THE GCG TRUST
DECEMBER 31, 1999
ANNUAL REPORT
GOLDENSELECT PRODUCTS ARE ISSUED BY
GOLDEN AMERICAN lIFE iNSURANCE CONPANY
AND DISTRIBUTED BY DIRECT SERVICES, INC., MEMBER NASD
ING VARIABLE ANNUITIES
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TABLE OF CONTENTS
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THE GCG TRUST
PAGE
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Chairman's Letter ...................................................... 1
Portfolio Manager Reports .............................................. 2
Statements of Assets and Liabilities ................................... 26
Statements of Operations ............................................... 30
Statements of Changes in Net Assets .................................... 34
Financial Highlights ................................................... 42
Portfolios of Investments .............................................. 65
Notes to Financial Statements .......................................... 108
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The information contained in this report is intended for general information
purposes only. This report is not authorized for distribution to prospective
investors unless preceded or accompanied by current Trust and Separate
Account prospectuses which contain important information concerning the
Trust, the Company, and its current public offering of variable contracts.
Investment return and principal value will vary, and shares may be worth more
or less at redemption than at original purchase.
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<PAGE>
ING VARIABLE ANNUITIES
1475 Dunwoody Drive, West Chester, PA 19380
February 1, 2000
Dear Shareholder of the GCG Trust:
We at ING VARIABLE ANNUITIES, home of GOLDENSELECT(R), are pleased to present to
you the 1999 Annual Report of thE GCG Trust (the "Trust"). The following report
provides information about the performance and financial position of the
portfolios within the Trust.
During the year ended December 31, 1999, the net assets of the Trust increased
95% to end the year at $8.4 billion. This increase can be attributed to new
investment by shareholders and another year of strong investment returns.
In 1999, the Trust experienced the following enhancements:
(BULLET) Janus Capital Corporation was hired as the new Portfolio Manager for
the Value + Growth Series, effective March 1, 1999. In addition, the
Series was renamed "Growth Series", a name which we believe better
reflects the change in investment style from a value approach to a
growth approach.
(BULLET) A I M Capital Management, Inc. was selected to manage the Strategic
Equity Series, effective March 1, 1999 and the Capital Appreciation
Series, effective April 1, 1999. Additionally, certain changes in the
investment policies and procedures of Strategic Equity Series were made
to reflect the investment style and stock selection technique of A I M
Capital.
(BULLET) Alliance Capital Management L.P. was hired as the new Portfolio Manager
of the Growth & Income Series, effective March 1, 1999. Additionally,
the Series was renamed "Capital Growth Series", a name which we believe
better reflects the investment style of Alliance Capital, effective
July 1, 1999.
(BULLET) T. Rowe Price Associates, Inc. was selected as the new Portfolio
Manager of the Equity Income Series, formerly known as the Multiple
Allocation Series, effective March 1, 1999. In addition, certain
changes in the investment policies and procedures of Equity Income
Series were made to reflect the investment style of T. Rowe Price and
to the Series objective of "providing substantial dividend income and
also long-term capital appreciation".
(BULLET) Baring International Investment Ltd. was named manager of both the Hard
Assets Series and Developing World Series effective March 1, 1999.
During 2000, there will be further enhancements made to the Trust, beginning
with the addition of Salomon Brothers Asset Management and Capital Guardian
Trust Company to our lineup of renowned money managers. We are confident that
these additions will make ING VARIABLE ANNUITIES an even more attractive choice
for your investment dollars. For more information, 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. You may obtain a prospectus by calling
800-366-0066. Read it carefully before investing or sending money.
As always, thank you for choosing ING VARIABLE ANNUITIES, home of
GOLDENSELECT(R).
Sincerely,
/s/ Barnett Chernow
Barnett Chernow
President
The GCG Trust
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THE GCG TRUST
LIQUID ASSET SERIES
HOW DID THE SERIES PERFORM DURING 1999?
The Liquid Asset Series (the "Series") generated a 4.74% net total return for
1999. The Merrill Lynch 3-Month Treasury Bill Index had a total return of 5.01%
for the same period. The Series compared favorably to the IBC First Tier Index
of 4.58% for the year.
WHAT WERE THE MAJOR TRENDS IN THE MARKETS AFFECTING THE SERIES' PERFORMANCE?
The money markets were significantly impacted in 1999 by movements in the Fed
Funds rate, the rate banks charge each other for overnight loans. The Federal
Reserve Board's Federal Open Market Committee (the "Fed") raised its target Fed
Funds rate by 75 basis points in 1999 to 5.5%. These increases occurred in three
25 basis point moves in June, August and November. In anticipation of the Fed's
actions, the Series' average maturity was shortened prior to these moves
allowing the portfolio to invest a larger percentage of portfolio assets at
higher rates after the increases.
WHAT OTHER FACTORS CONTRIBUTED TO THE SERIES' PERFORMANCE VS. THE BENCHMARK?
As we entered the third quarter, the Year 2000 date change became the focus of
money market funds. The Series' main objective was to maintain liquidity going
into year-end. However, supply in December was slim and issuers offered very
attractive rates to investors willing to purchase debt maturing in the first
quarter of 2000. The Series effectively balanced the competing objectives of
maintaining liquidity in December and investing at higher rates "over-the-turn"
in January and February.
WHAT IS YOUR OUTLOOK FOR MARKETS/PORTFOLIO?
While the Fed did not raise rates again in December, the economy continues to
show signs of strength and another Fed Funds increase is priced into the market.
As a result, the average maturity of the Series will remain shorter than
competitors anticipating another Fed move in the first quarter of the year.
ING INVESTMENT MANAGEMENT, LLC
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 4.74%
5 YEAR 5.08%
10 YEAR 4.82%
SINCE 1/24/1989 (INCEPTION) 5.11%
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AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
INVESTMENT IN THE LIQUID ASSET SERIES (OR IN ANY OTHER SERIES) IS NEITHER
INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT. THERE CAN BE NO ASSURANCE THAT
THE LIQUID ASSET SERIES WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF
$1.00 PER SHARE.
TOP FIVE HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. UBS Finance, Ltd., 4.869% due 01/03/00 12.1%
2. Gillette Company, 6.787% due 01/04/00 2.6%
3. Hasbro, Inc., 4.871% due 01/06/00 2.4%
4. American Express Credit Corporation,
6.396% due 01/04/00 1.7%
5. Ford Motor Credit Corporation,
6.650% due 01/07/00 1.7%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Financial 64.6%
2. Staples 7.5%
3. Durables 6.8%
4. Cyclicals 5.9%
5. Technology 4.6%
2
<PAGE>
THE GCG TRUST
LIMITED MATURITY BOND SERIES
WHAT WAS THE SERIES PERFORMANCE FOR THE YEAR?
The Limited Maturity Bond Series (the "Series") returned 1.13% for the year
versus 2.19% for the benchmark, the Merrill Lynch 1-5 Year Corporate/Government
Bond Index.
WHAT MARKET TRENDS AFFECTED THE SERIES' PERFORMANCE?
The domestic investment grade bond market recorded its second worst performance
in 1999 (second to 1994's poor performance) in approximately twenty-five years.
Over the year, the Federal Reserve Board's Federal Open Market Committee raised
its target Fed Funds rate by 75 basis points (0.75%) to 5.5%. The yield on the
30-year Treasury bond rose from 5.09% in 1998 to 6.48% at year-end 1999, and
bond prices correspondingly plummeted. The rise in rates negatively impacted
longer-maturity bonds more than shorter bonds. For example, an index of the
current 30-year U.S. Treasury Bond generated a -15.1% return for the year while
the current 5-year U.S. Treasury Bond Index generated a -2.54% return and the
2-year returned 1.90%.
In addition, there was significant volatility in spread product as yields
decreased at the beginning of the year, widened out in the summer and then began
another round of tightening in the fall and through year-end. After all was said
and done, the overweight of spread product (particularly mortgages and
asset-backed securities) helped fund performance while the overweight in longer
duration (3+ years) securities hurt performance.
WHAT OTHER FACTORS IMPACTED THE SERIES' PERFORMANCE VS. THE BENCHMARK?
In addition, the Series was negatively impacted by event risk involving fraud on
a couple of corporate holdings.
The Series remains more diversified than the benchmark in that the Series owns
more spread product (corporate bonds, mortgage-backed and asset-backed
securities) and fewer U.S. Treasuries and U.S. Government Agencies than the
benchmark. In addition, for most of the year, the Series was slightly barbelled
versus the benchmark in that it owned a larger percentage of 3+ year bonds.
HOW MIGHT THE U.S. ECONOMY AND INTEREST RATE CHANGES IMPACT THE SERIES?
The economy remains strong, and market participants fully expect the Fed to
raise rates further in 2000. In addition, we expect spread products to again
outperform U.S. Treasuries. As such, the Series' duration is shorter than the
index with a continued overweight in mortgage-backed securities, asset-backed
securities and corporate bonds.
ING INVESTMENT MANAGEMENT, LLC
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 1.13%
5 YEAR 6.08%
10 YEAR 5.90%
SINCE 1/24/1989 (INCEPTION) 6.27%
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[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Merrill Lynch 1-5 Year
Limited Maturity Bond Series Corp./Gov't Bond Index
1/24/89 $10,000.00 $10,000.00
12/89 10,958.30 11,060.44
12/90 11,820.50 12,139.28
12/91 13,152.69 13,720.67
12/92 13,789.43 14,665.52
12/93 14,644.25 15,711.75
12/94 14,470.23 15,625.33
12/95 16,166.64 17,649.65
12/96 16,864.73 18,464.87
12/97 17,898.69 19,786.99
12/98 19,224.16 21,306.90
12/99 19,441.25 21,773.42
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 2, 1998, INGInvestment Management, LLC 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, 1999
(percentage of total net assets)
1. U.S. Treasury Notes, due through 2004
ranging from 4.625% to 6.625% 35.8%
2. Phelps Dodge Corporation, 9.875% due 06/13/01 1.7%
3. El Paso Natural Gas Corporation,
6.750% due 11/15/03 1.7%
4. Jones Intercable, Inc., 8.875% due 04/01/07 1.5%
5. Ford Motor Credit Company, 6.446% due 07/16/02 1.5%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Federal Agency & Government 43.3%
2. Financial 20.7%
3. Manufacturing 8.9%
4. Asset Backed Securities 8.1%
5. Energy 5.6%
3
<PAGE>
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
HOW DID THE SERIES FARE IN 1999?
The Global Fixed Income Series (the "Series") generated a return of (8.62%) for
the year ended December 31, 1999. Its benchmark, the Merrill Lynch Global
Government Bond Index II produced a total return of (4.52%) for the same period.
WHY DID THE SERIES UNDERPERFORM ITS BENCHMARK?
It was a generally poor year for the major global bond markets. In addition the
Euro currency weakened throughout the year given disappointment with regard to
growth within the Euro counties. The yen, on the other hand, was firm due to
capital repatriation and capital inflows. The Series underperformance is
primarily due to our underweight yen position and to our zero weight in Japanese
bonds. Japanese bond yields were low, effectively predicting continued
depressionary conditions. We think this is unlikely and in fact are looking for
a weak recovery in economic activity. Monetary conditions, which is eased too
much, will in these circumstances lead to yen weakness.
WHAT DO YOU ANTICIPATE HAPPENING IN THE BOND MARKETS THIS YEAR?
In general, bond markets are still weak. Global bonds in North America and
Europe represent a good value. The embedded risk premium represented by real
yields is high at over 4%. This is particularly attractive given our view that
inflation pressures are subdued. However the markets are having difficulty with
the "deflationary boom" conditions that are apparent in the United States in the
face of few signs of any end to robust growth, particularly with such low levels
of unemployment. Markets, accordingly, are likely to remain under pressure.
Reflecting our cautious stance in this regard, we maintain portfolio duration
ex-Japan similar to the benchmark. Bond exposures are focused on the US and
European markets. We remain at zero weight in Japan where we feel bond yields
are so low that only economic depression could justify such an outcome. On the
contrary, we currently have a modestly positive outlook for the Japanese
economy. In currency we are underweight the yen in favor of the Euro where we
expect the economic recovery to gather pace and bring about the recovery of the
currency. In the months ahead we expect most Central Banks will move to tighten
liquidity conditions. The question remains, will measures be perceived as soon
enough or on a sufficient scale to restore confidence in bond markets. USgrowth
is expected to slow later in 2000. This will eventually be a positive factor.
Inflation fears are limited due to competitive pressures. Bonds should remain
cautious short term but we sense a looming buying opportunity in the quarters
ahead.
BARING INTERNATIONAL INVESTMENT LIMITED
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR (8.62)%
SINCE 8/14/1998 (INCEPTION) (0.96)%
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[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Merrill Lynch Global
Global Fixed Income Series Government Bond Index II
8/14/98 $10,000.00 $10,000.00
9/98 10,725.88 10,790.80
12/98 10,798.54 11,155.67
3/99 10,257.17 10,817.42
6/99 9,918.80 10,522.08
9/99 10,102.49 11,020.43
12/99 9,867.96 10,971.01
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, 1999
(percentage of total net assets)
1. U.S. Treasury Obligations, due through 2016 18.3%
ranging from 4.750% to 7.500% (United States)
2. Bundesrepublik, 6.00% due 01/04/07 6.2%
3. Bundesrepublik, 6.00% due 01/05/06 4.6%
4. Government of Canada, 5.250% due 09/01/03 4.4%
5. Dutch Government, 6.000% due 01/15/06 4.3%
TOP FIVE COUNTRIES AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. United States 25.6%
2. Japan 22.3%
3. Germany 20.3%
4. France 8.7%
5. Italy 7.3%
4
<PAGE>
THE GCG TRUST
TOTAL RETURN SERIES
HOW DID THE TOTAL RETURN SERIES PERFORM IN 1999?
For the 12 months ended December 31, 1999, the Total Return Series (the
"Series") provided a total return of 3.38%, which compared to a 21.03% return
for the Standard & Poor's 500 Index and to a (2.15)% return for the Lehman
Brothers Government/Corporate Bond Index.
WHAT WERE SERIES' INVESTMENT ALLOCATIONS DURING THE YEAR?
The Series faced several headwinds during 1999. In the equity area, where we had
60% of our investments, our focus on value stocks held us back as investors
favored growth stocks by ever-widening margins. Value stocks tend to have lower
valuations than the overall stock market. They tend to be in mature industries,
such as energy, financial services, and industrials, that have to be able to
raise prices to grow earnings. By contrast, growth stocks -- the most well known
of which are in the technology and health care sectors -- usually have
proprietarY products and high gross margins. Unfortunately, there was little
pricing flexibility in the economy in 1999, so investors favored growth stocks.
Not only did we have sizable investments in some of the market's weaker sectors,
we also had few investments in the high-priced, top-performing technology area.
Our 40% stake in bonds further hampered performance, as interest rates climbed
and bond prices fell throughout the second half of the year.
WHAT INDUSTRY CONCENTRATIONS AFFECTED THE SERIES' PERFORMANCE?
Financial services and electric utilities stocks turned in particularly
disappointing results in 1999. In financial services, the Series' biggest stock
sector, both bank and insurance stocks suffered as rising interest rates
squeezed valuations. We focused on insurance stocks, where consolidation --
which has already swept the banking industry -- is just beginning. We believe
this trend translates into strong potential for insurers like Hartford Financial
Services Group, a multiline insurance company with an excellent management team
and demonstrated earnings growth. We owned companies like The Chubb Corp., a
property and casualty insurer that has struggled because of weak pricing, and
Lincoln National Corp., an insurer that is selling off its less profitable
businesses and focusing on its growing annuity business. Unfortunately, these
stocks made little headway this past year. We kept a smaller stake in electric
utilities, but the few names we owned, such as Carolina Power & Light Co.,
disappointed as earnings fell short of expectations and deregulation continued
to take longer than expected. By contrast, telecommunications and energy stocks
were among our best performers. Telecommunications companies continued to
benefit from the worldwide explosion in data communications and internet
traffic. Energy stocks took off in 1999, thanks to rising oil prices, a
promising supply/demand outlook, and industry consolidation. BP Amoco Plc, the
Series' largest investment, did well during the year thanks to synergies from
its recent Amoco merger. Natural gas utilities also did well during the period.
WHAT MARKET CONDITIONS MAY INFLUENCE THE SERIES IN 2000?
Going forward, we believe our long-term value orientation and balanced approach
may help contract owners to participate in the stock market's gains while
attempting to provide some protection in the event of a market downturn. Over
long periods, returns on growth and value stocks have been very similar. We're
confident that value stocks will eventually return to favor, benefiting the
Series.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 3.38%
SINCE 8/14/1998 (INCEPTION) 7.51%
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[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Lehman Govt. 60% S&P 500/40%
Total Return S&P 500 Bond /Corporate Lehman Govt./
Series Index Index Corporate Bond Index
8/14/98 $10,000.00 $10,000.00 $10,000.00 $10,000.00
9/98 $10,000.00 $9,103.77 $10,486.94 $9,657.03
12/98 $10,690.33 $11,040.64 $10,500.59 $10,824.62
3/99 $10,676.80 $11,590.50 $10,375.09 $11,104.33
6/99 $11,231.61 $12,407.31 $10,400.86 $11,548.94
9/99 $10,751.23 $11,633.28 $10,316.98 $11,106.76
12/99 $11,051.57 $13,362.84 $10,235.00 $12,127.72
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, 1999
(percentage of total net assets)
1. BP Amoco Plc, ADR 2.0%
2. GTE Corporation 1.7%
3. Motorola, Inc. 1.5%
4. Exxon Mobil Corporation 1.2%
5. The Hartford Financial Services Group, Inc. 1.2%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Federal Agency & Government 19.6%
2. Financial Services 18.0%
3. Utilities & Communications 17.5%
4. Energy 11.1%
5. Basic Materials 6.3%
5
<PAGE>
THE GCG TRUST
FULLY MANAGED SERIES
HOW DID THE SERIES PERFORM AGAINST ITS BENCHMARK IN 1999?
The Fully Managed Series (the "Series") had a return of 6.92% for the year ended
December 31, 1999. During the same period, the Standard & Poor's 500 Index had a
return of 21.03% and the Lehman Brothers Government/Corporate Bond Index had a
return of (2.15%).
HOW DID MARKET FORCES AFFECT THE SERIES' PERFORMANCE?
From the view of most investors, the year, decade, century, and millennium
closed with a bang. Propelled by a narrow but powerful rally in technology
stocks - especially those connected in any way with the internet -- the bull
market stormed into the future. The broad market as measured by the S&P 500
Stock Index recorded an unprecedented fifth straight year of gains over 20%, but
the average stock in the index substantially underperformed. A notable feature
of last year's market was that stocks surged despite a significant rise in
interest rates and resulting weakness in the bond market. In a market driven by
investors focusing almost exclusively on opportunities for return rather than
potential for risk, funds like this one that emphasize diversification, value,
and risk avoidance were left far behind. Our returns for the year were positive
but anemic next to those chalked up by broad market indices and growth-oriented
funds.
WHAT HAS BEEN THE SERIES' ASSET ALLOCATION DURING 1999?
Our asset allocation changed little over the course of 1999, ending the year
with about 55% in common stocks, 21% in convertible securities, 9% in bonds, 4%
in preferred stocks, and the remainder in cash reserves. One of our largest
sectors, consumer services, was also one of the best-performing, thanks mainly
to strong contributions from media stocks such as the New York Times. Energy,
another sizable sector in the Series, also provided positive results,
particularly Mitchell Energy & Development Corp., Kerr-McGee Corp., Amerada Hess
Corp., and Murphy Oil Corp. In the process industries area, MacMillan Bloedel
(now merged into Weyerhaeuser) was a standout, as was Domtar Inc. Unfortunately,
another large exposure of the Series, utilities, performed poorly in the rising
interest rate environment.
Major disappointments for the year included Loews, a diversified holding
company, and Philip Morris Co., hurt by continued tobacco litigation.
Nevertheless, we see much value in these beaten-down shares and may add to them
in the future, as well as to the Rouse Co., a Real Estate Investment Trust
("REIT") with major shopping mall holdings. Our substantial investment in
Tennessee Valley Authority bonds was not rewarding last year, although they held
up much better than other government agency bonds because of their unique
features. Given the potential for further interest rate hikes by the Federal
Reserve, we are pondering this TVA position.
WHAT IS YOUR VIEW FOR 2000?
We are generally optimistic about the Series, since our holdings are cheap and
the underlying companies have significant value. Our bonds and convertibles meet
rational criteria designed to maximize returns over time versus the risks we
take. All wild bull markets come to an end, some in a painful fashion. When the
pendulum swings, this conservative portfolio will still be here seeking to help
investors increase their wealth with minimal risk.
T. ROWE PRICE ASSOCIATES, INC.
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 6.92%
5 YEAR 12.90%
10 YEAR 9.27%
SINCE 1/24/1989 (INCEPTION) 8.83%
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[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Lehman Govt. 60% S&P 500/40%
Fully Managed S&P 500 /Corporate Bond Lehman Government/
Series Index Index Corporate Bond Index
1/24/89 $10,000.00 $10,000.00 $10,000.00 $10,000.00
12/89 $10,390.02 $12,265.82 $11,159.38 $11,868.75
12/90 $10,059.73 $11,884.69 $12,181.64 $12,018.01
12/91 $12,969.57 $15,497.63 $13,962.56 $14,962.31
12/92 $13,777.50 $16,676.73 $14,964.34 $16,099.13
12/93 $14,822.73 $18,353.88 $16,279.18 $17,778.68
12/94 $13,744.97 $18,594.97 $15,964.91 $17,679.90
12/95 $16,603.63 $25,574.36 $18,413.04 $23,099.51
12/96 $19,320.80 $31,442.41 $19,158.09 $26,810.51
12/97 $22,271.31 $41,928.77 $20,665.59 $33,827.01
12/98 $23,583.99 $53,919.92 $22,409.28 $41,788.35
12/99 $25,216.38 $65,261.02 $22,495.58 $48,305.11
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, 1999
(percentage of total net assets)
1. Amerada Hess Corporation 5.0%
2. Loews Corporation 3.7%
3. Tennessee Valley Authority Power,
5.880% due 04/01/36 3.5%
4. Niagara Mohawk Holdings, Inc. 3.5%
5. Chris-Craft Industries, Inc. 3.2%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Services 19.8%
2. Basic Materials 14.5%
3. Energy 13.3%
4. Process Industries 7.5%
5. Utilities 7.5%
6
<PAGE>
THE GCG TRUST
EQUITY INCOME SERIES**
HOW DID THE SERIES PERFORM DURING 1999?
The Equity Income Series (the "Series") had a return of (0.72%) for the year
ended December 31, 1999. This was well below the performance of the Standard &
Poor's 500 Index (the "S&P 500") which returned 21.03% during the same period.
The Lipper Variable Annuity Equity Income Funds average return was 9.78% for the
year.
T. Rowe Price Associates, Inc. became Portfolio Manager on March 1, 1999. The
investment objective for the Series changed to its current style on May 1, 1999.
Total returns for the eight months ended December 31, 1999 were (6.76)% for the
Series and 10.99% for the S&P 500 Index.
WHY DID THE SERIES TRAIL ITS BENCHMARK?
The last year of the millennium will be remembered as the year the S&P 500
continued its unprecedented five-year streak of returns in excess of 20%, but
also the year in which more S&P 500 stocks declined than advanced. It was
unquestionably a disappointing year for value stocks and the Series. Without
trying to dodge any bullets, some factors that affected us were beyond our
control, but with the benefit of hindsight, there are some stocks we could have
avoided in favor of others. The Series enjoyed a very strong first six months of
the year, outperforming both the S&P 500 and the Lipper universe of comparably
managed funds. However, during the second half of 1999, we struggled relative to
the broad market for the year ended December 31, 1999.
WHAT WAS THE SERIES' STRATEGY FOR THE YEAR?
In terms of overall market environment, 1999 was a year characterized by both a
pronounced investor preference for growth stocks and an advance led by a
relatively small number of companies. It is hard to imagine that in the context
of such robust stock market performance, more than half of the stocks in the S&P
500 declined in value while the rest advanced, in some cases significantly. Most
of the excitement centered on the Nasdaq Composite dominated by technology
stocks, which enjoyed the lion's share of gains last year. The major factor
behind our lagging relative performance was our underweighting in technology, a
sector that nearly doubled in value in 1999. We would not normally expect to
hold large positions in this sector, since the lofty valuations of most
technology shares exclude them as candidates for purchase. In terms of market
breadth, some of the most highly valued companies provided a disproportionate
amount of the S&P 500's return, with only seven companies accounting for half of
it.
Value investing was rendered even more challenging by a deteriorating interest
rate environment. As fixed income investors can testify, bond returns were
mostly negative as interest rates rose throughout the year. Similarly, it was
difficult to profit from investments in stocks with above-average dividend
yields since they, too, suffered as rates climbed. It is revealing to examine
what took place in the universe of stocks with low price/earnings ratios and
high dividends. The data show that, perversely, the lower the price/earnings
ratio and the higher the yield, the more difficult the going in 1999 - the
opposite of what one would expect. In fact, the lowest P/E and highest-yielding
stocks in the S&P 500 actually fell. Needless to say, this damaged fund
performance since these are precisely the kinds of stocks we hold in our
portfolio. These factors were especially detrimental during the second half of
the year. But, because of their weak performance in 1999, we feel value stocks
are currently extremely attractive as they are selling at the greatest
price/earnings discount to the general market in 25 years.
WHAT IS YOUR OUTLOOK FOR THE NEAR FUTURE?
Based on most historical measures, the equity market appears somewhat expensive,
as it has for some time now. The market's overall price/earnings ratio is
approaching 30 and the average dividend yield is barely above one percent. A
review of aggregate market value relative to gross domestic product and other
valuation measures suggests at least some degree of overvaluation. We believe
value stocks offer good potential for appreciation especially when compared with
some of the more extended sectors of the market. The best strategy when our
investment style has been out of favor with the overall market has been to stick
to basics and concentrate on companies with below average price/earning ratios
and above-average dividend yields. We will continue to manage the Series in our
traditionally conservative style.
T. ROWE PRICE ASSOCIATES, INC
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR (0.72)%
5 YEAR 10.31%
10 YEAR 8.67%
SINCE 1/24/1989 (INCEPTION) 8.75%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
40% S&P 500/
60% Lehman
Lehman Intermediate Intermediate
Equity Income Govt./corporate Govt./corporate
Series S&P 500 Index(1) Index Index
1/24/89 $10,000.00 $10,000.00 $10,000.00 $10,000.00
12/89 $10,892.28 $12,265.82 $11,159.38 $11,601.96
12/90 $11,408.22 $11,884.51 $12,181.45 $12,067.98
12/91 $13,692.78 $15,497.39 $13,962.56 $14,568.49
12/92 $13,947.91 $16,676.48 $14,964.10 $15,640.12
12/93 $15,500.03 $18,353.60 $16,279.18 $17,097.50
12/94 $15,317.91 $18,594.69 $15,964.91 $17,001.16
12/95 $18,218.24 $25,573.97 $18,413.04 $21,228.64
12/96 $19,815.73 $31,441.93 $19,158.09 $23,987.93
12/97 $23,275.03 $41,928.12 $20,665.59 $29,017.48
12/98 $25,197.67 $53,919.09 $22,409.28 $34,784.28
12/99 $25,016.02 $65,261.02 $22,495.58 $39,288.72
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On March 1, 1999 T. Rowe Price Associates, Inc. became the Portfolio Manager
of the Series. Prior to that date the Series had been advised by another
Portfolio Manager.
** On February 16, 1999 the Board of Trustees approved a change in name of the
Multiple Allocation Series to the Equity Income Series.
(1) The S&P 500 Index has been determined to be the most appropriate index to be
used for comparative purposes. In the future, the S&P500 will be the only
index compared to the Series.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. Exxon Mobil Corporation 3.3%
2. SBC Communications Inc. 1.9%
3. Mellon Financial Corporation 1.9%
4. International Paper Company 1.8%
5. Atlantic Richfield Company (ARCO) 1.7%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Consumer Nondurables 17.0%
2. Financial 15.6%
3. Utilities 14.5%
4. Energy 14.5%
5. Process Industries 11.2%
7
<PAGE>
THE GCG TRUST
RISING DIVIDENDS SERIES
HOW DID THE SERIES PERFORM IN 1999?
For the year ending December 31, 1999, the Rising Dividends Series (the
"Series") produced a total return of 15.88%, underperforming the Standard &
Poor's 500 Index, which returned 21.03% for the same period.
WHAT WERE THE MAJOR TRENDS IN THE MARKET AFFECTING THE SERIES' PERFORMANCE?
For the full year, the Series benefited from gains by companies in the computer
systems, insurance, electrical equipment, electronics, computer software and
household products industries. It was clearly a year for strong performance by
the technology sector, and our technology holdings performed well. As noted
below, we expect to be adding to technology holdings when valuations become more
attractive.
During the year negative sentiment affecting the health care and consumer
staples industries hindered the Series' performance. In general, health care
stocks were impacted by concerns about upcoming pharmaceutical patent
expirations and by the discussion in Congress of a Medicare prescription drug
benefit, which could pressure pricing. Consumer staples stocks have been
affected by retail consolidation, sluggish domestic growth, a lack of pricing
power and slow recovery in key international markets.
WHAT OTHER FACTORS CONTRIBUTED TO THE SERIES' NEGATIVE PERFORMANCE VS. THE
BENCHMARK?
In December, technology stocks experienced a substantial upward move. For the
month, computer stocks rose about 15%, communications equipment stocks 22% and
computer software stocks 24%. At the current time we are under-weighted in the
area and have remained diversified across the spectrum of industry sectors.
WHAT IS YOUR YEAR 2000 OUTLOOK FOR THE SERIES?
Looking forward, we believe that the Series is well positioned for consistent
growth. Based on our research, the companies in the portfolio can produce
earnings per share growth averaging 13-15% annually with low variability. We
continue to evaluate new positions in the communications equipment and computer
software industries which we anticipate will show above-average internet-related
growth. However we believe that current valuations are high and do not offer
attractive enough three-year return prospects. We will be monitoring these
industries and expect to add positions if and when a correction occurs.
Our outlook for the domestic economy is for continued moderate growth with low
inflation. There are signs that economies in the Asia-Pacific region are picking
up, which bodes well for our portfolio of industry-leading multinational
companies. Given the general low level of price inflation around the world, the
environment should continue to favor companies that can produce solid unit
volume growth, driving consistent double-digit earnings increases. The Series is
populated with high-quality companies that fit this description.
KAYNE ANDERSON INVESTMENT MANAGEMENT, LLC
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 15.88%
5 YEAR 22.11%
SINCE 10/4/1993 (INCEPTION) 18.05%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Rising Dividends Series S&P 500 Index
10/4/93 $10,000.00 $10,000.00
12/93 $10,314.10 $10,231.66
12/94 $10,374.98 $10,366.06
12/95 $13,597.88 $14,256.82
12/96 $16,405.67 $17,528.06
12/97 $21,298.24 $23,373.83
12/98 $24,308.58 $30,058.49
12/99 $28,167.74 $36,380.75
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, 1999
(percentage of total net assets)
1. Intel Corporation 5.1%
2. Hewlett-Packard Company 5.0%
3. International Business Machines Corporation 4.7%
4. Automatic Data Processing Inc. 4.7%
5. The Proctor & Gamble Company 4.3%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Financial 16.9%
2. Technology 15.1%
3. Health 14.7%
4. Durables 14.7%
5. Staples 14.1%
8
<PAGE>
THE GCG TRUST
CAPITAL GROWTH SERIES**
DID THE SERIES OUTPERFORM ITS BENCHMARK IN 1999?
The Capital Growth Series (the "Series") produced a total return of 25.56% for
the year ended December 31, 1999. During the same period, the Standard & Poor's
Mid-Cap 400 Index had a return of 14.72%
Alliance Capital Management, L.P. became Portfolio Manager on March 1, 1999;
total returns for the ten months ended December 31, 1999 were 27.85% for the
Series and 25.96% for the S&P Mid-Cap 400 Index.
DID THE SERIES' INVESTMENT STYLE INFLUENCE ITS PERFORMANCE?
As can be seen from the above figures, while mid-cap indices underperformed for
the full year, the mid-cap style looked much better if the first two months of
the year were omitted. This gives us hope that the six year underperformance by
mid-cap stocks may be at an end. If so, the Series should be well positioned in
coming years. As of December 31, 1999 our median market capitalization was $3.07
billion. Our approach as growth investors is to buy and hold the most rapidly
growing mid-cap companies at reasonable stock market valuations.
WHAT INDUSTRY SECTORS CONTRIBUTED MOST TO THE SERIES PERFORMANCE?
The Series, as reported earlier, performed well in the fourth quarter. Our large
holdings in telecommunications stocks were particularly good performers. U.S.
Cellular Corp., Telephone and Data Systems Inc. and Voicestream Wireless Corp.
are wireless service providers that should show very rapid growth over the next
several years. Selected healthcare companies also performed extraordinarily well
in the fourth quarter. One of our larger healthcare holdings, Human Genome
Sciences, is at the leading edge of gene therapeutics. Financial stocks such as
Ace Limited and Legg Mason Inc. were lackluster performers as interest rates
rose during the period.
ARE YOU OPTIMISTIC ABOUT 2000?
The Series is off to a good start with our ten month performance above the
benchmark. We strongly like the mid-cap sector of the market and are optimistic
regarding the portfolio's future performance.
ALLIANCE CAPITAL MANAGEMENT, L. P.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 25.56%
SINCE 8/14/1998 (INCEPTION) 26.50%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Capital S&P Mid-Cap Russell Russell
Growth Series 400 Index(1) Mid-Cap Index 2000 Index
8/14/98 $10,000.00 $10,000.00 $10,000.00 $10,000.00
9/98 $9,241.57 $8,898.29 $8,400.45 $8,688.82
12/98 $11,018.51 $11,406.89 $10,593.18 $10,105.87
3/99 $10,962.08 $10,679.32 $10,543.56 $9,557.68
6/99 $12,616.28 $12,190.54 $11,688.13 $11,044.08
9/99 $11,060.84 $11,166.95 $10,683.64 $10,345.78
12/99 $13,834.43 $13,086.07 $12,524.50 $12,253.91
TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On March 1, 1999 Alliance Capital Management, L.P. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
other Portfolio Managers.
** On June 15, 1999, the Board of Trustees approved a change in the name of
the Growth &Income Series to the Capital Growth Series.
(1) The S&P Mid-Cap 400 Index has been determined to be the most appropriate
index to be used for comparative purposes. In the future, the S&PMid-Cap 400
will be the only index compared to the Series.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. NTL, Inc. 6.2%
2. Global TeleSystems Group, Inc. 5.6%
3. Millicom International Cellular S.A. 4.9%
4. Continental Airlines Inc., Class B 4.4%
5. Adelphia Business Solutions, Inc. 3.6%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Utilities 24.8%
2. Consumer Services 21.3%
3. Technology 19.0%
4. Financial 14.4%
5. Health 6.2%
9
<PAGE>
THE GCG TRUST
GROWTH SERIES**
HOW WELL DID THE SERIES PERFORM LAST YEAR?
The Growth Series (the "Series") had a total return of 78.13% for the year ended
December 31, 1999. This compares very favorably against the total return of the
Standard & Poors 500 Index of 21.03% for the same period.
Janus Capital Corporation became Portfolio Manager on March 1, 1999 and
performance for the ten months ended December 31, 1999 was 66.91% for the Series
and 19.90% for the S&P 500 Index.
WHAT MARKET CONDITIONS CONTRIBUTED TO THE SERIES' EXCELLENT PERFORMANCE?
The U.S. economy remained strong throughout the year, continuing its longest run
of peacetime expansion in history. If anything, the American economy performed
too well - during the last half of the year, the Federal Reserve increased
short-term rates three times in an effort to cool growth. The Fed's actions,
together with an ever-present fear of inflation, kept share prices volatile for
most of 1999. Still, there were immense pockets of strength as technology and
other high-growth sectors led most major market indices to new highs by
year-end.
Exceptional growth in cellular subscriber rates continued to support handset
manufacturer Nokia, which controls a large and growing share of the handset and
cellular infrastructure markets. Another obvious beneficiary was Texas
Instruments, whose digital signal processing chips power roughly 70% of the
nearly 300 million cellular phones sold worldwide this year. Both companies, as
well as our other carefully selected cellular stocks, are poised for even
greater growth as wireless data emerges as a visible driver for the shares in
coming months.
Meanwhile, the premium paid by the market to companies that have established a
dominant position on the internet continued to widen, and our stake in America
Online Inc. gained as a result. Amazon.com, which emerged from the 1999 holiday
shopping season as the undisputed leader in online retailing, was another
standout performer. Video game software manufacturer Electronic Arts Inc., which
holds a near-lock on the lucrative sports game market, also traded higher. A
recent agreement that establishes Electronic Arts as the sole provider of gaming
content to AOL provided additional support for the company's shares late in the
year, and we are excited about the company's expanding online presence. Not all
of our successful internet-related positions are content plays, however. Exodus
Communications Inc., a company that provides web hosting to large and mid-sized
companies, and Cisco Systems Inc., which boasts virtually a 100% market share in
the provision of internet switches and connectivity products, are both enjoying
massive growth largely independent of the battles currently being fought for
Internet supremacy.
While we were pleased with the Series' performance, there were some setbacks.
Large-cap pharmaceutical shares were pressured by a number of high-profile
pipeline disappointments and uncertainty related to Medicare reform. As a
result, our position in companies such as Schering-Plough Corp. gave ground.
Interest rate uncertainty also pressured a number of our financial stocks,
including Firstar Corp. and Fifth Third Bancorp, both of which lagged the
overall market. However, each company possesses extremely strong fundamentals
and a unique franchise, and we have maintained our positions.
WHAT DO YOU SEE HAPPENING IN THE MARKETPLACE THIS YEAR?
Looking ahead, while we view the successes we had in 1999 as a validation of our
investment process, there will no doubt be bumps in the road as we enter 2000.
We are confident, however, that our intensive, collaborative approach continues
to be the best way to navigate an increasingly uncertain market.
JANUS CAPITAL CORPORATION
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 78.13%
SINCE 8/14/1998 (INCEPTION) 67.67%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Growth Russell
Series S&P 500 Index(1) Mid-Cap Index
8/14/98 $10,000.00 $10,000.00 $10,000.00
9/98 $9,281.00 $9,103.77 $8,944.10
12/98 $11,460.01 $11,040.64 $10,593.18
3/99 $13,213.50 $11,590.50 $10,543.56
6/99 $13,947.18 $12,407.31 $11,688.13
9/99 $14,446.07 $11,633.28 $10,683.64
12/99 $20,413.79 $13,362.84 $12,524.50
TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On March 1, 1999 Janus Capital Corporation became the Portfolio Manager of
the Series. Prior to that date the Series had been advised by other
Portfolio Managers.
** On February 16, 1999 the Board of Trustees approved a change in name of the
Value + Growth Series to the Growth Series.
(1) The S&P 500 Index has been determined to be the most appropriate index to be
used for comparative purposes. In the future, the S&P 500 will be the only
index compared to the Series.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. Nokia Oyj 11.7%
2. AT&T Corp.-- Liberty Media Group, Class A 5.5%
3. Amazon.com, Inc. 3.5%
4. Enron Corporation 3.1%
5. Cisco Systems, Inc. 2.9%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Technology 54.9%
2. Consumer Cyclical 23.4%
3. Consumer Non-Cyclical 7.7%
4. Industrial 5.4%
5. Energy 3.4%
10
<PAGE>
THE GCG TRUST
VALUE EQUITY SERIES
HOW DID THE SERIES PERFORM IN 1999?
For the year ended December 31, 1999, the Value Equity Series (the "Series")
returned 0.51%. The S&P 500 Index returned 21.03% during the same period.
WHAT WERE THE MAJOR TRENDS IN THE MARKET AFFECTING THE SERIES' PERFORMANCE?
1999 was characterized by an extremely narrow market where only a handful of
large-cap technology and internet stocks drove the major market averages higher.
The disparity between the haves and the have nots is evidenced by the fact that
the S&P 500 index was up over 20% for the year, while the average stock that
comprised that index gained barely 1% for the year and was down by over 25% from
its 1999 peak.
Interest rates played a key role in last year's equity market activity. While
corporate earnings were generally good, the relentless rise in interest rates
resulted in a significant decline in the price-to-earnings ratios of most
companies. Investors' preference for high-tech growth stocks, however, enabled
technology stocks to prosper in this environment even though, historically,
rising interest rates have negatively impacted richly valued stocks the most.
Positively impacting performance were some of our process industry holdings such
as Praxair and International Paper Co., and producer manufacturers such as
Minnesota Mining & Manufacturing Co. and Honeywell International.
WERE THERE OTHER FACTORS THAT HINDERED THE SERIES LAST YEAR?
The Series' heavy weighting in financials had a negative impact on year-end
performance as the rise in interest rates across the entire yield curve
negatively impacted most financial service stocks. Among the year's
underperformers for the Series were Allstate Corp., First Union Corp. and
Federal Home Loan Mortgage Corp.
The Series' underweighting in technology also generally had a negative impact.
While the Series had several strong performing technology holdings, including
Electronic Data Systems Corp. and Koninklijke Philips Electronics, many of the
year's best performing technology companies like Amazon.com and America Online
had little or no earnings and, thus, are not value stocks.
WHAT IS YOUR OUTLOOK BOTH FOR FINANCIAL MARKETS AND VALUE INVESTING?
Contrary to the expectations of some prominent economic prognosticators, we
believe there will be no Y2K-related recession in 2000. While the U.S. economy
continues to be strong, economic growth is increasing around the world. In the
past, this environment has often led to a broadening of equity market
leadership. We are, therefore, optimistic that many of the sectors that have
been laggards the past couple of years should experience a resurgence in the
year 2000, which should, in turn, benefit Series investors.
Despite the difficulty that value investors have experienced the last few years,
we remain committed to three basic principles that have served us and other
legendary value investors like Warren Buffet well over the years: (1) price
matters, (2) valuation matters and (3) fundamentals matter. We continue to
believe that shares of companies that are performing well and are acquired at
reasonable prices will eventually yield superior returns for long-term
investors.
EAGLE ASSET MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 0.51%
SINCE 1/3/1995 (INCEPTION) 14.24%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Value Equity Russell
Series S&P 500 Index(1) Mid-Cap Index
1/3/95 $10,000.00 $10,000.00 $10,000.00
12/95 $13,521.49 $13,753.37 $13,445.44
12/96 $14,957.76 $16,909.09 $16,000.02
12/97 $19,038.34 $22,548.44 $20,641.69
12/98 $19,333.99 $28,997.04 $22,725.46
12/99 $19,433.52 $35,096.04 $26,868.71
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.
(1) The S&P 500 Index has been determined to be the most appropriate index to
be used for comparative purposes. In the future, the S&P 500 will be the
only index compared to the Series.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. International Business Machines Corporation 3.6%
2. Electronic Data Systems Corporation 3.6%
3. BP Amoco Plc, ADR 3.4%
4. General Motors Corporation 3.4%
5. SBC Communications Inc. 3.2%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Financial 24.8%
2. Energy 11.7%
3. Technology 11.3%
4. Capital Goods 9.8%
5. Staples 9.4%
11
<PAGE>
THE GCG TRUST
RESEARCH SERIES
DID THE SERIES OUTPERFORM ITS BENCHMARK IN 1999?
For the year ended December 31, 1999, the Research Series (the "Series")
provided a total return of 24.23%. This compares to a 21.03% return for the
Standard & Poor's 500 Index, and 18.23% for the Russell Mid-Cap Index.
WHAT INDUSTRY WEIGHTINGS INFLUENCED MOST THE SERIES PERFORMANCE?
The Series maintained significant exposure to large-cap telecommunications and
technology stocks, which added considerably to total return. Despite our
overweighting in technology stocks, we avoided internet companies with expensive
valuations, weak business models or unproven track records. At the same time, we
recognized early on that the growth in internet services and data traffic is
likely to continue for some time. Consequently, we invested in a number of
technology and communications stocks in the networking and telecommunications
equipment industries. These companies represent the nuts and bolts of internet
and telecommunications infrastructure and helped the Series outpace its
benchmark.
The Series also maintained considerable exposure to software stocks. Our
software holdings hurt performance in the first quarter of this past year, but
we stuck to our guns and held on to these positions. Over the past six months
they've come roaring back to provide a significant boost to performance due to
increased demand for data storage and software products.
Other leading contributors were semiconductor companies. The semiconductor
industry was hurt in 1998 by the Asian economic slowdown and by a build up in
supply in some market segments, which lowered prices. Now, demand is beginning
to catch up with supply as a result of economic strength in the U.S. and the
Asian recovery. If this scenario persists, we believe semiconductor stocks
should continue to benefit.
Outside the technology and telecommunications sectors, the Series benefited from
a number of stocks in the financial services, media and energy sectors. Gains in
financial services came primarily from brokerage and investment banking stocks.
Media holdings benefited from the tremendous growth in advertising spending due
to the highly competitive business environment, especially among internet
companies.
While the Series maintained a slightly underweighted position in health care
stocks versus the index, in general this group hurt performance. Nursing homes,
hospitals, HMOs and pharmaceutical companies all were hurt by fears of Medicare
reform and potential government price controls. Despite this generally negative
environment, we found good opportunities in the medical device area.
Other detractors to performance included Nabisco Holdings, Safeway Inc. and CVS
Corp. Despite solid fundamental business and growth prospects, these companies
suffered from generally downbeat industry outlooks and weak investor sentiment.
In the consumer goods and services sector, electronics equipment conglomerate
Tyco International was a major disappointment for the Series. Despite no
evidence of irregular accounting methods, its shares plunged during the period
after an analyst raised suspicions regarding the company's accounting of recent
acquisitions. We've met with management a number of times, and we continue to
believe that the company's business fundamentals are strong. As a result, we
decided to maintain our holding in the Series.
ARE YOU CONCERNED THAT THE BULL MARKET MIGHT BE NEAR ITS END?
We expect market strength to broaden into other sectors of the market, which
could create additional opportunities for the Series. Of course, much of the
bull market's fate rests on corporate earnings and the performance of the
economy. While opinions range from total conviction in a new era of trouble-free
prosperity, to a view that inflation is just around the corner and the market is
in a classic asset bubble waiting to burst, the truth most likely lies somewhere
in the middle. Given this uncertain environment, however, we continue to focus
our energy on finding what we believe are top-quality companies that should
provide favorable long-term performance regardless of short-term market
volatility.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 24.23%
SINCE 8/14/1998 (INCEPTION) 29.10%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Russell
Research Series S&P 500 Index Mid-Cap Index
8/14/98 $10,000.00 $10,000.00 $10,000.00
9/30/98 $8,839.44 $9,843.13 $9,554.02
12/31/98 $11,453.64 $11,040.64 $10,593.18
3/31/99 $11,662.30 $11,590.50 $10,543.56
6/30/99 $12,519.49 $12,407.31 $11,688.13
9/30/99 $11,690.50 $11,633.28 $10,683.64
12/31/99 $14,228.73 $13,362.84 $12,524.50
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, 1999
(percentage of total net assets)
1. Microsoft Corporation 4.1%
2. Cisco Systems, Inc. 3.0%
3. Sun Microsystems, Inc. 3.0%
4. Analog Devices, Inc. 2.8%
5. Oracle Corporation 2.5%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Technology 35.8%
2. Financial Services 12.5%
3. Utilities & Communications 10.5%
4. Health 7.8%
5. Retailing 6.3%
12
<PAGE>
THE GCG TRUST
MANAGED GLOBAL SERIES
HOW DID THE SERIES PERFORM THIS YEAR?
For the 12 months ended December 31, 1999, the Managed Global Series (the
"Series") returned 63.30% versus 26.82% for the Morgan Stanley Capital
International All Country World Free Index.
WHAT WERE THE MAJOR TRENDS AFFECTING PERFORMANCE?
The continued expansion of the internet; increased global demand for technology
and telecommunications products and services, the emergence of new, competitive
growth companies in Japan, and the remarkable ability of global economies to
strengthen without igniting inflation emerged as powerful themes that propelled
portfolio performance in 1999.
WHAT OTHER FACTORS CONTRIBUTED TO PERFORMANCE?
The Series' excess returns were generated in the second half of the year;
first-half results lagged the benchmark. Stock selection, particularly in the
technology, communications services, biotechnology, and financial sectors made
the greatest positive contribution to performance.
WHAT IS THE OUTLOOK FOR GLOBAL EQUITY MARKETS AND THE PORTFOLIO?
Now that the year 2000 has turned without major incident, global equity markets
are again focused on their traditional concerns: rising interest rates and the
specter of inflation. Rising rates could be the catalyst for a broadening of the
market or a change in leadership. But we believe the slight uptick in interest
rates that could occur globally will be insufficient to spark such change.
Beyond that, we anticipate a continuation of many of 1999's themes, particularly
the ongoing expansion of the internet, which will drive demand for telecom
equipment, computers, software, and services. We also anticipate election-year
market volatility in the United States that could impact pharmaceuticals
worldwide.
In this environment, we believe that high-quality global growth companies should
continue to benefit from persistent demand and visible earnings growth,
particularly within the technology and consumer sectors. Telecom, technology,
and internet-related stocks worldwide should continue to dominate equity
markets, and we currently plan to maintain our commitment to these sectors.
Despite continued strong fundamentals and long-term appeal, these stocks may be
volatile in the near term following their recent rapid appreciation.
Japan's equity market is being fueled by newer, faster-growing
telecommunications, computer, and IT companies, as well as by the expanding
service sector. Europe remains rife with potential for even more M&A activity.
Global equity markets are attractive with growth opportunities for the astute
investor.
PUTNAM INVESTMENT MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 63.30%
5 YEAR 23.36%
SINCE 10/21/1992 (INCEPTION) 14.50%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Morgan Stanley Capital
International
All Country
Managed Global Series World Free Index
10/21/92 $10,000.00 $10,000.00
12/92 $10,010.00 $10,262.60
12/93 $10,620.00 $12,815.96
12/94 $9,270.00 $13,459.99
12/95 $9,960.00 $16,079.37
12/96 $11,181.63 $18,201.94
12/97 $12,542.50 $20,931.34
12/98 $16,219.06 $25,529.08
12/99 $26,485.45 $31,582.76
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, 1999
(percentage of total net assets)
1. Qualcomm, Inc. 3.7%
2. Microsoft Corporation 3.6%
3. Nokia Oyj 2.9%
4. Yahoo! Inc. 2.8%
5. General Electric Company 2.4%
TOP FIVE COUNTRIES AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. United States 49.2%
2. Japan 16.5%
3. United Kingdom 10.3%
4. France 7.2%
5. Netherlands 5.1%
13
<PAGE>
THE GCG TRUST
CAPITAL APPRECIATION SERIES
DID THE SERIES OUTPERFORM ITS BENCHMARK IN 1999?
The Capital Appreciation Series (the "Series") had a total return of 24.64% for
the year ended December 31, 1999. This compares to 21.03% for the Standard &
Poor's 500 Index over the same time period.
A I M Capital Management, Inc. became Portfolio Manager on April 1, 1999; total
returns for the nine months ended December 31, 1999 were 19.68% for the Series
and 15.29% for the S&P 500 Index.
WHAT MARKET SECTORS MOST IMPACTED THE SERIES' PERFORMANCE?
This performance success was largely due to an overweighting of certain sectors:
technology and consumer issues, as well as the success of a number of individual
holdings. This factor should not be underestimated as only four market sectors
generated outstanding performance in 1999, and, if you exclude the technology
sector, the average S&P 500 holding advanced a scant 3% for the full year. In
essence, the market averages do not tell the full story, as most stocks did not
participate in the 1999 market surge. On a capitalization-weighted basis, the
S&P advanced +19.5%, the unweighted average advanced +10.1%, and the median S&P
issue declined 2.9%. Additionally, the largest ten components of the S&P 500
posted an average increase of +38%, while the smallest 200 issues gained only
+4.4%.
The Series' overweighting in technology stocks compared to the S&P 500 (37.0%
vs. 27.0%) clearly boosted investment performances, especially in the final
quarter of the year. In particular, holdings in stocks of companies involved in
internet infrastructure, telecommunications and wireless communications, as well
as cable television, and computer-related issues, substantially aided
performance. Likewise, based on current market conditions we continue to
anticipate that technology related issues should continue to offer significant
reward potential in 2000.
Two areas underweighted by the Series during this time frame were financials and
healthcare. First, in the case of financial issues, three rate increases by the
Federal Reserve Board combined with modest earnings growth adversely impacted
performance. Likewise, the managers of the fund elected to reduce holdings in
the healthcare sector due to regulatory concerns clouding the industry in 1999.
WHAT IS YOUR SHORT-TERM OUTLOOK FOR THE SERIES?
Given current market factors, we continue to believe that the outlook for the
equity market should remain positive as we enter the new year. Economic growth
in the United States remains positive, and corporate earnings should receive a
beneficial lift from foreign economies in the year 2000, as both Europe and Asia
post much improved results. This is especially important as nearly 25% of U.S.
corporate profits are derived from abroad. Furthermore, inflation remains a
nonevent in this economic cycle. We remain committed to our basic investment
philosophy and believe that this commitment should continue to be rewarding for
our shareholders.
A I M CAPITAL MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 24.64%
5 YEAR 23.17%
SINCE 5/4/1992 (INCEPTION) 17.10%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Capital Appreciation Series S&P 500 Index
5/4/92 $10,000.00 $10,000.00
12/92 $11,086.81 $10,724.68
12/93 $12,007.82 $11,803.24
12/94 $11,816.68 $11,958.28
12/95 $15,380.73 $16,446.66
12/96 $18,496.57 $20,220.36
12/97 $23,852.04 $26,964.04
12/98 $26,875.64 $34,675.46
12/99 $33,498.53 $41,968.82
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On April 1, 1999 A I M Capital Management, Inc. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. Nokia Oyj, ADR 7.4%
2. Dayton Hudson Corporation 4.8%
3. Comcast Corporation, Special Class A 4.8%
4. Nextel Communications, Inc., Class A 4.8%
5. Cox Communications, Inc., Class A 3.3%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Technology 37.6%
2. Staples 16.6%
3. Cyclicals 14.0%
4. Financial 12.3%
5. Communications Services 8.3%
14
<PAGE>
THE GCG TRUST
MID-CAP GROWTH SERIES
DID THE SERIES OUTPERFORM ITS BENCHMARKS IN 1999?
For the year ended December 31, 1999, the Mid-Cap Growth Series (the "Series")
provided a total return of 79.05%. Over the same period, the Series' return
compares to total returns of 18.23% for the Russell Mid-Cap Index and 21.26% for
the Russell 2000 Index.
WHAT MARKET SECTORS WERE MOST RESPONSIBLE FOR THE SERIES STRONG INVESTMENT
RESULTS?
As a mid-cap portfolio, we look for growing businesses that have made the
transition from small-cap to mid-cap. Often that means the Series is investing
in industries in which the competitive field has narrowed down to just a few
companies. Our goal is to use our research to pick the company or companies that
will wind up dominating the field, and to invest in those companies early,
before the market recognizes their true worth. Following this theme, two main
areas that contributed to the Series' outperformance over the past year,
relative to the benchmarks, were semiconductor capital equipment and internet
infrastructure. Semiconductor capital equipment stocks tend to be cyclical; they
had a good run early in 1999, and around mid-year, people thought their
potential had petered out. But in our research visits to these companies, we
were hearing that business was getting stronger, and they were projecting two to
three years of strong sales. So we bought into semiconductor capital equipment
companies when many of their stock prices were stagnating, and, indeed, they
rose strongly late in the year.
Another area that performed very strongly for the Series was internet
infrastructure companies. As distinguished from e-commerce or internet portal
sites, infrastructure companies provide the products and services that make the
internet work. Our biggest success in this area was Network Solutions Inc., the
company that rents the site names for the internet. Network Solutions
exemplifies one of the things we look for in the market: "second chance"
opportunities, when a company has suffered a decline in share price that we
believe is unjustified and, therefore, temporary.
Another strong performer was Cytyc Corporation, a company we've held for some
time, through several rocky periods, because our research indicated they would
eventually dominate their area of business. Cytyc developed the Thinprep System,
an improved Pap test which is rapidly becoming a new standard in the health care
industry. The stock was boosted this period by better-than-expected acceptance
in an initial product rollout in New England, as well as agreement by Aetna, a
major health insurer, to accept the Cytyc test for reimbursement.
HOW DO YOU ANTICIPATE EVENTS IN 2000 WILL IMPACT THE PERFORMANCE OF THE SERIES?
Looking toward 2000, we have positioned a substantial part of the portfolio in
several areas: energy, transaction processors, and health care. In the energy
sector, we have significantly increased our sector weighting since mid-1999 and
focused on two themes: deep-water drillers and natural gas exploration and
production. Transaction processors are another major theme for the Series going
forward. These are companies that process customer transactions for mutual
funds, banks, and credit card issuers, as well as bill payment for the cable
industry. These businesses tend to benefit strongly from new technologies such
as the internet, which are continually driving down the cost of each individual
transaction. But what happened in 1999 was that many of these companies weren't
growing their business. We believe this was Y2K related; potential customers
were reluctant to change their processing systems in the last three quarters of
1999. So although some processors and other business services in the investment
portfolio did well in 1999, we bought many of them at depressed prices in order
to position the Series for potential growth in 2000. Health care is an
additional area in which we've positioned the Series for 2000. Stocks in this
sector were generally beaten down in 1999 because Medicare cut back
reimbursements and changed the payment system. This drastically impacted health
care providers like nursing homes and hospitals. We invested in several of these
beaten-down health care companies in the second half of the year. Unfortunately,
we may have been a bit early, as some of their stock prices declined further and
detracted from the Series' short-term performance.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 79.05%
SINCE 8/14/1998 (INCEPTION) 69.91%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Russell Russell
Mid-Cap Growth Series Mid-Cap Index 2000 Index
8/14/98 $10,000.00 $10,000.00 $10,000.00
9/98 $9,349.49 $8,944.10 $8,688.82
12/98 $11,611.85 $10,593.18 $10,105.87
3/99 $11,695.25 $10,543.56 $11,590.50
6/99 $14,081.77 $11,688.13 $12,407.31
9/99 $14,716.89 $10,683.64 $11,633.28
12/99 $20,791.48 $12,524.50 $13,362.84
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, 1999
(percentage of total net assets)
1. Network Solutions, Inc., Class A 4.5%
2. RSA Security, Inc. 4.3%
3. Newfield Exploration Company 3.6%
4. Health Management Associates, Inc., Class A 3.5%
5. Cytyc Corporation 3.5%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Technology 30.9%
2. Energy 22.0%
3. Healthcare 17.4%
4. Financial Services 8.6%
5. Consumer Staples 4.1%
15
<PAGE>
THE GCG TRUST
ALL-GROWTH SERIES
HOW WELL DID THE SERIES PERFORM IN 1999?
The All-Growth Series (the "Series") returned 109.93% for the year ended
December 31, 1999. This compares with the Russell Mid-Cap Index return of 18.23%
for the year.
WHAT WERE THE MAJOR TRENDS THAT ALLOWED THE SERIES TO REBOUND?
The key factors which led to the favorable results in the fourth quarter were
evident throughout the year. First, growth stocks significantly outperformed
value stocks across all capitalizations. This is evidenced by the full year,
1999 return of the Russell Mid-Cap Index of 51.31% vs. -0.10% for the Russell
Mid-Cap Value Index. Second, we were overweighted in the technology sector when
technology had, by far, the best returns in the market. And third, the
individual stocks in each major sector of the Series outperformed the stocks
held in the benchmark. This was especially true in the technology sector where
the Series' technology holdings significantly outperformed those technology
stocks represented in the Russell Mid-Cap Index. In addition, the Series'
holdings in the Consumer, Health Care, Industrial and Services sectors well
exceeded those of the benchmark.
DO YOU ANTICIPATE SMALL AND MID-CAP STOCK TO CONTINUE THEIR STRONG PERFORMANCE
IN 2000?
Although equity mutual funds overall experienced net inflows for 1999, small-cap
funds actually experienced net outflows for the year. And according to L. Keith
Mullins of Salomon Smith Barney, he predicts a "significant rotation by
institutional capital" into small and mid-cap stocks. If institutional investors
begin to rotate more assets out of large-caps and retail investors continued
their shift begun at the end of last year, we believe small and mid-cap stocks
could enjoy a second year of strong performance.
PILGRIM BAXTER & ASSOCIATES, LTD.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 109.93%
5 YEAR 24.26%
10 YEAR 13.25%
SINCE 1/24/1989 (INCEPTION) 12.77%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
All-Growth Series Russell Mid-Cap Index
1/24/89 $10,000.00 $10,000.00
12/89 $10,720.38 $11,914.36
12/90 $9,932.89 $10,544.85
12/91 $13,556.58 $14,922.23
12/92 $13,205.21 $17,360.59
12/93 $14,070.96 $19,843.34
12/94 $12,554.40 $19,428.11
12/95 $15,368.54 $26,121.95
12/96 $15,280.98 $31,085.02
12/97 $16,177.32 $40,102.91
12/98 $17,717.73 $44,151.27
12/99 $37,195.31 $52,200.83
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On February 3, 1997 Pilgrim Baxter &Associates, Ltd. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. VeriSign, Inc. 2.9%
2. InfoSpace.com, Inc. 2.9%
3. MedImmune, Inc. 2.8%
4. Emulex Corporation 2.8%
5. JDS Uniphase Corporation 2.7%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Technology 53.8%
2. Consumer Durables 14.5%
3. Health 9.1%
4. Services 8.9%
5. Industrial 5.4%
16
<PAGE>
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES
HOW DID THE SERIES FARE AGAINST ITS BENCHMARK IN 1999?
The Growth Opportunities Series (the "Series") had a total return of 20.13% for
the year ended December 31, 1999. This compares to a total return of 21.03% for
the Standard & Poor's 500 Index.
WHAT INFLUENCE DID THE TECHNOLOGY SECTOR HAVE UPON THE SERIES' PERFORMANCE
DURING THE YEAR?
Relative performance during the year was affected by our positioning in relation
to technology stocks. The Series invests in growth at a reasonable price, and we
simply could not justify the risk/return tradeoff in some of the most highly
valued names in this sector. Instead, our position has been to invest more in
companies that benefit from the use of new technologies.
During the year, we were significantly underweight in technology. But, our
exposure to companies who use technology to benefit their businesses made up for
the underexposure to direct technology. We view this position as a creative way
to benefit from high technology without incurring excessive valuation risk.
Technology companies that performed well for us included Motorola Inc., Sony
Corp., and Electronic Data Systems. These companies have strong competitive
positions with powerful branding and market identity. Each of these companies
benefits from increased penetration of the "new economy" around the globe.
FDX Corp. (FedEx) is an example of a company that effectively makes use of
powerful information technologies to improve its business and to enable its
customers. By leveraging technology in areas such as route optimization, package
tracking and cargo sorting, FedEx can reduce operating costs, add new markets
and build customer loyalty. This should help drive the company's growth rate for
years to come.
WHAT BIGGEST FACTOR DETRACTED FROM A MORE POSITIVE PERFORMANCE?
Based on our stock selection process, the portfolio's biggest overweight during
the quarter was in the basic materials sector. This is driven by our belief that
growth in demand for the building blocks of global infrastructure will continue
throughout 2000. Although stocks in this sector generally underperformed the
broader market, certain holdings, including aluminum producer Alcoa, recorded
very strong gains. Alcoa is a dominant global competitor and offers good
earnings growth potential even without an increase in commodity prices.
MONTGOMERY ASSET MANAGEMENT, LLC
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 20.13%
SINCE 2/18/1998 (INCEPTION) 8.98%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Growth
Opportunities Russell
Series S&P 500 Index Mid-Cap Index
2/18/98 $10,000.00 $10,000.00 $10,000.00
3/31/98 $10,650.00 $11,321.38 $11,269.38
6/30/98 $10,310.00 $10,592.47 $11,643.54
9/30/98 $8,370.00 $10,120.06 $10,487.97
12/31/98 $9,772.06 $11,201.51 $12,719.34
3/31/99 $9,822.38 $11,993.26 $13,352.80
6/30/99 $11,573.50 $12,040.76 $14,293.82
9/30/99 $10,587.24 $11,852.80 $13,402.09
12/31/99 $11,739.54 $13,266.54 $15,394.63
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, 1999
(percentage of total net assets)
1. Alcoa Inc. 5.5%
2. The Dow Chemical Company 4.1%
3. Whirlpool Corporation 4.1%
4. Sony Corporation, ADR 3.5%
5. First Health Group Corporation 3.4%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Materials and Processing 24.1%
2. Technology 12.1%
3. Consumer Durables 10.7%
4. Business Services 9.0%
5. Health 8.2%
17
<PAGE>
THE GCG TRUST
STRATEGIC EQUITY SERIES
BY WHAT MARGIN DID THE SERIES OUTPERFORM ITS BENCHMARK IN 1999?
The Strategic Equity Series (the "Series") had a total return of 56.24% for the
year ended December 31, 1999. For the same period, the Russell Mid-Cap Index had
a return of 18.23% and the Russell 2000 Index had a return of 21.26%
A I M Capital Management, Inc. became Portfolio Manager on March 1, 1999; total
returns for the ten months ended December 31, 1999 were 66.36% for the Series,
22.51% for the Russell Mid-Cap Index and 30.21% for the Russell 2000 Index.
WHAT MARKET SECTORS DROVE THE SERIES' EXCELLENT PERFORMANCE?
Investment performance for the Series was exceptionally strong during 1999. This
performance success was largely due to distinct overweighting and underweighting
of specific market sectors, combined with the success of a number of individual
holdings. Contrary to popular belief, small and mid-cap issues demonstrated
positive investment returns in 1999. Quite clearly, the market averages do not
tell the full story as illustrated by the fact that on a cap weighted basis the
S&P 500 returned 21.03%, but ex technology was only up 3%. Likewise, the
cap-weighted NASDAQ advanced 85.6%; yet, the median price change was less than
1%, and, without the large cap technology issues, the cap weighted NASDAQ was
only up 8%.
The Series' performance was positively impacted by a very heavy weighting in
technology and telecommunication related issues. In particular, we favored
software, semiconductors, the internet, and wireless communication. Furthermore,
we elected to maintain a distinct focus upon the consumer as wage growth, higher
consumer income, and record low unemployment set the stage for a powerful retail
environment. Conversely, two areas that were not favored by the managers of your
fund, were healthcare and financials. Both of these areas were dramatically
underweighted during the year, as modest earnings growth, combined with three
rate increases by the Federal Reserve Board, negatively impacted financial
issues and regulatory concerns adversely impacted healthcare issues. At the
close of the fourth quarter, the Series held 133 individual securities, and the
top 10 holdings represented 15.5% of fund assets.
DO YOU ANTICIPATE POSITIVE MARKET CONDITIONS CONTINUING THROUGH 2000?
Our investment outlook remains distinctly positive, as we enter the new year. We
anticipate that global economic growth should accelerate in 2000, and since
nearly 25% of corporate profits, and almost 30% of S&P 500 profits, are derived
from abroad, this should add a significant rate of growth to earnings in the new
year.
Furthermore, despite the length of the economic expansion, we do not anticipate
either an economic slowdown or any resurgence of inflation. We continue to
emphasize our earnings momentum approach to the portfolio process, and believe
that shareholders will be well served by this discipline.
A I M CAPITAL MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 56.24%
SINCE 10/2/1995 (INCEPTION) 21.97%
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
- --------------------------------------------------------------------------------
Strategic Equity Russell Russell
Series Mid-Cap Index 2000 Index
10/2/95 $10,000.00 $10,000.00 $10,000.00
12/95 $10,033.42 $10,322.38 $10,216.76
12/96 $11,979.15 $12,283.60 $11,902.08
12/97 $14,752.92 $15,847.12 $14,563.86
12/98 $14,876.95 $17,446.87 $14,192.85
12/99 $23,243.74 $20,627.75 $17,209.60
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On March 1, 1999 A I M Capital Management, Inc. became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. Advanced Fibre Communications, Inc. 2.7%
2. VeriSign, Inc. 2.2%
3. JDS Uniphase Corporation 1.7%
4. Veritas Software Corporation 1.7%
5. Ariba, Inc. 1.6%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Technology 51.7%
2. Cyclicals 14.3%
3. Energy 7.8%
4. Staples 6.5%
5. Health 5.7%
18
<PAGE>
THE GCG TRUST
SMALL CAP SERIES
WHAT WAS THE SERIES' TOTAL RETURN IN 1999 IN COMPARISON WITH ITS BENCHMARK?
The Small Cap Series (the "Series") generated a total return of 50.61% for the
year ended December 31, 1999. The Russell 2000 Index returned 21.26% for the
same period.
WHAT MARKET CONDITIONS MOST INFLUENCED THE SERIES LAST YEAR?
1999 was yet another good year for many equity investors. During the first half
of the year, large-cap stocks marched forward with nary a setback, while their
smaller counterparts struggled mightily. All of the major large-cap indices
continuously set new highs, and the Dow Jones Industrial Average closed over
10,000 for the first time on March 29, 1999.
After a volatile April, May and June saw consolidation and profit taking in the
equity markets. An ongoing fear of rising interest rates was realized on June 30
when the Federal Reserve ("Fed") "took back" one of three previous interest rate
cuts by hiking the Fed Funds Rate to 5%. Nonetheless, the market shrugged off
the rate hike and took solace in the Fed's return to a "neutral bias." Large-cap
stocks continued to rally, and the S&P 500 reached an intra-day high of 1420.33
on July 19.
The following few months were marked by extreme market volatility, an overall
downward trend, and, ultimately, a dramatic rebound. The S&P 500 struggled to
find direction and failed to match its previous highs during August and
September, partially due to another rate hike. In October, mounting fears of
rising interest rates, an upward spike in the price of gold and a series of
dubious economic reports forced the yield on the long bond to 6.40%. The Dow
Jones dropped more than 1,000 points in less than a month, briefly dipping below
the 10,000 level on October 18th. As inflation jitters and interest rate fears
subsided with the release of benign economic data, however, the final two weeks
of October saw dramatic gains throughout both the bond and equity markets.
The market's strength continued throughout November and December. When the Fed
raised both the Fed Funds and the discount rate 1/4 of a point on November 16th,
the shift back to a "neutral" bias psychologically outweighed the actual rate
hike. While certain segments of the market struggled - most notably, value
stocks - most equity indices climbed steadily higher, led by small-cap stocks.
The Fed's December 21st inaction matched market expectations and allowed nearly
all major market indices to reach all-time highs during the final week of the
year.
WHAT OTHER FACTORS CONTRIBUTED TO THE SERIES' STRONG PERFORMANCE AGAINST THE
BENCHMARK?
Fortunately, the Series was well positioned to benefit from the strong
performance of certain segments of the market. Firstly, management's growth
stock philosophy was of great benefit during a year in which value stocks
severely underperformed growth stocks. In addition, the Series was heavily
weighted in technology companies throughout the year, thus positioning the
Series extremely well for the strong bull market.
DO YOU FORESEE THE ECONOMY CONTINUING TO GROW AT A RAPID RATE IN 2000?
The economy of 2000 is likely to resemble the economy of 1999, but it will
probably not grow as rapidly. Slowing in growth ratio is generally an inevitable
by-product of higher interest rates. Despite this, there are factors that should
keep the economy moving along at a decent rate including low unemployment, good
wage gains, and positive psychology. However, corporate earnings will probably
not be as strong in 2000 as they were in 1999. It would be logical to assume
that the market will rise less vigorously as well.
FRED ALGER MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 50.61%
SINCE 1/3/1996 (INCEPTION) 24.69%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Small Cap Series Russell 2000 Index
1/3/96 $10,000.00 $10,000.00
12/96 $12,010.00 $11,649.57
12/97 $13,250.00 $14,254.88
12/98 $16,030.00 $13,891.73
12/99 $24,142.11 $16,844.47
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, 1999
(percentage of total net assets)
1. Intuit, Inc. 3.6%
2. Exodus Communications Inc. 3.2%
3. Calpine Corporation 3.1%
4. Conexant Systems, Inc. 3.0%
5. eBay, Inc. 2.7%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Technology 48.8%
2. Cyclicals 26.2%
3. Health 8.5%
4. Staples 7.1%
5. Utilities 3.5%
19
<PAGE>
THE GCG TRUST
REAL ESTATE SERIES
HOW DID THE SERIES PERFORM IN 1999?
The Real Estate Series (the "Series") had a total return of (3.81%) for the year
ended December 31, 1999. The Wilshire Real Estate Securities Index had a total
return of (3.19%) for the same period.
HOW HAS THE BOOMING ECONOMY INFLUENCED THE REAL ESTATE INDUSTRY IN RECENT YEARS?
In "ordinary times," the years immediately following negative total return years
for real estate securities have handsomely rewarded investors for their
patience. In fact, the average total return for each of the three such "rebound"
years since we began managing REIT portfolios in 1987 (including 1999's (3.81%))
has been 14.85%. These, however, are far from "ordinary times." While the
absolute performance by the REIT market as measured by the NAREIT Equity Index
showed a significant improvement over 1998's total returns, REITs again
underperformed the shares of their tenant base (the companies of the S&P 500
Index) by a staggering 25.64%. Despite sound operating results, real estate
stock returns largely were determined by a battle of capital flows during 1999.
In retrospect, the underperformance of real estate securities can be attributed
to rising interest rates, continued benign inflation and strong but decelerating
earnings growth rates of programs and ancillary services.
WHAT PROPERTY SECTORS MOST AFFECTED THE 1999 SERIES PERFORMANCE?
We have always deemed ourselves to be long term investors in real estate, and,
as such, we tend to have only gradual movements in our portfolios from quarter
to quarter. Our core positions are in companies that have excellent management
teams, business plans, balance sheets, and real estate portfolios. We thoroughly
research these companies before purchase, with an expected holding period of 3-4
years. This continued to be the case in 1999.
Our most notable (and unfortunately, costly) property sector overweight during
1999 was in the mall REITs. Ironically, in this case we may have been guilty of
"knowing too much." Our analysis of the fundamental trends of consumer shopping
patterns, retailers, and of course the malls led us to believe that the highest
quality malls would benefit from the strongest operating environment of all of
the sectors of the market, which was indeed correct. The missing piece of the
puzzle was the perceived threat of technology on retail real estate that more
than offset the growth in consumer wealth and spending. It is difficult to
determine which factor contributed most to the mall companies' underperformance.
In the residential sector, we remained market weighted overall but with a slight
overweight within the manufactured housing sector. Apartments have been
generally in equilibrium for some time. This sector is counter-cyclical as
demand increases somewhat when interest rates go up and it becomes more
expensive to buy a home. We continue to emphasize those markets that have the
highest barriers to entry for new supply, as this allows strong economic growth
to translate into higher rents and rising cash flows.
In the office sector, we are slightly overweighted and again have concentrations
in markets in which it is difficult to build. This means that we have
significant investments in downtown properties. While real estate companies may
not move at internet speed, the best management teams are hardly asleep at the
switch. They are busily looking for ways to monetize their positions as the
gateway to their tenants. During the course of the year, more than a half dozen
office REITs inked revenue-sharing deals with various telecommunications
providers in exchange for access to their buildings.
Looking forward, with REITs currently yielding more than 8%, with the marginal
activity by company managements revolving around selling assets and repurchasing
stock, and with expectations now at an all time low, REITs appear to be poised
to deliver positive returns in the year 2000.
EII REALTY SECURITIES, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR (3.81)%
5 YEAR 10.03%
10 YEAR 9.29%
SINCE 1/24/1989 (INCEPTION) 8.35%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Real Estate Wilshire Real Estate
Series Securities Index
1/24/89 $10,000.00 $10,000.00
12/89 $9,878.12 $10,073.74
12/90 $7,825.64 $6,703.48
12/91 $10,491.35 $8,046.29
12/92 $11,946.65 $8,677.65
12/93 $14,009.61 $10,000.27
12/94 $14,897.80 $10,164.55
12/95 $17,368.66 $11,551.69
12/96 $23,499.39 $15,811.18
12/97 $28,854.04 $18,941.51
12/98 $24,973.33 $15,602.77
12/99 $24,022.76 $15,105.57
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.
*On January 1, 1995 EII Realty Securities, 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, 1999
(percentage of total net assets)
1. Equity Office Properties Trust 6.1%
2. Simon Property Group, Inc. 5.0%
3. Apartment Investment & Management Company 4.3%
4. Vornado Realty Trust 4.1%
5. Kimco Realty Corporation 4.1%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Office/Industrial 37.4%
2. Apartments 17.9%
3. Regional Malls 11.3%
4. Diversified 7.2%
5. Shopping Centers 6.4%
20
<PAGE>
THE GCG TRUST
HARD ASSETS SERIES
HOW WELL DID THE SERIES PERFORM AGAINST THE BENCHMARKS IN 1999?
The Hard Asset Series (the "Series") produced a total return of 23.36% for the
year ended December 31, 1999. For the same period, the Standard & Poor's 500
Index had a total return of 21.03% and the Russell 2000 Index had a total return
of 21.26%.
Baring International Investment Limited became Portfolio Manager on March 1,
1999; total return for the ten months ended December 31, 1999 was 29.01% for the
Series, 19.90% for the S&P500 Index and 30.21% for the Russell 2000 Index.
WHAT MAJOR TRENDS INFLUENCED MOST THE SERIES' PERFORMANCE?
Several trends and events affected the Series' performance. An accelerating
global economic expansion led to a rise in demand for natural resources and an
increase in commodity prices, which opened the way for a cyclical recovery.
Also, the resources environment experienced low capital expenditure and rising
merger and acquisition activity, which resulted in rationalization and more
efficient cost structures. Combined, these factors resulted in a tightening of
supply, but also in the comeback of economic returns as well as a heat-up in
commodity equity markets.
Crucial for the energy sector was OPEC's decision to cut oil production during
spring of 1999. As a consequence the price of oil spiked within a short time
from $10 per barrel to a level of around $25 per barrel. Being almost 60%
invested in the energy sector, the Series has a strong bias towards the price of
oil. Hence, during the first half of the year, the Series' petroleum producing
holdings were the main beneficiaries of the oil price's rise and a driving force
behind the Series' strong performance. The price of oil stabilized during the
second half of the year. We saw this as an opportunity to lock in profits made
with the Series' strong exposure in North American junior oil companies and
moved profits towards the larger and less oil price sensitive integrated
companies.
Characteristic for the base-metals sector was strong demand and increased merger
and acquisition activity. The Series had a strong bet on nickel, aluminum, and
copper who all strongly appreciated in price. Besides strong demand and
declining inventories, the market was also heated-up by low capital expenditure
that lead to supply shortages, pushing up metal prices to levels not seen for
many years. Mega mergers such as the three-way deal in the aluminum sector
between Alcan - Pechiney - Alusuisse or Alcoa and Reynolds were leading the way
in the metals industry this year. The M&A activity is not only signalling
rationalisation, but also changes in strategy.
Within the precious metal sector, we saw the price of gold fall to a low of $253
per ounce by mid-year. This was followed by European Central Banks forming a
cartel that lead to a short-term rise to $325 per ounce. Being bearish on gold,
we used the rally to further cut our gold exposure, which towards year-end
proved positive for the portfolio, as gold prices fell again. However, we remain
optimistic on the platinum's groups, where tight supply and increased industrial
demand for fuel cells is pushing up prices.
WHAT DOES THE FUTURE HOLD FOR THE SERIES?
With economic activity continuing to expand and global GDP growing at 3.5%
annually, the macroeconomic outlook for commodities remains very favourable.
Companies who sustained the last cyclical low and rationalised during that
period will now be able to harvest profits. Also, capital expenditure continues
to be low, and signs of ongoing consolidation should lead to additional
efficiency and increase profit margins. At last we are beginning to see the
internet taking hold of the resources industry. The internet is cutting out
middlemen, enabling producers to sell their goods directly to the customer. It
will kill final price inflation and allow resource companies to work at full
capacity and reasonable pricing. We will continue to focus on companies with a
history of strong management, strong production growth, low costs, high
operating leverages to volume, as well as some cyclical recovery. On the back of
these positive fundamentals, we believe that 2000 should be another good year
for the Series.
BARING INTERNATIONAL INVESTMENT LIMITED
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 23.36%
5 YEAR 6.35%
10 YEAR 5.46%
SINCE 1/24/1989 (INCEPTION) 6.66%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Hard Assets Series S&P 500 Index Russell 2000 Index
1/24/89 $10,000.00 $10,000.00 $10,000.00
12/89 $11,895.70 $12,265.82 $11,129.19
12/90 $10,249.80 $11,884.69 $8,961.68
12/91 $10,731.98 $15,497.63 $13,087.99
12/92 $9,679.23 $16,676.73 $15,497.46
12/93 $14,511.67 $18,353.88 $18,423.25
12/94 $14,878.69 $18,594.97 $18,087.25
12/95 $16,469.39 $25,574.36 $23,233.21
12/96 $21,931.91 $31,442.41 $27,065.69
12/97 $23,296.93 $41,928.77 $33,118.65
12/98 $16,405.42 $53,919.92 $32,274.95
12/99 $20,238.13 $65,261.02 $39,135.12
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On March 1, 1999, Baring International Investment Limited became the
Portfolio Manager of the Series. Prior to that date the Series had been
advised by other Portfolio Managers.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. Exxon Mobil Corporation 7.6%
2. Alcoa Inc. 6.6%
3. Rio Tinto Plc, ADR 6.2%
4. Imperial Oil, Ltd. 5.9%
5. Atlantic Richfield Company (ARCO) 5.7%
TOP FIVE SECTORS AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Financial 22.4%
2. Technology 20.1%
3. Basic Materials 15.2%
4. Telecommunications 13.3%
5. Staples 8.2%
21
<PAGE>
THE GCG TRUST
DEVELOPING WORLD SERIES
HOW DID THE SERIES PERFORM AGAINST ITS BENCHMARK LAST YEAR?
The Developing World Series (the "Series") produced a return of 61.66% for the
year ended December 31, 1999. For the same period, the Morgan Stanley Capital
International Emerging Markets Free Index (the "MSCI EMF Index") produced a
total return of 66.41%.
Baring International Investment Limited became Portfolio Manager on March
1,1999; total returns for the ten months ended December 31, 1999 were 68.01% for
the Series and 67.15% for the MSCI EMF Index.
WHAT MARKET TRENDS SIGNIFICANTLY INFLUENCED THE SERIES' PERFORMANCE IN 1999?
The Series performed very comparably to the MSCI EMF Index during the reporting
periods. The positive performance has come from both the asset allocation and
stock selection decisions. The major positive contributors to performance have
been: the focus of the portfolio in North Asia rather than the Asian markets in
the Asia Pacific region, an underweight position in Brazil earlier in the year,
and the decision to sell out of Greece completely when we concluded that
valuations had become excessive. At the stock level, the strategy to have both
cyclical (for example, steel in Latin America) and secular (for example,
electronics in Korea and Taiwan) exposure has contributed positively to
performance.
Two major trends have underpinned our strategy and have impacted the Series'
performance: the cyclical recovery in the demand for commodities, raw materials
and selected manufacturing goods, and the secular global trend for outsourcing
of production to low-cost locations and producers. While the first trend is
obviously more short-term in nature, it has been the primary reason for the
recovery we have seen in emerging equities this year. The second trend has been
less important for asset prices over the short-term, but may be critical over
the medium to long-term. Countries that are able to successfully integrate their
economies with those of the Developed World should ultimately have a much lower
cost of capital, and faster and more predictable economic growth.
WHAT COUNTRIES MOST AFFECTED THE SERIES' 1999 RETURNS?
In terms of stock selection, aside from those mentioned above, South Africa,
Israel and Hungary have been positive contributors and, combined with the
returns in Korea and Taiwan, more than outweighed negative returns in Indonesia
and Brazil.
WHAT IS YOUR OUTLOOK FOR THE EMERGING MARKETS SECTOR?
We believe the outlook for emerging markets is positive. This year we expect the
asset class to enjoy the powerful combination of a strong global growth
environment, and we expect to see further evidence that important changes have
evolved from the crises of 1994 to 1998 in terms of both governmental and
corporate management. In addition, lower risk premiums, combined with the
current global euphoria for telecommunications and technology stocks have begun
to attract additional liquidity to these sectors, which generally trade at
discounts to their developed market peers.
The main risk for emerging markets is that U.S. interest rates might have to
rise more than an anticipated 25 to 50 basis points if growth rekindles
inflationary fears. While this remains a concern we believe that it is more than
balanced by positive cyclical (firm commodity prices, improving terms of trade)
and secular (outsourcing) trends which currently appear to remain very
supportive of our markets.
BARING INTERNATIONAL INVESTMENT LIMITED
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 61.66%
SINCE 2/18/1998 (INCEPTION) 9.87%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Morgan Stanley Capital
International Emerging
Developing World Series Markets Free Index
2/18/98 $10,000.00 $10,000.00
3/98 $10,430.00 $10,433.76
6/98 $8,260.00 $9,835.57
9/98 $6,720.00 $6,456.74
12/98 $7,373.02 $8,220.55
3/99 $7,763.18 $8,048.24
6/99 $9,543.90 $10,176.33
9/99 $9,063.71 $11,123.74
12/99 $11,919.13 $11,960.30
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 March 1, 1999, Baring International Investment Limited became the
Portfolio Manager of the Series. Prior to that date the Series had been
advised by other Portfolio Managers.
TOP FIVE EQUITY HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. Samsung Electronics, GDR 4.3%
2. Taiwan Semiconductor Manufacturing
Company, Ltd., ADR 4.3%
3. The India Fund, Inc. 3.9%
4. Telefonos de Mexico S.A., Class L, ADR 3.5%
5. Pohang Iron & Steel Company Ltd., ADR 2.5%
TOP FIVE COUNTRIES AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Korea 14.7%
2. Mexico 12.0%
3. Taiwan 10.7%
4. Brazil 10.6%
5. South Africa 10.5%
22
<PAGE>
THE GCG TRUST
EMERGING MARKETS SERIES
HOW WELL DID THE SERIES PERFORM?
For the 12 months ended December 31, 1999, the Emerging Market Series (the
"Series") produced a total return of 85.30%. The Morgan Stanley Capital
International Emerging Markets Free Index had a return of 66.41% during the same
period.
WHAT HELPED EMERGING MARKETS RECOVER AND FLOURISH IN 1999?
With improving economic growth in Asia and a bottoming out in Latin America,
emerging markets enjoyed phenomenal gains throughout 1999, rallying on the
strength of rising global growth and recovering commodity prices. Improvements
in the balance of payments and overall fiscal condition of individual economies
provided still more support for emerging-markets equities. Also contributing to
the emerging-markets rally were the extremely attractive valuations that
resulted from the asset class's dismal 1998 performance.
WHAT OTHER FACTORS CONTRIBUTED TO PERFORMANCE?
Stock selection and country allocation contributed to the Series' strong
advances during the year. Early in 1999, overall stock selection actually
restrained performance a bit, especially in India, Hungary, and South Africa.
However, those losses were offset by heavy exposure to Turkey and Latin America
as well as a large position in Taiwanese electronics stocks. The Series also
benefited early in the year from stock selection in Korea and Mexico.
Substantial holdings in the first quarter in Greek banks -- which advanced amid
EMU interest-rate convergence -- contributed to the Series' performance, as did
an underweight position in the same sector one quarter later when the entire
Greek market struggled. In the second quarter, the Series had a lack of exposure
to the Russian equity market, which rallied amid strengthening oil prices. We
were leery of the high risk of the Russian market throughout the year. In the
third quarter, performance was helped by our underweight position in Russia,
which surrendered gains from one quarter earlier. Underweight positions in
Indonesia and Thailand proved positive as these markets also underperformed.
Similarly, the Series was hampered by exposure in the third quarter to Latin
American markets, which were volatile following interest-rate hikes in the
United States. However, that exposure provided a good boost to performance in
the fourth quarter. Indeed, Latin American valuations had become so attractive
early in the final quarter of 1999 that we increased our investments in the
region at a time that proved to be beneficial to the Series. South Korean,
Indian, and Mexican stock selection also contributed to returns in the latter
part of the year.
WHAT UPCOMING EVENTS WILL MOST INFLUENCE THE SERIES IN THE SHORT-TERM?
Despite rapid growth in 1999, the relative valuations of emerging markets
equities remain attractive compared with other world markets. Moreover, economic
recovery remains firmly in place in Asia, while expectations for Latin American
growth in 2000 have been revised higher. Merger and acquisition activity is
expected to continue in both regions. The greatest near-term obstacles to
emerging markets include further U.S. interest-rate hikes, to which Latin
American and Asian markets are particularly vulnerable. Political concerns also
could hamper the markets, especially Mexico, which has a general election in
July.
PUTNAM INVESTMENT MANAGEMENT, INC.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 85.30%
5 YEAR 4.22%
SINCE 10/4/1993 (INCEPTION) 4.26%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Emerging Markets Morgan Stanley
Series Capital International
Emerging Markets
Free Index
10/4/93 $10,000.00 $10,000.00
12/93 $12,440.00 $13,260.33
12/94 $10,552.20 $12,290.32
12/95 $9,485.80 $11,650.07
12/96 $10,176.81 $12,352.68
12/97 $9,222.92 $10,921.61
12/98 $7,001.03 $8,154.10
12/99 $12,973.04 $13,569.07
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, 1999
(percentage of total net assets)
1. Telefonos de Mexico S.A., Class L, ADR 3.4%
2. Samsung Electronics Company Ltd. 3.1%
3. Grupo Televisa S.A., GDR 2.3%
4. Infosys Technologies Ltd., ADR 2.2%
5. SK Telecom Company Ltd., ADR 2.2%
TOP FIVE COUNTRIES AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Korea 16.0%
2. Mexico 15.7%
3. Brazil 10.6%
4. Taiwan 8.1%
5. India 7.7%
23
<PAGE>
THE GCG TRUST
MARKET MANAGER SERIES
HOW DID THE SERIES PERFORM AGAINST ITS BENCHMARKS?
The Market Manager Series (the "Series") had a total return of 16.59%. This
compares to a total return of 21.03% for the S&P 500 Index and 14.72% for the
S&P Mid-Cap 400 Index.
WHAT IS THE SERIES' INVESTMENT STRATEGY?
The Series began operations on November 14, 1994. At the same time, all funds
were invested in short-term money market securities. On March 6, 1995, the
Series was closed to further investment, and the Manager began investing in
accordance with the long-term objectives of the Series.
The Series seeks favorable equity market performance and preservation of
capital.
The Series contains a blend of debt securities and over-the-counter equity
options. The equity options allow the Series to track the performance of the
equity markets. The debt securities provide some degree of capital protection.
ING INVESTMENT MANAGEMENT, LLC
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1999
1 YEAR 16.59%
5 YEAR 23.60%
SINCE 11/14/1994 (INCEPTION) 23.04%
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED--PLOT POINTS AS FOLLOWS]
Market Manager S&P Mid-Cap Russell Mid-Cap
Series S&P 500 Index(1) 400 Index (1) Index
11/14/94 $10,000.00 $10,000.00 $10,000.00 $10,000.00
12/94 $10,020.00 $9,778.93 $9,778.93 $9,636.60
12/95 $12,457.69 $13,449.33 $13,449.33 $12,618.99
12/96 $14,874.91 $16,535.28 $16,535.28 $15,041.99
12/97 $19,906.14 $22,049.96 $22,049.96 $19,893.46
12/98 $24,792.23 $28,356.01 $28,356.01 $22,773.36
12/99 $28,975.00 $34,320.19 $27,184.00 $26,017.00
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.
* On January 2, 1998, ING Investment Management, LLC became the Portfolio
Manager of the Series. Prior to that date the Series had been advised by
another Portfolio Manager.
(1) The S&P 500 Index and the S&PMid-Cap 400 Index have been determined to be
the most appropriate indices to be used for comparative purposes. In the
future, the S&P 500 and the S&PMid-Cap 400 will be the only indices compared
to the Series.
TOP FIVE NON CASH HOLDINGS AS OF DECEMBER 31, 1999
(percentage of total net assets)
1. S&P 500 European Call Options 38.2%
2. S&P Midcap Companies Index 400 European
Call Options 28.4%
3. U.S. Treasury Strip, 3.032% due 02/15/01 28.3%
4. Cabco (Texaco Capital), 7.302% due 10/01/01 2.6%
5. Philip Morris Companies, Inc., 6.000% due 07/15/01 1.7%
ASSET ALLOCATION AS OF DECEMBER 31, 1999
(percentage of total portfolio holdings)
1. Call Options Purchased 66.6%
2. U.S. Treasury Strip, 3.032% due 02/15/2001 28.3%
3. Financial Services 2.6%
4. Industrial 1.7%
24
<PAGE>
- --------------------------------------------------------------------------------
DESCRIPTION OF COMPARATIVE INDICES
- --------------------------------------------------------------------------------
IBC FIRST TIER INDEX -- an index composed of an average of 300+
non-governmental retail money market funds that invest only in securities
considered to be of the highest credit quality.
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 3-MONTH TREASURY BILL INDEX--is an index that is comprised of
U.S. Treasury Bills with initial maturities of three months.
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 MID-CAP INDEX -- an index consisting of the 800 smallest companies
in the Russell 1000 Index. The Russell 1000 Index contains the 1,000 largest
companies in the U.S.
STANDARD & POOR'S 500 INDEX (S&P 500) -- an index composed of 500 U.S.
stocks.
STANDARD & POOR'S MID-CAP 400 INDEX (S&P 400) -- an index composed of 400
mid-cap U.S. stocks.
WILSHIRE REAL ESTATE SECURITIES INDEX -- an equity index consisting of real
estate investment trusts (REITs) and real estate operating companies (REOCs).
25
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
LIMITED
LIQUID MATURITY
ASSET BOND
SERIES SERIES
--------------- ---------------
ASSETS:
Investments (Notes 1, 3 and 4):
<S> <C> <C>
At identified cost .......................................................... $ 581,705,960 $ 206,341,662
=============== ===============
At value .................................................................... $ 581,705,960 $ 202,857,032
Cash, net of foreign currency, at value ........................................ 68 581
Receivables:
Shares of beneficial interest sold .......................................... 607,255 1,901,273
Investment securities sold .................................................. -- --
Receivable for forward foreign currency contracts (Note 1) .................. -- --
Dividends and/or interest ................................................... 1,691,587 2,363,462
Other assets ................................................................... 3,424 --
--------------- ---------------
Total Assets .............................................................. 584,008,294 207,122,348
--------------- ---------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed ...................................... 4,160,022 13,671
Investment securities purchased ............................................. -- --
Cash overdraft, net of foreign currency, at value .............................. -- --
Options written (Premiums received $50,398) (Note 1) ........................... -- --
--------------- ---------------
Total Liabilities ......................................................... 4,160,022 13,671
--------------- ---------------
NET ASSETS ..................................................................... $ 579,848,272 $ 207,108,677
=============== ===============
NET ASSETS CONSIST OF:
Paid-in Capital ................................................................ $ 579,852,820 $ 209,337,602
Undistributed net investment income/(loss) ..................................... -- 3,570,842
Accumulated net realized gain/(loss) on securities, written options, forward
foreign currency exchange contracts and foreign currency
transactions ................................................................ (4,548) (2,315,137)
Net unrealized appreciation/(depreciation) on securities, futures
contracts, written options, long options, forward foreign currency exchange
contracts and other assets and liabilities denominated
in foreign currencies ....................................................... -- (3,484,630)
--------------- ---------------
Total Net Assets .......................................................... $ 579,848,272 $ 207,108,677
=============== ===============
Shares of beneficial interest outstanding ...................................... 579,858,701 19,870,179
=============== ===============
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding .......................................... $ 1.00 $ 10.42
=============== ===============
</TABLE>
<TABLE>
<CAPTION>
GLOBAL
FIXED TOTAL
INCOME RETURN
SERIES SERIES
--------------- ---------------
ASSETS:
Investments (Notes 1, 3 and 4):
<S> <C> <C>
At identified cost .......................................................... $ 30,741,860 $ 655,335,235
=============== ===============
At value .................................................................... $ 28,726,731 $ 668,355,766
Cash, net of foreign currency, at value ........................................ 143,358 --
Receivables:
Shares of beneficial interest sold .......................................... 576,424 3,848,572
Investment securities sold .................................................. 15,686 1,371,613
Receivable for forward foreign currency contracts (Note 1) .................. 155,909 --
Dividends and/or interest ................................................... 740,114 3,941,616
Other assets ................................................................... 13,177 --
--------------- ---------------
Total Assets .............................................................. 30,371,399 677,517,567
--------------- ---------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed ...................................... 2 161,634
Investment securities purchased ............................................. -- --
Cash overdraft, net of foreign currency, at value .............................. -- 1,602,321
Options written (Premiums received $50,398) (Note 1) ........................... -- --
--------------- ---------------
Total Liabilities ......................................................... 2 1,763,955
--------------- ---------------
NET ASSETS ..................................................................... $ 30,371,397 $ 675,753,612
=============== ===============
NET ASSETS CONSIST OF:
Paid-in Capital ................................................................ $ 32,114,381 $ 655,634,052
Undistributed net investment income/(loss) ..................................... 242,347 6,469,348
Accumulated net realized gain/(loss) on securities, written options, forward
foreign currency exchange contracts and foreign currency
transactions ................................................................ (109,299) 629,681
Net unrealized appreciation/(depreciation) on securities, futures
contracts, written options, long options, forward foreign currency exchange
contracts and other assets and liabilities denominated
in foreign currencies ....................................................... (1,876,032) 13,020,531
--------------- ---------------
Total Net Assets .......................................................... $ 30,371,397 $ 675,753,612
=============== ===============
Shares of beneficial interest outstanding ...................................... 3,018,131 42,779,853
=============== ===============
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding .......................................... $ 10.06 $ 15.80
=============== ===============
</TABLE>
<TABLE>
<CAPTION>
FULLY EQUITY
MANAGED INCOME
SERIES SERIES
--------------- ---------------
ASSETS:
Investments (Notes 1, 3 and 4):
<S> <C> <C>
At identified cost .......................................................... $ 251,244,977 $ 276,817,627
=============== ==============
At value .................................................................... $ 256,063,850 $ 264,311,101
Cash, net of foreign currency, at value ........................................ 28,191,960 13,811,386
Receivables:
Shares of beneficial interest sold .......................................... 1,993,268 1,487,590
Investment securities sold .................................................. 349,379 202,412
Receivable for forward foreign currency contracts (Note 1) .................. -- --
Dividends and/or interest ................................................... 1,739,686 581,526
Other assets ................................................................... -- --
--------------- --------------
Total Assets .............................................................. 288,338,143 280,394,015
--------------- --------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed ...................................... -- 26,990
Investment securities purchased ............................................. 370,972 3,012,803
Cash overdraft, net of foreign currency, at value .............................. -- --
Options written (Premiums received $50,398) (Note 1) ........................... 58,125 --
--------------- --------------
Total Liabilities ......................................................... 429,097 3,039,793
--------------- --------------
NET ASSETS ..................................................................... $ 287,909,046 $ 277,354,222
=============== ==============
NET ASSETS CONSIST OF:
Paid-in Capital ................................................................ $ 273,355,143 $ 280,547,993
Undistributed net investment income/(loss) ..................................... 3,440,637 2,050,640
Accumulated net realized gain/(loss) on securities, written options, forward
foreign currency exchange contracts and foreign currency
transactions ................................................................ 6,294,438 7,266,171
Net unrealized appreciation/(depreciation) on securities, futures
contracts, written options, long options, forward foreign currency exchange
contracts and other assets and liabilities denominated
in foreign currencies ....................................................... 4,818,828 (12,510,582)
--------------- --------------
Total Net Assets .......................................................... $ 287,909,046 $ 277,354,222
=============== ==============
Shares of beneficial interest outstanding ...................................... 19,133,784 24,678,370
=============== ==============
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding .......................................... $ 15.05 $ 11.24
=============== ==============
</TABLE>
<TABLE>
<CAPTION>
RISING CAPITAL
DIVIDENDS GROWTH
SERIES SERIES
--------------- ----------------
ASSETS:
Investments (Notes 1, 3 and 4):
<S> <C> <C>
At identified cost .......................................................... $ 722,027,022 $ 469,892,634
=============== ==============
At value .................................................................... $ 894,380,476 $ 564,335,256
Cash, net of foreign currency, at value ........................................ 680 804,231
Receivables:
Shares of beneficial interest sold .......................................... 4,559,183 2,440,700
Investment securities sold .................................................. -- --
Receivable for forward foreign currency contracts (Note 1) .................. -- --
Dividends and/or interest ................................................... 834,525 367,533
Other assets ................................................................... -- --
--------------- --------------
Total Assets .............................................................. 899,774,864 567,947,720
--------------- --------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed ...................................... 22,168 252,014
Investment securities purchased ............................................. -- 67,720
Cash overdraft, net of foreign currency, at value .............................. -- --
Options written (Premiums received $50,398) (Note 1) ........................... -- --
--------------- --------------
Total Liabilities ......................................................... 22,168 319,734
--------------- --------------
NET ASSETS ..................................................................... $ 899,752,696 $ 567,627,986
=============== ==============
NET ASSETS CONSIST OF:
Paid-in Capital ................................................................ $ 718,241,935 $ 465,270,275
Undistributed net investment income/(loss) ..................................... 1,344,389 --
Accumulated net realized gain/(loss) on securities, written options, forward
foreign currency exchange contracts and foreign currency
transactions ................................................................ 7,812,918 7,914,822
Net unrealized appreciation/(depreciation) on securities, futures
contracts, written options, long options, forward foreign currency exchange
contracts and other assets and liabilities denominated
in foreign currencies ....................................................... 172,353,454 94,442,889
--------------- --------------
Total Net Assets .......................................................... $ 899,752,696 $ 567,627,986
=============== ==============
Shares of beneficial interest outstanding ...................................... 36,222,999 30,649,866
=============== ==============
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding .......................................... $ 24.84 $ 18.52
=============== ==============
</TABLE>
<TABLE>
<CAPTION>
VALUE
GROWTH EQUITY
SERIES SERIES
-------------- ---------------
ASSETS:
Investments (Notes 1, 3 and 4):
<S> <C> <C>
At identified cost .......................................................... $ 955,076,950 $ 129,599,858
=============== ===============
At value .................................................................... $ 1,391,619,105 $ 139,325,505
Cash, net of foreign currency, at value ........................................ 51,621 1,258
Receivables:
Shares of beneficial interest sold .......................................... 74,084 2,149,882
Investment securities sold .................................................. 26,559,260 --
Receivable for forward foreign currency contracts (Note 1) .................. 2,873,522 --
Dividends and/or interest ................................................... 119,680 126,180
Other assets ................................................................... -- --
--------------- ---------------
Total Assets .............................................................. 1,421,297,272 141,602,825
--------------- ---------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed ...................................... 2,997,409 8,254
Investment securities purchased ............................................. 1,427,643 --
Cash overdraft, net of foreign currency, at value .............................. -- --
Options written (Premiums received $50,398) (Note 1) ........................... -- --
--------------- ---------------
Total Liabilities ......................................................... 4,425,052 8,254
--------------- ---------------
NET ASSETS ..................................................................... $ 1,416,872,220 $ 141,594,571
=============== ===============
NET ASSETS CONSIST OF:
Paid-in Capital ................................................................ $ 932,782,258 $ 138,550,168
Undistributed net investment income/(loss) ..................................... (1,491,165) 582,604
Accumulated net realized gain/(loss) on securities, written options, forward
foreign currency exchange contracts and foreign currency
transactions ................................................................ 46,165,441 (7,263,848)
Net unrealized appreciation/(depreciation) on securities, futures
contracts, written options, long options, forward foreign currency exchange
contracts and other assets and liabilities denominated
in foreign currencies ....................................................... 439,415,686 9,725,647
--------------- ---------------
Total Net Assets .......................................................... $ 1,416,872,220 $ 141,594,571
=============== ===============
Shares of beneficial interest outstanding ...................................... 51,532,892 9,121,203
=============== ===============
NET ASSET VALUE, offering price and redemption price per share
of beneficial interest outstanding .......................................... $ 27.49 $ 15.52
=============== ==============
</TABLE>
See Notes to Financial Statements.
26-27
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MANAGED CAPITAL MID-CAP ALL-
RESEARCH GLOBAL APPRECIATION GROWTH GROWTH
SERIES SERIES SERIES SERIES SERIES
--------------- ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost .................................. $ 788,823,356 $125,195,743 $337,457,305 $631,433,571 $ 98,273,943
============== ============ ============ ============ ============
At value (a) ........................................ $1,007,009,886 $186,631,899 $409,622,421 $791,050,114 $147,221,884
Cash, net of foreign currency, at value ................ 1,351,691 -- 9,053 -- 3,137,773
Receivables:
Shares of beneficial interest sold .................. 2,687,851 448 2,324,514 -- 66
Investment securities sold .......................... 8,079,228 3,497,163 -- 720,126 3,374,898
Dividends and/or interest ........................... 497,464 198,405 38,745 141,782 10,698
-------------- ------------ ------------ ------------ ------------
Total Assets ...................................... 1,019,626,120 190,327,915 411,994,733 791,912,022 153,745,319
-------------- ------------ ------------ ------------ ------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed .............. 249,618 1,136,509 96,364 2,937,719 910,386
Investment securities purchased ..................... 4,720,886 1,076,049 -- 6,686,470 2,136,742
Cash overdraft, net of foreign currency,
at value ............................................ -- 3,629,798 -- 480,336 --
Accrued expenses and other payables .................... -- -- -- -- --
-------------- ------------ ------------ ------------ ------------
Total Liabilities ................................. 4,970,504 5,842,356 96,364 10,104,525 3,047,128
-------------- ------------ ------------ ------------ ------------
NET ASSETS ............................................. $1,014,655,616 $184,485,559 $411,898,369 $781,807,497 $150,698,191
============== ============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in Capital ........................................ $ 768,201,188 $103,348,970 $322,470,126 $513,713,999 $ 79,037,171
Undistributed net investment income/(loss) ............. (135,387) 119,591 -- -- --
Accumulated net realized gain/(loss) on securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and
foreign currency transactions ....................... 28,447,765 19,605,355 17,263,127 108,476,954 22,713,079
Net unrealized appreciation/(depreciation) on
securities, futures contracts, written options,
forward foreign currency exchange contracts and other
assets and liabilities denominated in foreign
currencies .......................................... 218,142,050 61,411,643 72,165,116 159,616,544 48,947,941
-------------- ------------ ------------ ------------ ------------
Total Net Assets ................................. $1,014,655,616 $184,485,559 $411,898,369 $781,807,497 $150,698,191
============== ============ ============ ============ ============
Shares of beneficial interest outstanding. ............. 40,892,896 9,242,036 20,570,993 26,425,032 5,989,130
============== ============ ============ ============ ============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding .. $ 24.81 $ 19.96 $ 20.02 $ 29.59 $ 25.16
============== ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
GROWTH STRATEGIC SMALL REAL
OPPORTUNITIES EQUITY CAP ESTATE
SERIES SERIES SERIES SERIES
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost .................................. $10,388,663 $140,688,115 $267,122,880 $61,385,629
=========== ============ ============ ===========
At value (a) ........................................ $12,029,445 $207,486,421 $363,709,651 $55,357,370
Cash, net of foreign currency, at value ................ 743,355 2,220 64,759 81,800
Receivables:
Shares of beneficial interest sold .................. 241 39,372 25,044 985,818
Investment securities sold .......................... 21,334 -- 4,514,511 --
Dividends and/or interest ........................... 21,105 18,095 18,543 481,390
----------- ------------ ------------ -----------
Total Assets ...................................... 12,815,480 207,546,108 368,332,508 56,906,378
----------- ------------ ------------ -----------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed .............. 27,146 1,746,696 695,916 44
Investment securities purchased ..................... 7,240 -- -- --
Cash overdraft, net of foreign currency,
at value ............................................ -- -- -- --
Accrued expenses and other payables .................... -- -- -- --
----------- ------------ ------------ -----------
Total Liabilities ................................. 34,386 1,746,696 695,916 44
----------- ------------ ------------ -----------
NET ASSETS ............................................. $12,781,094 $205,799,412 $367,636,592 $56,906,334
=========== ============ ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital ........................................ $11,309,123 $138,845,290 $241,797,938 $63,569,006
Undistributed net investment income/(loss) ............. 6,011 (59,367) -- 2,149,045
Accumulated net realized gain/(loss) on securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and
foreign currency transactions ....................... (174,839) 215,183 29,251,883 (2,783,458)
Net unrealized appreciation/(depreciation) on
securities, futures contracts, written options,
forward foreign currency exchange contracts and other
assets and liabilities denominated in foreign
currencies .......................................... 1,640,799 66,798,306 96,586,771 (6,028,259)
----------- ------------ ------------ -----------
Total Net Assets .................................. $12,781,094 $205,799,412 $367,636,592 $56,906,334
=========== ============ ============ ===========
Shares of beneficial interest outstanding. ............. 1,146,880 10,314,698 15,681,221 4,694,011
=========== ============ ============ ===========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding .. $ 11.14 $ 19.95 $ 23.44 $ 12.12
=========== ============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
HARD DEVELOPING EMERGING MARKET
ASSETS WORLD MARKETS MANAGER
SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost .................................. $39,096,981 $48,633,648 $32,109,514 $3,142,358
=========== =========== =========== ==========
At value (a) ........................................ $39,271,745 $60,376,678 $44,441,678(a) $7,258,495
Cash, net of foreign currency, at value ................ 851,977 1,011,047 482,605 74,804
Receivables:
Shares of beneficial interest sold .................. 137,712 -- -- --
Investment securities sold .......................... 27,255 1,195,339 209,392 --
Dividends and/or interest ........................... 2,100 49,100 38,418 3,437
----------- ----------- ----------- ----------
Total Assets ...................................... 40,290,789 62,632,164 45,172,093 7,336,736
----------- ----------- ----------- ----------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed .............. 48 16,368 87,916 --
Investment securities purchased ..................... -- -- 134,969 --
Cash overdraft, net of foreign currency,
at value ............................................ -- -- -- --
Accrued expenses and other payables .................... -- -- -- 17,950
----------- ----------- ----------- ----------
Total Liabilities ................................. 48 16,368 222,885 17,950
----------- ----------- ----------- ----------
NET ASSETS ............................................. $40,290,741 $62,615,796 $44,949,208 $7,318,786
=========== =========== =========== ==========
NET ASSETS CONSIST OF:
Paid-in Capital ........................................ $46,877,585 $51,429,729 $47,428,389 $3,202,649
Undistributed net investment income/(loss) ............. 81,386 (257,955) (190,848) --
Accumulated net realized gain/(loss) on securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and
foreign currency transactions ....................... (6,844,282) (298,951) (14,621,198) --
Net unrealized appreciation/(depreciation) on
securities, futures contracts, written options,
forward foreign currency exchange contracts and other
assets and liabilities denominated in foreign
currencies .......................................... 176,052 11,742,973 12,332,865 4,116,137
----------- ----------- ----------- ----------
Total Net Assets .................................. $40,290,741 $62,615,796 $44,949,208 $7,318,786
=========== =========== =========== ==========
Shares of beneficial interest outstanding. ............. 3,427,535 5,416,601 3,669,922 377,319
=========== =========== =========== ==========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding .. $ 11.76 $ 11.56 $ 12.25 $ 19.40
=========== =========== =========== ==========
<FN>
- --------------
(a) The Emerging Markets Series includes a repurchase agreement amounting to
$1,885,000.
</FN>
</TABLE>
See Notes to Financial Statements.
28-29
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
LIMITED GLOBAL
LIQUID MATURITY FIXED
ASSET BOND INCOME
SERIES SERIES SERIES
------------ ----------- -------------
INVESTMENT INCOME:
<S> <C> <C> <C>
Dividends ............................................................ -- -- --
Interest ............................................................. $19,834,552 $10,520,486 $ 1,254,527
Foreign taxes withheld on dividend and interest income ............... -- -- (9,415)
Other income ......................................................... (16,434) (6,826) --
----------- ----------- -----------
Total Investment Income ......................................... 19,818,118 10,513,660 1,245,112
----------- ----------- -----------
EXPENSES:
Unified fees (Note 2) ................................................ 2,109,806 1,011,122 417,531
Trustees' fees and expenses (Note 2) ................................. 10,428 5,135 742
----------- ----------- -----------
Total Expenses .................................................. 2,120,234 1,016,257 418,273
----------- ----------- -----------
Expenses Reimbursed by Advisor .................................... -- -- (742)
Net Expenses ...................................................... 2,120,234 1,016,257 417,531
----------- ----------- -----------
NET INVESTMENT INCOME/(LOSS) ......................................... 17,697,884 9,497,403 827,581
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES (NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ........................................................ (316) (2,210,323) (200,937)
Written options ................................................... -- -- --
Long options ...................................................... -- -- --
Forward foreign currency exchange contracts ....................... -- -- 202,341
Foreign currency transactions ..................................... -- -- (29,202)
Net change in unrealized appreciation/depreciation of:
Securities ........................................................ 270 (5,023,555) (3,124,159)
Written options ................................................... -- -- --
Forward foreign currency exchange contracts ....................... -- -- 102,772
Other assets and liabilities denominated in foreign currencies .... -- 91,917 (30,100)
----------- ----------- -----------
Net realized and unrealized gain/(loss) on investments ............ (46) (7,141,961) (3,079,285)
----------- ----------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS ................................................... $17,697,838 $ 2,355,442 $(2,251,704)
=========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
TOTAL FULLY EQUITY RISING
RETURN MANAGED INCOME DIVIDENDS
SERIES SERIES SERIES SERIES
------------ ------------- -------------- ------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Dividends ............................................................ $ 6,585,510 $ 4,872,819 $ 5,569,882 $ 9,415,252
Interest ............................................................. 16,642,440 6,232,042 3,166,176 644,378
Foreign taxes withheld on dividend and interest income ............... (32,778) (20,794) 250 --
Other income ......................................................... (6,868) 693,693 156,262 29,673
------------ ------------ ----------- ------------
Total Investment Income ......................................... 23,188,304 11,777,760 8,892,570 10,089,303
------------ ------------ ----------- ------------
EXPENSES:
Unified fees (Note 2) ................................................ 5,323,534 2,566,993 2,708,647 7,081,897
Trustees' fees and expenses (Note 2) ................................. 16,786 7,693 8,181 20,945
------------ ------------ ----------- ------------
Total Expenses .................................................. 5,340,320 2,574,686 2,716,828 7,102,842
------------ ------------ ----------- ------------
Expenses Reimbursed by Advisor .................................... -- -- -- --
Net Expenses ...................................................... 5,340,320 2,574,686 2,716,828 7,102,842
------------ ------------ ----------- ------------
NET INVESTMENT INCOME/(LOSS) ......................................... 17,847,984 9,203,074 6,175,742 2,986,461
------------ ------------ ----------- ------------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES (NOTES 1 AND 3):
Net realized gain/(loss) on: .........................................
Securities ........................................................ 10,700,727 15,740,176 24,352,529 20,240,160
Written options ................................................... -- -- -- --
Long options ...................................................... -- (484,841) -- --
Forward foreign currency exchange contracts ....................... (203) -- -- --
Foreign currency transactions ..................................... (16,396) (22,242) (119) --
Net change in unrealized appreciation/depreciation of:
Securities ........................................................ (11,126,101) (7,630,943) (32,702,347) 82,509,118
Written options ................................................... -- (7,727) -- --
Forward foreign currency exchange contracts ....................... -- -- -- --
Other assets and liabilities denominated in foreign currencies .... (5,330) (3,956) (4,094) --
------------ ------------ ----------- ------------
Net realized and unrealized gain/(loss) on investments ............ (447,303) 7,590,467 (8,354,031) 102,749,278
------------ ------------ ----------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS ................................................... $ 17,400,681 $16,793,541 $(2,178,289) $105,735,739
============ ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
CAPITAL VALUE
GROWTH GROWTH EQUITY
SERIES SERIES SERIES
---------------- ---------------- ----------------
INVESTMENT INCOME:
<S> <C> <C> <C>
Dividends ............................................................ 3,135,735 $ 1,214,495 $ 2,587,713
Interest ............................................................. 1,038,362 2,682,293 240,705
Foreign taxes withheld on dividend and interest income ............... (13,974) (462) (13,325)
Other income ......................................................... 23,044 (9,143) (22,481)
------------ -------------- -------------
Total Investment Income ......................................... 4,183,167 3,887,183 2,792,612
------------ -------------- -------------
EXPENSES:
Unified fees (Note 2) ................................................ 4,168,500 6,305,623 1,296,094
Trustees' fees and expenses (Note 2) ................................. 11,224 15,654 3,897
------------ -------------- -------------
Total Expenses .................................................. 4,179,724 6,321,277 1,299,991
------------ -------------- -------------
Expenses Reimbursed by Advisor .................................... -- -- --
Net Expenses ...................................................... 4,179,724 6,321,277 1,299,991
------------ -------------- -------------
NET INVESTMENT INCOME/(LOSS) ......................................... 3,443 (2,434,094) 1,492,621
------------ -------------- -------------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES (NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ........................................................ 49,842,111 77,160,779 (6,558,451)
Written options ................................................... 30,717 -- 20,849
Long options ...................................................... 89,076 -- --
Forward foreign currency exchange contracts ....................... -- 1,306,033 --
Foreign currency transactions ..................................... 107,191 (363,104) --
Net change in unrealized appreciation/depreciation of:
Securities ........................................................ 55,578,936 391,758,893 4,175,343
Written options ................................................... -- -- --
Forward foreign currency exchange contracts ....................... -- 2,873,522 --
Other assets and liabilities denominated in foreign currencies .... (47,741) 9 --
------------ -------------- -------------
Net realized and unrealized gain/(loss) on investments ............ 105,600,290 472,736,132 (2,362,259)
------------ -------------- -------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS ................................................... $105,603,733 $470,302,038 $ (869,638)
============ ============== =============
</TABLE>
See Notes to Financial Statements.
30-31
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MANAGED CAPITAL MID-CAP ALL-
RESEARCH GLOBAL APPRECIATION GROWTH GROWTH
SERIES SERIES SERIES SERIES SERIES
-------------- ------------- ------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .............................................. $ 5,891,417 $ 1,434,104 $ 1,637,467 $ 463,587 $ 112,285
Interest ............................................... 1,309,639 69,334 1,190,701 2,283,779 213,906
Foreign taxes withheld on dividend and interest income . (51,915) (67,301) (260) -- --
Other income ........................................... (9,908) (3,163) (27,574) 35,704 46,773
-------------- ------------ ------------ -------------- ------------
Total Investment Income ........................... 7,139,233 1,432,974 2,800,334 2,783,070 372,964
-------------- ------------ ------------ -------------- ------------
EXPENSES:
Unified fees (Note 2) .................................. 6,958,337 1,688,685 2,949,797 3,592,864 1,006,814
Trustees' fees and expenses (Note 2) ................... 21,713 3,821 8,670 10,648 2,946
-------------- ------------ ------------ -------------- ------------
Total Expenses .................................... 6,980,050 1,692,506 2,958,467 3,603,512 1,009,760
-------------- ------------ ------------ -------------- ------------
Net Expenses ........................................ 6,980,050 1,692,506 2,958,467 3,603,512 1,009,760
-------------- ------------ ------------ -------------- ------------
NET INVESTMENT INCOME/(LOSS) ........................... 159,183 (259,532) (158,133) (820,442) (636,796)
-------------- ------------ ------------ -------------- ------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES (NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities .......................................... 51,747,991 39,469,204 56,802,676 167,895,022 47,412,670
Futures contracts ................................... -- -- -- -- --
Written options ..................................... -- -- 351,034 -- --
Long options ........................................ -- -- -- -- --
Forward foreign currency exchange contracts ......... -- 35,411 -- -- --
Foreign currency transactions ....................... (30,566) (10,408) 16,878 -- --
Net change in unrealized appreciation/depreciation of:
Securities .......................................... 135,196,538 35,934,233 17,050,055 133,276,872 38,302,181
Futures contracts ................................... -- -- -- -- --
Forward foreign currency exchange contracts. ........ -- (1,075) -- -- --
Other assets and liabilities denominated in
foreign currencies ................................ (20,760) (28,563) -- -- --
-------------- ------------ ------------ -------------- ------------
Net realized and unrealized gain/(loss)
on investments 186,893,203 75,398,802 74,220,643 301,171,894 85,714,851
-------------- ------------ ------------ -------------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ........................... $187,052,386 $75,139,270 $74,062,510 $300,351,452 $85,078,055
============== ============ ============ ============== ============
</TABLE>
<TABLE>
<CAPTION>
GROWTH STRATEGIC SMALL REAL
OPPORTUNITIES EQUITY CAP ESTATE
SERIES SERIES SERIES SERIES
------------- -------------- ---------------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ............................................... $ 148,556 $ 326,472 $ 184,836 $ 4,109,217
Interest ................................................ -- 459,291 800,658 74,220
Foreign taxes withheld on dividend and interest income .. -- -- -- --
Other income ............................................ 20,184 49,863 17,716 7,634
----------- ------------- --------------- -----------
Total Investment Income ............................ 168,740 835,626 1,003,210 4,191,071
----------- ------------- --------------- -----------
EXPENSES:
Unified fees (Note 2) ................................... 125,233 979,956 2,040,327 612,780
Trustees' fees and expenses (Note 2) .................... 347 2,724 5,804 1,873
----------- ------------- --------------- -----------
Total Expenses ..................................... 125,580 982,680 2,046,131 614,653
----------- ------------- --------------- -----------
Net Expenses ......................................... 125,580 982,680 2,046,131 614,653
----------- ------------- --------------- -----------
NET INVESTMENT INCOME/(LOSS) ............................ 43,160 (147,054) (1,042,921) 3,576,418
----------- ------------- --------------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES (NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ........................................... 944,474 1,659,202 43,509,195 (3,272,820)
Futures contracts .................................... -- 34,485 -- --
Written options ...................................... -- -- -- --
Long options ......................................... -- -- -- --
Forward foreign currency exchange contracts .......... -- -- -- --
Foreign currency transactions ........................ -- -- -- --
Net change in unrealized appreciation/depreciation of:
Securities ........................................... 1,185,927 61,894,508 65,183,467 (2,992,152)
Futures contracts .................................... -- 44,222 -- --
Forward foreign currency exchange contracts. ......... -- -- -- --
Other assets and liabilities denominated in
foreign currencies ................................. 17 (4) -- --
----------- ------------- --------------- -----------
Net realized and unrealized gain/(loss) on investments 2,130,418 63,632,413 108,692,662 (6,264,972)
----------- ------------- --------------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ............................ $2,173,578 $63,485,359 $107,649,741 $(2,688,554)
=========== ============= =============== ===========
</TABLE>
<TABLE>
<CAPTION>
HARD DEVELOPING EMERGING MARKET
ASSETS WORLD MARKETS MANAGER
SERIES SERIES SERIES SERIES
------------ --------------- --------------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends ............................................... $ 752,627 $ 604,400 $ 608,585 --
Interest ................................................ 53,098 33,936 42,185 $169,212
Foreign taxes withheld on dividend and interest income .. (14,532) (13,082) (27,790) --
Other income ............................................ (2,657) -- 190,092 11,214
----------- ------------- ------------- --------
Total Investment Income ............................ 788,536 625,254 813,072 180,426
----------- ------------- ------------- --------
EXPENSES:
Unified fees (Note 2) ................................... 372,525 419,418 552,994 70,253
Trustees' fees and expenses (Note 2) .................... 1,120 620 889 204
----------- ------------- ------------- --------
Total Expenses ..................................... 373,645 420,038 553,883 70,457
----------- ------------- ------------- --------
Net Expenses ......................................... 373,645 420,038 553,883 70,457
----------- ------------- ------------- --------
NET INVESTMENT INCOME/(LOSS) ............................ 414,891 205,216 259,189 109,969
----------- ------------- ------------- --------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES (NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ........................................... 1,375,815 2,125,595 6,460,408 973,438
Futures contracts .................................... 19,939 -- -- --
Written options ...................................... -- -- -- --
Long options ......................................... (24,697) -- -- --
Forward foreign currency exchange contracts .......... -- -- (55,400) --
Foreign currency transactions ........................ (138,304) (254,295) (205,101) --
Net change in unrealized appreciation/depreciation of:
Securities ........................................... 4,992,454 12,384,511 14,238,653 (90,764)
Futures contracts .................................... -- -- -- --
Forward foreign currency exchange contracts. ......... -- -- 45,387 --
Other assets and liabilities denominated in
foreign currencies ................................. (5,014) (7,259) 30,215 --
----------- ------------- ------------- --------
Net realized and unrealized gain/(loss) on investments 6,220,193 14,248,552 20,514,162 882,674
----------- ------------- ------------- --------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ............................ $6,635,084 $14,453,768 $20,773,351 $992,643
=========== ============= ============= ========
</TABLE>
See Notes to Financial Statements.
32-33
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
LIMITED GLOBAL
LIQUID MATURITY FIXED
ASSET BOND INCOME
SERIES SERIES SERIES
----------------- --------------- --------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ......................................... $ 17,697,884 $ 9,497,403 $ 827,581
Net realized gain/(loss) on securities, futures contracts, written
options, long options forward foreign currency exchange
contracts and foreign currency transactions ........................ (316) (2,210,323) (27,798)
Net change in unrealized appreciation/depreciation of securities,
futures contracts, written options, long options, forward
foreign currency exchange contracts and other assets
and liabilities denominated in foreign currencies .................. 270 (4,931,638) (3,051,487)
--------------- ------------ ------------
Net increase/(decrease) in net assets resulting from operations ...... 17,697,838 2,355,442 (2,251,704)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (17,697,884) (7,185,414) (461,837)
In excess of net investment income ................................... -- -- --
Net realized gains ................................................... -- -- --
In excess of capital gains ........................................... -- -- (15,625)
CAPITAL SHARE TRANSACTIONS:
Shares sold .......................................................... 1,824,790,607 100,115,792 33,378,663
Shares issued as reinvestment of dividends ........................... 17,698,704 7,185,414 477,462
Shares redeemed ...................................................... (1,474,370,813) (43,788,724) (22,687,569)
--------------- ------------ ------------
NET INCREASE IN NET ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ................................................ 368,118,498 63,512,482 11,168,556
--------------- ------------ ------------
Net increase/(decrease) in net assets ................................... 368,118,452 58,682,510 8,439,390
NET ASSETS:
Beginning of year ....................................................... 211,729,820 148,426,167 21,932,007
--------------- ------------ ------------
End of year ............................................................. $ 579,848,272 $207,108,677 $ 30,371,397
=============== ============ =============
Undistributed net investment income/(loss) .............................. $ -- $ 3,570,842 $ 242,347
=============== ============ =============
TRANSACTIONS IN FUND SHARES:
Shares sold .......................................................... 1,824,790,607 9,368,786 3,183,817
Shares issued as reinvestment of dividends ........................... 17,698,704 689,579 47,367
Shares redeemed ...................................................... (1,474,370,813) (4,089,014) (2,176,435)
--------------- ------------ ------------
Net increase ............................................................ 368,118,498 5,969,351 1,054,749
=============== ============ =============
</TABLE>
<TABLE>
<CAPTION>
TOTAL FULLY EQUITY
RETURN MANAGED INCOME
SERIES SERIES SERIES
------------ ------------- ---------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ......................................... $ 17,847,984 $ 9,203,074 $ 6,175,742
Net realized gain/(loss) on securities, futures contracts, written
options, long options forward foreign currency exchange
contracts and foreign currency transactions ........................ 10,684,128 15,233,093 24,352,410
Net change in unrealized appreciation/depreciation of securities,
futures contracts, written options, long options, forward
foreign currency exchange contracts and other assets
and liabilities denominated in foreign currencies .................. (11,131,431) (7,642,626) (32,706,441)
------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations ...... 17,400,681 16,793,541 (2,178,289)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (12,560,820) (6,994,358) (6,300,513)
In excess of net investment income ................................... -- -- --
Net realized gains ................................................... (8,965,375) (14,230,057) (22,460,782)
In excess of capital gains ........................................... -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold .......................................................... 232,649,024 53,095,025 47,467,006
Shares issued as reinvestment of dividends ........................... 21,526,195 21,224,415 28,761,295
Shares redeemed ...................................................... (27,388,957) (28,175,170) (46,008,985)
------------ ------------ ------------
NET INCREASE IN NET ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ................................................ 226,786,262 46,144,270 30,219,316
------------ ------------ ------------
Net increase/(decrease) in net assets ................................... 222,660,748 41,713,396 (720,268)
NET ASSETS:
Beginning of year ....................................................... 453,092,864 246,195,650 278,074,490
------------ ------------ ------------
End of year ............................................................. $675,753,612 $287,909,046 $277,354,222
============ ============ ============
Undistributed net investment income/(loss) .............................. $ 6,469,348 $ 3,440,637 $ 2,050,640
============ ============ ============
TRANSACTIONS IN FUND SHARES:
Shares sold .......................................................... 14,406,625 3,323,155 3,675,269
Shares issued as reinvestment of dividends ........................... 1,387,891 1,433,114 2,621,643
Shares redeemed ...................................................... (1,693,311) (1,787,526) (3,574,491)
------------ ------------ ------------
Net increase ............................................................ 14,101,205 2,968,743 2,722,421
============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
RISING CAPITAL
DIVIDENDS GROWTH GROWTH
SERIES SERIES SERIES
------------- ---------------- ------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ......................................... $ 2,986,461 $ 3,443 $ (2,434,094)
Net realized gain/(loss) on securities, futures contracts, written
options, long options forward foreign currency exchange
contracts and foreign currency transactions ........................ 20,240,160 50,069,095 78,103,708
Net change in unrealized appreciation/depreciation of securities,
futures contracts, written options, long options, forward
foreign currency exchange contracts and other assets
and liabilities denominated in foreign currencies .................. 82,509,118 55,531,195 394,632,424
------------ ------------ --------------
Net increase/(decrease) in net assets resulting from operations ...... 105,735,739 105,603,733 470,302,038
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (2,336,909) (409,749) --
In excess of net investment income ................................... -- (316,820) --
Net realized gains ................................................... (20,617,572) (29,572,671) (16,417,785)
In excess of capital gains ........................................... -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold .......................................................... 257,955,741 209,954,920 930,440,724
Shares issued as reinvestment of dividends ........................... 22,954,481 30,299,240 16,417,785
Shares redeemed ...................................................... (38,781,949) (46,769,367) (215,086,923)
------------ ------------ --------------
NET INCREASE IN NET ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ................................................ 242,128,273 193,484,793 731,771,586
------------ ------------ --------------
Net increase/(decrease) in net assets ................................... 324,909,531 268,789,286 1,185,655,839
NET ASSETS:
Beginning of year ....................................................... 574,843,165 298,838,700 231,216,381
------------ ------------ --------------
End of year ............................................................. $899,752,696 $567,627,986 $1,416,872,220
============ ============ ==============
Undistributed net investment income/(loss) .............................. $ 1,344,389 -- $ (1,491,165)
============ ============ ==============
TRANSACTIONS IN FUND SHARES:
Shares sold .......................................................... 10,819,973 12,672,960 47,301,547
Shares issued as reinvestment of dividends ........................... 933,868 1,685,164 612,833
Shares redeemed ...................................................... (1,646,223) (2,836,614) (11,181,642)
------------ ------------ --------------
Net increase ............................................................ 10,107,618 11,521,510 36,732,738
============ ============ ==============
</TABLE>
<TABLE>
<CAPTION>
VALUE
EQUITY
SERIES
--------------
<S> <C>
OPERATIONS:
Net investment income/(loss) ......................................... $ 1,492,621
Net realized gain/(loss) on securities, futures contracts, written
options, long options forward foreign currency exchange
contracts and foreign currency transactions ........................ (6,537,602)
Net change in unrealized appreciation/depreciation of securities,
futures contracts, written options, long options, forward
foreign currency exchange contracts and other assets
and liabilities denominated in foreign currencies .................. 4,175,343
------------
Net increase/(decrease) in net assets resulting from operations ...... (869,638)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (1,268,740)
In excess of net investment income ................................... --
Net realized gains ................................................... (2,515,295)
In excess of capital gains ........................................... --
CAPITAL SHARE TRANSACTIONS:
Shares sold .......................................................... 44,194,005
Shares issued as reinvestment of dividends ........................... 3,784,035
Shares redeemed ...................................................... (31,514,293)
------------
NET INCREASE IN NET ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ................................................ 16,463,747
------------
Net increase/(decrease) in net assets ................................... 11,810,074
NET ASSETS:
Beginning of year ....................................................... 129,784,497
------------
End of year ............................................................. $141,594,571
============
Undistributed net investment income/(loss) .............................. $ 582,604
============
TRANSACTIONS IN FUND SHARES:
Shares sold .......................................................... 2,627,984
Shares issued as reinvestment of dividends ........................... 248,133
Shares redeemed ...................................................... (1,929,767)
------------
Net increase ............................................................ 946,350
============
</TABLE>
See Notes to Financial Statements.
34-35
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MANAGED CAPITAL MID-CAP ALL-
RESEARCH GLOBAL APPRECIATION GROWTH GROWTH
SERIES SERIES SERIES SERIES SERIES#
---------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ..................... $ 159,183 $ (259,532) $ (158,133) $ (820,442) $ (636,796)
Net realized gain/(loss) on securities, futures
contracts, written options, long options, forward
foreign currency exchange contracts and foreign
currency transactions 51,717,425 39,494,207 57,170,588 167,895,022 47,412,670
Net change in unrealized/depreciation of securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and
assets and liabilities denominated in foreign
other currencies ............................... 135,175,778 35,904,595 17,050,055 133,276,872 38,302,181
-------------- ------------- ------------ ------------- ------------
Net increase/(decrease) in net assets resulting
from operations ................................ 187,052,386 75,139,270 74,062,510 300,351,452 85,078,055
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................ (159,183) -- (452,483) (43,708) --
In excess of net investment income ............... (119,370) -- -- -- --
Net realized gains ............................... (15,913,724) (25,240,466) (43,360,371) (64,374,917) (28,838,803)
Return of capital ................................ -- -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ...................................... 285,194,254 156,363,096 110,706,964 407,862,991 19,932,720
Shares issued as reinvestment of dividends ....... 16,192,277 25,240,466 43,812,854 64,418,625 28,838,804
Shares redeemed .................................. (71,362,426) (181,094,595) (36,184,597) (178,428,762) (38,242,909)
-------------- ------------- ------------ ------------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS .............. 230,024,105 508,967 118,335,221 293,852,854 10,528,615
-------------- ------------- ------------ ------------- ------------
Net increase/(decrease) in net assets ............... 400,884,214 50,407,771 148,584,877 529,785,681 66,767,867
NET ASSETS:
Beginning of year ................................... 613,771,402 134,077,788 263,313,492 252,021,816 83,930,324
-------------- ------------- ------------ ------------- ------------
End of year ......................................... $1,014,655,616 $ 184,485,559 $411,898,369 $ 781,807,497 $150,698,191
============== ============= ============ ============= ============
Undistributed net investment income/(loss) .......... $ (135,387) $ 119,591 -- -- --
============== ============= ============ ============= ============
TRANSACTIONS IN FUND SHARES:
Shares sold ...................................... 13,371,613 9,585,968 5,632,968 18,422,729 1,347,840
Shares issued as reinvestment of dividends ....... 678,922 1,344,008 2,273,630 2,269,860 1,221,466
Shares redeemed .................................. (3,378,129) (11,139,964) (1,894,783) (8,192,969) (2,180,900)
============== ============= ============ ============= ============
Net increase/(decrease) ............................. 10,672,406 (209,988) 6,011,815 12,499,620 388,406
============== ============= ============ ============= ============
</TABLE>
<TABLE>
<CAPTION>
GROWTH STRATEGIC SMALL REAL
OPPORTUNITIES EQUITY CAP ESTATE
SERIES# SERIES SERIES SERIES
------------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ..................... $ 43,160 $ (147,054) $ (1,042,921) $ 3,576,418
Net realized gain/(loss) on securities, futures
contracts, written options, long options, forward
foreign currency exchange contracts and foreign
currency transactions 944,474 1,693,687 43,509,195 (3,272,820)
Net change in unrealized/depreciation of securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and
assets and liabilities denominated in foreign
other currencies ............................... 1,185,944 61,938,726 65,183,467 (2,992,152)
----------- ------------ ------------- ------------
Net increase/(decrease) in net assets resulting
from operations ................................ 2,173,578 63,485,359 107,649,741 (2,688,554)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................ (46,881) (219,194) -- (2,303,661)
In excess of net investment income ............... -- -- -- --
Net realized gains ............................... (505,565) (570,728) (10,282,407) (1,585,840)
Return of capital ................................ -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ...................................... 8,172,429 97,903,351 236,986,292 19,689,115
Shares issued as reinvestment of dividends ....... 552,445 789,922 10,282,406 3,889,500
Shares redeemed .................................. (6,655,828) (28,849,911) (124,695,886) (30,005,609)
----------- ------------ ------------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS .............. 2,069,046 69,843,362 122,572,812 (6,426,994)
----------- ------------ ------------- ------------
Net increase/(decrease) in net assets ............... 3,690,178 132,538,799 219,940,146 (13,005,049)
NET ASSETS:
Beginning of year ................................... 9,090,916 73,260,613 147,696,446 69,911,383
----------- ------------ ------------- ------------
End of year ......................................... $12,781,094 $205,799,412 $ 367,636,592 $ 56,906,334
=========== ============ ============= ============
Undistributed net investment income/(loss) .......... $ 6,011 $ (59,367) -- $ 2,149,045
=========== ============ ============= ============
TRANSACTIONS IN FUND SHARES:
Shares sold ...................................... 778,825 6,581,280 12,804,656 1,434,043
Shares issued as reinvestment of dividends ....... 52,417 41,185 449,406 334,149
Shares redeemed .................................. (620,661) (2,021,650) (6,787,765) (2,220,784)
=========== ============ ============= ============
Net increase/(decrease) ............................. 210,581 4,600,815 6,466,297 (452,592)
=========== ============ ============= ============
</TABLE>
<TABLE>
<CAPTION>
HARD DEVELOPING EMERGING MARKET
ASSETS WORLD MARKETS MANAGER
SERIES SERIES SERIES SERIES(DAGGER)
-------------- -------------- ------------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ..................... $ 414,891 $ 205,216 $ 259,189 $ 109,969
Net realized gain/(loss) on securities, futures
contracts, written options, long options, forward
foreign currency exchange contracts and foreign
currency transactions 1,232,753 1,871,300 6,199,907 973,438
Net change in unrealized/depreciation of securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and
assets and liabilities denominated in foreign
other currencies ............................... 4,987,440 12,377,252 14,314,255 (90,764)
------------ ------------ ------------ -----------
Net increase/(decrease) in net assets resulting
from operations ................................ 6,635,084 14,453,768 20,773,351 992,643
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................ (263,876) (491,137) (259,189) (109,969)
In excess of net investment income ............... -- (182,827) (46,937) (47)
Net realized gains ............................... -- (1,028,016) -- (973,438)
Return of capital ................................ -- -- (112,931) --
CAPITAL SHARE TRANSACTIONS:
Shares sold ...................................... 51,726,474 64,127,985 22,632,650 --
Shares issued as reinvestment of dividends ....... 263,876 1,701,980 419,057 1,083,454
Shares redeemed .................................. (48,600,770) (24,762,925) (24,485,024) (1,813,290)
------------ ------------ ------------ -----------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS .............. 3,389,580 41,067,040 (1,433,317) (729,836)
------------ ------------ ------------ -----------
Net increase/(decrease) in net assets ............... 9,760,788 53,818,828 18,920,977 (820,647)
NET ASSETS:
Beginning of year ................................... 30,529,953 8,796,968 26,028,231 8,139,433
------------ ------------ ------------ -----------
End of year ......................................... $ 40,290,741 $ 62,615,796 $ 44,949,208 $ 7,318,786
============ ============ ============ ===========
Undistributed net investment income/(loss) .......... $ 81,386 $ (257,955) $ (190,848) --
============ ============ ============ ===========
TRANSACTIONS IN FUND SHARES:
Shares sold ...................................... 4,591,577 6,945,690 2,427,484 --
Shares issued as reinvestment of dividends ....... 23,270 155,432 35,980 57,326
Shares redeemed .................................. (4,367,369) (2,878,056) (2,689,830) (94,873)
============ ============ ============ ===========
Net increase/(decrease) ............................. 247,478 4,223,066 (226,366) (37,547)
============ ============ ============ ===========
</TABLE>
(DAGGER) As of March 6, 1995, the Trust no longer accepts investments in the
Market Manager Series.
# As of May 1, 1999, the Trust no longer accepts investments in
the All-Growth Series and the Growth Opportunities Series.
See Notes to Financial Statements.
36-37
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE PERIOD ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
LIMITED GLOBAL
LIQUID MATURITY FIXED TOTAL
ASSET BOND INCOME RETURN
SERIES SERIES SERIES* SERIES*
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) ................................ $ 6,680,411 $ 4,812,514 $ 174,306 $ 4,279,676
Net realized gain/(loss) on securities, futures
contracts, written options, forward foreign
exchange contracts and foreign currency
transactions .............................................. (1,797) 245,793 (93,077) (1,151,705)
Net change in unrealized appreciation/depreciation
of securities, futures contracts, written
options, investments sold short, forward foreign
exchange contracts and other assets and liabilities
denominated in foreign currencies ......................... (270) 981,576 1,162,504 24,145,379
------------- ------------ ------------- -------------
Net increase in net assets resulting
from operations ........................................... 6,678,344 6,039,883 1,243,733 27,273,350
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................................... (6,680,411) (4,592,701) (174,306) (3,028,277)
In excess of net investment income .......................... -- -- (83,245) --
Net realized gains .......................................... -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares issued upon consolidation ............................ 48,475,961 38,957,271 15,564,753 311,044,440
Shares sold ................................................. 626,247,687 92,354,735 17,660,000 119,647,099
Shares issued as reinvestment of dividends .................. 6,713,421 4,594,890 257,551 3,001,719
Shares redeemed ............................................. (529,157,998) (42,767,130) (12,536,479) (4,845,467)
------------- ------------ ------------- -------------
NET INCREASE IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ......................... 152,279,071 93,139,766 20,945,825 428,847,791
------------- ------------ ------------- -------------
Net increase in net assets ..................................... 152,277,004 94,586,948 21,932,007 453,092,864
NET ASSETS:
Beginning of period ............................................ 59,452,816 53,839,219 -- --
------------- ------------ ------------- -------------
End of period .................................................. $211,729,820 $148,426,167 $21,932,007 $453,092,864
============= ============ ============= =============
Undistributed net investment income/(loss) ..................... $ -- $ 1,161,736 $ (155,040) $ 1,240,197
============= ============ ============= =============
TRANSACTIONS IN FUND SHARES:
Shares issued upon consolidation ............................ 48,481,812 3,694,955 1,485,968 20,909,077
Shares sold ................................................. 626,247,687 7,380,066 1,573,242 7,912,653
Shares issued as reinvestment of dividends .................. 6,713,421 432,257 23,224 191,436
Shares redeemed ............................................. (529,157,998) (2,830,765) (1,119,052) (334,518)
------------- ------------ ------------- -------------
Net increase ................................................... 152,284,922 8,676,513 1,963,382 28,678,648
============= ============ ============= =============
</TABLE>
<TABLE>
<CAPTION>
FULLY MULTIPLE RISING GROWTH &
MANAGED ALLOCATION DIVIDENDS INCOME
SERIES SERIES SERIES SERIES*
------------ -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) .................................. $ 5,911,618 $ 9,775,332 $ 2,905,740 $ 1,697,079
Net realized gain/(loss) on securities, futures
contracts, written options, forward foreign
exchange contracts and foreign currency
transactions ................................................ 17,323,306 21,152,198 19,244,423 (12,238,230)
Net change in unrealized appreciation/depreciation
of securities, futures contracts, written
options, investments sold short, forward foreign
exchange contracts and other assets and liabilities
denominated in foreign currencies ........................... (12,166,269) (9,697,386) 24,693,039 38,911,569
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations ............................................. 11,068,655 21,230,144 46,843,202 28,370,418
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (5,333,418) (9,833,207) (2,574,608) (1,317,200)
In excess of net investment income ............................ -- -- -- --
Net realized gains ............................................ (15,405,399) (19,438,596) (19,104,120) --
CAPITAL SHARE TRANSACTIONS:
Shares issued upon consolidation .............................. -- -- -- 225,438,123
Shares sold ................................................... 73,935,108 24,873,960 304,438,120 56,079,686
Shares issued as reinvestment of dividends .................... 20,738,817 29,271,803 21,678,728 1,314,569
Shares redeemed ............................................... (8,794,799) (32,628,367) (28,628,951) (11,046,896)
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... 85,879,126 21,517,396 297,487,897 271,785,482
------------ ------------ ------------ ------------
Net increase in net assets ....................................... 76,208,964 13,475,737 322,652,371 298,838,700
NET ASSETS:
Beginning of period .............................................. 169,986,686 264,598,753 252,190,794 --
------------ ------------ ------------ ------------
End of period .................................................... $246,195,650 $278,074,490 $574,843,165 $298,838,700
============ ============ ============ ============
Undistributed net investment income/(loss) ....................... $ 1,239,785 $ 2,473,654 $ 694,837 $ 406,306
============ ============ ============ ============
TRANSACTIONS IN FUND SHARES:
Shares issued upon consolidation .............................. -- -- -- 15,829,527
Shares sold ................................................... 4,521,295 1,826,179 13,882,960 4,028,631
Shares issued as reinvestment of dividends .................... 1,377,079 2,334,275 974,325 85,696
Shares redeemed ............................................... (537,671) (2,422,779) (1,327,846) (815,498)
------------ ------------ ------------ ------------
Net increase ..................................................... 5,360,703 1,737,675 13,529,439 19,128,356
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
VALUE + VALUE MANAGED
GROWTH EQUITY RESEARCH GLOBAL
SERIES* SERIES SERIES* SERIES
-------------- -------------- ------------- ---------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) .................................. $ (397,445) $ 1,581,831 $ 424,921 $ (200,950)
Net realized gain/(loss) on securities, futures
contracts, written options, forward foreign
exchange contracts and foreign currency
transactions ................................................ (14,577,553) 2,204,365 (7,265,864) 11,285,119
Net change in unrealized appreciation/depreciation
of securities, futures contracts, written
options, investments sold short, forward foreign
exchange contracts and other assets and liabilities
denominated in foreign currencies ........................... 44,783,262 (2,973,867) 82,966,272 19,156,582
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations ............................................. 29,808,264 812,329 76,125,329 30,240,751
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... -- (1,388,071) (424,921) (436,006)
In excess of net investment income ............................ -- -- (189,329) (391)
Net realized gains ............................................ -- (2,501,369) -- (5,137,434)
CAPITAL SHARE TRANSACTIONS:
Shares issued upon consolidation .............................. 149,396,501 -- 391,978,647 --
Shares sold ................................................... 65,942,401 56,607,571 162,449,837 49,773,384
Shares issued as reinvestment of dividends .................... -- 3,889,440 595,142 5,573,832
Shares redeemed ............................................... (13,930,785) (7,683,469) (16,763,303) (51,238,921)
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... 201,408,117 52,813,542 538,260,323 4,108,295
------------ ------------ ------------ ------------
Net increase in net assets ....................................... 231,216,381 49,736,431 613,771,402 28,775,215
NET ASSETS:
Beginning of period .............................................. -- 80,048,066 -- 105,302,573
------------ ------------ ------------ ------------
End of period .................................................... $231,216,381 $129,784,497 $613,771,402 $134,077,788
============ ============ ============ ============
Undistributed net investment income/(loss) ....................... $ -- $ 358,723 $ -- $ (94,561)
============ ============ ============ ============
TRANSACTIONS IN FUND SHARES:
Shares issued upon consolidation .............................. 10,963,565 -- 22,082,990 --
Shares sold ................................................... 4,889,604 3,450,964 9,097,545 3,771,249
Shares issued as reinvestment of dividends .................... -- 247,893 29,772 399,558
Shares redeemed ............................................... (1,053,015) (487,517) (989,817) (3,908,600)
------------ ------------ ------------ ------------
Net increase ..................................................... 14,800,154 3,211,340 30,220,490 262,207
============ ============ ============ ============
<FN>
- ------------------
* The Global Fixed Income Series, Total Return Series, Growth & Income Series,
Value
+ Growth Series and Research Series commenced operations on August 14, 1998.
</FN>
</TABLE>
See Notes to Financial Statements.
38-39
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
THE GCG TRUST
FOR THE PERIOD ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
CAPITAL MID-CAP ALL- GROWTH
APPRECIATION GROWTH GROWTH OPPORTUNITIES
SERIES SERIES* SERIES SERIES*
--------------- --------------- -------------- -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) .................................. $ 2,119,090 $ 114,842 $ (380,854) $ 71,145
Net realized gain/(loss) on securities, futures contracts,
written options, forward foreign exchange contracts
and foreign currency transactions ........................... 13,189,628 7,139,551 6,801,674 (619,950)
Net change in unrealized appreciation/depreciation
of securities, futures contracts, written options,
investments sold short, forward foreign exchange
contracts and other assets and liabilities
denominated in foreign currencies ........................... 10,657,145 26,339,672 732,283 454,855
------------ ------------ ------------ -----------
Net increase/(decrease) in net assets resulting
from operations ............................................. 25,965,863 33,594,065 7,153,103 (93,950)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (1,985,719) (71,134) -- (55,236)
In excess of net investment income. ........................... -- -- -- --
Net realized gains ............................................ (21,481,203) (1,362,260) (482,429) --
In excess of capital gains .................................... -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares issued upon consolidation .............................. -- 169,854,219 -- --
Shares sold ................................................... 63,842,885 68,050,467 17,212,183 14,853,619
Shares issued as reinvestment of dividends .................... 23,466,922 1,429,200 482,429 55,236
Shares redeemed ............................................... (20,480,864) (19,472,741) (14,291,443) (5,668,753)
------------ ------------ ------------ -----------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... 66,828,943 219,861,145 3,403,169 9,240,102
------------ ------------ ------------ -----------
Net increase/(decrease) in net assets ............................ 69,327,884 252,021,816 10,073,843 9,090,916
NET ASSETS:
Beginning of period .............................................. 193,985,608 -- 73,856,481 --
------------ ------------ ------------ -----------
End of period .................................................... $263,313,492 $252,021,816 $ 83,930,324 $ 9,090,916
============ ============ ============ ===========
Undistributed net investment income/(loss). ...................... $ 459,203 $ 43,708 $ -- $ 15,917
============ ============ ============ ===========
TRANSACTIONS IN FUND SHARES:
Shares issued upon consolidation. ............................. -- 10,833,373 -- --
Shares sold ................................................... 3,374,720 4,348,959 1,274,223 1,527,372
Shares issued as reinvestment of dividends .................... 1,308,808 81,762 33,807 5,845
Shares redeemed ............................................... (1,113,005) (1,338,682) (1,069,193) (596,918)
------------ ------------ ------------ -----------
Net increase/(decrease) .......................................... 3,570,523 13,925,412 238,837 936,299
============ ============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
STRATEGIC SMALL REAL
EQUITY CAP ESTATE
SERIES SERIES SERIES
------------- ---------------- --------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) .................................. $ 920,850 $ (299,861) $ 3,976,536
Net realized gain/(loss) on securities, futures contracts,
written options, forward foreign exchange contracts
and foreign currency transactions ........................... 1,514,102 1,277,047 3,671,935
Net change in unrealized appreciation/depreciation
of securities, futures contracts, written options,
investments sold short, forward foreign exchange
contracts and other assets and liabilities
denominated in foreign currencies ........................... (2,467,677) 20,807,299 (19,233,132)
----------- ------------ ------------
Net increase/(decrease) in net assets resulting
from operations ............................................. (32,725) 21,784,485 (11,584,661)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (857,830) -- (2,940,340)
In excess of net investment income. ........................... -- -- --
Net realized gains ............................................ (3,147,571) -- (6,743,350)
In excess of capital gains .................................... (768,811) -- --
CAPITAL SHARE TRANSACTIONS:
Shares issued upon consolidation .............................. -- -- --
Shares sold ................................................... 27,135,472 72,810,460 22,838,788
Shares issued as reinvestment of dividends .................... 4,774,212 -- 9,683,690
Shares redeemed ............................................... (5,630,659) (13,294,050) (16,872,712)
----------- ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... 26,279,025 59,516,410 15,649,766
----------- ------------ ------------
Net increase/(decrease) in net assets ............................ 21,472,088 81,300,895 (5,618,585)
NET ASSETS:
Beginning of period .............................................. 51,788,525 66,395,551 75,529,968
----------- ------------ ------------
End of period .................................................... $73,260,613 $147,696,446 $ 69,911,383
=========== ============ ============
Undistributed net investment income/(loss). ...................... $ 223,959 $ -- $ 1,374,315
=========== ============ ============
TRANSACTIONS IN FUND SHARES:
Shares issued upon consolidation. ............................. -- -- --
Shares sold ................................................... 1,951,428 5,146,630 1,326,791
Shares issued as reinvestment of dividends .................... 383,471 -- 728,645
Shares redeemed ............................................... (420,675) (944,398) (1,042,917)
----------- ------------ ------------
Net increase/(decrease) .......................................... 1,914,224 4,202,232 1,012,519
=========== ============ ============
</TABLE>
<TABLE>
<CAPTION>
HARD DEVELOPING EMERGING MARKET
ASSETS WORLD MARKETS MANAGER
SERIES SERIES* SERIES SERIES(DAGGER)
--------------- ------------- -------------- ---------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss) .............................. $ 753,907 $ 37,668 $ 264,799 $ 127,813
Net realized gain/(loss) on securities, futures contracts,
written options, forward foreign exchange contracts
and foreign currency transactions ....................... (6,237,915) (965,087) (10,235,843) 208,771
Net change in unrealized appreciation/depreciation
of securities, futures contracts, written options,
investments sold short, forward foreign exchange
contracts and other assets and liabilities
denominated in foreign currencies ....................... (7,457,697) (634,752) 1,111,863 1,304,268
------------- ----------- ------------ ----------
Net increase/(decrease) in net assets resulting
from operations ......................................... (12,941,705) (1,562,171) (8,859,181) 1,640,852
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................................... (738,546) (817) -- (128,425)
In excess of net investment income. ....................... -- (2,733) -- --
Net realized gains ........................................ (2,062,110) -- -- (213,782)
In excess of capital gains ................................ -- -- -- (282)
CAPITAL SHARE TRANSACTIONS:
Shares issued upon consolidation .......................... -- -- -- --
Shares sold ............................................... 22,317,164 13,236,980 4,829,405 --
Shares issued as reinvestment of dividends ................ 2,800,656 3,550 -- 342,488
Shares redeemed ........................................... (25,074,108) (2,877,841) (9,378,128) (292,468)
------------- ----------- ------------ ----------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ....................... 43,712 10,362,689 (4,548,723) 50,020
------------- ----------- ------------ ----------
Net increase/(decrease) in net assets ........................ (15,698,649) 8,796,968 (13,407,904) 1,348,383
NET ASSETS:
Beginning of period .......................................... 46,228,602 -- 39,436,135 6,791,050
------------- ----------- ------------ ----------
End of period ................................................ $ 30,529,953 $ 8,796,968 $ 26,028,231 $8,139,433
============= =========== ============ ==========
Undistributed net investment income/(loss). .................. $ 190,936 $ 285,858 $ (32,732) $ --
============= =========== ============ ==========
TRANSACTIONS IN FUND SHARES:
Shares issued upon consolidation. ......................... -- -- -- --
Shares sold ............................................... 1,843,131 1,565,640 598,485 --
Shares issued as reinvestment of dividends ................ 298,259 484 -- 18,054
Shares redeemed ........................................... (2,033,543) (372,589) (1,183,502) (15,632)
------------- ----------- ------------ ----------
Net increase/(decrease) ...................................... 107,847 1,193,535 (585,017) 2,422
============= =========== ============ ==========
<FN>
- ------------------
(DAGGER) 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. The Mid-Cap Growth Series commenced
operations on August 14, 1998.
</FN>
</TABLE>
See Notes to Financial Statements.
40-41
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
THE GCG TRUST
LIQUID ASSET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- ------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ......................................... 0.046 0.050 0.050 0.049 0.054
-------- -------- -------- ------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income .......................... (0.046) (0.050) (0.050) (0.049) (0.054)
-------- -------- -------- ------- --------
Net asset value, end of year .................................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======= ========
Total return. ................................................. 4.74% 5.13% 5.07% 5.01% 5.51%
======== ======== ======== ======= ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ............................ $579,848 $211,730 59,453 $39,096 $ 38,589
Ratio of operating expenses to average net assets ............. 0.56% 0.59% 0.61% 0.61% 0.61%
Ratio of net investment income to average net assets. ......... 4.71% 4.92% 4.99% 4.89% 5.39%
<FN>
- ------------------
* 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.
</FN>
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97# 12/31/96# 12/31/95
--------- ---------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ...................... $ 10.68 $ 10.31 $ 10.43 $ 11.15 $ 9.98
-------- -------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ................................... 0.48 0.24 0.60 0.59 0.60
Net realized and unrealized gain/(loss) on investments
and foreign currencies ............................... (0.36) 0.47 0.09 (0.13) 0.57
-------- -------- ------- ------- -------
Total from investment operations ........................ 0.12 0.71 0.69 0.46 1.17
-------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income .................... (0.38) (0.34) (0.81) (1.15) --
Distributions from capital gains ........................ -- -- -- (0.03) --
-------- -------- ------- ------- -------
Total distributions ..................................... (0.38) (0.34) (0.81) (1.18) --
-------- -------- ------- ------- -------
Net asset value, end of year ............................ $ 10.42 $ 10.68 $ 10.31 $ 10.43 $ 11.15
======== ======== ======= ======= =======
Total return ............................................ 1.13% 6.86% 6.67% 4.32% 11.72%
======== ======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ...................... $207,109 $148,426 $53,839 $81,317 $90,081
Ratio of operating expenses to average net assets ....... 0.57% 0.60% 0.61% 0.61% 0.61%
Ratio of net investment income to average net assets .... 5.29% 5.15% 5.71% 5.33% 5.58%
Portfolio turnover rate ................................. 128% 52% 81% 250% 302%
<FN>
- ------------------
* 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.
</FN>
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 12/31/98*#
---------- -------------
<S> <C> <C>
Net asset value, beginning of period ........................................ $ 11.17 $ 10.47
------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ....................................................... 0.34 0.09
Net realized and unrealized gain/(loss) on investments and foreign currencies (1.30) 0.74
------- -------
Total from investment operations ............................................ (0.96) 0.83
------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ........................................ (0.14) (0.09)
Dividends in excess of net investment income ................................ -- (0.04)
Distributions from capital gains ............................................ -- --
Distributions in excess of capital gains .................................... (0.01) --
------- -------
Total distributions ......................................................... (0.15) (0.13)
------- -------
Net asset value, end of period .............................................. $ 10.06 $ 11.17
======= =======
Total return ................................................................ (8.62)% 7.99%(DOUBLE DAGGER)
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........................................ $30,371 $21,932
Ratio of operating expenses to average net assets ........................... 1.60% 1.74%(DAGGER)
Ratio of net investment income to average net assets ........................ 3.17% 2.37%(DAGGER)
Portfolio turnover rate ..................................................... 87% 25%
<FN>
- ------------------
* The Global Fixed Income Series commenced operations on August
14, 1998.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 12/31/98*#
----------- -------------
<S> <C> <C>
Net asset value, beginning of period ................................................ $ 15.80 $ 14.88
-------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................................................... 0.42 0.17
Net realized and unrealized gain on investments and foreign currencies .............. 0.11 0.86
-------- --------
Total from investment operations .................................................... 0.53 1.03
-------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income ................................................ (0.31) (0.11)
Distributions from capital gains .................................................... (0.22) --
-------- --------
Total distributions ................................................................. (0.53) (0.11)
-------- --------
Net asset value, end of period ...................................................... $ 15.80 $ 15.80
======== ========
Total return ........................................................................ 3.38% 6.90%(DOUBLE DAGGER)
======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ................................................ $675,754 $453,093
Ratio of operating expenses to average net assets ................................... 0.91% 0.98%(DAGGER)
Ratio of net investment income to average net assets ................................ 3.04% 2.95%(DAGGER)
Portfolio turnover rate ............................................................. 81% 37%
<FN>
- ------------------
* The Total Return Series commenced operations on August 14, 1998.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
--------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ....................... $ 15.23 $ 15.73 $ 14.82 $ 13.79 $ 11.70
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................................... 0.50 0.36 0.39 0.56 0.45
Net realized and unrealized gain on investments
and foreign currencies ................................ 0.53 0.55 1.86 1.69 1.98
-------- -------- -------- -------- --------
Total from investment operations ......................... 1.03 0.91 2.25 2.25 2.43
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income ..................... (0.40) (0.36) (0.41) (0.56) (0.34)
Distributions from capital gains ......................... (0.81) (1.05) (0.93) (0.66) --
-------- -------- -------- -------- --------
Total distributions ...................................... (1.21) (1.41) (1.34) (1.22) (0.34)
-------- -------- -------- -------- --------
Net asset value, end of year ............................. $ 15.05 $ 15.23 $ 15.73 $ 14.82 $ 13.79
======== ======== ======== ======== ========
Total return ............................................. 6.92% 5.89% 15.27% 16.36% 20.80%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ....................... $287,909 $246,196 $169,987 $136,660 $118,589
Ratio of operating expenses to average net assets ........ 0.97% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets. .... 3.45% 2.83% 2.67% 3.83% 3.41%
Portfolio turnover rate .................................. 36% 44% 48% 45% 113%
<FN>
- ------------------
* 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.
</FN>
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
EQUITY INCOME SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
--------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ........................ $ 12.67 $ 13.09 $ 12.41 $ 12.52 $ 11.33
-------- -------- --------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ..................................... 0.27 0.49 0.57 0.56 0.58
Net realized and unrealized gain/(loss) on investments
and foreign currencies ................................. (0.39) 0.58 1.58 0.52 1.56
-------- -------- --------- -------- --------
Total from investment operations .......................... (0.12) 1.07 2.15 1.08 2.14
-------- -------- --------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income ...................... (0.29) (0.50) (0.55) (0.58) (0.45)
Distributions from capital gains .......................... (1.02) (0.99) (0.92) (0.61) (0.50)
-------- -------- --------- -------- --------
Total distributions ....................................... (1.31) (1.49) (1.47) (1.19) (0.95)
-------- -------- --------- -------- --------
Net asset value, end of year .............................. $ 11.24 $ 12.67 $ 13.09 $ 12.41 $ 12.52
======== ======== ========= ======== ========
Total return .............................................. (0.72)% 8.26% 17.44% 8.77% 18.93%
======== ======== ========= ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ........................ $277,354 $278,074 $264,599 $272,791 $307,691
Ratio of operating expenses to average net assets. ........ 0.96% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets ...... 2.19% 3.63% 3.88% 3.86% 4.42%
Portfolio turnover rate ................................... 122% 61% 79% 158% 187%
<FN>
- ------------------
* Since March 1, 1999, T. Rowe Price Associates, Inc. has served as the
Portfolio Manager of the Series. Prior to that date a different firm served
as Portfolio Manager. Along with this change was a name change from the
Multiple Allocation Series to the Equity Income Series.
</FN>
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96# 12/31/95
---------- --------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ......................... $ 22.01 $ 20.04 $ 15.81 $ 13.30 $ 10.22
-------- -------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ...................................... 0.08 0.10 0.14 0.14 0.13
Net realized and unrealized gain on investments and
foreign currencies ...................................... 3.41 2.74 4.57 2.61 3.04
-------- -------- -------- -------- -------
Total from investment operations ........................... 3.49 2.84 4.71 2.75 3.17
-------- -------- -------- -------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ....................... (0.07) (0.10) (0.13) (0.13) (0.09)
Distributions from capital gains. .......................... (0.59) (0.77) (0.35) (0.11) --
-------- -------- -------- -------- -------
Total distributions ........................................ (0.66) (0.87) (0.48) (0.24) (0.09)
-------- -------- -------- -------- -------
Net asset value, end of year ............................... $ 24.84 $ 22.01 $ 20.04 $ 15.81 $ 13.30
======== ======== ======== ======== =======
Total return ............................................... 15.88% 14.13% 29.82% 20.65% 31.06%
======== ======== ======== ======== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ......................... $899,753 $574,843 $252,191 $126,239 $81,210
Ratio of operating expenses to average net assets .......... 0.96% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets ....... 0.40% 0.72% 0.96% 0.99% 1.24%
Portfolio turnover rate .................................... 27% 34% 26% 15% 43%
<FN>
- ------------------
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
</FN>
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
CAPITAL GROWTH SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 12/31/98*#
--------- ------------
<S> <C> <C>
Net asset value, beginning of period .......................... $ 15.62 $ 14.24
-------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ......................................... -- 0.09
Net realized and unrealized gain on investments
and foreign currencies ...................................... 3.96 1.36
-------- --------
Total from investment operations .............................. 3.96 1.45
-------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income .......................... (0.02) (0.07)
Distributions in excess of net investment income .............. (0.01) --
Distributions from capital gains .............................. (1.03) --
-------- --------
Total distributions ........................................... (1.06) (0.07)
-------- --------
Net asset value, end of period ................................ $ 18.52 $ 15.62
======== ========
Total return .................................................. 25.56% 10.19%(DOUBLE DAGGER)
======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .......................... $567,628 $298,839
Ratio of operating expenses to average net assets ............. 1.05% 1.08%(DAGGER)
Ratio of net investment income to average net assets .......... 0.00% 1.86%(DAGGER)
Portfolio turnover rate ....................................... 185% 92%
<FN>
- ------------------
* The Capital Growth Series commenced operations on August 14,
1998.
** Since March 1, 1999, Alliance Capital Management, L.P. has
served as Portfolio Manager for the Capital Growth Series. Prior
to that date, a different firm served as Portfolio Manager.
Prior to July 1, 1999, the Capital Growth Series was named the
Growth & Income Series.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
GROWTH SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 12/31/98*#
--------- -------------
<S> <C> <C>
Net asset value, beginning of period ........................ $ 15.62 $ 13.63
---------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss ......................................... (0.03) (0.03)
Net realized and unrealized gain on investments
and foreign currencies. .................................. 12.23 2.02
---------- --------
Total from investment operations ............................ 12.20 1.99
---------- --------
LESS DISTRIBUTIONS:
Distributions from capital gains ............................ (0.33) --
---------- --------
Net asset value, end of period .............................. $ 27.49 $ 15.62
========== ========
Total return ................................................ 78.13% 14.60%(DOUBLE DAGGER)
========== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........................ $1,416,872 $231,216
Ratio of operating expenses to average net assets ........... 1.04% 1.09%(DAGGER)
Ratio of net investment loss to average net assets .......... (0.40)% (0.58)%(DAGGER)
Portfolio turnover rate ..................................... 116% 88%
<FN>
- ------------------
* The Growth Series commenced operations on August 14, 1998.
** Since March 1, 1999, Janus Capital Corporation has served as
Portfolio Manager for the Growth Series. Prior to that date, a
different firm served as Portfolio Manager. Along with this
change was a name change from the Value + Growth Series to the
Growth Series.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95*
---------- --------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ................... $ 15.88 $ 16.13 $ 13.92 $ 13.18 $ 10.00
-------- -------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .................................. 0.17 0.19 0.16 0.22 0.08
Net realized and unrealized gain/(loss) on investments
and foreign currencies .............................. (0.09) 0.06 3.63 1.18 3.44
-------- -------- ------- ------- -------
Total from investment operations ....................... 0.08 0.25 3.79 1.40 3.52
-------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ................... (0.15) (0.18) (0.18) (0.19) (0.06)
Distributions from capital gains ....................... (0.29) (0.32) (1.40) (0.47) (0.28)
-------- -------- ------- ------- -------
Total distributions .................................... (0.44) (0.50) (1.58) (0.66) (0.34)
-------- -------- ------- ------- -------
Net asset value, end of period ......................... $ 15.52 $ 15.88 $ 16.13 $ 13.92 $ 13.18
======== ======== ======= ======= =======
Total return ........................................... 0.51% 1.55% 27.28% 10.62% 35.21%(DOUBLE
======== ======== ======= ======= ======= DAGGER)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ................... $141,595 $129,784 $80,048 $44,620 $28,830
Ratio of operating expenses to average net assets ...... 0.96% 0.98% 0.99% 1.00% 1.01%(DAGGER)
Ratio of net investment income to average net assets ... 1.11% 1.49% 1.31% 1.80% 1.53%(DAGGER)
Portfolio turnover rate ................................ 62% 124% 128% 131% 86%
<FN>
- ------------------
* The Value Equity Series commenced operations on January 3, 1995.
(DAGGER) Annualized
(DOUBLE DAGGER) Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
RESEARCH SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 12/31/98*#
--------- ------------
<S> <C> <C>
Net asset value, beginning of period ........................................ $ 20.31 $ 17.75
---------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ....................................................... 0.01 0.02
Net realized and unrealized gain on investments and foreign currencies ...... 4.90 2.56
---------- --------
Total from investment operations ............................................ 4.91 2.58
---------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income ........................................ (0.01) (0.01)
Distributions in excess of net investment income ............................ -- (0.01)
Distributions from capital gains ............................................ (0.40) --
---------- --------
Total distributions ......................................................... (0.41) (0.02)
---------- --------
Net asset value, end of period .............................................. $ 24.81 20.31
========== ========
Total return ................................................................ 24.23% 14.54%(DOUBLE DAGGER)
========== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........................................ $1,014,656 $613,771
Ratio of operating expenses to average net assets ........................... 0.91% 0.94%(DAGGER)
Ratio of net investment income to average net assets ........................ 0.02% 0.23%(DAGGER)
Portfolio turnover rate ..................................................... 89% 35%
<FN>
- ------------------
* The Research Series commenced operations on August 14, 1998.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96**# 12/31/95#
--------- --------- --------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ......................... $ 14.19 $ 11.46 $ 11.13 $ 9.96 $ 9.26
-------- -------- -------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ............................... (0.03) (0.02) 0.02 0.04 0.05
Net realized and unrealized gain on investments
and foreign currencies .................................. 8.82 3.37 1.33 1.18 0.65
-------- -------- -------- ------- -------
Total from investment operations ........................... 8.79 3.35 1.35 1.22 0.70
-------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ....................... -- (0.05) (0.17) -- --
Dividends in excess of net investment income ............... -- -- (0.07) -- --
Distributions from capital gains ........................... (3.02) (0.57) (0.78) (0.05) --
-------- -------- -------- ------- -------
Total distributions ........................................ (3.02) (0.62) (1.02) (0.05) --
-------- -------- -------- ------- -------
Net asset value, end of year ............................... $ 19.96 $ 14.19 $ 11.46 $ 11.13 $ 9.96
======== ======== ======== ======= =======
Total return ............................................... 63.30% 29.31% 12.17% 12.27% 7.56%
======== ======== ======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ......................... $184,486 $134,078 $105,305 $86,376 $72,375
Ratio of operating expenses to average net assets .......... 1.25% 1.26% 1.36% 1.26% 1.26%
Decrease reflected in above expense ratio due to
expense limitations ..................................... -- -- -- -- 0.09%
Ratio of net investment income/(loss) to average
net assets .............................................. (0.19)% (0.17)% 0.06% 0.39% 0.51%
Portfolio turnover rate .................................... 168% 173% 199% 141% 44%
<FN>
- ------------------
* Since March 3, 1997, Putnam Investment Management, Inc. has served as
Portfolio Manager of the Series. Prior to that date, different firms served
as Portfolio Manager.
** On September 3, 1996, the Managed Global Account of Separate Account D of
Golden American Life Insurance Company was reorganized into the Trust. Net
investment income and net realized gains earned prior to September 3, 1996
are not subject to Internal Revenue Code distribution requirements for
regulated investment companies. Financial highlights from prior periods
have been restated to account for the entity as if it had been a regulated
investment company since the commencement of operations.
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
</FN>
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
CAPITAL APPRECIATION SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ............................ $ 18.09 $ 17.65 $ 15.06 $ 13.51 $ 11.34
-------- -------- ------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) .................................. (0.01) 0.15 0.16 0.16 0.19
Net realized and unrealized gain on investments
and foreign currencies ..................................... 4.38 2.07 4.19 2.57 3.22
-------- -------- ------- -------- --------
Total from investment operations .............................. 4.37 2.22 4.35 2.73 3.41
-------- -------- ------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income .......................... (0.03) (0.15) (0.16) (0.17) (0.15)
Distributions from capital gains .............................. (2.41) (1.63) (1.60) (1.01) (1.09)
-------- -------- ------- -------- --------
Total distributions ........................................... (2.44) (1.78) (1.76) (1.18) (1.24)
-------- -------- ------- -------- --------
Net asset value, end of year .................................. $ 20.02 $ 18.09 $ 17.65 $ 15.06 $ 13.51
======== ======== ======= ======== ========
Total return .................................................. 24.64% 12.68% 28.95% 20.26% 30.16%
======== ======== ======= ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ............................ $411,898 $263,313 $193,986 $148,752 $122,227
Ratio of operating expenses to average net assets ............. 0.96% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income/(loss) to average net assets ... (0.05)% 0.95% 0.95% 1.12% 1.53%
Portfolio turnover rate ....................................... 126% 64% 51% 64% 98%
<FN>
- ------------------
* Since April 1, 1999 A I M Capital Management, Inc. has served as the
Portfolio Manager for the Capital Appreciation Series. Prior to that date,
a different firm served as Portfolio Manager.
</FN>
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 12/31/98*#
---------- ------------
<S> <C> <C>
Net asset value, beginning of period ............................. $ 18.10 $ 15.68
-------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ..................................... (0.03) 0.01
Net realized and unrealized gain on investments
and foreign currencies ........................................ 14.22 2.52
-------- --------
Total from investment operations ................................. 14.19 2.53
-------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income ............................. -- (0.01)
Distributions from capital gains ................................. (2.70) (0.10)
-------- --------
Total distributions .............................................. (2.70) (0.11)
-------- --------
Net asset value, end of period ................................... $ 29.59 $ 18.10
======== ========
Total return ..................................................... 79.05% 16.12%(DOUBLE DAGGER)
======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............................. $781,807 $252,022
Ratio of operating expenses to average net assets ................ 0.91% 0.95%(DAGGER)
Ratio of net investment income/(loss) to average net assets. ..... (0.21)% 0.15%(DAGGER)
Portfolio turnover rate .......................................... 159% 55%
<FN>
- ------------------
* The Mid-Cap Growth Series commenced operations on August 14,
1998.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
ALL-GROWTH SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ........................... $ 14.99 $ 13.77 $ 13.39 $ 13.78 $ 11.86
-------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ................................. (0.11) (0.07) (0.06) 0.14 0.18
Net realized and unrealized gain/(loss) on investments
and foreign currencies .................................... 16.20 1.38 0.84 (0.23) 2.47
-------- ------- ------- ------- -------
Total from investment operations ............................. 16.09 1.31 0.78 (0.09) 2.65
-------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ......................... -- -- (0.03) (0.14) (0.14)
Distributions from capital gains ............................. (5.92) (0.09) (0.37) (0.16) (0.59)
-------- ------- ------- ------- -------
Total distributions .......................................... (5.92) (0.09) (0.40) (0.30) (0.73)
-------- ------- ------- ------- -------
Net asset value, end of year ................................. $ 25.16 $ 14.99 $ 13.77 $ 13.39 $ 13.78
======== ======= ======= ======= =======
Total return ................................................. 109.93% 9.52% 5.87% (0.57)% 22.42%
======== ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ........................... $150,698 $83,930 $73,856 $78,750 $93,198
Ratio of operating expenses to average net assets ............ 0.96% 0.99% 0.99% 1.00% 1.01%
Ratio of net investment income/(loss) to average net assets .. (0.61)% (0.51)% (0.47)% 0.86% 1.42%
Portfolio turnover rate ...................................... 325% 229% 325% 118% 81%
<FN>
- ------------------
* 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.
</FN>
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 12/31/98 *#
---------- ------------
<S> <C> <C>
Net asset value, beginning of period ....................................... $ 9.71 $10.00
------- ------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ...................................................... 0.03 0.08
Net realized and unrealized gain/(loss) on investments
and foreign currencies .................................................. 1.89 (0.31)
------- ------
Total from investment operations. .......................................... 1.92 (0.23)
------- ------
LESS DISTRIBUTIONS:
Dividends from net investment income ....................................... (0.04) (0.06)
Distributions from capital gains ........................................... (0.45) --
------- ------
Total distributions ........................................................ (0.49) (0.06)
------- ------
Net asset value, end of period ............................................. $ 11.14 $ 9.71
======= ======
Total return ............................................................... 20.13% (2.28)%(DOUBLE DAGGER)
======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ....................................... $12,781 $9,091
Ratio of operating expenses to average net assets .......................... 1.05% 1.15%(DAGGER)
Ratio of net investment income to average net assets ....................... 0.36% 0.99%(DAGGER)
Portfolio turnover rate .................................................... 76% 77%
<FN>
- ------------------
* The Growth Opportunities Series commenced operations on February
18, 1998.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96## 12/31/95*
---------- ---------- ---------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ............ $ 12.82 $ 13.63 $ 11.68 $ 10.01 $10.00
-------- ------- ------- ------- ------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) .................... (0.03) 0.16 0.20 0.23 0.06
Net realized and unrealized gain/(loss)
on investments and foreign currencies ........ 7.24 (0.07) 2.49 1.71 (0.03)#
-------- ------- ------- ------- ------
Total from investment operations ................ 7.21 0.09 2.69 1.94 0.03
-------- ------- ------- ------- ------
LESS DISTRIBUTIONS:
Dividends from net investment income ............ (0.02) (0.16) (0.19) (0.14) (0.02)
Distributions from capital gains ................ (0.06) (0.59) (0.55) (0.13) --
Distributions in excess of capital gains ........ -- (0.15) -- -- --
-------- ------- ------- ------- ------
Total distributions ............................. (0.08) (0.90) (0.74) (0.27) (0.02)
-------- ------- ------- ------- ------
Net asset value, end of period .................. $ 19.95 $ 12.82 $ 13.63 $ 11.68 $10.01
======== ======= ======= ======= ======
Total return .................................... 56.24% 0.84% 23.16% 19.39% 0.33%(DOUBLE DAGGER)
======== ======= ======= ======= ======
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............ $205,799 $73,261 $51,789 $30,423 $8,067
Ratio of operating expenses to
average net assets ........................... 0.96% 0.99% 0.99% 1.00% 1.00%(DAGGER)
Ratio of net investment income/(loss) to
average net assets ........................... (0.14)% 1.46% 1.88% 2.05% 4.04%(DAGGER)
Portfolio turnover rate ......................... 176% 139% 105% 133% 29%
<FN>
- ------------------
* The Strategic Equity Series commenced operations on October 2,
1995.
** Since March 1, 1999 A I M Capital Management, Inc. has served as
Portfolio Manager for the Strategic Equity Series. Prior to that
date, a different firm served as Portfolio Manager.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
SMALL CAP SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96*
---------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Net asset value, beginning of period .................... $ 16.03 $ 13.25 $ 12.01 $ 10.00
-------- -------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss ..................................... (0.07) (0.03) (0.03) (0.01)
Net realized and unrealized gain on investments
and foreign currencies ............................... 8.17 2.81 1.27 2.02
-------- -------- ------- -------
Total from investment operations ........................ 8.10 2.78 1.24 2.01
-------- -------- ------- -------
LESS DISTRIBUTIONS:
Distributions from capital gains ........................ (0.69) -- -- --
-------- -------- ------- -------
Net asset value, end of period .......................... $ 23.44 $ 16.03 $ 13.25 $ 12.01
======== ======== ======= =======
Total return ............................................ 50.61% 20.98% 10.32% 20.10%(DOUBLE DAGGER)
======== ======== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .................... $367,637 $147,696 $66,396 $34,365
Ratio of operating expenses to average net assets ....... 0.96% 0.99% 0.99% 0.99%(DAGGER)
Ratio of net investment loss to average net assets ...... (0.49)% (0.32)% (0.34)% (0.08)%(DAGGER)
Portfolio turnover rate ................................. 132% 133% 130% 117%
<FN>
- ------------------
* The Small Cap Series commenced operations on January 3, 1996.
(DAGGER) Annualized
(DOUBLE DAGGER) Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
REAL ESTATE SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .......................... $ 13.58 $ 18.27 $ 15.98 $ 12.63 $ 11.29
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ....................................... 0.84 0.83 0.69 0.70 0.75
Net realized and unrealized gain/(loss) on investments
and foreign currencies ................................... (1.39) (3.34) 2.93 3.70 1.12
------- ------- ------- ------- -------
Total from investment operations ............................ (0.55) (2.51) 3.62 4.40 1.87
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ........................ (0.54) (0.66) (0.63) (0.77) (0.53)
Distributions from capital gains ............................ (0.37) (1.52) (0.70) (0.28) --
------- ------- ------- ------- -------
Total distributions ......................................... (0.91) (2.18) (1.33) (1.05) (0.53)
------- ------- ------- ------- -------
Net asset value, end of year ................................ $ 12.12 $ 13.58 $ 18.27 $ 15.98 $ 12.63
======= ======= ======= ======= =======
Total return ................................................ (3.81)% (13.45)% 22.79% 35.30% 16.59%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) .......................... $56,906 $69,911 $75,530 $51,135 $34,975
Ratio of operating expenses to average net assets ........... 0.96% 0.99% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets ........ 5.61% 5.26% 4.49% 5.53% 5.79%
Portfolio turnover rate ..................................... 36% 29% 41% 31% 53%
<FN>
- ------------------
* Since January 1, 1995, EII Realty Securities, Inc. has served as Portfolio
Manager for the Real Estate Series. Prior to that date, a different firm
served as Portfolio Manager.
</FN>
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
HARD ASSETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .......................... $ 9.60 $ 15.05 $ 17.85 $ 15.04 $ 13.88
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ....................................... 0.12 0.26 0.14 0.05 0.15
Net realized and unrealized gain/(loss) on investments
and foreign currencies ................................... 2.12 (4.73) 0.99 4.92 1.34
------- ------- ------- ------- -------
Total from investment operations ............................ 2.24 (4.47) 1.13 4.97 1.49
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ........................ (0.08) (0.26) (0.13) (0.07) (0.13)
Distributions from capital gains ............................ -- (0.72) (3.80) (2.09) (0.20)
------- ------- ------- ------- -------
Total distributions ......................................... (0.08) (0.98) (3.93) (2.16) (0.33)
------- ------- ------- ------- -------
Net asset value, end of year ................................ $ 11.76 $ 9.60 $ 15.05 $ 17.85 $ 15.04
======= ======= ======= ======== =======
Total return ................................................ 23.36% (29.58)% 6.22% 33.17% 10.69%
======= ======= ======= ======== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) .......................... $40,291 $30,530 $46,229 $43,903 $27,147
Ratio of operating expenses to average net assets ........... 0.96% 1.00% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets ........ 1.07% 1.99% 0.76% 0.34% 0.89%
Portfolio turnover rate ..................................... 204% 178% 124% 96% 24%
<FN>
- ------------------
* Prior to January 23, 1997, the Hard Assets Series was named the Natural
Resources Series. Since March 1, 1999, Baring International Investment
Limited has served as Portfolio Manager for the Hard Assets Series. Prior
to that date, a different firm served as Portfolio Manager.
</FN>
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/99 # 12/31/98 *#
---------- -------------
<S> <C> <C>
Net asset value, beginning of period ......................... $ 7.37 $10.00
------- ------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ................................. 0.08 0.04
Net realized and unrealized gain/(loss) on investments
and foreign currencies .................................... 4.44 (2.67)
------- ------
Total from investment operations ............................. 4.52 (2.63)
------- ------
LESS DISTRIBUTIONS:
Dividends from net investment income ......................... (0.10) --
Distributions in excess of net investment income ............. (0.03) --
Distributions from capital gains ............................. (0.20) --
------- ------
Total distributions .......................................... (0.33) --
------- ------
Net asset value, end of period ............................... $ 11.56 $ 7.37
======= ======
Total return ................................................. 61.66% (26.27)%(DOUBLE DAGGER)
======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ......................... $62,616 $8,797
Ratio of operating expenses to average net assets ............ 1.75% 1.83%(DAGGER)
Ratio of net investment income to average net assets ......... 0.85% 0.69%(DAGGER)
Portfolio turnover rate ...................................... 135% 67%
<FN>
- ------------------
* The Developing World Series commenced operations on February 18,
1998.
** Since March 1, 1999, Baring International Investment Limited has
served as Portfolio Manager for the Developing World Series.
Prior to that date, a different firm served as Portfolio
Manager.
(DAGGER) Annualized
(DOUBLE DAGGER) 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.
</FN>
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99# 12/31/98 12/31/97 12/31/96 12/31/95
----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ............................... $ 6.68 $ 8.80 $ 9.72 $ 9.06 $ 10.08
------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ..................................... 0.07 0.06 (0.01) 0.04 0.04
Net realized and unrealized gain/(loss) on investments
and foreign currencies ........................................ 5.62 (2.18) (0.90) 0.62 (1.06)
------- ------- ------- ------- -------
Total from investment operations ................................. 5.69 (2.12) (0.91) 0.66 (1.02)
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ............................. (0.08) -- (0.01) -- --
Distributions in excess of net investment income ................. (0.01) -- -- -- --
Return of capital ................................................ (0.03) -- -- -- --
------- ------- ------- ------- -------
Total distributions .............................................. (0.12) -- (0.01) -- --
------- ------- ------- ------- -------
Net asset value, end of year ..................................... $ 12.25 $ 6.68 $ 8.80 $ 9.72 $ 9.06
======= ======= ======= ======= =======
Total return ..................................................... 85.30% (24.09)% (9.37)% 7.28% (10.11)%
======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ............................... $44,949 $26,028 $39,436 $51,510 $47,974
Ratio of operating expenses to average net assets ................ 1.75% 1.83% 1.80% 1.55% 1.53%
Ratio of net investment income/(loss) to average
net assets .................................................... 0.82% 0.83% (0.09)% 0.38% 0.40%
Portfolio turnover rate .......................................... 183% 108% 170% 136% 141%
<FN>
- ------------------
* 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.
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period.
</FN>
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
THE GCG TRUST
MARKET MANAGER SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ........................ $19.62 $16.47 $13.22 $12.03 $10.02
------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ..................................... 0.34 0.32 0.36 0.46 0.37
Net realized and unrealized gain on investments and
foreign currencies ..................................... 2.82 3.69 4.11 1.89 2.06
------ ------ ------ ------ ------
Total from investment operations .......................... 3.16 4.01 4.47 2.35 2.43
------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income ...................... (0.34) (0.32) (0.36) (0.46) (0.37)
Distributions from capital gains .......................... (3.04) (0.54) (0.86) (0.70) (0.05)
------ ------ ------ ------ ------
Total distributions ....................................... (3.38) (0.86) (1.22) (1.16) (0.42)
------ ------ ------ ------ ------
Net asset value, end of year .............................. $19.40 $19.62 $16.47 $13.22 $12.03
====== ====== ====== ====== ======
Total return .............................................. 16.59% 24.55% 33.82% 19.40% 24.33%
====== ====== ====== ====== ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's) ........................ $7,319 $8,139 $6,791 $5,585 $5,952
Ratio of operating expenses to average net assets ......... 1.00% 1.01% 1.01% 1.02% 0.89%
Decrease reflected in above expense ratio due
to expense limitations ................................. -- -- -- -- 0.13%
Ratio of net investment income to average net assets ...... 1.57% 1.78% 2.19% 3.06% 3.42%
Portfolio turnover rate ................................... -- -- -- -- 5%
<FN>
- ------------------
* 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.
</FN>
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
LIQUID ASSET SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
CORPORATE DEBT SECURITIES -- 9.9%
COMMUNICATIONS -- 1.6%
AT&T Corporation:
$ 4,000,000 8.250% due 01/11/2000 ........................... $ 4,002,249
5,000,000 6.136%(DAGGER)(DAGGER) due 07/13/2000 ........... 4,998,940
------------
9,001,189
------------
DEPOSITORY INSTITUTIONS -- 2.9%
6,000,000 Abbey National North America,
5.990% due 03/03/2000 ........................... 6,000,000
6,000,000 Bank One Corporation,
6.158% due 10/20/2000 ........................... 5,995,677
5,000,000 NorWest Corporation,
6.000% due 03/15/2000 ........................... 5,000,684
------------
16,996,361
------------
FOOD AND KINDRED PRODUCTS -- 0.8%
4,500,000 Anheuser-Busch Companies,
6.363%(DAGGER)(DAGGER) due 06/16/2000 ........... 4,498,167
------------
MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS -- 1.4%
3,000,000 International Business Machines
Credit Corporation,
5.898% due 08/07/2000 ........................... 2,999,070
Xerox Credit Corporation:
2,000,000 5.113% due 03/21/2000 ........................... 1,999,844
3,300,000 5.635% due 07/14/2000 ........................... 3,298,905
------------
8,297,819
------------
PERSONAL CREDIT INSTITUTIONS -- 2.5%
4,400,000 American General Finance Corporation,
6.125% due 09/15/2000 ........................... 4,397,035
3,000,000 Chrysler Financial Corporation,
5.850% due 05/15/2000 ........................... 3,008,122
Ford Motor Credit Corporation:
3,000,000 8.375% due 01/15/2000 ........................... 3,002,425
4,000,000 6.038%(DAGGER)(DAGGER) due 08/18/2000 ........... 3,997,964
------------
14,405,546
------------
SECURITY BROKERS -- 0.7%
2,000,000 Goldman Sachs Group, Inc.,
5.400% due 02/25/2000 ........................... 2,000,000
2,000,000 Merrill Lynch & Company, Inc.,
6.470% due 02/15/2000 ........................... 2,001,123
------------
4,001,123
------------
Total Corporate Debt Securities
(Cost $57,200,205) .............................. 57,200,205
------------
COMMERCIAL PAPER -- 87.4%
AGRICULTURAL PRODUCTS -- 0.8%
4,500,000 Cargill, Inc.,
5.637%(DOUBLE DAGGER) due 01/20/2000 ............ 4,487,175
------------
ASSET BACKED SECURITIES -- 14.1%
AIG Funding, Inc.:
6,000,000 5.991%(DOUBLE DAGGER) due 01/31/2000 ............ 5,970,900
2,490,000 6.191%(DOUBLE DAGGER) due 02/29/2000 ............ 2,465,393
3,763,158 ANRC Auto Owner Trust,
6.166% due 10/16/2000 ........................... 3,763,158
3,598,097 Carmax Auto Owner Trust,
6.203% due 11/15/2000 ........................... 3,598,097
703,462 Caterpillar Financial Asset Trust,
5.365% due 07/25/2000 ........................... 703,462
Ciesco LP:
6,000,000 6.110%(DOUBLE DAGGER) due 01/25/2000 ............ 5,976,120
6,000,000 6.110%(DOUBLE DAGGER) due 02/09/2000 ............ 5,961,325
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
ASSET BACKED SECURITIES -- (CONTINUED)
Corporate Asset Funding Company:
$ 6,000,000 6.483%(DOUBLE DAGGER) due 01/14/2000 ............ $ 5,986,198
4,000,000 6.202%(DAGGER)(DAGGER) due 01/18/2000 ........... 4,000,000
4,000,000 6.633%(DOUBLE DAGGER) due 01/21/2000 ............ 3,985,556
4,000,000 5.965%(DOUBLE DAGGER) due 01/24/2000 ............ 3,985,306
6,000,000 6.046%(DOUBLE DAGGER) due 01/26/2000 ............ 5,975,417
Delaware Funding Corporation:
7,000,000 6.274%(DOUBLE DAGGER) due 01/10/2000 ............ 6,989,290
5,000,000 6.089%(DOUBLE DAGGER) due 01/14/2000 ............ 4,989,293
4,000,000 5.703%(DOUBLE DAGGER) due 01/25/2000 ............ 3,985,440
2,363,000 6.093%(DOUBLE DAGGER) due 01/27/2000 ............ 2,352,965
3,984,000 6.056%(DOUBLE DAGGER) due 02/18/2000 ............ 3,952,659
6,000,000 Heller Equipment Asset
Receivables Trust,
6.129% due 01/06/2001 ........................... 6,000,000
1,214,564 Toyota Auto Recreation,
5.365% due 07/17/2000 ........................... 1,214,564
------------
81,855,143
------------
CHEMICALS AND ALLIED PRODUCTS -- 8.1%
American Home Products Corporation:
5,000,000 5.608%(DOUBLE DAGGER) due 01/26/2000 ............ 4,981,354
4,905,000 7.700% due 02/15/2000 ........................... 4,916,805
6,000,000 6.536%(DAGGER)(DAGGER) due 04/20/2000 ........... 5,999,820
15,000,000 Gillette Company,
6.787%(DOUBLE DAGGER) due 01/04/2000 ............ 14,991,687
Proctor and Gamble Company:
6,000,000 5.940%(DOUBLE DAGGER) due 01/25/2000 ............ 5,976,800
4,000,000 6.009%(DOUBLE DAGGER) due 02/17/2000 ............ 3,969,450
6,000,000 5.960%(DOUBLE DAGGER) due 02/22/2000 ............ 5,949,907
------------
46,785,823
------------
COMMUNICATIONS -- 0.5%
3,000,000 BellSouth Corporation,
5.846%(DOUBLE DAGGER) due 02/09/2000 ............ 2,981,735
------------
CONSTRUCTION MACHINERY AND EQUIPMENT -- 1.0%
Caterpillar Financial Services Corporation:
3,000,000 5.890%(DOUBLE DAGGER) due 01/27/2000 ............ 2,987,715
3,000,000 5.780%(DOUBLE DAGGER) due 03/01/2000 ............ 3,000,041
------------
5,987,756
------------
DEPOSITORY INSTITUTIONS -- 16.8%
Abbey National North America:
6,000,000 5.653%(DOUBLE DAGGER) due 02/25/2000 ............ 5,946,650
6,000,000 6.067%(DOUBLE DAGGER) due 03/06/2000 ............ 5,936,083
Bank One Corporation:
4,000,000 5.872%(DOUBLE DAGGER) due 02/08/2000 ............ 3,976,144
6,000,000 6.000%(DOUBLE DAGGER) due 02/24/2000 ............ 5,947,440
5,566,000 Deutsche Bank Financial,
5.610%(DOUBLE DAGGER) due 01/13/2000 ............ 5,555,666
70,334,000 UBS Finance, Ltd.,
4.869%(DOUBLE DAGGER) due 01/03/2000 ............ 70,318,717
------------
97,680,700
------------
ELECTRIC, GAS AND SANITARY SERVICES -- 4.1%
6,000,000 Consolidated Natural Gas,
6.193%(DOUBLE DAGGER) due 01/10/2000 ............ 5,990,850
Florida Power Corporation:
5,000,000 5.959%(DOUBLE DAGGER) due 01/11/2000 ............ 4,991,875
6,000,000 6.070%(DOUBLE DAGGER) due 01/13/2000 ............ 5,988,080
7,000,000 6.287%(DOUBLE DAGGER) due 02/07/2000 ............ 6,955,754
------------
23,926,559
------------
See Notes to Financial Statements.
65
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
LIQUID ASSET SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
COMMERCIAL PAPER -- (CONTINUED)
ELECTRONICS AND OTHER ELECTRIC EQUIPMENT -- 2.1%
Lucent Technologies, Inc.:
$ 3,000,000 5.174%(DOUBLE DAGGER) due 02/03/2000 ............ $ 2,986,497
2,000,000 5.307%(DOUBLE DAGGER) due 02/09/2000 ............ 1,989,080
7,000,000 5.940%(DOUBLE DAGGER) due 02/23/2000 ............ 6,940,743
------------
11,916,320
------------
FOOD AND KINDRED PRODUCTS -- 1.4%
4,000,000 Archer-Daniels-Midland Company,
5.591%(DOUBLE DAGGER) due 01/18/2000 ............ 3,989,876
2,072,000 Coca-Cola Company,
5.502%(DOUBLE DAGGER) due 01/31/2000 ............ 2,062,900
2,000,000 General Mills, Inc.,
5.292%(DOUBLE DAGGER) due 02/16/2000 ............ 1,987,171
------------
8,039,947
------------
INSTRUMENTS AND RELATED PRODUCTS -- 1.4%
Eastman Kodak:
3,000,000 6.020%(DOUBLE DAGGER) due 01/20/2000 ............ 2,990,753
5,000,000 5.875%(DOUBLE DAGGER) due 01/21/2000 ............ 4,984,250
------------
7,975,003
------------
MISCELLANEOUS MANUFACTURING INDUSTRIES -- 2.4%
14,000,000 Hasbro, Inc.,
4.871%(DOUBLE DAGGER) due 01/06/2000 ............ 13,990,278
------------
PERSONAL CREDIT INSTITUTIONS -- 18.8%
10,000,000 American Express Credit Corporation,
6.396%(DOUBLE DAGGER) due 01/04/2000 ............ 9,994,583
American General Finance Corporation:
6,000,000 6.187%(DOUBLE DAGGER) due 02/08/2000 ............ 5,961,810
4,000,000 6.076%(DOUBLE DAGGER) due 02/29/2000 ............ 3,961,257
6,000,000 6.214%(DOUBLE DAGGER) due 03/08/2000 ............ 5,932,665
Associates Corporation North America:
5,000,000 5.865%(DOUBLE DAGGER) due 01/12/2000 ............ 4,991,337
3,000,000 5.735%(DOUBLE DAGGER) due 01/31/2000 ............ 2,986,250
10,000,000 6.249%(DOUBLE DAGGER) due 02/18/2000 ............ 9,918,667
10,000,000 Ford Motor Credit Corporation:
6.650%(DOUBLE DAGGER) due 01/07/2000 ............ 9,989,000
General Electric Capital Corporation:
436,000 6.568%(DOUBLE DAGGER) due 01/21/2000 ............ 434,438
3,000,000 5.768%(DOUBLE DAGGER) due 02/09/2000 ............ 2,982,027
4,000,000 5.939%(DOUBLE DAGGER) due 02/10/2000 ............ 3,974,578
3,000,000 6.026%(DOUBLE DAGGER) due 02/11/2000 ............ 2,980,047
6,000,000 6.053%(DOUBLE DAGGER) due 02/23/2000 ............ 5,947,883
General Motors Acceptance Corporation:
4,000,000 6.579%(DOUBLE DAGGER) due 01/18/2000 ............ 3,987,911
5,000,000 6.353%(DOUBLE DAGGER) due 02/03/2000 ............ 4,971,492
10,000,000 6.067%(DOUBLE DAGGER) due 02/07/2000 ............ 9,939,875
6,000,000 Household Finance Corporation,
5.912%(DOUBLE DAGGER) due 01/28/2000 ............ 5,974,260
8,000,000 John Deere Capital Corporation,
6.554%(DOUBLE DAGGER) due 01/05/2000 ............ 7,994,347
6,000,000 Transamerica Financial Corporation,
6.127%(DOUBLE DAGGER) due 02/25/2000 ............ 5,945,917
------------
108,868,344
------------
PETROLEUM AND COAL PRODUCTS -- 1.7%
10,000,000 Exxon Asset Management,
6.512%(DOUBLE DAGGER) due 01/21/2000 ............ 9,964,444
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
SECURITY BROKERS -- 12.2%
$ 5,000,000 Credit Suisse First Boston,
6.003%(DOUBLE DAGGER) due 02/16/2000 ............ $ 4,963,264
Goldman Sachs Group, Inc.:
4,000,000 5.579%(DOUBLE DAGGER) due 01/19/2000 ............ 3,989,300
6,000,000 6.567%(DOUBLE DAGGER) due 01/28/2000 ............ 5,971,200
7,000,000 6.180%(DOUBLE DAGGER) due 02/11/2000 ............ 6,952,406
Merrill Lynch & Company, Inc.:
6,000,000 6.013%(DOUBLE DAGGER) due 02/01/2000 ............ 5,969,775
3,967,000 5.451%(DOUBLE DAGGER) due 02/02/2000 ............ 3,949,401
3,996,000 6.375%(DOUBLE DAGGER) due 02/11/2000 ............ 3,967,784
Morgan Stanley Dean Witter & Company:
6,000,000 6.098%(DOUBLE DAGGER) due 01/19/2000 ............ 5,982,240
6,000,000 6.089%(DOUBLE DAGGER) due 02/09/2000 ............ 5,961,325
Salomon-Smith Barney Holdings:
6,000,000 6.110%(DOUBLE DAGGER) due 01/20/2000 ............ 5,981,000
6,000,000 6.007%(DOUBLE DAGGER) due 01/24/2000 ............ 5,977,537
6,000,000 5.959%(DOUBLE DAGGER) due 02/02/2000 ............ 5,968,907
5,000,000 5.981%(DOUBLE DAGGER) due 02/04/2000 ............ 4,972,753
------------
70,606,892
------------
TRANSPORTATION EQUIPMENT -- 2.0%
DaimlerChrysler North America
Holding Corporation:
4,000,000 5.599%(DOUBLE DAGGER) due 01/26/2000 ............ 3,985,111
4,000,000 6.107%(DOUBLE DAGGER) due 01/31/2000 ............ 3,980,267
4,000,000 5.955%(DOUBLE DAGGER) due 02/07/2000 ............ 3,976,484
------------
11,941,862
------------
Total Commercial Paper
(Cost $507,007,981) ............................. 507,007,981
------------
U.S. GOVERNMENT AGENCY NOTES -- 3.0%
FEDERAL FARM CREDIT BANK -- 0.3%
1,500,000 5.020% due 03/01/2000 ............................ 1,499,929
------------
FEDERAL HOME LOAN BANK -- 1.2%
1,000,000 4.915% due 01/13/2000 ............................ 1,000,008
2,000,000 5.100% due 03/03/2000 ............................ 1,999,850
4,000,000 5.260% due 05/26/2000 ............................ 3,999,846
------------
6,999,704
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 1.5%
4,000,000 4.980% due 04/20/2000 ............................ 3,999,651
5,000,000 5.620% due 08/09/2000 ............................ 4,998,490
------------
8,998,141
------------
Total U.S. Government Agency Notes
(Cost $17,497,774) .............................. 17,497,774
------------
TOTAL INVESTMENTS (COST $581,705,960*) ............... 100.3% 581,705,960
OTHER ASSETS AND LIABILITIES (NET) ................... (0.3) (1,857,688)
------ ------------
NET ASSETS ........................................... 100.0% $579,848,272
====== ============
- -----------------------------
* Aggregate cost for Federal tax purposes.
(DOUBLE DAGGER) Annualized yield at date of purchase.
(DAGGER)(DAGGER) Variable Rate Note. Rate shown is in effect as of 12/31/99.
See Notes to Financial Statements.
66
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
CORPORATE BONDS -- 40.6%
AEROSPACE/DEFENSE -- 1.4%
$ 3,000,000 Raytheon Company,
5.700% due 11/01/2003 ............................ $ 2,817,473
------------
FINANCE, INSURANCE AND REAL ESTATE -- 14.0%
2,000,000 AT&T Capital Corporation,
6.875% due 01/16/2001 ............................ 1,998,166
3,000,000 Capital One Bank,
6.375% due 02/15/2003 ............................ 2,893,811
3,000,000 Ford Motor Credit Company,
6.446%(DOUBLE DAGGER)(DOUBLE DAGGER) due 07/16/2002 3,008,273
2,850,000 HRPT Properties Trust,
6.875% due 08/26/2002 ............................ 2,748,562
2,000,000 Lehman Brothers Holdings, Inc.,
6.375% due 03/15/2001 ............................ 1,982,736
3,000,000 Marsh and Mclennan Companies, Inc.,
6.625% due 06/15/2004 ............................ 2,931,777
1,500,000 Northern Trust Capital I,
6.697%(DOUBLE DAGGER)(DOUBLE DAGGER) due 01/15/2027 1,439,646
Paine Webber Group, Inc.:
350,000 6.746% due 07/24/2003 ............................ 351,270
3,000,000 6.375% due 05/15/2004 ............................ 2,855,691
3,000,000 PNC Funding Corporation,
7.000% due 09/01/2004 ............................ 2,954,421
3,000,000 Simon Property Group, Inc.,
6.750% due 02/09/2004 ............................ 2,843,511
3,000,000 Wells Fargo Company,
6.625% due 07/15/2004 ............................ 2,937,075
------------
28,944,939
------------
FOOD AND BEVERAGES -- 1.4%
3,000,000 Joseph E. Seagrams and Sons, Inc.,
6.250% due 12/15/2001 ............................ 2,938,641
------------
MANUFACTURING -- 5.2%
2,000,000 Caterpillar Financial Services Corporation,
6.875% due 08/01/2004 ............................ 1,964,300
3,000,000 DaimlerChrysler North America
Holding Corporation,
6.371%(DOUBLE DAGGER)(DOUBLE DAGGER) due 08/23/2002 3,007,238
3,000,000 R.J. Reynolds Tobacco Holdings, Inc.,
7.375% due 05/15/2003 ............................ 2,876,250
3,000,000 Tyco International Group S.A.,
6.875% due 09/05/2002** .......................... 2,954,613
------------
10,802,401
------------
MINING -- 1.7%
3,500,000 Phelps Dodge Corporation,
9.875% due 06/13/2001 ............................ 3,610,463
------------
OIL AND GAS -- 4.1%
3,680,000 El Paso Natural Gas Corporation,
6.750% due 11/15/2003 ............................ 3,585,037
3,000,000 Kinder Morgan, Inc.,
6.450% due 11/30/2001 ............................ 2,963,499
2,000,000 The Williams Companies, Inc.,
6.500% due 11/15/2002 ............................ 1,960,250
------------
8,508,786
------------
RETAIL -- 1.9%
1,000,000 The Kroger Company,
6.340% due 06/01/2001 ............................ 990,158
3,000,000 Saks, Inc.,
7.000% due 07/15/2004 ............................ 2,841,869
------------
3,832,027
------------
SERVICES -- 1.4%
3,000,000 Comdisco, Inc.,
5.950% due 04/30/2002 ............................ 2,891,631
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
TELECOMMUNICATIONS -- 6.7%
$ 3,000,000 Cox Communications, Inc.,
6.670%(DOUBLE DAGGER)(DOUBLE DAGGER) due 08/15/2000 $ 2,998,350
3,000,000 Jones Intercable, Inc.,
8.875% due 04/01/2007 ............................ 3,076,854
3,000,000 Sprint Capital Corporation,
5.875% due 05/01/2004 ............................ 2,847,516
2,000,000 Telecomunicaciones de Puerto Rico,
6.150% due 05/15/2002 ............................ 1,949,872
3,000,000 United States West Capital Funding, Inc.,
6.875% due 08/15/2001** .......................... 2,990,919
------------
13,863,511
------------
UTILITIES -- 1.4%
3,000,000 Alabama Power Company,
7.125% due 08/15/2004 ............................ 2,982,944
------------
WASTE MANAGEMENT -- 1.4%
3,000,000 Waste Management, Inc.,
7.125% due 06/15/2001 ............................ 2,908,077
------------
Total Corporate Bonds
(Cost $85,808,240) ............................... 84,100,893
------------
YANKEE BONDS -- U.S. DOLLAR DENOMINATED -- 1.9%
1,000,000 Hercules, Inc.,
6.150% due 08/01/2000 ............................ 992,341
3,000,000 Petroleum Geo-Services, ASA,
6.250% due 11/19/2003 ............................ 2,858,669
------------
Total Yankee Bonds -- U.S. Dollar
Denominated (Cost $3,871,812) .................... 3,851,010
------------
ASSET BACKED SECURITIES -- 9.3%
2,000,000 Anrc Auto Owner Trust,
6.750% due 12/15/2003 ............................ 1,990,610
3,000,000 Banc One Home Equity Trust,
6.690% due 06/25/2029 ............................ 2,971,815
2,515,054 Coast-Plymouth Tax Lein Capital, LLC,
6.950% due 11/15/2004** .......................... 2,496,584
2,000,000 Garanti Trade Payment Rights Master Trust,
10.810% due 06/15/2004** ......................... 1,994,218
2,000,000 Green Tree Home Equity Loan Trust,
5.980% due 04/15/2018 ............................ 1,959,405
777,121 Green Tree Lease Finance,
5.550% due 12/20/2000 ............................ 776,775
2,000,000 Honda Auto Lease Trust,
6.650% due 07/15/2005 ............................ 1,985,860
2,000,000 Onyx Acceptance Owner Trust,
6.820% due 11/15/2003 ............................ 2,001,630
3,000,000 Provident Auto Lease Trust,
6.555% due 08/14/2001** .......................... 2,988,750
------------
Total Asset Backed Securities
(Cost $19,290,063) ............................... 19,165,647
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.7%
FEDERAL HOME LOAN BANK (FHLB) -- 1.0%
2,000,000 5.125% due 02/26/2002 ............................. 1,942,500
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.5%
200,637 Pool #E65976
6.500% due 04/01/2011 ............................ 194,804
212,891 Pool #E65441
7.500% due 04/01/2011 ............................ 214,620
5,025 Pool #350042
6.250% due 01/01/2017 ............................ 5,088
92,544 Pool #846224
6.533% due 07/01/2024 ............................ 93,064
176,516 Pool #C00374
9.000% due 09/01/2024 ............................ 183,852
See Notes to Financial Statements.
67
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- (CONTINUED)
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- (CONTINUED)
$ 215,243 Pool #D58465
9.000% due 01/01/2025 ............................ $ 224,188
163,923 Pool #C80428
8.000% due 09/01/2026 ............................ 165,613
------------
1,081,229
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (GOLD)
(FGLMC) -- 1.4%
423,928 Pool #E20197
7.000% due 10/01/2010 ............................ 419,553
468,684 Pool #E61721
6.500% due 11/01/2010 ............................ 455,060
531,280 Pool #G10555
6.000% due 06/01/2011 ............................ 505,045
426,940 Pool #E00543
6.000% due 03/01/2013 ............................ 405,858
377,395 Pool #E00538
6.500% due 03/01/2013 ............................ 366,424
856,784 Pool #E70003
6.000% due 04/01/2013 ............................ 814,475
------------
2,966,415
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 2.4%
1,000,000 6.800% due 01/10/2003 ............................ 1,003,521
50,923 Pool #703550
8.500% due 03/01/2004 ............................ 52,546
3,954 Pool #440260
8.500% due 08/01/2006 ............................ 4,080
96,265 Pool #127336
8.500% due 08/01/2006 ............................ 99,332
242,045 Pool #341094
6.500% due 04/01/2011 ............................ 235,009
271,304 Pool #344243
6.500% due 04/01/2011 ............................ 263,417
607,858 Pool #414154
6.000% due 02/01/2013 ............................ 577,271
852,762 Pool #425895
6.000% due 04/01/2013 ............................ 809,851
594,293 Pool #379881
6.500% due 04/01/2013 ............................ 577,017
609,883 Pool #419878
6.500% due 04/01/2013 ............................ 592,153
90,897 Pool #103363
7.820% due 12/01/2017 ............................ 93,227
231,294 Pool #299481
8.000% due 04/01/2025 ............................ 233,172
25,934 Pool #332150
8.500% due 12/01/2025 ............................ 26,598
456,616 Pool #397498
7.500% due 08/01/2027 ............................ 451,762
------------
5,018,956
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 1.4%
147,761 Pool #351992
6.000% due 12/15/2008 ............................ 140,049
132,762 Pool #368358
6.000% due 01/15/2009 ............................ 125,833
353,959 Pool #430587
6.500% due 02/15/2013 ............................ 343,450
806,801 Pool #456797
6.000% due 04/15/2013 ............................ 764,694
4,968 Pool #147899
10.000% due 02/15/2016 ........................... 5,393
4,975 Pool #161670
9.500% due 09/15/2016 ............................ 5,301
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- (CONTINUED)
$ 380,063 Pool #192568
8.000% due 05/15/2017 ............................ $ 384,099
116,493 Pool #223830
8.000% due 06/15/2017 ............................ 117,730
56,128 Pool #229269
8.000% due 07/15/2017 ............................ 56,724
12,931 Pool #284666
9.500% due 03/15/2020 ............................ 13,780
18,036 Pool #286024
10.000% due 04/15/2020 ........................... 19,580
98,716 Pool #308911
9.500% due 07/15/2021 ............................ 105,194
216,846 Pool #388581
7.500% due 01/15/2024 ............................ 214,541
95,657 Pool #398795
8.500% due 07/15/2026 ............................ 98,437
98,771 Pool #399003
9.000% due 12/15/2026 ............................ 103,431
469,202 Pool #452930
7.500% due 07/15/2027 ............................ 464,215
------------
2,962,451
------------
Total U.S. Government Agency Obligations
(Cost $14,470,886) ............................... 13,971,551
------------
U.S. TREASURY OBLIGATIONS -- 35.8%
U.S. TREASURY NOTES -- 35.8%
1,000,000 5.750% due 11/15/2000 ............................. 997,340
4,500,000 4.625% due 12/31/2000 ............................. 4,436,145
6,000,000 5.000% due 02/28/2001 ............................. 5,926,200
5,000,000 5.625% due 02/28/2001 ............................. 4,971,750
2,000,000 4.875% due 03/31/2001 ............................. 1,969,320
4,500,000 5.000% due 04/30/2001 ............................. 4,434,750
6,000,000 6.625% due 06/30/2001 ............................. 6,035,700
3,000,000 5.625% due 09/30/2001 ............................. 2,971,140
1,000,000 5.875% due 11/30/2001 ............................. 993,640
3,000,000 6.250% due 01/31/2002 ............................. 2,999,790
4,000,000 6.625% due 04/30/2002 ............................. 4,030,640
5,000,000 6.250% due 06/30/2002 ............................. 4,998,800
2,000,000 6.000% due 07/31/2002 ............................. 1,989,080
5,000,000 5.750% due 10/31/2002 ............................. 4,933,100
1,000,000 5.625% due 12/31/2002 ............................. 982,370
1,000,000 5.500% due 01/31/2003 ............................. 977,340
3,000,000 5.500% due 02/28/2003 ............................. 2,928,630
6,000,000 5.500% due 05/31/2003 ............................. 5,845,500
5,000,000 5.250% due 08/15/2003 ............................. 4,822,750
3,000,000 5.250% due 05/15/2004 ............................. 2,874,540
4,000,000 6.000% due 08/15/2004 ............................. 3,938,120
------------
Total U.S. Treasury Obligations
(Cost $75,189,375) ............................... 74,056,645
------------
DISCOUNT COMMERCIAL PAPER -- 3.7%
(Cost $7,711,286)
7,713,000 UBS Finance,
3.651%(DOUBLE DAGGER) due 01/03/2000 ............. 7,711,286
------------
TOTAL INVESTMENTS (COST $206,341,662*) ................ 98.0% 202,857,032
OTHER ASSETS AND LIABILITIES (NET) .................... 2.0 4,251,645
------ ------------
NET ASSETS ............................................ 100.0% $207,108,677
====== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was
$206,350,592.
** 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.
(DOUBLE DAGGER) Annualized yield at date of purchase.
(DOUBLE DAGGER)(DOUBLE DAGGER) Floating Rate security.
Rate shown is in effect at 12/31/1999.
See Notes to Financial Statements.
68
<PAGE>
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
GOVERNMENT BONDS -- 94.6%
AUSTRALIA -- 3.6%
Queensland Treasury Corporation:
$ 920,000 8.000% due 05/14/2003 ............................. $ 625,859
750,000 6.500% due 06/14/2005 ............................. 481,789
-----------
1,107,648
-----------
BELGIUM -- 3.3%
1,000,000 Kingdom of Belgium,
6.500% due 03/25/2002 ............................. 994,500
-----------
CANADA -- 4.4%
1,970,000 Government of Canada,
5.250% due 09/01/2003 ............................. 1,323,114
-----------
DENMARK -- 3.3%
Kingdom of Denmark:
4,675,000 6.000% due 11/15/2002 ............................. 649,694
2,610,000 5.000% due 08/15/2005 ............................. 347,581
-----------
997,275
-----------
FRANCE -- 8.7%
Government of France:
614,000 5.500% due 04/25/2004 ............................. 635,583
800,000 3.500% due 07/12/2004 ............................. 762,166
1,323,000 5.500% due 04/25/2029 ............................. 1,247,439
-----------
2,645,188
-----------
GERMANY -- 20.3%
526,000 Bundesobligation,
4.500% due 05/17/2002 ............................. 531,668
Bundesrepublik:
447,000 5.125% due 11/21/2000 ............................. 455,576
76,000 5.250% due 02/21/2001 ............................. 77,703
665,000 6.750% due 07/15/2004 ............................. 721,364
1,313,000 6.000% due 01/05/2006 ............................. 1,384,810
1,799,000 6.000% due 01/04/2007 ............................. 1,895,578
1,210,000 3.750% due 01/04/2009 ............................. 1,084,098
-----------
6,150,797
-----------
GREECE -- 1.8%
187,500,000 Hellenic Republic,
6.000% due 02/19/2006 ............................. 560,869
-----------
ITALY -- 7.3% Republic of Italy:
850,000 3.000% due 06/15/2002 ............................. 838,012
840,000 3.750% due 09/01/2002 ............................. 830,353
590,000 6.000% due 05/29/2008 ............................. 536,163
-----------
2,204,528
-----------
JAPAN -- 1.4%
250,000 Japan Financial Corporation for
Municipal Enterprises,
8.375% due 12/07/2006 ............................. 437,504
-----------
NETHERLANDS -- 4.3%
1,230,000 Dutch Government,
6.000% due 01/15/2006 ............................. 1,295,041
-----------
SPAIN -- 4.2% Government of Spain:
760,000 4.500% due 07/30/2004 ............................. 752,139
540,000 4.500% due 07/30/2004 ............................. 533,662
-----------
1,285,801
-----------
SUPRANATIONAL -- 6.6%
560,000 Asian Development Bank,
6.750% due 06/11/2007 ............................. 550,032
430,000 European Investment Bank,
8.000% due 06/10/2003 ............................. 717,014
Kfw International Finance:
150,000 5.500% due 06/18/2004 ............................. 230,483
320,000 5.500% due 06/18/2004 ............................. 491,697
-----------
1,989,226
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
UNITED KINGDOM -- 4.5%
U.K. Treasury:
$ 440,000 7.000% due 06/07/2002 ............................. $ 720,682
405,000 6.500% due 12/07/2003 ............................. 661,244
-----------
1,381,926
-----------
UNITED STATES -- 20.9%
830,000 Federal National Mortgage Association,
4.625% due 10/15/2001 ............................. 804,457
U.S. Treasury Bonds:
1,690,000 7.250% due 05/15/2016 ............................. 1,767,605
1,730,000 7.500% due 11/15/2016 ............................. 1,852,017
U.S. Treasury Notes:
930,000 5.500% due 02/15/2008 ............................. 871,419
580,000 5.625% due 05/15/2008 ............................. 545,809
580,000 4.750% due 11/15/2008 ............................. 512,007
-----------
6,353,314
-----------
Total Government Bonds
(Cost $30,741,860) ................................ 28,726,731
-----------
TOTAL INVESTMENTS (COST $30,741,860*) .................. 94.6% 28,726,731
OTHER ASSETS AND LIABILITIES (NET) ..................... 5.4 1,644,666
------ ------------
NET ASSETS ............................................. 100.0% $30,371,397
====== ============
- ------------------------------
* Aggregate cost for Federal tax purposes.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
CAD -- Canadian Dollar
DK -- Danish Kroner
EMU -- European Monetary Unit
GBP -- Great British Pound Sterling
JPY -- Japanese Yen
- --------------------------------------------------------------------------------
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO BUY
CONTRACTS TO RECEIVE
------------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ APPRECIATION
- ---------- ---------------- ------------ ---------- --------------
02/18/2000 JPY 640,684,050 $6,220,606 $6,322,397 $101,791
03/01/2000 CAD 285,000 194,539 197,729 3,190
----------
$104,981
----------
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)
- ---------- ---------------- ------------ ---------- --------------
02/10/2000 EMU 1,200,000 $1,225,896 $1,212,536 $ 13,360
02/25/2000 GBP 810,000 1,312,783 1,308,473 4,310
02/28/2000 DK 6,300,000 903,744 856,032 47,712
03/01/2000 CAD 970,000 658,520 672,974 (14,454)
--------
$ 50,928
--------
Net Unrealized Appreciation of Forward
Foreign Currency Exchange Contracts ................ $155,909
========
See Notes to Financial Statements.
69
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
--------- ------------
COMMON STOCKS -- 53.4%
AEROSPACE/DEFENSE -- 1.3%
200,000 Fuji Heavy Industries Ltd. ........................ $ 1,370,265
75,000 Honeywell International Inc. ...................... 4,326,562
214,000 Mitsubishi Motors Corporation(DAGGER) ............. 730,997
32,759 Raytheon Company, Class A ......................... 812,833
26,800 United Technologies Corporation ................... 1,742,000
------------
8,982,657
------------
AUTOMOTIVE -- 1.9%
167,200 Delphi Automotive Systems Corporation ............. 2,633,400
72,300 Ford Motor Company ................................ 3,863,531
121,500 TRW Inc. .......................................... 6,310,406
------------
12,807,337
------------
BANKS -- 2.7%
70,400 Bank of America Corporation ....................... 3,533,200
76,300 Bank of New York Company, Inc. .................... 3,052,000
44,800 Bank One Corporation .............................. 1,436,400
106,600 Mellon Financial Corporation ...................... 3,631,062
84,600 PNC Bank Corporation .............................. 3,764,700
35,800 State Street Corporation .......................... 2,615,637
------------
18,032,999
------------
BROADCAST, RADIO AND TELEVISION -- 3.5%
89,700 Gannett Company, Inc. ............................. 7,316,156
20,400 MediaOne Group, Inc.(DAGGER) ...................... 1,566,975
110,500 The New York Times Company, Class A ............... 5,428,312
93,700 Time Warner Inc. .................................. 6,787,394
47,300 Tribune Company ................................... 2,604,456
------------
23,703,293
------------
CHEMICALS -- 2.2%
152,400 Akzo Nobel N.V. ................................... 7,644,545
7,300 The Dow Chemical Company .......................... 975,462
101,000 Engelhard Corporation ............................. 1,906,375
103,300 Rohm & Haas Company ............................... 4,203,019
------------
14,729,401
------------
COMPUTER INDUSTRY -- 1.2%
30,800 Hewlett-Packard Company ........................... 3,509,275
43,900 International Business Machines Corporation ....... 4,741,200
------------
8,250,475
------------
CONSUMER PRODUCTS -- 0.8%
6,000 Eastman Kodak Company ............................. 397,500
72,000 Fortune Brands, Inc. .............................. 2,380,500
35,000 Kimberly-Clark Corporation ........................ 2,283,750
15,000 The Sherwin-Williams Company ...................... 315,000
------------
5,376,750
------------
ELECTRONICS -- 1.6%
5,170 Agilent Technologies, Inc.(DAGGER) ................ 399,706
98,500 Emerson Electric Company .......................... 5,651,437
275,000 Hitachi Ltd. ...................................... 4,414,212
------------
10,465,355
------------
FINANCIAL SERVICES -- 2.4%
10,600 American Express Company .......................... 1,762,250
97,250 Citigroup, Inc. ................................... 5,403,453
90,700 Edwards (A.G.), Inc. .............................. 2,908,069
23,600 Freddie Mac ....................................... 1,110,675
26,400 Merrill Lynch & Company, Inc. ..................... 2,204,400
20,000 Morgan Stanley Dean Witter & Company .............. 2,855,000
------------
16,243,847
------------
VALUE
SHARES (NOTE 1)
--------- ------------
FOOD AND BEVERAGES -- 3.2%
20,000 Anheuser-Busch Companies, Inc. .................... $ 1,417,500
229,488 Archer-Daniels Midland Company .................... 2,796,885
24,000 Bestfoods ......................................... 1,261,500
360,547 Diageo Plc ........................................ 2,900,310
67,200 General Mills, Inc. ............................... 2,402,400
30,500 Hershey Foods Corporation ......................... 1,448,750
24,300 McCormick & Company, Inc. ......................... 722,925
2,605 Nestle S.A. ....................................... 4,772,207
52,800 The Quaker Oats Company ........................... 3,465,000
------------
21,187,477
------------
HEALTH CARE -- 0.1%
11,400 Baxter International Inc. ......................... 716,062
------------
HOTELS/RESORTS -- 0.6%
106,000 Harrah's Entertainment, Inc.(DAGGER) .............. 2,802,375
19,600 Hilton Hotels Corporation ......................... 188,650
23,000 MGM Grand, Inc.(DAGGER) ........................... 1,157,187
------------
4,148,212
------------
INSURANCE -- 6.7%
48,900 The Allstate Corporation .......................... 1,173,600
20,750 American International Group, Inc. ................ 2,243,594
48,400 Aon Corporation ................................... 1,936,000
20,200 AXA ............................................... 2,815,949
135,800 AXA Financial, Inc. ............................... 4,600,225
39,500 The Chubb Corporation ............................. 2,224,344
53,300 CIGNA Corporation ................................. 4,293,981
164,600 The Hartford Financial Services
Group, Inc. ...................................... 7,797,925
33,650 Jefferson-Pilot Corporation ....................... 2,296,612
141,400 Lincoln National Corporation ...................... 5,656,000
19,700 Marsh & McLennan Companies, Inc. .................. 1,885,044
96,100 ReliaStar Financial Corporation ................... 3,765,919
139,800 The St. Paul Companies, Inc. ...................... 4,709,512
------------
45,398,705
------------
LEISURE ENTERTAINMENT -- 0.3%
76,800 The Walt Disney Company ........................... 2,246,400
------------
MANUFACTURING -- 0.8%
43,800 Deere & Company ................................... 1,899,825
6,900 General Electric Company .......................... 1,067,775
26,800 Ingersoll-Rand Company ............................ 1,475,675
12,200 PPG Industries, Inc. .............................. 763,262
10,306 Tyco International Ltd. ........................... 400,646
------------
5,607,183
------------
METALS/MINING -- 0.3%
22,500 Alcoa Inc. ........................................ 1,867,500
22,300 CONSOL Energy Inc. ................................ 225,787
------------
2,093,287
------------
OIL AND GAS -- 9.8%
21,000 Apache Corporation ................................ 775,687
228,542 BP Amoco Plc, ADR ................................. 13,555,397
20,800 Chevron Corporation ............................... 1,801,800
201,500 The Coastal Corporation ........................... 7,140,656
44,150 Columbia Energy Group ............................. 2,792,487
143,200 Conoco Inc., Class A .............................. 3,544,200
69,000 Devon Energy Corporation .......................... 2,268,375
80,800 El Paso Energy Corporation ........................ 3,136,050
102,058 Exxon Mobil Corporation ........................... 8,222,014
137,800 Halliburton Company ............................... 5,546,450
83,900 National Fuel Gas Company ......................... 3,901,350
See Notes to Financial Statements.
70
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
--------- ------------
COMMON STOCKS -- (CONTINUED)
OIL AND GAS -- (CONTINUED)
204,700 Noble Drilling Corporation(DAGGER) ................ $ 6,703,925
47,000 Royal Dutch Petroleum Company,
NY Shares ........................................ 2,840,563
6,700 Texaco Inc. ....................................... 363,894
45,600 Unocal Corporation ................................ 1,530,450
67,300 The Williams Companies, Inc. ...................... 2,056,856
------------
66,180,154
------------
PAPER AND FOREST PRODUCTS -- 1.5%
81,200 Bowater Inc. ...................................... 4,410,175
70,300 Champion International Corporation ................ 4,354,206
24,700 International Paper Company ....................... 1,394,006
------------
10,158,387
------------
PHARMACEUTICALS -- 1.1%
56,800 American Home Products Corporation ................ 2,240,050
12,000 Bristol-Myers Squibb Company ...................... 770,250
62,900 Pharmacia & Upjohn, Inc. .......................... 2,830,500
26,400 SmithKline Beecham Plc, ADR ....................... 1,701,150
------------
7,541,950
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.0%#
7,000 Boston Properties, Inc. ........................... 217,875
------------
RESTAURANTS -- 0.6%
94,300 McDonald's Corporation ............................ 3,801,469
------------
RETAIL -- 1.1%
26,300 Dayton Hudson Corporation ......................... 1,931,406
134,300 The Kroger Company(DAGGER) ........................ 2,534,912
71,400 Safeway Inc.(DAGGER) .............................. 2,539,162
------------
7,005,480
------------
SERVICES -- 0.3%
15,500 W.W. Grainger, Inc. ............................... 741,094
61,900 Xerox Corporation ................................. 1,404,356
------------
2,145,450
------------
TELECOMMUNICATIONS -- 6.7%
15,000 ALLTEL Corporation ................................ 1,240,312
38,150 AT&T Corporation .................................. 1,936,112
41,300 Bell Atlantic Corporation ......................... 2,542,531
161,700 GTE Corporation ................................... 11,409,956
70,000 Motorola, Inc. .................................... 10,307,500
52,000 Nippon Telegraph & Telephone
Corporation, ADR ................................. 4,478,500
141,066 SBC Communications Inc. ........................... 6,876,967
32,900 Sprint Corporation ................................ 2,214,581
33,000 Telephone and Data Systems, Inc. .................. 4,158,000
------------
45,164,459
------------
TRANSPORTATION -- 0.4%
49,100 Burlington Northern Santa Fe Corporation .......... 1,190,675
31,800 Canadian National Railway Company ................. 836,737
9,520 United Parcel Service, Inc., Class B(DAGGER) ...... 656,880
------------
2,684,292
------------
UTILITIES -- 2.3%
75,200 Carolina Power & Light Company .................... 2,288,900
33,700 CMS Energy Corporation ............................ 1,051,019
58,000 Duke Energy Corporation ........................... 2,907,250
52,700 Eastern Enterprises ............................... 3,026,956
37,000 FirstEnergy Corporation ........................... 839,437
13,700 GPU, Inc. ......................................... 410,144
69,700 Pinnacle West Capital Corporation ................. 2,130,206
VALUE
SHARES (NOTE 1)
--------- ------------
UTILITIES -- (CONTINUED)
55,152 Sierra Pacific Resources .......................... $ 954,819
22,800 Texas Utilities Company ........................... 810,825
47,000 Washington Gas Light Company ...................... 1,292,500
------------
15,712,056
------------
Total Common Stocks
(Cost $336,017,969) .............................. 360,601,012
------------
PREFERRED STOCKS -- 2.2%
FINANCIAL SERVICES -- 0.0%#
5,038 NB Capital Corporation ............................ 108,317
------------
FOOD AND BEVERAGES -- 0.2%
25,100 The Seagram Company Ltd. .......................... 1,129,500
------------
INSURANCE -- 0.3%
81,900 Lincoln National Corporation ...................... 1,801,800
------------
MANUFACTURING -- 0.3%
68,600 Owens-Illinois, Inc. .............................. 2,143,750
------------
OIL AND GAS -- 0.5%
43,900 Apache Corporation ................................ 1,558,450
38,600 El Paso Energy Capital Trust I .................... 1,944,475
------------
3,502,925
------------
RETAIL -- 0.3%
34,900 CVS Corporation ................................... 2,486,625
------------
UTILITIES -- 0.6%
47,700 CMS Energy Corporation ............................ 1,615,838
30,000 NiSource Inc. ..................................... 1,081,875
29,100 Texas Utilities Company 1,269,488
------------
3,967,201
------------
Total Preferred Stocks
(Cost $16,756,565) ............................... 15,140,118
------------
PRINCIPAL
AMOUNT
-----------
CORPORATE BONDS -- 22.8%
ADVERTISING -- 0.0%#
$ 250,000 Outdoor Systems, Inc.,
8.875% due 06/15/2007 ............................ 256,875
------------
AEROSPACE/DEFENSE -- 0.1%
600,000 BE Aerospace, Inc.,
8.000% due 03/01/2008 ............................ 525,000
237,000 Raytheon Company,
7.200% due 08/15/2027 ............................ 212,034
------------
737,034
------------
AIRLINES -- 1.0%
612,000 American Airlines, Inc.,
6.855% due 04/15/2009 ............................ 603,539
1,776,000 Atlas Air, Inc.,
7.200% due 01/02/2019 ............................ 1,640,251
Continental Airlines, Inc.:
91,141 9.500% due 10/15/2013 ............................ 97,663
23,249 10.220% due 07/02/2014 ........................... 24,378
1,223,100 6.648% due 09/15/2017 ............................ 1,107,108
488,790 6.545% due 02/02/2019 ............................ 443,638
1,100,000 7.256% due 03/15/2020 ............................ 1,051,859
Northwest Airlines, Inc.:
649,000 7.575% due 03/01/2019 ............................ 623,738
1,498,733 6.810% due 02/01/2020 ............................ 1,369,171
------------
6,961,345
------------
See Notes to Financial Statements.
71
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
CORPORATE BONDS -- (CONTINUED)
AUTOMOTIVE -- 1.4%
DaimlerChrysler North America
Holding Corporation:
$ 5,464,000 6.630% due 09/21/2001 ............................ $ 5,440,444
208,000 7.200% due 09/01/2009 ............................ 204,565
375,000 Federal-Mogul Corporation,
7.500% due 07/01/2004 ............................ 355,358
Ford Motor Company:
627,000 6.625% due 10/01/2028 ............................ 546,900
1,106,000 7.450% due 07/16/2031 ............................ 1,066,416
280,000 8.900% due 01/15/2032 ............................ 315,689
335,000 General Motors Corporation,
9.400% due 07/15/2021 ............................ 389,479
789,000 Lear Corporation,
7.960% due 05/15/2005** .......................... 760,418
542,000 TRW Inc.,
7.125% due 06/01/2009** .......................... 515,833
------------
9,595,102
------------
BANKS -- 0.3%
1,318,000 The Chase Manhattan Corporation,
6.750% due 12/01/2004 ............................ 1,277,806
225,000 Riggs National Corporation,
9.650% due 06/15/2009 ............................ 225,802
250,000 Washington Mutual Capital I,
8.375% due 06/01/2027 ............................ 239,478
------------
1,743,086
------------
BROADCAST, RADIO AND TELEVISION -- 0.6%
1,000,000 Adelphia Communications Corporation,
10.178%(a) due 01/15/2008 ........................ 443,750
250,000 AMFM, Inc.,
8.750% due 06/15/2007 ............................ 253,125
792,000 Belo (A.H.) Corporation,
7.750% due 06/01/2027 ............................ 747,858
300,000 FrontierVision L.P.,
11.000% due 10/15/2006 ........................... 319,500
2,224,000 Hearst-Argyle Television, Inc.,
7.500% due 11/15/2027 ............................ 2,068,280
357,000 News America Inc.,
6.703% due 05/21/2004 ............................ 344,426
------------
4,176,939
------------
CHEMICALS -- 0.3%
2,090,000 Lyondell Chemical Company,
9.625% due 05/01/2007 ............................ 2,147,475
------------
COMPUTER INDUSTRY -- 0.0%#
238,000 Unisys Corporation,
12.000% due 04/15/2003 ........................... 255,255
------------
CONSTRUCTION / BUILDING MATERIALS -- 0.4%
2,197,000 McDermott Inc.,
9.375% due 03/15/2002 ............................ 2,247,645
300,000 Nortek, Inc.,
9.250% due 03/15/2007 ............................ 294,000
------------
2,541,645
------------
CONSUMER PRODUCTS -- 0.0%#
84,000 Jones Apparel Group, Inc.,
6.250% due 10/01/2001** .......................... 81,795
252,000 Tommy Hilfiger Corporation,
6.500% due 06/01/2003 ............................ 240,479
------------
322,274
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
ELECTRONICS -- 0.1%
$ 220,000 LSI Logic Corporation,
4.250% due 03/15/2004**^ ......................... $ 499,675
------------
FINANCIAL SERVICES -- 5.5%
Aristar, Inc.:
716,000 7.375% due 09/01/2004 ............................ 712,789
392,000 7.250% due 06/15/2006 ............................ 384,761
Associates Corporation of North America:
3,180,000 5.750% due 11/01/2003 ............................ 3,030,298
1,361,000 5.500% due 02/15/2004 ............................ 1,279,035
322,000 AT&T Capital Corporation,
6.250% due 05/15/2001 ............................ 318,725
1,032,000 Beaver Valley Funding Corporation,
9.000% due 06/01/2017 ............................ 1,030,710
3,990,000 Bell Atlantic Financial Services, Inc.,
4.250% due 09/15/2005** .......................... 4,907,700
100,000 Capital One Financial Corporation,
7.250% due 12/01/2003 ............................ 97,878
801,000 Conseco Financial Corporation,
10.250% due 06/01/2002 ........................... 838,089
100,000 Colonial Capital II,
8.920% due 01/15/2027 ............................ 88,611
510,000 Countrywide Home Loans, Inc.,
6.250% due 04/15/2009 ............................ 458,820
1,250,000 Criimi Mae Commercial Mortgage Trust,
7.000% due 03/02/2011 ............................ 1,023,438
665,000 Finova Capital Corporation,
6.125% due 03/15/2004 ............................ 632,123
Ford Motor Credit Company:
2,359,000 5.750% due 02/23/2004 ............................ 2,236,817
3,107,000 6.700% due 07/16/2004 ............................ 3,042,825
2,591,000 7.375% due 10/28/2009 ............................ 2,563,074
General Electric Capital Corporation:
457,000 8.850% due 03/01/2007 ............................ 495,328
929,000 8.625% due 06/15/2008 ............................ 1,000,792
1,073,000 8.300% due 09/20/2009 ............................ 1,140,378
General Motors Acceptance Corporation:
2,500,000 7.375% due 06/18/2001 ............................ 2,520,915
732,000 5.950% due 03/14/2003 ............................ 706,587
GS Escrow Corporation:
1,211,000 6.750% due 08/01/2001** .......................... 1,176,184
1,231,000 7.125% due 08/01/2005 ............................ 1,100,355
3,000,000 Goldman Sachs Group L.P.,
5.900% due 01/15/2003** .......................... 2,893,512
627,000 John Deere Capital Corporation,
7.000% due 10/15/2002 ............................ 623,793
Midamerican Funding LLC:
220,000 5.850% due 03/01/2001** .......................... 217,206
687,000 6.927% due 03/01/2029** .......................... 596,200
Midland Funding Corporation:
82,042 10.330% due 07/23/2002 ........................... 86,260
31,000 11.750% due 07/23/2005 ........................... 33,842
1,121,000 Morgan Stanley Dean Witter & Company,
7.125% due 01/15/2003 ............................ 1,120,387
401,000 Socgen Real Estate LLC,
7.640% due 12/29/2049** .......................... 368,184
793,000 SunAmerica Institutional Funding,
5.750% due 02/16/2009 ............................ 707,753
------------
37,433,369
------------
FOOD AND BEVERAGES -- 0.6%
Joseph E. Seagrams and Sons, Inc.:
1,042,000 5.790% due 04/15/2001 ............................ 1,023,109
1,355,000 6.400% due 12/15/2003 ............................ 1,306,270
See Notes to Financial Statements.
72
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
CORPORATE BONDS -- (CONTINUED)
FOOD AND BEVERAGES -- (CONTINUED)
Joseph E. Seagrams and Sons, Inc. (Continued):
$ 1,193,000 7.500% due 12/15/2018 ............................ $ 1,130,241
440,000 7.600% due 12/15/2028 ............................ 415,740
165,000 Nabisco, Inc.,
6.375% due 02/01/2005 ............................ 155,278
------------
4,030,638
------------
INSURANCE -- 0.8%
1,822,000 AFLAC, Inc.,
6.500% due 04/15/2009 ............................ 1,673,410
356,000 Atlantic Mutual Insurance Company,
8.150% due 02/15/2028** .......................... 267,954
430,000 Conseco, Inc.,
6.400% due 06/15/2001 ............................ 419,486
3,100,000 Loews Corporation,
3.125% due 09/15/2007 ............................ 2,542,000
380,000 Providian Capital I,
9.525% due 02/01/2027** .......................... 322,960
------------
5,225,810
------------
LEISURE ENTERTAINMENT -- 1.2%
Time Warner Entertainment:
6,297,000 6.100% due 12/30/2001** .......................... 6,196,348
1,240,000 10.150% due 05/01/2012 ........................... 1,461,561
106,000 8.375% due 03/15/2023 ............................ 110,833
------------
7,768,742
------------
MANUFACTURING -- 0.3%
823,000 Cooper Tire and Rubber Company,
7.250% due 12/16/2002 ............................ 817,741
441,000 Eaton Corporation,
6.950% due 11/15/2004 ............................ 431,738
494,000 Owens-Illinois, Inc.,
8.100% due 05/15/2007 ............................ 470,258
------------
1,719,737
------------
OIL AND GAS -- 1.1%
1,258,000 The Coastal Corporation,
6.200% due 05/15/2004 ............................ 1,200,768
993,000 Northern Natural Gas Company,
7.000% due 06/01/2011** .......................... 921,008
948,000 Occidental Petroleum Corporation,
6.400% due 04/01/2013 ............................ 913,742
3,171,000 Phillips Petroleum Company,
7.000% due 03/30/2029 ............................ 2,857,673
650,000 Tennessee Gas Pipeline Company,
7.625% due 04/01/2037 ............................ 595,022
100,000 Texas Gas Transmission Corporation,
7.250% due 07/15/2027 ............................ 91,120
205,000 Ultramar Diamond Shamrock Corporation,
7.200% due 10/15/2017 ............................ 183,946
650,000 The Williams Companies, Inc.,
7.625% due 07/15/2019 ............................ 625,505
376,000 Williams Gas Pipeline,
7.375% due 11/15/2006**^ ......................... 367,168
------------
7,755,952
------------
PAPER AND FOREST PRODUCTS -- 1.4%
Georgia Pacific Corporation:
321,000 9.950% due 06/15/2002 ............................ 339,667
2,500,000 7.700% due 06/15/2015 ............................ 2,429,009
10,000 9.875% due 11/01/2021 ............................ 10,804
1,000,000 9.500% due 05/15/2022 ............................ 1,058,677
284,000 7.250% due 06/01/2028 ............................ 256,233
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
PAPER AND FOREST PRODUCTS -- (CONTINUED)
$4,906,000 7.750% due 11/15/2029 ............................ $ 4,688,531
153,000 Upm-Kymmene Corporation,
7.450% due 11/26/2027** .......................... 138,294
250,000 U.S. Timberlands Klamath Falls, LLC,
9.625% due 11/15/2007 ............................ 232,188
------------
9,153,403
------------
PHARMACEUTICALS -- 0.1%
Rite Aid Corporation:
947,000 6.000% due 10/01/2003** .......................... 658,165
314,000 7.125% due 01/15/2007 ............................ 238,640
------------
896,805
------------
RETAIL -- 0.5%
Federated Department Stores, Inc.,
1,615,000 8.500% due 06/15/2003 ............................ 1,666,475
195,000 6.300% due 04/01/2009 ............................ 177,235
357,000 Saks Inc.,
7.250% due 12/01/2004 ............................ 340,188
1,183,000 Wal-Mart Stores, Inc.,
6.550% due 08/10/2004 ............................ 1,164,555
------------
3,348,453
------------
SERVICES -- 0.3%
427,000 Protection One Alarm
Monitoring, Inc.,
7.375% due 08/15/2005 ............................ 341,600
Xerox Corporation:
1,220,000 0.570% due 04/21/2018** .......................... 655,750
2,220,000 0.570% due 04/21/2018** .......................... 1,187,700
------------
2,185,050
------------
TELECOMMUNICATIONS -- 2.0%
AT&T Corporation:
1,728,000 9.650% due 03/31/2027 ............................ 1,904,021
627,000 6.500% due 03/15/2029 ............................ 538,404
Cable and Wireless
Communications, Plc:
1,110,000 6.625% due 03/06/2005 ............................ 1,100,411
325,000 6.750% due 12/01/2008 ............................ 322,355
1,549,000 Comcast Corporation,
9.125% due 10/15/2006 ............................ 1,616,769
200,000 MCI WorldCom, Inc.,
8.875% due 01/15/2006 ............................ 209,217
995,000 Qwest Communications
International, Inc.,
7.500% due 11/01/2008 ............................ 980,075
Sprint Capital Corporation:
1,733,000 6.500% due 11/15/2001 ............................ 1,717,900
2,018,000 5.875% due 05/01/2004 ............................ 1,915,429
802,000 6.375% due 05/01/2009 ............................ 739,166
2,315,000 6.900% due 05/01/2019 ............................ 2,116,479
490,000 Telecomunicaciones de Puerto Rico,
6.650% due 05/15/2006 ............................ 461,583
------------
13,621,809
------------
TRANSPORTATION -- 0.3%
757,000 AMERCO, Inc.,
7.850% due 05/15/2003 ............................ 742,730
Union Pacific Corporation:
413,000 5.780% due 10/15/2001 ............................ 404,131
640,000 6.340% due 11/25/2003 ............................ 616,259
------------
1,763,120
------------
See Notes to Financial Statements.
73
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
CORPORATE BONDS -- (CONTINUED)
UTILTIES -- 4.5%
$ 2,000,000 AEP Generating Corporation,
9.810% due 12/07/2021 ............................ $ 2,198,044
1,704,000 CE Generation, LLC,
7.416% due 12/15/2018** .......................... 1,568,003
Cleveland Electric Illuminating
Company:
680,000 7.670% due 07/01/2004 ............................ 673,692
700,000 9.000% due 07/01/2023 ............................ 704,768
201,000 7.880% due 11/01/2017 ............................ 189,677
CMS Energy Corporation:
621,000 8.000% due 07/01/2001 ............................ 613,984
2,463,000 8.375% due 07/01/2003 ............................ 2,409,720
1,700,000 6.750% due 01/15/2004 ............................ 1,577,370
1,359,000 Commonwealth Edison Company,
8.500% due 07/15/2022 ............................ 1,339,244
The Connecticut Light and
Power Company:
1,000,000 8.590% due 06/05/2003** .......................... 1,006,380
415,000 7.875% due 10/01/2024 ............................ 417,586
El Paso Electric Company:
2,958,000 8.250% due 02/01/2003 ............................ 3,001,275
140,000 8.900% due 02/01/2006 ............................ 144,321
760,000 Empresa Electrica Guacolda S.A.,
7.600% due 04/30/2001** .......................... 738,150
682,000 Entergy Mississippi, Inc.,
6.200% due 05/01/2004 ............................ 648,753
15,000 MidAmerican Energy Holdings,
7.230% due 09/15/2005 ............................ 14,695
Niagara Mohawk Power Corporation:
604,877 7.250% due 10/01/2002 ............................ 603,302
213,976 7.625% due 10/01/2005 ............................ 214,566
4,636,000 8.500% due 07/01/2010 ............................ 3,505,302
364,000 8.770% due 01/01/2018 ............................ 383,448
270,000 8.750% due 04/01/2022 ............................ 270,555
90,000 8.500% due 07/01/2023 ............................ 87,405
101,000 North Atlantic Energy Corporation,
9.050% due 06/01/2002 ............................ 101,276
162,973 Northeast Utilities Corporation,
8.580% due 12/01/2006 ............................ 158,135
Salton Sea Funding Corporation:
15,305 7.370% due 05/30/2005 ............................ 14,960
800,000 7.840% due 05/30/2010 ............................ 774,229
862,166 Seabrook Station - Unit 1,
7.830% due 01/02/2019 ............................ 808,605
227,658 System Energy Resources,
7.430% due 01/15/2011 ............................ 215,799
Texas Utilities Company:
371,000 6.150% due 05/15/2002** .......................... 359,786
514,000 5.940% due 10/15/2011 ............................ 505,183
1,238,000 Toledo Edison Company,
7.875% due 08/01/2004 ............................ 1,240,429
352,000 UtiliCorp United Inc.,
7.000% due 07/15/2004 ............................ 340,453
1,222,709 Waterford 3 Funding,
8.090% due 01/02/2017 ............................ 1,168,841
2,141,000 Wisconsin Electric Power,
6.625% due 12/01/2002 ............................ 2,121,446
------------
30,119,382
------------
Total Corporate Bonds
(Cost $160,381,378) .............................. 154,258,975
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.0%
$ 825,000 America Express Credit
Account Master Trust,
5.600% due 11/15/2006 ............................ $ 768,347
94,640 Blackrock Capital Finance, LP,
7.750% due 09/25/2026 ............................ 52,052
405,675 Beneficial Mortgage Corporation,
6.610%(DOUBLE DAGGER)(DOUBLE DAGGER) due 09/28/2037 404,474
874,000 Chase Commercial Mortgage
Securities Corporation,
6.390% due 11/18/2008 ............................ 812,130
449,000 Criimi Mae CMBS Corporation,
6.701% due 05/20/2008^ ........................... 402,802
1,526,000 Ford Credit Auto Owner Trust,
6.200% due 04/15/2002 ............................ 1,523,013
327,000 Illinois Power Special Purpose Trust,
5.260% due 06/25/2003 ............................ 321,703
Jet Equipment Trust:
50,000 9.410% due 06/15/2010** .......................... 53,245
44,845 8.640% due 11/01/2012** .......................... 45,417
10,000 10.690% due 11/01/2013** ......................... 11,499
Residential Accredit Loans, Inc.:
1,000,000 7.000% due 03/25/2028 ............................ 942,943
1,625,000 6.750% due 10/25/2028 ............................ 1,521,150
------------
Total Collateralized Mortgage Obligations
(Cost $7,185,811) ................................ 6,858,775
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.5%
FEDERAL HOME LOAN BANK (FHLB) -- 0.1%
800,000 5.700% due 03/03/2009 ............................. 714,706
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(GOLD) (FGLMC) -- 0.2%
1,485,585 Pool #C18106
6.500% due 11/01/2028 ............................ 1,402,021
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 2.3%
Pool #410201
1,270,000 5.722% due 02/01/2009 ............................ 1,206,106
675,000 6.625% due 09/15/2009 ............................ 656,001
2,988,957 Pool #436880
6.500% due 08/01/2028 ............................ 2,818,019
2,941,303 Pool #430883
6.500% due 09/01/2028 ............................ 2,773,090
473,055 Pool #440692
6.500% due 11/01/2028 ............................ 446,001
291,490 Pool #443615
6.500% due 11/01/2028 ............................ 274,820
309,974 Pool #446373
6.500% due 11/01/2028 ............................ 292,247
2,971,467 Pool #450807
6.500% due 11/01/2028 ............................ 2,801,529
1,323,217 Pool #452026
6.500% due 11/01/2028 ............................ 1,247,543
685,702 Pool #252162
6.500% due 12/01/2028 ............................ 646,486
316,235 Pool #454393
6.500% due 12/01/2028 ............................ 298,150
698,251 Pool #479026
6.500% due 01/01/2029 ............................ 658,318
1,164,709 Pool #513504
8.000% due 09/01/2029 ............................ 1,174,167
------------
15,292,477
------------
See Notes to Financial Statements.
74
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 4.9%
$ 5,594,634 Pool #323416
8.000% due 05/15/2022 ............................ $ 5,654,050
Pool #780598
594,282 7.500% due 12/15/2023 ............................ 588,339
145,914 8.000% due 06/20/2025 ............................ 144,462
110,081 Pool #353404
7.500% due 09/15/2025 ............................ 108,911
539,223 Pool #414736
7.500% due 11/15/2025 ............................ 533,492
76,023 Pool #417340
7.500% due 04/15/2026 ............................ 75,215
143,960 Pool #423906
7.500% due 07/15/2026 ............................ 142,429
18,069 Pool #432725
8.000% due 07/15/2026 ............................ 18,261
300,004 Pool #436405
8.000% due 07/15/2026 ............................ 303,190
11,961 Pool #436440
7.500% due 08/15/2026 ............................ 11,833
223,888 Pool #433213
7.500% due 09/15/2026 ............................ 221,508
315,271 Pool #409052
7.500% due 10/15/2026 ............................ 311,919
1,258,745 Pool #431365
7.500% due 10/15/2026 ............................ 1,245,365
248,998 Pool #433128
7.500% due 10/15/2026 ............................ 246,351
23,817 Pool #442177
8.000% due 12/15/2026 ............................ 24,070
548,062 Pool #780498
7.500% due 01/15/2027 ............................ 542,581
498,065 Pool #439051
7.500% due 02/15/2027 ............................ 492,770
27,039 Pool #432446
7.500% due 04/15/2027 ............................ 26,752
205,062 Pool #780546
7.500% due 04/15/2027 ............................ 203,011
130,412 Pool #418877
7.500% due 05/15/2027 ............................ 129,026
697,787 Pool #426435
7.500% due 05/15/2027 ............................ 690,370
74,482 Pool #439558
7.500% due 05/15/2027 ............................ 73,690
373,682 Pool #411815
8.000% due 07/15/2027 ............................ 377,651
407,708 Pool #448957
7.500% due 09/15/2027 ............................ 403,374
136,187 Pool #455301
7.500% due 09/15/2027 ............................ 134,739
286,981 Pool #427811
7.500% due 11/15/2027 ............................ 283,930
458,096 Pool #410449
7.500% due 02/15/2028 ............................ 453,227
77,841 Pool #458872
7.000% due 03/15/2028 ............................ 75,214
51,780 Pool #460810
7.000% due 04/15/2028 ............................ 50,032
1,360,551 Pool #467737
7.000% due 04/15/2028 ............................ 1,314,633
421,415 Pool #470480
6.500% due 06/15/2029 ............................ 395,864
261,741 Pool #480413
7.000% due 07/15/2028 ............................ 252,907
623,973 Pool #480776
7.000% due 07/15/2028 ............................ 602,914
748,776 Pool #450368
7.000% due 08/15/2028 ............................ 724,015
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- ------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- (CONTINUED)
$ 384,795 Pool #468129
7.000% due 08/15/2028 ............................ $ 372,070
1,617,121 Pool #486467
7.000% due 08/15/2028 ............................ 1,562,543
540,345 Pool #482894
6.500% due 12/15/2028 ............................ 507,584
2,895,770 Pool #488484
6.500% due 12/15/2028 ............................ 2,720,200
1,000,847 Pool #186997
8.000% due 11/15/2029 ............................ 1,011,476
2,173,508 Pool #486237
8.000% due 12/15/2029 ............................ 2,196,591
1,325,777 Pool #486238
8.000% due 12/15/2029 ............................ 1,339,857
2,001,930 Pool #507241
8.000% due 12/15/2029 ............................ 2,023,191
1,499,285 Pool #517447
8.000% due 12/15/2029 ............................ 1,515,207
1,800,180 Pool #521648
8.000% due 12/15/2029 ............................ 1,819,298
1,000,100 Pool #525494
8.000% due 12/15/2029 ............................ 1,010,721
------------
32,934,833
------------
Total U.S. Government Agency Obligations
(Cost $51,879,227) ............................... 50,344,037
------------
U.S. TREASURY OBLIGATIONS -- 6.0%
U.S. TREASURY BONDS -- 4.1%
13,631,000 9.875% due 11/15/2015 ............................. 17,627,609
12,516,000 5.250% due 02/15/2029 ............................. 10,369,256
------------
27,996,865
------------
U.S. TREASURY NOTES -- 1.9%
1,472,000 6.000% due 08/15/2004 ............................. 1,449,228
4,868,000 5.875% due 11/15/2004 ............................. 4,774,048
820,000 7.875% due 11/15/2004 ............................. 867,330
773,000 6.625% due 05/15/2007 ............................. 776,262
1,033,000 6.000% due 08/15/2009 ............................. 1,001,411
2,850,000 6.125% due 11/15/2027 ............................. 2,654,262
1,500,000 5.250% due 11/15/2028 ............................. 1,236,810
------------
12,759,351
------------
Total U.S. Treasury Obligations
(Cost $42,717,652) ............................... 40,756,216
------------
SHORT TERM INVESTMENTS -- 6.0%
(Cost $40,396,633)
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 6.0%
40,400,000 1.217%(DOUBLE DAGGER) due 01/03/2000 .............. 40,396,633
------------
TOTAL INVESTMENTS (COST $655,335,235*) ................. 98.9% 668,355,766
OTHER ASSETS AND LIABILITIES (NET) ..................... 1.1 7,397,846
------ ------------
NET ASSETS ............................................. 100.0% $675,753,612
====== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was
$655,640,425.
** 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.
^ Illiquid security.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
(DOUBLE DAGGER)(DOUBLE DAGGER) Floating rate security. Rate shown is in effect
at 12/31/99.
(a) The rate shown is the effective yield at date of
purchase.
# Amount is less than 0.1%.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
75
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- 55.2%
BANKS -- 0.2%
103 Bank for International Settlements ................ $ 575,708
------------
BROADCAST, RADIO AND TELEVISION -- 9.0%
128,000 Chris-Craft Industries, Inc.(DAGGER) .............. 9,232,000
45,000 Meredith Corporation .............................. 1,875,937
134,500 The New York Times Company, Class A ............... 6,607,312
14,700 Washington Post Company, Class B .................. 8,171,362
------------
25,886,611
------------
BUILDING/CONSTRUCTION -- 0.8%
166,000 Johns Manville Corporation ........................ 2,324,000
------------
CHEMICALS -- 4.4%
141,000 Cabot Corporation ................................. 2,872,875
102,000 Great Lakes Chemical Corporation .................. 3,895,125
72,000 Imperial Chemical Industries Plc, ADR ............. 3,064,500
267,500 Octel Corporation(DAGGER) ......................... 2,775,313
------------
12,607,813
------------
CONSUMER PRODUCTS -- 1.4%
118,000 Philip Morris Companies, Inc. ..................... 2,736,125
68,500 Polaroid Corporation .............................. 1,288,656
------------
4,024,781
------------
DIVERSIFIED HOLDINGS -- 0.0%#
165,000 Lonrho Africa Plc ................................. 82,623
------------
FOOD AND BEVERAGES -- 0.4%
39,500 McCormick & Company, Inc. ......................... 1,175,125
------------
HEALTH CARE -- 1.1%
932,000 Smith & Nephew Plc ................................ 3,161,465
------------
HOTELS/RESORTS -- 1.3%
181,000 Mandalay Resort Group(DAGGER) ..................... 3,642,625
------------
INSURANCE -- 6.4%
11,500 Aetna Inc. ........................................ 641,844
21,000 Berkley (WR) Corporation .......................... 438,375
130,000 Leucadia National Corporation ..................... 3,006,250
176,000 Loews Corporation ................................. 10,681,000
33,500 Unitrin, Inc. ..................................... 1,260,437
19,500 White Mountains Insurance Group Inc. .............. 2,349,750
------------
18,377,656
------------
LEISURE ENTERTAINMENT -- 0.1%
11,000 Readers Digest Association., Inc., Class B ........ 291,500
------------
MINING -- 3.2%
219,000 Homestake Mining Company .......................... 1,710,937
312,000 Newmont Mining Corporation ........................ 7,644,000
------------
9,354,937
------------
OIL AND GAS -- 11.3%
256,000 Amerada Hess Corporation .......................... 14,528,000
18,500 Kerr-McGee Corporation ............................ 1,147,000
2,000 Mitchell Energy & Development
Corporation, Class A ............................. 44,125
220,500 Mitchell Energy & Development
Corporation, Class B ............................. 4,754,531
109,000 Murphy Oil Corporation ............................ 6,253,875
106,000 Texaco Inc. ....................................... 5,757,125
------------
32,484,656
------------
VALUE
SHARES (NOTE 1)
------ ------------
PAPER AND FOREST PRODUCTS -- 1.8%
70,000 Domtar Inc. ....................................... $ 822,500
3,700 Potlatch Corporation .............................. 165,112
57,500 Weyerhaeuser Company .............................. 4,129,219
------------
5,116,831
------------
REAL ESTATE -- 0.0%#
52,292 HomeFed Corporation(DAGGER) ....................... 45,755
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.1%
9,000 Plum Creek Timber Company Inc. .................... 225,000
135,700 The Rouse Company ................................. 2,883,625
------------
3,108,625
------------
RETAIL -- 2.2%
39,500 J.C. Penney Company, Inc. ......................... 787,531
692,600 Petrie Stores Corporation(DAGGER) ................. 1,688,213
165,000 Reebok International Ltd.(DAGGER) ................. 1,350,938
170,000 Toys "R" Us, Inc.(DAGGER) ......................... 2,433,125
------------
6,259,807
------------
TRANSPORTATION -- 3.3%
96,000 Canadian Pacific Ltd. ............................. 2,070,000
178,000 Overseas Shipholding Group Inc. ................... 2,636,625
119,000 Union Pacific Corporation(DAGGER) ................. 4,879,000
------------
9,585,625
------------
UTILITIES -- 7.2%
197,000 FirstEnergy Corporation ........................... 4,469,437
111,500 Kansas City Power & Light Company ................. 2,459,969
723,400 Niagara Mohawk Holdings, Inc.(DAGGER) ............. 10,082,387
53,000 Questar Corporation ............................... 795,000
274,000 UniSource Energy Corporation(DAGGER) .............. 3,065,375
------------
20,872,168
------------
Total Common Stocks
(Cost $149,753,122) .............................. 158,978,311
------------
PREFERRED STOCKS -- 3.5%
FINANCIAL SERVICES -- 0.8%
40,000 Kemper Corporation, Convertible,
Series E**^ ...................................... 2,080,000
12,000 Reckson Associates Realty Corporation,
Convertible., Series A ........................... 238,500
------------
2,318,500
------------
MANUFACTURING -- 0.3%
32,500 Owens-Illinois, Inc, Convertible .................. 1,015,625
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.0%
173,000 Rouse Company, Class B, Convertible ............... 5,644,125
------------
UTILITIES -- 0.4%
7,000 Cleveland Electric Illumuninating
Company, Series L ................................ 701,750
7,891 Entergy Gulf States Utilities Inc.,
Series B ......................................... 392,577
2,850 Niagara Mohawk Power Corporation,
Series B ......................................... 72,497
4,500 Niagra Mohawk Power Corporation,
Series C ......................................... 111,797
------------
1,278,621
------------
Total Preferred Stocks
(Cost $11,993,161) ............................... 10,256,871
------------
See Notes to Financial Statements.
76
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ------------
CONVERTIBLE BONDS AND NOTES -- 21.1%
AUTOMOTIVE -- 0.7%
$ 747,000 Exide Corporation,
2.900% due 12/15/2005**^ ......................... $ 395,910
2,980,000 Pep Boys - Manny, Moe & Jack,
5.113%(a) due 09/20/2011 ......................... 1,579,400
------------
1,975,310
------------
BUILDING/CONSTRUCTION -- 0.4%
2,900,000 Lennar Corporation,
5.040%(a) due 07/29/2018 ......................... 1,149,125
------------
CHEMICALS -- 0.3%
950,000 Ciba Specialty Chemicals,
1.250% due 07/24/2003 ............................ 782,563
------------
COMMERCIAL SERVICES -- 0.0%#
100,000 Ogden Corporation,
5.750% due 10/20/2002 ............................ 82,625
------------
COMPUTER INDUSTRY -- 0.3%
900,000 Hyperion Solutions Corporation,
4.500% due 03/15/2005 ............................ 873,000
------------
FINANCIAL SERVICES -- 1.7%
2,400,000 Lonrho Finance Plc,
6.000% due 02/27/2004 ............................ 3,942,237
850,000 Texaco Capital Inc.,
3.500% due 08/05/2004 ............................ 825,563
------------
4,767,800
------------
HEALTH CARE -- 1.4%
3,350,000 HEALTHSOUTH Corporation,
3.250% due 04/01/2003 ............................ 2,600,438
600,000 McKesson Corporation,
4.500% due 03/01/2004 ............................ 513,000
1,950,000 PhyCor Inc.,
4.500% due 02/15/2003 ............................ 901,875
------------
4,015,313
------------
HOTELS/RESORTS -- 2.1%
7,750,000 Hilton Hotels Corporation,
5.000% due 05/15/2006 ............................ 5,919,063
------------
INSURANCE -- 1.5%
5,265,000 Loews Corporation,
3.125% due 09/15/2007 ............................ 4,317,300
------------
MINING -- 5.3%
Homestake Mining Company:
1,830,000 5.500% due 06/23/2000 ............................ 1,784,250
3,440,000 5.500% due 06/23/2000** .......................... 3,349,700
Inco Ltd.:
6,950,000 5.750% due 07/01/2004 ............................ 6,619,875
460,000 7.750% due 03/15/2016 ............................ 416,875
4,325,000 Teck Corporation,
3.750% due 07/15/2006 ............................ 3,200,500
------------
15,371,200
------------
MUNICIPAL -- 0.4%
1,225,000 California State,
5.250% due 10/01/2011 ............................ 1,226,531
------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ------------
OIL AND GAS -- 0.1%
$ 300,000 Kerr-McGee Corporation,
7.500% due 05/15/2014 ............................ $ 278,625
------------
PHARMACEUTICALS -- 1.6%
6,680,000 Roche Holdings,
5.196%(a) due 05/06/2012**^ ...................... 3,369,257
1,150,000 Sepracor Inc.,
7.000% due 12/15/2005** .......................... 1,216,125
------------
4,585,382
------------
PRINTING/PUBLISHING -- 2.1%
12,500,000 Times Mirror Company,
4.232%(a) due 04/15/2017 ......................... 6,109,375
------------
RETAIL -- 0.1%
485,000 Rite Aid Corporation,
5.250% due 09/15/2002 ............................ 331,013
------------
TELECOMMUNICATIONS -- 1.0%
1,245,000 Bellsouth Telecommunications,
5.850% due 11/15/2045 ............................ 1,238,093
1,000,000 Motorola, Inc.,
2.250%(a) due 09/27/2013 ......................... 1,687,500
------------
2,925,593
------------
UTILITIES -- 0.5%
1,450,000 Potomac Electric Power Corporation,
5.000% due 09/01/2002 ............................ 1,417,375
------------
WASTE MANAGEMENT -- 1.6%
5,180,000 Waste Management, Inc.,
4.000% due 02/01/2002 ............................ 4,558,400
------------
Total Convertible Bonds and Notes
(Cost $62,084,465) ............................... 60,685,593
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.9%
500,000 Federal National Mortgage Association,
6.375% due 01/16/2002 ............................ 498,184
1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001 ............................ 1,008,660
Tennessee Valley Authority Power:
10,835,000 5.880% due 04/01/2036 ............................ 10,198,444
1,400,000 5.980% due 04/01/2036 ............................ 1,325,062
3,900,000 6.235% due 07/15/2045 ............................ 3,875,355
------------
Total U.S. Government Agency Obligations
(Cost $17,879,461) ............................... 16,905,705
------------
U.S. TREASURY NOTES -- 3.2%
4,800,000 5.875% due 02/15/2000 ............................. 4,803,106
500,000 6.125% due 07/31/2000 ............................. 501,100
600,000 6.250% due 04/30/2001 ............................. 600,534
1,100,000 6.250% due 10/31/2001 ............................. 1,100,253
2,205,000 5.875% due 09/30/2002 ............................. 2,183,126
------------
Total U.S. Treasury Notes
(Cost $9,238,323) ................................ 9,188,119
------------
See Notes to Financial Statements.
77
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1999
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- ----------- ---------- -------- --------
PUT STOCK OPTIONS PURCHASED -- 0.0%#
50 Motorola Corporation ..... 01/22/2000 $110.00 $ 2,188
20 Motorola Corporation ..... 04/22/2000 130.00 16,250
50 Motorola Corporation ..... 01/22/2000 95.00 625
70 Weyerhauser Company ...... 01/22/2000 75.00 30,188
------------
Total Put Stock Options Purchased
(Cost $296,445) ................................... 49,251
------------
TOTAL INVESTMENTS (COST $251,244,977*) .................. 88.9% 256,063,850
------------
LIABILITY FOR CALL OPTIONS WRITTEN -- 0.0%#
(Premiums Received $50,398)
75 Weyerhauser Company ...... 01/22/2000 $ 65.00 (58,125)
------------
OTHER ASSETS AND LIABILITIES (NET) ..................... 11.1 31,903,321
----- ------------
NET ASSETS ............................................. 100.0% $287,909,046
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $251,370,811.
** 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.
^ Illiquid security.
(DAGGER) Non-income producing security.
(a) The rate shown is the effective yield at date of purchase.
# Amount represents less than 0.1%.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
78
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
EQUITY INCOME SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- 95.3%
AEROSPACE/DEFENSE -- 1.9%
46,000 Boeing Company ................................... $ 1,911,875
14,062 Honeywell International Inc. ..................... 811,202
114,700 Lockheed Martin Corporation ...................... 2,509,062
------------
5,232,139
------------
AUTOMOTIVE -- 1.8%
26,000 Dana Corporation ................................. 778,375
15,900 General Motors Corporation ....................... 1,155,731
68,400 Genuine Parts Company ............................ 1,697,175
27,200 TRW Inc. ......................................... 1,412,700
------------
5,043,981
------------
BANKS -- 6.9%
30,100 Bank of America Corporation ...................... 1,510,644
64,100 Bank One Corporation ............................. 2,055,206
11,200 The Chase Manhattan Corporation .................. 870,100
46,000 Firstar Corporation .............................. 971,750
97,761 FleetBoston Financial Corporation ................ 3,403,305
25,100 KeyCorp .......................................... 555,337
150,700 Mellon Financial Corporation ..................... 5,133,219
49,000 Mercantile Bankshares Corporation ................ 1,564,937
47,400 National City Corporation ........................ 1,122,787
51,000 Wells Fargo Company .............................. 2,062,312
------------
19,249,597
------------
CHEMICALS -- 4.4%
55,200 CK Witco Corporation ............................. 738,300
20,100 The Dow Chemical Company ......................... 2,685,862
52,500 du Pont (E.I) de Nemours and Company ............. 3,458,437
50,000 Great Lakes Chemical Corporation ................. 1,909,375
76,800 Hercules, Inc. ................................... 2,140,800
32,500 Imperial Chemical Industries Plc, ADR ............ 1,383,281
------------
12,316,055
------------
COMPUTER INDUSTRY -- 1.4%
50,300 Compaq Computer Corporation ...................... 1,361,244
22,200 Hewlett-Packard Company .......................... 2,529,412
------------
3,890,656
------------
CONSUMER PRODUCTS -- 7.8%
45,800 Eastman Kodak Company ............................ 3,034,250
86,000 Fort James Corporation ........................... 2,354,250
44,900 Fortune Brands, Inc. ............................. 1,484,506
62,400 Hasbro, Inc. ..................................... 1,189,500
72,900 International Flavors & Fragrances, Inc. ......... 2,751,975
60,100 Kimberly-Clark Corporation ....................... 3,921,525
85,200 Philip Morris Companies, Inc. .................... 1,975,575
64,300 The Stanley Works ................................ 1,937,037
49,200 Tupperware Corporation ........................... 833,325
89,000 UST, Inc. ........................................ 2,241,687
------------
21,723,630
------------
ELECTRONICS -- 0.4%
45,400 Hubbell, Inc., Class B ........................... 1,237,150
------------
FINANCIAL SERVICES -- 4.8%
71,400 Citigroup, Inc. .................................. 3,967,162
58,300 Dun & Bradstreet Corporation ..................... 1,719,850
51,800 Fannie Mae ....................................... 3,234,262
37,500 H&R Block, Inc. .................................. 1,640,625
22,100 Morgan (J.P) & Company ........................... 2,798,412
------------
13,360,311
------------
VALUE
SHARES (NOTE 1)
------ --------
FOOD AND BEVERAGES -- 7.5%
40,900 Anheuser-Busch Companies, Inc. ................... $ 2,898,788
33,600 Brown-Forman Corporation, Class B ................ 1,923,600
45,900 Campbell Soup Company ............................ 1,775,756
105,800 General Mills, Inc. .............................. 3,782,350
63,800 H.J. Heinz Company ............................... 2,540,037
51,500 Hershey Foods Corporation ........................ 2,446,250
41,100 Kellogg Company .................................. 1,266,394
71,500 McCormick & Company, Inc. ........................ 2,127,125
30,500 The Quaker Oats Company .......................... 2,001,562
------------
20,761,862
------------
HEALTH CARE -- 0.2%
21,400 Becton, Dickinson & Company ...................... 572,450
------------
HOTELS/RESORTS -- 1.2%
122,000 Hilton Hotels Corporation ........................ 1,174,250
88,900 Starwood Hotels and Resorts Worldwide, Inc. ...... 2,089,150
------------
3,263,400
------------
INSURANCE -- 5.0%
41,900 American General Corporation ..................... 3,179,162
35,400 The Chubb Corporation ............................ 1,993,462
36,400 Lincoln National Corporation ..................... 1,456,000
54,000 SAFECO Corporation ............................... 1,343,250
90,900 The St. Paul Companies, Inc. ..................... 3,062,194
61,400 UnumProvident Corporation ........................ 1,968,637
17,800 XL Capital Ltd., Class A ......................... 923,375
------------
13,926,080
------------
LEISURE ENTERTAINMENT -- 1.2%
110,600 The Walt Disney Company .......................... 3,235,050
------------
MANUFACTURING -- 5.3%
39,800 Armstrong World Industries, Inc. ................. 1,328,325
33,400 Cooper Industries, Inc. .......................... 1,350,612
33,500 Minnesota Mining and
Manufacturing Company ........................... 3,278,813
99,000 Pall Corporation ................................. 2,134,688
23,600 Phelps Dodge Corporation ......................... 1,584,150
30,600 PPG Industries, Inc. ............................. 1,914,413
22,300 Reynolds Metals Company .......................... 1,708,738
22,000 Whirlpool Corporation ............................ 1,431,375
------------
14,731,114
------------
MINING -- 1.0%
44,400 Inco, Ltd. ....................................... 1,043,400
67,700 Newmont Mining Corporation ....................... 1,658,650
------------
2,702,050
------------
OIL AND GAS -- 14.4%
51,900 Amerada Hess Corporation ......................... 2,945,325
56,100 Atlantic Richfield Company (ARCO) ................ 4,852,650
121,800 Baker Hughes, Inc. ............................... 2,565,413
79,800 BP Amoco Plc, ADR ................................ 4,733,138
45,100 Chevron Corporation .............................. 3,906,788
113,762 Exxon Mobil Corporation .......................... 9,164,951
24,500 Phillips Petroleum Company ....................... 1,151,500
56,600 Royal Dutch Petroleum
Company, NY Shares .............................. 3,420,763
59,500 Texaco Inc. ...................................... 3,231,594
77,400 Unocal Corporation ............................... 2,597,738
56,600 USX-Marathon Group ............................... 1,397,313
------------
39,967,173
------------
See Notes to Financial Statements.
79
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
EQUITY INCOME SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- (CONTINUED)
PAPER AND FOREST PRODUCTS -- 2.5%
57,000 Consolidated Papers, Inc. ......................... $ 1,813,313
88,793 International Paper Company ....................... 5,011,255
------------
6,824,568
------------
PHARMACEUTICALS -- 3.9%
54,400 Abbott Laboratories ............................... 1,975,400
108,500 American Home Products Corporation ................ 4,278,969
18,300 Merck & Company, Inc. ............................. 1,227,244
72,500 Pharmacia & Upjohn, Inc. .......................... 3,262,500
------------
10,744,113
------------
PRINTING/PUBLISHING -- 2.7%
49,900 Donnelley (R.R.) & Sons Company ................... 1,238,144
26,900 Dow Jones & Company, Inc. ......................... 1,829,200
49,900 Knight-Ridder, Inc. ............................... 2,969,050
44,900 The Reader's Digest
Association, Inc., Class A ....................... 1,313,325
------------
7,349,719
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
55,700 The Rouse Company ................................. 1,183,625
74,900 Simon Property Group, Inc. ........................ 1,718,019
21,500 Vornado Realty Trust .............................. 698,750
------------
3,600,394
------------
RETAIL -- 1.6%
40,800 May Department Stores Company ..................... 1,315,800
38,400 J.C. Penney Company, Inc. ......................... 765,600
64,600 Rite Aid Corporation .............................. 722,713
116,300 Toys "R" Us, Inc.(DAGGER) ......................... 1,664,544
------------
4,468,657
------------
SERVICES -- 0.7%
84,000 Xerox Corporation ................................. 1,905,750
------------
TELECOMMUNICATIONS -- 9.6%
49,100 ALLTEL Corporation ................................ 4,059,956
28,500 AT&T Corporation .................................. 1,446,375
40,600 BCE, Inc. ......................................... 3,661,613
55,000 Bell Atlantic Corporation ......................... 3,385,938
24,800 BellSouth Corporation ............................. 1,160,950
63,300 GTE Corporation ................................... 4,466,606
107,700 SBC Communications Inc. ........................... 5,250,375
44,800 US West, Inc. ..................................... 3,225,600
------------
26,657,413
------------
VALUE
SHARES (NOTE 1)
------ --------
TRANSPORTATION -- 2.3%
27,700 Burlington Northern
Santa Fe Corporation ............................. $ 671,725
17,300 GATX Corporation .................................. 583,875
119,600 Norfolk Southern Corporation ...................... 2,451,800
61,900 Union Pacific Corporation ......................... 2,700,388
------------
6,407,788
------------
UTILITIES -- 4.8%
39,600 DQE, Inc. ......................................... 1,371,150
40,400 Duke Energy Corporation ........................... 2,025,050
32,100 Entergy Corporation ............................... 826,575
73,300 FirstEnergy Corporation ........................... 1,662,994
43,400 Niagara Mohawk Holdings, Inc.(DAGGER) ............. 604,888
51,800 Reliant Energy, Inc. .............................. 1,184,925
45,896 Scottish Power Plc, ADR ........................... 1,285,088
77,200 Southern Company .................................. 1,814,200
40,000 TECO Energy, Inc. ................................. 742,500
53,600 Unicom Corporation ................................ 1,795,600
------------
13,312,970
------------
WASTE MANAGEMENT -- 0.7%
106,300 Waste Management, Inc. ............................ 1,827,031
------------
Total Common Stocks
(Cost $276,817,627) .............................. 264,311,101
------------
TOTAL INVESTMENTS (COST $276,817,627*) .... 95.3% 264,311,101
OTHER ASSETS AND LIABILITIES (NET) ........ 4.7 13,043,121
----- ------------
NET ASSETS ................................ 100.0% $277,354,222
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $276,925,887.
(DAGGER) Non-income producing security.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
80
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
RISING DIVIDENDS SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- 98.2%
BANKS -- 6.6%
438,800 State Street Corporation .......................... $ 32,059,825
675,310 Wells Fargo Company ............................... 27,307,848
------------
59,367,673
------------
COMPUTER INDUSTRY -- 9.7%
397,370 Hewlett-Packard Company ........................... 45,275,344
392,610 International Business
Machines Corporation ............................. 42,401,880
------------
87,677,224
------------
CONSUMER PRODUCTS -- 4.3%
352,610 The Procter & Gamble Company ...................... 38,632,833
------------
DATA SERVICES -- 8.6%
777,140 Automatic Data Processing Inc. .................... 41,868,417
535,210 Electronic Data Systems Corporation ............... 35,825,619
------------
77,694,036
------------
ELECTRONICS -- 12.8%
565,800 Emerson Electric Company .......................... 32,462,775
236,920 General Electric Company .......................... 36,663,370
555,380 Intel Corporation ................................. 45,714,716
------------
114,840,861
------------
FINANCIAL SERVICES -- 3.7%
539,400 Fannie Mae ........................................ 33,678,788
------------
FOOD AND BEVERAGES -- 9.5%
644,110 Bestfoods ......................................... 33,856,032
590,270 The Coca-Cola Company ............................. 34,383,228
208,570 Wrigley, (Wm) Jr. Company ......................... 17,298,274
------------
85,537,534
------------
HEALTH CARE -- 3.3%
819,340 Medtronic, Inc. ................................... 29,854,701
------------
INSURANCE -- 6.2%
171,700 American International Group, Inc. ................ 18,565,063
392,770 Marsh & McLennan Companies, Inc. .................. 37,583,179
------------
56,148,242
------------
VALUE
SHARES (NOTE 1)
------ ------------
LEISURE ENTERTAINMENT -- 4.0%
1,215,420 The Walt Disney Company ........................... $ 35,551,035
------------
MANUFACTURING -- 6.8%
431,340 Illinois Tool Works ............................... 29,142,409
512,780 PPG Industries, Inc. .............................. 32,080,799
------------
61,223,208
------------
OIL AND GAS -- 3.9%
430,060 Exxon Mobil Corporation ........................... 34,646,709
------------
PHARMACEUTICALS -- 11.1%
947,310 Abbott Laboratories ............................... 34,399,194
375,720 Johnson & Johnson ................................. 34,988,925
450,080 Merck & Company, Inc. ............................. 30,183,490
------------
99,571,609
------------
RESTAURANTS -- 3.7%
821,040 McDonald's Corporation ............................ 33,098,175
------------
TELECOMMUNICATIONS -- 4.0%
711,130 AT&T Corporation .................................. 36,089,848
------------
Total Common Stocks
(Cost $711,259,022) .............................. 883,612,476
------------
PRINCIPAL
AMOUNT
- -----------
COMMERCIAL PAPER -- 1.2%
(Cost $10,768,000)
$10,768,000 American Express Credit Corporation,
1.000% due 01/03/2000 ............................ 10,768,000
------------
TOTAL INVESTMENTS (COST $722,027,022*) .... 99.4% 894,380,476
OTHER ASSETS AND LIABILITIES (NET) ........ 0.6 5,372,220
----- ------------
NET ASSETS ................................ 100.0% $899,752,696
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
81
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
CAPITAL GROWTH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 96.8%
APPAREL AND TEXTILES -- 1.7%
150,000 Tommy Hilfiger Corporation(DAGGER) ................ $ 3,496,875
500,000 Unifi, Inc.(DAGGER) ............................... 6,156,250
------------
9,653,125
------------
BANKS -- 0.5%
70,000 The Bank of Tokyo-Mitsubishi, Ltd., ADR ........... 975,625
263,500 Sovereign Bancorp, Inc. ........................... 1,963,898
------------
2,939,523
------------
BROADCAST, RADIO AND TELEVISION -- 3.3%
50,000 Fox Entertainment Group, Inc., Class A(DAGGER) .... 1,246,875
230,000 Hearst-Argyle Television, Inc.(DAGGER) ............ 6,123,750
55,000 Metro-Goldwyn-Mayer Inc.(DAGGER) .................. 1,295,937
220,000 Rogers Communications, Inc., Class B(DAGGER) ..... 5,445,000
30,000 UnitedGlobalCom Inc., Class A(DAGGER) ............. 2,118,750
50,000 USA Networks, Inc.(DAGGER) ........................ 2,762,500
------------
18,992,812
------------
CHEMICALS -- 1.1%
500,000 Lyondell Chemical Company ......................... 6,375,000
------------
COMPUTER INDUSTRY -- 3.2%
73,800 Ardent Software, Inc.(DAGGER) ..................... 2,878,200
298,700 Informix Corporation(DAGGER) ...................... 3,416,381
280,000 Policy Management Systems Corporation(DAGGER) ..... 7,157,500
80,000 PSINet Inc.(DAGGER) ............................... 4,940,000
------------
18,392,081
------------
ELECTRONICS -- 1.5%
100,000 Fairchild Semiconductor
Corporation, Class A(DAGGER) ..................... 2,975,000
16,000 KYOCERA Corporation, ADR .......................... 4,192,000
20,000 RF Micro Devices, Inc.(DAGGER) .................... 1,368,750
------------
8,535,750
------------
ENERGY -- 0.1%
10,000 The AES Corporation(DAGGER) 747,500
------------
FINANCIAL SERVICES -- 7.7%
200,000 Associates First Capital
Corporation, Class A ............................. 5,487,500
104,600 The CIT Group, Inc., Class A ...................... 2,209,675
193,100 Fiserv, Inc.(DAGGER) .............................. 7,398,144
100,000 Healthcare Financial Partners, Inc.(DAGGER)^ ...... 3,500,000
400,000 Legg Mason, Inc. .................................. 14,500,000
200,000 MBIA, Inc. ........................................ 10,562,500
------------
43,657,819
------------
FOOD AND BEVERAGES -- 0.2%
75,000 The Pepsi Bottling Group, Inc. .................... 1,242,187
------------
HEALTH CARE -- 4.5%
21,481 Genzyme Surgical Products(DAGGER) ................. 124,858
924,300 Health Management Associates, Inc.,
Class A(DAGGER) .................................. 12,362,513
600,000 HEALTHSOUTH Corporation(DAGGER) ................... 3,225,000
150,000 McKesson HBOC, Inc. ............................... 3,384,375
130,000 Tenet Healthcare Corporation(DAGGER) .............. 3,055,000
450,000 Venator Group, Inc.(DAGGER) ....................... 3,150,000
------------
25,301,746
------------
HOTELS/RESORTS -- 1.9%
425,000 Extended Stay America, Inc.(DAGGER) ............... 3,240,625
300,000 Park Place Entertainment Corporation(DAGGER) ...... 3,750,000
200,000 Sun International Hotels Ltd.(DAGGER) ............. 3,875,000
------------
10,865,625
------------
VALUE
SHARES (NOTE 1)
------ ------------
INSURANCE -- 6.7%
600,000 Ace Ltd. .......................................... $ 10,012,500
230,000 CNA Financial Corporation(DAGGER) ................. 8,955,625
90,000 E.W. Blanche Holdings, Inc. ....................... 5,512,500
254,500 Radian Group, Inc. ................................ 12,152,375
40,000 Travelers Property Casualty
Corporation, Class A ............................. 1,370,000
------------
38,003,000
------------
LEISURE ENTERTAINMENT -- 2.6%
300,000 Royal Carribean Cruises Ltd. ...................... 14,793,750
------------
MANUFACTURING -- 2.4%
1,000 Industrie Natuzzi SpA, ADR ........................ 13,250
50,000 Masco Corporation ................................. 1,268,750
197,200 Mohawk Industries, Inc.(DAGGER) ................... 5,201,150
30,000 Monaco Coach Corporation(DAGGER) .................. 766,875
438,400 U.S. Industries, Inc. ............................. 6,137,600
------------
13,387,625
------------
OIL AND GAS -- 3.8%
200,000 Kerr-McGee Corporation ............................ 12,400,000
46,300 Louis Dreyfus Natural Gas Corporation(DAGGER) ..... 839,188
40,000 Murphy Oil Corporation ............................ 2,295,000
75,000 Santa Fe International Corporation ................ 1,940,625
273,000 Stolt Comex Seaway, S.A., ADR(DAGGER) ............. 3,003,000
80,700 Stolt Comex Seaway S.A.(DAGGER) ................... 892,744
------------
21,370,557
------------
PHARMACEUTICALS -- 2.3%
50,000 Human Genome Sciences, Inc.(DAGGER) ............... 7,631,250
285,000 Quintiles Transnational Corporation(DAGGER) ....... 5,325,938
------------
12,957,188
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
115,000 Boston Properties, Inc. ........................... 3,579,375
77,629 Canadian Hotel Income Properties .................. 475,938
------------
4,055,313
------------
RETAIL -- 1.1%
50,000 Bed Bath & Beyond, Inc.(DAGGER) ................... 1,737,500
1 Delhaize America, Inc., Class A ................... 20
70,000 The Kroger Company(DAGGER) ........................ 1,321,250
150,000 The TJX Companies, Inc. ........................... 3,065,625
1 Too Inc.(DAGGER) .................................. 17
------------
6,124,412
------------
SERVICES -- 4.7%
175,000 Cendant Corporation(DAGGER) ....................... 4,648,438
400,000 Ceridian Corporation(DAGGER) ...................... 8,625,000
40,000 DBT Online, Inc.(DAGGER) .......................... 975,000
250,000 R. H. Donnelley Corporation ....................... 4,718,750
5,000 United Rentals, Inc.(DAGGER) ...................... 85,625
275,000 Viad Corporation .................................. 7,665,625
------------
26,718,438
------------
TELECOMMUNICATIONS -- 38.4%
25,000 3Com Corporation(DAGGER) .......................... 1,175,000
425,000 Adelphia Business Solutions, Inc.(DAGGER) ......... 20,400,000
200,000 Amdocs Ltd.(DAGGER) ............................... 6,900,000
60,100 CenturyTel, Inc. .................................. 2,847,238
350,000 Clearnet Communications Inc.(DAGGER) .............. 12,031,250
920,000 Global TeleSystems Group, Inc.(DAGGER) ............ 31,855,000
450,000 Millicom International Cellular S.A.(DAGGER) ...... 28,068,750
280,000 NTL, Inc.(DAGGER) ................................. 34,930,000
25,000 Osicom Technologies, Inc.(DAGGER) ................. 1,134,375
195,000 RCN Corporation(DAGGER) ........................... 9,457,500
185,000 Scientific-Atlanta, Inc. .......................... 10,290,625
See Notes to Financial Statements.
82
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
CAPITAL GROWTH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- (CONTINUED)
TELECOMMUNICATIONS -- (CONTINUED)
160,000 Telephone and Data Systems, Inc. ................. $ 20,160,000
150,000 United States Cellular Corporation(DAGGER) ....... 15,140,625
170,000 Viatel, Inc.(DAGGER) ............................. 9,116,250
100,000 VoiceStream Wireless Corporation(DAGGER) ......... 14,231,250
------------
217,737,863
------------
TRANSPORTATION -- 8.4%
100,000 Alaska Air Group, Inc.(DAGGER) ................... 3,512,500
20,000 British Airways Plc, ADR ......................... 1,287,500
230,000 Budget Group, Inc., Class A(DAGGER) .............. 2,084,375
560,000 Continental Airlines, Inc., Class B(DAGGER) ...... 24,850,000
20,000 Delta Air Lines, Inc. ............................ 996,250
115,000 Knightsbridge Tankers, Ltd. ...................... 1,552,500
610,000 Northwest Airlines Corporation(DAGGER) ........... 13,572,500
------------
47,855,625
------------
Total Common Stocks
(Cost $458,704,682) ............................. 549,706,939
------------
PREFERRED STOCKS -- 0.2%
INDUSTRIAL -- 0.0%#
5,269 Hybridon, Inc., Series A(DAGGER) ................. 220,639
------------
TELECOMMUNICATIONS -- 0.2%
25,000 Amdocs TRACES .................................... 803,125
------------
Total Preferred Stocks
(Cost $898,475) ................................. 1,023,764
------------
PRINCIPAL
AMOUNT
- -----------
CONVERTIBLE BONDS -- 1.4%
(Cost $4,808,794)
TELECOMMUNICATIONS -- 1.4%
$ 3,000,000 NTL Inc.,
7.000% due 12/15/2008 ........................... 7,935,000
------------
VALUE
SHARES (NOTE 1)
------ ------------
WARRANTS -- 0.1%
FINANCIAL SERVICES -- 0.1%
40,000 Healthcare Financial Partners, Inc.^ ............. $ 674,160
------------
PHARMACEUTICALS -- 0.0%#
30,995 Hybridon, Inc. ................................... 310
------------
Total Warrants
(Cost $485,600) ................................. 674,470
------------
PRINCIPAL
AMOUNT
- -----------
COMMERCIAL PAPER -- 0.9%
(Cost $4,995,083)
$ 5,000,000 Prudential Funding Corporation,
5.849%(DOUBLE DAGGER) due 01/07/2000 4,995,083
------------
TOTAL INVESTMENTS (COST $469,892,634*) .... 99.4% 564,335,256
OTHER ASSETS AND LIABILITIES (NET) ........ 0.6 3,292,730
----- ------------
NET ASSETS ................................ 100.0% $567,627,986
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $469,963,929.
^ Illiquid security.
(DAGGER) Non-income producing security. (DOUBLE DAGGER) Annualized yield at date
of purchase.
# Amount is less than 0.1%.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
83
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
GROWTH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- 91.1%
ADVERTISING -- 1.6%
88,000 Lamar Advertising Company(DAGGER) ................ $ 5,329,500
120,660 TMP Worldwide Inc.(DAGGER) ....................... 17,133,720
--------------
22,463,220
--------------
BANKS -- 1.3%
158,400 Fifth Third Bancorp. ............................. 11,622,600
337,280 Firstar Corporation .............................. 7,125,040
--------------
18,747,640
--------------
BROADCAST, RADIO AND TELEVISION -- 14.8%
1,372,382 AT&T Corp. - Liberty Media Group,
Class A(DAGGER) ................................. 77,882,678
194,440 Cablevision Systems Corporation,
Class A(DAGGER) ................................. 14,680,220
595,360 Comcast Corporation, Special Class A ............. 30,102,890
286,135 Cox Communications, Inc., Class A(DAGGER) ........ 14,735,952
325,842 Infinity Broadcasting Corporation,
Class A(DAGGER) ................................. 11,791,407
42,200 Liberty Digital, Inc.(DAGGER) .................... 3,133,350
558,340 Time Warner Inc. ................................. 40,444,754
242,630 UnitedGlobalCom Inc., Class A(DAGGER) ............ 17,135,744
--------------
209,906,995
--------------
COMPUTER INDUSTRY -- 24.9%
174,095 America Online, Inc.(DAGGER) ..................... 13,133,292
170,370 ASM Lithography Holding N.V.(DAGGER) ............. 19,379,587
380,010 Cisco Systems, Inc.(DAGGER) ...................... 40,708,571
59,530 DoubleClick Inc.(DAGGER) ......................... 15,064,811
373,365 Electronic Arts Inc.(DAGGER) ..................... 31,362,660
296,730 EMC Corporation(DAGGER) .......................... 32,417,752
261,425 Exodus Communications, Inc.(DAGGER) .............. 23,217,808
175,115 i2 Technologies, Inc.(DAGGER) .................... 34,147,425
12,675 InfoSpace.com, Inc.(DAGGER) ...................... 2,712,450
71,690 Inktomi Corporation(DAGGER) ...................... 6,362,487
32,575 Internet Capital Group, Inc.(DAGGER) ............. 5,537,750
220,785 Microsoft Corporation(DAGGER) .................... 25,776,649
134,360 Phone.com, Inc.(DAGGER) .......................... 15,577,362
198,835 Sapient Corporation(DAGGER) ...................... 28,023,308
65,380 Software.com, Inc.(DAGGER) ....................... 6,276,480
123,920 VeriSign, Inc.(DAGGER) ........................... 23,660,975
116,152 VERITAS Software Corporation(DAGGER) ............. 16,624,255
44,495 Vignette Corporation(DAGGER) ..................... 7,252,685
101,415 Whittman-Hart, Inc.(DAGGER) ...................... 5,438,379
--------------
352,674,686
--------------
ELECTRONICS -- 1.0%
122,005 PE Corp-PE Biosystems Group ...................... 14,678,727
--------------
FINANCIAL SERVICES -- 2.0%
119,940 American Express Company ......................... 19,940,025
336,935 E*TRADE Group, Inc.(DAGGER) ...................... 8,802,427
--------------
28,742,452
--------------
HEALTH CARE -- 2.5%
673,565 Medtronic, Inc. .................................. 24,543,025
143,995 MiniMed Inc.(DAGGER) ............................. 10,547,634
--------------
35,090,659
--------------
INDUSTRIAL -- 2.1%
123,968 Mannesmann AG .................................... 30,217,763
--------------
VALUE
SHARES (NOTE 1)
------ ------------
OIL AND GAS -- 3.1%
990,890 Enron Corporation ................................ $ 43,970,744
--------------
PHARMACEUTICALS -- 2.9%
103,220 Pfizer Inc. ...................................... 3,348,199
885,740 Schering-Plough Corporation ...................... 37,367,156
--------------
40,715,355
--------------
RETAIL -- 5.0%
646,740 Amazon.com, Inc.(DAGGER) ......................... 49,233,082
59,690 eBay, Inc.(DAGGER) ............................... 7,472,442
1,207,695 Rite Aid Corporation ............................. 13,511,088
--------------
70,216,612
--------------
SEMICONDUCTORS -- 6.6%
205,850 Applied Materials, Inc.(DAGGER) .................. 26,078,622
47,450 Broadcom Corporation, Class A(DAGGER) ............ 12,924,194
274,820 Conexant Systems, Inc.(DAGGER) ................... 18,241,177
113,225 Maxim Integrated Products, Inc.(DAGGER) .......... 5,342,805
206,520 Texas Instruments, Inc. .......................... 20,006,625
223,585 Vitesse Semiconductor Corporation(DAGGER) ........ 11,724,238
--------------
94,317,661
--------------
SERVICES -- 1.7%
122,700 Pittway Corporation, Class A ..................... 5,498,494
414,700 USWeb Corporation(DAGGER) ........................ 18,428,231
--------------
23,926,725
--------------
TELECOMMUNICATIONS -- 21.6%
42,270 EchoStar Communications Corporation,
Class A(DAGGER) ................................. 4,121,325
121,920 JDS Uniphase Corporation(DAGGER) ................. 19,667,220
252,640 Level 3 Communications Inc.(DAGGER) .............. 20,684,900
56,490 Nextel Communications, Inc., Class A(DAGGER) ..... 5,825,531
75,928 Nokia Oyj ........................................ 13,766,129
799,696 Nokia Oyj, ADR ................................... 151,942,240
124,771 NTL, Inc.(DAGGER) ................................ 15,565,182
139,740 Sprint Corporation (PCS Group)(DAGGER) ........... 14,323,350
11,400 Telefonica de Espana, ADR ........................ 898,462
534,246 Telefonica S.A.(DAGGER) .......................... 13,345,361
119,325 Telefonos de Mexico S.A., Class L, ADR ........... 13,424,063
141,930 VoiceStream Wireless Corporation(DAGGER) ......... 20,198,413
156,710 WinStar Communications, Inc.(DAGGER) ............. 11,792,428
--------------
305,554,604
--------------
Total Common Stocks
(Cost $854,671,439) ............................. 1,291,223,843
--------------
PRINCIPAL
AMOUNT
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 4.6%
Federal National Mortgage Asssociation Discount:
$15,000,000 5.761%(DOUBLE DAGGER) due 01/20/2000 ............ 14,955,192
10,000,000 5.654%(DOUBLE DAGGER) due 01/24/2000 ............ 9,964,989
15,000,000 5.699%(DOUBLE DAGGER) due 02/07/2000 ............ 14,913,975
5,000,000 5.420%(DOUBLE DAGGER) due 05/15/2000 ............ 4,894,500
20,000,000 Federal Home Loan Mortgage Corporation,
5.706%(DOUBLE DAGGER) due 02/10/2000 ............ 19,875,556
--------------
Total U.S. Government Agency Discount Notes
(Cost $64,614,461) .............................. 64,604,212
--------------
See Notes to Financial Statements.
84
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
GROWTH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMERCIAL PAPER -- 2.5%
(Cost $35,791,050)
$35,800,000 Household Finance Corporation,
4.869%(DOUBLE DAGGER) due 01/03/2000 ............ $ 35,791,050
--------------
TOTAL INVESTMENTS (COST $955,076,950*) ... 98.2% 1,391,619,105
OTHER ASSETS AND LIABILITIES (NET) ....... 1.8 25,253,115
------ --------------
NET ASSETS ............................... 100.0% $1,416,872,220
===== ==============
- ------------------------------
* Aggregate cost for Federal tax purposes was $961,484,756.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
EMU -- European Monetary Unit
- --------------------------------------------------------------------------------
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO BUY
CONTRACTS TO RECEIVE
-----------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- --------------- ------------ ---------- ------------
04/07/2000 EMU 8,000,000 $8,451,300 $8,116,551 $(334,749)
----------
$(334,749)
----------
FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS TO SELL
CONTRACTS TO DELIVER
-----------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ APPRECIATION
- ---------- --------------- ------------ ----------- -------------
04/07/2000 EMU 39,000,000 $41,311,849 $39,568,187 $1,743,662
04/14/2000 EMU 16,000,000 16,295,870 16,241,135 54,735
06/09/2000 EMU 58,000,000 60,516,930 59,107,056 1,409,874
-----------
$3,208,271
-----------
Net Unrealized Appreciation of Forward
Foreign Currency Exchange Contracts ............... $2,873,522
==========
See Notes to Financial Statements.
85
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
VALUE EQUITY SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- 95.6%
AEROSPACE/DEFENSE -- 1.2%
62,000 Raytheon Company, Class B ......................... $ 1,646,875
------------
AUTOMOTIVE -- 3.4%
66,000 General Motors Corporation ........................ 4,797,375
------------
BANKS -- 14.5%
65,000 Bank of America Corporation ....................... 3,262,187
63,800 CCB Financial Corporation ......................... 2,779,287
100,000 Charter One Financial, Inc. ....................... 1,912,500
52,000 The Chase Manhattan Corporation ................... 4,039,750
100,000 First Union Corporation ........................... 3,281,250
76,000 FleetBoston Financial Corporation ................. 2,645,750
100,000 Washington Mutual, Inc. ........................... 2,600,000
------------
20,520,724
------------
BROADCAST, RADIO AND TELEVISION -- 5.3%
45,000 MediaOne Group, Inc.(DAGGER) ...................... 3,456,563
66,000 Viacom Inc., Class A(DAGGER) ...................... 3,988,875
------------
7,445,438
------------
CHEMICALS -- 4.5%
38,926 du Pont (E.I.) de Nemours and Company ............. 2,564,250
76,000 Praxair, Inc. ..................................... 3,823,750
------------
6,388,000
------------
COMPUTER INDUSTRY -- 10.0%
150,000 Compaq Computer Corporation ....................... 4,059,375
75,000 Electronic Data Systems Corporation ............... 5,020,312
46,500 International Business Machines
Corporation ...................................... 5,022,000
------------
14,101,687
------------
CONSUMER PRODUCTS -- 4.0%
110,000 Fortune Brands, Inc. .............................. 3,636,875
81,800 UST, Inc. ......................................... 2,060,338
------------
5,697,213
------------
ELECTRONICS -- 2.5%
26,460 Koninklijke (Royal) Philips
Electronics N.V. ................................. 3,572,100
------------
FINANCIAL SERVICES -- 6.5%
75,000 Freddie Mac ....................................... 3,529,687
26,700 Lehman Brothers Holdings Inc. ..................... 2,261,156
81,400 SLM Holding Corporation ........................... 3,439,150
------------
9,229,993
------------
HEALTH CARE -- 7.3%
42,000 Aetna Inc. ........................................ 2,344,125
57,000 Bausch & Lomb, Inc. ............................... 3,900,937
140,000 Columbia/HCA Healthcare Corporation ............... 4,103,750
------------
10,348,812
------------
INSURANCE -- 3.4%
112,000 The Allstate Corporation .......................... 2,688,000
20,000 American International Group, Inc. ................ 2,162,500
------------
4,850,500
------------
VALUE
SHARES (NOTE 1)
------ ------------
MANUFACTURING -- 7.1%
44,000 Eaton Corporation ................................. $ 3,195,500
56,250 Honeywell International Inc. ...................... 3,244,922
37,000 Minnesota Mining and Manufacturing
Company .......................................... 3,621,375
------------
10,061,797
------------
OIL AND GAS -- 14.3%
81,000 BP Amoco Plc, ADR ................................. 4,804,312
55,000 Burlington Resources Inc. ......................... 1,818,438
81,933 Conoco Inc., Class B .............................. 2,038,083
102,000 El Paso Energy Corporation ........................ 3,958,875
44,000 Exxon Mobil Corporation ........................... 3,544,750
49,000 Transocean Sedco Forex Inc. ....................... 1,650,688
100,000 USX-Marathon Group ................................ 2,468,750
------------
20,283,896
------------
PAPER AND FOREST PRODUCTS -- 2.2%
55,000 International Paper Company ....................... 3,104,063
------------
PHARMACEUTICALS -- 1.2%
38,000 Pharmacia & Upjohn, Inc. .......................... 1,710,000
------------
RETAIL -- 2.8%
80,000 Federated Department Stores, Inc.(DAGGER) ......... 4,045,000
------------
TELECOMMUNICATIONS -- 5.4%
65,000 BellSouth Corporation ............................. 3,042,813
94,000 SBC Communications Inc. ........................... 4,582,500
------------
7,625,313
------------
Total Common Stocks
(Cost $125,703,139) .............................. 135,428,786
------------
PRINCIPAL
AMOUNT
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 2.8%
(Cost $3,896,719)
$ 3,897,000 Federal Home Loan Bank,
1.217%(DOUBLE DAGGER) due 01/03/2000 ............. 3,896,719
------------
TOTAL INVESTMENTS (COST $129,599,858*) ... 98.4% 139,325,505
OTHER ASSETS AND LIABILITIES (NET) ....... 1.6 2,269,066
------ ------------
NET ASSETS ............................... 100.0% $141,594,571
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $129,730,097.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
86
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
RESEARCH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 96.1%
AEROSPACE/DEFENSE -- 1.8%
139,600 General Dynamics Corporation ..................... $ 7,363,900
173,200 United Technologies Corporation .................. 11,258,000
------------
18,621,900
------------
AUTOMOTIVE -- 0.2%
96,900 Federal-Mogul Corporation ........................ 1,950,112
------------
BANKS -- 2.5%
100,500 Bank of America Corporation ...................... 5,043,844
769,600 Bank of Ireland .................................. 6,123,920
113,900 Bank One Corporation ............................. 3,651,919
52,152 The Chase Manhattan Corporation .................. 4,051,558
169,100 U.S. Bancorp. .................................... 4,026,694
60,000 Wells Fargo Company .............................. 2,426,250
------------
25,324,185
------------
BROADCAST, RADIO AND TELEVISION -- 4.1%
98,100 CBS Corporation(DAGGER) .......................... 6,272,269
104,400 Comcast Corporation, Special Class A ............. 5,278,725
216,025 Infinity Broadcasting Corporation, Class A(DAGGER) 7,817,405
185,900 Time Warner Inc. ................................. 13,466,131
154,500 Tribune Company .................................. 8,507,156
------------
41,341,686
------------
CHEMICALS -- 0.2%
70,500 Cambrex Corporation .............................. 2,427,844
------------
COMPUTER INDUSTRY -- 23.8%
81,200 America Online, Inc.(DAGGER) ..................... 6,125,525
14,200 Ariba, Inc.(DAGGER) .............................. 2,518,725
150,600 BMC Software, Inc.(DAGGER) ....................... 12,038,587
283,300 Cisco Systems, Inc.(DAGGER) ...................... 30,348,512
28,800 Citrix Systems, Inc.(DAGGER) ..................... 3,542,400
77,825 Computer Associates International, Inc. .......... 5,442,886
242,000 Compuware Corporation(DAGGER) .................... 9,014,500
146,800 EMC Corporation(DAGGER) .......................... 16,037,900
42,400 Hewlett-Packard Company .......................... 4,830,950
82,600 International Business Machines Corporation ...... 8,920,800
19,150 Liberate Technologies, Inc.(DAGGER) .............. 4,921,550
29,900 Macromedia, Inc.(DAGGER) ......................... 2,186,437
357,700 Microsoft Corporation(DAGGER) .................... 41,761,475
228,050 Oracle Corporation(DAGGER) ....................... 25,555,853
6,800 Phone.com, Inc.(DAGGER) .......................... 788,375
116,400 Seagate Technology, Inc.(DAGGER) ................. 5,419,875
389,400 Sun Microsystems, Inc.(DAGGER) ................... 30,154,162
12,100 Synopsys, Inc.(DAGGER) ........................... 807,675
30,750 Trintech Group Plc, ADR(DAGGER) .................. 1,522,125
53,400 VeriSign, Inc.(DAGGER) ........................... 10,196,062
136,762 VERITAS Software Corporation(DAGGER) ............. 19,574,061
------------
241,708,435
------------
CONSUMER PRODUCTS -- 3.4%
149,900 The Clorox Company ............................... 7,551,212
157,200 Colgate-Palmolive Company ........................ 10,218,000
232,700 The Dial Corporation ............................. 5,657,519
97,800 Polaroid Corporation ............................. 1,839,862
81,100 The Procter & Gamble Company ..................... 8,885,519
------------
34,152,112
VALUE
SHARES (NOTE 1)
------ ------------
ELECTRONICS -- 8.0%
302,800 Analog Devices, Inc.(DAGGER) ..................... $ 28,160,400
6,375 Ancor Communications, Inc.(DAGGER) ............... 432,703
37,700 The DII Group, Inc.(DAGGER) ...................... 2,675,522
94,400 Flextronics International Ltd.(DAGGER) ........... 4,342,400
458,000 Hitachi Ltd. ..................................... 7,351,669
52,200 Intel Corporation ................................ 4,296,712
318,800 LSI Logic Corporation(DAGGER) .................... 21,519,000
54,800 Micron Technology, Inc.(DAGGER) .................. 4,260,700
52,900 Oak Industries Inc.(DAGGER) ...................... 5,614,012
33,600 SCI Systems, Inc.(DAGGER) ........................ 2,761,500
------------
81,414,618
------------
ENERGY -- 1.0%
49,200 The AES Corporation(DAGGER) ...................... 3,677,700
95,600 CMS Energy Corporation ........................... 2,981,525
94,200 Texas Utilities Company .......................... 3,349,987
------------
10,009,212
------------
FINANCIAL SERVICES -- 4.7%
172,814 Associates First Capital Corporation, Class A .... 4,741,584
102,000 Capital One Financial Corporation ................ 4,915,125
196,250 CitiGroup, Inc. .................................. 10,904,141
87,800 First Data Corporation ........................... 4,329,637
129,200 Freddie Mac ...................................... 6,080,475
24,600 Merrill Lynch & Company, Inc. .................... 2,054,100
33,400 Morgan Stanley Dean Witter & Company ............. 4,767,850
20,100 Orix Corporation ................................. 4,528,746
63,500 Providian Financial Corporation .................. 5,782,469
------------
48,104,127
------------
FOOD AND BEVERAGES -- 2.2%
162,200 Anheuser-Busch Companies, Inc. ................... 11,495,925
127,500 Nabisco Holdings Corporation, Class A ............ 4,032,187
95,900 The Quaker Oats Company .......................... 6,293,437
------------
21,821,549
------------
HEALTH CARE -- 2.4%
154,600 Guidant Corporation(DAGGER) ...................... 7,266,200
400 McKesson HBOC, Inc. .............................. 9,025
237,500 Medtronic, Inc. .................................. 8,653,906
86,100 United Healthcare Corporation .................... 4,574,063
72,500 VISX, Inc.(DAGGER) ............................... 3,751,875
------------
24,255,069
------------
INSURANCE -- 5.2%
117,125 American International Group, Inc. ............... 12,664,141
37,000 Aon Corporation .................................. 1,480,000
220,200 AXA Financial, Inc. .............................. 7,459,275
135,600 CIGNA Corporation ................................ 10,924,275
114,300 The Hartford Financial Services Group, Inc. ...... 5,414,963
163,800 Lincoln National Corporation ..................... 6,552,000
35,300 Marsh & McLennan Companies, Inc. ................. 3,377,769
128,254 ReliaStar Financial Corporation .................. 5,025,954
------------
52,898,377
------------
LEISURE ENTERTAINMENT -- 0.5%
104,400 Carnival Corporation ............................. 4,991,625
------------
See Notes to Financial Statements.
87
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
RESEARCH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ ------------
COMMON STOCKS -- (CONTINUED)
MANUFACTURING -- 5.9%
71,200 Abitibi-Consolidated Inc. ........................ $ 845,500
58,300 Corning Inc. ..................................... 7,517,056
156,100 Danaher Corporation .............................. 7,531,825
46,200 Deere & Company .................................. 2,003,925
55,000 General Electric Company ......................... 8,511,250
22,700 Ingersoll-Rand Company ........................... 1,249,919
32,900 Mannesmann AG .................................... 8,019,525
168,800 Owens-Illinois, Inc.(DAGGER) ..................... 4,230,550
11,570 SPX Corporation(DAGGER) .......................... 935,001
494,468 Tyco International Ltd. .......................... 19,222,444
--------------
60,066,995
--------------
OIL AND GAS -- 6.0%
33,300 Atlantic Richfield Company (ARCO) ................ 2,880,450
115,710 BP Amoco Plc, ADR ................................ 6,863,049
49,400 Columbia Energy Group ............................ 3,124,550
454,200 Conoco Inc., Class B ............................. 11,298,225
52,000 Cooper Cameron Corporation(DAGGER) ............... 2,544,750
40,300 Devon Energy Corporation ......................... 1,324,863
144,200 EOG Resources, Inc. .............................. 2,532,513
172,574 Exxon Mobil Corporation .......................... 13,902,993
98,100 Noble Drilling Corporation(DAGGER) ............... 3,212,775
16,200 Total Fina SA, Class B ........................... 1,121,850
56,500 Total Fina SA .................................... 7,540,527
3,900 Transocean Offshore, Inc. ........................ 131,382
124,300 Transocean Sedco Forex, Inc. ..................... 4,187,356
--------------
60,665,283
--------------
PAPER AND FOREST PRODUCTS -- 0.5%
89,300 Bowater Inc. ..................................... 4,850,106
--------------
PHARMACEUTICALS -- 5.1%
357,100 American Home Products Corporation ............... 14,083,131
154,400 AstraZeneca Group Plc ............................ 6,404,652
146,500 Boston Scientific Corporation(DAGGER) ............ 3,204,688
152,700 Bristol-Myers Squibb Company ..................... 9,801,431
228,500 Pharmacia & Upjohn, Inc. ......................... 10,282,500
187,300 Sanofi-Synthelabo S.A.(DAGGER) ................... 7,799,120
--------------
51,575,522
--------------
RETAIL -- 6.1%
882 Albertson's, Inc. ................................ 28,445
63,400 Costco Wholesale Corporation(DAGGER) ............. 5,785,250
238,900 CVS Corporation .................................. 9,541,069
360 FreeMarkets, Inc.(DAGGER) ........................ 122,873
91,200 The Gap, Inc. .................................... 4,195,200
231,700 The Kroger Company(DAGGER) ....................... 4,373,338
302,500 Office Depot, Inc.(DAGGER) ....................... 3,308,594
346,400 Safeway Inc.(DAGGER) ............................. 12,318,850
43,000 Tandy Corporation ................................ 2,115,063
153,000 The TJX Companies, Inc. .......................... 3,126,938
245,600 Wal-Mart Stores, Inc. ............................ 16,977,100
--------------
61,892,720
--------------
VALUE
SHARES (NOTE 1)
------ --------
SERVICES -- 0.3%
16,400 BEA Systems, Inc.(DAGGER) ........................ $ 1,146,975
41,600 Cendant Corporation(DAGGER) ...................... 1,105,000
8,810 Digimarc Corporation(DAGGER) ..................... 440,500
--------------
2,692,475
--------------
TELECOMMUNICATIONS -- 12.2%
245,600 Bell Atlantic Corporation ........................ 15,119,750
35,800 EchoStar Communications Corporation, Class A(DAGGER) 3,490,500
10,800 General Instrument Corporation(DAGGER) ........... 918,000
40,500 GTE Corporation .................................. 2,857,781
298,791 MCI WorldCom, Inc.(DAGGER) ....................... 15,854,597
145,300 Motorola, Inc. ................................... 21,395,425
473 Nippon Telegraph & Telephone Corporation(DAGGER) . 8,101,693
127,000 Nortel Networks Corporation ...................... 12,827,000
126,900 SBC Communications Inc. .......................... 6,186,375
144,500 Sprint Corporation ............................... 9,726,656
230,600 Sprint Corporation (PCS Group)(DAGGER) ........... 23,636,500
64,300 Telefonaktiebolaget LM Ericson, Class B .......... 4,134,003
5 Tellabs, Inc.(DAGGER) ............................ 321
--------------
124,248,601
--------------
Total Common Stocks
(Cost $756,826,023) ............................. 975,012,553
--------------
PRINCIPAL
AMOUNT
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 3.2%
(Cost $31,997,333)
$32,000,000 Federal Home Loan Mortgage Corporation,
1.217%(DOUBLE DAGGER) due 01/03/2000 31,997,333
--------------
TOTAL INVESTMENTS (COST $788,823,356*) ... 99.3% 1,007,009,886
OTHER ASSETS AND LIABILITIES (NET) ....... 0.7 7,645,730
------ --------------
NET ASSETS ............................... 100.0% $1,014,655,616
===== ==============
- ------------------------------
* Aggregate cost for Federal tax purposes was $790,573,912.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
88
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 101.2%
CANADA -- 1.7%
40,891 Bombardier Inc., Class B .......................... $ 839,916
23,483 Nortel Networks Corporation ....................... 2,372,702
------------
3,212,618
------------
FINLAND -- 3.8%
29,014 Nokia Oyj ......................................... 5,260,384
25,357 Sonera Oyj ........................................ 1,738,054
------------
6,998,438
------------
FRANCE -- 7.2%
1,473 Altran Technologies S.A. .......................... 890,208
8,746 Axa ............................................... 1,219,222
6,075 Carrefour S.A. .................................... 1,120,397
4,920 Castorama Dubois Investisse ....................... 1,496,613
1,867 L'OREAL, S.A. ..................................... 1,497,847
5,058 LVMH (Louis Vitton Moet Hennessy) ................. 2,265,600
32,105 Sanofi-Synthelabo S.A.(DAGGER) .................... 1,336,843
6,702 Societe Television Francaise 1 .................... 3,510,307
------------
13,337,037
------------
GERMANY -- 1.5%
5,715 Mannesmann AG ..................................... 1,393,057
4,209 Marschollek, Lautenschleger und Partner AG ........ 1,271,855
------------
2,664,912
------------
HONG KONG -- 1.1%
330,000 China Telecom (Hong Kong), Ltd. ................... 2,063,163
------------
ITALY -- 2.7%
28,529 Bipop-Carire SPA .................................. 2,524,444
76,368 Mediaset SPA ...................................... 1,187,671
90,115 Mediolanum SPA .................................... 1,179,989
------------
4,892,104
------------
JAPAN -- 16.6%
10 AIFUL Corporation ................................ 1,223
2,500 Fujitsu Support and Service, Inc. ................. 1,225,898
800 Hikari Tsushin, Inc. .............................. 1,605,168
10,400 ITO EN, Ltd. ...................................... 1,454,595
550 Kao Corporation ................................... 15,692
2,500 Keyence Corporation ............................... 1,015,464
8,000 Matsushita Communication Industrial Company, Ltd. . 2,114,124
11,000 Murata Manufacturing Company, Ltd. ................ 2,583,929
175,000 The Nikko Securities Company, Ltd. ................ 2,214,691
97 NTT Mobile Communications Network, Inc.(DAGGER) ... 3,731,134
4,100 Rohm Company Ltd. ................................. 1,685,426
4,300 Ryohin Keikaku Company, Ltd. ...................... 863,199
8,000 Seven-Eleven Japan Company, Ltd. .................. 1,268,474
83,000 Sharp Corporation ................................. 2,124,352
3,600 Shimamura Company, Ltd. ........................... 570,813
3,300 SMC Corporation ................................... 730,283
3,200 Softbank Corporation .............................. 3,063,130
6,400 Sony Corporation .................................. 1,898,013
17,100 Takeda Chemical Industries, Ltd. .................. 845,209
5,400 Tokyo Electron Ltd. ............................... 739,943
1 Yahoo Japan Corporation(DAGGER) ................... 894,587
------------
30,645,347
------------
VALUE
SHARES (NOTE 1)
------ --------
NETHERLANDS -- 5.2%
12,058 Aegon, N.V. ....................................... $ 1,164,746
16,104 ASM Lithography Holding, N.V.(DAGGER) ............. 1,789,149
56,944 KPNQwest, N.V.(DAGGER) ............................ 3,791,288
19,881 Randstad Holding, N.V. ............................ 957,202
11,873 STMicroelectronics, N.V. .......................... 1,827,348
------------
9,529,733
------------
PORTUGAL -- 0.1%
48,000 Banco Comercial Portugues S.A. .................... 266,398
------------
SWEDEN -- 1.3%
38,196 Hennes & Mauritz AB-B ............................. 1,279,485
35,940 Skandia Forsakrings AB ............................ 1,085,635
------------
2,365,120
------------
SWITZERLAND -- 0.5%
272 Julius Baer Holding, Ltd., AG, Class B ............ 821,654
------------
UNITED KINGDOM -- 10.0%
80 British Telecommunications Plc .................... 1,955
80,152 Capita Group Plc .................................. 1,463,006
66,018 Colt Telecom Group Plc(DAGGER) .................... 3,379,386
27,188 Dixons Group Plc .................................. 653,921
65,604 Logica Plc ........................................ 1,684,925
85,989 Misys Plc ......................................... 1,340,366
70,121 Prudential Corporation ............................ 1,381,851
66,856 SEMA Group Plc .................................... 1,203,037
82,054 SmithKline Beecham Plc ............................ 1,047,081
187,680 TeleWest Communications Plc(DAGGER) ............... 1,001,184
817,470 Vodafone Group Plc ................................ 4,050,509
80,704 WPP Group Plc ..................................... 1,278,843
------------
18,486,064
------------
UNITED STATES -- 49.5%
22,800 America Online, Inc.(DAGGER) ...................... 1,719,975
17,000 American Express Company .......................... 2,826,250
17,050 American International Group, Inc. ................ 1,843,531
37,900 Amgen Inc.(DAGGER) ................................ 2,276,369
15,600 Applied Materials, Inc.(DAGGER) ................... 1,976,325
51,176 AT&T Corp. - Liberty Media Group, Class A(DAGGER) . 2,904,238
15,900 BMC Software, Inc.(DAGGER) ........................ 1,271,006
44,700 Bristol-Myers Squibb Company ...................... 2,869,181
21,400 CBS Corporation(DAGGER) ........................... 1,368,262
36,500 The Charles Schwab Corporation .................... 1,400,688
7,100 CheckFree Holdings Corporation(DAGGER) ............ 741,950
31,550 Cisco Systems, Inc.(DAGGER) ....................... 3,379,794
44,700 Citigroup, Inc. ................................... 2,483,644
11,800 Clear Channel Communications, Inc.(DAGGER) ........ 1,053,150
17,300 Comcast Corporation, Special Class A .............. 874,731
30,700 Dell Computer Corporation(DAGGER) ................. 1,565,700
12,600 EMC Corporation(DAGGER) ........................... 1,376,550
22,200 The Estee Lauder Companies Inc., Class A .......... 1,119,713
10,400 Fannie Mae ........................................ 649,350
18,100 Genentech, Inc.(DAGGER) ........................... 2,434,450
28,500 General Electric Company .......................... 4,410,375
36,150 The Home Depot, Inc. .............................. 2,478,534
37,000 Intel Corporation ................................. 3,045,562
21,700 Intuit Inc.(DAGGER) ............................... 1,300,644
23,000 Johnson & Johnson ................................. 2,141,875
9,600 Linear Technology Corporation ..................... 687,000
See Notes to Financial Statements.
89
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
UNITED STATES -- (CONTINUED)
26,300 Lucent Technologies Inc. .......................... $ 1,967,569
56,498 Microsoft Corporation(DAGGER) ..................... 6,596,141
12,900 Omnicom Group Inc. ................................ 1,290,000
29,900 Oracle Corporation(DAGGER) ........................ 3,350,669
4,900 Phone.com, Inc.(DAGGER) ........................... 568,094
38,800 Qualcomm, Inc. .................................... 6,833,650
22,751 Schering-Plough Corporation ....................... 959,808
12,600 Solectron Corporation(DAGGER) ..................... 1,198,575
33,500 Sun Microsystems, Inc.(DAGGER) .................... 2,594,156
15,600 Teradyne, Inc.(DAGGER) ............................ 1,029,600
15,400 Texas Instruments, Inc. ........................... 1,491,875
12,600 VERITAS Software Corporation(DAGGER) .............. 1,803,375
20,600 Viacom, Inc., Class B(DAGGER) ..................... 1,245,013
52,700 Wal-Mart Stores, Inc. ............................. 3,642,888
27,400 Walgreen Company .................................. 801,450
8,200 Warner-Lambert Company ............................ 671,888
11,800 Yahoo! Inc.(DAGGER) ............................... 5,105,713
------------
91,349,311
------------
Total Common Stocks
(Cost $125,195,743) .............................. 186,631,899
------------
TOTAL INVESTMENTS (COST $125,195,743*) .. 101.2% 186,631,899
OTHER ASSETS AND LIBILITIES (NET) ....... (1.2) (2,146,340)
------ ------------
NET ASSETS .............................. 100.0% $184,485,559
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $125,481,046.
(DAGGER) Non-income producing security.
The industry classification of the Managed Global Series at December 31, 1999
was as follows:
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- ----------------------- ---------- ------------
LONG TERM INVESTMENTS:
Advertising ......................... 1.4 % $ 2,568,843
Banks ............................... 2.0 3,612,495
Computer Industry ................... 22.9 42,240,628
Diversified Operations .............. 0.5 839,916
Drugs. .............................. 3.3 6,098,314
Electronics. ........................ 9.9 18,257,850
Engineering. ........................ 0.5 890,208
Financial Services. ................. 5.9 10,847,701
Food and Beverage Products. ......... 2.0 3,720,196
Insurance ........................... 4.3 7,874,974
Manufacturing. ...................... 1.1 2,123,340
Medical Supplies and Services ....... 4.6 8,484,389
Multimedia. ......................... 7.1 13,144,557
Nondurable Goods .................... 1.4 2,633,251
Retail .............................. 7.7 14,175,774
Services ............................ 1.3 2,420,207
Telecommunications .................. 22.9 42,288,881
Utilities ........................... 2.4 4,410,375
------ ------------
TOTAL INVESTMENTS. .................. 101.2 186,631,899
OTHER ASSETS AND LIABILITIES (NET) .. (1.2) (2,146,340)
------ ------------
NET ASSETS. ......................... 100.0% $184,485,559
===== ============
See Notes to Financial Statements.
90
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
CAPITAL APPRECIATION SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 88.7%
BANKS -- 1.2%
62,500 The Chase Manhattan Corporation ................... $ 4,855,469
------------
BROADCAST, RADIO AND TELEVISION -- 11.8%
389,500 Comcast Corporation, Special Class A .............. 19,694,094
264,500 Cox Communications, Inc., Class A(DAGGER) ......... 13,621,750
36,000 MediaOne Group, Inc.(DAGGER) ...................... 2,765,250
175,000 Time Warner Inc. .................................. 12,676,562
------------
48,757,656
------------
COMPUTER INDUSTRY -- 17.6%
117,000 Apple Computer, Inc.(DAGGER) ...................... 12,029,062
176,000 At Home Corporation, Series A(DAGGER) ............. 7,546,000
31,000 BMC Software, Inc.(DAGGER) ........................ 2,478,062
2,800 Citrix Systems, Inc.(DAGGER) ...................... 344,400
10,500 Comverse Technology, Inc.(DAGGER) ................. 1,519,875
15,000 EMC Corporation(DAGGER) ........................... 1,638,750
166,500 Gateway Inc.(DAGGER) .............................. 11,998,406
63,200 International Business Machines Corporation ....... 6,825,600
92,000 Lexmark International Group, Inc., Class A(DAGGER) 8,326,000
61,000 Microsoft Corporation(DAGGER) ..................... 7,121,750
80,000 Sun Microsystems, Inc.(DAGGER) .................... 6,195,000
203,500 Unisys Corporation(DAGGER) ........................ 6,499,281
------------
72,522,186
------------
CONSUMER PRODUCTS -- 1.3%
56,000 Colgate-Palmolive Company ......................... 3,640,000
29,000 Kimberly-Clark Corporation ........................ 1,892,250
------------
5,532,250
------------
ELECTRONICS -- 1.8%
23,000 Analog Devices, Inc.(DAGGER) ...................... 2,139,000
25,000 Solectron Corporation(DAGGER) ..................... 2,378,125
38,300 Teradyne, Inc.(DAGGER) ............................ 2,527,800
6,000 Waters Corporation(DAGGER) ........................ 318,000
------------
7,362,925
------------
FINANCIAL SERVICES -- 8.0%
24,000 American Express Company .......................... 3,990,000
152,000 Associates First Capital Corporation, Class A ..... 4,170,500
94,000 Citigroup, Inc. ................................... 5,222,875
155,000 First Data Corporation ............................ 7,643,437
26,500 Freddie Mac ....................................... 1,247,156
69,200 Morgan Stanley Dean Witter & Company .............. 9,878,300
9,000 Providian Financial Corporation ................... 819,562
------------
32,971,830
------------
HEALTH CARE -- 2.5%
219,000 Guidant Corporation(DAGGER) ....................... 10,293,000
------------
INSURANCE -- 3.6%
118,500 American International Group, Inc. ................ 12,812,813
45,000 The Hartford Financial Services Group, Inc. ....... 2,131,875
------------
14,944,688
------------
LEISURE ENTERTAINMENT -- 1.4%
124,000 Carnival Corporation .............................. 5,928,750
------------
VALUE
SHARES (NOTE 1)
------ --------
MANUFACTURING -- 2.7%
280,800 Tyco International Ltd. ........................... $ 10,916,100
------------
PAPER AND FOREST PRODUCTS -- 0.8%
45,700 Weyerhaeuser Company .............................. 3,281,831
------------
PHARMACEUTICALS -- 3.4%
86,500 Bristol-Myers Squibb Company ...................... 5,552,219
163,900 Pharmacia & Upjohn, Inc. .......................... 7,375,500
12,000 Warner-Lambert Company ............................ 983,250
------------
13,910,969
------------
RESTAURANTS -- 0.4%
38,000 McDonald's Corporation ............................ 1,531,875
------------
RETAIL -- 11.1%
149,000 Best Buy Company Inc.(DAGGER) ..................... 7,477,938
82,500 Costco Wholesale Corporation(DAGGER) .............. 7,528,125
270,000 Dayton Hudson Corporation ......................... 19,828,125
262,500 The Kroger Company(DAGGER) ........................ 4,954,688
54,000 Lowe's Companies, Inc. ............................ 3,226,500
73,000 Safeway Inc.(DAGGER) .............................. 2,596,063
------------
45,611,439
------------
SEMICONDUCTORS -- 3.1%
72,500 Applied Materials, Inc.(DAGGER) ................... 9,184,844
39,000 Texas Instruments, Inc. ........................... 3,778,125
------------
12,962,969
------------
SERVICES -- 1.8%
73,000 Omnicom Group Inc. ................................ 7,300,000
------------
TELECOMMUNICATIONS -- 16.2%
26,500 Lucent Technologies Inc. .......................... 1,982,531
147,000 MCI WorldCom, Inc.(DAGGER) ........................ 7,800,188
46,500 Motorola, Inc. .................................... 6,847,125
190,500 Nextel Communications, Inc., Class A(DAGGER) ...... 19,645,313
161,000 Nokia Oyj, ADR .................................... 30,590,000
------------
66,865,157
------------
Total Common Stocks
(Cost $293,383,978) .............................. 365,549,094
------------
PRINCIPAL
AMOUNT
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 10.7%
(Cost $44,073,327)
$44,077,000 Federal Home Loan Bank,
1.217%(DOUBLE DAGGER) due 01/03/2000 ............. 44,073,327
------------
TOTAL INVESTMENTS (COST $337,457,305*) .. 99.4% 409,622,421
OTHER ASSETS AND LIABILITIES (NET) ...... 0.6 2,275,948
------ ------------
NET ASSETS .............................. 100.0 $411,898,369
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $337,758,734.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
91
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 93.0%
BROADCAST, RADIO AND TELEVISION -- 3.2%
65,800 Hearst-Argyle Television, Inc.(DAGGER) ............ $ 1,751,925
34,900 Meredith Corporation .............................. 1,454,894
18,800 Sinclair Broadcast Group, Inc., Class A(DAGGER) ... 229,419
2,125 Spanish Broadcasting System, Inc., Class A(DAGGER) 85,531
421,700 SportLine USA, Inc.(DAGGER) ....................... 21,137,712
-------------
24,659,481
-------------
BUILDING/CONSTRUCTION -- 0.3%
168,250 U.S. Aggregates, Inc.(DAGGER) ..................... 2,019,000
-------------
COMPUTER INDUSTRY -- 17.2%
53,400 Affiliated Computer Services, Inc., Class A(DAGGER) 2,456,400
87,075 Ancor Communications, Inc.(DAGGER) ................ 5,910,216
144,900 Aspen Technology, Inc.(DAGGER) .................... 3,830,794
19,100 CheckFree Holdings Corporation(DAGGER) ............ 1,995,950
4,300 Citrix Systems, Inc.(DAGGER) ...................... 528,900
168,200 Computer Network Technology Corporation(DAGGER) ... 3,858,087
40,100 DST Systems, Inc.(DAGGER) ......................... 3,060,131
279,400 Harbinger Corporation(DAGGER) ..................... 8,888,412
41,400 Interliant Inc.(DAGGER) ........................... 1,076,400
20,000 Macromedia, Inc.(DAGGER) .......................... 1,462,500
161,970 Network Solutions, Inc., Class A(DAGGER) .......... 35,238,598
432,800 RSA Security, Inc.(DAGGER) ........................ 33,542,000
34,682 S1 Corporation(DAGGER) ............................ 2,709,531
216,000 Seagate Technology, Inc.(DAGGER) .................. 10,057,500
831,000 SunGard Data Systems, Inc.(DAGGER) ................ 19,736,250
2,000 Trintech Group Plc, ADR(DAGGER) ................... 99,000
-------------
134,450,669
-------------
DIVERSIFIED MINERALS -- 0.0%#
366,400 Southern Africa Minerals Corporation(DAGGER) ...... 58,380
-------------
ELECTRONICS -- 11.2%
7,960 Agilent Technologies, Inc.(DAGGER) ................ 615,407
227,000 Amkor Technology, Inc.(DAGGER) .................... 6,412,750
114,000 Analog Devices, Inc.(DAGGER) ...................... 10,602,000
139,700 Applied Science and Technology, Inc.(DAGGER) ...... 4,642,842
79,900 Cypress Semiconductor Corporation(DAGGER) ......... 2,586,762
151,300 DuPont Photomasks, Inc.(DAGGER) ................... 7,300,225
44,800 Emulex Corporation(DAGGER) ........................ 5,040,000
109,500 Etec Systems, Inc.(DAGGER) ........................ 4,913,812
73,200 KLA-Tencor Corporation(DAGGER) .................... 8,152,650
34,300 LTX Corporation(DAGGER) ........................... 767,462
122,600 MKS Instruments, Inc.(DAGGER) ..................... 4,428,925
15,100 Novellus Systems, Inc.(DAGGER) .................... 1,850,222
38,000 RF Micro Devices, Inc.(DAGGER) .................... 2,600,625
44,800 Sawtek Inc.(DAGGER) ............................... 2,982,000
326,800 SIPEX Corporation(DAGGER) ......................... 8,027,025
158,300 Teradyne, Inc.(DAGGER) ............................ 10,447,800
114,400 Waters Corporation(DAGGER) ........................ 6,063,200
-------------
87,433,707
-------------
FINANCIAL SERVICES -- 4.1%
19,400 The BISYS Group, Inc.(DAGGER) ..................... 1,265,850
709,700 Edwards (A.G.), Inc. .............................. 22,754,756
199,700 Fiserv, Inc.(DAGGER) .............................. 7,651,006
-------------
31,671,612
-------------
VALUE
SHARES (NOTE 1)
------ --------
FOOD AND BEVERAGES -- 3.4%
1,538,050 Del Monte Foods Company(DAGGER) ................... $ 18,937,241
22,200 The Great Atlantic & Pacific Tea Company, Inc. .... 618,825
263,800 Keebler Foods Company(DAGGER) ..................... 7,419,375
-------------
26,975,441
-------------
HEALTH CARE -- 12.8%
1,800 AHT Corporation(DAGGER) ........................... 8,437
442,200 Cytyc Corporation(DAGGER) ......................... 27,001,837
2,071,000 Health Management Associates, Inc., Class A(DAGGER) 27,699,625
128,200 Lincare Holdings, Inc.(DAGGER) .................... 4,446,938
298,678 Martek Biosciences Corporation(DAGGER)^ ........... 3,584,136
480,200 STERIS Corporation(DAGGER) ........................ 4,952,063
1,147,205 Total Renal Care Holdings, Inc.(DAGGER) ........... 7,671,933
480,700 VISX, Inc.(DAGGER) ................................ 24,876,225
-------------
100,241,194
-------------
MANUFACTURING -- 1.6%
522,300 AGCO Corporation .................................. 7,018,406
213,600 Smurfit-Stone Container Corporation(DAGGER) ....... 5,233,200
-------------
12,251,606
-------------
OIL AND GAS -- 20.5%
529,900 Apache Corporation ................................ 19,573,181
242,805 Cooper Cameron Corporation(DAGGER) ................ 11,882,270
236,763 Diamond Offshore Drilling, Inc. ................... 7,236,069
675,000 EOG Resources, Inc. ............................... 11,854,688
1,834,500 Global Industries, Ltd.(DAGGER) ................... 15,822,563
640,700 The Houston Exploration Company(DAGGER) ........... 12,693,869
1,043,960 Newfield Exploration Company(DAGGER) .............. 27,925,930
724,300 Noble Drilling Corporation(DAGGER) ................ 23,720,825
713,400 Transocean Sedco Forex Inc. ....................... 24,032,663
91,400 Vastar Resources, Inc. ............................ 5,392,600
-------------
160,134,658
-------------
PHARMACEUTICALS -- 1.9%
55,000 Sepracor, Inc.(DAGGER) ............................ 5,455,313
204,200 United Therapeutics Corporation(DAGGER) ........... 9,393,200
-------------
14,848,513
-------------
PRINTING/PUBLISHING -- 2.1%
113,500 The Reader's Digest Association, Inc., Class A .... 3,319,875
206,300 Scholastic Corporation(DAGGER) .................... 12,829,281
-------------
16,149,156
-------------
RETAIL -- 2.9%
211,100 BJ's Wholesale Club, Inc.(DAGGER) ................. 7,705,150
263,700 The Gymboree Corporation(DAGGER) .................. 1,483,313
650,300 The Kroger Company(DAGGER) ........................ 12,274,413
216,100 LoJack Corporation(DAGGER) ........................ 1,458,675
-------------
22,921,551
-------------
SERVICES -- 5.1%
139,140 Collectors Universe, Inc.(DAGGER) ................. 869,625
118,700 CSG Systems International, Inc.(DAGGER) ........... 4,733,163
537,100 IDEXX Laboratories, Inc.(DAGGER) .................. 8,660,738
63,800 Learning Tree International, Inc.(DAGGER) ......... 1,786,400
231,100 National Data Corporation ......................... 7,842,956
507,300 NOVA Corporation(DAGGER) .......................... 16,011,656
-------------
39,904,538
-------------
See Notes to Financial Statements.
92
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
TELECOMMUNICATIONS -- 6.6%
321,100 American Tower Corporation, Class A(DAGGER) ....... $ 9,813,619
733,590 Cable Design Technologies Corporation(DAGGER) ..... 16,872,570
643,100 Intermedia Communications Inc..(DAGGER) ........... 24,960,319
7,780 Metromedia Fiber Network, Inc., Class A(DAGGER) ... 372,954
------------
52,019,462
------------
TRANSPORTATION -- 0.1%
13,940 United Parcel Service, Inc., Class B(DAGGER) ...... 961,860
------------
Total Common Stocks
(Cost $567,084,285) .............................. 726,700,828
------------
PRINCIPAL
AMOUNT
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 8.2%
$25,100,000 Federal Agricultural Mortgage Corporation,
5.745%(DOUBLE DAGGER) due 01/13/2000 ............. 25,052,561
39,300,000 Federal Home Loan Mortgage Corporation
Discount Note,
1.217%(DOUBLE DAGGER) due 01/03/2000 ............. 39,296,725
------------
Total U.S. Government Agency Discount Notes
(Cost $64,349,286) 64,349,286
------------
TOTAL INVESTMENTS (COST $631,433,571*) .................. 101.2% 791,050,114
OTHER ASSETS AND LIABILITIES (NET) ...................... (1.2) (9,242,617)
----- ------------
NET ASSETS .............................................. 100.0% $781,807,497
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $632,234,864.
^ Illiquid security.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
# Amount is less than 0.01%.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
93
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
ALL-GROWTH SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 97.7%
ADVERTISING -- 6.7%
71,900 Getty Images, Inc.(DAGGER) ........ $ 3,514,112
56,100 Lamar Advertising Company(DAGGER) . 3,397,556
32,100 Omnicom Group Inc. ................ 3,210,000
------------
10,121,668
------------
BROADCAST, RADIO AND TELEVISION -- 2.8%
74,750 Infinity Broadcasting Corporation,
Class A(DAGGER) .................. 2,705,016
14,500 Univision Communications, Inc.,
Class A(DAGGER) .................. 1,481,719
------------
4,186,735
------------
COMPUTER INDUSTRY -- 33.3%
10,100 Active Software, Inc.(DAGGER) ..... 929,200
3,800 Akamai Technologies, Inc.(DAGGER) . 1,244,975
18,400 Ariba, Inc.(DAGGER) ............... 3,263,700
19,300 Art Technology Group, Inc.(DAGGER) 2,472,812
6,500 Broadbase Software, Inc.(DAGGER) .. 731,250
10,100 BroadVision, Inc.(DAGGER) ......... 1,717,631
12,900 Check Point Software
Technologies Ltd.(DAGGER) ........ 2,563,875
11,100 Commerce One, Inc.(DAGGER) ........ 2,181,150
32,200 Exodus Communications, Inc.(DAGGER) 2,859,762
9,700 F5 Networks, Inc.(DAGGER) ......... 1,105,800
19,300 Informatica Corporation(DAGGER) ... 2,053,037
20,300 InfoSpace.com, Inc.(DAGGER) ....... 4,344,200
2,300 Intertrust Technologies
Corporation(DAGGER) .............. 270,537
40,000 Lycos, Inc.(DAGGER) ............... 3,182,500
16,500 MicroStrategy, Inc.(DAGGER) ....... 3,465,000
54,800 Rare Medium Group, Inc.(DAGGER) ... 1,870,050
17,000 Redback Networks Inc.(DAGGER) ..... 3,017,500
6,100 VA Linux Systems, Inc.(DAGGER) .... 1,260,412
28,500 Verio Inc.(DAGGER) ................ 1,316,344
22,900 VeriSign, Inc.(DAGGER) ............ 4,372,469
14,500 VERITAS Software Corporation(DAGGER) 2,075,312
13,000 Viant Corporation(DAGGER) ......... 1,287,000
16,100 Vignette Corporation(DAGGER) ...... 2,624,300
------------
50,208,816
------------
ELECTRONICS -- 10.0%
14,700 C-Cor.net Corporation(DAGGER) ..... 1,126,387
38,000 Emulex Corporation(DAGGER) ........ 4,275,000
31,200 Flextronics International
Ltd.(DAGGER) ..................... 1,435,200
21,200 Gemstar International Group
Ltd.(DAGGER) ..................... 1,510,500
86,400 Mettler-Toledo International,
Inc.(DAGGER) ..................... 3,299,400
14,700 Microchip Technology, Inc.(DAGGER) 1,006,031
12,400 PE Corp-PE Biosystems Group ....... 1,491,875
22,500 PerkinElmer, Inc. ................. 937,969
------------
15,082,362
------------
FINANCIAL SERVICES -- 1.9%
51,100 Ameritrade Holding Corporation,
Class A(DAGGER) .................. 1,108,231
68,000 E*TRADE Group, Inc.(DAGGER) ....... 1,776,500
------------
2,884,731
------------
HEALTH CARE -- 2.3%
51,300 Allscripts Inc.(DAGGER) ........... 2,257,200
20,600 Cytyc Corporation(DAGGER) ......... 1,257,887
------------
3,515,087
------------
LEISURE ENTERTAINMENT -- 0.9%
44,100 Premier Parks, Inc.(DAGGER) ....... 1,273,387
------------
VALUE
SHARES (NOTE 1)
------ --------
OIL AND GAS -- 3.1%
48,700 Cooper Cameron Corporation(DAGGER) $ 2,383,256
46,800 Diamond Offshore Drilling, Inc. ... 1,430,325
46,400 EOG Resources, Inc. ............... 814,900
------------
4,628,481
------------
PHARMACEUTICALS -- 6.8%
22,400 Celgene Corporation(DAGGER) ....... 1,568,000
45,400 Medicis Pharmaceutical Corporation,
Class A(DAGGER) .................. 1,932,338
25,800 MedImmune, Inc.(DAGGER) ........... 4,279,575
34,900 Teva Pharmaceutical ............... 2,501,894
------------
10,281,807
------------
RETAIL -- 10.5%
72,500 American Eagle Outfitters,
Inc.(DAGGER) ..................... 3,262,500
36,300 Circuit City Stores, Inc. ......... 1,635,769
37,100 Insight Enterprises, Inc.(DAGGER) . 1,507,188
41,800 Tandy Corporation ................. 2,056,038
34,900 Tiffany & Company ................. 3,114,825
16,400 Whole Foods Market, Inc.(DAGGER) .. 760,550
70,100 Zale Corporation(DAGGER) .......... 3,391,088
------------
15,727,958
------------
SEMICONDUCTORS -- 7.3%
49,600 Atmel Corporation(DAGGER) ......... 1,466,300
44,400 Cypress Semiconductor
Corporation(DAGGER) .............. 1,437,450
33,100 Fairchild Semiconductor Corporation,
Class A(DAGGER) .................. 984,725
27,100 Integrated Device Technology,
Inc.(DAGGER) ..................... 785,900
18,900 LSI Logic Corporation(DAGGER) ..... 1,275,750
6,900 QLogic Corporation(DAGGER) ........ 1,103,138
35,900 TriQuint Semiconductor, Inc.(DAGGER) 3,993,875
------------
11,047,138
------------
SERVICES -- 3.2%
22,000 BEA Systems, Inc.(DAGGER) ......... 1,538,625
28,000 United Rentals, Inc.(DAGGER) ...... 479,500
63,700 USWeb Corporation(DAGGER) ......... 2,830,669
------------
4,848,794
------------
TELECOMMUNICATIONS -- 8.9%
21,600 CIENA Corporation(DAGGER) ......... 1,242,000
25,300 CommScope, Inc.(DAGGER) ........... 1,019,906
11,000 Ditech Communications
Corporation (DAGGER) ............. 1,028,500
3,300 Finisar Corporation(DAGGER) ....... 296,588
25,400 JDS Uniphase Corporation(DAGGER) .. 4,097,338
4,100 Juniper Networks, Inc.(DAGGER) .... 1,394,000
33,600 MRV Communications, Inc.(DAGGER) .. 2,112,600
13,300 Powerwave Technologies, Inc.(DAGGER) 776,388
4,700 Sycamore Networks, Inc.(DAGGER) ... 1,447,600
------------
13,414,920
------------
Total Common Stocks
(Cost $98,273,943) ............... 147,221,884
------------
TOTAL INVESTMENTS (COST $98,273,943*) .... 97.7% 147,221,884
OTHER ASSETS AND LIABILITIES (NET) ....... 2.3 3,476,307
----- ------------
NET ASSETS ............................... 100.0% $150,698,191
===== ============
- ------------------------------
* Aggregate cost for Federal tax purposes was $98,774,338.
(DAGGER) Non-income producing security.
See Notes to Financial Statements.
94
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
GROWTH OPPORTUNITIES SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 94.1%
AUTOMOTIVE -- 2.9%
2,400 General Motors Corporation ....... $ 174,450
4,450 PACCAR, Inc. ..................... 197,191
-------------
371,641
-------------
BANKS -- 1.1%
2,810 Bank of America Corporation ...... 141,027
-------------
BROADCAST, RADIO AND TELEVISION -- 2.5%
4,900 Fox Entertainment Group, Inc.,
Class A(DAGGER) ................. 122,194
5,900 The News Corporation Ltd., ADR ... 197,281
-------------
319,475
-------------
CHEMICALS -- 4.1%
3,950 The Dow Chemical Company ......... 527,819
-------------
COMPUTER INDUSTRY -- 8.5%
15,700 Avid Technology, Inc.(DAGGER) .... 205,081
1,950 Computer Sciences Corporation(DAGGER) 184,519
1,450 Comverse Technology, Inc.(DAGGER) 209,887
3,900 Electronic Data Systems Corporation 261,056
900 Hewlett-Packard Company .......... 102,544
5,200 Newbridge Networks Corporation(DAGGER) 117,325
-------------
1,080,412
-------------
DISTRIBUTOR/WHOLESALER -- 0.7%
8,900 Fleming Companies, Inc. .......... 91,225
-------------
ELECTRONICS -- 7.9%
1,200 Matsushita Electric Industrial
Company, Ltd., ADR .............. 334,800
2,900 PerkinElmer, Inc. ................ 120,894
1,550 Sony Corporporation, ADR ......... 441,362
7,600 Thermo Electron Corporation(DAGGER) 114,000
-------------
1,011,056
-------------
FINANCIAL SERVICES -- 4.5%
4,200 Capital One Financial Corporation 202,387
11,100 Golden West Financial Corporation 371,850
-------------
574,237
-------------
FOOD AND BEVERAGES -- 1.0%
8,200 Dole Food Company, Inc. .......... 133,250
-------------
HEALTH CARE -- 5.7%
4,400 Bausch & Lomb, Inc. .............. 301,125
16,000 First Health Group
Corporation(DAGGER) ............. 430,000
-------------
731,125
-------------
HOTELS/RESORTS -- 0.6%
8,800 Host Marriott Corporation ........ 72,600
-------------
INSURANCE -- 1.8%
1,700 Loews Corporation ................ 103,169
4,900 StanCorp Financial Group, Inc. ... 123,419
-------------
226,588
-------------
MACHINERY -- 1.3%
4,900 The Manitowoc Company, Inc. ...... 166,600
-------------
MANUFACTURING -- 5.6%
5,058 Tyco International Ltd. .......... 196,630
8,000 Whirlpool Corporation ............ 520,500
-------------
717,130
-------------
VALUE
SHARES (NOTE 1)
------ --------
METALS/MINING -- 8.2%
8,500 Alcoa Inc. ....................... $ 705,500
3,600 Rio Tinto Plc, ADR ............... 341,100
-------------
1,046,600
-------------
OIL AND GAS -- 6.3%
6,000 Amerada Hess Corporation ......... 340,500
3,050 Schlumberger, Ltd. ............... 171,562
590 Transocean Sedco Forex Inc. ...... 19,892
21,750 Union Pacific Resources Group, Inc. 277,312
-------------
809,266
-------------
PAPER AND FOREST PRODUCTS -- 7.8%
8,300 Boise Cascade Corporation ........ 336,150
3,000 Champion International Corporation 185,812
3,000 International Paper Company ...... 169,312
4,200 Weyerhaeuser Company ............. 301,612
-------------
992,886
-------------
PHARMACEUTICALS -- 1.1%
3,200 Pharmacia & Upjohn, Inc. ......... 144,000
-------------
PRINTING/PUBLISHING -- 2.6%
9,200 Donnelley (R.R.) & Sons Company .. 228,275
2,650 Harcourt General, Inc. ........... 106,662
-------------
334,937
-------------
RETAIL -- 5.5%
5,100 Duane Reade Inc.(DAGGER) ......... 140,569
22,200 Kmart Corporation(DAGGER) ........ 223,388
8,600 Nordstrom, Inc. .................. 225,213
5,350 The TJX Companies, Inc. .......... 109,341
-------------
698,511
-------------
SERVICES -- 1.3%
5,600 Convergys Corporation(DAGGER) .... 172,200
-------------
TELECOMMUNICATIONS -- 5.8%
7,900 COMSAT Corporation ............... 157,013
2,750 General Motors Corporation,
Class H(DAGGER) ................. 264,000
2,150 Motorola, Inc. ................... 316,588
-------------
737,601
-------------
TRANSPORTATION -- 5.7%
7,700 Canadian National Railway Company 202,606
7,150 FDX Corporation(DAGGER) .......... 292,703
5,400 Union Pacific Corporation ........ 235,575
-------------
730,884
-------------
WASTE MANAGEMENT -- 1.6%
13,800 Republic Services, Inc.(DAGGER) .. 198,375
-------------
Total Common Stocks
(Cost $10,388,663) 12,029,445
-------------
TOTAL INVESTMENTS (COST $10,388,663*) ..... 94.1% 12,029,445
OTHER ASSETS AND LIABILITIES (NET) ........ 5.9 751,649
------ -------------
NET ASSETS ............................... 100.0% $ 12,781,094
====== =============
- ------------------------------
* Aggregate cost for Federal tax purposes was $10,566,198.
(DAGGER) Non-income producing security.
GLOSSARY OF TERMS
ADR -- American Depository Receipt
See Notes to Financial Statements.
95
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 95.0%
ADVERTISING -- 0.9%
30,000 Lamar Advertising Company(DAGGER) $ 1,816,875
-------------
APPAREL AND TEXTILES -- 1.4%
70,926 Jones Apparel Group, Inc.(DAGGER) 1,923,868
37,000 Tommy Hilfiger Corporation(DAGGER) 862,562
-------------
2,786,430
-------------
AUTOMOTIVE -- 0.6%
18,000 Harley-Davidson, Inc. ............ 1,153,125
-------------
BANKS -- 0.9%
28,500 Compass Bancshares, Inc. ......... 635,906
20,000 Zions Bancorporation ............. 1,183,750
-------------
1,819,656
-------------
BROADCAST, RADIO AND TELEVISION -- 3.8%
20,000 Adelphia Communications Corporation,
Class A(DAGGER) ................. 1,312,500
15,500 Hispanic Broadcasting
Corporation(DAGGER) ............. 1,429,391
27,000 Polycom, Inc.(DAGGER) ............ 1,719,562
18,300 Univision Communications, Inc.,
Class A(DAGGER) ................. 1,870,031
20,000 Westwood One, Inc.(DAGGER) ....... 1,520,000
-------------
7,851,484
-------------
COMPUTER INDUSTRY -- 27.0%
26,500 Adaptec, Inc.(DAGGER) ............ 1,321,687
26,000 Adobe Systems, Inc. .............. 1,748,500
11,600 Alteon Websystems, Inc.(DAGGER) .. 1,017,900
15,000 Apple Computer, Inc.(DAGGER) ..... 1,542,187
18,000 Ariba, Inc.(DAGGER) .............. 3,192,750
14,300 ASM Lithography Holding N.V.(DAGGER) 1,626,625
17,000 Aspect Development, Inc.(DAGGER) . 1,164,500
10,000 Check Point Software Technologies
Ltd.(DAGGER) .................... 1,987,500
15,800 Citrix Systems, Inc.(DAGGER) ..... 1,943,400
7,600 CMGI Inc.(DAGGER) ................ 2,104,250
12,250 Comverse Technology, Inc.(DAGGER) 1,773,187
14,000 Electronic Arts Inc.(DAGGER) ..... 1,176,000
24,100 Entrust Technologies Inc.(DAGGER) 1,444,494
22,200 Exodus Communications, Inc.(DAGGER) 1,971,637
6,900 InfoSpace.com, Inc.(DAGGER) ...... 1,476,600
19,000 Inktomi Corporation(DAGGER) ...... 1,686,250
35,300 Intuit Inc.(DAGGER) .............. 2,115,794
20,000 ISS Group, Inc.(DAGGER) .......... 1,422,500
50,000 J. D. Edwards & Company(DAGGER) .. 1,493,750
6,800 Lexmark International Group, Inc.,
Class A(DAGGER) ................. 615,400
30,000 Lycos, Inc.(DAGGER) .............. 2,386,875
25,100 Macromedia, Inc.(DAGGER) ......... 1,835,437
15,000 Mercury Interactive
Corporation(DAGGER) ............. 1,619,062
48,700 MindSpring Enterprises, Inc.(DAGGER) 1,285,984
34,300 Rational Software Corporation(DAGGER) 1,684,987
10,000 RealNetworks, Inc.(DAGGER) ....... 1,203,125
57,000 Telescan, Inc.(DAGGER) ........... 1,407,187
34,500 Verio Inc.(DAGGER) ............... 1,593,469
24,000 VeriSign, Inc.(DAGGER) ........... 4,582,500
24,000 Veritas Software Corporation(DAGGER) 3,435,000
10,900 VerticalNet, Inc.(DAGGER) ........ 1,787,600
-------------
55,646,137
-------------
CONSUMER PRODUCTS -- 0.4%
52,400 La-Z-Boy, Inc. ................... 880,975
-------------
VALUE
SHARES (NOTE 1)
------ --------
ELECTRONICS -- 7.2%
51,500 American Power Conversion
Corporation(DAGGER) ............. $ 1,358,312
16,600 Analog Devices, Inc.(DAGGER) ..... 1,543,800
30,800 Flextronics International
Ltd.(DAGGER) .................... 1,416,800
24,000 Gemstar International
Group Ltd.(DAGGER) .............. 1,710,000
20,200 Micrel, Inc.(DAGGER) ............. 1,150,137
13,400 Microchip Technology, Inc.(DAGGER) 917,062
18,000 Orbotech, Ltd.(DAGGER) ........... 1,395,000
13,800 PE Corp-PE Biosystems Group ...... 1,660,313
30,400 Teradyne, Inc.(DAGGER) ........... 2,006,400
30,000 Vishay Intertechnology, Inc.(DAGGER) 948,750
11,400 Waters Corporation(DAGGER) ....... 604,200
-------------
14,710,774
-------------
FINANCIAL SERVICES -- 2.3%
57,200 Federated Investors, Inc., Class B 1,147,575
29,300 Fiserv, Inc.(DAGGER) ............. 1,122,556
29,200 Knight/Trimark Group, Inc.,
Class A(DAGGER) ................. 1,343,200
10,000 SEI Investments Company .......... 1,190,156
-------------
4,803,487
-------------
HEALTH CARE -- 1.3%
19,000 Bausch & Lomb, Inc. .............. 1,300,312
36,000 Biomet, Inc. ..................... 1,440,000
-------------
2,740,312
-------------
INSURANCE -- 1.4%
22,100 AFLAC, Inc. ...................... 1,042,844
15,500 MGIC Investment Corporation ...... 932,906
19,100 Radian Group, Inc. ............... 912,025
-------------
2,887,775
-------------
MANUFACTURING -- 1.1%
23,000 Danaher Corporation .............. 1,109,750
20,000 Zebra Technologies Corporation,
Class A(DAGGER) ................. 1,170,000
-------------
2,279,750
-------------
OIL AND GAS -- 7.4%
22,300 Apache Corporation ............... 823,706
29,000 BJ Services Company(DAGGER) ...... 1,212,563
40,200 Cooper Cameron Corporation(DAGGER) 1,967,288
62,000 ENSCO International Inc. ......... 1,418,250
59,300 EOG Resources, Inc. .............. 1,041,456
45,500 Nabors Industries, Inc.(DAGGER) .. 1,407,656
80,000 R&B Falcon Corporation(DAGGER) ... 1,060,000
73,000 Rowan Companies, Inc.(DAGGER) .... 1,583,188
35,000 Smith International, Inc.(DAGGER) 1,739,063
47,000 Transocean Sedco Forex Inc. ...... 1,583,313
35,500 Weatherford International, Inc. .. 1,417,781
-------------
15,254,264
-------------
PHARMACEUTICALS -- 3.3%
26,600 Allergan, Inc. ................... 1,323,350
11,100 Alpharma, Inc., Class A .......... 341,325
15,000 Biogen, Inc.(DAGGER) ............. 1,267,500
18,000 Forest Laboratories, Inc.(DAGGER) 1,105,875
41,000 Jones Pharma, Inc. ............... 1,780,938
6,000 MedImmune, Inc.(DAGGER) .......... 995,250
-------------
6,814,238
-------------
PRINTING/PUBLISHING -- 1.3%
27,300 Electronics for Imaging,
Inc.(DAGGER) .................... 1,586,813
26,300 Valassis Communications,
Inc.(DAGGER) .................... 1,111,175
-------------
2,697,988
-------------
See Notes to Financial Statements.
96
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
RESTAURANTS -- 2.0%
48,300 Brinker International, Inc.(DAGGER) $ 1,159,200
51,800 Outback Steakhouse, Inc.(DAGGER) . 1,343,563
56,100 Sonic Corporation(DAGGER) ........ 1,598,850
-------------
4,101,613
-------------
RETAIL -- 8.0%
28,500 American Eagle
Outfitters, Inc.(DAGGER) ........ 1,282,500
37,100 AnnTaylor Stores Corporation(DAGGER) 1,277,631
40,000 BJ's Wholesale Club, Inc.(DAGGER) 1,460,000
20,000 CDW Computer Centers, Inc.(DAGGER) 1,572,500
26,000 Dollar Tree Stores, Inc.(DAGGER) . 1,259,375
5,000 eToys Inc.(DAGGER) ............... 131,250
10 Intimate Brands, Inc. ............ 431
13,100 Kohl's Corporation(DAGGER) ....... 945,656
41,500 Linens 'n Things, Inc.(DAGGER) ... 1,229,438
40,000 The Men's Wearhouse, Inc.(DAGGER) 1,175,000
30,000 Talbots, Inc. .................... 1,338,750
21,200 Tandy Corporation ................ 1,042,775
17,000 Tiffany & Company ................ 1,517,250
19,300 Williams-Sonoma, Inc.(DAGGER) .... 887,800
26,100 Zale Corporation(DAGGER) ......... 1,262,588
-------------
16,382,944
-------------
SEMICONDUCTORS -- 12.3%
25,000 Altera Corporation(DAGGER) ....... 1,239,063
60,000 Amkor Technology, Inc.(DAGGER) ... 1,695,000
22,800 Atmel Corporation(DAGGER) ........ 674,025
31,500 Burr-Brown Corporation(DAGGER) ... 1,137,938
26,400 Conexant Systems, Inc.(DAGGER) ... 1,752,300
25,000 Cree Research, Inc.(DAGGER) ...... 2,134,375
10,000 GlobeSpan Inc.(DAGGER) ........... 651,250
45,000 Integrated Device Technology,
Inc.(DAGGER) .................... 1,305,000
16,000 KLA-Tencor Corporation(DAGGER) ... 1,782,000
15,000 Lam Research Corporation(DAGGER) . 1,673,438
15,300 LSI Logic Corporation(DAGGER) .... 1,032,750
20,000 Novellus Systems, Inc.(DAGGER) ... 2,450,625
15,200 PMC-Sierra, Inc.(DAGGER) ......... 2,436,750
15,000 QLogic Corporation(DAGGER) ....... 2,398,125
32,400 Vitesse Semiconductor
Corporation(DAGGER) ............. 1,698,975
28,000 Xilinx, Inc.(DAGGER) ............. 1,273,125
-------------
25,334,739
-------------
SERVICES -- 0.5%
15,600 BEA Systems, Inc.(DAGGER) ........ 1,091,025
-------------
VALUE
SHARES (NOTE 1)
------ --------
TELECOMMUNICATIONS -- 10.2%
22,700 ADC Telecommunications,
Inc.(DAGGER) .................... $ 1,647,169
125,000 Advanced Fibre Communications,
Inc.(DAGGER) .................... 5,585,938
38,000 CommScope, Inc.(DAGGER) .......... 1,531,875
52,000 Crown Castle International
Corporation(DAGGER) ............. 1,670,500
12,600 Ditech Communications
Corporation(DAGGER) ............. 1,178,100
21,600 JDS Uniphase Corporation(DAGGER) . 3,484,350
41,500 Metromedia Fiber Network, Inc.,
Class A(DAGGER) ................. 1,989,406
15,000 NTL, Inc.(DAGGER) ................ 1,871,250
18,200 RCN Corporation(DAGGER) .......... 882,700
20,900 Scientific-Atlanta, Inc. ......... 1,162,563
-------------
21,003,851
-------------
TRANSPORTATION -- 1.0%
27,500 Kansas City Southern
Industries, Inc. ................ 2,052,188
-------------
UTILITIES -- 0.7%
41,300 Montana Power Company ............ 1,489,381
-------------
Total Common Stocks
(Cost $128,866,655) ............. 195,599,011
-------------
PREFERRED STOCK -- 0.1%
(Cost $179,413)
3,600 Southwest Securities Group,
Inc.(DAGGER)^ ................... 164,250
-------------
PRINCIPAL
AMOUNT
---------
CONVERTIBLE BONDS -- 0.1%
(Cost $210,000)
$ 210,000 Exodus Communications, Inc.
4.750% due 07/15/2008^ .......... $ 291,113
-------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 5.6%
(Cost $11,432,047)
FEDERAL HOME LOAN BANK:
11,433,000 1.217%(DOUBLE DAGGER)
due 01/03/2000 .................. 11,432,047
-------------
TOTAL INVESTMENTS (COST $140,688,115*) ... 100.8% 207,486,421
OTHER ASSETS AND LIABILITIES (NET) ....... (0.8) (1,687,009)
===== =============
NET ASSETS ............................... 100.0% $ 205,799,412
===== =============
- ------------------------------
* Aggregate cost for Federal tax purposes was $140,887,030.
^ Illiquid security.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
See Notes to Financial Statements.
97
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
SMALL CAP SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 87.5%
ADVERTISING -- 1.7%
88,900 Young & Rubicam Inc. ............ $ 6,289,675
-------------
AIRLINES -- 0.3%
42,600 SkyWest, Inc. ................... 1,192,800
-------------
BROADCAST, RADIO AND TELEVISION -- 3.1%
25,000 Cablevision Systems Corporation,
Class A(DAGGER) ................ 1,887,500
50,000 Citadel Communications
Corporation(DAGGER) ............ 3,243,750
20,900 Cox Radio, Inc., Class A(DAGGER) 2,084,775
64,268 Infinity Broadcasting Corporation,
Class A(DAGGER) ................ 2,325,725
71,500 Salem Communications Corporation,
Class A(DAGGER) ................ 1,617,687
-------------
11,159,437
-------------
COMPUTER INDUSTRY -- 14.5%
15,000 Advent Software, Inc.(DAGGER) ... 966,562
20,000 Ariba, Inc.(DAGGER) ............. 3,547,500
40,000 BSQUARE Corporation(DAGGER) ..... 1,677,500
65,600 Critical Path, Inc.(DAGGER) ..... 6,191,000
25,000 Digital Island Inc.(DAGGER) ..... 2,378,125
83,000 eSPEED, Inc., Class A(DAGGER) ... 2,951,687
134,200 Exodus Communications Inc.(DAGGER) 11,918,637
222,600 Intuit, Inc.(DAGGER) ............ 13,342,087
22,500 Micromuse, Inc.(DAGGER) ......... 3,825,000
40,000 Vignette Corporation(DAGGER) .... 6,520,000
-------------
53,318,098
-------------
ELECTRONICS -- 7.0%
62,200 Emulex Corporation(DAGGER) ...... 6,997,500
56,700 Mettler-Toledo International,
Inc.(DAGGER) ................... 2,165,231
130,000 Microchip Technology, Inc.(DAGGER) 8,896,875
57,000 Sawtek Inc.(DAGGER) ............. 3,794,062
76,050 Waters Corporation(DAGGER) ...... 4,030,650
-------------
25,884,318
-------------
ENERGY -- 3.1%
176,750 Calpine Corporation(DAGGER) ..... 11,312,000
-------------
FINANCIAL SERVICES -- 3.1%
88,300 The BISYS Group, Inc.(DAGGER) ... 5,761,575
52,500 FactSet Research Systems, Inc. .. 4,180,312
57,700 National Commerce Bancorporation 1,309,069
-------------
11,250,956
-------------
FOOD AND BEVERAGES -- 0.3%
27,000 Beringer Wine Estates Holdings, Inc.,
Class B(DAGGER) ................ 1,076,625
-------------
FURNITURE, HOME AND OFFICE -- 1.4%
144,650 Ethan Allen Interiors Inc. ...... 4,637,841
20,000 Furniture Brands International,
Inc.(DAGGER) ................... 440,000
-------------
5,077,841
-------------
HEALTH CARE -- 3.3%
100,000 Cygnus, Inc.(DAGGER) ............ 1,825,000
50,000 Enzon, Inc.(DAGGER) ............. 2,168,750
90,800 Hooper Holmes, Inc. ............. 2,338,100
48,500 MiniMed Inc.(DAGGER) ............ 3,552,625
33,400 Protein Design Labs, Inc.(DAGGER) 2,338,000
-------------
12,222,475
-------------
HOTELS/RESORTS -- 0.8%
150,000 Mandalay Resort Group(DAGGER) ... 3,018,750
-------------
VALUE
SHARES (NOTE 1)
------ --------
OIL AND GAS -- 1.5%
70,100 BJ Services Company(DAGGER) ..... $ 2,931,056
42,400 EOG Resources, Inc. ............. 744,650
187,000 Varco International, Inc.(DAGGER) 1,905,063
-------------
5,580,769
-------------
PHARMACEUTICALS -- 4.1%
92,200 Forest Laboratories, Inc.(DAGGER) 5,664,538
26,000 IDEC Pharmaceuticals
Corporation(DAGGER) ............ 2,554,500
23,600 MedImmune, Inc.(DAGGER) ......... 3,914,650
31,200 Sepracor, Inc.(DAGGER) .......... 3,094,650
-------------
15,228,338
-------------
RESTAURANTS -- 1.1%
149,550 Outback Steakhouse, Inc.(DAGGER) 3,878,953
-------------
RETAIL -- 11.6%
119,300 Abercrombie & Fitch Company,
Class A(DAGGER) ................ 3,183,819
43,700 Amazon.com, Inc.(DAGGER) ........ 3,326,663
168,800 Bed Bath & Beyond, Inc.(DAGGER) . 5,865,800
214,629 BJ's Wholesale Club, Inc.(DAGGER) 7,833,959
79,000 eBay, Inc.(DAGGER) .............. 9,889,813
148,800 Linens 'n Things, Inc.(DAGGER) .. 4,408,200
64,300 Tiffany & Company ............... 5,738,775
51,800 Williams-Sonoma, Inc.(DAGGER) ... 2,382,800
-------------
42,629,829
-------------
SEMICONDUCTORS -- 20.4%
60,000 Altera Corporation(DAGGER) ...... 2,973,750
50,000 Applied Micro Circuits
Corporation(DAGGER) ............ 6,362,500
85,000 ASM Lithography Holding Ltd.(DAGGER) 9,668,750
132,500 Atmi, Inc.(DAGGER) .............. 4,380,781
164,000 Conexant Systems, Inc.(DAGGER) .. 10,885,500
78,100 Dallas Semiconductor Corporation 5,032,569
74,000 Lattice Semiconductor
Corporation(DAGGER) ............ 3,487,250
55,000 Linear Technology Corporation ... 3,935,938
54,000 PMC-Sierra, Inc.(DAGGER) ........ 8,656,875
101,000 PRI Automation, Inc.(DAGGER) .... 6,779,625
45,000 SDL, Inc.(DAGGER) ............... 9,810,000
60,000 Vitesse Semiconductor
Corporation(DAGGER) ............ 3,146,250
-------------
75,119,788
-------------
SERVICES -- 3.2%
110,000 Coinstar, Inc.(DAGGER) .......... 1,540,000
62,800 Pittway Corporation, Class A .... 2,814,225
71,650 QRS Corporation(DAGGER) ......... 7,523,250
-------------
11,877,475
-------------
TELECOMMUNICATIONS -- 7.0%
122,800 ANTEC Corporation(DAGGER) ....... 4,482,200
60,000 Aware, Inc.(DAGGER) ............. 2,182,500
115,900 CNET, Inc.(DAGGER) .............. 6,577,325
79,600 CommScope, Inc.(DAGGER) ......... 3,208,875
24,300 Efficient Networks, Inc.(DAGGER) 1,652,400
133,500 ITC DeltaCom, Inc.(DAGGER) ...... 3,687,938
28,000 McLeodUSA, Inc., Class A(DAGGER) 1,648,500
20,000 Next Level Communications,
Inc.(DAGGER) ................... 1,497,500
14,600 Time Warner Telecom Inc.,
Class A(DAGGER) ................ 729,088
-------------
25,666,326
-------------
Total Common Stocks
(Cost $225,197,682) ............ 321,784,453
-------------
See Notes to Financial Statements.
98
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
SMALL CAP SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMERCIAL PAPER -- 11.4%
$3,100,000 AES Hawaii Inc.,
6.635%(DOUBLE DAGGER) due 01/12/2000 .. $3,093,748
6,000,000 Austra Corporation,
7.145%(DOUBLE DAGGER) due 01/10/2000 .. 5,989,395
6,400,000 Bell Atlantic Network Funding,
6.410%(DOUBLE DAGGER) due 01/05/2000 .. 6,395,534
2,800,000 Countrywide Home Loans,
5.220%(DOUBLE DAGGER) due 01/07/2000 .. 2,797,550
5,900,000 General Electric Capital Corporation,
6.568%(DOUBLE DAGGER) due 01/14/2000 .. 5,886,386
6,000,000 Household Finance Corporation,
6.461%(DOUBLE DAGGER) due 01/07/2000 .. 5,993,600
1,800,000 Inter-American Development Bank,
5.854%(DOUBLE DAGGER) due 01/12/2000 .. 1,796,843
4,000,000 Merrill Lynch & Company,
5.630%(DOUBLE DAGGER) due 01/27/2000 .. 3,983,967
6,000,000 Standard Life Assurance,
6.496%(DOUBLE DAGGER) due 01/12/2000 .. 5,988,175
-------------
Total Commercial Paper
(Cost $41,925,198) .................... 41,925,198
-------------
TOTAL INVESTMENTS (COST $267,122,880*) ... 98.9% 363,709,651
OTHER ASSETS AND LIABILITIES (NET) ....... 1.1 3,926,941
----- -------------
NET ASSETS ............................... 100.0% $ 367,636,592
===== =============
- ------------------------------
* Aggregate cost for Federal tax purposes was $267,315,991.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
See Notes to Financial Statements.
99
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
REAL ESTATE SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 94.6%
APARTMENTS -- 17.5%
61,700 Apartment Investment &
Management Company ................ $ 2,456,431
38,264 Avalonbay Communities, Inc. ........ 1,312,933
24,700 BRE Properties Inc. Class A ........ 560,381
17,200 Camden Property Trust .............. 470,850
52,687 Equity Residential Properties Trust 2,249,076
41,205 Post Properties, Inc. .............. 1,576,091
36,800 Smith, Charles E. Residential
Realty, Inc. ...................... 1,301,800
-----------
9,927,562
-----------
HEALTH CARE -- 0.9%
38,400 Nationwide Health Properties, Inc. . 528,000
-----------
HOTELS/RESORTS -- 3.3%
97,800 Host Marriott Corporation .......... 806,850
44,992 Starwood Hotels and Resorts
Worldwide, Inc. ................... 1,057,312
-----------
1,864,162
-----------
MANUFACTURED HOUSING -- 6.2%
67,513 Chateau Communities, Inc. .......... 1,751,118
55,200 Sun Communities, Inc. .............. 1,776,750
-----------
3,527,868
-----------
OFFICE/INDUSTRIAL -- 36.3%
27,300 AMB Property Corporation ........... 544,294
80,000 Arden Realty, Inc. ................. 1,605,000
55,200 Boston Properties, Inc. ............ 1,718,100
44,200 Brandywine Realty Trust ............ 723,775
30,300 CarrAmerica Realty Corporation ..... 640,087
93,900 Cornerstone Properties, Inc. ....... 1,373,288
141,335 Equity Office Properties Trust ..... 3,480,374
45,500 Highwoods Properties, Inc. ......... 1,057,875
72,000 Kilroy Realty Corporation .......... 1,584,000
58,700 Liberty Property Trust ............. 1,423,475
98,290 ProLogis Trust ..................... 1,892,083
85,700 Reckson Associates Realty
Corporation ....................... 1,756,850
61,300 SL Green Realty Corporation ........ 1,333,275
41,800 Spieker Properties, Inc. ........... 1,523,088
-----------
20,655,564
-----------
VALUE
SHARES (NOTE 1)
------ --------
REGIONAL MALLS -- 14.0%
56,000 General Growth Properties, Inc. .... $ 1,568,000
40,100 The Macerich Company ............... 834,581
79,100 The Rouse Company .................. 1,680,875
122,600 Simon Property Group, Inc. ......... 2,812,138
101,000 Taubman Centers, Inc. .............. 1,085,750
-----------
7,981,344
-----------
RESTAURANTS -- 3.6%
84,700 Franchise Finance Corporation
of America ........................ 2,027,506
-----------
SELF STORAGE -- 2.4%
47,462 Public Storage, Inc. ............... 1,076,794
10,200 Storage USA, Inc. .................. 308,550
-----------
1,385,344
-----------
SHOPPING CENTERS -- 10.4%
32,100 Bradley Real Estate, Inc. .......... 559,744
36,300 Federal Realty Investment Trust .... 682,894
68,650 Kimco Realty Corporation ........... 2,325,519
71,900 Vornado Realty Trust ............... 2,336,750
-----------
5,904,907
-----------
Total Common Stocks
(Cost $59,710,229) ................ 53,802,257
-----------
PREFERRED STOCK -- 1.3%
(Cost $880,275)
16,300 Vornado Realty Trust Convertible,
Series A .......................... 759,988
-----------
PRINCIPAL
AMOUNT
------------
U.S. TREASURY OBLIGATIONS -- 1.4%
(Cost $795,125)
U.S. TREASURY BILLS
$ 800,000 3.82%(DOUBLE DAGGER) to
5.12%(DOUBLE DAGGER), due 2/17/2000 . 795,125
-----------
TOTAL INVESTMENTS (COST $61,385,629*) ... 97.3% 55,357,370
OTHER ASSETS AND LIABILITIES (NET) ...... 2.7 1,548,964
------ -----------
NET ASSETS .............................. 100.0% $56,906,334
===== ===========
- ------------------------------
* Aggregate cost for Federal tax purposes was $61,446,720.
(DAGGER) Non-income producing security.
(DOUBLE DAGGER) Annualized yield at date of purchase.
See Notes to Financial Statements.
100
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
HARD ASSETS SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 97.5%
DIAMONDS / MINING -- 1.9%
13,400 De Beers-Centenary Linked Unit ..... $ 389,699
12,900 De Beers Centenary AG Linked Unit .. 366,821
-----------
756,520
-----------
DIVERSIFIED MINERALS -- 2.3%
47,800 Billiton Plc ....................... 282,014
17,250 EuroZinc Mining Corporporation ..... 8,604
106,100 Iluka Resources Ltd. ............... 281,405
18,000 PT Tambang Timah Tbk, GDR .......... 122,850
41,300 WMC Ltd. ........................... 227,753
-----------
922,626
-----------
GOLD/MINING -- 3.7%
630,800 Brazilian Resources, Inc.^ ......... 225,052
69,655 Franco Nevada Mining Corporation Ltd. 1,068,831
330,000 Gold Mines of Sardinia Ltd.(DAGGER)^ 87,741
152,500 Hill 50 Gold NL(DAGGER) ............ 107,124
22,041 Osmere Ltd.^ ....................... 752
-----------
1,489,500
-----------
MANUFACTURING -- 2.7%
43,400 Smurfit-Stone Container
Corporation(DAGGER) ............... 1,063,300
-----------
METALS/MINING -- 20.4%
31,900 Alcoa Inc. ......................... 2,647,700
70,900 Comalco Ltd. ...................... 414,258
11,700 Inco Ltd. .......................... 273,554
128,500 Inco Ltd., Class VBN(DAGGER) ....... 1,143,904
180,000 PT International Nickel
Indonesia(DAGGER) ................. 162,290
104,230 Rio Tinto Plc, ADR ................. 2,517,023
32,200 Southern Peru Copper Corporation ... 497,087
16,900 Stillwater Mining Company(DAGGER) .. 538,687
-----------
8,194,503
-----------
OIL/GAS -- EQUIPMENT & SERVICES -- 1.4%
45,000 Plains Energy Services,
Ltd.(DAGGER)**^ ................... 241,600
11,100 The Williams Companies, Inc. ....... 339,244
-----------
580,844
-----------
OIL/GAS -- EXPLORATION -- 23.1%
53,500 Baytex Energy Ltd.(DAGGER) ......... 326,152
27,900 Berkley Petroleum Corporation(DAGGER) 244,499
16,660 Devon Energy Corporation ........... 547,697
194,200 Encal Energy Ltd.(DAGGER) .......... 887,925
41,500 Evergreen Resources, Inc. .......... 819,625
62,500 Forcenergy, Inc.(DAGGER)** ......... 31,794
16,700 Gulf Indonesia Resources Ltd. ...... 135,688
38,300 Hilton Petroleum Ltd.(DAGGER) ...... 70,312
9,500 Newfield Exploration Company(DAGGER) 254,125
19,000 Niko Resources Ltd.(DAGGER) ........ 85,556
36,600 Northrock Resources Ltd.(DAGGER) ... 243,408
209,600 Novus Petroleum Ltd.(DAGGER) ....... 199,524
24,600 Penn West Petroleum Ltd.(DAGGER) ... 481,434
100,100 Pennaco Energy, Inc.(DAGGER)^ ...... 800,800
40,800 Rio Alto Exploration Ltd.(DAGGER) .. 576,599
25,200 Shell Canada Ltd., Class A ......... 511,507
26,800 Suncor Energy, Inc. ................ 1,121,386
34,900 Talisman Energy, Inc.(DAGGER) ...... 892,144
9,500 Ulster Petroleums Ltd.(DAGGER) ..... 84,569
68,800 Velvet Exploration Ltd.(DAGGER) .... 238,310
49,390 Ventus Energy Ltd.(DAGGER)^ ........ 225,822
43,100 Vintage Petroleum, Inc. ............ 519,894
196,000 Windsor Energy
Corporation(DAGGER)**^ ............ --
-----------
9,298,770
-----------
VALUE
SHARES (NOTE 1)
------ --------
OIL/GAS -- INTEGRATED -- 11.7%
164,000 BP Amoco Plc, ADR .................. $ 1,649,060
37,973 Exxon Mobil Corporation ............ 3,059,200
-----------
4,708,260
-----------
OIL/GAS -- INTERNATIONAL -- 5.7%
26,700 Atlantic Richfield Company (ARCO) .. 2,309,550
-----------
OIL/GAS -- REFINING -- 6.1%
111,100 Imperial Oil, Ltd. ................. 2,385,937
42,500 S.P. Interoil**^ ................... 71,188
-----------
2,457,125
-----------
PAPER AND FOREST PRODUCTS -- 8.8%
15,600 Aracruz Celulose S.A., ADR ......... 409,500
7,500 Bowater Inc. ....................... 407,344
40,640 Georgia Pacific Corporation
(Timber Group) .................... 1,000,760
19,400 Kimberly-Clark de Mexico, ADR ...... 378,786
43,200 Stora Enso Oyj, Class R(DAGGER) .... 753,214
15,200 UPM-Kymmene Oyj .................... 612,408
-----------
3,562,012
-----------
PLATINUM/MINING -- 4.1%
38,300 Anglo American Platinum
Corporation, Ltd. ................. 1,163,623
12,400 Impala Platinum Holdings Ltd. ...... 501,641
-----------
1,665,264
-----------
RETAIL -- 1.6%
14,060 Whole Foods Market, Inc.(DAGGER) ... 652,032
-----------
STEEL -- PRODUCERS -- 4.0%
40,400 Acerinox S.A. ...................... 1,611,439
-----------
Total Common Stocks
(Cost $39,096,981) ................ 39,271,745
-----------
TOTAL INVESTMENTS (COST $39,096,981*) ... 97.5% 39,271,745
OTHER ASSETS AND LIABILITIES (NET) ...... 2.5 1,018,996
------ -----------
NET ASSETS .............................. 100.0% $40,290,741
====== ===========
- ------------------------------
* Aggregate cost for Federal tax purposes was $39,593,226.
** 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.
^ Illiquid security.
(DAGGER) Non-income producing security.
The summary of investments by country at December 31, 1999 was as follows:
% OF TOTAL
COUNTRY INVESTMENTS
- ---------------- -----------
Australia ........................................ 3.4%
Brazil ........................................... 1.0
Canada ........................................... 28.9
Finland .......................................... 3.5
Indonesia ........................................ 1.0
Mexico ........................................... 1.0
Peru ............................................. 1.3
South Africa ..................................... 6.2
Spain ............................................ 4.1
United Kingdom ................................... 11.3
United States .................................... 38.3
-----
100.0%
=====
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
101
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 96.4%
BRAZIL -- 10.6%
21,300 Aracruz Celulose S.A., ADR ......... $ 559,125
11,500 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar, ADR .......... 371,594
64,600 Companhia Paranaese de
Energia-Copel, ADR ................ 601,587
16,700 Companhia Siderurgica Nacional, ADR^ 613,725
24,300 Companhia Vale do Rio Doce, ADR .... 619,650
25,500 Embratel Participacoes S.A., ADR ... 694,875
7,300 Tele Centro Sul Participacoes
S.A., ADR ......................... 662,475
26,900 Tele Norte Leste
Participacoes S.A., ADR ........... 685,950
12,200 Tele Sudeste Celular Participacoes S.A.,
ADR(DAGGER) ....................... 473,512
6,600 Telemig Celular Participacoes
S.A., ADR(DAGGER) ................. 304,837
26,100 Telesp Participacoes S.A., ADR ..... 637,819
14,000 Teva Pharmaceuticals
Industries Ltd., ADR .............. 421,750
-----------
6,646,899
-----------
CHILE -- 1.9%
6,300 Banco Santander Chile, ADR ......... 96,075
10,000 Companhia de Telecomunicaciones de
Chile S.A., ADR ................... 182,500
13,900 Distribucion y Servicio D&S S.A., ADR 271,050
14,200 Embotelladora Andina S.A., ADR ..... 252,937
17,700 Empresa Nacional de
Electricidad S.A., ADR ............ 251,119
4,400 Vina Concha Y Toro S.A., ADR ....... 166,650
-----------
1,220,331
-----------
CHINA -- 2.9%
86,834 China Steel Corporation, ADR** ..... 1,283,766
396,000 Tsingtao Brewery Company, Ltd.,
Class H(DAGGER) ................... 120,988
800,000 Yanzhou Coal Mining Company, Ltd.,
Class H(DAGGER) ................... 221,265
1,090,000 Zhejiang Expressway Company, Ltd.,
Class H(DAGGER) ................... 165,460
-----------
1,791,479
-----------
GREECE -- 0.5%
15,521 Advanced Semiconductors
Engineering, GDR .................. 301,107
-----------
HONG KONG -- 1.2%
183 China Telecom (Hong Kong), Ltd., ADR 23,527
90,000 China Telecom (Hong Kong), Ltd. .... 562,681
216,000 Cosco Pacific Ltd. ................. 179,224
-----------
765,432
-----------
HUNGARY -- 2.4%
4,800 Gedeon Richter Ltd. GDR** .......... 315,000
15,800 Magyar Tavkoslesi Rt., ADR ......... 568,800
8,600 OTP Bank Rt., GDR .................. 499,875
7,800 Tiszai Vegyi Kombinat Rt., GDR ..... 150,150
-----------
1,533,825
-----------
INDIA -- 6.2%
9,800 Bajaj Auto Ltd., GDR** ............. 93,100
12,100 Dr Reddy's Laboratories Ltd.,
GDR(DAGGER)^ ...................... 314,600
8,000 Hindalco Industries, GDR ........... 188,600
17,100 I.T.C. Ltd., GDR ................... 332,595
34,780 Larsen and Toubro Ltd., GDR ........ 1,156,435
35,420 Mahanagar Telephone Nigam Ltd., GDR 398,475
15,600 Pentafour Software & Exports Ltd.,
GDR(DAGGER) ....................... 549,900
13,950 Reliance Industries Ltd.,
GDR**(DAGGER) ..................... 199,485
22,890 State Bank of India, GDR ........... 279,258
15,100 Videsh Sanchar Nigam Ltd., GDR** ... 371,460
-----------
3,883,908
-----------
INDONESIA -- 1.5%
398,000 PT Astra International,
Inc. Tbk(DAGGER) .................. 213,596
551,000 PT Bank Pan Indonesia Tbk(DAGGER) .. 53,227
55,000 PT Gudang Garam Tbk ................ 147,979
VALUE
SHARES (NOTE 1)
------ --------
307,000 PT Indah Kiat Pulp & Paper
Corporation Tbk(DAGGER) ........... $ 120,823
153,500 PT Tambang Timah Tbk ............... 107,093
236,000 PT Telekomunikasi Indonesia ........ 134,254
14,000 PT Telekomunikasi Indonesia, ADR ... 154,000
-----------
930,972
-----------
ISRAEL -- 4.8%
141,400 Bank Hapoalim, Ltd. ................ 440,407
130,400 Bank Leumi Le-Israel ............... 274,321
45,900 Bezeq Israeli Telecommunication
Corporation, Ltd.(DAGGER) ......... 228,693
2,900 Check Point Software Technologies
Ltd.(DAGGER) ...................... 576,375
1,600 Gilat Satellite Networks Ltd.(DAGGER) 190,000
3,700 IDB Holding Corporation Ltd. ....... 122,811
5,000 Orbotech, Ltd. ..................... 387,500
20,300 Partner Communications Company Ltd.,
ADR(DAGGER) ....................... 525,262
3,800 Reuters Group Plc .................. 272,412
-----------
3,017,781
-----------
KOREA -- 14.7%
59,900 Hyundai Motor Company Ltd.,
GDR(DAGGER) ....................... 648,417
61,682 Kookmin Bank, GDR** ................ 891,305
76,696 Korea Electric Power Corporation, ADR 1,284,658
16,009 Korea Telecom Corporation, ADR ..... 1,196,673
44,530 Pohang Iron & Steel Company Ltd., ADR 1,558,550
22,012 Samsung Electronics, GDR** ......... 2,682,712
24,844 SK Telecom Company Ltd., ADR ....... 953,373
-----------
9,215,688
-----------
MALAYSIA -- 0.2%
21,000 Berjaya Sports Toto Berhad ......... 45,316
79,200 YTL Power International Berhad^ .... 65,861
-----------
111,177
-----------
MEXICO -- 12.0%
137,300 Alfa, S.A., Class A ................ 644,839
35,009 Cemex S.A. de C.V. ................. 195,829
216,900 Cifra, S.A. de C.V., Series V(DAGGER) 434,945
16,900 Coca-Cola Femsa S.A., ADR .......... 296,806
15,900 Desc S.A. de C.V., ADR ............. 266,325
8,700 Fomento Economico Mexicano,
S.A.de C.V., ADR .................. 387,150
198,300 Grupo Financiero Banamex Accival,
S.A. de C.V., Series O ............ 795,293
147,900 Grupo Modelo S.A. de C.V., Series C 405,847
17,300 Grupo Televisa S.A., GDR(DAGGER) ... 1,180,725
55,000 Hylsamex, S.A.(DAGGER) ............. 161,372
71,100 Kimberley-Clark de Mexico S.A. de C.V.,
Class A ........................... 277,646
13,400 Panamerican Beverages, Inc., Class A 275,537
19,500 Telefonos de Mexico S.A., Class L, ADR 2,193,750
-----------
7,516,064
-----------
PERU -- 0.6%
13,100 Credicorp Ltd. ..................... 157,200
14,800 Telefonica del Peru S.A.A., ADR .... 197,950
-----------
355,150
-----------
PHILLIPINES -- 0.4%
9,500 Philippine Long Distance
Telephone Company ................. 241,625
-----------
POLAND -- 1.0%
8,700 Bank Handlowy W. Warzawie .......... 130,500
8,600 KGHM Polska Miedz S.A., GDR ........ 116,100
58,600 Telekomunikacja Polska S.A., GDR ... 380,900
-----------
627,500
-----------
See Notes to Financial Statements.
102
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
RUSSIA -- 1.8%
8,600 AO Mosenergo, ADR(DAGGER) .......... $ 37,840
10,600 OAO LUKoil Holding, ADR ............ 427,975
31,200 Surgutneftegaz, ADR ................ 436,800
25,400 Unified Energy System^ ............. 219,075
-----------
1,121,690
-----------
SOUTH AFRICA -- 10.5%
33,400 ABSA Group Ltd. .................... 149,771
73,200 African Bank Investments, Ltd.(DAGGER) 151,038
13,100 Anglo American Platinum
Corporation, Ltd. ................. 398,002
5,700 AngloGold, Ltd. .................... 293,196
21,800 Barlow Ltd. ........................ 156,903
18,501 Bidvest Group Ltd. ................. 180,652
253,800 BOE Ltd. ........................... 247,409
16,700 Comparex Holdings Ltd. ............. 116,941
29,300 De Beers-Centenary Linked Unit ..... 852,104
43,700 Dimension Data Holdings Ltd. ....... 274,057
25,900 Fedsure Holdings Ltd. .............. 210,398
390,800 Firstrand Ltd. ..................... 558,739
8,200 Impala Platinum Holdings Ltd. ...... 331,730
5,300 Investec Group Ltd. ................ 235,077
23,550 Liberty Life Association of Africa Ltd. 271,657
14,900 M-Cell Ltd. ........................ 57,615
91,100 Metropolitan Life Ltd.^ ............ 158,370
44,600 Nampak Ltd. ........................ 134,054
12,600 Nedcor Ltd. ........................ 280,455
1,900 Rembrandt Group Ltd. ............... 18,089
180,100 Sanlam Ltd.(DAGGER) ................ 251,643
44,900 Sappi Ltd. ......................... 443,529
51,300 Sasol Ltd. ......................... 432,570
33,700 South African Breweries Plc ........ 342,749
-----------
6,546,748
-----------
TAIWAN -- 10.7%
107,078 Asustek Computer Inc., GDR ......... 1,491,061
33,329 Evergreen Marine Corporation, GDR .. 284,130
1,524 Standard Foods Taiwan Ltd.,
GDR**(DAGGER) ..................... 6,286
55,350 Synnex Technology International
Corporation, GDR .................. 1,452,937
59,153 Taiwan Semiconductor Manufacturing
Company, Ltd., ADR(DAGGER) ........ 2,661,885
35,092 Winbond Electronics Corporation,
GDR(DAGGER) ....................... 817,644
-----------
6,713,943
-----------
THAILAND -- 2.5%
21,000 Advanced Info Service Public
Company Ltd.
(Foreign)(DAGGER) ................. 352,370
53,700 BEC World Public Company Ltd. (Foreign) 356,432
47,500 PTT Exploration and Production Public
Company, Ltd. (Foreign)(DAGGER) ... 292,579
338,800 Thai Farmers Bank Public Company Ltd.
(Foreign)(DAGGER) ................. 566,691
-----------
1,568,072
-----------
TURKEY -- 5.1%
6,684,900 Akbank T.A.S. ...................... 197,195
2,297,251 Arcelik A.S. ....................... 150,355
4,317,000 Dogan Yayin Holdings A.S.(DAGGER) .. 63,673
1,724,866 Enka Holding Yatirim A.S. .......... 341,857
5,480,700 Eregli Demir ve Celik Fabrikalavi
T.A.S.(DAGGER) .................... 227,352
8,150,000 Haci Omer Sabanci Holding A.S. ..... 473,313
17,523,000 Turkiye Garanti Bankasi A.S.(DAGGER) 264,913
20,428,700 Turkiye Is Bankasi, Class C ........ 979,252
17,250,872 Yapi ve Kredi Bankasi A.S. ......... 532,729
-----------
3,230,639
-----------
VALUE
SHARES (NOTE 1)
------ --------
UNITED STATES -- 3.9%
144,900 The India Fund, Inc.^ $ 2,427,075
-----------
VENEZUELA -- 1.0%
13,800 C.A. La Electricidad de Caracas, ADR 218,035
15,900 CIA Anonima Nacional Telefonos
de Venezuela, ADR ................. 391,538
-----------
609,573
-----------
Total Common Stocks
(Cost $48,633,648) ................ 60,376,678
-----------
TOTAL INVESTMENTS (COST $48,633,648*) .... 96.4% 60,376,678
OTHER ASSETS AND LIABILITIES (NET) ....... 3.6 2,239,118
----- -----------
NET ASSETS ............................... 100.0% $62,615,796
===== ===========
- ------------------------------
* Aggregate cost for Federal tax purposes is $48,972,794.
** 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.
^ Illiquid security.
(DAGGER) Non-income producing security.
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
- --------------------------------------------------------------------------------
The industry classification of the Developing World Series at December 31, 1999
was as follows:
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- -------------------------- ---------- -----------
Agriculture .............................. 0.2% $ 151,038
Automobiles .............................. 1.4 862,013
Banks .................................... 9.9 6,214,923
Broadcast, Radio and TV .................. 2.5 1,537,157
Building/Construction .................... 5.1 3,203,604
Computer Industry ........................ 4.8 2,970,210
Consumer Products ........................ 0.2 147,979
Diversified Operations ................... 5.8 3,617,122
Electronics .............................. 12.9 8,040,802
Financial Services ....................... 7.0 4,386,404
Food and Beverage Products ............... 4.7 2,959,140
Insurance ................................ 1.4 892,068
Leisure/Entertainment .................... 0.1 45,316
Manufacturing ............................ 1.1 716,457
Medical Supplies & Services .............. 1.4 902,012
Mining ................................... 5.0 3,100,511
Multimedia ............................... 0.1 63,673
Oil and Gas .............................. 2.5 1,589,925
Other .................................... 1.3 812,391
Paper and Forest Products ................ 2.2 1,401,123
Retail ................................... 1.1 705,995
Telecommunications ....................... 21.4 13,378,640
Utilities ................................ 4.3 2,678,175
----- -----------
TOTAL INVESTMENTS ........................ 96.4 60,376,678
OTHER ASSETS AND LIABILITIES (NET) ....... 3.6 2,239,118
----- -----------
NET ASSETS ............................... 100.0% $62,615,796
===== ===========
The activity for investments in Common Stocks of Affiliates is as follows:
REALIZED
SHARES AT SHARES AT GAINS
DESCRIPTION 12/31/1998 12/31/1999 DIFFERENCE DIVIDENDS (LOSSES)
- ------------ ---------- ---------- ---------- --------- --------
Turkiye Garanti
Bankasi A.S. 0 17,523,000 (17,523,000) 0 22,700
Turkiye Is
Bankasi-C 0 20,428,700 (20,428,700) 1,703 1,554
Yapi ve Kredi
Bankasi A.S. 2,096,000 17,250,872 (15,154,872) 5,213 3,842
See Notes to Financial Statements.
103
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 88.2%
ARGENTINA -- 1.7%
14,445 Banco de Galicia y Buenos Aires S.A.
de C.V., ADR ...................... $ 286,196
4,875 El Sitio, Inc.(DAGGER) ............. 179,156
8,831 Telecom Argentina Stet-France Telecom,
S.A., ADR ......................... 302,462
-----------
767,814
-----------
BRAZIL -- 9.1%
10,154 Aracruz Celulose S.A., ADR ......... 266,542
1,656,000 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ............... 55,001
4,139 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar, ADR .......... 133,741
6,301 Companhia Cervejaria Brahma, ADR ... 88,214
9,820,000 Companhia Siderurgica Nacional(DAGGER) 380,515
14,421 Companhia Vale do Rio Doce, ADR .... 367,735
3,542,000 Eletropaulo Metropolitana- Electricidade
de Sao Paulo, S.A. ................ 229,402
45,258 Empresa Brasil Aeronautica ......... 204,181
19,591 Petroleo Brasileiro S.A., ADR ...... 498,857
4,139 Tele Celular Sul Participacoes S.A. 131,413
5,197 Tele Centro Sul Participacoes S.A., ADR 471,628
19,961 Telesp Celular Participacoes S.A., ADR 845,847
17,754 Telesp Participacoes S.A., ADR ..... 433,863
-----------
4,106,939
-----------
CHILE -- 1.5%
13,062 Banco Santiago, S.A., ADR .......... 279,200
5,243 Chilectra S.A., ADR ................ 106,889
8,923 Compania Cervecerias Unidas S.A., ADR 286,094
-----------
672,183
-----------
EGYPT -- 0.9%
5,979 Al Ahram Beverage Company
S.A.E.(DAGGER) .................... 117,963
1,200 Al Ahram Beverages Company
S.A.E., GDR**(DAGGER) ............. 23,640
3,588 Commercial International Bank ...... 52,413
5,795 Commercial International Bank, GDR** 83,013
6,163 Orascom Construction Industries(DAGGER) 127,016
-----------
404,045
-----------
GREAT BRITIAN -- 1.1%
178,550 Old Mutual Plc** ................... 485,974
-----------
GREECE -- 1.9%
4,219 Commercial Bank of Greece, S.A. .... 321,993
8,600 Hellenic Telecommunications
Organization S.A. ................. 203,650
16,742 Panafon Hellenic Telecom S.A.,
GDR**(DAGGER) ..................... 224,793
3,128 STET Hellas Telecommunications
S.A., ADR ......................... 95,404
-----------
845,840
-----------
HONG KONG -- 3.6%
120,000 China Telecom (Hong Kong), Ltd. .... 750,241
308,000 e-New Media Company Ltd.(DAGGER) ... 150,563
17,000 Hutchison Whampoa, Ltd. ............ 247,122
20,000 Johnson Electric Holdings Ltd. ..... 128,385
154,000 Pacific Century CyberWorks
Ltd.(DAGGER) ...................... 358,577
-----------
1,634,888
-----------
HUNGARY -- 0.5%
11,131 Tiszai Vegyi Kombinat Rt. .......... 212,061
-----------
VALUE
SHARES (NOTE 1)
------ --------
INDIA -- 5.5%
9,567 Gas Authority of India Ltd.,
GDR**(DAGGER)^ .................... $ 90,408
25,000 Gujarat Ambuja Cements Ltd., GDR ... 191,875
4,351 Hindalco Industries, Ltd., GDR ..... 102,575
12,694 I.T.C. Ltd., GDR ................... 246,898
11,131 ICICI Ltd., ADR(DAGGER) ............ 154,443
10,119 Larsen and Toubro Ltd., GDR** ...... 338,986
22,300 Mahindra & Mahindra Ltd., GDR ...... 246,972
4,139 Pentafour Software & Exports Ltd.,
GDR(DAGGER) ....................... 145,900
6,071 Ranbaxy Laboratories Ltd., GDR ..... 134,169
20,927 Reliance Industries Ltd., GDR ...... 299,256
15,638 State Bank of India, GDR** ......... 190,784
12,992 Videsh Sanchar Nigam, Ltd. GDR ..... 319,603
-----------
2,461,869
-----------
INDONESIA -- 1.1%
247,000 PT Astra International,
Inc. Tbk(DAGGER) .................. 132,558
44,000 PT Gudang Garam Tbk ................ 118,383
81,000 PT Indofood Sukses Makmur Tbk(DAGGER) 101,431
11,900 PT Telekomunikasi Indonesia, ADR ... 130,900
-----------
483,272
-----------
ISRAEL -- 3.6%
1,150 BATM Advanced Communications, Ltd. . 94,737
5,200 Elbit Ltd.(DAGGER) ................. 90,868
6,900 Elbit Ltd., ADR(DAGGER) ............ 122,044
2,539 Gilat Satellite Networks Ltd.(DAGGER) 301,506
5,381 NICE Systems Ltd., ADR ............. 264,678
3,146 Orbotech, Ltd. ..................... 243,815
6,800 Orckit Communications Ltd.(DAGGER) . 233,325
17,478 Sapiens International Corporation N.V. 287,295
-----------
1,638,268
-----------
KOREA -- 16.3%
2,250 Cheil Jedang Corporation ........... 259,577
1,170 Daum Communication Corporation(DAGGER) 398,243
650 Hanjin Heavy Industries ............ 3,206
2,850 Hannsoft Inc.(DAGGER) .............. 132,021
5,780 Housing & Commercial Bank, Korea ... 183,250
6,603 Hyundai Electronics Industries Company 140,143
3,800 Hyundai Motor Company Ltd. ......... 60,238
11,530 Hyundai Motor Company, GDR**(DAGGER) 123,948
13,910 Kookmin Bank ....................... 218,052
16,370 Korea Electric Power
Corporation(DAGGER) ............... 507,463
3,630 Korea Telecom Corporation .......... 572,232
5,854 Korea Telecom Corporation, ADR ..... 437,586
1,700 Korea Telecom Freetel(DAGGER) ...... 425,936
4,800 L.G. Chemical, Ltd ................. 151,757
5,010 LG Electronics ..................... 207,371
4,970 LG Investment and Securities
Company Ltd. ...................... 84,475
4,600 Medison Company Ltd ................ 67,045
2,600 Pohang Iron & Steel Company Ltd. ... 286,218
2,760 Samsung Electro-Mechanics Company .. 183,514
5,901 Samsung Electronics Company Ltd. ... 1,382,357
2,890 Samsung Securities Company Ltd. .... 87,553
12,200 Shinhan Bank ....................... 132,153
5,472 SK Corporation ..................... 165,774
270 SK Telecom Company Ltd., ADR ....... 967,768
1,291 Trigem Computer, Inc. .............. 143,243
-----------
7,321,123
-----------
MALAYSIA -- 2.2%
39,800 Berjaya Sports Toto Berhad ......... 85,884
48,000 Commerce Asset- Holding Berhad ..... 123,158
See Notes to Financial Statements.
104
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
MALAYSIA -- (CONTINUED)
27,000 Edaran Otomobil Nasional Berhad .... $ 115,105
164,000 IJM Corporation Berhad ............. 132,926
169,000 Public Bank Berhad ................. 147,653
46,000 Resorts World Berhad ............... 131,947
40,000 Telecom Malaysia Berhad ............ 154,737
31,000 WTK Holdings Berhad ................ 97,895
-----------
989,305
-----------
MEXICO -- 15.7%
62,920 Alfa, S.A., Class A ................ 295,508
49,674 Carso Global Telecom ............... 466,595
16,622 Cemex S.A. de C.V., ADR ............ 463,338
11,591 Coca-Cola Femsa S.A., ADR .......... 203,567
68,900 Controladora Comercial Mexicana
S.A. de C.V. ...................... 92,351
24,890 Corporacion Interamericana de
Entretenimiento S.A. .............. 99,429
121,977 Corporacion Moctezuma S.A.
de C.V., Series B1 & B2 ........... 180,230
75,798 Fomento Economico Mexicano S.A
de C.V., . Series UBD ............. 338,391
77,914 Grupo Bimbo S.A. de C.V. .......... 173,919
37,163 Grupo Carso Global Telecom,
Series A1(DAGGER) ................. 185,129
15,086 Grupo Elektra S.A. de C.V., GDR .... 145,203
189,588 Grupo Financiero Banamex Accival,
S.A. de C.V., Series O ............ 760,353
10,303 Grupo Imsa, S.A. de C.V., ADR ...... 176,761
70,308 Grupo Mexico S.A., Series B ........ 348,386
59,149 Grupo Modelo S.A. de C.V., Series C 162,309
46,362 Grupo Sanborns S.A., Series B1(DAGGER) 102,755
15,270 Grupo Televisa S.A., GDR(DAGGER) ... 1,042,178
28,410 Organizacion Soriana S.A. de C.V. .. 130,431
13,614 Telefonos de Mexico S.A., Class L, ADR 1,531,575
17,570 TV Azteca, S.A. de C.V., ADR(DAGGER) 158,130
-----------
7,056,538
-----------
PERU -- 0.1%
4,100 Compania de Minas Buenaventura
S.A., ADR ......................... 65,856
-----------
PHILLIPINES -- 1.1%
31,200 Bank of the Philippine Islands** ... 89,806
1,096,900 International Container Terminal
Services, Inc.(DAGGER) ............ 99,347
36,500 Manila Electric Company, Class B ... 104,156
2,000 Philippine Long Distance Telephone
Company ........................... 50,868
1,800 Philippine Long Distance Telephone
Company, ADR ..................... 46,575
489,000 SM Prime Holdings Inc. ............. 92,218
-----------
482,970
-----------
POLAND -- 1.6%
6,050 Agora S.A., GDR(DAGGER) ............ 89,994
9,900 Agora S.A., GDR**(DAGGER) .......... 143,173
18,900 Orbis S.A.(DAGGER) ................. 163,632
26,309 Polski Koncern Naftowy S.A.
GDR**(DAGGER) ..................... 330,836
-----------
727,635
-----------
RUSSIA -- 2.0%
9,900 AO Tatneft, ADR .................... 94,050
29,975 Surgutneftegaz, ADR ................ 419,650
8,187 Vimpel-Communications, ADR(DAGGER) . 365,345
-----------
879,045
-----------
VALUE
SHARES (NOTE 1)
------ --------
SINGAPORE -- 0.2%
85,500 MediaRing.com, Ltd.**(DAGGER) ...... $ 92,405
-----------
SOUTH AFRICA -- 5.3%
110,519 African Bank Investments, Ltd.(DAGGER) 228,041
3,404 AngloGold, Ltd. .................... 175,094
65,956 Billiton Plc ....................... 378,805
31,276 Dimension Data Holdings Ltd. ....... 196,142
7,635 Impala Platinum Holdings Ltd. ...... 308,873
31,100 Johnnies Industrial Corporation
Ltd.(DAGGER) ...................... 363,802
42,315 Sappi Ltd. ......................... 417,994
38,800 Sasol Ltd. ......................... 327,168
-----------
2,395,919
-----------
TAIWAN -- 5.5%
9,400 Acer Inc., GDR(DAGGER) ............. 134,185
10,545 Advanced Semiconductor
Engineering, Inc., GDR**(DAGGER) .. 204,573
5,930 ASE Test Ltd., ADR(DAGGER) ......... 144,544
18,017 Asustek Computer Inc., GDR^ ........ 250,887
11,900 Far Eastern Textile Ltd.,
GDR**(DAGGER) ..................... 285,600
8,300 Ritek Corporation, GDR ............. 96,903
4,400 Synnex Technology International
Corporation, GDR** ................ 115,500
20,513 Taiwan Semiconductor Manufacturing
Company, Ltd., ADR(DAGGER) ........ 923,085
8,350 Winbond Electronics Corporation,
GDR**(DAGGER) ..................... 189,963
4,400 Winbond Electronics Corporation,
GDR(DAGGER) ....................... 104,445
-----------
2,449,685
-----------
THAILAND -- 2.9%
11,000 Advanced Info Service Public
Company Ltd. (Foreign)(DAGGER) .... 184,575
64,600 National Finance Public
Company Ltd. (Foreign)**(DAGGER) .. 28,728
94,200 National Finance Public
Company Ltd. (Foreign)(DAGGER) .... 41,892
72,000 National Petrochemical
Public Company Ltd.(Foreign)(DAGGER) 81,720
12,200 Shin Corporations Public
Company Ltd. (Foreign)(DAGGER) .... 115,311
17,000 Siam City Cement Public
Company Ltd. (Foreign)(DAGGER) .... 91,172
131,700 Siam Commercial Bank Public
Company Ltd.**(DAGGER) ............ 155,599
4,700 The Siam Cement Public
Company Ltd. (Foreign)(DAGGER) .... 156,230
148,100 TelecomAsia Corporation Public
Company Ltd. (Foreign) ............ 192,670
87,700 Thai Farmers Bank Public
Company Ltd. (Foreign)(DAGGER) .... 146,691
89,900 United Broadcasting Corporation
Public Company Ltd.(DAGGER) ....... 90,103
-----------
1,284,691
-----------
TURKEY -- 3.6%
1,399,781 Enka Holding Yatirim A.S. .......... 277,427
3,777,689 Erciyas Biracilik ve Malt Sanayii A.S. 181,084
3,191,000 Guney Biracilik ve Malt Sanyaii A.S. 117,662
21,111 Haci Omer Sabanci Holdings,
ADR**(DAGGER) ..................... 282,360
12,363,000 Hurriyet Gazetecilik ve
Matbaacilik A.S. .................. 227,931
814,098 Vestel Elektronik Sanayai ve
Ticaret A.S. ...................... 195,119
10,848 Yapi ve Kredi Bankasi A.S., GDR(DAGGER) 334,997
-----------
1,616,580
-----------
See Notes to Financial Statements.
105
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1999
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
UNITED STATES -- 1.2%
2,208 DSP Group, Inc. ................... $ 205,344
3,400 MIH Ltd.(DAGGER) .................. 200,600
3,772 StarMedia Network, Inc. ........... 151,116
-----------
557,060
-----------
Total Common Stocks
(Cost $28,245,910) ............... 39,631,965
-----------
PREFERRED STOCKS -- 6.4%
BRAZIL -- 1.5%
26,677,000 Banco Bradesco S.A. ............... 209,252
2,750,000 Banco Itau S.A. ................... 235,953
357 Companhia Paulista de Forca e
Luz(DAGGER) ...................... 17
8,371,000 Gerdau, S.A. ...................... 222,423
-----------
667,645
-----------
INDIA -- 2.2%
2,840 Infosys Technologies Ltd., ADR^ ... 987,774
-----------
TAIWAN -- 2.7%
67,300 Acer Peripherals, Inc.^ ........... 278,622
36,600 Hon Hai Precision Industry
Company, Ltd.^ ................... 380,274
135,000 United Microelectronics
Corporation, Ltd.^ ............... 553,500
-----------
1,212,396
-----------
Total Preferred Stocks
(Cost $1,949,451) ................ 2,867,815
-----------
WARRANTS AND RIGHTS -- 0.1%
BRAZIL -- 0.0%#
1,357,647 Banco Bradesco S.A. ............... 5,389
-----------
MEXICO -- 0.0%#
1,032 Cemex S.A., ADR ................... 4,257
-----------
THAILAND -- 0.1%
101,700 Siam Commercial Bank .............. 47,252
-----------
Total Warrants and Rights
(Cost $29,153) ................... 56,898
-----------
PRINCIPAL
AMOUNT
--------
REPURCHASE AGREEMENT -- 4.2%
(Cost $1,885,000)
$1,885,000 Agreement with JP Morgan Securities, Inc.,
2.500% dated 12/31/1999 to be repurchased
at $1,885,393 on 01/03/2000, collateralized
by $1,538,000 U.S. Treasury Bonds,
8.750% due 08/15/2020
(market value $1,925,023) ........ 1,885,000
-----------
TOTAL INVESTMENTS (COST $32,109,514*) ... 98.9% 44,441,678
OTHER ASSETS AND LIABILITIES (NET) ...... 1.1 507,530
----- -----------
NET ASSETS .............................. 100.0% $44,949,208
===== ===========
- ------------------------------
* Aggregate cost for Federal tax purposes was $32,277,432.
** 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.
^ Illiquid security.
(DAGGER) Non-income producing security. # Amount is less than 0.1%.
The industry classification of the Emerging Markets Series at December 31, 1999
was as follows:
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- -------------------- ---------- --------
LONG TERM INVESTMENTS:
Aerospace/Defense ....................... 0.5% $ 204,181
Agriculture ............................. 0.5 228,041
Automobiles ............................. 1.2 563,716
Banks ................................... 7.2 3,242,804
Broadcast, Radio and TV ................. 5.1 2,283,098
Building/Construction ................... 3.0 1,356,973
Chemicals ............................... 0.7 293,781
Computer Industry. ...................... 9.3 4,203,027
Consumer Products ....................... 1.7 750,228
Diversified Operations .................. 4.4 1,970,752
Electronics ............................. 8.2 3,705,858
Financial Services ...................... 3.2 1,439,802
Food and Beverage Products .............. 4.9 2,187,592
Insurance ............................... 1.1 485,974
Leisure/Entertainment ................... 1.1 480,893
Manufacturing ........................... 2.2 991,731
Medical Supplies and Services ........... 0.4 201,214
Mining .................................. 3.7 1,644,751
Oil and Gas ............................. 3.7 1,658,851
Other ................................... 0.5 227,932
Paper and Forest Products ............... 1.5 684,536
Real Estate ............................. 0.2 92,218
Retail .................................. 1.4 640,847
Telecommunications ...................... 23.8 10,687,595
Utilities ............................... 5.2 2,330,283
----- -----------
TOTAL LONG TERM INVESTMENTS ............. 94.7 42,556,678
REPURCHASE AGREEMENT .................... 4.2 1,885,000
----- -----------
TOTAL INVESTMENTS ....................... 98.9 44,441,678
OTHER ASSETS AND LIABILITIES (NET) ...... 1.1 507,530
----- -----------
NET ASSETS .............................. 100.0% $44,949,208
===== ===========
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
106
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
MARKET MANAGER SERIES
DECEMBER 31, 1999
PRINCIPAL VALUE
AMOUNT (NOTE 1)
-------- --------
CORPORATE BONDS AND NOTES -- 4.3%
FINANCIAL SERVICES -- 2.6%
$ 213,000 Cabco (Texaco Capital),
7.302%(a) due 10/01/2001 .......... $ 188,491
-----------
INDUSTRIAL -- 1.7%
124,000 Philip Morris Companies, Inc.,
6.000% due 07/15/2001 ............. 121,952
-----------
Total Corporate Bonds and Notes
(Cost $309,285) ................... 310,443
-----------
U.S. TREASURY OBLIGATIONS -- 28.3%
(Cost $2,043,106)
U.S. TREASURY STRIP:
2,217,000 3.032%(DOUBLE DAGGER) due 02/15/2001 2,073,538
-----------
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
---------- ---------- ------
CALL OPTIONS PURCHASED -- 66.6%
1,027 S&P Midcap Companies
Index 400 European 03/06/2001 $178.50 282,417
4,958 S&P Midcap Companies
Index 400 European 03/06/2001 178.50 1,357,933
1,611 S&P Midcap Companies
Index 400 European 03/06/2001 178.50 441,084
1,818 S&P 500 European 03/06/2001 485.63 1,817,831
594 S&P 500 European 03/06/2001 485.63 594,244
380 S&P 500 European 03/06/2001 485.63 381,005
-----------
Total Call Options Purchased
(Cost $789,967) 4,874,514
-----------
TOTAL INVESTMENTS (COST $3,142,358*) ...... 99.2% 7,258,495
OTHER ASSETS AND LIABILITIES (NET) ........ 0.8% 60,291
----- -----------
NET ASSETS ................................ 100.0% $ 7,318,786
===== ===========
- ------------------------------
* Aggregate cost for Federal tax purposes.
(DOUBLE DAGGER) Annualized yield at date of purchase.
(a) The rate shown is the effective yield at date of purchase.
See Notes to Financial Statements.
107
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The GCG Trust, (the "Trust") is registered under the Investment Company Act of
1940 (the "Act"), as amended, 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, 1999 the Trust had twenty four operational portfolios (the
"Series"): Liquid Asset Series ("LA"), Limited Maturity Bond Series ("LMB"),
Global Fixed Income Series ("GF"), Total Return Series ("TR"), Fully Managed
Series ("FM"), Equity Income Series ("EI"), Rising Dividends Series ("RD"),
Capital Growth Series ("CG"), Growth Series ("G"), Value Equity Series ("VE"),
Research Series ("R"), Managed Global Series ("MG"), Capital Appreciation Series
("CA"), Mid-Cap Growth Series ("MC"), All-Growth Series ("AG"), Growth
Opportunities Series ("GO"), Strategic Equity Series ("SE"), Small Cap Series
("SC"), Real Estate Series ("RE"), Hard Assets Series ("HA"), Developing World
Series ("DW"), Emerging Markets Series ("EM"), Market Manager Series ("MM"), and
The Fund For Life Series. All of the Series are diversified except for GF, MG,
MC, HA, 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 Life Insurance Company ("First Golden"), a wholly owned
subsidiary of Golden American. The Trust is also an investment medium for
contracts offered by the Security Equity Life Insurance Company.
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 in the United States.
(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.
108
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
OPTIONS: Certain Series may engage in option transactions including purchasing
options on securities and securities indexes ("purchased options") and writing
covered call and secured put options ("written options"). Generally, purchased
options are utilized to protect security holdings in a portfolio or protect
against substantial increases in market prices in securities to be acquired in
the future. MM invests in purchased options on security indexes in accordance
with its long term investment objectives to obtain equity market performance.
Certain Series may use written options to generate additional income, protect
partially against declines in the value of portfolio securities or facilitate a
Series' ability to purchase a security at a price lower than the security's
current market price. Option transactions may be engaged on exchanges and on
over-the-counter markets. When a Series writes an option, an amount equal to the
premium received by the Series is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market on a
daily basis to reflect the current value of the option written. When a security
is sold through an exercise of an option, the related premium received (or paid)
is deducted from (or added to) the basis of the security sold. When an option
expires (or the Series enters into a closing transaction), the Series realizes a
gain or loss on the option to the extent of the premiums received or paid.
Realized and unrealized gains and losses arising from purchased option
transactions are included in the net realized and unrealized gain/(loss) on
securities.
The option activity for FM for the year ended December 31, 1999 was as follows:
NUMBER OF
CONTRACTS PREMIUMS
-------------------------
Options outstanding at December 31, 1998 ........ -- --
Options written during the period ............... 75 $50,398
Options expired during the period ............... -- --
Options closed during the period ................ -- --
----- -----------
Options outstanding at December 31, 1999 ........ 75 $50,398
===== ===========
The option activity for CG for the year ended December 31, 1999 was as follows:
NUMBER OF
CONTRACTS PREMIUMS
-------------------------
Options outstanding at December 31, 1998 ........ -- --
Options written during the period ............... 100 $42,218
Options expired during the period ............... -- --
Options closed during the period ................ 100 42,218
----- -----------
Options outstanding at December 31, 1999 ........ -- --
===== ===========
The option activity for VE for the year ended December 31, 1999 was as follows:
NUMBER OF
CONTRACTS PREMIUMS
-------------------------
Options outstanding at December 31, 1998 ........ -- --
Options written during the period ............... 100 $20,849
Options expired during the period ............... 100 20,849
Options closed during the period ................ -- --
----- ------------
Options outstanding at December 31, 1999 ........ -- --
===== ============
109
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
The option activity for CA for the year ended December 31, 1999 was as follows:
NUMBER OF
CONTRACTS PREMIUMS
-------------------------
Options outstanding at December 31, 1998 ........ -- --
Options written during the period ............... 788 $369,450
Options exercised during the period ............. 40 17,879
Options expired during the period ............... 683 321,704
Options closed during the period ................ 65 29,867
----- ------------
Options outstanding at December 31, 1999 ........ -- --
===== ============
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, 1999, all futures transactions were conducted
on U.S. exchanges. Contracts open, if any, at December 31, 1999 are included in
the portfolio of investments and their related realized and unrealized gains and
losses are included in the net realized and unrealized gain/(loss) on futures
contracts.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Certain of the Series may enter
into forward foreign currency exchange contracts. A Series will engage in
forward foreign currency exchange transactions to protect itself against
fluctuations in currency exchange rates. Forward foreign currency exchange
contracts are valued at the applicable forward rate and are marked to market
daily. The change in market value is recorded by the Series as an unrealized
gain or loss. When the contract is closed, the Series records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. Contracts open, if any, at
December 31, 1999 and their related unrealized appreciation/(depreciation) are
set forth in the Schedule of Forward Foreign Currency Exchange Contracts which
accompanies the Portfolio of Investments. Realized and unrealized gains and
losses arising from forward foreign currency exchange contracts are included in
net realized and unrealized gain/(loss) on forward foreign currency exchange
contracts.
(C) FOREIGN CURRENCY: Assets and liabilities denominated in foreign currencies
and commitments under forward foreign currency exchange contracts are translated
into U.S. dollars at the mean of the quoted bid and asked prices of such
currencies against the U.S. dollar as of the close of business immediately
preceding the time of valuation. Purchases and sales of portfolio securities are
translated at the rate of exchange prevailing when such securities were acquired
or sold. Income and expenses are translated at the rate of exchange prevailing
when accrued.
The Trust does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on securities from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain/(loss) on 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
110
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
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>
Fully Managed Series, Equity Income Series, Rising 1.00% on the first $750 million in combined assets
Dividends Series, Value Equity Series, Capital Appreciation of these Series;
Series, All-Growth Series, Strategic Equity Series, 0.95% on the next $1.250 billion;
Small Cap Series, Real Estate Series and Hard 0.90% on the next $1.5 billion; and
Assets Series 0.85% on the amount over $3.5 billion
</TABLE>
111
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
<TABLE>
<CAPTION>
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
<S> <C>
Liquid Assets Series and Limited Maturity Bond 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
Capital Growth Series, Growth Series and Growth 1.10% on the first $250 million in combined assets
Opportunities Series of these Series;
1.05% on the next $400 million;
1.00% on the next $450 million; and
0.95% on the amount in excess of $1.1 billion
Developing World Series and Emerging Market Series 1.75%
Total Return Series, Research Series and Mid-Cap 1.00% on the first $250 million in combined assets
Growth Series of these 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 (*related party Advisor):
SERIES PORTFOLIO MANAGER
----------- ----------------------------------
Liquid Asset Series ING Investment Management, LLC*
Limited Maturity Bond Series ING Investment Management, LLC*
Global Fixed Income Series Baring International Investments Limited*
Total Return Series Massachusetts Financial Services Company
Fully Managed Series T. Rowe Price Associates, Inc.
Equity Income Series T. Rowe Price Associates, Inc.
Rising Dividends Series Kayne Anderson Investment Management, LLC
Capital Growth Series Alliance Capital Management L.P.
Growth Series Janus Capital Corporation
Value Equity Series Eagle Asset Management, Inc.
Research Series Massachusetts Financial Services Company
Managed Global Series Putnam Investment Management, Inc.
Capital Appreciation Series A I M Capital Management Group, Inc.
Mid-Cap Growth Series Massachusetts Financial Services Company
All-Growth Series Pilgrim Baxter & Associates, Ltd.
Growth Opportunities Series Montgomery Asset Management, LLC
Strategic Equity Series A I M Capital Management Group, Inc.
Small Cap Series Fred Alger Management, Inc.
Real Estate Series EII Realty Securities, Inc.
Hard Assets Series Baring International Investment Limited*
Developing World Series Baring International Investment Limited*
Emerging Markets Series Putnam Investment Management, Inc.
Market Manager Series ING Investment Management, LLC*
112
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NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
During the year ended December 31, 1999, TR, FM, EI, CG, G, R, MC, SE, SC, RE,
DW and EM, in the ordinary course of business, paid commissions of $5,274, $138,
$529, $10,860, $6,370, $12,048, $162, $36, $335,228, $84, $39 and $2,046,
respectively, to certain affiliates of the respective Portfolio Manager and/or
the Manager in connection with the execution of various portfolio transactions.
The custodian for the Trust is The Bank of New York. 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.
Unaffiliated trustees are paid a fee of $6,000 per quarter, in addition to
reimbursement for travel and incidental expenses incurred by them in connection
with their attendance at Board Meetings.
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the year ended December 31, 1999 were as follows:
PURCHASES SALES
------------- ------------
Liquid Assets Series .................... -- --
Limited Maturity Bond Series ............ $ 273,864,611 $215,865,294
Global Fixed Income Series .............. 32,368,878 20,530,159
Total Return Series ..................... 651,136,943 431,610,429
Fully Managed Series .................... 119,075,719 86,319,110
Equity Income Series .................... 355,825,459 449,477,753
Rising Dividends Series ................. 414,293,686 191,984,658
Capital Growth Series ................... 896,259,062 720,147,502
Growth Series ........................... 1,258,323,984 660,123,220
Value Equity Series ..................... 100,576,148 80,196,366
Research Series ......................... 852,971,390 658,575,697
Managed Global Series ................... 228,487,607 248,664,140
Capital Appreciation Series. ............ 397,576,822 360,135,717
Mid-Cap Growth Series ................... 798,426,015 603,707,837
All-Growth Series ....................... 321,288,698 340,401,308
Growth Opportunities Series ............. 9,745,173 8,258,626
Strategic Equity Series ................. 234,295,636 166,207,418
Small Cap Series ........................ 346,801,031 265,404,792
Real Estate Series ...................... 22,011,813 28,261,500
Hard Assets Series ...................... 79,885,557 72,247,354
Developing World Series ................. 69,612,322 31,358,691
Emerging Markets Series ................. 56,746,931 60,402,744
Market Manager Series ................... -- 1,882,529
113
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NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
3. PURCHASES AND SALES OF SECURITIES--(CONTINUED)
At December 31, 1999, the aggregate gross unrealized appreciation for all
securities in which there is an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there is an excess of
tax cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS NET TAX BASIS
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
--------------- ------------ ---------------
<S> <C> <C> <C>
Liquid Assets Series ............... -- -- --
Limited Maturity Bond Series ....... $ 47,419 $ 3,540,979 $ (3,493,560)
Global Fixed Income Series ......... 26,205 2,041,334 (2,015,129)
Total Return Series ................ 49,287,655 36,572,314 12,715,341
Fully Managed Series ............... 29,273,954 24,580,915 4,693,039
Equity Income Series ............... 17,412,925 30,027,711 (12,614,786)
Rising Dividends Series ............ 191,665,303 19,311,849 172,353,454
Capital Growth Series .............. 130,642,346 36,271,019 94,371,327
Growth Series ...................... 451,739,594 21,605,245 430,134,349
Value Equity Series ................ 21,398,364 11,802,956 9,595,408
Research Series .................... 261,826,676 45,390,702 216,435,974
Managed Global Series .............. 62,213,346 1,062,493 61,150,853
Capital Appreciation Series ........ 87,842,497 15,978,810 71,863,687
Mid-Cap Growth Series .............. 192,551,694 33,736,444 158,815,250
All-Growth Series .................. 50,821,764 2,374,218 48,447,546
Growth Opportunities Series ........ 2,350,420 887,173 1,463,247
Strategic Equity Series ............ 70,369,453 3,770,062 66,599,391
Small Cap Series ................... 104,919,748 8,526,088 96,393,660
Real Estate Series ................. 1,547,087 7,636,437 (6,089,350)
Hard Assets Series ................. 3,275,394 3,596,875 (321,481)
Developing World Series ............ 13,154,606 1,750,722 11,403,884
Emerging Markets Series ............ 12,828,226 663,980 12,164,246
Market Manager Series .............. 4,116,327 190 4,116,137
</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 Emerging Market Series contains Structured
Notes with a value of $2,451,057 on December 31, 1999. Structured Notes in EM
are equity-linked securities achieved through an agreement between the
sub-advisor and a broker. This derivative instrument allows access into local
markets. The risk involved in these trades is substantially the same as that
involved in owning underlying shares in the company with the additional credit
risk associated with the purchase of a derivative from any counterparty.
114
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NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
- --------------------------------------------------------------------------------
THE GCG TRUST
DECEMBER 31, 1999
4. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
Total restricted and/or illiquid securities at December 31, 1999 were as
follows:
FAIR VALUE % OF NET ASSETS
------------- ---------------
Total Return Series ......................... 1,269,645 0.2%
Fully Managed Series ........................ 5,845,167 2.0%
Capital Growth Series ....................... 4,174,160 0.7%
Mid-Cap Growth Series ....................... 3,584,136 0.5%
Strategic Equity Series ..................... 455,363 0.2%
Hard Assets Series .......................... 1,652,955 4.1%
Developing World Series ..................... 3,798,706 6.1%
Emerging Markets Series ..................... 2,541,465 5.7%
On December 31, 1999, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
5. CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Series' indicated below have capital loss
carryforwards as of December 31, 1999 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
LOSSES LOSSES LOSSES LOSSES LOSSES LOSSES LOSSES
DEFERRED DEFERRED DEFERRED DEFERRED DEFERRED DEFERRED DEFERRED
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING
SERIES IN 2001 IN 2002 IN 2003 IN 2004 IN 2005 IN 2006 IN 2007
- ------- ----------- ------------ ---------- ------------ ----------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Liquid Asset Series ............ $172 $15 -- $1,432 $ 816 $ 537 $ 1,576
Limited Maturity Bond Series ... -- -- -- -- 6,321 -- 1,791,596
Value Equity Series ............ -- -- -- -- -- -- 3,146,694
Real Estate Series ............. -- -- -- -- -- -- 427,974
Hard Assets Series ............. -- -- -- -- -- 5,310,830 987,212
Emerging Markets Series ........ -- -- $2,280,913 -- -- 12,172,368 --
</TABLE>
6. SUBSEQUENT EVENT
On January 28, 2000, the consolidation of All-Growth Series and Growth
Opportunities Series into Mid-Cap Growth Series took place at no cost to current
contract holders. The separate accounts investing in the All-Growth Series and
Growth Opportunities Series substituted shares of Mid-Cap Growth Growth Series
for their shares, respectively.
115
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REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
REPORT OF ERNST &YOUNG LLP, INDEPENDENT AUDITORS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
THE GCG TRUST
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of The GCG Trust (Liquid Asset Series, Limited
Maturity Bond Series, Global Fixed Income Series, Total Return Series, Fully
Managed Series, Equity Income Series, Rising Dividends Series, Capital Growth
Series, Growth Series, Value Equity Series, Research Series, Managed Global
Series, Capital Appreciation Series, Mid-Cap Growth Series, All-Growth Series,
Growth Opportunities Series, Strategic Equity Series, Small Cap Series, Real
Estate Series, Hard Assets Series, Developing World Series, Emerging Markets
Series, Market Manager Series) (the "Trust") as of December 31, 1999, and the
related statements of operations for the year then ended and the statements of
changes in net assets and financial highlights for 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 auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence with
the custodians and brokers. 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 above listed series of The GCG Trust at December 31, 1999, the results of
their operations for the year then ended, and the changes in their net assets
and their financial highlights for each of the periods indicated therein, in
conformity with accounting principles generally accepted in the United States.
/S/ Ernest & Young LLP
Philadelphia, Pennsylvania
February 9, 2000
116
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TAX INFORMATION -- (UNAUDITED)
- --------------------------------------------------------------------------------
THE GCG TRUST
FISCAL YEAR ENDED DECEMBER 31, 1999
The amounts of long-term capital gains paid for the fiscal year ended December
31, 1999 were as follows:
Total Return Series .................... $ 2,627,182
Fully Managed Series ................... 9,914,438
Equity Income Series ................... 15,092,945
Rising Dividends Series ................ 18,468,145
Capital Growth Series .................. 887,371
Growth Series .......................... 1,323,294
Value Equity Series .................... 2,515,295
Research Series ........................ 4,302,734
Managed Global Series .................. 15,961,984
Capital Appreciation Series ............ 36,834,012
Mid-Cap Growth Series .................. 3,430,472
All-Growth Series ...................... 6,012,165
Growth Opportunities Series ............ 245,555
Strategic Equity Series ................ 570,728
Small Cap Series ....................... 3,197,377
Real Estate Series ..................... 1,560,770
Market Manager Series .................. 973,438
117
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120
<PAGE>
THE GCG TRUST
---------------
TRUSTEES AND EXECUTIVE OFFICERS
Barnett Chernow, CHAIR, TRUSTEE AND PRESIDENT*
J. Michael Earley, TRUSTEE
R. Barbara Gitenstein, TRUSTEE
Robert A. Grayson, TRUSTEE
Elizabeth J. Newell, TRUSTEE
Stanley B. Seidler, TRUSTEE
Roger B. Vincent, TRUSTEE
Mary Bea Wilkinson, TREASURER
Myles R. Tashman, SECRETARY
*INTERESTED TRUSTEE
---------------
Sutherland Asbill & Brennan LLP, LEGAL COUNSEL
Directed Services, Inc., MANAGER
Ernst & Young LLP, INDEPENDENT AUDITORS
<PAGE>
ING VARIABLE ANNUITIES
P.O. Box 2700
West Chester, PA 19380-2700
