- 4.2%
42,200 The BISYS Group, Inc.+ ................................ 2,178,575
54,800 The Finova Group Inc. ................................. 2,955,775
57,700 National Commerce Bancorporation ...................... 1,085,481
------------
6,219,831
------------
FOOD AND BEVERAGES -- 0.9%
41,800 Earthgrains Company ................................... 1,293,188
------------
FOOD -- RETAIL -- 3.2%
143,200 Food Lion, Inc., Class A .............................. 1,521,500
58,200 Starbucks Corporation+ ................................ 3,266,475
------------
4,787,975
------------
FURNITURE, HOME AND OFFICE -- 1.8%
36,300 Ethan Allen Interiors Inc. ............................ 1,488,300
20,000 Furniture Brands International, Inc.+ ................. 545,000
32,000 Leggett & Platt Inc. .................................. 704,000
------------
2,737,300
------------
HEALTH MAINTENANCE -- 3.4%
35,000 Elan Corporation PLC, ADR+ ............................ 2,434,688
75,500 Omnicare Inc. ......................................... 2,623,625
------------
5,058,313
------------
HOME BUILDING -- 0.4%
22,000 Champion Enterprises, Inc.+ ........................... 602,250
------------
HOSPITAL MANAGEMENT AND SERVICES -- 1.0%
49,000 Hooper Holmes, Inc. ................................... 1,421,000
------------
MEDICAL SERVICES -- 3.6%
57,800 Health Management Associates, Inc., Class A+ .......... 1,249,925
7,500 IMPATH Inc.+ .......................................... 198,750
98,000 Medquist Inc.+ ........................................ 3,871,000
------------
5,319,675
------------
MEDICAL SUPPLIES -- 3.8%
131,000 Bergen Brunswig Corporation ........................... 4,568,625
25,500 Biomet, Inc. .......................................... 1,026,375
------------
5,595,000
------------
PHARMACEUTICALS -- 7.9%
78,900 ALZA Corporation+ ..................................... 4,122,525
51,200 Forest Laboratories, Inc.+ ............................ 2,723,200
49,200 Medimmune Inc.+ ....................................... 4,892,325
------------
11,738,050
------------
RESTAURANTS -- 3.0%
16,808 CKE Restaurants, Inc. ................................. 494,785
99,700 Outback Steakhouse, Inc.+ ............................. 3,975,538
------------
4,470,323
------------
RETAIL -- 21.6%
22,000 Amazon.com, Inc.+ ..................................... 7,067,500
93,800 Bed Bath & Beyond Inc.+ ............................... 3,200,925
82,000 BJ's Wholesale Club, Inc.+ ............................ 3,797,625
34,400 Borders Group+ ........................................ 857,850
4,000 eBay Inc.+ ............................................ 965,000
109,300 Family Dollar Stores Inc. ............................. 2,404,600
40,200 Fred Meyer Inc.+ ...................................... 2,422,050
64,400 Linens 'N Things Inc.+ ................................ 2,551,850
108,300 Office Depot, Inc.+ ................................... 4,000,331
40,900 Rent-Way, Inc.+ ....................................... 994,381
88,500 Williams-Sonoma, Inc.+ ................................ 3,567,656
------------
31,829,768
------------
TRANSPORTATION/SERVICES -- 3.0%
43,100 Coach USA Inc.+ ....................................... 1,495,031
59,100 Kansas City Southern Industries, Inc. ................. 2,906,981
------------
4,402,012
------------
WHOLESALE DISTRIBUTORS -- 1.0%
30,400 U.S. Foodservice, Inc.+ ............................... 1,489,600
------------
Total Common Stocks
(Cost $100,287,491) ................................. 131,690,795
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
COMMERCIAL PAPER -- 8.1%
$2,300,000 Bayerische Barrons,
5.898%++ due 01/05/1999 ............................ 2,298,518
1,200,000 CSC Enterprises,
5.854%++ due 01/14/1999 ............................. 1,197,552
2,200,000 Eagle Funding,
5.847%++ due 01/19/1999 ............................. 2,193,730
900,000 Ford Motor Credit Corp.,
5.717% due++ 01/08/1999 ............................. 899,004
400,000 Paribas Finance,
6.010%++ due 01/05/1999 ............................. 399,735
2,500,000 Twin Towers,
5.063%++ due 01/13/1999 ............................. 2,495,875
2,500,000 Woodstreet Funding,
5.220%++ due 01/07/1999 ............................. 2,497,896
------------
Total Commercial Paper
(Cost $11,982,310) .................................. 11,982,310
------------
TOTAL INVESTMENTS (COST $112,269,801*) ......................... 97.3% 143,673,105
OTHER ASSETS AND LIABILITIES (NET) ............................. 2.7 4,023,341
----- ------------
NET ASSETS ..................................................... 100.0% $147,696,446
===== ============
- -----------------
* 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.
</TABLE>
<PAGE>
<TABLE>
- --------------------------------------------
Portfolio of Investments
- --------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 97.9%
AUSTRALIA -- 2.0%
<S> <C> <C>
79,100 AMP Ltd..+** .......................................... $ 1,002,168
348,800 Cable & Wireless Optus Ltd..+ ......................... 733,144
95,600 Coles Myer Ltd. ....................................... 500,890
118,600 Woolworth Ltd. ........................................ 403,799
------------
2,640,001
------------
BRAZIL -- 0.0%#
3,100 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ................................. 48,050
------------
CANADA -- 1.4%
25,100 BCE Mobile Communications Inc.+ ....................... 680,017
42,300 Bombardier Inc., Class B+ ............................. 607,520
26,700 The CGI Group, Inc., Class A+ ......................... 518,557
19 Northern Telecom Ltd. ................................. 950
------------
1,807,044
------------
DENMARK -- 1.0%
9,400 Tele Danmark AS ....................................... 1,268,743
------------
FINLAND -- 1.5%
14,800 Oy Nokia AB, Class A .................................. 1,799,586
14,400 Sonera Group .......................................... 254,170
------------
2,053,756
------------
FRANCE -- 8.0%
7,424 Axa + ................................................. 1,075,557
2,125 Accor SA .............................................. 459,891
5,745 Cap Gemini SA ......................................... 921,707
7,090 Equant NV+ ............................................ 493,168
760 L'OREAL ............................................... 549,168
1,435 Promodes .............................................. 1,043,076
3,724 Sanofi SA ............................................. 612,785
9,400 STMicroelectronics NV+ ................................ 739,760
11,316 Sidel SA .............................................. 959,360
5,629 Societe Television Francaise 1 ........................ 1,001,763
4,977 Sodexho Alliance ...................................... 1,112,726
1,396 Synthelabo ............................................ 295,380
5,525 Vivendi ............................................... 1,432,883
------------
10,697,224
------------
GERMANY -- 2.6%
2,258 Allianz AG+ ........................................... 827,940
15,229 Bayerische Hypotheken-NY+ ............................. 1,192,657
12,959 Mannesmann AG ......................................... 1,485,384
------------
3,505,981
------------
GREAT BRITAIN -- 7.7%
142,500 Cable & Wireless Communications PLC + ................. 1,300,734
17,700 CMG PLC+ .............................................. 448,791
290,500 Coca-Cola Beverages PLC+ .............................. 507,150
86,400 Compass Group PLC ..................................... 989,051
1 Dixons Group PLC ...................................... 11
36,543 Glaxo Wellcome PLC, ADR ............................... 1,256,481
24,000 HSBC Holdings PLC ..................................... 597,863
136,300 Misys PLC ............................................. 992,026
73,300 Orange PLC+ ........................................... 851,278
61,200 SEMA Group PLC ........................................ 600,859
68,208 SmithKline Beecham PLC ................................ 952,611
21,600 Smiths Industries PLC ................................. 307,956
97,500 Vodafone Group ........................................ 1,582,179
------------
10,386,990
------------
GREECE -- 0.8%
466 Hellenic Telecommunication Organization SA (OTE), GDR . 6,175
40,000 Hellenic Telecommunication Organization SA ............ 1,064,742
------------
1,070,917
------------
IRELAND -- 1.9%
47,400 Allied Irish Banks PLC ................................ 847,739
27,100 CRH PLC ............................................... 467,548
17,700 Elan Corporation PLC, ADR ............................. 1,231,256
------------
2,546,543
------------
ITALY -- 5.0%
76,770 Alleanza Assicurazioni ................................ 1,084,145
27,300 Assicurazioni Generali ................................ 1,139,254
109,000 Banca Intesa SPA+ ..................................... 653,624
206,500 Credito Italiano ...................................... 1,223,301
91,200 La Rinascente SPA ..................................... 937,400
53,400 Mediolanum SPA ........................................ 395,627
180,300 Telecom Italia Mobile SPA+ ............................ 1,330,346
------------
6,763,697
------------
JAPAN -- 7.9%
8,600 Aiful Corporation ..................................... 522,065
25,000 Fujitsu Ltd. .......................................... 332,950
6,000 ITO EN, Ltd. .......................................... 309,544
55,550 Kao Corporation ....................................... 1,253,506
25,000 Matsushita Communication Industrial Company, Ltd. ..... 1,179,151
12,000 Murata Manufacturing Company, Ltd. .................... 498,031
43 Nippon Telegraph & Telephone Corporation .............. 331,808
10,900 Promise Company, Ltd. ................................. 567,161
10,000 Secom Company, Ltd. ................................... 828,282
12,000 Seven-Eleven Japan Company, Ltd. ...................... 966,329
1,800 Shohkoh Fund Company .................................. 579,797
29,000 Takeda Chemical Industries ............................ 1,116,322
10,800 Takefuji Corporation** ................................ 788,461
4,000 TDK Corporation ....................................... 365,648
400 Toyko Electron Ltd. ................................... 15,185
31,000 Yamanouchi Pharmaceutical Company, Ltd. ............... 998,540
------------
10,652,780
------------
NETHERLANDS -- 5.4%
7,400 AEGON NV .............................................. 908,309
9,950 Benckiser NV, Class B ................................. 651,435
12,900 Fortis Amev NV ........................................ 1,068,420
15,800 Heineken NV ........................................... 950,338
31,400 Koninklijke Ahold NV .................................. 1,159,930
10,800 Koninklijke Numico NV ................................. 514,505
17,700 VNU NV ................................................ 667,036
6,000 Wolters Kluwer NV ..................................... 1,283,228
------------
7,203,201
------------
PHILIPPINES -- 0.0%#
54,350 International Container Terminal Services, Inc. ....... 4,541
------------
PORTUGAL -- 1.6%
24,600 Banco Comercial Portugues, SA ......................... 756,646
21,400 Banco Portuges do Atlantico+ .......................... 438,772
4,763 Telecel-Comunicacaoes Pessoais, SA .................... 974,063
------------
2,169,481
------------
SPAIN -- 1.1%
9,000 Bankinter, SA ......................................... 331,199
32,320 Centros Comerciales Continente, SA .................... 1,093,859
------------
1,425,058
------------
SWITZERLAND -- 1.5%
96 Julius Baer Holding Ltd.., Zurich, Class A ............ 319,068
495 Novartis AG ........................................... 973,062
953 Zurich Allied AG ...................................... 705,643
------------
1,997,773
------------
UNITED STATES -- 48.5%
6,500 AirTouch Communications, Inc.+ ........................ 468,813
2,500 America Online, Inc.+ ................................. 400,000
3,000 American Express Company .............................. 306,750
5,500 American General Corporation .......................... 429,000
10,350 American International Group, Inc. .................... 1,000,069
9,400 Ascend Communications, Inc.+ .......................... 618,050
7,800 Associates First Capital Corporation, Class A ......... 330,525
14,500 BMC Software, Inc.+ ................................... 646,156
10,800 Bristol-Myers Squibb Company .......................... 1,445,175
29,122 CVS Corporation ....................................... 1,601,710
7,700 Cardinal Health, Inc. ................................. 584,238
18,000 Carnival Corporation .................................. 864,000
7,000 Centocor, Inc.+ ....................................... 315,875
3,200 Charter One Financial, Inc. ........................... 88,800
7,775 Cisco Systems, Inc.+ .................................. 721,617
3,500 Clorox Company ........................................ 408,844
7,200 Colgate-Palmolive Company ............................. 668,700
9,300 Comerica Inc. ......................................... 634,144
9,100 Computer Sciences Corporation+ ........................ 586,381
6,900 Compuware Corporation ................................. 539,062
16,800 Costco Companies, Inc. ................................ 1,212,750
8,000 Dell Computer Corporation+ ............................ 585,500
12,800 EMC Corporation ....................................... 1,088,000
7,200 The Estee Lauder Companies Inc., Class A .............. 615,600
16,200 Exxon Corporation ..................................... 1,184,625
23,600 Freddie Mac ........................................... 1,520,725
7,200 Fifth Third Bancorp ................................... 513,450
9,292 Firstar Corporation ................................... 866,479
6,500 The GAP, Inc. ......................................... 365,625
16,600 General Electric Company .............................. 1,694,238
8,100 General Instrument Corporation+ ....................... 273,881
29,100 HBO & Company ......................................... 834,806
20,300 The Home Depot, Inc. .................................. 1,242,106
7,300 IMS Health Inc. ....................................... 550,694
12,500 Intel Corporation ..................................... 1,482,031
9,400 International Business Machines Corporation ........... 1,736,650
11,900 Interpublic Group of Companies, Inc. .................. 949,025
5,200 The Kroger Company+ ................................... 314,600
12,700 Lilly (Eli) & Company ................................. 1,128,713
18,500 Lucent Technologies, Inc. ............................. 2,035,000
26,500 MBNA Corporation ...................................... 660,844
23,500 MCI WorldCom, Inc.+ ................................... 1,686,125
11,700 Masco Corporation ..................................... 336,375
3,500 McKesson Corporation .................................. 276,719
4,600 Merrill Lynch & Company, Inc. ......................... 307,050
16,900 Microsoft Corporation+ ................................ 2,343,819
6,500 Micron Technology, Inc.+ .............................. 328,656
14,200 PECO Energy Company ................................... 591,075
10,900 Pfizer Inc. ........................................... 1,367,269
9,900 Philip Morris Companies Inc. .......................... 529,650
8,700 Pitney Bowes, Inc. .................................... 574,744
6,390 Providian Financial Corporation ....................... 479,250
6,400 The Quaker Oats Company ............................... 380,800
6,100 Quintiles Transnational Corporation+ .................. 325,588
20,600 SBC Communications Inc. ............................... 1,104,675
19,700 Safeway Inc.+ ......................................... 1,200,469
15,600 Sara Lee Corporation .................................. 439,725
29,900 Schering-Plough Corporation ........................... 1,651,975
13,400 Sprint Corporation .................................... 1,127,275
5,000 Sun Microsystems, Inc.+ ............................... 428,125
7,900 SunAmerica Inc. ....................................... 640,887
30,600 TJX Companies Inc. .................................... 887,400
16,700 Tele Communications, Inc.+ ............................ 923,719
27,800 Tele-Comunnications-TCI, Class A+ ..................... 655,037
5,800 3Com Corporation+ ..................................... 259,912
28,700 Time Warner Inc. ...................................... 1,781,194
8,000 Tricon Global Restaurants, Inc. ....................... 401,000
29,100 Tyco International Ltd. ............................... 2,195,231
5,900 United Technologies Corporation ....................... 641,625
13,300 Viacom Inc., Class B+ ................................. 984,200
26,200 Wal-Mart Stores, Inc. ................................. 2,133,663
18,900 Walgreen Company ...................................... 1,106,831
21,100 Warner-Lambert Company ................................ 1,586,456
15,300 Waste Management, Inc. ................................ 713,363
29,000 Wells Fargo & Company ................................. 1,158,188
------------
65,061,321
------------
Total Common Stocks
(Cost $105,800,104) ................................. 131,303,101
------------
PRINCIPAL
AMOUNT
- ---------
REPURCHASE AGREEMENT -- 2.3%
(Cost $3,083,000)
$3,083,000 Agreement with Merrill Lynch, 4.800% dated 12/31/1998
to be repurchased at $3,084,644 on 01/04/1999,
collateralized by $2,285,000 U.S. Treasury Bonds,
8.125% due 08/15/2021 (Market value $3,158,429) ..... 3,083,000
------------
TOTAL INVESTMENTS (COST $108,884,178*)......................... 100.2% 134,386,101
OTHER ASSETS AND LIABILITIES (NET) ............................ (0.2) (308,313)
----- ------------
NET ASSETS..................................................... 100.0% $134,077,788
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $109,522,087.
** Illiquid security (Note 4).
+ Non-income producing security.
# Amount is less than 0.1%.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
- --------------------------------------------
Portfolio of Investments -- (Continued)
- --------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1998
The summary of investments by industry classification of the Managed Global
Series at December 31, 1998 was as follows:
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- ----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Financial Services ........................................... 9.2% $ 12,340,167
Medical Supplies & Services .................................. 7.3 9,844,463
Communication / Telecommunications ........................... 16.1 21,652,435
Technology ................................................... 0.5 641,625
Food and Beverage Products ................................... 2.3 3,102,062
Oil and Gas .................................................. 0.9 1,184,625
Durable Goods ................................................ 0.7 875,438
Insurance .................................................... 6.9 9,201,463
Electronics .................................................. 2.3 3,063,664
Banks ........................................................ 3.8 5,074,985
Drugs ........................................................ 5.5 7,333,893
Retail ....................................................... 12.4 16,619,497
Services ..................................................... 5.2 6,958,438
Machinery/Equipment .......................................... 0.7 959,360
Computer Industry ............................................ 9.3 12,488,337
Nondurable Goods ............................................. 3.5 4,676,903
Utility ...................................................... 1.7 2,285,313
Recreation/Entertainment ..................................... 1.0 1,323,891
Transportation ............................................... 0.0 4,541
Office Supplies and Equipment ................................ 0.4 574,744
Printing/Publishing .......................................... 1.4 1,950,263
Manufacturing ................................................ 3.3 4,456,119
Multimedia ................................................... 3.5 4,690,875
------ ------------
TOTAL LONG TERM INVESTMENTS .................................. 97.9 131,303,101
REPURCHASE AGREEMENT ......................................... 2.3 3,083,000
------ ------------
TOTAL INVESTMENTS ............................................ 100.2 134,386,101
OTHER ASSETS AND LIABILITIES ................................. (0.2) (308,313)
------ ------------
NET ASSETS ................................................... 100.0% $134,077,788
===== ============
</TABLE>
<TABLE>
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO BUY
<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>
02/03/1999 DKK 1,819,000 $39,618 $46,203 $6,585
------
</TABLE>
<TABLE>
FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO SELL
CONTRACTS TO DELIVER
-------------------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
- ---------- -------- ----------- ---------- --------------
<S> <C> <C> <C> <C>
02/03/1999 DKK 1,819,000 $40,694 $46,203 (5,509)
-----
Net Unrealized Appreciation of Forward Foreign Exchange Contracts ............ $1,076
======
- ------------------------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
DKK -- Danish Krona
GDR -- Global Depository Receipt
- ------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
</TABLE>
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
- ------ --------
COMMON STOCKS -- 92.7%
APPAREL AND TEXTILES -- 1.2%
2,300 V.F. Corporation ..................................... $ 107,812
----------
AUTO RELATED -- 4.5%
4,250 General Motors Corporation ........................... 304,406
2,500 PACCAR, Inc. ......................................... 102,812
----------
407,218
----------
BANKS -- 1.4%
2,010 BankAmerica Corporation .............................. 120,851
----------
BROADCAST, RADIO & TELEVISION -- 1.4%
5,100 Fox Entertainment Group, Inc., Class A+ .............. 128,456
----------
CAPITAL GOODS -- 1.1%
2,600 Applied Power, Inc., Class A ......................... 98,150
----------
CHEMICALS -- 4.4%
3,250 The Dow Chemical Company ............................. 295,547
3,400 Nalco Chemical Company ............................... 105,400
----------
400,947
----------
COMPUTER INDUSTRY -- 9.8%
9,900 Avid Technology, Inc.+ ............................... 231,413
1,500 Computer Sciences Corporation+ ....................... 96,656
3,500 Comverse Technology, Inc.+ ........................... 248,500
6,400 Data General Corporation+ ............................ 105,200
4,100 Electronic Data Systems Corporation .................. 206,025
----------
887,794
----------
CONSUMER PRODUCTS -- 4.0%
3,100 Masco Corporation .................................... 89,125
1,650 Unilever NV .......................................... 136,847
2,500 Whirlpool Corporation+ ............................... 138,437
----------
364,409
----------
DISTRIBUTOR/WHOLESALER -- 1.1%
9,500 Fleming Companies, Inc. .............................. 98,563
----------
ELECTRONICS -- 1.7%
900 Matsushita Electric Industrial Company, Ltd., ADR 157,050
----------
ENTERTAINMENT -- 1.3%
1,900 Time Warner, Inc. .................................... 117,919
----------
FINANCIAL SERVICES -- 4.7%
1,400 Capital One Financial Corporation .................... 161,000
2,950 Golden West Financial Corporation .................... 270,478
----------
431,478
----------
FOOD & BEVERAGES -- 1.1%
3,450 Dole Food Company, Inc. .............................. 103,500
----------
HEALTH CARE -- 3.2%
2,600 Bausch & Lomb, Inc. .................................. 156,000
7,900 First Health Group Corporation+ ...................... 130,844
----------
286,844
----------
HOTELS/RESORTS -- 1.1%
7,300 Host Marriott Corporation+ ........................... 100,831
----------
INSURANCE -- 1.7%
1,550 Loews Corporation+ ................................... 152,287
----------
IRON/STEEL -- 0.9%
2,450 Carpenter Technology Corporation ..................... 83,147
----------
MANUFACTURING -- 7.1%
5,500 The Manitowoc Company, Inc. .......................... 244,062
8,800 Raychem Corporation .................................. 284,350
1,600 Tyco International, Ltd. ............................. 120,700
----------
649,112
----------
METALS AND MINING -- 3.3%
2,350 Alcoa, Inc. .......................................... 175,222
2,700 Rio Tinto Plc, ADR ................................... 122,344
----------
297,566
----------
OIL AND GAS -- 5.6%
4,700 Amerada Hess Corporation+ ............................ 233,825
2,550 Schlumberger, Ltd. ................................... 117,619
17,150 Union Pacific Resources Group, Inc. .................. 155,422
----------
506,866
----------
PAPER AND FOREST PRODUCTS -- 6.6%
6,800 Boise Cascade Corporation+ ........................... 210,800
3,150 Chesapeake Corporation ............................... 116,156
3,900 International Paper Company+ ......................... 174,769
3,900 Westvaco Corporation ................................. 104,569
----------
606,294
----------
PUBLISHING/PRINTING SERVICES -- 2.9%
6,000 Donnelley (R.R.) & Sons Company ...................... 262,875
----------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
730 Crestline Capital Corporation+ ....................... 10,676
----------
RETAIL -- 5.4%
2,200 Dayton Hudson Corporation ............................ 119,350
7,300 Nordstrom, Inc. ...................................... 253,219
4,100 The TJX Companies, Inc. .............................. 118,900
----------
491,469
----------
SEMICONDUCTORS -- 1.4%
2,050 Motorola, Inc. ....................................... 125,178
----------
SERVICES -- 2.1%
5,550 Snyder Communications, Inc. .......................... 187,313
----------
TELECOMMUNICATIONS -- 4.3%
13,250 Aspect Telecommunications Corporation+ ............... 228,563
1,400 Nokia Corporation, ADR ............................... 168,613
----------
397,176
----------
TRANSPORTATION -- 8.1%
3,500 Canadian National Railway Company .................... 181,562
2,450 FDX Corporation+ ..................................... 218,050
5,600 Swift Transportion Company, Inc.+ .................... 156,975
3,900 Union Pacific Corporation ............................ 175,744
----------
732,331
----------
WASTE DISPOSAL -- 1.2%
6,000 Republic Services, Inc.+ ............................. 110,625
----------
Total Common Stocks
(Cost $7,969,882) .................................... 8,424,737
----------
TOTAL INVESTMENTS (COST $7,969,882*) .................. 92.7% 8,424,737
OTHER ASSETS AND LIABILITIES (NET) .................... 7.3 666,179
----- ----------
NET ASSETS.............................................. 100.0%
===== ==========
- -----------------
* Aggregate cost for Federal tax purposes was $8,079,189.
+ Non-income producing security.
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 79.8%
ARGENTINA -- 5.4%
15,000 Minorco S.A ....................................... $ 233,776
4,200 Telefonica de Argentina, S.A., ADR ................ 117,337
4,500 YPF Sociedad Anonima, S.A., ADR ................... 125,719
----------
476,832
----------
BRAZIL --7.5%
8,966 Cemig Energetica de Minas Gerais .................. 172,595
23,000 Centrais Eletricas Brasileiras S.A., ADR .......... 199,801
5,900 Cia Vale Do Rio Doce S.A., ADR .................... 75,579
3,000,000 Embratel Participacoes S.A., ADR+ ................. 26,071
6,600 Petroleo Brasileiro S.A., ADR ..................... 74,836
3,000,000 Tele Celular Sul Participacoes S.A., ADR+ ......... 2,781
3,000,000 Tele Centro Oeste Celular Participacoes S.A., ADR+ 2,359
3,000,000 Tele Centro Sul Participacoes S.A., ADR+ .......... 19,863
3,000,000 Tele Leste Celular Participacoes S.A., ADR+ ....... 1,192
3,000,000 Telemig Celular Participacoes S.A., ADR+ .......... 2,110
3,000,000 Tele Nordeste Celular Participacoes S.A., ADR+ 1,515
3,000,000 Tele Norte Celular Participacoes S.A., ADR+ ....... 968
3,000,000 Tele Norte Leste Participacoes S.A., ADR+ ......... 24,581
3,000,000 Tele Sudeste Celular Participacoes S.A., ADR+ ..... 8,442
3,000,000 Telesp Celular Participacoes S.A., ADR+ ........... 12,911
3,000,000 Telesp Participacoes S.A., ADR+ ................... 38,485
----------
664,089
----------
CHILE -- 2.2%
5,000 Cia. de Telecomunicaciones de Chile S.A.,
ADR ............................................. 103,437
1,600 Enersis S.A., ADR ................................. 41,300
1,500 Sociedad Quimica Y Minera de Chile S.A.,
ADR ............................................. 50,531
----------
195,268
----------
CHINA -- 0.8%
9,660 Yanzhou Coal Mining Company, Ltd. S.A., ADR 73,054
----------
CZECHOSLOVAKIA -- 2.7%
7,240 Ceske Radiokomunikace, GDR+** ..................... 233,490
----------
EGYPT -- 1.6%
23,666 Egyptian Mobile Phone Network + ................... 144,009
----------
GREAT BRITAIN -- 2.0%
6,000 Al Ahram Beverage, GDR** .......................... 173,250
----------
GREECE -- 7.5%
900 Alpha Credit Bank ................................. 93,962
2,088 ASE, GDR** ........................................ 19,366
3,600 Commercial Bank of Greece ......................... 354,238
7,100 Hellenic Telecommunication Organization S.A ....... 188,992
----------
656,558
----------
HONG KONG -- 1.7%
1,400 China Telecom (Hong Kong) Ltd., ADR + ............. 48,650
35,000 New World Infrastructure Ltd. + ................... 51,274
25,000 Shanghai Industrial Holdings Ltd .................. 50,500
----------
150,424
----------
INDIA -- 8.6%
4,000 BSES Ltd., GDR+** ................................. 51,000
6,200 BSES Ltd., GDR+ ................................... 79,050
4,000 Hindalco Industries Ltd., GDR** ................... 46,900
9,000 I.T.C. Ltd, GDR ................................... 200,475
4,000 Mahanagar Telephone Nigam Ltd., GDR ............... 48,800
5,500 Mahanagar Telephone Nigam Ltd., GDR** ............. 67,100
6,000 State Bank of India, GDR .......................... 49,950
5,600 Videsh Sanchar Nigam Ltd., GDR** .................. 68,600
11,600 Videsh Sanchar Nigam Ltd., GDR .................... 142,100
----------
753,975
----------
ISRAEL -- 4.0%
110,000 Bank Leumi Le-Israel .............................. 155,369
5,500 ECI Telecommunications Ltd.+ ...................... 195,937
----------
351,306
----------
KOREA -- 2.0%
9,300 L.G. Chemical Ltd, GDR**+ ......................... 172,980
132 Samsung Electronics, GDR** ........................ 5,115
----------
178,095
----------
MALAYSIA -- 0.7%
21,000 Berjaya Sports Toto Berhad ........................ 19,908
66,000 YTL Power International Berhad .................... 39,468
----------
59,376
----------
MEXICO -- 4.0%
16,940 Corporacion Interamericana de Entretenimiento S.A.,
Class B+ ........................................ 46,177
2,259 Corporacion Interamericana de Entretenimiento S.A.,
Class L+ ........................................ 4,675
2,000 Fomento Economico Mexicano, S.A. de C.V., ADR ..... 53,250
50,000 Grupo Financiero Banamex Accival, S.A. de C.V 65,522
21,000 Grupo Mexico S.A .................................. 46,643
6,400 Grupo Radio Centro S.A. de C.V., ADR .............. 34,400
2,000 Telefonos de Mexico S.A., ADR ..................... 97,375
----------
348,042
----------
PHILIPPINES -- 2.5%
40,000 Bank of Phillipine Islands ........................ 84,833
19,300 Manila Electric Company ........................... 62,018
2,700 Philippine Long Distance Telephone Company, ADR ... 70,031
----------
216,882
----------
POLAND -- 0.7%
1,100 Bank Handlowy W. Warzawie** ....................... 14,245
2,700 Prokom Software, GDR** ............................ 50,895
----------
65,140
----------
PORTUGAL -- 4.6%
3,400 Brisa-Auto Estradas de Portugal, S.A .............. 200,229
4,200 Sonae Investimentos-Sociedade Gestora de
Participacoes Sociais, S.A ...................... 204,272
----------
404,501
----------
RUSSIA -- 0.2%
1,400 LUKoil Holding, ADR ............................... 22,400
----------
SOUTH AFRICA -- 9.2%
5,000 AngloGold Ltd. .................................... 194,559
46,205 Barlow Ltd ........................................ 177,282
25,690 B.O.E. Corporation Ltd. ........................... 14,611
21,159 Liberty Life Association of Africa Ltd. ........... 290,969
150,000 Molope Foods Ltd.+ ................................ 134,332
1 Randfontein Estates Ltd.+ ......................... 1
----------
811,754
----------
SOUTH KOREA -- 0.7%
1,600 Samsung Electronics, GDR+** ....................... 62,000
----------
TAIWAN -- 4.6%
6,500 Standard Foods Taiwan Ltd., GDR**+ ................ 62,562
5,662 Synnex Technology International Corporation, GDR+ . 100,501
6,000 Taiwan Semiconductor Manufacturing Company, Ltd.,
ADR+ ............................................ 85,125
24,520 Yageo Corporation, GDR** .......................... 159,380
----------
407,568
----------
THAILAND -- 3.5%
9,400 BEC World Public Company Ltd. (Foreign)** ......... 49,133
240,000 Industrial Finance Corporation of Thailand ........ 99,037
100,000 Krung Thai Bank Public Company, Ltd. .............. 54,333
14,900 PTT Exploration and Production Public Company Ltd.
(Foreign)+ ...................................... 104,935
----------
307,438
----------
TURKEY -- 1.1%
1,000,000 Haci Omer Sabanci Holdings A.S .................... 15,374
50,000 Migros Turk T.A.S ................................. 49,927
2,096,000 Yapi ve Kredi Bankasi A.S ......................... 24,252
503,040 Yapi ve Kredi Bankasi A.S. (Non Trading) .......... 5,820
----------
95,373
----------
UNITED STATES -- 2.0%
5,000 Anglo American Investment Trust Ltd. .............. 59,632
3,000 Samsung Electronics America, Inc.+ ................ 116,250
----------
175,882
----------
Total Common Stocks
(Cost $7,609,883) ................................. 7,026,706
----------
PREFERRED STOCK -- 5.9%
(Cost $639,488)
BRAZIL -- 5.9%
7,100 Telecomunicacoes Brasileiras Preferred S.A., ADR+ 516,081
----------
WARRANTS AND RIGHTS -- 0.9%
(Cost $51,091)
PHILLIPINES -- 0.9%
160,000 Jollibee Foods Company ............................ 76,093
----------
TOTAL INVESTMENTS (COST $8,260,361*)................... 86.6% $7,618,880
OTHER ASSETS AND LIABILITIES (NET) .................... 13.4 1,178,088
----- ----------
NET ASSETS.............................................. 100.0% $8,796,968
===== ==========
- -----------------
* Aggregate cost for Federal tax purposes was $8,261,695.
** 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 December 31, 1998 was as follows:
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- ----------------------- ---------- --------
LONG TERM INVESTMENTS:
Oil/Gas .................................... 3.7% $ 327,890
Communication/Telecommunications .......... 24.7 2,183,217
Banks ...................................... 6.8 596,800
Chemicals .................................. 5.5 483,079
Electric Utilities ......................... 6.9 603,932
Food and Beverage Products ................. 6.2 540,787
Insurance .................................. 3.3 290,969
Computers and Office Equipment ............. 1.7 151,396
Financial Services ......................... 2.9 254,176
Metals and Mining .......................... 7.6 670,512
Broadcast, Radio and TV .................... 0.9 83,533
Electronics ................................ 3.1 268,490
Diversified Operations ..................... 4.9 428,257
Retail ..................................... 2.9 254,199
Leisure .................................... 0.8 70,760
Other ...................................... 1.8 159,380
Building/Construction ...................... 2.9 251,503
------ ----------
TOTAL INVESTMENTS .......................... 86.6 7,618,880
OTHER ASSETS AND LIABILITIES (NET) ......... 13.4 1,178,088
------ ----------
NET ASSETS ................................. 100.0% $8,796,968
===== ==========
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 88.0%
AUTOMOTIVE-PARTS -- 0.9%
38,900 Federal-Mogul Corporation ...................... $ 2,314,550
------------
BANKS -- 1.5%
27,100 Compass Bancshares, Inc. ....................... 1,031,494
95,100 First Security Corporation ..................... 2,222,962
10,200 Regions Financial Corporation .................. 411,188
------------
3,665,644
------------
BROADCAST, RADIO AND TELEVISION -- 10.8%
2,700 Cox Radio, Inc., Class A+ ...................... 114,075
192,100 Gemstar International Group, Ltd.+ ............. 10,997,725
60,350 Heftel Broadcasting Corporation, Class A+ ...... 2,972,237
36,200 Jacor Communications, Inc.+ .................... 2,330,375
87,700 MediaOne Group, Inc.+ .......................... 4,121,900
433,600 SportsLine USA, Inc.+ .......................... 6,747,900
------------
27,284,212
------------
CHEMICALS -- 0.6%
65,600 Cambrex Corporation ............................ 1,574,400
------------
COMMERCIAL SERVICES -- 2.1%
20,200 Gartner Group, Inc., Class A+ .................. 429,250
46,400 PAREXEL International Corporation+ ............. 1,160,000
62,000 Paymentech, Inc.+ .............................. 1,147,000
48,700 Quintiles Transnational Corporation+ ........... 2,599,363
------------
5,335,613
------------
COMPUTER SERVICES -- 6.1%
44,600 Affiliated Computer Services, Inc., Class A+ 2,007,000
16,200 The BISYS Group, Inc.+ ......................... 836,325
59,140 Cadence Design Systems, Inc.+ .................. 1,759,415
16,400 DST Systems, Inc.+ ............................. 935,825
119,592 Synopsys, Inc.+ ................................ 6,487,866
307,750 Technology Solutions Company+ .................. 3,298,695
------------
15,325,126
------------
COMPUTER SOFTWARE -- 8.7%
4,800 Ardent Software, Inc.+ ......................... 110,400
94,100 Aspen Technology, Inc.+ ........................ 1,364,450
37,600 BMC Software, Inc.+ ............................ 1,675,550
123,600 Cambridge Technology Partners, Inc.+ ........... 2,734,650
265,300 CBT Group Public Limited Company, ADR+ 3,946,337
28,300 Compuware Corporation+ ......................... 2,210,938
402,500 Edify Corporation+ ............................. 3,345,781
14,600 Electronic Arts Inc.+ .......................... 819,425
17,300 Intuit Inc.+ ................................... 1,254,250
106,600 JDA Software Group, Inc.+ ...................... 1,032,687
58,100 Policy Management Systems Corporation+ ......... 2,934,050
78,700 The Vantive Corporation+ ....................... 629,600
------------
22,058,118
------------
DIVERSIFIED MINERALS -- 0.1%
366,400 Southern Africa Minerals Corporation+ .......... 251,155
------------
EDUCATIONAL SERVICES -- 0.7%
151,500 Learning Tree International, Inc.+ ............. 1,372,969
9,600 Sylvan Learning Systems, Inc.+ ................. 292,800
------------
1,665,769
------------
FINANCIAL SERVICES -- 4.3%
125,900 Edwards (A.G.), Inc. ........................... 4,689,775
22,000 Enhance Financial Services Group Inc. .......... 660,000
10,000 The FINOVA Group Inc. .......................... 539,375
63,800 Fiserv, Inc.+ .................................. 3,281,712
65,900 Waddell & Reed Financial, Inc., Class A ........ 1,561,006
------------
10,731,868
------------
FOOD AND BEVERAGES -- 0.4%
32,000 McCormick & Company, Inc. ...................... 1,082,000
------------
HEALTH CARE AND SERVICES -- 5.1%
1,800 Advanced Health Corporation+ ................... 3,150
562,065 Concentra Managed Care, Inc.+ .................. 6,007,070
59,500 Health Management Associates, Inc.,
Class A+ ..................................... 1,286,687
77,100 Shared Medical Systems Corporation ............. 3,845,363
57,505 Total Renal Care Holdings, Inc.+ ............... 1,699,992
------------
12,842,262
------------
INSURANCE -- 1.2%
44,800 Ace, Ltd. ...................................... 1,542,800
41,900 ESG Re Ltd. .................................... 848,475
18,200 Mutual Risk Management Ltd. .................... 712,075
------------
3,103,350
------------
MANUFACTURING -- 2.0%
9,400 Federal Signal Corporation ..................... 257,325
158,000 IDEXX Laboratories, Inc.+ ...................... 4,251,188
4,800 Linear Technology Corporation .................. 429,900
------------
4,938,413
------------
MEDICAL SUPPLIES & SERVICES -- 9.1%
15,700 Cyberonics, Inc.+ .............................. 211,950
439,000 Cytyc Corporation+ ............................. 11,304,250
93,700 Lincare Holdings, Inc.+ ........................ 3,800,706
80,000 Martek Biosciences Corporation+ ................ 640,000
117,800 PSS World Medical, Inc.+ ....................... 2,709,400
90,000 STERIS Corporation+ ............................ 2,559,375
78,400 Ventana Medical Systems, Inc.+ ................. 1,695,400
------------
22,921,081
------------
OIL AND GAS - EQUIPMENT AND SERVICES -- 3.4%
206,200 Cooper Cameron Corporation+ .................... 5,026,125
563,100 Global Industries, Ltd.+ ....................... 3,448,988
------------
8,475,113
------------
OIL AND GAS EXTRACTION -- 3.2%
97,800 Diamond Offshore Drilling, Inc. ................ 2,316,638
323,800 Noble Drilling Corporation+ .................... 4,189,163
59,300 Transocean Offshore, Inc. ...................... 1,589,981
------------
8,095,782
------------
PHARMACEUTICALS -- 1.6%
28,000 Cytoclonal Pharmaceutics, Inc.+ ................ 192,500
42,700 Sepracor, Inc.+ ................................ 3,738,919
------------
3,931,419
------------
PUBLISHING -- 1.3%
59,100 Scholastic Corporation+ ........................ 3,169,238
------------
RETAIL, TRADE AND SERVICES -- 9.7%
181,300 BJ's Wholesale Club, Inc.+ ..................... 8,396,456
457,500 CompUSA Inc.+ .................................. 5,976,094
53,500 The Elder-Beerman Stores Corporation+ .......... 618,594
57,000 Fred Meyer, Inc.+ .............................. 3,434,250
352,400 The Gymboree Corporation+ ...................... 2,246,550
17,500 Office Depot, Inc.+ ............................ 646,406
150,000 LoJack Corporation+ ............................ 1,781,250
136,700 PETCO Animal Supplies, Inc.+ ................... 1,375,544
------------
24,475,144
------------
TELECOMMUNICATIONS -- 15.2%
241,000 Advanced Fibre Communications, Inc.+ ........... 2,635,937
300,400 Aerial Communications, Inc.+ ................... 1,764,850
90,500 Amdocs Ltd.+ ................................... 1,549,812
305,310 Ascend Communications, Inc.+ ................... 20,074,132
251,700 Aspect Telecommunications Corporation+ ......... 4,341,825
218,790 Cable Design Technologies Corporation+ ......... 4,047,615
7,350 Cellular Communications International, Inc.+ ... 499,800
156,800 Lightbridge, Inc.+ ............................. 862,400
52,291 Qwest Communications International, Inc.+ 2,614,550
------------
38,390,921
------------
Total Common Stocks
(Cost $196,566,405) ............................ 221,631,178
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
CONVERTIBLE BONDS -- 3.4%
$ 1,160,000 Concentra Managed Care, Inc.,
6.000% due 12/15/2001 ........................ $ 986,000
10,040,000 Concentra Managed Care, Inc.,
4.500% due 03/15/2003 ........................ 7,617,850
------------
Total Convertible Bonds
(Cost $7,328,951) .............................. 8,603,850
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 8.8%
4,600,000 Federal Home Loan Mortgage Corporation, 4.565%++
due 01/04/1999 ............................... 4,598,198
6,300,000 Federal National Mortgage Association, 5.318%++
due 01/04/1999 ............................... 6,297,328
6,300,000 Federal National Mortgage Association, 5.230%++
due 01/07/1999 ............................... 6,294,656
5,000,000 Federal Home Loan Mortgage Corporation, 5.286%++
due 01/15/1999 ............................... 4,990,025
------------
Total U.S. Government Agency Obligations
(Cost $22,180,207) ............................. 22,180,207
------------
TOTAL INVESTMENTS (COST $226,075,563*)............... 100.2% 252,415,235
OTHER ASSETS AND LIABILITIES (NET) ................. (0.2) (393,419)
----- ------------
NET ASSETS............................................ 100.0% $252,021,816
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $226,376,226.
+ Non-income producing security.
++ Annualized yield at date of purchase.
- ---------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- ---------------------------------------------------
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
RESEARCH SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 96.8%
AEROSPACE -- 4.1%
396,600 British Aerospace PLC .......................... $ 3,359,681
41,300 Lockheed Martin Corporation .................... 3,500,175
112,200 Newport News Shipbuilding Inc. ................. 3,751,687
135,100 United Technologies Corporation ................ 14,692,125
------------
25,303,668
------------
AGRICULTURAL BIOTECHNOLOGY -- 0.4%
46,400 Monsanto Company ............................... 2,204,000
------------
AUTOMOTIVE PARTS AND EQUIPMENT -- 0.3%
14,800 Federal-Mogul Corporation ...................... 880,600
397,600 LucasVarity PLC ................................ 1,325,446
------------
2,206,046
------------
BANKS -- 4.2%
136,300 The Bank of New York Company, Inc. ............. 5,486,075
73,352 The Chase Manhattan Corporation ................ 4,992,520
101,098 First Union Corporation ........................ 6,148,022
272,473 Istituto Bancario San Paolo di Torino+ ......... 4,811,885
104,700 Wells Fargo Company ............................ 4,181,456
------------
25,619,958
------------
BROADCASTING, RADIO AND TELEVISION -- 2.3%
201,600 CBS Corporation+ ............................... 6,602,400
6,600 Jacor Communications, Inc. ..................... 424,875
115,800 Time Warner Inc. ............................... 7,186,837
------------
14,214,112
------------
CHEMICALS -- 0.6%
57,000 Cambrex Corporation ............................ 1,368,000
38,000 Du Pont (E.I.) de Nemours and Company .......... 2,139,875
------------
3,507,875
------------
COMMERCIAL SERVICES -- 0.6%
123,700 Cendant Corporation+ ........................... 2,358,031
82,500 Modis Professional Services, Inc.+ ............. 1,196,250
------------
3,554,281
------------
COMPUTER SOFTWARE AND SERVICES -- 18.6%
100,700 3Com Corporation+ .............................. 4,512,619
171,000 BMC Software, Inc.+ ............................ 7,620,187
161,200 Cadence Design Systems, Inc.+ .................. 4,795,700
98,950 Cisco Systems, Inc.+ ........................... 9,183,797
159,225 Computer Associates International, Inc. ........ 6,786,966
138,800 Compuware Corporation+ ......................... 10,843,750
56,800 EMC Corporation+ ............................... 4,828,000
391,200 HBO & Company .................................. 11,222,550
221,400 Microsoft Corporation+ ......................... 30,705,412
325,000 Oracle Corporation+ ............................ 14,015,625
69,900 Sun Microsystems, Inc.+ ........................ 5,985,188
63,600 Synopsys, Inc.+ ................................ 3,450,300
------------
113,950,094
------------
CONSUMER PRODUCTS -- 6.1%
32,800 The Black & Decker Corporation ................. 1,838,850
47,800 The Clorox Company ............................. 5,583,637
63,800 Colgate-Palmolive Company ...................... 5,925,425
169,400 The Dial Corporation ........................... 4,880,838
153,800 Gillette Company ............................... 7,430,462
68,400 Newell Company ................................. 2,821,500
101,100 The Procter & Gamble Company ................... 9,231,694
------------
37,712,406
------------
ELECTRICAL PRODUCTS -- 1.5%
148,200 Emerson Electric Company ....................... 8,966,100
------------
ELECTRONICS -- 3.0%
210,800 Analog Devices, Inc.+ .......................... 6,613,849
87,800 Intel Corporation .............................. 10,409,787
31,100 Lattice Semiconductor Corporation+ ............. 1,427,684
------------
18,451,320
------------
ENERGY -- 1.0%
109,400 CalEnergy Company, Inc.+ ....................... 3,787,975
37,900 Columbia Energy Group .......................... 2,188,725
------------
5,976,700
------------
FINANCIAL SERVICES -- 5.3%
32,300 American Express Company ....................... 3,302,675
112,814 Associates First Capital Corporation, Class A 4,780,493
83,200 Bear Stearns Companies, Inc. ................... 3,109,600
17,100 The CIT Group, Inc., Class A ................... 543,994
73,900 CitiGroup Inc. ................................. 3,658,050
113,800 Freddie Mac .................................... 7,332,988
88,000 Fannie Mae ..................................... 6,512,000
45,900 Morgan Stanley Dean Witter & Company ........... 3,258,900
------------
32,498,700
------------
FOOD AND BEVERAGES -- 3.2%
157,475 Archer-Daniels-Midland Company ................. 2,706,602
48,900 Dean Foods Company ............................. 1,995,731
82,400 Hershey Foods Corporation ...................... 5,124,250
52,100 Hormel Foods Corporation ....................... 1,706,275
90,900 McCormick & Company, Inc. ...................... 3,073,556
150,900 Ralston-Ralston Purina Group ................... 4,885,388
------------
19,491,802
------------
HEALTHCARE -- 3.5%
80,400 Guidant Corporation ............................ 8,864,100
368,534 HEALTHSOUTH Corporation+ ....................... 5,689,244
165,700 United Healthcare Corporation .................. 7,135,456
------------
21,688,800
------------
HOTELS AND RESTAURANTS -- 1.6%
114,990 CKE Restaurants, Inc. .......................... 3,385,018
299,200 Jarvis Hotels PLC .............................. 572,085
79,500 McDonald's Corporation ......................... 6,091,688
------------
10,048,791
------------
INSURANCE -- 7.3%
87,800 Ace, Ltd. ...................................... 3,023,613
59,300 The Allstate Corporation ....................... 2,290,462
80,200 CIGNA Corporation .............................. 6,200,462
127,407 Conseco Inc. ................................... 3,893,876
116,200 The Equitable Companies, Inc. .................. 6,725,075
23,817 EXEL Ltd., Class A ............................. 1,786,275
108,400 The Hartford Financial Services Group, Inc. 5,948,450
93,000 Lincoln National Corporation ................... 7,608,563
59,700 Nationwide Financial Services, Inc., Class A 3,085,744
95,454 ReliaStar Financial Corporation ................ 4,402,816
------------
44,965,336
------------
MANUFACTURING -- 4.3%
49,800 Federal Signal Corporation ..................... 1,363,275
19,700 Illinois Tool Works Inc. ....................... 1,142,600
262,564 Smurfit-Stone Container Corporation ............ 4,151,793
266,034 Tyco International Ltd. ........................ 20,068,940
------------
26,726,608
------------
MEDICAL PRODUCTS AND SUPPLIES -- 6.1%
240,200 American Home Products Corporation ............. 13,526,262
57,400 Bristol-Myers Squibb Company ................... 7,680,837
53,900 Cardinal Health, Inc. .......................... 4,089,663
95,900 Pfizer Inc. .................................... 12,029,456
------------
37,326,218
------------
MULTIMEDIA -- 1.2%
238,800 The Walt Disney Company ........................ 7,164,000
------------
OIL AND GAS -- 2.5%
7,100 Amoco Corporation .............................. 418,900
114,117 British Petroleum Company PLC, ADR ............. 10,841,115
73,000 K N Energy, Inc. ............................... 2,655,375
15,900 Mobil Corporation .............................. 1,385,288
------------
15,300,678
------------
OIL AND GAS-MACHINERY & EQUIPMENT -- 0.1%
35,200 Cooper Cameron Corporation+ .................... 858,000
------------
OFFICE EQUIPMENT -- 1.0%
50,100 Xerox Corporation .............................. 5,911,800
------------
RETAIL -- 9.4%
30,200 Albertson's, Inc. .............................. 1,923,363
50,900 American Stores Company ........................ 1,880,119
130,000 CompUSA Inc.+ .................................. 1,698,125
145,300 CVS Corporation ................................ 7,991,500
109,000 Dayton Hudson Corporation ...................... 5,913,250
136,500 Fred Meyer, Inc.+ .............................. 8,224,125
64,400 The Home Depot, Inc. ........................... 3,940,475
109,500 Office Depot, Inc.+ ............................ 4,044,656
250,800 Rite Aid Corporation ........................... 12,430,275
137,300 Safeway Inc.+ .................................. 8,366,719
45,400 The TJX Companies, Inc. ........................ 1,316,600
------------
57,729,207
------------
TELECOMMUNICATIONS -- 6.8%
183,500 Alcatel SA ..................................... 4,484,281
57,300 Aspect Telecommunications Corporation+ ......... 988,425
60,100 Intermedia Communications Inc.+ ................ 1,036,725
62,400 Lucent Technologies Inc. ....................... 6,864,000
246,095 MCI WorldCom, Inc.+ ............................ 17,657,316
97,400 MediaOne Group, Inc.+ .......................... 4,577,800
61,000 Sprint Corporation ............................. 5,131,625
30,400 Sprint PCS+ .................................... 703,000
------------
41,443,172
------------
TOBACCO -- 1.4%
160,700 Philip Morris Companies Inc. ................... 8,597,450
------------
WASTE MANAGEMENT -- 0.4%
79,300 Browning-Ferris Industries, Inc. ............... 2,255,094
------------
Total Common Stocks
(Cost $510,682,224) ............................ 593,672,216
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------ --------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 4.2%
$ 4,400,000 Federal Home Loan Bank,
5.121%++ due 01/05/1999 ...................... $ 4,397,526
5,200,000 Federal National Mortgage Association, 5.230%++
due 01/07/1999 ............................... 5,195,580
6,400,000 Federal Home Loan Mortgage Corporation,
5.095%++ due 01/14/1999 ...................... 6,388,260
10,000,000 Federal Home Loan Mortgage Corporation,
5.286% due++ 01/15/1999 ...................... 9,980,050
------------
Total U.S. Government Agency Obligations
(Cost $25,961,416) ............................. 25,961,416
------------
TOTAL INVESTMENTS (COST $536,643,640*)............... 101.0% $619,633,632
OTHER ASSETS AND LIABILITIES (NET) ................. (1.0) (5,862,230)
----- ------------
NET ASSETS............................................ 100.0% $613,771,402
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $538,608,389.
+ Non-income producing security.
++ Annualized yield at date of purchase.
- ---------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- ---------------------------------------------------
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 50.8%
AEROSPACE/DEFENSE -- 2.2%
109,800 AlliedSignal, Inc. ............................. $ 4,865,512
34,500 General Dynamics Corporation ................... 2,022,563
27,259 Raytheon Company, Class A ...................... 1,408,950
20,100 Raytheon Company, Class B ...................... 1,070,325
3,900 United Technologies Corporation ................ 424,125
------------
9,791,475
------------
AUTO RELATED -- 0.7%
7,000 Ford Motor Company ............................. 410,812
10,500 Lear Corporation+ .............................. 404,250
106,700 Volvo AB -- ADR ................................ 2,487,444
------------
3,302,506
------------
BANKS -- 2.3%
11,300 Bank of New York Company, Inc. ................. 454,825
27,500 Mellon Bank Corporation ........................ 1,890,625
54,900 National City Corporation ...................... 3,952,800
14,700 PNC Bank Corporation ........................... 795,637
24,800 U.S. Bancorp ................................... 880,400
63,300 Wells Fargo Company+ ........................... 2,528,044
------------
10,502,331
------------
CHEMICALS -- 0.8%
60,800 Akzo Nobel N.V. ................................ 2,767,020
18,100 Du Pont (E.I.) de Nemours & Company ............ 1,019,256
------------
3,786,276
------------
CONSUMER PRODUCTS -- 0.4%
13,300 Gillette Company ............................... 642,556
39,300 Rubbermaid, Inc. ............................... 1,235,494
------------
1,878,050
------------
COMPUTER INDUSTRY -- 1.3%
32,400 International Business Machines Corporation 5,985,900
------------
ELECTRICAL PRODUCTS -- 0.7%
38,500 Emerson Electric Company ....................... 2,329,250
27,200 Hubbell, Inc., Class B ......................... 1,033,600
------------
3,362,850
------------
ELECTRONICS -- 0.3%
19,190 AMP, Inc.+ ..................................... 999,079
14,600 Analog Devices, Inc.+ .......................... 458,075
------------
1,457,154
------------
ENTERTAINMENT -- 2.6%
34,300 Disney (Walt) Company .......................... 1,029,000
31,700 Gannett, Inc. .................................. 2,044,650
45,000 New York Times Company, Class A ................ 1,560,937
63,600 Time Warner, Inc. .............................. 3,947,175
40,300 Viacom, Inc., Class B+ ......................... 2,982,200
------------
11,563,962
------------
FINANCIAL SERVICES -- 2.9%
38,400 American Express Company ....................... 3,926,400
74,064 Associates First Capital Corporation+ .......... 3,138,462
55,700 Edwards (A.G.), Inc. ........................... 2,074,825
52,800 Federal Home Loan Mortgage Corporation ......... 3,402,300
3,500 Federated Investors, Inc., Class B ............. 63,437
12,900 Washington Mutual, Inc. ........................ 492,619
------------
13,098,043
------------
FOOD AND BEVERAGES -- 2.8%
180,560 Archer-Daniels-Midland Company ................. 3,103,375
18,707 Diageo Plc ..................................... 212,746
6,093 Diageo Plc, Class B ............................ 47,614
26,500 General Mills, Inc. ............................ 2,060,375
32,800 Hershey Foods Corporation ...................... 2,039,750
30,000 Hormel Foods Corporation ....................... 982,500
24,300 McCormick & Company, Inc.+ ..................... 821,644
1,665 Nestle SA ...................................... 3,624,572
------------
12,892,576
------------
HEALTH CARE -- 0.9%
9,400 Baxter International, Inc.+ .................... 604,537
139,400 Columbia/HCA Healthcare Corporation+ ........... 3,450,150
------------
4,054,687
------------
HOTELS/RESORTS -- 0.3%
45,000 MGM Grand, Inc.+ ............................... 1,220,625
------------
INSURANCE -- 4.6%
13,800 Allstate Corporation+ .......................... 533,025
49,000 Chubb Corporation+ ............................. 3,178,875
4,800 CIGNA Corporation .............................. 371,100
92,200 Equitable Companies, Inc.+ ..................... 5,336,075
27,650 Jefferson-Pilot Corporation .................... 2,073,750
52,600 Lincoln National Corporation ................... 4,303,337
1,300 The Progressive Corporation .................... 220,188
4,500 Provident Companies, Inc. ...................... 186,750
35,100 Torchmark Corporation .......................... 1,239,469
31,300 Transamerica Corporation ....................... 3,615,150
------------
21,057,719
------------
MANUFACTURING -- 1.1%
8,400 General Electric Company ....................... 857,325
17,700 Illinois Tool Works, Inc.+ ..................... 1,026,600
45,200 TRW, Inc. ...................................... 2,539,675
8,800 Tyco International, Ltd. ....................... 663,850
------------
5,087,450
------------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICES -- 0.2%
21,200 United Healthcare Corporation+ ................. 912,925
------------
METALS AND MINING -- 0.4%
25,300 Alcoa, Inc. .................................... 1,886,431
------------
OFFICE EQUIPMENT AND SUPPLIES -- 0.7%
38,200 Eastman Kodak Company .......................... 2,750,400
2,800 Xerox Corporation .............................. 330,400
------------
3,080,800
------------
OIL AND GAS -- 5.6%
35,100 Amoco Corporation .............................. 2,070,900
46,148 British Petroleum Plc, ADR ..................... 4,384,060
120,100 Coastal Corporation ............................ 4,195,994
47,150 Columbia Energy Group .......................... 2,722,912
56,400 Conoco, Inc., Class A+ ......................... 1,177,350
17,900 Exxon Corporation .............................. 1,308,938
28,400 Mobil Corporation .............................. 2,474,350
15,400 National Fuel Gas Company ...................... 695,888
12,800 Royal Dutch Petroleum Company .................. 612,800
29,800 Schlumberger, Ltd. ............................. 1,374,525
50,100 Texaco, Inc. ................................... 2,649,038
55,100 Unocal Corporation ............................. 1,608,231
6,080 Williams Companies, Inc. ....................... 189,620
------------
25,464,606
------------
PAPER AND FOREST PRODUCTS -- 1.9%
28,000 Bowater, Inc. .................................. 1,162,000
44,300 Champion International Corporation+ ............ 1,794,150
54,000 Kimberly-Clark Corporation ..................... 2,943,000
54,800 Weyerhaeuser Company ........................... 2,784,525
------------
8,683,675
------------
PHARMACEUTICALS -- 2.8%
46,900 American Home Products Corporation ............. 2,641,056
1 Astra AB, ADR .................................. 21
24,900 Bristol-Myers Squibb Company+ .................. 3,331,931
53,500 Glaxo Wellcome Plc, ADR ........................ 3,718,250
43,000 Smithkline Beecham Plc, ADR .................... 2,988,500
------------
12,679,758
------------
REAL ESTATE INVESTMENT TRUST -- 0.6%
15,000 Arden Realty, Inc. ............................. 347,812
12,800 Boston Properties, Inc. ........................ 390,400
9,200 Hospitality Properties Trust ................... 221,950
23,000 Prime Group Realty Trust ....................... 347,875
45,000 TriNet Corporate Realty Trust, Inc. ............ 1,203,750
------------
2,511,787
------------
RESTAURANTS -- 0.8%
45,000 McDonald's Corporation ......................... 3,448,125
------------
RETAIL -- 1.8%
56,000 Dayton Hudson Corporation ...................... 3,038,000
46,500 Fred Meyer, Inc.+ .............................. 2,801,625
2,900 J.C. Penney Company, Inc. ...................... 135,937
40,300 Rite Aid Corporation ........................... 1,997,369
5,900 Sears, Roebuck & Company ....................... 250,750
------------
8,223,681
------------
SUPERMARKET CHAINS -- 0.7%
15,300 Albertson's, Inc.+ ............................. 974,419
39,400 American Stores Company+ ....................... 1,455,337
12,000 Safeway, Inc.+ ................................. 731,250
------------
3,161,006
------------
TELECOMMUNICATIONS -- 4.6%
26,603 Alcatel, Sponsored ADR ......................... 650,111
41,500 AT&T Corporation ............................... 3,122,875
23,400 Bell Atlantic Corporation ...................... 1,240,200
87,000 GTE Corporation ................................ 5,655,000
24,500 Mediaone Group "ATI" PIES ...................... 1,629,250
75,066 SBC Communications, Inc. ....................... 4,025,414
40,800 Sprint Corporation ............................. 3,432,300
20,400 Telephone & Data Systems, Inc. ................. 916,725
------------
20,671,875
------------
TOBACCO -- 1.0%
81,150 Philip Morris Companies, Inc. .................. 4,341,525
------------
TRANSPORTATION -- 0.6%
26,500 Canadian National Railway Company .............. 1,374,687
47,900 Norfolk Southern Corporation+ .................. 1,517,831
------------
2,892,518
------------
UTILITIES -- 4.8%
64,200 Carolina Power & Light Company ................. 3,021,413
23,400 CMS Energy Corporation ......................... 1,133,438
38,700 Eastern Enterprises ............................ 1,693,125
60,700 DPL, Inc. ...................................... 1,312,638
45,800 GPU, Inc.+ ..................................... 2,023,788
19,900 New Century Energies, Inc. ..................... 970,125
37,400 PacifiCorp. .................................... 787,738
25,000 Public Service Company of North Carolina 650,000
51,400 Sempra Energy .................................. 1,304,275
30,300 Sierra Pacific Resources ....................... 1,151,400
70,500 Southern Company+ .............................. 2,048,906
54,200 Pinnacle West Capital Corporation .............. 2,296,725
28,400 Texas Utilities Company ........................ 1,325,925
45,600 UGI Corporation ................................ 1,083,000
32,000 Washington Gas Light Company ................... 868,000
------------
21,670,496
------------
WASTE DISPOSAL -- 0.4%
56,000 Browning-Ferris Industries, Inc. ............... 1,592,500
------------
Total Common Stocks
(Cost $206,458,737) ............................ 230,263,312
------------
PREFERRED STOCKS -- 1.6%
FINANCIAL SERVICES -- 1.0%
73,900 Lincoln National Corporation ................... 1,741,269
7,000 McKesson Financing Trust ....................... 755,125
8,000 NB Capital Corporation ......................... 208,250
12,200 Newell Financial Trust I ....................... 643,550
21,600 Newell Financial Trust I** ..................... 1,139,400
------------
4,487,594
------------
RETAIL -- 0.4%
17,000 CVS Corporation ................................ 1,703,187
------------
UTILITY -- 0.2%
21,300 Texas Utilities Company ........................ 1,200,788
------------
Total Preferred Stocks
(Cost $7,198,962) .............................. 7,391,569
------------
PRINCIPAL
AMOUNT
-----
CORPORATE BONDS AND NOTES -- 17.1%
AEROSPACE/DEFENSE -- 0.3%
$ 600,000 BE Aerospace, Inc.,
8.000% due 03/01/2008. ....................... 589,500
Jett Equipment Trust: ..........................
50,000 9.410% due 06/15/2010** ...................... 60,443
46,195 8.640% due 11/01/2012** ...................... 53,084
10,000 10.690% due 11/01/2013** ..................... 12,587
100,000 Northrop Grumman Corporation,
9.375% due 10/15/2024. ....................... 117,875
360,000 Raytheon Company,
6.400% due 12/15/2018 ** ..................... 356,850
------------
1,190,339
------------
AIRLINES -- 0.3%
Continental Airlines, Inc.: ....................
350,000 9.500% due 12/15/2001 ........................ 366,625
95,412 9.500% due 10/15/2013 ........................ 111,209
23,723 10.220% due 07/02/2014 ....................... 27,042
250,000 6.648% due 03/15/2019 ........................ 253,907
Northwest Airlines: ............................
312,000 7.625% due 03/15/2005 ........................ 292,500
150,000 8.700% due 03/15/2007 ........................ 147,938
38,713 United Airlines Corporation,
7.270% due 01/30/2013. ....................... 39,539
------------
1,238,760
------------
APPAREL AND TEXTILES -- 0.1%
168,000 Jones Apparel,
6.250% due 10/01/2001** ...................... 167,790
Tommy Hilfiger USA, Inc.: ......................
252,000 6.500% due 06/01/2003 ....................... 251,685
190,000 6.850% due 06/01/2008 ........................ 187,387
------------
606,862
------------
AUTO RELATED -- 0.1%
280,000 Ford Motor Company,
8.900% due 01/15/2032 ....................... 371,000
------------
BANKS -- 1.2%
1,280,000 Beaver Valley II Funding Corporation,
9.000% due 06/01/2017 ........................ 1,465,600
680,000 Capital One Bank,
6.700% due 05/15/2008 ........................ 661,300
100,000 Colonial Capital II,
8.920% due 01/15/2027 ....................... 107,500
300,000 Comed Financing II,
8.500% due 01/15/2027 ........................ 343,008
290,000 Deutsche Bank Finance BV,
Zero coupon due 02/12/2017** ................. 171,825
300,000 First Empire Capital Trust I,
8.234% due 02/01/2027. ....................... 328,125
1,119,186 GG1B Funding Corporation,
7.430% due 01/15/2011 ....................... 1,175,145
600,000 MBNA Capital I,
8.278% due 12/01/2026 ....................... 623,250
31,000 Midland Funding Corporation II,
11.750% due 07/23/2005 ....................... 35,650
300,000 Providian National Bank,
6.700% due 03/15/2003 ........................ 302,250
210,000 Riggs Capital Trust II,
8.875% due 03/15/2027. ....................... 226,012
100,000 Riggs National Corporation,
8.500% due 02/01/2006 ....................... 105,000
------------
5,544,665
------------
BROADCASTING, RADIO AND TELEVISION -- 0.4%
Century Communications, Inc.,
1,000,000 Zero coupon due 01/15/2008 ................... 510,000
250,000 Chancellor Media Corporation,
8.750% due 06/15/2007 ........................ 255,625
775,000 Control Cablevision, Inc.,
11.000% due 06/01/2007 ....................... 832,156
300,000 Frontiervision Operating Partners, L.P.,
11.000% due 10/15/2006 ....................... 332,625
25,000 Turner Broadcasting, Inc.,
8.375% due 07/01/2013 ........................ 29,875
------------
1,960,281
------------
BUILDING AND CONSTRUCTION -- 0.4%
1,700,000 McDermott, Inc.,
9.375% due 03/15/2002 ........................ 1,804,125
------------
ENTERTAINMENT -- 1.6%
Circus Circus Enterprises:
73,000 7.000% due 11/15/2036 ........................ 65,974
100,000 6.700% due 11/15/2096 ........................ 98,625
800,000 Disney (Walt) Company,
5.125% due 12/15/2003 ........................ 798,000
4,500,000 Time Warner Company,
6.100% due 12/30/2001** ...................... 4,584,375
1,680,000 Viacom, Inc.,
6.750% due 01/15/2003 ........................ 1,734,600
------------
7,281,574
------------
FINANCIAL SERVICES -- 3.2%
3,180,000 Associates Corporation North America,
5.750% due 11/01/2003 ........................ 3,191,925
780,000 Bell Atlantic Financial Services,
4.250% due 09/15/2005** .................... 799,500
100,000 Capital One Financial Corporation,
7.250% due 12/01/2003 ........................ 98,875
430,000 Conseco, Inc.
6.400% due 06/15/2001 ........................ 417,100
530,000 Contifinancial Corporation,
7.500% due 03/15/2002 ........................ 362,588
1,250,000 Criimi Mae Commercial Mortgage Trust,
7.000% due 03/02/2011** ...................... 1,177,735
100,000 Donaldson Lufkin & Jenrette, Inc.,
6.500% due 06/01/2008 ........................ 100,000
GS Escrow Corporation: .........................
1,615,000 6.750% due 08/01/2001** ...................... 1,619,037
1,135,000 7.125% due 08/01/2005** ...................... 1,133,581
3,000,000 Goldman Sachs Group, L.P.,
5.900% due 01/15/2003** ...................... 2,973,750
260,000 Natexis Ambs Company LLC,
8.440% due 12/29/2049** ...................... 245,713
300,000 NGC Corporation Capital Trust,
8.316% due 06/01/2027 ........................ 304,500
100,000 Providian Capital I,
9.525% due 02/01/2027** ...................... 102,375
615,000 Safeco Capital Trust Company,
8.072% due 07/15/2037** .................... 652,669
20,000 Salton Sea Funding Corporation,
7.370% due 05/30/2005 ........................ 21,425
800,000 Seacor Smit, Inc.,
7.840% due 05/30/2010 ........................ 894,000
100,000 State Street Institutional Capital, Class A,
7.940% due 12/30/2026** ...................... 112,244
250,000 Washington Mutual Capital I,
8.375% due 06/01/2027 ........................ 279,375
------------
14,486,392
------------
FOOD & BEVERAGES -- 0.0%#
165,000 Nabisco, Inc.,
6.375% due 02/01/2035 ........................ 163,969
------------
FOREST AND PAPER PRODUCTS -- 0.4%
100,000 Boise Cascade Company,
7.430% due 10/10/2005 ........................ 101,500
Georgia Pacific Corporation: ...................
10,000 9.875% due 11/01/2021 ........................ 11,037
1,000,000 9.500% due 05/15/2022 ........................ 1,100,000
545,000 7.250% due 06/01/2028 ........................ 534,100
250,000 U.S. Timberlands Company, L.P.,
9.625% due 11/15/2007 ........................ 253,750
------------
2,000,387
------------
HEALTHCARE -- 0.4%
Bausch & Lomb, Inc.:
275,000 6.500% due 08/01/2005 ........................ 276,375
275,000 7.125% due 08/01/2028 ........................ 276,031
Columbia/HCA Healthcare Corporation:
150,000 6.500% due 03/15/1999 ........................ 149,812
93,000 6.875% due 07/15/2001 ........................ 92,419
480,000 7.690% due 06/15/2025 ........................ 421,800
580,000 Healthsouth Corporation,
3.250% due 04/01/2003 ........................ 495,175
15,000 Tenet Healthcare Corporation,
8.625% due 01/15/2007 ........................ 16,069
100,000 7.625% due 06/01/2008 ........................ 102,375
------------
1,830,056
------------
INDUSTRIAL -- 2.2%
Federal-Mogul Corporation:
375,000 7.500% due 07/01/2004 ........................ 373,594
130,000 7.750% due 07/01/2006 ........................ 130,650
Hearst-Argyle TV, Inc.:
115,000 7.000% due 01/15/2018 ........................ 114,425
1,224,000 7.500% due 11/15/2027 ........................ 1,276,020
News America Holdings:
555,000 8.000% due 10/17/2016 ........................ 618,131
1,050,000 8.875% due 04/26/2023 ........................ 1,274,437
290,000 9.500% due 07/15/2024 ........................ 373,013
250,000 7.750% due 12/01/2045 ........................ 266,250
300,000 Nortek, Inc.,
9.250% due 03/15/2007 ........................ 311,250
250,000 Outdoor Systems, Inc.,
8.875% due 06/15/2007 ........................ 266,563
Owens Illinois, Inc.,
2,500,000 7.500% due 05/15/2010 ........................ 2,575,000
695,000 Protection One Alarm,
7.375% due 08/15/2005** ...................... 719,325
1,355,000 Seagram, J. & Sons
6.400% due 12/15/2003 ........................ 1,353,306
100,000 Solutia, Inc.,
7.375% due 10/15/2027 ........................ 97,750
270,000 UPM-Kymmene Corporation,
7.450% due 11/26/2027** ...................... 262,913
------------
10,012,627
------------
INSURANCE -- 0.2%
529,000 Atlantic Mutual Insurance Company,
8.150% due 02/15/2028** ...................... 538,919
225,000 Fairfax Financial Holdings, Ltd.,
7.375% due 04/15/2018 ........................ 210,656
------------
749,575
------------
METALS AND MINING -- 0.1%
205,000 Ultramar Diamond Company,
7.200% due 10/15/2017 ........................ 219,606
------------
OFFICE EQUIPMENT -- 0.3%
Xerox Corporation:
1,220,000 .570% due 04/21/2018** ....................... 754,875
920,000 .570% due 04/21/2018 ......................... 569,250
------------
1,324,125
------------
OIL & GAS -- 1.8%
Coastal Corporation:
250,000 6.500% due 06/01/2008 ........................ 261,875
540,000 7.750% due 10/15/2035 ........................ 573,075
870,000 7.420% due 02/15/2037 ........................ 886,312
695,000 Husky Oil, Ltd.,
8.900% due 08/15/2028** ...................... 662,856
100,000 KCS Energy, Inc.,
8.875% due 01/15/2008 ........................ 69,000
340,000 Lasmo (USA), Inc.,
6.750% due 12/15/2007 ........................ 338,300
230,000 Louis Dreyfus Natural Gas Company,
6.875% due 12/01/2007 ........................ 212,278
580,000 Occidental Petroleum,
10.125% due 11/15/2001 ....................... 643,075
100,000 Oryx Energy Company,
8.375% due 07/15/2004 ........................ 108,750
385,000 Petroleum Geo-Services,
7.125% due 03/30/2028 ........................ 363,825
180,000 Seagull Energy,
7.500% due 09/15/2027 ........................ 162,000
2,000,000 Sun Company, Inc.,
9.000% due 11/01/2024 ........................ 2,510,000
Tennessee Gas Pipeline Company:
175,000 7.000% due 10/15/2028 ........................ 176,531
1,000,000 7.625% due 04/01/2037 ........................ 1,071,250
100,000 Texas Gas Transmission, Inc.,
7.250% due 07/15/2027 ........................ 103,375
------------
8,142,502
------------
RETAIL -- 0.4%
275,000 Dillards, Inc.,
7.130% due 08/01/2018 ........................ 281,187
105,000 Lowe's Companies, Inc.,
6.875% due 02/15/2028 ........................ 109,725
1,300,000 Saks, Inc.,
8.250% due 11/15/2008 ........................ 1,394,250
------------
1,785,162
------------
TELECOMMUNICATIONS -- 0.5%
93,810 Jasmine Submarine Telecommunications, Ltd.,
8.483% due 05/30/2011** ...................... 76,572
460,000 Qwest Communications International,
7.500% due 11/01/2008** ...................... 481,275
TCI Communications, Inc.: ......................
140,000 8.000% due 08/01/2005 ........................ 158,725
390,000 9.650% due 03/31/2027 ........................ 482,137
305,000 Telecommunications, Inc.,
7.125% due 02/15/2028 ........................ 331,688
345,000 Tele-Communications, Inc.,
7.875% due 08/01/2013 ........................ 405,375
200,000 Worldcom, Inc.,
8.875% due 01/15/2006 ........................ 218,000
------------
2,153,772
------------
TRANSPORTATION -- 0.2%
295,614 Federal Express Company,
7.650% due 01/15/2014 ........................ 305,222
540,000 Union Pacific Corporation,
6.340% due 11/25/2003 ........................ 546,750
------------
851,972
------------
UTILITIES -- 3.0%
CalEnergy Company, Inc.:
825,000 6.960% due 09/15/2003 ........................ 840,469
290,000 7.230% due 09/15/2005 ........................ 300,150
130,000 7.630% due 10/15/2007 ........................ 138,775
435,000 7.520% due 09/15/2008 ........................ 456,750
Cleveland Electric Illuminating Company:
300,000 7.880% due 11/01/2017** ...................... 317,250
100,000 9.000% due 07/01/2023 ........................ 110,375
Commonwealth Edison Company:
45,000 7.625% due 01/15/2007 ........................ 49,669
270,000 6.950% due 07/15/2018 ........................ 284,512
Connecticut Light & Power Company:
415,000 7.875% due 10/01/2024 ........................ 438,344
1,000,000 8.590% due 06/05/2003** ...................... 1,035,625
140,000 El Paso Electric Company,
8.900% due 02/01/2006 ........................ 160,475
Empresa Nacional de Electricidad:
1,000,000 7.600% due 04/30/2001** ...................... 976,250
100,000 7.325% due 02/01/2037 ........................ 90,000
1,405,000 Hidroelectrica Alicura,
8.375% due 03/15/1999** ...................... 1,373,388
3,285,000 Marlin Water Trust,
7.090% due 12/15/2001** ...................... 3,285,000
Niagara Mohawk Power Corporation: ..............
283,000 7.750% due 05/15/2006 ........................ 310,239
368,000 8.770% due 01/01/2018 ........................ 391,460
270,000 8.750% due 04/01/2022 ........................ 288,900
90,000 8.500% due 07/01/2023 ........................ 95,963
135,000 North Atlantic Energy Corporation,
9.050% due 06/01/2002 ........................ 137,363
180,059 Northeast Utilities Corporation,
8.580% due 12/01/2006 ........................ 185,236
915,890 Seabrook Station -- Unit 1,
7.830% due 01/02/2019 ........................ 983,256
100,000 Texas-New Mexico Power Company,
12.500% due 01/15/1999 ....................... 100,436
380,000 Texas Utility Electric Company,
6.375% due 01/01/2008** ...................... 388,075
238,000 Toledo Edison Company,
7.875% due 08/01/2004 ........................ 256,743
10,000 Utilicorp United, Inc.,
8.450% due 11/15/1999 ........................ 10,250
545,000 Waterford 3 Funding Corporation,
8.090% due 01/02/2017 ........................ 590,644
------------
13,595,597
------------
Total Corporate Bonds and Notes
(Cost $77,386,788) ............................. 77,313,348
------------
FOREIGN GOVERNMENT BONDS -- 0.1%
(Cost $258,676)
259,000 Republic of Columbia,
12.443% due 08/13/2005 ....................... 238,928
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.0%
643,418 Beneficial Mortgage Corporation,
5.168% due 09/28/2037 ........................ 637,582
96,324 BCF L.L.C.,
7.750% due 09/25/2026** ...................... 100,237
1,058,000 First Chicago Master Trust II,
5.816% due 10/15/2003 ........................ 1,059,653
327,000 Illinois Power Special Purpose Trust,
5.260% due 06/25/2003 ........................ 326,987
1,500,000 The Money Store Home Equity Trust,
6.870% due 04/15/2039 ........................ 1,542,082
1,000,000 Residential Accredit Loans, Inc.,
7.000% due 03/25/2028 ........................ 1,038,278
------------
Total Collateralized Mortgage Obligations
(Cost $4,662,886) .............................. 4,704,819
------------
U.S. GOVERNMENT AND AGENCY SECURITIES -- 5.2%
MORTGAGE-BACKED OBLIGATIONS -- 1.6%
1,943,379 Pool #448669
6.000% due 12/01/2013 ........................ 1,948,237
1,444,864 Pool #456351
6.000% due 12/01/2013 ........................ 1,448,476
670,762 Pool #453124
6.000% due 12/01/2013 ........................ 672,439
20,540 Pool #251618
6.500% due 04/01/2013 ........................ 20,848
629 Pool #436229
6.500% due 07/01/2013 ........................ 639
495,001 Pool #440692
6.500% due 11/01/2028 ........................ 498,555
317,708 Pool #443615
6.500% due 11/01/2028 ........................ 319,989
331,592 Pool #446373
6.500% due 11/01/2028 ........................ 333,973
1,485,001 Pool #452026
6.500% due 11/01/2028 ........................ 1,495,663
340,700 Pool #454393
6.500% due 12/01/2028 ........................ 343,146
------------
7,081,965
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 3.6%
779,054 Pool #780598
7.500% due 12/15/2023 ........................ 804,374
219,020 Pool #1995-4
8.000% due 06/20/2025 ........................ 226,682
153,388 Pool #353404
7.500% due 09/15/2025 ........................ 158,276
745,322 Pool #414736
7.500% due 11/15/2025 ........................ 769,075
99,508 Pool #417340
7.500% due 04/15/2026 ........................ 102,679
194,882 Pool #423906
7.500% due 07/15/2026 ........................ 201,093
664,266 Pool #421752
8.000% due 07/15/2026 ........................ 690,419
26,184 Pool #432725
8.000% due 07/15/2026 ........................ 27,215
394,451 Pool #436405
8.000% due 07/15/2026 ........................ 409,980
25,825 Pool #438201
8.000% due 07/15/2026 ........................ 26,842
16,970 Pool #436440
7.500% due 08/15/2026 ........................ 17,510
245,718 Pool #433213
7.500% due 09/15/2026 ........................ 253,549
378,836 Pool #409052
7.500% due 10/15/2026 ........................ 390,910
318,499 Pool #433128
7.500% due 10/15/2026 ........................ 328,649
683,913 Pool #442177
8.000% due 12/15/2026 ........................ 710,839
747,923 Pool #780498
7.500% due 01/15/2027 ........................ 772,231
691,147 Pool #439051
7.500% due 02/15/2027 ........................ 713,174
36,577 Pool #432446
7.500% due 04/15/2027 ........................ 37,743
272,469 Pool #780546
7.500% due 04/15/2027 ........................ 281,324
856,379 Pool #426435
7.500% due 05/15/2027 ........................ 883,672
185,450 Pool #418877
7.500% due 05/15/2027 ........................ 191,360
94,059 Pool #439558
7.500% due 05/15/2027 ........................ 97,057
644,376 Pool #411815
8.000% due 07/15/2027 ........................ 669,745
550,439 Pool #448957
7.500% due 09/15/2027 ........................ 567,981
163,912 Pool #455301
7.500% due 09/15/2027 ........................ 169,136
375,317 Pool #427811
7.500% due 11/15/2027 ........................ 387,278
626,067 Pool #410449
7.500% due 02/15/2028 ........................ 646,020
57,310 Pool #460810
7.000% due 04/15/2028 ........................ 58,689
1,500,000 Pool #467737
7.000% due 04/15/2028 ........................ 1,536,090
276,255 Pool #480413
7.000% due 07/15/2028 ........................ 282,902
771,684 Pool #480776
7.000% due 07/15/2028 ........................ 790,250
3,131,000 Pool #488484
6.500% due 12/15/2028 ........................ 3,165,222
------------
16,367,966
------------
Total U.S. Government Agency Obligations
(Cost $23,386,439) ........................... 23,449,931
------------
U.S. TREASURY OBLIGATIONS -- 13.6%
U.S. TREASURY BONDS -- 2.4%
120,000 9.875% due 11/15/2015 .......................... 180,515
5,100,000 6.375% due 08/15/2027 .......................... 5,852,760
4,474,000 6.125% due 11/15/2027 .......................... 5,001,843
------------
11,035,117
------------
U.S. TREASURY NOTES -- 11.2%
4,850,000 5.750% due 11/15/2000 .......................... 4,948,116
220,000 6.625% due 03/31/2002 .......................... 232,758
8,300,000 5.500% due 01/31/2003 .......................... 8,546,261
20,000,000 5.750% due 08/15/2003 .......................... 20,894,600
460,000 7.875% due 11/15/2004 .......................... 533,011
575,000 6.500% due 08/15/2005 .......................... 632,529
455,000 6.500% due 10/15/2006 .......................... 506,228
185,000 5.500% due 02/15/2008 .......................... 196,141
4,236,000 5.625% due 05/15/2008 .......................... 4,523,116
9,055,000 5.250% due 11/15/2028 .......................... 9,275,580
275,000 4.750% due 11/15/2008 .......................... 277,140
------------
50,565,479
------------
Total U.S. Treasury Obligations
(Cost $61,463,382) ............................. 61,600,596
------------
SHORT TERM INVESTMENTS -- 10.0%
FEDERAL HOME LOAN MORTGAGE ASSOCIATION (FHLMC) -- 7.3%
27,900,000 5.188%++ due 01/04/1999 ........................ 27,888,486
5,400,000 5.165%++ due 01/14/1999 ........................ 5,389,977
------------
33,278,463
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 2.7%
9,100,000 5.230%++ due 01/07/1999 ........................ 9,092,265
3,200,000 5.214%++ due 01/13/1999 ........................ 3,194,539
------------
12,286,804
------------
Total Short Term Investments
(Cost $45,565,267) ........................... 45,565,267
------------
TOTAL INVESTMENTS (COST $426,381,137*)............... 99.4% 450,527,770
OTHER ASSETS AND LIABILITIES (NET) .................. 0.6 2,565,094
----- ------------
NET ASSETS........................................... 100.0% $453,092,864
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $426,780,166.
** 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
DEM -- German Mark
- ---------------------------------------------------
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS TO BUY
CONTRACTS TO RECEIVE
----------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
---------- -------- ----------- -------- ------------
03/15/1999 DEM 29,298 $17,852 $17,647 $ (205)
--------
$ (205)
--------
FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS TO SELL
CONTRACTS TO DELIVER
----------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
---------- -------- ----------- -------- ------------
03/15/1999 DEM 29,298 $17,649 $17,647 $ 2
---------
2
---------
Net Unrealized Depreciation of Forward Foreign Exchange
Contracts $ (203)
========
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
GROWTH & INCOME SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 79.3%
AEROSPACE/DEFENSE -- 1.0%
37,100 Alliant Techsystems, Inc.+ ...................... $ 3,058,431
------------
APPAREL AND TEXTILES -- 0.7%
85,000 The Warnaco Group, Inc., Class A ................ 2,146,250
------------
BANKS -- 0.9%
85,000 Keycorp, Inc. ................................... 2,720,000
------------
BROADCAST, RADIO AND TELEVISION -- 3.4%
78,000 Adelphia Communications Corporation+ ............ 3,568,500
60,000 Comcast Corporation, Class A, Speacial Shares
(Non-Voting) .................................. 3,521,250
67,000 Liberty Media Group+ ............................ 3,086,187
------------
10,175,937
------------
COMPUTER INDUSTRY -- 15.0%
250,000 Acclaim Entertainment, Inc.+ .................... 3,062,500
160,000 Adaptec, Inc.+ .................................. 2,810,000
100,000 Electronics for Imaging, Inc.+ .................. 4,018,750
30,000 EMC Corporation+ ................................ 2,550,000
200,000 FORE Systems, Inc.+ ............................. 3,662,500
80,000 Hyperion Solutions Corporation+ ................. 1,440,000
12,000 Infospace.com, Inc.+ ............................ 457,500
100,000 Inso Corporation+ ............................... 2,500,000
110,000 Micron Electronics, Inc.+ ....................... 1,904,375
60,000 Netscape Communications Corporation+ ............ 3,645,000
225,000 Novell, Inc.+ ................................... 4,078,125
110,000 Saville Systems Plc, ADR+ ....................... 2,090,000
80,000 Seagate Technology, Inc.+ ....................... 2,420,000
225,000 Splash Technology Holdings, Inc.+ ............... 1,673,438
52,500 Sun Microsystems, Inc.+ ......................... 4,495,313
90,000 3Com Corporation+ ............................... 4,033,125
------------
44,840,626
------------
ENTERTAINMENT -- 0.9%
35,000 Disney (Walt) Company ........................... 1,050,000
110,000 Ziff-Davis, Inc.+ ............................... 1,739,375
------------
2,789,375
------------
FINANCIAL SERVICES -- 6.0%
65,000 The Charles Schwab Corporation .................. 3,652,187
59,000 Countrywide Credit Industries, Inc. ............. 2,961,063
25,000 FBR Asset Investment Corporation+** ............. 400,000
45,000 Federal National Mortgage Association ........... 3,330,000
100,000 Healthcare Financial Partners, Inc.+ ............ 3,950,000
20,000 Merrill Lynch & Company ......................... 1,335,000
95,000 WEBS-Hong Kong Index Series ..................... 890,625
130,000 WEBS-Japan Index Series ......................... 1,332,500
------------
17,851,375
------------
HEALTHCARE -- 1.8%
30,000 Amgen, Inc.+ .................................... 3,136,875
90,000 Columbia/HCA Healthcare Corporation ............. 2,227,500
------------
5,364,375
------------
INSURANCE -- 2.2%
77,200 Berkley (W.R.) Corporation ...................... 2,629,625
70,000 MONY Group, Inc.+ ............................... 2,191,875
120,000 Scottish Annuity & Life Holdings, Ltd.+ ......... 1,650,000
------------
6,471,500
------------
MEDICAL -- HOSPITAL MANAGEMENT AND SERVICES -- 2.2%
115,000 Bergen Brunswig Corporation+ .................... 4,010,625
4,592 Genzyme Molecular Oncology+ ..................... 14,924
50,000 Sunrise Assisted Living, Inc.+ .................. 2,593,750
------------
6,619,299
------------
MEDICAL PRODUCTS -- 0.7%
40,000 Genzyme Corporation+ ............................ 1,990,000
------------
OIL AND GAS -- 1.3%
35,000 BJ Services Company+ ............................ 290,937
100,000 Weatherford International, Inc.+ ................ 1,937,500
50,000 Williams Companies, Inc. ........................ 1,559,375
------------
3,787,812
------------
PHARMACEUTICALS -- 3.0%
70,000 Alkermes, Inc.+ ................................. 1,553,125
65,000 Chiron Corporation+ ............................. 1,702,188
30,995 Hybridon, Inc. .................................. 7,749
150,000 Millennium Pharmaceuticals, Inc.+ ............... 3,881,250
20,000 Sepracor, Inc.+ ................................. 1,751,250
------------
8,895,562
------------
PRINTING AND FORMS -- 2.7%
294,000 American Bank Note Holographics, Inc.+ .......... 5,145,000
60,000 Valassis Communications, Inc. ................... 3,097,500
------------
8,242,500
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.5%
300,000 Canadian Hotel Income Properties ................ 1,566,784
------------
RETAIL -- 8.4%
3,000 Amazon.com, Inc.+ ............................... 963,750
95,000 BJ's Wholesale Club, Inc.+ ...................... 4,399,687
125,000 Claire's Stores, Inc. ........................... 2,562,500
59,500 Creative Computers, Inc.+ ....................... 1,889,125
60,000 Egg Head.com, Inc.+ ............................. 1,248,750
100,000 Hollywood Entertainment Corporation+ ............ 2,725,000
45,000 Kroger Company .................................. 2,722,500
75,000 OfficeMax, Inc.+ ................................ 909,375
175,000 PETsMART, Inc.+ ................................. 1,925,000
300,000 Pier 1 Imports, Inc. ............................ 2,906,250
55,000 Rite Aid Corporation ............................ 2,725,938
------------
24,977,875
------------
SEMICONDUCTORS -- 0.3%
54,800 Conexant Systems, Inc.+ ......................... 917,900
------------
SERVICES -- 6.9%
99,200 ACNielsen Corporation+ .......................... 2,802,400
150,000 Cendant Corporation+ ............................ 2,859,375
44,200 CSG Systems International, Inc.+ ................ 3,491,800
85,000 National Data Corporation ....................... 4,138,438
13,500 Network Solutions, Inc., Class A+ ............... 1,766,813
20,000 Pegasus Systems, Inc.+ .......................... 720,000
69,800 Sotheby's Holdings, Inc., Class A ............... 2,233,600
95,000 USWeb Corporation+ .............................. 2,505,625
------------
20,518,051
------------
TELECOMMUNICATIONS -- 16.4%
105,000 Century Communications Corporation, Class A+ .... 3,330,469
165,000 CommScope, Inc.+ ................................ 2,774,062
85,000 COMSAT Corporation .............................. 3,060,000
25,000 Digi International, Inc.+ ....................... 278,125
36,000 GTE Corporation ................................. 2,340,000
115,000 MediaOne Group, Inc.+ ........................... 5,405,000
276,000 Metrocall, Inc.+ ................................ 1,207,500
175,000 Newbridge Networks Corporation+ ................. 5,315,625
115,000 Nextel Communications, Inc.+ .................... 2,716,875
260,000 Paging Network, Inc.+ ........................... 1,218,750
110,000 Powerwave Technologies, Inc.+ ................... 2,048,750
57,500 SBC Communications, Inc. ........................ 3,083,438
105,000 Skytel Communications, Inc.+ .................... 2,323,125
40,000 Sprint Corporation .............................. 3,365,000
168,750 Sprint PCS+ ..................................... 3,902,344
80,000 Tele-Communications, Inc.+ ...................... 4,424,976
90,001 Tele-Communications TCI Ventures Group, Class A+ 2,120,645
0 U.S. West, Inc. ................................. 3
------------
48,914,687
------------
TOBACCO -- 1.1%
62,500 Philip Morris Companies, Inc. ................... 3,343,750
------------
TRANSPORTATION/SERVICES -- 0.7%
100,000 Knightsbridge Tankers, Ltd. ..................... 2,081,250
------------
UTILITIES -- 2.7%
95,000 Central & South West Corporation ................ 2,606,562
15,000 Houston Industries, Inc. ........................ 1,595,625
42,500 Montana Power Company ........................... 2,403,906
44,000 SCANA Corporation ............................... 1,419,000
------------
8,025,093
------------
WASTE DISPOSAL -- 0.5%
80,000 Superior Services, Inc.+ ........................ 1,605,000
------------
Total Common Stocks
(Cost $194,279,632) ............................. 236,903,432
------------
PREFERRED STOCKS -- 4.8%
AIRLINES -- 0.9%
5,000 Trans World Air** ............................... 105,625
55,000 Trans World Air ................................. 1,161,875
22,000 Trans World Air** ............................... 838,750
20,000 Trans World Air ................................. 762,500
------------
2,868,750
------------
COMMUNICATIONS -- 0.4%
97,500 CellNet Data Systems, Inc. ...................... 1,267,500
------------
FINANCIAL SERVICES -- 0.5%
50,000 Lodgian Capital Trust I** ....................... 1,175,000
40,000 United Companies Financial Corporation .......... 222,500
------------
1,397,500
------------
INDUSTRIAL -- 2.1%
75,000 Cendent Corporation ............................. 2,503,125
62,500 Freeport-McMoran Corporation, Series A .......... 929,688
5,269 Hybridon, Inc., Series A ........................ 216,029
15,000 Pioneer Standard Electronic Company ............. 639,374
45,500 Pioneer Standard Electronic Company** ........... 1,939,438
------------
6,227,654
------------
METALS AND MINING -- 0.3%
20,000 WHX Corporation, Series A ....................... 798,750
------------
PET FOOD -- 0.6%
35,000 Ralston Purina Company .......................... 1,828,750
------------
Total Preferred Stocks
(Cost $18,206,228) .............................. 14,388,904
------------
PRINCIPAL
AMOUNT
-----
CONVERTIBLE BONDS -- 8.7%
APPARELL AND TEXTILES -- 0.1%
$ 500,000 Nine West Group, Inc.
5.500% due 07/15/2003. ........................ 393,750
------------
COMPUTER INDUSTRY -- 3.5%
2,500,000 Adaptec, Inc.
4.750% due 02/01/2004 ......................... 1,946,875
1,500,000 Checkpoint Systems, Inc.,
5.250% due 11/01/2005 ......................... 1,258,125
2,250,000 Hutchinson Technology, Inc.,
6.000% due 03/15/2005 ......................... 3,105,000
1,000,000 Quantum Corporation,
7.000% due 08/01/2004 ......................... 967,500
4,575,000 System Software Company,
7.000% due 09/15/2002 ......................... 3,248,250
------------
10,525,750
------------
CONSUMER SERVICES -- 0.7%
900,000 Alternative Living Services,
5.250% due 12/15/2002. ........................ 957,375
1,000,000 American Retirement Corporation,
5.750% due 10/01/2002 ......................... 856,250
375,000 Assisted Living Concepts,
6.000% due 11/01/2002. ........................ 304,687
------------
2,118,312
------------
INDUSTRIAL -- 0.7%
3,000,000 Halter Marine Group, Inc.,
4.500% due 09/15/2004. ........................ 1,695,000
570,000 S3, Inc.,
5.750% due 10/01/2003 ......................... 439,613
------------
2,134,613
------------
MEDICAL PRODUCTS AND SERVICES -- 0.5%
2,300,000 Sabratek Corporation,
6.000% due 04/15/2005** ....................... 1,546,750
------------
METALS AND MINING -- 0.1%
500,000 Coeur D'Alene Mines Corporation,
7.250% due 10/31/2005 ......................... 294,375
------------
OIL AND GAS -- 0.3%
1,250,000 Key Energy Group, Inc.,
5.000% due 09/15/2004** ....................... 615,625
300,000 Key Energy Group, Inc.,
5.000% due 09/15/2004 ......................... 147,750
------------
763,375
------------
RETAIL -- 1.5%
6,000,000 At Home Corporation
4.000% due 02/28/2018** ....................... 3,375,000
1,500,000 Sports Authority, Inc.
5.250% due 09/15/2001 ......................... 1,005,000
------------
4,380,000
------------
TELECOMMUNICATIONS -- 1.1%
2,150,000 Premiere Technologies, Inc.
5.750% due 07/01/2004 ......................... 1,112,625
2,000,000 Tele-Communications International, Inc.,
4.500% due 02/15/2006 ......................... 2,082,500
------------
3,195,125
------------
TRANSPORTATION -- 0.2%
750,000 Offshore Logistics,
6.000% due 12/15/2003 ......................... 660,000
------------
Total Convertible Bonds
(Cost $26,024,641) .............................. 26,012,050
------------
SHARES
----
WARRANTS -- 0.2%
(Cost $485,600)
FINANCIAL SERVICES -- 0.2%
20,000 Healthcare Financial Partners, Inc .............. 555,400
------------
TOTAL INVESTMENTS (COST $238,996,100*)............... 93.0% $277,859,786
OTHER ASSETS AND LIABILITIES (NET) .................. 7.0 20,978,914
---- ------------
NET ASSETS........................................... 100.0% $298,838,700
==== ============
- -----------------
* Aggregate cost for Federal tax purposes was $239,710,765.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
VALUE + GROWTH SERIES
DECEMBER 31, 1998
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 97.2%
BANKS -- 3.6%
63,100 Chase Manhattan Corporation ...................... $ 4,294,744
169,100 MBNA Corporation ................................. 4,216,931
------------
8,511,675
------------
BROADCAST, RADIO & TELEVISION -- 1.7%
66,500 Comcast Corporation, Class A, Speacial Shares
(Non-Voting) .................................... 3,902,719
------------
COMPUTER INDUSTRY -- 13.0%
178,500 Compaq Computer Corporation ...................... 7,485,844
70,500 Electronic Arts, Inc.+ ........................... 3,956,812
45,900 Microsoft Corporation+ ........................... 6,365,756
158,500 Oracle Corporation+ .............................. 6,835,313
119,800 3Com Corporation+ ................................ 5,368,538
------------
30,012,263
------------
DISTRIBUTOR/WHOLESALER -- 3.1%
98,800 Costco Companies, Inc.+ .......................... 7,132,125
------------
ENTERTAINMENT -- 2.1%
79,400 Time Warner, Inc ................................. 4,927,763
------------
FINANCIAL SERVICES -- 11.0%
18,700 Capital One Financial Corporation ................ 2,150,500
59,600 Charles Schwab Corporation ....................... 3,348,775
77,100 Donaldson, Lufkin & Jenrette, Inc. ................ 3,161,100
124,600 Household International, Inc. ..................... 4,937,275
105,760 Merill Lynch & Company, Inc. ...................... 7,059,480
66,300 Morgan Stanley Dean Witter & Company+ ............ 4,707,300
------------
25,364,430
------------
HEALTHCARE -- 2.2%
145,900 Omnicare, Inc. .................................... 5,070,025
------------
INSURANCE -- 1.2%
47,500 Equitable Companies, Inc.+ ........................ 2,749,062
------------
MEDICAL - HOSPITAL MANAGEMENT AND SERVICES -- 3.1%
105,700 United Healthcare Corporation+ ................... 4,551,706
29,700 Wellpoint Health Networks, Inc.+ .................. 2,583,900
------------
7,135,606
------------
PHARMACEUTICALS -- 7.3%
72,500 Lilly (Eli) & Company ............................ 6,443,438
36,300 Merck & Company, Inc. ............................. 5,361,056
41,400 Pfizer, Inc. ...................................... 5,193,112
------------
16,997,606
------------
RETAIL -- 22.4%
160,600 Bed Bath & Beyond, Inc.+ .......................... 5,480,475
118,500 Best Buy Company, Inc.+ .......................... 7,272,937
103,100 Circuit City Stores -- Circuit City Group ......... 5,148,556
130,000 CVS Corporation .................................. 7,150,000
107,300 Office Depot, Inc.+ .............................. 3,963,394
118,100 Rite Aid Corporation ............................. 5,853,331
149,500 Staples, Inc.+ .................................... 6,531,281
99,800 Walgreen Company .................................. 5,844,538
55,800 Wal-Mart Stores, Inc. ............................. 4,544,213
------------
51,788,725
------------
SEMICONDUCTORS -- 13.4%
90,100 Applied Materials, Inc.+ ......................... 3,846,144
87,800 Intel Corporation ................................. 10,409,787
224,500 Micron Technology, Inc. ........................... 11,351,281
62,400 Texas Instruments, Inc. ........................... 5,339,100
------------
30,946,312
------------
SERVICES -- 4.1%
102,600 National Data Corporation ......................... 4,995,338
98,300 Robert Half International, Inc. ................... 4,392,781
------------
9,388,119
------------
SUPERMARKET CHAINS -- 3.5%
132,800 Safeway, Inc.+ .................................... 8,092,500
------------
TELECOMMUNICATIONS -- 5.5%
51,800 AirTouch Communications, Inc.+ .................... 3,736,075
125,200 MCI WorldCom, Inc.+ ............................... 8,983,100
------------
12,719,175
------------
Total Common Stocks
(Cost $179,954,843) .............................. 224,738,105
------------
TOTAL INVESTMENTS (COST $179,954,843*) 97.2% 224,738,105
OTHER ASSETS AND LIABILITIES (NET) .................. 2.8 6,478,276
----- ------------
NET ASSETS .......................................... 100.0% $231,216,381
===== ============
- -----------------
* Aggregate cost for Federal tax purposes was $181,774,630.
+ Non-income producing security.
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
DECEMBER 31, 1998
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------ --------
GOVERNMENT BONDS -- 92.7%
DENMARK -- 1.7% (DKK)
$2,215,000 Kingdom of Denmark,
6.000% due 11/15/2002 .......................... $ 373,897
-----------
FRANCE -- 10.9% (FRF)
Government of France,
2,250,000 4.000% due 07/12/2000 .......................... 407,624
2,000,000 7.000% due 10/12/2000 .......................... 381,113
4,090,000 5.500% due 04/25/2029 .......................... 805,637
4,030,000 Obligation Assimilable du Tresor,
5.500% due 04/25/2004 .......................... 793,817
-----------
2,388,191
-----------
GERMANY -- 12.3% (DEM)
1,030,000 Bundesobligation,
4.500% due 05/17/2002 .......................... 641,699
1,250,000 Bundesrepublik,
6.000% due 01/04/2007 .......................... 857,263
German Federal Republic: .........................
500,000 6.750% due 07/15/2004 .......................... 348,561
875,000 5.125% due 11/21/2000 .......................... 543,793
300,000 6.000% due 01/05/2006 .......................... 204,285
150,000 5.250% due 02/21/2001 .......................... 92,330
-----------
2,687,931
-----------
NETHERLANDS -- 12.6% (NLG)
1,610,000 Dutch Government,
6.000% due 01/15/2006 .......................... 971,725
3,050,000 Netherlands Government,
5.500% due 01/15/2028 .......................... 1,796,768
-----------
2,768,493
-----------
UNITED KINGDOM -- 5.4% (GBP)
U.K. Treasury: ...................................
440,000 7.000% due 06/07/2002 .......................... 786,873
200,000 7.500% due 12/07/2006 .......................... 399,236
-----------
1,186,109
-----------
UNITED STATES -- 49.8% (USD)
600,000 Federal National Mortgage Association,
4.625% due 10/15/2001 .......................... 597,102
850,000 U.S. Treasury Bill,
4.405%+ due 03/04/1999 ......................... 843,897
U.S. Treasury Notes: .............................
930,000 5.500% due 02/15/2008 .......................... 986,005
350,000 5.500% due 12/31/2000 .......................... 355,985
580,000 5.625% due 05/15/2008 .......................... 619,312
820,000 4.750% due 11/15/2008 .......................... 826,380
760,000 5.875% due 11/15/2005 .......................... 812,265
1,000,000 7.250% due 08/15/2004 .......................... 1,125,000
710,000 6.500% due 10/15/2006 .......................... 789,939
1,200,000 7.000% due 07/15/2006 .......................... 1,370,040
1,510,000 6.375% due 09/30/2001 .......................... 1,577,240
910,000 U.S. Treasury Bond,
6.125% due 11/15/2027 .......................... 1,017,362
-----------
10,920,527
-----------
Total Government Bonds
(Cost $19,216,118) ............................... 20,325,148
-----------
TOTAL INVESTMENTS (COST $19,216,118*).................. 92.7% $20,325,148
OTHER ASSETS AND LIABILITIES (NET) .................... 7.3 1,606,859
----- -----------
NET ASSETS............................................. 100.0% $21,932,007
===== ===========
- -----------------
* Aggregate cost for Federal tax purposes.
+ Annualized yield at date of purchase.
- -----------------------------------------------------------------
GLOSSARY OF TERMS
DEM -- German Deutche Mark
DKK -- Danish Krona
FRF -- French Franc
GBP -- Great British Pound Sterling
JPN -- Japanese Yen
NLG -- Netherland Guilder
USD -- United States Dollar
- ----------------------------------------------------------------
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS TO BUY
CONTRACTS TO RECEIVE
----------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
---------- -------- ---------- -------- ------------
02/16/1999 GBP 350,000 $ 592,393 $ 581,086 $(11,307)
03/15/1999 DKK 750,000 116,202 118,076 1,874
03/23/1999 FRF 4,910,000 886,058 881,777 (4,281)
03/10/1999 DEM 1,592,604 940,000 959,023 19,023
05/11/1999 JPY 124,039,750 1,070,000 1,117,121 47,121
02/19/1999 NLG 806,809 442,145 430,517 (11,628)
--------
$ 40,802
========
FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS TO SELL
CONTRACTS TO DELIVER
----------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
---------- -------- ---------- -------- ------------
02/16/1999 GBP 350,000 $ 591,850 $ 581,086 $ 10,764
03/15/1999 DKK 750,000 117,913 118,076 (163)
03/23/1999 FRF 2,318,000 418,536 416,285 2,251
02/19/1999 NLG 806,809 430,000 430,517 (517)
--------
$ 12,335
--------
Net Unrealized Appreciation of Forward Foreign Exchange
Contracts $ 53,137
========
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
MARKET MANAGER SERIES
DECEMBER 31, 1998
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------ --------
CORPORATE BONDS AND NOTES -- 5.0%
FINANCIAL SERVICES -- 3.0%
$276,000 Cabco (Texas Capital),
Zero Coupon due 10/01/2001 ...................... $ 240,465
----------
INDUSTRIAL -- 2.0%
160,000 Philip Morris Companies, Inc.
6.000% due 07/15/2001 ........................... 162,000
----------
Total Corporate Bonds and Notes
(Cost $379,255) ................................... 402,465
----------
U.S. TREASURY OBLIGATIONS -- 32.0%
(Cost $2,469,411)
$2,867,000 U.S. Treasury Strips:
3.032% due 02/15/2001 ........................... 2,603,637
----------
NUMBER
OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
----- ----- -----
CALL OPTIONS PURCHASED -- 62.5%
6,543 S&P Midcap Companies
Index 400 European ...... 03/06/2001 $178.50 $1,479,864
2,125 S&P Midcap Companies
Index 400 European ...... 03/06/2001 178.50 477,508
1,352 S&P Midcap Companies
Index 400 European ...... 03/06/2001 178.50 305,134
2,398 S&P 500 European .......... 03/06/2001 485.63 1,834,856
782 S&P 500 European .......... 03/06/2001 485.63 605,617
499 S&P 500 European .......... 03/06/2001 485.63 388,101
----------
Total Call Options Purchased
(Cost $1,041,615) ................................. 5,091,080
----------
TOTAL INVESTMENTS (COST $3,890,281*)................... 99.5% 8,097,182
OTHER ASSETS AND LIABILITIES (NET)..................... 0.5 42,251
----- ----------
NET ASSETS ............................................ 100.0% $8,139,433
===== ==========
- -----------------
* Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- -------------------------------------------------------------------------------
THE GCG TRUST
LIQUID ASSET SERIES
DECEMBER 31, 1998
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------ --------
CORPORATE DEBT SECURITIES -- 3.7%
MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS -- 2.3%
Xerox Credit Corporation:
$ 5,000,000 5.259%** due 10/12/1999 ...................... $ 4,998,250
------------
PERSONAL CREDIT INSTITUTIONS -- 1.4%
Toyota Motor Credit Corporation:
3,000,000 5.545%** due 09/23/1999 ...................... 3,000,000
------------
Total Corporate Debt Securities
(Cost $7,998,520) .............................. 7,998,250
------------
COMMERCIAL PAPER -- 68.5%
CHEMICALS & ALLIED PRODUCTS -- 3.5%
Du Pont (E.I.) De Nemours & Company:
2,000,000 5.201%+ due 01/06/1999 ....................... 1,998,589
2,000,000 5.312%+ due 02/05/1999 ....................... 1,989,947
Procter & Gamble Company:
1,000,000 5.168%+ due 01/11/1999 ....................... 998,606
1,449,000 5.215%+ due 01/22/1999 ....................... 1,444,689
1,000,000 5.256%+ due 01/29/1999 ....................... 996,010
------------
7,427,841
------------
COMMUNICATIONS -- 2.1%
BellSouth Corporation:
2,425,000 5.144%+ due 01/21/1999 ....................... 2,418,264
1,000,000 5.172%+ due 01/27/1999 ....................... 996,353
1,025,000 5.161%+ due 02/08/1999 ....................... 1,019,536
------------
4,434,153
------------
CONSTRUCTION MACHINERY & EQUIPMENT -- 2.9%
Caterpillar Financial Services Corporation,
2,000,000 5.382%+ due 01/05/1999 ....................... 1,998,829
2,000,000 5.238%+ due 01/06/1999 ....................... 1,998,583
1,000,000 5.184%+ due 01/08/1999 ....................... 999,018
1,200,000 5.506%+ due 02/04/1999 ....................... 1,193,880
------------
6,190,310
------------
DEPOSITORY INSTITUTIONS -- 2.4%
Societe Generale:
1,000,000 5.680% due 03/22/1999 ........................ 1,000,000
2,000,000 5.260% due 03/22/1999 ........................ 2,000,000
Toronto Dominion Bank,
2,000,000 5.640% due 07/14/1999 ........................ 2,001,984
------------
5,001,984
------------
ELECTRIC, GAS & SANITARY SERVICES -- 2.4%
Consolidated Natural Gas,
1,000,000 5.144%+ due 01/22/1999 ....................... 997,054
Idaho Power Company,
1,000,000 5.495%+ due 01/08/1999 ....................... 998,960
Southern California Edison Company:
1,000,000 5.191%+ due 01/20/1999 ....................... 997,308
2,000,000 5.294%+ due 02/10/1999 ....................... 1,988,511
------------
4,981,833
------------
ELECTRONIC EQUIPMENT -- 2.3%
Motorola Corporation:
1,790,000 5.129%+ due 01/22/1999 ....................... 1,784,779
2,000,000 5.258%+ due 01/26/1999 ....................... 1,992,917
1,000,000 5.144%+ due 02/26/1999 ....................... 992,176
------------
4,769,872
------------
ENTERTAINMENT -- 1.7%
1,000,000 Disney (Walt) Company:
5.191%+ due 01/15/1999 ....................... 998,036
1,712,000 5.150%+ due 02/17/1999 ....................... 1,700,824
1,000,000 5.152%+ due 02/25/1999 ....................... 992,361
------------
3,691,221
------------
FOOD & KINDRED PRODUCTS -- 8.3%
Archer-Daniels-Midland Company,
1,000,000 5.322%+ due 02/01/1999 ....................... 995,522
3,000,000 5.202%+ due 02/08/1999 ....................... 2,984,008
2,000,000 5.189%+ due 03/01/1999 ....................... 1,983,546
1,000,000 5.078%+ due 03/08/1999 ....................... 990,962
Cargill, Inc.,
1,000,000 5.144%+ due 03/05/1999 ....................... 991,215
Coca-Cola Company,
2,000,000 5.227%+ due 01/14/1999 ....................... 1,996,295
1,000,000 5.161%+ due 02/25/1999 ....................... 992,300
General Mills, Inc.:
2,750,000 5.338%+ due 01/04/1999 ....................... 2,748,806
2,000,000 5.267%+ due 01/12/1999 ....................... 1,996,871
Heinz Company,
2,000,000 5.284%+ due 01/11/1999 ....................... 1,997,111
------------
17,676,636
------------
INSTRUMENTS & RELATED PRODUCTS -- 1.5%
Eastman Kodak:
2,238,000 5.412%+ due 01/15/1999 ....................... 2,233,387
1,000,000 5.214%+ due 02/18/1999 ....................... 993,213
------------
3,226,600
------------
INSURANCE -- 2.8%
American General Corporation,
2,000,000 5.236%+ due 01/14/1999 ....................... 1,996,331
2,029,000 5.258%+ due 01/27/1999 ....................... 2,021,439
1,000,000 5.271%+ due 02/17/1999 ....................... 993,289
1,000,000 5.175%+ due 03/11/1999 ....................... 990,321
------------
6,001,380
------------
METALS -- 0.5%
Alcoa Corporation,
1,000,000 5.350%+ due 01/15/1999 ....................... 997,978
------------
MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS -- 5.2%
International Business Machines Credit
Corporation:
2,000,000 5.344%+ due 01/05/1999 ....................... 1,998,836
1,000,000 5.336%+ due 01/07/1999 ....................... 999,125
2,000,000 5.245%+ due 01/13/1999 ....................... 1,996,593
2,000,000 5.209%+ due 02/09/1999 ....................... 1,989,058
Xerox Credit Corporation:
3,000,000 5.478%+ due 01/04/1999 ....................... 2,998,700
1,000,000 5.131%+ due 01/11/1999 ....................... 998,611
------------
10,980,923
------------
PERSONAL CREDIT INSTITUTIONS -- 18.4%
5,000,000 American Express Corporation:
5.114%+ due 01/05/1999 ....................... 4,997,222
1,200,000 5.298%+ due 02/24/1999 ....................... 1,190,730
Associates Corporation North America,
3,000,000 5.258%+ due 01/05/1999 ....................... 2,998,300
2,000,000 5.268%+ due 03/26/1999 ....................... 1,976,060
Chrysler Financial Corporation,
1,000,000 5.422%+ due 01/12/1999 ....................... 998,387
Ford Motor Credit Company:
4,000,000 5.430%+ due 01/05/1999 ....................... 3,997,653
2,307,000 5.260%+ due 01/28/1999 ....................... 2,298,193
General Electric Capital Corporation:
2,000,000 5.194%+ due 01/29/1999 ....................... 1,992,144
2,000,000 5.212%+ due 02/18/1999 ....................... 1,986,560
1,513,000 5.316%+ due 02/19/1999 ....................... 1,502,435
1,000,000 5.298%+ due 03/03/1999 ....................... 991,257
2,000,000 5.119%+ due 03/10/1999 ....................... 1,981,338
Toyota Motor Credit Corporation:
1,485,000 5.265%+ due 02/02/1999 ....................... 1,478,268
2,000,000 5.241%+ due 02/04/1999 ....................... 1,990,423
Trans America Finance Corporation
3,605,000 5.478%+ due 01/04/1999 ....................... 3,603,443
2,000,000 5.311%+ due 01/21/1999 ....................... 1,994,278
1,000,000 5.262%+ due 02/05/1999 ....................... 994,993
2,000,000 5.139%+ due 05/06/1999 ....................... 1,965,417
------------
38,937,101
------------
SECURITY BROKERS -- 12.2%
Goldman, Sachs & Company:
4,000,000 5.478%+ due 01/04/1999 ....................... 3,998,267
2,000,000 5.233%+ due 03/09/1999 ....................... 1,981,017
1,000,000 5.209%+ due 04/20/1999 ....................... 984,710
2,000,000 5.119%+ due 04/21/1999 ....................... 1,969,628
Household Finance Corporation,
4,000,000 5.320%+ due 01/04/1999 ....................... 3,998,280
Merrill Lynch, Pierce, Fenner & Smith, Inc.:
5,000,000 5.478%+ due 01/04/1999 ....................... 4,997,875
2,000,000 5.554%+ due 01/13/1999 ....................... 1,996,367
2,579,000 5.660%+ due 01/19/1999 ....................... 2,571,779
Morgan Stanley & Company:
2,365,000 5.256%+ due 01/29/1999 ....................... 2,355,582
1,000,000 5.295%+ due 02/05/1999 ....................... 994,993
------------
25,848,498
------------
TRANSPORTATION EQUIPMENT -- 2.3%
Daimler-Benz Aktieng:
2,000,000 5.220%+ due 01/22/1999 ....................... 1,994,097
1,000,000 5.276%+ due 02/24/1999 ....................... 992,305
1,864,000 5.154%+ due 05/17/1999 ....................... 1,829,002
------------
4,815,404
------------
Total Discount Commercial Paper
(Cost $144,981,734) ............................ 144,981,734
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 28.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 10.0%
5,027,000 5.185%+ due 01/07/1999 ....................... 5,022,761
2,000,000 5.143%+ due 01/28/1999 ....................... 1,992,530
5,000,000 5.389%+ due 02/03/1999 ....................... 4,976,098
4,293,000 5.356%+ due 02/19/1999 ....................... 4,262,820
2,000,000 5.107%+ due 03/10/1999 ....................... 1,981,224
3,000,000 5.309%+ due 03/19/1999 ....................... 2,967,275
------------
21,202,708
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 18.3%
4,000,000 5.164%+ due 01/06/1999 ....................... 3,997,217
1,158,000 5.185%+ due 01/08/1999 ....................... 1,156,863
3,000,000 5.378%+ due 01/19/1999 ....................... 2,992,200
4,000,000 5.286%+ due 01/25/1999 ....................... 3,986,373
3,000,000 5.337%+ due 02/03/1999 ....................... 2,985,782
3,000,000 5.346%+ due 02/25/1999 ....................... 2,976,396
950,000 5.093%+ due 03/08/1999 ....................... 941,309
14,690,000 5.300%+ due 03/15/1999 ....................... 14,537,605
2,195,000 5.302%+ due 04/13/1999 ....................... 2,163,407
1,021,000 5.325%+ due 04/23/1999 ....................... 1,004,832
2,000,000 5.207%+ due 06/04/1999 ....................... 1,957,650
------------
38,699,634
------------
Total U.S. Government Agency Notes
(Cost $59,902,342) ............................. 59,902,342
------------
TOTAL INVESTMENTS (COST $212,882,596*) ............... 100.5% $212,882,326
OTHER ASSETS AND LIABILITIES (NET) ................. (0.5) (1,152,506)
----- ------------
NET ASSETS............................................ 100.0% $211,729,820
===== ============
- -----------------
* Aggregate cost for Federal tax purposes.
** Variable Rate Note.
+ Annualized yield at date of purchase.
See Notes to Finanical Statements.
<PAGE>
THE GCG TRUST
DECEMBER 31, 1998
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The GCG Trust, (the "Trust") is registered under the Investment Company Act of
1940 (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 December 31, 1998 the Trust had twenty-four operational portfolios
(the "Series"): Multiple Allocation Series ("MA"), Fully Managed Series
("FM"), Limited Maturity Bond Series ("LMB"), Hard Assets Series ("HA"), Real
Estate Series ("RE"), All-Growth Series ("AG"), Capital Appreciation Series
("CA"), Rising Dividends Series ("RD"), Emerging Markets Series ("EM"), Value
Equity Series ("VE"), Strategic Equity Series ("SE"), Small Cap Series ("SC"),
Managed Global Series ("MG"), Growth Opportunities Series ("GO"), Developing
World Series ("DW"), Mid-Cap Growth Series ("MC"), Research Series ("R"),
Total Return Series ("TR"), Growth & Income Series ("GI"), Value + Growth
Series ("VG"), Market Manager Series ("MM"), Global Fixed Income Series
("GF"), Liquid Asset Series ("LA") and The Fund For Life Series. All of the
Series are diversified except for HA, GF, MG, MC and MM which are non-
diversified Series. The information presented in these financial statements
pertains to all of the Series except for The Fund For Life Series which is
presented under separate cover. The Trust is intended to serve as an
investment medium for (i) variable life insurance policies and variable
annuity contracts ("Variable Contracts") offered by insurance companies, and
(ii) certain qualified pension and retirement plans, as permitted under the
Federal tax rules relating to the Series serving as investment mediums for
Variable Contracts. The Trust currently functions as an investment medium for
contracts and policies offered by Golden American Life Insurance Company
("Golden American"), a wholly owned subsidiary of Equitable of Iowa Companies
("Equitable of Iowa"), an indirect wholly owned subsidiary of ING Groep N.V.
("ING") and First Golden American Life Insurance Company ("First Golden"), a
wholly owned subsidiary of Golden American. The Trust is also an investment
medium for contracts offered by the Mutual Benefit Life Insurance Company in
Rehabilitation and by the Security Equity Life Insurance Company.
MA, FM, LMB, HA, RE, AG and LA 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. MC, R, TR, GI,
VG and GF 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, gold 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 financial
instruments may involve, to varying degrees, elements of market risk and risks
in excess of the amount recognized in the Statement of Assets and Liabilities.
Losses may arise under these contracts due to the existence of an illiquid
secondary market for the contracts, or if the counterparty does not perform
under the contract. An additional primary risk associated with the use of
certain of these contracts may be caused by an imperfect correlation between
movements in the price of the derivative financial instruments and the price
of the underlying securities, indices or currency.
OPTIONS: Certain Series may engage in option transactions including purchasing
options on securities and securities indexes ("purchased options") and writing
covered call and secured put options ("written options"). Generally, purchased
options are utilized to protect security holdings in a portfolio or protect
against substantial increases in market prices in securities to be acquired in
the future. MM invests in purchased options on security indexes in accordance
with its long term investment objectives to obtain equity market performance.
Certain Series may use written options to generate additional income, protect
partially against declines in the value of portfolio securities or facilitate
a Series' ability to purchase a security at a price lower than the security's
current market price. Option transactions may be engaged on exchanges and on
over-the-counter markets. When a Series writes an option, an amount equal to
the premium received by the Series is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market on a
daily basis to reflect the current value of the option written. When a
security is sold through an exercise of an option, the related premium
received (or paid) is deducted from (or added to) the basis of the security
sold. When an option expires (or the Series enters into a closing
transaction), the Series realizes a gain or loss on the option to the extent
of the premiums received or paid. Realized and unrealized gains and losses
arising from purchased option transactions are included in the net realized
and unrealized gain/(loss) on securities.
The option activity for VE for the year ended December 31, 1998 was as
follows:
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
Options outstanding at December 31, 1997 ..... 150 $ 26,398
Options written during the period ............ 2,773 792,870
Options expired during the period ............ 2,058 542,310
Options closed during the period ............. 865 276,958
-------- --------
Options outstanding at December 31, 1998 ..... -- --
======== ========
The option activity for HA for the year ended December 31, 1998 was as
follows:
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
Options outstanding at December 31, 1997 ....... -- --
Options written during the period .............. 98 $28,943
Options expired during the period .............. 98 28,943
Options closed during the period ............... -- --
-------- --------
Options outstanding at December 31, 1998 ....... -- --
======== ========
FUTURES CONTRACTS: Certain Series may engage in various futures contracts
including interest rate and stock index futures contracts. The transactions in
futures contracts must constitute bona fide hedging or other strategies under
regulations promulgated by the Commodities Futures Trading Commission. Upon
entering into a contract, the Series deposits and maintains as collateral such
initial margin as required by the exchange on which the transaction is
effected. Pursuant to the contract, the Series agrees to receive from or pay
to the broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Series as unrealized gains or losses. When the contract is
closed, the Series records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. During the year ended December 31, 1998, all futures
transactions were conducted on U.S. exchanges. Contracts open, if any, at
December 31, 1998 are included in the portfolio of investments and their
related realized and unrealized gains and losses are included in the net
realized and unrealized gain/(loss) on futures contracts.
FORWARD FOREIGN 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 December 31, 1998 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.
Each Series bears a risk of loss in the event that the other party to a
repurchase agreement defaults on its obligations and the Series is delayed or
prevented from exercising its rights to dispose of the underlying securities
received as collateral including the risk of a possible decline in the value
of the underlying securities during the period while the Series seeks to
exercise its rights. Each Series takes possession of the collateral and
reviews the value of the collateral and the creditworthiness of those banks
and dealers with which the Series enters into repurchase agreements to
evaluate potential risks. The market value of the underlying securities
received as collateral must be at least equal to the total amount of the
repurchase obligation. In the event of counterparty default, the Series has
the right to use the underlying securities to offset the loss.
(E) FEDERAL INCOME TAXES: Each Series of the Trust is a separate entity for
Federal income tax purposes. No provision for Federal income taxes has been
made since each Series of the Trust has complied and intends to continue to
comply with provisions of subchapter M of the Internal Revenue Code of 1986,
as amended, available to regulated investment companies and to distribute its
taxable income to shareholders sufficient to relieve it from all, or
substantially all, Federal income taxes.
(F) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Investment transactions are
recorded on trade date. Dividend income and distributions to shareholders are
recorded on the ex-dividend date, except certain dividends from foreign
securities where the ex-dividend date may have passed are reported as income
when the Series identifies the dividend. Interest income (including
amortization of premium and discount on securities) and expenses are accrued
daily. Realized gains and losses from investment transactions are recorded on
an identified cost basis which is the same basis the Trust uses for Federal
income tax purposes. Purchases of securities under agreements to resell are
carried at cost, and the related accrued interest is included in interest
receivable.
(G) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net investment income of LA
is declared as a dividend daily and paid monthly. For all other Series, net
investment income will be paid annually, except that LMB may declare a
dividend monthly or quarterly. Any net realized long-term capital gains (the
excess of net long-term capital gains over net short-term capital losses) for
any Series will be declared and paid at least once annually. Net realized
short-term capital gains may be declared and paid more frequently. Income
distributions and capital gain distributions are determined in accordance with
income tax regulations which may differ from net investment income and net
realized gains recorded by the Trust. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by the Series, timing differences and differing characterization of
distributions made by each Series as a whole.
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Directed Services, Inc. (the "Manager"), an indirect wholly owned subsidiary
of ING, provides all of the Series with advisory and administrative services
under a Management Agreement (the "Agreement"). 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
- ------ ---
<S> <C>
(based on combined assets of the indicated
groups of Series)
Multiple Allocation Series, Fully Managed Series, Hard Assets 1.00% on the first $750 million in combined assets
Series, Real Estate Series, All-Growth Series, Capital of these Series;
Appreciation Series, Rising Dividends Series, Value Equity 0.95% on the next $1.250 billion;
Series, Strategic Equity Series, Small Cap Series 0.90% on the next $1.5 billion; and
0.85% on the amount over $3.5 billion
Limited Maturity Bond Series and Liquid Assets Series 0.60% on the first $200 million in combined assets
of these Series;
0.55% on the next $300 million; and
0.50% on the amount over $500 million
Growth & Income Series, Value + Growth Series, and Growth 1.10% on the first $250 million;
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
Emerging Markets Series and Developing World Series 1.75%
Mid-Cap Growth Series, Research Series and Total Return 1.00% on the first $250 million;
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>
Multiple Allocation Series Zweig Advisors Inc.
Fully Managed Series T. Rowe Price Associates, Inc.
Limited Maturity Bond Series ING Investment Management, LLC
Hard Assets Series Van Eck Associates Corporation
Real Estate Series EII Realty Securities, Inc.
All-Growth Series Pilgrim Baxter & Associates, Ltd.
Capital Appreciation Series INVESCO (NY) Inc.
Rising Dividends Series Kayne Anderson Investment Management, LLC
Emerging Markets Series Putnam Investment Management, Inc.
Value Equity Series Eagle Asset Management, Inc.
Strategic Equity Series Zweig Advisors Inc.
Small Cap Series Fred Alger Management, Inc.
Managed Global Series Putnam Investment Management, Inc.
Growth Opportunities Series Montgomery Asset Management, LLC
Developing World Series Montgomery Asset Management, LLC
Mid-Cap Growth Series Massachusetts Financial Services Co.
Research Series Massachusetts Financial Services Co.
Total Return Series Massachusetts Financial Services Co.
Growth & Income Series Robertson, Stephens & Co. Investment Management, LP
Value + Growth Series Robertson, Stephens & Co. Investment Management, LP
Global Fixed Income Series Baring International Investments Ltd.
Market Manager Series ING Investment Management, LLC
Liquid Asset Series ING Investment Management, LLC
</TABLE>
During the year ended December 31, 1998, MA, FM, RE, AG, CA, EM, VE, MG, GO,
GI and VG, in the ordinary course of business, paid commissions of $568, $225,
$1,344, $678, $9,600, $6,249, $1,032, $1,096, $78, $4,404 and $6,624,
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.
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities,
excluding U.S. Government and short-term investments, for the year ended
December 31, 1998 were as follows:
PURCHASES SALES
Multiple Allocation Series ...................... $ 83,408,728 $101,994,142
Fully Managed Series ............................ 123,736,606 77,216,698
Limited Maturity Bond Series .................... 20,300,115 6,580,267
Hard Assets Series .............................. 53,941,672 55,426,646
Real Estate Series .............................. 33,529,311 21,327,161
All-Growth Series ............................... 161,873,926 159,427,757
Capital Appreciation Series ..................... 191,240,020 128,926,678
Rising Dividends Series ......................... 410,487,882 132,535,883
Emerging Markets Series ......................... 34,030,157 37,498,998
Value Equity Series ............................. 165,589,056 118,337,429
Strategic Equity Series ......................... 92,589,892 76,592,390
Small Cap Series ................................ 165,483,240 117,019,635
Managed Global Series ........................... 199,079,912 199,399,080
Growth Opportunity Series ....................... 14,127,158 5,537,318
Developing World Series ......................... 13,508,135 4,050,764
Mid-Cap Growth Series ........................... 300,072,997 103,647,479
Research Series ................................. 684,862,145 166,806,067
Total Return Series ............................. 371,297,752 77,577,368
Growth & Income Series .......................... 459,834,805 206,802,592
Value + Growth Series ........................... 349,274,312 154,741,916
Global Fixed Income Series ...................... 22,654,397 4,243,023
Market Manager Series ........................... -- 17,423
Liquid Assets Series ............................ -- --
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short term investments, for the year ended
December 31, 1998 were as follows:
Multiple Allocation Series ...................... $ 43,841,531 $51,187,359
Fully Managed Series ............................ 10,648,484 350,000
Limited Maturity Bond Series .................... 115,881,267 35,129,879
Market Manager Series ........................... -- 110,072
Total Return Series ............................. 135,860,940 47,552,250
Amounts shown as the aggregate cost of purchases and proceeds from the sales
of securities for the Limited Maturity Bond Series and the Liquid Assets
Series do not include those amounts for those Equi-Select Series Trust
Portfolios consolidated into each respective Series (see Note 6).
At December 31, 1998, the aggregate gross unrealized appreciation for all
securities in which there is an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there is an excess
of tax cost over value were as follows:
<TABLE>
<CAPTION>
NET TAX
TAX BASIS TAX BASIS BASIS
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ --------------
<S> <C> <C> <C>
Multiple Allocation Series ................. $ 28,646,466 $ 8,762,269 $19,884,197
Fully Managed Series ....................... 26,388,190 13,991,999 12,396,191
Limited Maturity Bond Series ............... 1,845,269 306,344 1,538,925
Hard Assets Series ......................... 1,023,457 6,549,034 (5,525,577)
Real Estate Series ......................... 4,729,338 7,835,301 (3,105,963)
All-Growth Series .......................... 12,400,248 2,023,450 10,376,798
Capital Appreciation Series ................ 63,308,790 8,226,500 55,082,290
Rising Dividends Series .................... 102,580,225 12,735,889 89,844,336
Emerging Markets Series .................... 3,522,473 5,769,867 (2,247,394)
Value Equity Series ........................ 15,527,906 10,735,166 4,792,740
Strategic Equity Series .................... 7,452,808 3,117,792 4,335,016
Small Cap Series ........................... 33,628,004 2,224,700 31,403,304
Managed Global Series ...................... 26,388,146 1,524,132 24,864,014
Growth Opportunities Series ................ 952,570 607,022 345,548
Developing World Series .................... 692,761 1,335,576 (642,815)
Mid-Cap Growth Series ...................... 38,479,543 12,440,534 26,039,009
Research Series ............................ 95,253,978 14,228,735 81,025,243
Total Return Series ........................ 30,095,699 6,348,095 23,747,604
Growth & Income Series ..................... 49,844,620 11,695,599 38,149,021
Value + Growth Series ...................... 44,883,883 1,920,408 42,963,475
Global Fixed Income Series ................. 1,138,047 29,017 1,109,030
Market Manager Series ...................... 4,206,901 -- 4,206,901
Liquid Assets Series ....................... -- 270 270
</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 December 31, 1998 are as follows:
FULLY MANAGED SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
- -------- ---- -----------
<S> <C> <C>
Kemper Corporation, Series E, Conv. Pfd. Stock, 144A ....................... $1,946,734 02/06/1995
Union Pacific Capital Trust, Conv. Pfd. Stock, 144A ........................ 1,264,295 03/27/1998
Exide Corporation, Conv. Bond, 144A, 2.900% due 12/15/2005 ................. 325,693 04/03/1998
Roche Holdings Inc., 144A Conv. Bond due 05/06/2012 ........................ 1,231,554 04/29/1997
Thomas Nelson Conv. Bond 144A, 5.75% due 11/30/99 .......................... 402,746 12/15/1997
Homestake Mining Company, Conv. Bond, 144A, 5.500% due 6/23/2000 ........... 3,049,879 02/16/1995
</TABLE>
Total restricted and/or illiquid securities (fair value of $8,469,700)
represented 3.4% of net assets of FM at December 31, 1998.
On December 31, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
LIMITED MATURITY BOND SERIES:
ACQUISITION
SECURITY COST DATE
- -------- --------- -----------
Rite Aid Corporation, 144A, Bond due 12/15/2000 ...... $ 998,295 12/17/1998
Total restricted and/or illiquid securities (fair value of $996,250)
represented 0.7% of net assets of LM at December 31, 1998.
On December 31, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
HARD ASSETS SERIES:
ACQUISITION
SECURITY COST DATE
- -------- --------- -----------
S.P. Interoil 144A .................................. $ 605,625 01/28/1997
Total restricted and/or illiquid securities (fair value of $46,750)
represented 0.2% of net assets of HA at December 31, 1998.
On December 31, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
EMERGING MARKETS SERIES:
ACQUISITION
SECURITY COST DATE
- -------- ---------- -----------
Cemig 144A ADS ...................................... $ 743,038 03/14/1997
Ceske Radiokomenikace 144A .......................... 230,253 06/12/1998
EFG-Hermes, GDR 144A ................................ 180,950 07/28/1998
Coca-Cola Beverages PLC 144A ........................ 63,621 07/13/1998
Panafon Hellenic Telecom S.A. 144A .................. 183,589 11/20/1998
Mol Magyar Olaj Es Gazipari, GDR 144A ............... 448,357 03/20/1998
Pick Szeged Rt. GDR 144A ............................ 366,076 12/09/1997
BSES Ltd., GDR 144A ................................. 41,760 10/14/1998
Gujarat Ambuja Cement 144A .......................... 199,230 04/02/1997
Mahanagar Telephone Nigam Ltd., GDR 144A ............ 338,889 12/03/1997
Videsh Sanchar Nigam Ltd., GDR 144A ................. 123,264 10/14/1998
Berjaya Sports Toto BHD ............................. 321,483 06/26/1997
IJM Corporation BHD ................................. 188,582 11/19/1997
JAYA Tiasa Holdings BHD ............................. 83,769 04/27/1998
Malakoff BHD ........................................ 124,841 07/18/1997
Grupo Accion S.A. de C.V. 144A ADR .................. 306,213 06/19/1997
Bank of the Philippine Islands 144A ................. 79,263 11/25/1998
Cosmos Bottling Corporation 144A .................... 145,378 03/02/1998
PPB Oil Palms Berhad ................................ 281,161 09/03/1997
Kredyt Bank PBI S.A., GDR 144A ...................... 84,916 12/11/1997
Sanlam, Ltd. 144A ................................... 284,485 11/30/1998
Acer, Inc., GDR 144A ................................ 199,420 06/04/1997
Total restricted and/or illiquid securities (fair value of $1,416,425)
represented 5.4% of net assets of EM at December 31, 1998.
On December 31, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
MANAGED GLOBAL SERIES:
ACQUISITION
SECURITY COST DATE
- -------- ----------- -----------
AMP Ltd. ............................................ $ 962,248 06/15/1998
Takefuji Corporation ................................ 530,120 04/23/1998
Total restricted and/or illiquid securities (fair value of $1,790,629)
represented 1.3% of net assets of MG at December 31, 1998.
On December 31, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
DEVELOPING WORLD SERIES:
ACQUISITION
SECURITY COST DATE
----------- ----------
Al Ahram Beverage, GDR, 144A ........................ $ 200,500 02/23/1998
ASE, GDR, 144A ...................................... 39,150 02/23/1998
Bank Handlowy W. Warzawie, 144A ..................... 24,200 07/24/1998
BEC World Public Company Ltd. (Foreign), 144A ....... 54,556 02/23/1998
BSES Ltd., GDR, 144A ................................ 73,000 02/23/1998
Ceske Radiokomunikace, GDR, 144A .................... 160,557 05/25/1998
Mahanagar Telephone Nigam Ltd., GDR, 144A ........... 62,425 09/17/1998
L.G. Chemical Ltd., GDR, 144A ....................... 73,935 10/05/1998
Prokom Software, GDR, 144A .......................... 45,225 02/23/1998
Standard Foods Taiwan Ltd., GDR, 144A ............... 74,100 06/24/1998
Videsh Sanchar Nigam Ltd., GDR, 144A ................ 71,400 08/26/1998
Yageo Corporation, GDR, 144A ........................ 199,688 02/23/1998
Samsung Electronics, GDR, 144A ...................... 1,875 07/01/1998
Samsung Electronics, GDR, 144A ...................... 49,000 02/23/1998
Hindalco Industries Ltd., GDR ....................... 73,000 02/23/1998
Total restricted and/or illiquid securities (fair value of $1,236,016)
represented 14.1% of net assets of DW at December 31, 1998.
On December 31, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
TOTAL RETURN SERIES:
ACQUISITION
SECURITY COST DATE
- -------- ---------- -----------
Newell Financial Trust I, Pfd. Stock, 144A ........... $1,236,600 08/14/1998
Raytheon Company, 144A, Bond due 12/15/2018 .......... 358,513 12/09/1998
Jones Apparel, 144A, Bond due 10/01/2001 ............. 167,845 09/29/1998
Deutsche Bank Finance BV, 144A, Bond due 02/12/2017 .. 170,284 08/14/1998
Time Warner Company, 144A, Bond due 12/30/2001 ....... 4,541,055 09/23/1998
Bell Atlantic Financial Services, 144A, Bond
due 09/15/2005 ..................................... 786,122 08/14/1998
Criimi Mae Commercial Mortgage Trust, 144A, Bond
due 03/02/2011 ..................................... 1,228,500 08/14/1998
GS Escrow Corporation, 144A, Bond due 08/01/2001 ..... 1,620,358 08/14/1998
GS Escrow Corporation, 144A, Bond due 08/01/2005 ..... 1,132,291 08/14/1998
Natexis Ambs Company LLC, 144A, Bond due 12/29/2049 .. 258,050 08/14/1998
Providian Capital I, 144A, Bond due 02/01/2027 ....... 114,828 08/14/1998
Safeco Capital Trust Company, 144A, Bond
due 07/15/2037 ..................................... 668,008 08/14/1998
State Street Institutional Capital, Class A, 144A,
Bond due 12/30/2026 ................................ 108,883 08/14/1998
Protection One Alarm, 144A, Bond due 08/15/2005 ...... 689,041 10/15/1998
UPM-Kymmene Corporation, 144A, Bond due 11/26/2027 ... 284,832 08/14/1998
Atlantic Mutual Insurance Company, 144A, Bond
due 02/15/2028 ..................................... 554,040 08/14/1998
Xerox Corporation, 144A, Bond due 04/21/2018 ......... 700,886 08/14/1998
Husky Oil, Ltd, 144A, Bond due 08/15/2028 ............ 689,792 08/14/1998
Jasmine Submarine Telecommunications, Ltd., 144A,
Bond due 05/30/2011 ................................ 77,085 08/14/1998
Qwest Communications International, 144A, Bond due
11/01/2008 ........................................... 456,923 10/28/1998
Connecticut Light & Power Company, 144A, Bond
due 06/05/2003 ..................................... 1,000,000 08/14/1998
Empresa Nacional de Electricidad, 144A, Bond
due 04/30/2001 ..................................... 1,006,670 08/14/1998
Hidroelectrica Alicura, 144A, Bond due 03/15/1999 .... 1,403,791 08/14/1998
Marlin Water Trust, 144A, Bond due 12/15/2001 ........ 3,285,000 12/08/1998
Texas Utility Electric Company, 144A, Coupon
due 01/01/2008 ..................................... 378,613 10/28/1998
BCF L.L.C., 144A, Coupon due 09/25/2026 .............. 96,294 08/14/1998
Goldman Sachs Group, L.P., 144A, Bond due 01/15/2003 . 2,966,717 08/14/1998
Jett Equipment Trust, 144A, Bond due 06/15/2010 ...... 60,382 08/14/1998
Jett Equipment Trust, 144A, Bond due 11/01/2012 ...... 51,905 08/14/1998
Jett Equipment Trust, 144A, Bond due 11/01/2013 ...... 13,390 08/14/1998
Cleveland Electric Illuminating Company, 144A Bond
due 11/01/2017 ..................................... 326,045 10/28/1998
Tenet Healthcare Corporation, 144A, Bond
due 06/01/2008 ..................................... 100,989 08/14/1998
Total restricted and/or illiquid securities (fair value of $26,437,893)
represented 5.9% of net assets of TR at December 31, 1998.
On December 31, 1998, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
GROWTH & INCOME SERIES:
ACQUISITION
SECURITY COST DATE
- -------- ----------- -----------
FBR Asset Investment Corporation, 144A ........... $ 400,000 08/14/1998
Trans World Air, Pfd. Stock, 144A ................ 163,125 08/14/1998
Trans World Air, Pfd. Stock, 144A ................ 1,309,000 08/14/1998
Lodgian Capital Trust I, Pfd. Stock, 144A ........ 1,962,500 08/14/1998
Pioneer Standard Electronic Company, Pfd. ........
Stock, 144A .................................... 1,838,438 08/14/1998
Sabratek Corporation, 144A, Conv. Bond
due 04/15/2005 .................................. 2,007,225 08/14/1998
Key Energy Group, Inc., 144A, Conv. Bond
due 09/15/2004 ................................. 932,138 08/14/1998
At Home Corporation, 144A, Conv. Bond
due 02/28/2018 ................................. 3,149,469 12/21/1998
Total restricted and/or illiquid securities (fair value of $9,996,188)
represented 3.4% of net assets of GI at December 31, 1998.
On December 31, 1998 and on the dates of acquisition there were no market
quotations available for unrestricted securities of the same class.
5. CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Series' indicated below have capital loss
carryforwards as of December 31, 1998 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
LOSSES LOSSES LOSSES LOSSES LOSSES LOSSES
DEFERRED DEFERRED DEFERRED DEFERRED DEFERRED DEFERRED
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING
SERIES IN 2001 IN 2002 IN 2003 IN 2004 IN 2005 IN 2006
- ------ ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Limited Maturity Bond Series ......... -- -- -- $ 6,321 -- --
Hard Assets .......................... -- -- -- -- -- $ 5,310,830
Emerging Markets Series .............. -- -- $8,462,512 -- -- 10,476,392
Small Cap Series ..................... -- -- -- 468,717 $2,463,267 --
Growth Opportunities Series .......... -- -- -- -- -- 435,012
Developing World Series .............. -- -- -- -- -- 489,408
Research Series ...................... -- -- -- -- -- 5,357,552
Total Return Series .................. -- -- -- -- -- 775,784
Growth & Income Series ............... -- -- -- -- -- 10,986,279
Value + Growth Series ................ -- -- -- -- -- 10,552,893
Global Fixed Income Series ........... -- -- -- -- -- 4,149
Liquid Asset Series .................. $172 $15 -- 1,432 816 537
</TABLE>
6. CONSOLIDATION OF EQUI-SELECT SERIES TRUST INTO THE GCG TRUST
On August 14, 1998, the consolidation of Equi-Select Series ("ESS") Trust into
The GCG Trust took place at no cost to contract holders. The separate accounts
investing in the ESS Trust Portfolios substituted shares of similar GCG Trust
Series for shares of the ESS Trust Portfolios in a taxable exchange as
follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATION/ VALUE OF
ESS TRUST PORTFOLIO REPLACED GCG SUBSTITUTED SERIES SHARES ISSUED (DEPRECIATION) NET ASSETS
- ---------------------------- ---------------------- ------------- -------------- ----------
<S> <C> <C> <C> <C>
Growth & Income Portfolio Growth & Income Series 15,829,527.063 $(1,382,294) $225,438,123
Research Portfolio Research Series 22,082,990.473 17,154,591 391,978,647
Total Return Portfolio Total Return Series 20,909,076.735 3,633,276 311,044,440
Value + Growth Portfolio Value + Growth Series 10,963,565.482 10,535,174 149,396,501
International Fixed Income Portfolio Global Fixed Income Series 1,485,968.159 106,488 15,564,753
OTC Portfolio Mid-Cap Growth Series 10,833,373.392 (8,246,032) 169,854,219
Money Market Portfolio Liquid Assets Series 48,481,811.660 -- 48,475,961
Mortgage-Backed Securities Portfolio Limited Maturity Bond Series 1,901,275.243 262,699 20,331,948
Advantage Portfolio Limited Maturity Bond Series 1,793,679.324 8,107 18,625,323
</TABLE>
The consolidation of ESS Trust into The GCG Trust created new portfolios with
respect to Growth & Income Series, Research Series, Total Return Series, Value
+ Growth Series, Global Fixed Income Series and Mid-Cap Growth Series. The
aggregate net assets of the Liquid Assets Series and Limited Maturity Bond
Series were $146,190,555 and $75,187,878, respectively prior to the
consolidation. The aggregate net assets of Liquid Assets Series and Limited
Maturity Bond Series were $194,666,515 and $114,145,149, respectively, as a
result of the consolidation.
7. 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.
<PAGE>
- ---------------------------------------
Report of Independent Auditors
- ---------------------------------------
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
BOARD OF TRUSTEES AND CONTRACTHOLDERS:
THE GCG TRUST
We have audited the accompanying statements of assets and liabilities,
including the portfolio of investments, of the Multiple Allocation Series,
Fully Managed Series, Limited Maturity Bond Series, Hard Assets Series, Real
Estate Series, All Growth Series, Capital Appreciation Series, Rising
Dividends Series, Emerging Markets Series, Value Equity Series, Strategic
Equity Series, Small Cap Series, Managed Global Series, Growth Opportunities
Series, Developing World Series, Mid-Cap Growth Series, Research Series, Total
Return Series, Growth & Income Series, Value + Growth Series, Global Fixed
Income Series, Market Manager Series and Liquid Asset Series (23 of the Series
comprising The GCG Trust), (the "Trust") as of December 31, 1998, the related
statement of operations for the period then ended, and the statement of
changes in net assets and financial highlights for each of the periods
indicated therein. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free from material misstatement. An audit includes
examining on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1998, by correspondence
with the custodian and brokers, or other appropriate auditing procedures where
replies from brokers were not received. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Series constituting The GCG Trust at December 31, 1998, the
results of their operations for the period then ended, and the changes in
their net assets and financial highlights for each of the periods indicated
therein, in conformity with generally accepted accounting principles.
/s/ Ernst & Young LLP
Boston, Massachusetts
February 26, 1999
<PAGE>
- ---------------------------------------
Tax Information -- (Unaudited)
- ---------------------------------------
THE GCG TRUST
FISCAL YEAR ENDED DECEMBER 31, 1998
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1998 were as follows:
Multiple Allocation Series .............................. $15,190,857
Fully Managed Series .................................... 13,484,803
Hard Assets ............................................. 1,094,049
Real Estate Series ...................................... 6,322,022
All Growth Series ....................................... 482,429
Capital Appreciation Series ............................. 20,024,843
Rising Dividends Series ................................. 19,104,120
Value Equity Series ..................................... 1,046,031
Strategic Equity Series ................................. 2,782,270
Managed Global Series ................................... 3,721,386
Market Manager Series ................................... 213,782
<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
Robert 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>
Golden American Life Insurance Company --------------------
1001 Jefferson Street -----------------
Wilmington, DE 19801 BULK RATE
U.S. POSTAGE
PAID
PERMIT NO. 3361
DES MOINES, IA
-----------------
--------------------
