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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 .................................. 28
Statements of Operations .............................................. 32
Statements of Changes in Net Assets ................................... 36
Financial Highlights .................................................. 44
Portfolios of Investments ............................................. 68
Notes to Financial Statements ......................................... 115
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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
August 3, 2000
Dear Shareholder of The GCG Trust:
We at ING VARIABLE ANNUITIES, home of GOLDENSELECT[REGISTRATION MARK], are
pleased to present to you the 2000 Semi-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.
In the first six months of the year, the net assets of the Trust increased 21%
to end the period at $10.219 billion. This increase can be attributed to new
investment by shareholders during a period of mixed investment returns.
Additionally, during 2000, the Trust introduced the following changes:
[BULLET] Capital Guardian Trust Company was named as the Portfolio Manager
for the Managed Global Series and Small Cap Series, effective
February 1, 2000. In addition, the Large Cap Value Series was
launched on February 1, 2000 with Capital Guardian named as
Portfolio Manager.
[BULLET] Salomon Brothers Asset Management, Inc. was named as Portfolio
Manager of the All Cap Series and Investors Series. These new
portfolios also commenced operations on February 1, 2000.
[BULLET] Baring International Investment Limited was named as the Portfolio
Manager of the Emerging Markets Series, effective March 16, 2000.
[BULLET] The Prudential Investment Corporation was named as the Portfolio
Manager of the Real Estate Series effective April 28, 2000.
We are confident that these additions will make ING VARIABLE ANNUITIES an even
more attractive choice for your investment dollars.
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[REGISTRATION MARK].
Sincerely,
/S/ SIGNATURE
Barnett Chernow
President
The GCG Trust
<PAGE>
THE GCG TRUST
LIQUID ASSET SERIES
HOW DID THE SERIES PERFORM IN THE FIRST HALF OF 2000?
The Liquid Asset Series (the "Series") returned 2.83% year-to-date for the
six-month period ended June 30, 2000. The Merrill Lynch 3-Month U.S. Treasury
Bill Index had a total return of 2.93% for the same period.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
We began the year with the Fed Funds rate (the rate banks charge each other for
overnight loans) at 5.50% as well as an economy that both showed signs of real
strength and few signs of inflation. In an attempt to keep the economy from
overheating, the Federal Reserve Board's Federal Open Market Committee (the
"Fed") continued to raise the target Fed Funds rate to 6.50% in June, 100 basis
points higher than at the beginning of the year. Prior to the first two 25 basis
point tightenings in February and March, the Series shortened its average
maturity, but then extended it for significant yield pick-up after the rate
increases. In May, as the Fed tightened another 50 basis points, money market
rates increased further, reflecting market expectations of subsequent Fed
tightenings. The Series extended its average maturity beyond that of competitors
to take advantage of these attractive rates. In June, the market reversed course
and decided the Fed's activity thus far was slowing the economy sufficiently,
leading rates to decline. The Series' purchases of higher yielding, long-term
securities in May and June contributed positively to its performance.
On June 30, the Series was weighted with 77% of securities maturing within 60
days and 12% maturing in less than 180 days. This weighting is a hedge toward
further Fed increases and a way to pick up yield in the long end. Long-term
rates since have declined significantly, as demonstrated by the one-year London
Interbank Offered Rate ("LIBOR"), which declined from 7.50% at the end of May to
7.04% in early July. The Series' 70-day average maturity at June 30 was
significantly longer than the iMoneyNet, Inc. First Tier Retail Index average
maturity of 56 days.
WHAT IS YOUR OUTLOOK FOR THE MARKETS AND PORTFOLIO?
Going forward, the economy appears to be slowing, and many market participants
believe the Fed will be on hold for the remainder of the year. However, the
potential remains for additional increases in the Fed Funds rate. The Series
plans to maintain its weighting until the direction of the economy and the Fed
becomes clearer. Because the Series' average maturity is longer than
competitors, long-term securities will only be purchased if sufficiently
compensated.
ING INVESTMENT MANAGEMENT, LLC
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 5.38%
5 YEAR 5.10%
10 YEAR 4.72%
SINCE 1/24/1989 (INCEPTION) 5.14%
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AGGREGATE TOTAL RETURN
YEAR-TO-DATE 2.83%
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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 JUNE 30, 2000
(percentage of total net assets)
1. Nestle Capital Corp., 6.086% due 07/03/00 4.7%
2. UBS Finance, (DE) LLC., 7.307% due 07/05/00 4.3%
3. Barclays Bank Plc, 6.620% due 07/31/00 2.8%
4. Caterpillar Financial Services Corp.,
6.879% due 05/22/01 1.9%
5. Barclays Bank Plc, 6.580% due 07/03/00 1.9%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Financial 61.4%
2. Asset Backed Securities 18.8%
3. Communications 8.4%
4. Machinery & Equipment 3.8%
5. Food & Beverages 1.9%
2
<PAGE>
THE GCG TRUST
LIMITED MATURITY BOND SERIES
WHAT WAS THE SERIES' PERFORMANCE FOR THE SIX MONTHS ENDED JUNE 30, 2000?
The Limited Maturity Bond Series (the "Series") returned 2.59% for the six
months ended June 30 compared to 2.98% for the benchmark, the Merrill Lynch 1-5
Year U.S. Corporate/ Government Bond Index.
WHAT MARKET TRENDS AFFECTED THE SERIES' PERFORMANCE?
One of the factors contributing to the underperformance of the Series vs. its
benchmark year-to-date is the inversion of the U.S. Treasury yield curve. The
inversion started in January when the 30-year Treasury bond's yield went from
6.48% at the beginning of the year to 5.90% in June. Conversely, the two-year
note yielded 6.36% in June, up from 6.24% at the beginning of the year. The
five-year Treasury note rallied as its yield dropped from 6.34% to 6.18%. The
inversion was unexpected and largely the result of technical factors --
particularly the U.S. Government surplus and associated repurchase of long-dated
U.S. Treasury securities.
The other factor contributing to the Series' underperformance was the Federal
Reserve Board's Federal Open Market Committee (the "Fed") raising its Fed Funds
target rate by 100 basis points to 6.50% over the course of the year. The rate
hikes were to keep the strong economy (with few signs of inflation) from
overheating.
While the Treasury market inverted and the Fed raised rates, all spread sectors
underperformed U.S. Treasuries. The overweight of spread product (corporate
bonds, mortgaged-backed and asset-backed securities) in the Series caused it to
suffer compared to the benchmark, which was more concentrated in U.S.
Treasuries. In addition, the Series' duration remained shorter than the
benchmark and was barbelled for most of the year's first half. This barbell
helped performance as the five-year sector rallied and the short-end sold off.
HOW MIGHT THE U.S. ECONOMY AND THE FED'S STANCE
ON INTEREST RATES AFFECT THE SERIES?
After five months of underperformance versus U.S. Treasuries, corporate
securities hit a turning point in June and outperformed U.S. Treasuries. Going
forward, the economy appears to be slowing and many market participants believe
the Fed is on hold for the remainder of the year. As long as the Fed engineers a
soft landing, the corporate market is expected to perform nicely. The Series'
duration generally will remain in line with the benchmark and will maintain its
allocation to spread product, particularly in more defensive corporate sectors.
ING INVESTMENT MANAGEMENT, LLC
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 3.75%
5 YEAR 5.11%
10 YEAR 5.85%
SINCE 1/24/1989 (INCEPTION) 6.23%
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AGGREGATE TOTAL RETURN
YEAR-TO-DATE 2.59%
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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.
TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. U.S. Treasury Notes, due through 2005
ranging from 4.250% to 6.750% 27.2%
2. El Paso Natural Gas Corporation,
6.750% due 11/15/03 1.8%
3. Phelps Dodge Corporation, 9.875% due 06/13/01 1.8%
4. Fort James Corporation, 6.700% due 11/15/03 1.6%
5. Emerson Electric Company, 7.875% due 06/01/05 1.5%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Federal Agency & Government 33.7%
2. Financial 17.3%
3. Asset Backed Securities 8.5%
4. Telecommunications 7.0%
5. Energy 5.6%
3
<PAGE>
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
HOW DID THE SERIES FARE IN THE FIRST HALF OF 2000?
The Global Fixed Income Series (the "Series") generated a return of (1.69)% for
the six months ended June 30, 2000. Its benchmark, the Merrill Lynch Global
Government Bond Index II, produced a return of 0.43% for the same period.
WHAT INFLUENCED THE GLOBAL BOND MARKETS
DURING THE PERIOD?
Global bonds recovered in 2000. Widespread Central Bank monetary tightening had
the effect of reassuring bond investors of commitment, first in the United
Kingdom (where the Central Bank moved early) and later in the United States.
Economies are indicating that they do respond to monetary policy. The consumer
is and was key to economic behavior, so the stock market correction exerted a
strong influence on behavior. Meanwhile, core inflation levels remain subdued
even with strong oil prices.
It looks as though the United States economy is beginning to slow. Europe, on
the other hand, is beginning to recover - which has helped support both its
bonds and currency. In Japan, the prospect of economic recovery has kept bonds
subdued as the market worries (in the face of relentless supply) about an end of
the zero interest rate policy. Although the U.S. dollar's strength started to
fade towards the end of the period, the currency remains underpinned by capital
flows as U.S. asset values remain attractively priced to international
investors.
WHAT DO YOU ANTICIPATE HAPPENING IN THE GLOBAL BOND MARKETS FOR THE REST OF THE
YEAR?
The outlook for global bond markets appears positive. While Central Banks are
likely to tighten their monetary policies further to quell inflation fears;
markets are likely to anticipate the peaking of interest rates. Global growth is
expected to moderate at around 4%. Supply shortages in several countries are
likely to continue to support long bond prices. Extreme currency volatility is
not expected. The U.S. economy should slow to a more sustainable pace as the
Federal Reserve slows demand through higher interest rates. The weaker equity
markets could reduce the 'wealth effect', thereby doing some of the Federal
Reserve's restraining work. The large current account deficit is a concern,
which could put more downward pressure on the U.S. dollar if capital inflows
slow. These in turn are largely dependent on continued high corporate profit
growth driven by productivity improvements.
The United Kingdom is expected to continue to slow, driven by the weaker housing
market and weaker consumption growth. Short bonds are likely to see less upward
pressure on yields, while long bonds are likely to continue to benefit from
limited supply (driven by the fiscal surplus) and by the upcoming Minimum
Funding Requirement (MFR) review. Sterling could be under further downward
pressure as the interest rate differential with other Organization of Economic
Cooperation Development (ECD) countries widens.
The European economies are picking up momentum; however the recent 50 basis
point interest rate hike by the European Central Bank is likely to suffice until
the end of the year. Europe has spare capacity and no inflation risk. Sentiment
towards the Euro has turned and fundamentals for the Euro remain strong.
BARING INTERNATIONAL INVESTMENT LIMITED
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR (2.19)%
SINCE 8/14/1998 (INCEPTION) (1.60)%
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AGGREGATE TOTAL RETURN
YEAR-TO-DATE (1.69)%
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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.
TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. U.S. Treasury Obligations, due through 2016 22.6%
ranging from 4.250% to 7.500%
2. Bundesrepublik, 6.000% due 01/04/07 5.3%
3. Japan Government, 0.500% due 04/22/02 4.9%
4. Japan Government, 0.300% due 10/22/01 4.9%
5. Bundesrepublik, 5.625% due 01/04/28 4.6%
TOP FIVE COUNTRIES AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. United States 29.6%
2. Germany 20.9%
3. Japan 18.5%
4. France 6.1%
5. Supranational 6.0%
4
<PAGE>
THE GCG TRUST
FULLY MANAGED SERIES
HOW DID THE SERIES PERFORM AGAINST ITS BENCHMARK
IN THE FIRST SIX MONTHS OF 2000?
The Fully Managed Series (the "Series") had a return of 4.12% for the six months
ended June 30, 2000. During the same period, the Standard & Poor's 500 (the "S&P
500") Index had a return of (0.43)% and the Lehman Brothers Government/Corporate
Bond Index had a return of 4.18%. The Lipper Variable Annuity Balanced Funds
average return was 1.26% for the same period.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
U.S. markets surged through mid-March, fueled by investor enthusiasm for
technology -- especially Internet stocks. At that point, stocks corrected
sharply as investors finally reacted to the sky-high tech valuations and the
ongoing series of interest rate hikes by the Federal Reserve (the "Fed"). The
Fed has raised short-term interest rates three times in 2000 (six times since
June 1999) in an effort to lessen inflationary pressures in the economy.
Although the tech-heavy NASDAQ Composite posted the largest drop, stocks outside
the sector also suffered.
The Series performed well during this volatile period, posting positive returns
and outdistancing both the S&P 500 and the average portfolio in our Lipper
category. This solid performance was a result both of our risk-averse strategy
and individual stock selection. Although large-company stocks as a group lost
ground in the downturn, many investors finally began seeking stocks that
represented good value. Since this is a hallmark of our stock-picking approach,
the fund benefited from this change in investor sentiment.
WHAT WAS THE SERIES' ASSET ALLOCATION DURING
THE FIRST HALF OF 2000?
The Series had an approximate 40% allocation to convertibles, bonds, and cash
reserves, which provided protection from the stock market downdraft. Strong
returns from some of our largest sectors (particularly energy) and from several
top holdings boosted returns.
A number of our best performers were in our sizable utilities and energy
sectors. Strong contributors from the utilities area included Unisource Energy
Corp. and FirstEnergy Corp. The energy sector was buoyed by high oil prices, and
our substantial commitment to these companies paid off with significant gains
from such holdings as Mitchell Energy & Development Corp. and Amerada Hess Corp.
Holdings in other sectors that did well -- in some cases even when their sector
did not -- included White Mountains Insurance Group Inc., Reebok International
Ltd., Philip Morris Co., and the convertible preferred stock of the Rouse Co.
Disappointing holdings included Washington Post Co. and New York Times Co. in
the media area, Newmont Mining Corp. in the generally weak metals sector, and
specialty chemicals producers Imperial Chemical Industries Plc , Octel Corp.,
and Great Lakes Chemical Corp.
Our search for attractive but undervalued securities was aided by the market
drop. Significant purchases during the first half of the year included
USX-Marathon Group and USX-Capital Trust; Hasbro Inc., a toy company; Ryder
System Inc., a transportation services company; in the energy area, Vastar
Resources Inc. and convertible securities of Baker Hughes, Inc. We trimmed
positions in a number of holdings that had generated nice gains, including
Amerada Hess Corp., Smith & Nephew (in hospital services), and Overseas
Shipholding Group.
WHAT IS YOUR OUTLOOK FOR THE NEAR FUTURE?
Although the economy showed signs of slowing at the end of June, the Fed may
raise rates further in the months to come. As long as the Fed continues to
tighten, stocks are unlikely to stage a major advance. But the downturn has
eliminated some excesses in the market and refocused attention on fundamentals.
A continuation of this trend should be positive for the Series and provide
attractive long-term returns for shareholders with reduced risk.
T. ROWE PRICE ASSOCIATES, INC.
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 2.39%
5 YEAR 11.45%
10 YEAR 9.36%
SINCE 1/24/1989 (INCEPTION) 8.81%
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AGGREGATE TOTAL RETURN
YEAR-TO-DATE 4.12%
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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.
TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Tennessee Valley Authority Power,
5.880% due 04/01/36 5.1%
2. Amerada Hess Corporation 4.7%
3. Niagara Mohawk Holdings, Inc. 4.3%
4. Loews Corporation 4.2%
5. Chris-Craft Industries, Inc. 3.0%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Energy 14.6%
2. Consumer Services 11.8%
3. Utilities 8.6%
4. Basic Materials 7.9%
5. Financial 7.4%
5
<PAGE>
THE GCG TRUST
TOTAL RETURN SERIES
DID THE SERIES OUTPERFORM ITS BENCHMARK
FOR THE SIX MONTHS ENDED JUNE 30, 2000?
For the six months ended June 30, 2000, the Total Return Series (the "Series")
provided a total return of 2.72%, which compared to a (0.43)% return for the
Standard & Poor's 500 Index and a 4.18% return for the Lehman Brothers
Government/Corporate Bond Index.
WHAT WERE THE SERIES' INVESTMENT ALLOCATIONS
DURING THE PERIOD?
What makes the Series different from other balanced portfolios is the fact that
we remain committed to our disciplined asset allocation approach. Unlike other
portfolios, we chose not to take on additional risks by increasing exposure to
aggressive growth stocks. We maintain a roughly 60% equity, 40% fixed-income and
cash investment mix because we believe this is what investors expect from a
balanced portfolio. In our view this strategy provides the right balance of
growth and income potential.
WHAT INDUSTRY SECTORS CONTRIBUTED MOST
TO THE SERIES' PERFORMANCE?
Among energy stocks, oil services as well as exploration and production
companies provided an impressive boost to performance. These stocks typically
are very sensitive to oil and natural gas price changes and most benefited
immensely from rising prices. We've anticipated this favorable business
environment for some time, and it has worked well in recent months. In the
insurance sector, a few of the Series' holdings produced exceptional
performance. Recent merger news sparked a rally in the insurance industry, as
investors began to recognize the strong fundamental business outlooks and the
potential for further consolidation among insurance companies.
We took advantage of some weakness in pharmaceutical stock prices in the early
part of the year to increase our positions in high-quality companies with strong
long-term track records. Stocks such as Pharmacia Corp. and Abbott Laboratories
came back strong in the second quarter, and we think they still offer attractive
growth opportunities at compelling valuations.
As corporate bonds and mortgage-backed securities recovered in the first quarter
of 2000, we decided to secure some profits and decrease our positions in these
sectors. We shifted some assets into U.S. Treasuries, as the outlook for
government securities appeared to brighten. We felt this strategy worked well,
especially following the U.S. Government's announced plans to buy back nearly
$30 billion of longer-maturity Treasuries during the year. We also found
ourselves in the right areas of the corporate bond market. Our positioning in
various telecommunications and media issues proved particularly beneficial.
WHAT IS THE OUTLOOK FOR THE PORTFOLIO?
While value stocks have rallied recently, it's difficult to predict whether this
trend will continue. Our feeling is that there remains plenty of upside for
reasonably priced stocks with good fundamental growth prospects, especially if
interest rates and the economic backdrop remain uncertain. We think more
defensive stocks in non-cyclical sectors of the economy, such as consumer
non-durables and health care, have the potential to outperform aggressive growth
stocks in this environment.
While we believe certain pockets of the market remain overvalued, we are finding
some quality companies at what we believe to be attractive prices. In addition,
we feel there is potential for strong corporate earnings across a wide range of
industries. However, we intend to proceed with some caution -- given the Federal
Reserve Board's determination to slow the economy. In light of the current
economic uncertainty, the market is beginning to behave as we would expect --
defensive, value-oriented stocks have been rebounding, while growth stocks have
suffered. Whether this current trend will persist is difficult to determine. As
a result, we believe it makes sense for investors to maintain a well-diversified
portfolio.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 1.07%
SINCE 8/14/1998 (INCEPTION) 6.99%
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AGGREGATE TOTAL RETURN
YEAR-TO-DATE 2.72%
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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.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. The Coastal Corporation 1.9%
2. GTE Corporation 1.6%
3. BP Amoco Plc, ADR 1.5%
4. Exxon Mobil Corporation 1.4%
5. The Hartford Financial Services Group, Inc. 1.4%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Financial Services 22.3%
2. Utilities & Communications 20.4%
3. Energy 16.6%
4. Health Care 7.2%
5. Industrial Goods & Services 7.0%
6
<PAGE>
THE GCG TRUST
EQUITY INCOME SERIES
HOW DID THE SERIES PERFORM IN THE FIRST HALF OF 2000?
The Equity Income Series (the "Series") had a return of (2.76)% for the first
half of 2000. This somewhat underperformed compared to the Standard & Poor's 500
Index (the "S&P 500"), which returned (0.43)% for the same period. The Lipper
Variable Annuity Equity Income Funds average return was (1.65)% year-to-date as
of June 30, 2000.
HOW DID MARKET CONDITIONS IMPACT
THE SERIES' PERFORMANCE?
Following a sharp advance during the first quarter of 2000, domestic stocks
stumbled badly in April, then spent the next two months trying to recover. The
Federal Reserve (the "Fed") hiked short-term rates three times in the first half
of 2000, for a total of six times since June 1999, which eventually took its
toll on most sectors of the market. As a result, technology stocks fared worst
during the correction, but stocks outside the sector were also damaged. The
equity income group rallied somewhat after a long period of stagnation, but
still finished in negative territory.
Series performance reflected the overall weakness with a small loss, resulting
from a major sell-off in the so-called New Economy sectors. The Series'
underweighting in technology spared it from further damage during the
challenging first six months of 2000.
WHAT WAS THE SERIES' ASSET ALLOCATION
IN THE FIRST HALF OF THE YEAR?
Major contributors to positive performance were Baker Hughes, Inc., up 53%;
American Home Products Corp., up 50%; Pharmacia Corp., up 46%; Starwood Hotels &
Resorts Worldwide, up 40%; Reader's Digest, up 36%; and Walt Disney Co., up 33%.
There were laggards as well. Among them were Unisys Corp. and BMC Software,
Inc., each off 54% for the six-month period; Armstrong Holdings, Inc., down 51%;
Hercules Inc., down 48%; Procter & Gamble Co., off 47%; and International Paper
Co., down 46%. The portfolio remained well-diversified among industries, with
19% of assets in consumer non-durables, 17% in financial stocks, 14% in energy,
13% in utilities, and the rest scattered across other industrial sectors. We
made several purchases in the first half of 2000, as their valuations became
more attractive, including Vodafone AirTouch Plc, Rockwell International,
Motorola Inc., Unisys Corp., Microsoft Corp., and BMC Software, Inc.
WHAT IS THE OUTLOOK FOR THE REMAINDER OF THE YEAR?
We believe further rate hikes may be possible in coming months. However, there
are signs of slowing in economic growth and the Fed could be nearing the end of
its tightening cycle. The purpose of the higher rates is to slow the economy
from its robust pace of the past few quarters and constrain inflation within
acceptable bounds. We think these efforts will succeed without pushing the
economy into a recession. As investors anticipate more favorable trends on
inflation and interest rates, we expect moderate returns through the rest of the
year for domestic stocks, including the equity income sector of the market.
T. ROWE PRICE ASSOCIATES, INC.
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AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR (10.52)%
5 YEAR 7.47%
10 YEAR 8.12%
SINCE 1/24/1989 (INCEPTION) 8.09%
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AGGREGATE TOTAL RETURN
YEAR-TO-DATE (2.76)%
--------------------------------------------------------------------------------
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.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. BP Amoco Plc, ADR 2.9%
2. Exxon Mobil Corporation 2.6%
3. Mellon Financial Corporation 2.4%
4. SBCCommunication Inc. 2.1%
5. American Home Products Corporation 1.9%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Consumer Non-durables 19.4%
2. Financial 16.8%
3. Energy 13.5%
4. Utilities 13.1%
5. Process Industries 8.6%
7
<PAGE>
THE GCG TRUST
INVESTORS SERIES
HOW DID THE SERIES PERFORM DURING ITS FIRST 5 MONTHS?
Since inception on February 1, 2000, the Investors Series (the "Series") had a
total return of 8.70% for the five months ended June 30, 2000. During the same
period, the Standard & Poor's 500 (the "S&P 500") Index had a return of 4.84%.
WHAT MAJOR TRENDS ATTRIBUTED TO THE
SERIES' POSITIVE PERFORMANCE?
This outperformance primarily relates to our significant overweight position in
consumer staples and our underweight in technology. In the first half of the
year, the equity markets experienced increased volatility. Technology stocks
continued to drive the markets through early March. The momentum behind
technology stocks came at the expense of most other sectors of the market,
including consumer staples, financials and pharmaceuticals. During this period,
the Series added to these out-of-favor sectors. In mid-March, investors took
profits in technology stocks and rotated into undervalued sectors. Specifically,
defensive sectors such as consumer staples, healthcare and energy all performed
well as investors continued to worry about the Federal Reserve's reaction to
inflationary pressures. The Series benefited from the increase in market
breadth.
Since the technology correction in mid-March, we have been adding to selected
tech stocks on weakness. We plan to continue increasing our weighting in
technology as we see opportunities to do so.
Our overweight position in consumer staples contributed to the Series'
outperformance during the period. In particular, Nabisco Group Holdings Corp.,
Pepsi Bottling Group, Inc., Safeway, Inc. and Kimberly-Clark Corp. were strong
performers. Nabisco Group Holdings Corp. was the Series' top contributor during
the period as a result of the planned sale of the company.
In other sectors, leading contributors included News Corp., Intel Corp., Eli
Lily & Co. and Coastal Corp., among others. Laggards included International
Paper Co., Compuware, Tyson Foods Inc., Federated Department Stores Inc. and
UnumProvident. The Series no longer owns Compuware or UnumProvident.
The Portfolio remains overweight versus the S&P 500 in consumer staples,
communications, energy and financials.
WHAT ARE YOUR THOUGHTS ON THE FUTURE ENVIRONMENT
FOR THE SERIES?
Recent economic data suggest that the economy may be slowing, however,
inflationary concerns may keep the Federal Reserve on guard. We expect recent
stock market volatility to persist. Uncertainty over economic growth and
prospective Federal Reserve actions will continue to result in market swings.
Fortunately, market breadth remains favorable. We believe the Series continues
to be well positioned for this type of market, in which individual stock
selection plays a more important role than sector momentum.
SALOMON BROTHERS ASSET MANAGEMENT, INC.
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
SINCE 2/1/2000 (INCEPTION) 8.70%
--------------------------------------------------------------------------------
TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Nabisco Group Holdings Corporation 2.7%
2. National Semiconductor Corporation 2.4%
3. The Pepsi Bottling Group, Inc. 2.4%
4. International Business Machines Corporation 2.4%
5. Safeway, Inc. 2.3%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Consumer Staples 21.0%
2. Technology 19.5%
3. Financials 16.8%
4. Health Care 9.7%
5. Communication Services 9.6%
8
<PAGE>
THE GCG TRUST
VALUE EQUITY SERIES
HOW DID THE SERIES PERFORM?
For the first half of 2000, the Value Equity Series (the "Series") produced a
total return of (3.35)%. The Standard & Poor's 500 Index produced a return of
(0.43)%.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
The weakest performing sector of the Series during the first half of the year
was basic materials. Our holdings in the paper and chemical industries detracted
from performance, as investors began to worry about the sustainability of the
global expansion -- in view of the Federal Reserve's apparent determination to
slow economic growth in the United States. As visibility of earnings in 2001
becomes clearer, we believe this sector will begin to perform better.
The best performing sectors in the Series during the first half of the year were
energy, financial services and health care. Energy stocks benefited from
continued strength in pricing for oil and natural gas, healthy refining margins
and accelerating spending by producers for drilling and energy services. Our
best performing energy stocks were El Paso Energy Corp. and Transocean Sedco
Forex, Inc. MetLife, Inc. performed well for us in the financial services
sector. In the health care sector, Bausch & Lomb, Inc. was a positive
contributor to performance.
WHAT OTHER FACTORS ATTRIBUTED TO THE SERIES' NEGATIVE PERFORMANCE VS. THE
BENCHMARK?
Unless you were watching carefully the internal changes occurring in the U.S.
equity markets during the first quarter, it may have seemed that not much was
happening in the value sector. However, when you look below the surface of the
averages, a different picture unfolds. The first two months of the year
represented a continuation and intensification of the trends that had been in
place since last fall -- a narrow, momentum driven market favoring technology
and biotech stocks while the rest of the market languished and declined. Then,
in early March, the market shifted suddenly and with dramatic effect. All at
once earnings and valuation seemed to matter again. By the end of the first
quarter, value stocks had recovered all of their losses from the first two
months, while the former leaders swooned.
The stock market was buffeted by many crosscurrents in the second quarter of
2000. During April and early May, fears of an overheated economy with
accompanying inflation and interest pressures were widespread. By June, some
signs of moderation in economic growth began to appear, reducing inflation
concerns but raising questions about the sustainability of earnings growth. In
short, the second quarter resulted in lackluster performance for most major U.S.
equity indices. Major value indices registered declines of about 4.5% for the
three months ended in June.
WHAT IS YOUR OUTLOOK FOR THE MARKETS?
We continue to believe the conditions for value investing are more favorable now
than they have been for several years. A key assumption underlying this point of
view is that global economic growth appears to be continuing into 2001. If we
are correct in this assessment, then the broad-based earnings recovery that
began last year should continue. Historically, when earnings growth is abundant,
many stocks do well. When earnings growth is based narrowly in only a few
sectors, fewer stocks participate. During the mid- to late 1990s with many
economic troubles around the world, earnings growth was hard to deliver for many
companies and industries. In that environment, it should not have been too
surprising that investors flocked to a fairly narrow list of companies where
earnings prospects seemed more secure.
This, of course, resulted in the dominance of growth over value investing. It is
our view that the combination of broad earnings growth into next year and the
recent demise of many of the "story" or "concept" technology stocks will refocus
investors' attention on fundamentals and valuation. In such an environment,
value investing has usually been rewarding.
EAGLE ASSET MANAGEMENT, INC.
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR (12.10)%
5 YEAR 9.95%
SINCE 1/3/1995 (INCEPTION) 12.17%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (3.35)%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Citigroup, Inc. 4.0%
2. International Business Machines Corporation 3.9%
3. Exxon Mobil Corporation 3.3%
4. Capital One Financial Corporation 3.1%
5. MetLife, Inc. 3.0%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Financials 26.3%
2. Energy 12.5%
3. Capital Goods 10.6%
4. Technology 9.9%
5. Basic Materials 9.1%
9
<PAGE>
THE GCG TRUST
RISING DIVIDENDS SERIES
HOW DID THE SERIES PERFORM DURING THE FIRST HALF OF 2000?
The Rising Dividends Series (the "Series") had a total return of 1.93% versus a
return of (0.43)% for the Standard & Poor's 500 Index (the "S&P 500") during the
first half of 2000.
WHAT MARKET TRENDS CONTRIBUTED TO THE SERIES' POSITIVE PERFORMANCE?
The second quarter featured a classic split between defensive companies and more
economically sensitive companies. The strongest performing sectors in the S&P
500 were health care, consumer staples, utilities and energy -- all areas with
fairly recurrent demand for products and services. The weakest performing
sectors were basic materials, communication services, consumer cyclicals,
technology, and financials. With the exception of communications services, those
are businesses that depend generally on a good underlying economy. It should be
noted that during the last month of the second quarter of 2000, technology
stocks rebounded somewhat from their lows. The Series benefited from strong
gains in the food and beverage industries, as well as strong results from all
pharmaceutical holdings. The Series was held back by weak results from
communications services, certain technology services, software, and basic
materials.
WHICH PORTFOLIO HOLDINGS WERE POSITIVE PERFORMERS
FOR THE SERIES?
More specifically, our best performing stocks were Bestfoods (which is being
acquired by Unilever), Johnson & Johnson, Pfizer Inc., Merck & Co. and Coca-Cola
Company. Our worst performing stocks were AT&T Corp., Electronic Data Systems
Corp. ("EDS"), Agilent Technologies, Inc. (a spin-off from Hewlett-Packard that
represents a small weighting), Microsoft Corp. and PPG Industries Inc. We
believe that AT&T is in the transition phase of its business transformation and
are inclined to give the management team led by Michael Armstrong more time to
accomplish its goals. Despite its disappointing performance, we are confident
about our Microsoft position and think that there are several scenarios that
would be positive for shareholders. We are most concerned about EDS, which
recently stumbled again despite the presence of new management. We are
evaluating our options with regard to EDS, however we do not intend to
experience a third stumble.
Our specific purchases during the period were Home Depot Inc., Gap Inc. and
Cisco Systems Inc. We are attracted to Home Depot's business model of 23%-to-25%
EPS growth, the new EXPO Design Centers, and an S&P relative price to earnings
(P/E) ratio of 148% versus a target range of 130% to 210%. We like Gap because
similar store sales comparisons are easing, management can get the company back
on fashion trend, the online stores can tap the brands global potential, and the
stock is cheap. We bought Cisco because the company is the leader in a
rapidly-growing, important technology sector and the overall technology sell-off
afforded us the opportunity to buy well below the 52-week high of $82.
WHAT DO YOU SEE HAPPENING IN THE MARKETS IN THE FUTURE?
Our view of the next five years is that earnings growth will be the engine that
powers stock returns, because we are not counting on P/E expansion from today's
levels. Based on this premise, over the last year and a half we have been
increasing systematically the expected long-term earnings growth rate of the
Series. Today, the anticipated growth rate is 15% to 16%, up from 12% to 13% two
years ago. Importantly, this has been accomplished while retaining the
consistency of earnings growth that is a key feature of Kayne Anderson
portfolios. As we have indicated, a portfolio with underlying profits growing at
a rate in the mid-teens provides a strong underpinning for long-term capital
appreciation.
KAYNE ANDERSON INVESTMENT MANAGEMENT, LLC
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 5.25%
5 YEAR 19.74%
SINCE 10/4/1993 (INCEPTION) 16.95%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 1.93%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Intel Corporation 5.9%
2. Pfizer Inc. 5.3%
3. Johnson & Johnson 5.1%
4. American International Group, Inc. 4.9%
5. General Electric Company 4.7%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 30.7%
2. Health Care 17.2%
3. Consumer Staples 16.0%
4. Financial 14.6%
5. Capital Goods 8.9%
10
<PAGE>
THE GCG TRUST
MANAGED GLOBAL SERIES
HOW DID THE SERIES PERFORM RELATIVE TO THE BENCHMARK?
For the six months ended June 30, the Managed Global Series (the "Series")
returned (0.75)% versus (2.69)% for the Morgan Stanley Capital International
(MSCI) All Country World Free Index.
Capital Guardian Trust Company became Portfolio Manager on February 1, 2000.
Total returns for the five months ended June 30 were 8.07% for the Series, and
2.86% for the MSCI All Country World Free Index.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING PERFORMANCE?
Equity markets began the second quarter on shaky ground, as the slide that began
in mid-March continued through April. Late May marked a turning point as
investors began leaving interest-rate-sensitive and old-economy stocks, and
selectively returning to high-quality technology names. U.S. and European
markets ended the quarter positively, posting strong results for June and paring
their losses for the six-month period. However, Japanese stocks did not snap
back as convincingly.
In the U.S. and Europe, strong economic news and an uptick in inflation prompted
central banks to further tighten monetary policy. In the U.S., the Department of
Justice's decision to split Microsoft Corp. and block the WorldCom/Sprint merger
contributed to the equity market slump. However, many companies reported strong
first-quarter earnings, which helped to stabilize markets. Nevertheless, the
market punished companies that missed earnings estimates or gave warnings.
Overall, the energy and healthcare sectors provided the best returns, while
cyclical stocks crumbled.
WHAT WERE SOME OF THE SECTORS THAT INFLUENCED THE MARKET AND THE SERIES IN THE
FIRST HALF OF 2000?
Hit especially hard during the quarter were Internet-related companies, many of
which suffered as they were reevaluated for profitability. E-tailers bore the
brunt of the Internet sell-off, and some were forced to close their doors as
their once endless financing sources began to dry up and investors focused on
their cash "burn rate". Elsewhere within the technology-media-telecom (TMT)
sector, telecommunications equipment and computer chip manufacturers held up
well. Cellular handset makers once again enjoyed volume growth as a result of
worldwide demand. Rising handset sales, along with growth in other electronic
products, gave support to companies that make chips and chip-making equipment.
Prior to the technology correction in March, we took advantage of the relative
value found in consumer, food, and beverage stocks. Additionally, a
first-quarter sell-off in U.K. bank stocks also presented a chance to rebalance
the Series somewhat. Surprisingly, while we assumed it would take at least
several quarters for the markets to realize the value in these companies, many
saw good returns in the second quarter. Also beneficial to performance was our
emphasis on high-quality TMT-names.
Our exposure to Japanese TMT companies hurt our overall performance. A major
rebalancing of the Nikkei in April, which doubled the weighting of the
information technology sector, lent some support to Japanese TMT names. However,
many of these companies endured a significant correction through the remainder
of the quarter.
WHAT IS THE OUTLOOK FOR THE GLOBAL EQUITY MARKETS AND THE STRATEGY FOR THE
SERIES?
With the strong comeback in many of the consumer and financial companies we
favored, we are beginning to take profits in these sectors and looking at some
more reasonable values in the TMT industries. Many good technology-related
companies that were selling at high valuations early in the year became more
reasonably priced in the second quarter, and we continue to look for
opportunities among them.
We have taken profits in our semiconductor-related holdings, though we remain
optimistic, as the industry continues to benefit from strong global demand.
Another important theme in the Series is our continued emphasis on content
providers. We do not know which of cable, wireless, or the Internet will emerge
the winner in the battle to supply information to consumers; however, content
will be at the nexus of all of them, and the cable and media stocks we hold all
have viable content components.
CAPITAL GUARDIAN TRUST COMPANY
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 51.20%
5 YEAR 23.94%
SINCE 10/21/1992 (INCEPTION) 13.39%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (0.75)%
--------------------------------------------------------------------------------
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 JUNE 30, 2000
(percentage of total net assets)
1. Nokia Oyj 2.5%
2. AstraZeneca Group Plc 2.3%
3. Vodafone AirTouch Plc 2.3%
4. NECCorporation 1.6%
5. Tokyo Electron Ltd. 1.6%
TOP FIVE COUNTRIES AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. United States 40.8%
2. Japan 17.5%
3. United Kingdom 8.4%
4. France 4.0%
5. Germany 4.0%
11
<PAGE>
THE GCG TRUST
LARGE CAP VALUE SERIES
HOW DID THE SERIES' PERFORM?
The Large Cap Value Series (the "Series") returned 6.90% from inception February
1, 2000 through June 30, 2000. The Standard & Poor's 500 Index returned 4.84%
for the same period.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING PERFORMANCE?
The second quarter of 2000 started with the U.S. equity market continuing to
slide, as investors increasingly became concerned about high stock valuations.
In addition, strong economic news prompted the Federal Reserve to adopt an
increasingly hawkish monetary policy. The Department of Justice also did its
part to dampen the equity markets, both ruling that Microsoft should be split
into two companies and blocking the WorldCom/Sprint merger. Many companies
reported strong first-quarter earnings. This news helped stabilize the markets.
Energy and healthcare companies fared well and established themselves as market
leaders. However, Internet-related companies were hit especially hard during the
quarter when investors began to reexamine them for profitability. E-tailers bore
the brunt of the Internet sell-off, and some were forced to close their doors.
Late May marked a turning point. While investors continued to leave
interest-rate-sensitive stocks in sectors such as materials and retailing, they
began to return selectively to high-quality technology names. By June, economic
data on employment, consumer spending, purchasing, and consumer price index
confirmed some slowing, which gave the markets a lift. June also saw significant
outperformance of growth stocks over value-oriented issues.
WHAT OTHER FACTORS ATTRIBUTED TO THE SERIES' PERFORMANCE?
Our underweighting in technology issues while emphasizing on high-quality names
within the technology sector were helpful to the Series' performance amid the
sell-off in the heavily technology-weighted NASDAQ. We have been encouraged that
valuations for many technology-related companies have been knocked down to more
reasonable levels. This gave us the opportunity to acquire names that we had
liked but thought were too expensive. We have also augmented some existing
positions on price weakness, and taken profits from others that have held up
well, including some of our semiconductor-related stocks. We have continued to
add to our holdings in out-of-favor defensive sectors, including beverage and
food companies. Our overweighting in cable companies has hurt performance in
recent months as technology-media-telecom (TMT) related stocks declined.
Nonetheless, we are confident that these companies will do well over the long
term.
WHAT IS YOUR OUTLOOK FOR THE MARKETS/SERIES?
Investors will be watching for signs that a slower economy may be having a
negative impact on profitability as the third-quarter earnings season gets
underway. With companies and sectors not moving in lockstep, research is
critical in helping to identify outperformers. Many good technology-related
companies that were selling at high valuations early in the year became more
reasonably priced in the second quarter, and we continue to look for
opportunities among them.
While we trimmed our semiconductor-related holdings, we remain optimistic. The
industry is straining at capacity in the face of a surge in global demand, which
should prove to be good news for semiconductor capital equipment and chip
makers, but bad for handset and other device manufacturers who may face
shortages because of their reliance on chip components.
CAPITAL GUARDIAN TRUST COMPANY
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
SINCE 2/1/2000 (INCEPTION) 6.90%
--------------------------------------------------------------------------------
TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Pfizer, Inc. 2.8%
2. AstraZeneca Group Plc, ADR 2.5%
3. Forest Laboratories, Inc. 2.2%
4. Guidant Corporation 1.8%
5. Time Warner Inc. 1.8%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 20.1%
2. Services 16.7%
3. Health Care 11.7%
4. Financial 10.4%
5. Consumer Non-durables 9.9%
12
<PAGE>
THE GCG TRUST
ALL CAP SERIES
HOW HAS THE SERIES PERFORMED SINCE ITS INCEPTION?
Since its inception on February 1, 2000, the All Cap Series (the "Series") had a
total return of 15.50% for the five months ended June 30, 2000. This compares to
a total return of 5.07% for the Russell 3000 Index.
WHAT MAJOR MARKET TRENDS AFFECTED THE SERIES' POSITIVE PERFORMANCE?
The Series outperformance primarily was due to stock selection, particularly in
the "old economy" companies. The Series' flexibility to find the best possible
opportunities throughout the market came in handy, as we were able to
significantly establish positions in long-term growth sectors like consumer and
pharmaceuticals despite technology being the flavor of the day.
The equity markets over the first half of 2000 have incurred increased
volatility. The technology-driven market enjoyed considerable momentum until
March. This momentum came at the expense of the out-of-favor, old economy
sectors including consumer stocks, financials and pharmaceuticals. By the middle
of March, the tide had turned and the market rotated out of technology and into
broader, undervalued sectors. Specifically, defensive sectors (energy,
financials, healthcare and consumer staples) benefited as investors continued to
worry about the Federal Reserve's reaction to inflationary pressures.
WHAT MATERIAL ASPECTS AFFECTED THE SERIES
DURING THE PERIOD?
Throughout the period, the Series added to its positions in the consumer
staples, consumer cyclical and energy sectors. We remain overweight in old
economy companies compared to new economy issuers. Many of our old economy
companies, however, are transitioning their businesses by adapting new
technologies and ways of doing business.
Our technology weightings still are underweight relative to the market, but we
are adding to positions during the recent decline. Our energy holdings also paid
off during the period, leading us to trim positions selectively. In healthcare,
we added to some large-cap pharmaceutical positions. Lastly, the Series
maintains diversified blend of growth and value as well as large and small/mid
cap stocks.
WHAT ARE YOUR THOUGHTS ON THE FUTURE ECONOMIC ENVIRONMENT FOR THE SERIES?
The market has started to rotate out of the momentum sectors, including
technology, telecommunications and biotechnology, producing significant profits
for many of our positions. The market has broadened, as we expected, into a
variety of sectors that have lagged. We expect many of these stocks to build on
their gains, particularly the high quality companies. In the end, we believe
that better quality companies will leverage off of the efficiencies generated by
today's massive deployment of technology to gain market share and boost their
growth rates. We believe these companies will be the ultimate winners in the New
Economy, thereby potentially benefiting the Series.
SALOMON BROTHERS ASSET MANAGEMENT, INC.
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
SINCE 2/1/2000 (INCEPTION) 15.50%
--------------------------------------------------------------------------------
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 JUNE 30, 2000
(percentage of total net assets)
1. Safeway, Inc. 4.2%
2. Nabisco Group Holdings Corporation 3.3%
3. Federated Department Stores, Inc. 3.2%
4. Costco Wholesale Corporation 3.1%
5. Hormel Foods Corporation 2.8%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Consumer Staples 25.4%
2. Technology 13.5%
3. Consumer Cyclicals 11.5%
4. Communication Services 11.1%
5. Energy 9.1%
13
<PAGE>
THE GCG TRUST
RESEARCH SERIES
DID THE SERIES OUTPERFORM ITS BENCHMARK
FOR THE SIX MONTHS ENDED JUNE 30, 2000?
For the six months ended June 30, 2000,the Research Series (the "Series")
provided a total return of 6.13%. Over the same period, the Standard & Poor's
500 Index returned (0.43)% and the Russell Mid-Cap Index returned 5.12%.
WHAT INDUSTRIES INFLUENCED MOST THE SERIES' PERFORMANCE?
In this volatile environment, we've found opportunities in a wide range of
areas, but some industries that recently have performed well for the Series are
energy, insurance, and pharmaceuticals. In the energy sector, exploration and
production companies such as Global Marine Inc. and Transocean Sedco Forex Inc.,
have rallied significantly due to the rebound in oil and natural gas prices.
Higher prices have spurred demand for drilling services, resulting in strong
revenue and earnings growth for many energy services companies. Despite a fairly
long stretch of weak performance from insurance stocks such as Hartford
Financial Services Group, Inc., we held on to these companies because we
believed in their long-term prospects and the possibility of consolidation in
the industry. Recently, we've seen an increase in merger and acquisition
activity in the insurance group, which has boosted the performance of these
holdings. In the first quarter of 2000, we took advantage of weakness in
pharmaceutical stocks to increase our holdings in what we believe are top-notch
companies with strong track records, such as Pharmacia Corp., American Home
Products Corp., and Bristol-Myers Squibb Co. Some of these stocks have come back
strong in the second quarter, and we believe they still offer attractive growth
prospects.
We also significantly increased the Series' exposure to wireless communications
companies recently. A few years ago, we found that roughly 3% of worldwide
communications were handled over wireless networks. But our research shows that
now the percentage has mushroomed to double-digits, and we believe similar
growth lies ahead. We expect revenue growth for many wireless companies to rise
25% to 50% per year, and international revenues could be even higher. Given our
outlook for dramatic growth in this industry, we like the risk/reward profile of
these stocks.
In other areas, despite what we think may be a somewhat less robust environment
for consumer spending, we like companies such as CVS Corp. and Safeway Inc.
because they're noncyclical. People always have to buy prescriptions, household
products, and groceries, even if the economy slows. We also think these are two
of the best-run companies in their respective industries. Additionally, we've
increased our positions in Intel Corp. and EMC Corp. because we see demand for
their products and services accelerating, we feel their fundamental business
prospects have been strong, and ultimately we believe they can maintain their
leadership positions in their markets.
WHAT CONDITIONS WILL INFLUENCE THE MARKETS THROUGH 2000?
Looking forward, a key question for investors is whether the Federal Reserve
Board will be able to negotiate a so-called soft landing -- increasing interest
rates just enough to cool inflation and promote moderate economic growth -- or
whether there will be a more destructive outcome, with a recession and bear
market. We continue to lean toward the optimistic view for a number of reasons.
First, a pickup in productivity typically is what allows the U.S. economy to
expand without inflation, accompanied with strong corporate earnings and rising
real wages. Because technology spending remains so strong, we believe that U.S.
productivity will continue to grow rapidly.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 20.62%
SINCE 8/14/1998 (INCEPTION) 24.56%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 6.13%
--------------------------------------------------------------------------------
TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Intel Corporation 4.0%
2. Cisco Systems, Inc. 3.1%
3. Sun Microsystems, Inc. 2.6%
4. General Electric Company 2.6%
5. Tyco International Ltd. 2.5%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 38.2%
2. Utilities & Communications 10.4%
3. Financial Services 9.9%
4. Energy 9.6%
5. Health Care 7.8%
14
<PAGE>
THE GCG TRUST
CAPITAL APPRECIATION SERIES
HOW WAS THE SERIES PERFORMANCE DURING
THE FIRST SIX MONTHS OF THE YEAR?
The Capital Appreciation Series (the "Series") had a total return of (0.70)% for
the six months ended June 30, 2000. This compares to a return of (0.43)% for the
Standard & Poor's 500 Index for the same time period.
WHAT MARKET CONDITIONS CONTRIBUTED
TO THE SERIES' PERFORMANCE?
The first quarter of 2000 continued many of 1999's trends -- interest rates
rose, the market remained narrow and technology stocks retained their dominance.
As the U.S. economy reached its longest expansion in history in February,
Federal Reserve Board (the "Fed") Chairman Alan Greenspan continued to raise
concerns that this boom may lead to inflation. Since then, the Fed increased
rates in two quarter-point moves, keeping the markets volatile throughout.
A variety of factors combined during the second quarter to shake investor
confidence and contribute to market volatility. Volatility was most pronounced
among high-flying technology stocks that saw their values decline sharply in
March and April. Many investors traded their high-tech holdings for more
traditional, value-oriented stocks that seemed to offer greater safety; other
investors simply moved to cash as they waited to see whether or not the Fed
would continue its year-long series of interest rate increases. In May, the Fed
raised the federal funds rate again to 6.50%, its highest level in nine years.
Since June 1999, the Fed has increased interest rates six times for a total of
150 basis points (1.50)% in a pre-emptive effort to keep inflation in check.
WHAT SECTORS WERE A FOCUS OF THE SERIES DURING THE PERIOD?
While market volatility hurt the Series' short-term performance, we maintained
our investment strategy, focusing on companies with earnings growth that are
selling at reasonable prices. Market dips offered good buying opportunities for
the Series. The Series favored technology, media and telecommunications stocks,
commonly dubbed TMTs. These included holdings in the broadcasting,
communications equipment, computer hardware, semiconductor and cellular phone
industries. The Series' other holdings included stocks in the retail, investment
banking and manufacturing sectors.
WHAT IS YOUR OUTLOOK FOR THE ECONOMY?
The near-term outlook for stocks could depend to a large extent on the Fed's
ability to bring the economy to a "soft landing." There are signs that the
economy could be slowing. Consequently, the Fed may soon wind down its
tightening cycle. At its June meeting, the Fed did not change rates. If the Fed
succeeds in slowing economic growth to a more sustainable rate and keeping
inflation under control, it could prolong the current record economic expansion.
Such an environment could prove favorable for stocks.
A I M CAPITAL MANAGEMENT, INC.
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 12.68%
5 YEAR 19.23%
SINCE 5/4/1992 (INCEPTION) 15.88%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (0.70)%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Comcast Corporation, Special Class A 6.1%
2. Nextel Communications, Inc., Class A 5.5%
3. Nokia Oyj, ADR 5.4%
4. Target Corporation 4.2%
5. Cox Communications, Inc., Class A 4.1%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 36.9%
2. Consumer Staples 17.7%
3. Financials 13.2%
4. Consumer Cyclicals 11.7%
5. Health Care 6.4%
15
<PAGE>
THE GCG TRUST
CAPITAL GROWTH SERIES
HOW DID THE SERIES PERFORM VERSUS ITS BENCHMARK
DURING THE PERIOD?
The Capital Growth Series (the "Series") had a total return of (8.15)% for the
six months ended June 30, 2000. During the same time period, the Standard &
Poor's Mid-Cap 400 (the "S&P Mid-Cap") Index had a return of 8.97%. The
underperformance relative to the S&P Mid-Cap is primarily attributable to our
underweighting in small and mid-cap technology names and our overweighting in
telecommunications stocks.
WHAT MARKET CONDITIONS ATTRIBUTED
TO THIS UNDERPERFORMANCE?
Equity markets remained volatile in the first half of 2000. The January through
early March period featured especially strong performance of extremely expensive
technology stocks with companies often being valued at huge multiples of sales.
These stocks rose almost like rockets with no attention to valuation or common
sense. From early March through May many of these high flyers collapsed with
declines in many cases exceeding 50% in this two-month period. The Series had
essentially no exposure to the ultra high P/E tech names, but their volatility
did affect relative performance.
On a more positive note, it would appear that the Federal Reserve Board (the
"Fed") rate increases nearly are finished -- with perhaps one more increase
later in the year. With the Fed in a more neutral mode, markets should be
stronger and more broad-based, a situation that should help our investment style
of using more mid-cap, growth-oriented names. Inflation remains low and interest
rates therefore should be flat to down slightly for the rest of the year.
Lastly, it may be that the technology mania that propelled a number of mid-cap
names to extraordinarily high valuations has slowed. If so, this suggests a
broader, more rational market where our approach of aggressive growth at a
reasonable price should show substantial success.
WHAT IS THE SERIES' SECTOR FOCUS?
The Series is very heavily weighted in telecommunications and financial services
stocks. In Telecom, we have focused on wireless service providers such as
Millicom International Cellular S.A., Telephone and Data Systems, Inc., and U.S.
Cellular Corp. Private transaction for wireless properties have recently shown
large increases in value, and these particular companies are showing rapid rates
of subscriber and cash flow growth. Tangentially, cable related holdings such as
Scientific Atlanta, UnitedGlobalCom Inc. and NTL Inc. are major portfolio
holdings. Cable and telephony are becoming increasingly related and these
holdings should benefit from this trend. Financial stocks are the second major
area of interest. Demographic trends continue to favor growth in this sector and
many rapidly growing companies are available at relatively low P/E ratios. Legg
Mason Inc., a rapidly growing regional brokerage and money management firm, and
Associates First Capital Corp., a specialty finance company, are large holdings
in the portfolio.
A third important area is the Series' large holdings in consumer related stocks,
particularly those with a leisure time orientation. Airline stocks such as
Continental Airlines Inc. and Northwest Airlines Corp. are experiencing all-time
high load factors and improving earnings. Additionally, holdings such as Park
Place Entertainment, a Las Vegas-based gaming company, offer strong growth
prospects.
During the first half of 2000, our larger purchases included UnitedGlobalCom
Inc., a major provider of cable television services; Carnival Corp., a cruise
ship company which we believe has excellent growth prospects; and Millicom
International Cellular S.A., a wireless service provider with extremely rapid
growth combined with low valuation.
On the sell side, we took some profits in Clearnet Communications Inc. and Human
Genome Sciences Inc., although we did not eliminate either holding.
Additionally, we eliminated Viatel, Voicestream, Ceridian and Radian Group.
WHAT IS YOUR OUTLOOK FOR THE ECONOMY?
We continue to see an economy with low inflation and reasonable profit growth.
As mentioned in the market review, the Federal Reserve Board tightening process
is nearing its end and this should provide a more benign, perhaps less volatile
environment for stocks. We believe the Series is well positioned with holdings
in companies with excellent projected growth rates along with reasonable
valuations.
ALLIANCE CAPITAL MANAGEMENT, L.P.
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 4.48%
SINCE 8/14/1998 (INCEPTION) 13.61%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (8.15)%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Continental Airlines Inc., Class B 5.1%
2. Scientific-Atlanta, Inc. 4.7%
3. NTL, Inc. 4.1%
4. Legg Mason, Inc. 3.9%
5. Millicom International Cellular S.A. 3.8%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Consumer Services 31.0%
2. Technology 17.6%
3. Utilities 17.5%
4. Financial 14.9%
5. Health Care 5.6%
16
<PAGE>
THE GCG TRUST
STRATEGIC EQUITY SERIES
HOW DID THE SERIES PERFORM DURING THE PERIOD?
The Strategic Equity Series (the "Series") maintained a steady performance in
the second quarter of 2000, and, in spite of market volatility, returned 11.08%
year-to-date through June 30, 2000. The Series' benchmark, the Russell Mid-Cap
Growth Index, posted a return of 12.15%. The Russell 2000 Index had a return of
3.04% and the Russell Mid-Cap Index had a return of 5.12% during the same
period.
WHAT FACTORS ATTRIBUTED TO YOUR POSITIVE PERFORMANCE?
During the first quarter 2000, the Series' strong performance came despite
concern over rising interest rates that drove a volatile market throughout the
quarter. The Dow Jones Industrial Average dropped below 10,000 for the first
time in a year only to rebound to 11,000 a few weeks later, while the equally
erratic NASDAQ index roared past 5,000 for the first time in March on the
continued strength of technology and Internet-related issues. During this
period, two key weightings and dramatic outperformance of the mid-cap universe
relative to large-cap stocks positively affected the Series. Technology, media
and telecommunication stocks continued to post strong performance, and the
Series responded by increasing its exposure to 55% of assets. In response to the
recent dramatic increases in world oil and natural gas prices, the Series
maintained an overweight position in the revitalized energy sector relative to
its index.
Coming off the high run-up in small- and mid-cap growth stocks of the first
quarter, the second quarter saw a significant downturn in those two sectors.
Investors struggled with higher interest rates and some indications of a slowing
economy. By and large, the market's performance year-to-date reflects seasonal
patterns of past years, with the second-quarter downturn appearing dramatic
mainly in comparison to the first-quarter's outperformance. Two sectors in
particular affected the Series performance in the second quarter -- one
negatively, one positively. On the down side, technology had the largest effect
on the portfolio -- again, due to high market volatility and investor
skittishness regarding economic growth and interest rates. On the upside, the
Series' overweighting in the energy sector was the biggest contributor to
positive performance in the quarter, with that sector being up 10.5%. The Series
was weighted roughly 10% more than its index in energy, which helped offset
technology's underperformance. The Series reduced energy assets toward the end
of the quarter, but continued the overweighted position relative to the index on
expectations of continued strength of the sector's fundamentals.
WHAT IS YOUR OUTLOOK FOR THE SHORT-TERM?
The third quarter of 2000 will likely see typical seasonal market patterns --
including the possibility of a moderate trending up in the technology sector.
With trading beginning to level off and volatility to wane as the second quarter
closed, we will take the opportunity to upgrade the Series by culling stocks
whose fundamentals no longer support their presence in the Series. Analysts
anticipate lower or at least static interest rates through the rest of the
summer, which, added to continued low inflation, could presage a Goldilocks
period (i.e., growth that is neither too strong nor too weak). We continue to
look for opportunities in the small- and mid-cap sectors that fit the Series'
discipline -- including health care stocks and financials, in which the Series
may increase its weighting if earnings growth in those sectors remains
favorable.
A I M CAPITAL MANAGEMENT, INC.
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 57.57%
SINCE 10/2/1995 (INCEPTION) 22.13%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 11.08%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. ADCTelecommunications, Inc. 1.7%
2. Newport Corporation 1.7%
3. Coherent, Inc. 1.3%
4. Veeco Instruments, Inc. 1.2%
5. Scientific-Atlanta, Inc. 1.2%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 46.2%
2. Energy 12.9%
3. Consumer Cyclicals 9.2%
4. Health Care 8.2%
5. Consumer Goods 8.1%
17
<PAGE>
THE GCG TRUST
MID-CAP GROWTH SERIES
DID THE SERIES OUTPERFORM ITS BENCHMARK
FOR THE SIX MONTHS ENDED JUNE 30, 2000?
For the six months ended June 30, 2000, the Mid-Cap Growth Series (the "Series")
provided a total return of 23.15%. Over the same period, the Russell Mid-Cap
Index returned 5.12% and the Russell 2000 Index returned 3.04%.
WHAT STRATEGIES/MARKET SECTORS WERE MOST RESPONSIBLE FOR THE SERIES' STRONG
INVESTMENT RESULTS?
In the midst of last year's technology stock rally, we shifted a large part of
the Series' assets out of technology and into other areas. We think that
decision was a major factor in the Series performance despite recent market
volatility. In March and April of 2000, many technology stocks corrected
dramatically from their high valuations, but the Series was spared a large part
of that sell-off. More recently, we have taken advantage of the market
correction to add to positions in companies that our research has determined are
more reasonably valued.
We think that one of the keys to making money in stock investing is being early;
that is, looking for industries that are changing and trying to identify as
early as possible who the winners will be. Our positions in several deep-water
oil drilling companies offer an example. Deep-water drilling rigs are floating
cities that are oil companies' most cost-effective sources of new energy. A
small number of companies control the business worldwide, leasing the rigs to
oil companies. We have been following the drilling companies since the
plummeting price of oil brought drilling to a screeching halt in late 1998. Our
hope was to invest early in those companies we felt were best positioned to
capitalize on a cyclical resurgence of the business. We began making significant
investments in drilling companies in the fourth quarter of 1999. Our investments
in three of the major drilling companies, Transocean Sedco Forex Inc., Diamond
Offshore Drilling Inc., and Noble Drilling Corp., have since contributed
strongly to Series returns.
Another area we have researched that we find attractive is a group of firms
enabling business transactions on the Internet. Companies such as VeriSign Inc.,
RSA Security Inc., and CheckPoint Systems Inc. are providing services such as
security, authentication, and authorization that we believe will be essential to
making the Internet a reliable medium for conducting business. We believe their
customer bases could eventually number in the tens of millions and that, long
term, these firms have the potential to become tremendously profitable.
Natural gas, an area dominated by a supply/demand imbalance, is an energy story
related to oil drilling. According to our research, demand for gas has been
growing faster than that for any other form of energy, in part because new
electric utilities are almost entirely gas fired. Gas-drilling activity,
however, declined around 1998 along with oil exploration. Our industry analyst
concluded late last year that this would lead to higher prices. In fact, price
increases this year have exceeded our expectations, benefiting gas exploration
and production companies such as Newfield Exploration Co. and EOG Resources Inc.
WHAT SECTORS LOOK ATTRACTIVE FOR THE REMAINDER OF 2000?
Looking to the period ahead, areas in which we currently see opportunity include
technology, business services, and energy. In the technology sector, data
storage companies such as Emulex Corp. and Seagate Technology Inc. are examples
of companies that we feel remain at reasonable valuations and offer the prospect
of strong performance. We will, however, continue to avoid those areas of
technology where we feel that high valuations cannot be justified by projected
earnings.
MASSACHUSETTS FINANCIAL SERVICES COMPANY
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 81.83%
SINCE 8/14/1998 (INCEPTION) 65.03%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 23.15%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. VeriSign, Inc. 5.7%
2. United Therapeutics Corporation 4.7%
3. VISX, Inc. 4.1%
4. The Kroger Company 3.6%
5. Noble Drilling Corporation 3.5%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 29.7%
2. Energy 22.0%
3. Health Care 15.2%
4. Business Services 10.7%
5. Retailing 5.8%
18
<PAGE>
THE GCG TRUST
SMALL CAP SERIES
HOW DID THE SERIES PERFORM RELATIVE TO ITS BENCHMARK?
The Small Cap Series (the "Series") had a total return of 6.87% for the
year-to-date ended June 30, 2000. The Russell 2000 Index returned 3.04% for the
same period.
Capital Guardian Trust Company became Portfolio Manager on February 1, 2000;
total returns for the five months ended June 30 were 5.30%, 4.72% for the
Russell 2000 Index.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING PERFORMANCE?
Small-cap stocks were especially volatile through the first half of the year,
with healthcare, biotechnology, and semiconductor sectors experiencing high
volatility. From a year-to-date peak on March 9 to its April 14 low, the Russell
2000 Index declined more than 25%. But strong performance in June mitigated
April and May's weak returns. Year-to-date, small-cap stocks are still in
positive territory compared to large-cap stocks, which are negative for the
year. While growth-oriented small-cap stocks were the big winners in 1999, thus
far the picture has been more mixed and value stocks have been more resilient.
For the quarter, energy-related stocks were up 12.8% due to extremely high oil
prices amid continued good global demand. Healthcare stocks also had a good
showing, as an improving regulatory outlook for the hospital industry helped the
entire sector to advance. While both financial services and consumer
non-cyclical stocks posted modest gains over the second quarter, both groups are
still down for the year, continuing a long period of underperformance. TMT
(technology-media-telecom) stocks fell about 15% overall while Internet-related
stocks in the Russell 2000 Index posted big gains in June but not enough to
overcome earlier declines, falling 27.4%.
WHAT WAS THE SERIES' ASSET ALLOCATION IN THE FIRST SIX MONTHS OF THE YEAR?
The Small Cap Series remains somewhat biased toward growth stocks. After
trimming positions due to extended valuations in February and March, we were
significant buyers of TMT shares during periods of weakness. In particular, we
were buyers of high-quality Internet stocks, namely those companies with real
franchises, sustainable business models, good balance sheets and compelling
valuations. Currently, we have overweight positions in semiconductor capital
equipment manufacturers, chip makers, software, telecommunications equipment,
and media. Conversely, we continue to be underweight in financials, REITs, and
electric utilities, areas in which we see poor-to-eroding fundamentals and
deceptively cheap valuations or value traps. Nonetheless, overall good stock
selection, even in unattractive sectors, has contributed to better-than-index
returns for the Series.
WHAT IS THE OUTLOOK FOR SMALL-CAP STOCKS?
Small-cap stocks as an asset class remain extremely attractive. On average,
companies in the Russell 2000 have twice the earnings growth rate and
comparatively better earnings quality, yet they sell at a large discount to the
Standard & Poor's 500 Index. Perhaps most intriguing, small-cap companies look
increasingly attractive on a theoretical leverage buyout (LBO) basis, meaning
that strong cash-on-cash business returns are at odds with the large gap between
public and private market valuations. These discrepancies are likely to lead to
a new era of LBOs and management buyouts to unlock value, and shareowners of
small-cap stocks could be major beneficiaries. Additionally, the rebalancing of
the Russell 2000 Index on June 30, 2000 has resulted in a higher level of
earnings growth rate of the reconstituted index, as several large companies
leave the index and smaller, faster-growing companies replace them. This fact is
likely to highlight the significant relative undervaluation of the asset class.
Moreover, renewed interest in initial public offerings, after many companies had
postponed offerings earlier this year, suggests that the market is prepared to
be more discriminating, and well-run smaller companies can still access the
capital markets to grow and prosper.
CAPITAL GUARDIAN TRUST COMPANY
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 37.46%
SINCE 1/3/1996 (INCEPTION) 23.50%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 6.87%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Power-One, Inc. 2.5%
2. LTXCorporation 2.1%
3. Silicon Valley Bancshares 1.6%
4. Atlantic Coast Airline Holdings, Inc. 1.3%
5. Aspect Communications Corporation 1.2%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 28.0%
2. Services 23.6%
3. Health Care 10.9%
4. Financial 6.0%
5. Consumer Durables 4.2%
19
<PAGE>
THE GCG TRUST
GROWTH SERIES
HOW WELL DID THE SERIES PERFORM IN THE FIRST HALF OF 2000?
The Growth Series (the "Series") had a total return of (3.27)% for the six
months ended June 30, 2000. The Standard & Poor's 500 (the "S&P 500") Index
returned (0.43)% during the same period.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
The first several months of the year saw a continuation of many of the same
trends that made 1999 so successful, allowing fast-growing sectors like
semiconductors and electronics to continue their leadership of the market and
enabling the tech-heavy NASDAQ Composite Index to trade higher despite periods
of substantial volatility. By March, however, the mood had changed. Continued
uncertainty about the direction of interest rates and a belief among some
investors that valuations in selected segments of the market had been stretched
to extremes forced a sharp sell-off that erased virtually all of the technology
sector's gains.
The Series followed a similar path, performing well early in the period and then
struggling as the market retreated during the spring. We responded to this
challenging environment by focusing the Series even more closely on well-managed
companies with strong franchises and outstanding fundamentals. Still, a number
of our holdings declined with the market during the last half of the period,
causing us to underperform modestly the S&P 500 Index.
Notable disappointments included Amazon.com Inc. The company suffered alongside
other Internet retailers after several of the industry's most visible players
reported slower revenue growth than investors had hoped, adding urgency to a
general shift in sentiment that already was pressuring the sector. While we have
pared back our exposure somewhat, Amazon's continuing efforts to diversify its
product line and expand its global reach encourages us . We believe the company
will show a great deal of progress on the earnings front in the coming year and
still are enthusiastic about its longer-term prospects.
On the positive side, energy innovator Enron Corp. gained substantially. The
company's core wholesale commodities and electricity businesses continued to
show robust growth as the rapid expansion and deregulation of energy markets
worldwide supported a 36% increase in operating earnings during 1999. Meanwhile,
Enron's energy services outsourcing business is poised to become solidly
profitable in 2000 after several years of heavy investment by the company. Other
strong performers included computer storage leader EMC Corp., which gained
substantially despite a difficult environment for technology shares in general.
EMC's leadership in virtually all categories of the enterprise storage market
has allowed it to participate in the explosive growth of the Internet by
providing the systems necessary to meet the massive increase in storage needs
implied by the rise of e-commerce and other Web-based business.
Medical device manufacturer Medtronic Inc. rounded out our list of standouts.
Sales of the company's cardiac stents and heart rhythm management devices
remained brisk, supporting a 25% growth in revenue and a 30% increase in net
income during its recently-completed fiscal fourth quarter. Investors responded
to the outstanding results by bidding the company's shares higher.
WHAT IS YOUR ECONOMIC OUTLOOK FOR THE REMAINDER OF 2000?
Looking forward, a deceleration of the U.S. economy and a more certain interest
rate picture could create a better environment for stocks during the second half
of the year. In any case, we will continue to do what we've always done --
looking hard for companies with great fundamentals and outstanding prospects for
future growth.
JANUS CAPITAL CORPORATION
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 41.57%
SINCE 8/14/1998 (INCEPTION) 43.69%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (3.27)%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Nokia Oyj, ADR 9.0%
2. Enron Corporation 4.6%
3. AT&T Corp.-- Liberty Media Group, Class A 3.9%
4. Time Warner Inc. 3.2%
5. EMCCorporation 2.1%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Technology 59.6%
2. Consumer Cyclicals 22.2%
3. Energy 5.7%
4. Financials 4.5%
5. Consumer Non-Cyclical 3.2%
20
<PAGE>
THE GCG TRUST
REAL ESTATE SERIES
HOW DID THE SERIES PERFORM?
The Real Estate Series (the "Series") has a total return of 15.84% for the six
months ended June 30, 2000. The Wilshire Real Estate Securities Index had a
total return of 15.21% for the same period.
The Prudential Investment Corp. became Portfolio Manager on May 1, 2000; total
returns for the two month period ended June 30 were 5.33% for the Series and
4.61% for the Wilshire Real Estate Securities Index.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
Several factors contributed to the Series outperformance verses its benchmark in
the first half of 2000. First, as with many sectors over the past two years,
real estate securities simply were oversold in the investor rush to technology
stocks -- in particular Internet stocks -- during the second half of 1999. It
was time for a rebound in the share prices, which were selling at an average
discount to net asset value (NAV) of 20% at year-end 1999. Secondly, with the
pullback and volatility of the stock market, the stability and dividend income
from real estate securities have been attractive to investors. Thirdly, real
estate fundamentals continue to be sound with supply and demand in equilibrium
nationwide. Without non-economic incentives or lax financing standards, new
construction has been undertaken with little speculative space. National vacancy
rates remain low and rental growth has been at or above inflation.
WHAT OTHER FACTORS ATTRIBUTED TO THE SERIES' PERFORMANCE VERSUS THE BENCHMARK?
The positive results were primarily the result of overweighting the Series with
office real estate securities, especially companies that had a larger exposure
to the high barrier to entry markets such as Boston Properties, Inc., Spieker
Properties, Inc., and CarrAmerica Realty Corp. The Series also had a strong
contribution from its investment in hotel owner/operator Starwood Hotels &
Resorts. Lodging stocks in general had been oversold by investors concerned
about potential overbuilding in the hotel industry and the negative effects of a
slowing economy. Through the first half of the year, lodging statistics have
been extremely strong and the stocks have rebounded nicely. On the negative
side, the two areas that underperformed for the Series were manufactured home
REITs and specialty finance REITs. The manufactured home REITs are experiencing
steady internal growth of approximately 5%, however there is little opportunity
for external growth.
WHAT IS THE OUTLOOK FOR THE SERIES AND HOW IS IT POSITIONED FOR THE SECOND HALF
OF 2000?
We expect real estate fundamentals to remain positive through 2001, especially
for the office/industrial and multifamily real estate securities. In the
office/industrial sector, the explosive rental growth in markets such as San
Francisco, Boston and New York promise good imbedded growth over the next 18-24
months. In addition, the tight labor market has made real estate pricing much
more elastic. To retain employees, companies must locate in employer-friendly
locations and provide a high level of amenities. These underlying dynamics
should continue to push earnings higher.
In the multifamily sector, there is two trends pushing positive results. One is
higher interest rates which typically slow down home buying activity. The second
trend is the aging of baby boomers and more individuals entering the 21-35 year
old cohort. This age group is the most likely to rent. We also anticipate that
many companies will continue to grow revenue through providing more tenant
services.
We will continue to underweight the retail real estate sector. While e-commerce
is proving that it will not make traditional brick-and-mortar retail obsolete,
we are seeing a slowdown in consumer spending, a modest uptick in retail
bankruptcies, and store closings by several major retailers. Within the retail
sector, we continue to emphasize the mall owners over the shopping center
owners. We see better long-term earnings growth at this time from the malls than
the traditional shopping centers.
THE PRUDENTIAL INVESTMENT CORPORATION
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 6.34%
5 YEAR 12.35%
10 YEAR 11.71%
SINCE 1/24/1989 (INCEPTION) 9.37%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 15.84%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Equity Office Properties Trust 6.6%
2. Vornado Realty Trust 4.6%
3. Equity Residential Properties Trust 4.5%
4. Apartment Investment & Management Company 4.5%
5. Spieker Properties, Inc. 4.3%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Diversified 22.3%
2. Apartments 22.2%
3. Office 18.0%
4. Retail 12.9%
5. Industrial 8.8%
21
<PAGE>
THE GCG TRUST
HARD ASSETS SERIES
HOW WELL DID THE SERIES PERFORM AGAINST
THE BENCHMARKS DURING THE PERIOD?
The Hard Assets Series (the "Series") generated a return of (6.29)% for the six
months ended June 30, 2000. For the same period, the Standard & Poor's 500 Index
returned (0.43)% and the Russell 2000 Index returned 3.04%.
WHAT SECTORS HAD THE GREATEST INFLUENCE
ON THE PERFORMANCE OF THE SERIES?
At the beginning of the period, the base and precious metals sectors rallied due
to improved sentiment and rising prices. Within the base metals sector, aluminum
and nickel prices peaked in January which was reflected positively in the
Series' base metal companies. Examples included Alcoa Inc., Rio Tinto Ltd., and
Acerinox S.A. Following the increase in interest rates internationally and a
consensus concern of a hard landing, the metal stocks retraced their gains
during the latter half of the first quarter.
However, the platinum group metals (PGM) prices have maintained an upward trend
from January due to strong demand from automobile manufacturers in Europe and
the United States, and a report that Russian supply was delayed by bureaucratic
hold-ups. This had a positive impact on stock prices. The Series was well
positioned in these stocks.
The softs commodity sector experienced its height in commodity price
appreciation at the beginning of January. However, like the base metals sector,
pulp & paper share prices have fallen, despite the fact that pulp and newsprint
prices have continued to trend upward.
The energy sector, where the Series held its largest exposure, experienced a
sell-off in early January and February when the sector fell around 13 percent as
investors around the world sold resources stocks. However a squeeze in global
petroleum inventories and oil prices at $30 per barrel resulted in the energy
sector rising 9.6% during March, while companies reported and are forecast to
report record earnings. While OPEC announced it would increase production by
1.5m barrels per day during March, the West Texas Intermediate crude oil price
remained solidly above US$25 a barrel.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
During the last 6 months, investors' appetite for risk has declined amid
uncertainty about U.S. growth rates and interest rates. However the surge in oil
prices during March and into the second quarter has resulted in increasingly
attractive valuations in the energy sector as consensus upgrades forecast oil
and gas prices. This saw strong buying in the exploration, production, and oil
service sectors.
During the second quarter, the investment strategy shifted emphasis to
overweight the energy sector focusing on growth stocks that also had strong
exposure to gas production in North America. The Series increased the weighting
of the Platinum Group Metals on the back of continued strength in demand and a
consensus view that the U.S. economy would have a soft landing.
WHAT IS YOUR OUTLOOK FOR THE COMMODITIES MARKETS?
With 4.4 percent global GDP growth forecasted for this year, the economic
outlook for commodities remain favorable. Within base-metals LME inventories
continue to fall, global oil inventories remain tight, and the price of oil is
still trading at around $30 per barrel. However, OPEC will probably try to
increase production to achieve a lower oil price of around $25 per barrel. But
the U.S. is threatened by a potential energy problem. Demand for gas has risen
strongly, prices are well above US$4 Mcf and are expected to remain at these
levels due to low inventories that must be built for the winter. It is expected
the Series will continue to increase its exposure to energy, especially towards
North American companies that are biased toward gas production. Furthermore, the
Series has increased the weighting toward oil servicing companies. With oil
companies having strong cash flows, we expect that there will be a significant
increase in the level of exploration activity. Also, enormous cash flows will
allow companies to buy back stock and cancel debt. The macro environment has not
looked so attractive for over a decade.
BARING INTERNATIONAL INVESTMENT LIMITED
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR (4.66)%
5 YEAR 4.41%
10 YEAR 5.60%
SINCE 1/24/1989 (INCEPTION) 5.76%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (6.29)%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Exxon Mobil Corporation 9.3%
2. Shell Transport & Trading Company Plc 6.6%
3. Suncor Energy, Inc. 5.7%
4. BPAmoco Plc, ADR 5.7%
5. Imperial Oil, Ltd. 4.9%
TOP FIVE SECTORS AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Integrated Oil 37.3%
2. Exploration/Production Oil 33.0%
3. Ferrous/Non-ferrous Metals 12.3%
4. Precious Metals 7.3%
5. Other Basic Materials 5.2%
22
<PAGE>
THE GCG TRUST
DEVELOPING WORLD SERIES
HOW DID THE SERIES PERFORM AGAINST ITS BENCHMARK
FOR THE PERIOD?
The Developing World Series (the "Series") returned (8.22)% for the six months
ended June 30, 2000. The Morgan Stanley Capital International Emerging Markets
Free (the "MSCI EMF") Index returned (7.99)% the same period.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
The positive performance has come from asset allocation. The major positive
contributor to performance has been the continued focus of the portfolio in
North Asia rather than the Asian markets in the Asia Pacific region. We have
been most positive about Taiwan and China. In Taiwan, the economic background
remains favorable. This was helped by the strong growth in exports continuing
with the May data showing year-on-year growth of 20%. Elsewhere, we have added
value by maintaining our negative view on Greece. At the stock level, the
strategy to be overweight the telecom and technology sectors hurt performance
during the March-to-May period, but some recovery took place in June. We remain
confident that we have identified companies in these sectors with solid
fundamentals and cash flow that had been overbought during the first quarter
euphoria, but will attract investors because of the sustainability of their
business models in contrast to other companies in these sectors.
During the last four months, investors' appetite for risk has declined amid
uncertainty about U.S. growth rates and interest rates. Emerging markets have
suffered due to their higher risk profile and the larger presence of technology,
media and telecom (TMT) stocks in the index (approximately 38%). However, the
correction during April and May has resulted in very attractive valuations and
has led to the return of selective buying in June across a number of sectors.
During the second quarter, the investment strategy has continued to focus on the
secular growth stories (Taiwan, Korea, India and Mexico). Given the recent
period of uncertainty, we have reduced the overweight exposure to the more
cyclical markets (Brazil and Russia).
A number of changes to the MSCI EMF benchmark at the end of May have driven some
of the policy moves during the quarter. For example, we have added to Taiwan to
maintain the overweight position as the index weight increased.
WHAT OTHER FACTORS ATTRIBUTED TO THE SERIES' PERFORMANCE VS. THE BENCHMARK?
Aside from the performance-related comments mentioned above, stock selection has
been very strong in the North Asian markets of Korea and Taiwan. This is
primarily because of the Series' holdings in a number of the electronics
companies, most notable semiconductor manufacturers. There is a strong and
ongoing secular trend in favor of outsourcing, and we are seeing Japanese
companies looking to outsource to Korea and Taiwan to capitalize on the lower
cost structure. This has unfortunately been offset by some poor performance
among the Indian, South African and Turkish holdings of the Series.
WHAT IS YOUR OUTLOOK FOR THE MARKETS/SERIES?
We maintain the view that the main risk to our asset class is external -- the
outlook for global growth and liquidity. Further interest rate increases leading
to slower global growth would be negative for the short-term performance of our
more cyclical markets.
Over the medium term we still remain positive on the relative performance of
emerging markets as the current valuation discount to developed markets of more
than 40% is very attractive in a firmer commodity pricing environment with
global growth.
BARING INTERNATIONAL INVESTMENT LIMITED
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 14.62%
SINCE 2/18/1998 (INCEPTION) 3.88%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (8.22)%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Samsung Electronics, GDR 5.0%
2. Taiwan Semiconductor Manufacturing
Company, Ltd., ADR 4.8%
3. Telefonos de Mexico S.A., Class L, ADR 4.6%
4. China Mobile (Hong Kong), Ltd. 4.1%
5. Embratel Paticipacoes S.A., ADR 2.6%
TOP FIVE COUNTRIES AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Korea 15.1%
2. Taiwan 13.2%
3. Brazil 12.5%
4. Mexico 11.9%
5. India 6.5%
23
<PAGE>
THE GCG TRUST
EMERGING MARKETS SERIES
HOW DID THE SERIES PERFORM AGAINST ITS BENCHMARK
FOR THE PERIOD?
The Emerging Markets Series (the "Series") returned (8.49)% for the six months
ended June 30, 2000. The Morgan Stanley Capital International Emerging Markets
Free (the "MSCI EMF") Index returned (7.99)% the same period.
WHAT WERE THE MAJOR MARKET TRENDS AFFECTING THE SERIES' PERFORMANCE?
The positive performance has come from asset allocation. The major positive
contributor to performance has been the continued focus of the portfolio in
North Asia rather than the Asian markets in the Asia Pacific region. We have
been most positive about Taiwan and China. In Taiwan, the economic background
remains favorable. This was helped by the strong growth in exports continuing
with the May data showing year-on-year growth of 20%. Elsewhere, we have added
value by maintaining our negative view on Greece. At the stock level, the
strategy to be overweight the telecom and technology sectors hurt performance
during the March-to-May period, but some recovery took place in June. We remain
confident that we have identified companies in these sectors with solid
fundamentals and cash flow that had been overbought during the first quarter
euphoria, but will attract investors because of the sustainability of their
business models in contrast to other companies in these sectors.
During the last four months, investors' appetite for risk has declined amid
uncertainty about U.S. growth rates and interest rates. Emerging markets have
suffered due to their higher risk profile and the larger presence of technology,
media and telecom (TMT) stocks in the index (approximately 38%). However, the
correction during April and May has resulted in very attractive valuations and
has led to the return of selective buying in June across a number of sectors.
During the second quarter, the investment strategy has continued to focus on the
secular growth stories (Taiwan, Korea, India and Mexico). Given the recent
period of uncertainty, we have reduced the overweight exposure to the more
cyclical markets (Brazil and Russia).
A number of changes to the MSCI EMF benchmark at the end of May have driven some
of the policy moves during the quarter. For example, we have added to Taiwan to
maintain the overweight position as the index weight increased.
WHAT OTHER FACTORS ATTRIBUTED TO THE SERIES' PERFORMANCE VS. THE BENCHMARK?
Aside from the performance-related comments mentioned above, stock selection has
been very strong in the North Asian markets of Korea and Taiwan. This is
primarily because of the Series' holdings in a number of the electronics
companies, most notable semiconductor manufacturers. There is a strong and
ongoing secular trend in favor of outsourcing, and we are seeing Japanese
companies looking to outsource to Korea and Taiwan to capitalize on the lower
cost structure. This has unfortunately been offset by some poor performance
among the Indian, South African and Turkish holdings of the Series.
WHAT IS YOUR OUTLOOK FOR THE MARKETS/SERIES?
We maintain the view that the main risk to our asset class is external -- the
outlook for global growth and liquidity. Further interest rate increases leading
to slower global growth would be negative for the short-term performance of our
more cyclical markets.
Over the medium term we still remain positive on the relative performance of
emerging markets as the current valuation discount to developed markets of more
than 40% is very attractive in a firmer commodity pricing environment with
global growth.
BARING INTERNATIONAL INVESTMENT LIMITED
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 2000
1 YEAR 20.50%
5 YEAR 3.89%
SINCE 10/4/1993 (INCEPTION) 2.58%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE (8.49)%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE EQUITY HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. Samsung Electronics Company Ltd. 6.1%
2. Taiwan Semiconductor Manufacturing
Company, Ltd. ADR 4.5%
3. Telefonos de Mexico S.A., Class L, ADR 4.4%
4. China Mobile (Hong Kong), Ltd. 4.2%
5. Embratel Participacoes S.A., ADR 2.7%
TOP FIVE COUNTRIES AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Korea 14.2%
2. Brazil 13.0%
3. Taiwan 12.9%
4. Mexico 12.5%
5. Hong Kong 5.9%
24
<PAGE>
THE GCG TRUST
MARKET MANAGER SERIES
HOW DID THE SERIES PERFORM?
The Market Manager Series (the "Series") had a total return of 2.94% for the six
months ended June 30, 2000. This compares to (0.43)% for the Standard & Poor's
500 Index and 8.97% for the Standard & Poor's Mid-Cap 400 Index.
WHAT IS THE SERIES' 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 JUNE 30, 2000
1 YEAR 10.14%
5 YEAR 21.91%
SINCE 11/14/1994 (INCEPTION) 21.39%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 2.94%
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR THE SERIES INCLUDE REINVESTMENT OF DIVIDENDS
AND DISTRIBUTIONS. THEY DO NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND
VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED
IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
TOP FIVE NON CASH HOLDINGS AS OF JUNE 30, 2000
(percentage of total net assets)
1. S&P 500 European Call Options 36.0%
2. S&P Midcap Companies Index 400
European Call Options 31.0%
3. U.S. Treasury Strip, 3.032% due 02/15/01 28.5%
4. Cabco (Texaco Capital),
7.102% due 10/01/01 2.6%
5. Philip Morris Companies, Inc.,
6.000% due 07/15/01 1.6%
ASSET ALLOCATION AS OF JUNE 30, 2000
(percentage of total portfolio holdings)
1. Call Options Purchased 67.2%
2. U.S. Treasury Strips 28.6%
3. Financial Services 2.6%
4. Industrial 1.6%
25
<PAGE>
--------------------------------------------------------------------------------
DESCRIPTION OF COMPARATIVE INDICES
--------------------------------------------------------------------------------
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX -- an index comprised of
U.S. government securities and investment grade corporate debt securities.
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 3000 INDEX -- an index comprised of 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.
RUSSELL MID-CAP GROWTH INDEX -- an index comprised of companies in the
Russell Mid-Cap Index with higher price-to-book ratios and higher forecasted
growth values.
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).
26
<PAGE>
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27
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LIMITED GLOBAL
LIQUID MATURITY FIXED FULLY
ASSET BOND INCOME MANAGED
SERIES SERIES SERIES SERIES
------------ ------------ ----------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost ............................................. $532,042,100 $205,130,709 $33,893,632 $246,076,067
------------ ------------ ----------- ------------
At value (a) ................................................... $532,042,100 $202,389,082 $31,940,351 $251,418,591
Cash, net of foreign currency, at value ........................... 971 722 1,053,046 28,084,381
Receivables:
Investment securities sold ..................................... -- -- -- 3,261,119
Receivable for forward foreign currency contracts (Note 1) ..... -- -- 77,879 --
Dividends and/or interest ...................................... 2,187,114 2,333,980 592,732 1,729,095
------------ ------------ ----------- ------------
Total Assets ................................................. 534,230,185 204,723,784 33,664,008 284,493,186
------------ ------------ ----------- ------------
LIABILITIES:
Cash overdraft, net of foreign currency, at value ................. -- -- -- --
Payables:
Investment securities purchased ................................ -- 2,994,780 -- 598,074
Accrued expenses and other payables ............................ 2,614,242 263 37 327
------------ ------------ ----------- ------------
Total Liabilities ............................................ 2,614,242 2,995,043 37 598,401
------------ ------------ ----------- ------------
NET ASSETS ........................................................ $531,615,943 $201,728,741 $33,663,971 $283,894,785
============ ============ =========== ============
NET ASSETS CONSIST OF:
Paid-in Capital ................................................... $531,634,261 $199,049,785 $35,889,364 $258,127,804
Undistributed net investment income ............................... -- 9,543,835 768,848 8,023,471
Accumulated net realized gain/(loss) on securities,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ........... (18,318) (4,123,252) (1,088,944) 12,388,331
Net unrealized appreciation/(depreciation) on securities,
written options, long options, forward foreign currency
exchange contracts and other assets and liabilities
denominated in foreign currencies .............................. -- (2,741,627) (1,905,297) 5,355,179
------------ ------------ ----------- ------------
Total Net Assets ............................................. $531,615,943 $201,728,741 $33,663,971 $283,894,785
============ ============ =========== ============
Shares of beneficial interest outstanding ......................... 531,640,142 18,877,619 3,404,057 18,115,204
============ ============ =========== ============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding ............. $ 1.00 $ 10.69 $ 9.89 $ 15.67
============ ============ =========== ============
TOTAL EQUITY VALUE
RETURN INCOME INVESTORS EQUITY
SERIES SERIES SERIES SERIES
------------ ------------ ----------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost ............................................. $658,079,951 $273,808,469 $10,169,807 $154,440,837
------------ ------------ ----------- ------------
At value (a) ................................................... $669,154,608 $245,348,862 $10,134,887 $159,039,536
Cash, net of foreign currency, at value ........................... -- 11,055,878 -- 4,616
Receivables:
Investment securities sold ..................................... 10,218,501 575,120 983,058 4,350,425
Receivable for forward foreign currency contracts (Note 1) ..... -- -- -- --
Dividends and/or interest ...................................... 4,440,895 574,007 18,921 104,647
------------ ------------ ----------- ------------
Total Assets ................................................. 683,814,004 257,553,867 11,136,866 163,499,224
------------ ------------ ----------- ------------
LIABILITIES:
Cash overdraft, net of foreign currency, at value ................. 283,753 -- 730,675 --
Payables:
Investment securities purchased ................................ 11,363,708 172,276 179,847 4,069,092
Accrued expenses and other payables ............................ 800 285 32 115
------------ ------------ ----------- ------------
Total Liabilities ............................................ 11,648,261 172,561 910,554 4,069,207
------------ ------------ ----------- ------------
NET ASSETS ........................................................ $672,165,743 $257,381,306 $10,226,312 $159,430,017
============ ============ =========== ============
NET ASSETS CONSIST OF:
Paid-in Capital ................................................... $634,965,130 $268,305,359 $10,116,077 $162,717,324
Undistributed net investment income ............................... 17,446,274 4,806,535 31,764 1,328,878
Accumulated net realized gain/(loss) on securities,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ........... 8,679,090 12,733,562 113,391 (9,214,884)
Net unrealized appreciation/(depreciation) on securities,
written options, long options, forward foreign currency
exchange contracts and other assets and liabilities
denominated in foreign currencies .............................. 11,075,249 (28,464,150) (34,920) 4,598,699
------------ ------------ ----------- ------------
Total Net Assets ............................................. $672,165,743 $257,381,306 $10,226,312 $159,430,017
============ ============ =========== ============
Shares of beneficial interest outstanding ......................... 41,418,853 23,546,221 941,210 10,631,552
============ ============ =========== ============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding ............. $ 16.23 $ 10.93 $ 10.87 $ 15.00
============ ============ =========== ============
RISING MANAGED LARGE CAP ALL
DIVIDENDS GLOBAL VALUE CAP
SERIES SERIES SERIES SERIES
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost ............................................. $832,694,659 $196,095,518 $40,876,197 $20,446,742
------------ ------------ ----------- -----------
At value (a) ................................................... $974,917,378 $208,971,037 $41,457,702 $20,783,507
Cash, net of foreign currency, at value ........................... 3,848 8,267,608 2,891,971 964
Receivables:
Investment securities sold ..................................... -- 1,403,121 7,791 34,185
Receivable for forward foreign currency contracts (Note 1) ..... -- 20,257 -- --
Dividends and/or interest ...................................... 723,216 331,483 18,574 14,646
------------ ------------ ----------- -----------
Total Assets ................................................. 975,644,442 218,993,506 44,376,038 20,833,302
------------ ------------ ----------- -----------
LIABILITIES:
Cash overdraft, net of foreign currency, at value ................. -- -- -- --
Payables:
Investment securities purchased ................................ -- 3,618,437 34,407 1,108,307
Accrued expenses and other payables ............................ 1,042 219 25 40
------------ ------------ ----------- -----------
Total Liabilities ............................................ 1,042 3,618,656 34,432 1,108,347
------------ ------------ ----------- -----------
NET ASSETS ........................................................ $975,643,400 $215,374,850 $44,341,606 $19,724,955
============ ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital ................................................... $776,027,543 $133,436,276 $43,570,814 $18,934,262
Undistributed net investment income ............................... 2,754,223 55,656 49,382 37,712
Accumulated net realized gain/(loss) on securities,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ........... 54,638,915 69,084,656 139,905 416,216
Net unrealized appreciation/(depreciation) on securities,
written options, long options, forward foreign currency
exchange contracts and other assets and liabilities
denominated in foreign currencies .............................. 142,222,719 12,798,262 581,505 336,765
------------ ------------ ----------- -----------
Total Net Assets ............................................. $975,643,400 $215,374,850 $44,341,606 $19,724,955
============ ============ =========== ===========
Shares of beneficial interest outstanding ......................... 38,528,711 10,873,897 4,148,310 1,708,271
============ ============ =========== ===========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding ............. $ 25.32 $ 19.81 $ 10.69 $ 11.55
============ ============ =========== ===========
</TABLE>
------------------
(a) The All Cap Series includes a repurchase agreement amounting to $2,003,000.
See Notes to Financial Statements.
28-29
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
CAPITAL CAPITAL STRATEGIC
RESEARCH APPRECIATION GROWTH EQUITY
SERIES SERIES SERIES SERIES
-------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost .......................................... $ 986,052,460 $448,438,531 $549,375,155 $322,185,031
============== ============ ============ ============
At value .................................................... $1,165,976,283 $511,996,734 $584,888,215 $379,723,084
Cash, net of foreign currency, at value ........................ -- 37,978 6,911,118 28,235
Receivables:
Investment securities sold .................................. 9,706,699 4,004,585 5,226,379 5,195,964
Receivable for forward foreign currency contracts (Note 1) .. -- -- -- --
Dividends and/or interest ................................... 427,026 57,588 455,242 111,568
-------------- ------------ ------------ ------------
Total Assets .............................................. 1,176,110,008 516,096,885 597,480,954 385,058,851
-------------- ------------ ------------ ------------
LIABILITIES:
Cash overdraft, net of foreign currency, at value .............. 363,387 -- -- --
Payables:
Investment securities purchased ............................. 5,919,509 6,727,031 5,842,804 1,093,933
Accrued expenses and other payables ......................... 1,292 557 781 273
-------------- ------------ ------------ ------------
Total Liabilities ......................................... 6,284,188 6,727,588 5,843,585 1,094,206
-------------- ------------ ------------ ------------
NET ASSETS ..................................................... $1,169,825,820 $509,369,297 $591,637,369 $383,964,645
============== ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in Capital ............................................. $ 857,659,799 $424,848,971 $539,000,152 $301,351,852
Undistributed net investment income/(loss) .................. (347,125) (233,804) (1,434,482) (422,060)
Accumulated net realized gain/(loss) on securities,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ...... 132,591,451 21,195,927 18,558,638 25,496,800
Net unrealized appreciation/(depreciation) on securities,
written options, long options, forward foreign currency
exchange contracts and other assets and liabilities
denominated in foreign currencies ......................... 179,921,695 63,558,203 35,513,061 57,538,053
-------------- ------------ ------------ ------------
Total Net Assets .......................................... $1,169,825,820 $509,369,297 $591,637,369 $383,964,645
============== ============ ============ ============
Shares of beneficial interest outstanding. ..................... 44,421,699 25,626,748 34,776,929 17,328,055
============== ============ ============ ============
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding .......... $ 26.33 $ 19.88 $ 17.01 $ 22.16
============== ============ ============ ============
MID-CAP SMALL REAL
GROWTH CAP GROWTH ESTATE
SERIES SERIES SERIES SERIES
-------------- ------------ -------------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost .......................................... $1,291,439,777 $517,854,153 $1,623,546,857 $53,799,538
============== ============ ============== ===========
At value .................................................... $1,477,412,061 $500,343,952 $1,902,249,680 $57,173,236
Cash, net of foreign currency, at value ........................ -- 46,857,697 150,940 5,648,621
Receivables:
Investment securities sold .................................. 753,622 444,657 6,643,996 1,558,686
Receivable for forward foreign currency contracts (Note 1) .. -- -- 704,747 --
Dividends and/or interest ................................... 92,448 269,490 316,005 414,397
-------------- ------------ -------------- -----------
Total Assets .............................................. 1,478,258,131 547,915,796 1,910,065,368 64,794,940
-------------- ------------ -------------- -----------
LIABILITIES:
Cash overdraft, net of foreign currency, at value .............. 996,490 -- -- --
Payables:
Investment securities purchased ............................. 5,071,827 2,631,902 573,187 --
Accrued expenses and other payables ......................... 953 582 2,161 32
-------------- ------------ -------------- -----------
Total Liabilities ......................................... 6,069,270 2,632,484 575,348 32
-------------- ------------ -------------- -----------
NET ASSETS ..................................................... $1,472,188,861 $545,283,312 $1,909,490,020 $64,794,908
============== ============ ============== ===========
NET ASSETS CONSIST OF:
Paid-in Capital ............................................. $ 940,762,455 $393,661,028 $1,505,115,160 $63,008,008
Undistributed net investment income/(loss) .................. (3,025,857) 464,719 (1,509,838) 3,820,582
Accumulated net realized gain/(loss) on securities,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ...... 348,479,979 168,667,766 126,477,197 (5,407,380)
Net unrealized appreciation/(depreciation) on securities,
written options, long options, forward foreign currency
exchange contracts and other assets and liabilities
denominated in foreign currencies ......................... 185,972,284 (17,510,201) 279,407,501 3,373,698
-------------- ------------ -------------- -----------
Total Net Assets .......................................... $1,472,188,861 $545,283,312 $1,909,490,020 $64,794,908
============== ============ ============== ===========
Shares of beneficial interest outstanding. ..................... 40,398,375 21,764,263 71,812,751 4,616,636
============== ============ ============== ===========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding .......... $ 36.44 $ 25.05 $ 26.59 $ 14.04
============== ============ ============== ===========
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 .......................................... $44,448,713 $77,487,144 $35,488,231 $2,966,456
=========== =========== =========== ==========
At value .................................................... $43,653,933 $77,274,505 $35,869,396 $6,914,420
Cash, net of foreign currency, at value ........................ -- 831,007 1,441,599 28,668
Receivables:
Investment securities sold .................................. 136,682 486,172 791,443 --
Receivable for forward foreign currency contracts (Note 1) .. -- -- -- --
Dividends and/or interest ................................... 15,494 153,134 84,117 3,157
----------- ----------- ----------- -----------
Total Assets .............................................. 43,806,109 78,744,818 38,186,555 6,946,245
----------- ----------- ----------- -----------
LIABILITIES:
Cash overdraft, net of foreign currency, at value .............. 526,898 -- -- --
Payables:
Investment securities purchased ............................. -- -- 16,146 --
Accrued expenses and other payables ......................... 33 118 76 17,960
----------- ----------- ----------- -----------
Total Liabilities ......................................... 526,931 118 16,222 17,960
----------- ----------- ----------- -----------
NET ASSETS ..................................................... $43,279,178 $78,744,700 $38,170,333 $6,928,285
=========== =========== =========== ==========
NET ASSETS CONSIST OF:
Paid-in Capital ............................................. $52,075,554 $73,310,609 $43,810,284 $2,595,220
Undistributed net investment income/(loss) .................. 331,716 (416,934) (288,787) 50,150
Accumulated net realized gain/(loss) on securities,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ...... (8,334,431) 6,063,535 (5,732,530) 334,951
Net unrealized appreciation/(depreciation) on securities,
written options, long options, forward foreign currency
exchange contracts and other assets and liabilities
denominated in foreign currencies ......................... (793,661) (212,510) 381,366 3,947,964
----------- ----------- ----------- -----------
Total Net Assets .......................................... $43,279,178 $78,744,700 $38,170,333 $6,928,285
=========== =========== =========== ==========
Shares of beneficial interest outstanding. ..................... 3,927,164 7,422,406 3,404,266 346,932
=========== =========== =========== ==========
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest outstanding .......... $ 11.02 $ 10.61 $ 11.21 $ 19.97
=========== =========== =========== ==========
</TABLE>
See Notes to Financial Statements.
30-31
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LIMITED GLOBAL
LIQUID MATURITY FIXED FULLY
ASSET BOND INCOME MANAGED
SERIES SERIES SERIES SERIES
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................................................... -- -- -- $ 2,353,486
Interest ........................................................... $16,708,394 $ 6,508,703 $ 787,825 3,566,567
Foreign taxes withheld on dividend and interest income ............. -- -- (13,805) (10,453)
----------- ----------- ----------- -----------
Total Investment Income ....................................... 16,708,394 6,508,703 774,020 5,909,600
----------- ----------- ----------- -----------
EXPENSES:
Unified fees (Note 2) .............................................. 1,483,135 533,020 247,101 1,322,956
Trustees' fees and expenses (Note 2) ............................... 13,082 2,690 418 3,810
----------- ----------- ----------- -----------
Total Expenses ................................................ 1,496,217 535,710 247,519 1,326,766
----------- ----------- ----------- -----------
NET INVESTMENT INCOME/(LOSS) ....................................... 15,212,177 5,972,993 526,501 4,582,834
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ...................................................... (13,770) (1,808,115) (957,295) 6,348,566
Written options ................................................. -- -- -- 50,398
Long options .................................................... -- -- -- (296,445)
Forward foreign currency exchange contracts ..................... -- -- 95,546 --
Foreign currency transactions ................................... -- -- (117,896) (8,626)
Net change in unrealized appreciation/depreciation of:
Securities ...................................................... -- 743,003 59,100 523,652
Written options ................................................. -- -- -- 7,727
Forward foreign currency exchange contracts ..................... -- -- (75,282) --
Other assets and liabilities denominated in foreign currencies .. -- -- (13,083) 4,972
----------- ----------- ----------- -----------
Net realized and unrealized gain/(loss) on investments .......... (13,770) (1,065,112) (1,008,910) 6,630,244
----------- ----------- ----------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ....................................... $15,198,407 $ 4,907,881 $ (482,409) $11,213,078
=========== =========== =========== ===========
TOTAL EQUITY VALUE
RETURN INCOME INVESTORS EQUITY
SERIES SERIES SERIES SERIES
----------- ----------- -------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................................................... $ 4,036,188 $ 3,701,048 $ 38,795 $ 1,254,006
Interest ........................................................... 9,887,182 310,085 16,439 210,067
Foreign taxes withheld on dividend and interest income ............. (41,737) (7,207) (214) --
----------- ----------- -------- -----------
Total Investment Income ....................................... 13,881,633 4,003,926 55,020 1,464,073
----------- ----------- -------- -----------
EXPENSES:
Unified fees (Note 2) .............................................. 2,895,770 1,244,476 23,158 715,845
Trustees' fees and expenses (Note 2) ............................... 8,937 3,555 98 1,954
----------- ----------- -------- -----------
Total Expenses ................................................ 2,904,707 1,248,031 23,256 717,799
----------- ----------- -------- -----------
NET INVESTMENT INCOME/(LOSS) ....................................... 10,976,926 2,755,895 31,764 746,274
----------- ----------- -------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ...................................................... 8,052,091 5,467,202 111,530 (1,951,036)
Written options ................................................. -- -- -- --
Long options .................................................... -- -- 1,884 --
Forward foreign currency exchange contracts ..................... -- -- -- --
Foreign currency transactions ................................... (2,682) 189 (23) --
Net change in unrealized appreciation/depreciation of:
Securities ...................................................... (1,945,876) (15,953,082) (34,919) (5,126,948)
Written options ................................................. -- -- -- --
Forward foreign currency exchange contracts ..................... -- -- -- --
Other assets and liabilities denominated in foreign currencies .. 594 (486) (1) --
----------- ----------- -------- -----------
Net realized and unrealized gain/(loss) on investments .......... 6,104,127 (10,486,177) 78,471 (7,077,984)
----------- ----------- -------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ....................................... $17,081,053 $(7,730,282) $110,235 $(6,331,710)
=========== =========== ======== ===========
RISING MANAGED LARGE CAP ALL
DIVIDENDS GLOBAL VALUE CAP
SERIES SERIES SERIES SERIES
------------ ----------- -------- --------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................................................... $ 5,057,395 $ 1,077,204 $104,383 $ 35,336
Interest ........................................................... 753,781 179,943 34,486 33,106
Foreign taxes withheld on dividend and interest income ............. -- (89,754) -- --
------------ ----------- -------- --------
Total Investment Income ....................................... 5,811,176 1,167,393 138,869 68,442
------------ ----------- -------- --------
EXPENSES:
Unified fees (Note 2) .............................................. 4,388,805 1,228,699 89,249 30,634
Trustees' fees and expenses (Note 2) ............................... 12,537 2,629 238 96
------------ ----------- -------- --------
Total Expenses ................................................ 4,401,342 1,231,328 89,487 30,730
------------ ----------- -------- --------
NET INVESTMENT INCOME/(LOSS) ....................................... 1,409,834 (63,935) 49,382 37,712
------------ ----------- -------- --------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ...................................................... 46,825,997 49,602,216 139,928 408,647
Written options ................................................. -- -- -- 4,313
Long options .................................................... -- -- -- 3,274
Forward foreign currency exchange contracts ..................... -- -- -- --
Foreign currency transactions ................................... -- (122,915) (23) (18)
Net change in unrealized appreciation/depreciation of:
Securities ...................................................... (30,130,735) (48,560,636) 581,505 336,765
Written options ................................................. -- -- -- --
Forward foreign currency exchange contracts ..................... -- 20,257 -- --
Other assets and liabilities denominated in foreign currencies .. -- (73,002) -- --
------------ ----------- -------- --------
Net realized and unrealized gain/(loss) on investments .......... 16,695,262 865,920 721,410 752,981
------------ ----------- -------- --------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ....................................... $ 18,105,096 $ 801,985 $770,792 $790,693
============ =========== ======== ========
</TABLE>
See Notes to Financial Statements.
32-33
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
CAPITAL CAPITAL STRATEGIC
RESEARCH APPRECIATION GROWTH EQUITY
SERIES SERIES SERIES SERIES
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................................................... $ 3,533,048 $ 766,275 $ 1,598,526 $ 230,257
Interest ........................................................... 1,075,031 1,200,498 (151,540) 820,753
Foreign taxes withheld on dividend and interest income ............. (34,343) -- (4,766) --
----------- ----------- ------------ -----------
Total Investment Income ....................................... 4,573,736 1,966,773 1,442,220 1,051,010
----------- ----------- ------------ -----------
EXPENSES:
Unified fees (Note 2) .............................................. 4,770,874 2,194,298 2,868,754 1,409,840
Trustees' fees and expenses (Note 2) ............................... 14,600 6,279 7,948 3,863
----------- ----------- ------------ -----------
Total Expenses ................................................ 4,785,474 2,200,577 2,876,702 1,413,703
----------- ----------- ------------ -----------
NET INVESTMENT INCOME/(LOSS) ....................................... (211,738) (233,804) (1,434,482) (362,693)
----------- ----------- ------------ -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) on:
Securities ...................................................... 104,144,203 3,899,515 10,642,548 25,217,288
Written options ................................................. -- 33,285 -- 64,329
Forward foreign currency exchange contracts ..................... -- -- -- --
Foreign currency transactions ................................... (517) -- 1,268 --
Net change in unrealized appreciation/depreciation of:
Securities ...................................................... (38,262,707) (8,606,913) (58,929,562) (9,260,253)
Forward foreign currency exchange contracts. .................... -- -- -- --
Other assets and liabilities denominated in foreign currencies .. 42,352 -- (266) --
----------- ----------- ------------ -----------
Net realized and unrealized gain/(loss) on investments .......... 65,923,331 (4,674,113) (48,286,012) 16,021,364
----------- ----------- ------------ -----------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ....................................... $65,711,593 $(4,907,917) $(49,720,494) $15,658,671
=========== =========== ============ ===========
MID-CAP SMALL REAL
GROWTH CAP GROWTH ESTATE
SERIES SERIES SERIES SERIES
------------ ------------- ------------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................................................... $ 697,856 $ 1,193,968 $ 2,033,271 $ 1,873,999
Interest ........................................................... 1,255,993 1,450,603 6,727,598 82,666
Foreign taxes withheld on dividend and interest income ............. -- -- (28,093) --
------------ ------------- ------------- -----------
Total Investment Income ....................................... 1,953,849 2,644,571 8,732,776 1,956,665
------------ ------------- ------------- -----------
EXPENSES:
Unified fees (Note 2) .............................................. 4,965,331 2,173,635 8,727,686 284,354
Trustees' fees and expenses (Note 2) ............................... 14,375 6,217 23,763 774
------------ ------------- ------------- -----------
Total Expenses ................................................ 4,979,706 2,179,852 8,751,449 285,128
------------ ------------- ------------- -----------
NET INVESTMENT INCOME/(LOSS) ....................................... (3,025,857) 464,719 (18,673) 1,671,537
------------ ------------- ------------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):-
Net realized gain/(loss) on:
Securities ...................................................... 240,003,025 139,415,883 69,508,546 (2,623,922)
Written options ................................................. -- -- -- --
Forward foreign currency exchange contracts ..................... -- -- 10,804,328 --
Foreign currency transactions ................................... -- -- (1,118) --
Net change in unrealized appreciation/depreciation of:
Securities ...................................................... 26,355,740 (114,096,972) (157,839,331) 9,401,957
Forward foreign currency exchange contracts. .................... -- -- (2,168,775) --
Other assets and liabilities denominated in foreign currencies .. -- -- (79) --
------------ ------------- ------------- -----------
Net realized and unrealized gain/(loss) on investments .......... 266,358,765 25,318,911 (79,696,429) 6,778,035
------------ ------------- ------------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ....................................... $263,332,908 $ 25,783,630 $ (79,715,102) $ 8,449,572
============ ============= ============= ===========
HARD DEVELOPING EMERGING MARKET
ASSETS WORLD MARKETS MANAGER
SERIES SERIES SERIES SERIES
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................................................... $ 438,147 $ 464,693 $ 247,951 --
Interest ........................................................... 27,404 32,529 19,429 $ 86,238
Foreign taxes withheld on dividend and interest income ............. (18,896) (13,162) (13,339) --
----------- ------------ ------------ ---------
Total Investment Income ....................................... 446,655 484,060 254,041 86,238
----------- ------------ ------------ ---------
EXPENSES:
Unified fees (Note 2) .............................................. 195,780 642,012 351,394 35,988
Trustees' fees and expenses (Note 2) ............................... 545 1,027 586 100
----------- ------------ ------------ ---------
Total Expenses ................................................ 196,325 643,039 351,980 36,088
----------- ------------ ------------ ---------
NET INVESTMENT INCOME/(LOSS) ....................................... 250,330 (158,979) (97,939) 50,150
----------- ------------ ------------ ---------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):-
Net realized gain/(loss) on:
Securities ...................................................... (1,345,500) 6,529,363 8,897,674 334,951
Written options ................................................. -- -- -- --
Forward foreign currency exchange contracts ..................... -- -- -- --
Foreign currency transactions ................................... (144,649) (166,877) (9,006) --
Net change in unrealized appreciation/depreciation of:
Securities ...................................................... (969,543) (11,955,669) (11,951,000) (168,173)
Forward foreign currency exchange contracts. .................... -- -- -- --
Other assets and liabilities denominated in foreign currencies .. (170) 186 (499) --
----------- ------------ ------------ ---------
Net realized and unrealized gain/(loss) on investments .......... (2,459,862) (5,592,997) (3,062,831) 166,778
----------- ------------ ------------ ---------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ....................................... $(2,209,532) $ (5,751,976) $ (3,160,770) $ 216,928
=========== ============ ============ =========
</TABLE>
See Notes to Financial Statements.
34-35
<PAGE>
---------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
---------------------------------------------------
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LIMITED GLOBAL
LIQUID MATURITY FIXED FULLY
ASSET BOND INCOME MANAGED
SERIES SERIES SERIES SERIES
---------------- --------------- -------------- ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) .................................. $ 15,212,177 $ 5,972,993 $ 526,501 $ 4,582,834
Net realized gain/(loss) on securities, futures contracts,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ........ (13,770) (1,808,115) (979,645) 6,093,893
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 ............... -- 743,003 (29,265) 536,351
---------------- --------------- -------------- ------------
Net increase/(decrease) in net assets resulting from operation 15,198,407 4,907,881 (482,409) 11,213,078
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (15,212,177) -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 2,317,920,883 29,768,018 6,322,698 19,120,858
Shares issued as reinvestment of dividends .................... 12,600,757 -- -- --
Shares redeemed ............................................... (2,378,740,199) (40,055,835) (2,547,715) (34,348,197)
---------------- --------------- -------------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS .......................... (48,218,559) (10,287,817) 3,774,983 (15,227,339)
---------------- --------------- -------------- ------------
Net increase/(decrease) in net assets ........................... (48,232,329) (5,379,936) 3,292,574 (4,014,261)
NET ASSETS:
Beginning of period ............................................ 579,848,272 207,108,677 30,371,397 287,909,046
---------------- --------------- -------------- ------------
End of period .................................................. $ 531,615,943 $ 201,728,741 $ 33,663,971 $283,894,785
================ =============== ============== ============
Undistributed net investment income ............................ -- $ 9,543,835 $ 768,848 $ 8,023,471
================ =============== ============== ============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................. 2,317,920,883 2,820,742 644,847 1,250,306
Shares issued as reinvestment of dividends .................. 12,600,757 -- -- --
Shares redeemed ............................................. (2,378,740,199) (3,813,302) (258,921) (2,268,886)
---------------- --------------- -------------- ------------
Net increase/(decrease) ........................................ (48,218,559) (992,560) 385,926 (1,018,580)
================ =============== ============== ============
------------------
<FN>
* The Investors Series, Large Cap Value Series and All Cap Series commenced
operations on February 1, 2000.
</FN>
See Notes to Financial Statements.
TOTAL EQUITY VALUE
RETURN INCOME INVESTORS EQUITY
SERIES SERIES SERIES* SERIES
------------- ------------ ------------ -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) ................................ $ 10,976,926 $ 2,755,895 $ 31,764 $ 746,274
Net realized gain/(loss) on securities, futures contracts,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ...... 8,049,409 5,467,391 113,391 (1,951,036)
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 ............... (1,945,282) (15,953,568) (34,920) (5,126,948)
-------------- ------------ ------------ -------------
Net increase/(decrease) in net assets resulting from operation 17,081,053 (7,730,282) 110,235 (6,331,710)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 32,672,451 31,293,817 17,093,411 106,216,375
Shares issued as reinvestment of dividends .................... -- -- -- --
Shares redeemed ............................................... (53,341,373) (43,536,451) (6,977,334) (82,049,219)
------------ ------------ ------------ -------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... (20,668,922) (12,242,634) 10,116,077 24,167,156
------------ ------------ ------------- -------------
Net increase/(decrease) in net assets ............................ (3,587,869) (19,972,916) 10,226,312 17,835,446
NET ASSETS:
Beginning of period .............................................. 675,753,612 277,354,222 -- 141,594,571
------------ ------------ ------------- ------------
End of period .................................................... $672,165,743 $257,381,306 $ 10,226,312 $159,430,017
============ ============ ============= ============
Undistributed net investment income .............................. $ 17,446,274 $ 4,806,535 $ 31,764 $ 1,328,878
============ ============ ============= ============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... 2,037,658 2,832,311 1,587,821 6,851,675
Shares issued as reinvestment of dividends .................... -- -- -- --
Shares redeemed ............................................... (3,398,658) (3,964,460) (646,611) (5,341,326)
------------ ------------ ------------- -------------
Net increase/(decrease) .......................................... (1,361,000) (1,132,149) 941,210 1,510,349
============ ============ ============= =============
RISING MANAGED LARGE CAP ALL
DIVIDENDS GLOBAL VALUE CAP
SERIES SERIES SERIES* SERIES*
-------------- -------------- ------------- ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) .................................. $ 1,409,834 $ (63,935) $ 49,382 $ 37,712
Net realized gain/(loss) on securities, futures contracts,
written options, long options, forward foreign currency
exchange contracts and foreign currency transactions ........ 46,825,997 49,479,301 139,905 416,216
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 ............... (30,130,735) (48,613,381) 581,505 336,765
------------- ------------ ------------- -------------
Net increase/(decrease) in net assets resulting from operation 18,105,096 801,985 770,792 790,693
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 104,907,771 304,499,153 43,929,927 20,007,054
Shares issued as reinvestment of dividends .................... -- -- -- --
Shares redeemed ............................................... (47,122,163) (274,411,847) (359,113) (1,072,792)
------------- ------------ ------------- -------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... 57,785,608 30,087,306 43,570,814 18,934,262
------------- ------------ ------------- -------------
Net increase/(decrease) in net assets ............................ 75,890,704 30,889,291 44,341,606 19,724,955
NET ASSETS:
Beginning of period .............................................. 899,752,696 184,485,559 -- --
------------- ------------ ------------- -------------
End of period .................................................... $ 975,643,400 $215,374,850 $ 44,341,606 $ 19,724,955
============= ============ ============= =============
Undistributed net investment income .............................. $ 2,754,223 $ 55,656 $ 49,382 $ 37,712
============= ============ ============= =============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... 4,199,094 15,514,831 4,181,820 1,802,746
Shares issued as reinvestment of dividends .................... -- -- -- --
Shares redeemed ............................................... (1,893,382) (13,882,970) (33,510) (94,475)
------------- ------------ ------------- -------------
Net increase/(decrease) .......................................... 2,305,712 1,631,861 4,148,310 1,708,271
============= ============ ============= =============
</TABLE>
36-37
<PAGE>
-------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
-------------------------------------------------------------
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
CAPITAL CAPITAL STRATEGIC
RESEARCH APPRECIATION GROWTH EQUITY
SERIES SERIES SERIES SERIES
---------------- ------------- ------------- ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) ................................ $ (211,738) $ (233,804) $ (1,434,482) $ (362,693)
Net realized gain/(loss) on securities, futures
contracts, written options, long options, forward
foreign currency exchange contracts and foreign
currency transactions ..................................... 104,143,686 3,932,800 10,643,816 25,281,617
Net change in unrealized/depreciation of securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and other
assets and liabilities denominated in foreign currencies .. (38,220,355) (8,606,913) (58,929,828) (9,260,253)
--------------- ------------ ------------- -------------
Net increase/(decrease) in net assets resulting
from operations ........................................... 65,711,593 (4,907,917) (49,720,494) 15,658,671
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................. 122,587,430 130,611,344 105,779,228 227,978,399
Shares redeemed ............................................. (33,128,819) (28,232,499) (32,049,351) (65,471,837)
--------------- ------------ ------------- -------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ......................... 89,458,611 102,378,845 73,729,877 162,506,562
--------------- ------------ ------------- -------------
Net increase/(decrease) in net assets .......................... 155,170,204 97,470,928 24,009,383 178,165,233
NET ASSETS:
Beginning of period ......................................... 1,014,655,616 411,898,369 567,627,986 205,799,412
------------- ------------ ------------- -------------
End of period ............................................... $ 1,169,825,820 $509,369,297 $ 591,637,369 $ 383,964,645
=============== ============ ============= =============
Undistributed net investment income/(loss) .................. $ (347,125) $ (233,804) $ (1,434,482) $ (422,060)
=============== ============ ============= =============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................. 4,832,039 6,429,346 5,935,565 10,019,397
Shares redeemed ............................................. (1,303,236) (1,373,591) (1,808,502) (3,006,040)
--------------- ------------ ------------- -------------
Net increase/(decrease) ........................................ 3,528,803 5,055,755 4,127,063 7,013,357
=============== ============ ============= =============
------------------
<FN>
+ As of March 6, 1995, the Trust no longer accepts investments in the Market
Manager Series.
</FN>
See Notes to Financial Statements.
MID-CAP SMALL REAL
GROWTH CAP GROWTH ESTATE
SERIES SERIES SERIES SERIES
------------- ------------ ------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) ................................ $ (3,025,857) $ 464,719 $ (18,673) $ 1,671,537
Net realized gain/(loss) on securities, futures
contracts, written options, long options, forward
foreign currency exchange contracts and foreign
currency transactions ..................................... 240,003,025 139,415,883 80,311,756 (2,623,922)
Net change in unrealized/depreciation of securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and other
assets and liabilities denominated in foreign currencies .. 26,355,740 (114,096,972) (160,008,185) 9,401,957
Net increase/(decrease) in net assets resulting
from operations ........................................... 263,332,908 25,783,630 (79,715,102) 8,449,572
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................. 598,901,039 299,455,511 1,297,315,188 29,337,198
Shares redeemed ............................................. (171,852,583) (147,592,421) (724,982,286) (29,898,196)
-------------- ------------ -------------- -------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ......................... 427,048,456 151,863,090 572,332,902 (560,998)
-------------- ------------ -------------- -------------
Net increase/(decrease) in net assets .......................... 690,381,364 177,646,720 492,617,800 7,888,574
NET ASSETS:
Beginning of period ......................................... 781,807,497 367,636,592 1,416,872,220 56,906,334
-------------- ------------ -------------- -------------
End of period ............................................... $1,472,188,861 $545,283,312 $1,909,490,020 $ 64,794,908
============== ============ ============== =============
Undistributed net investment income/(loss) .................. $ (3,025,857) $ 464,719 $ (1,509,838) $ 3,820,582
============== ============ ============== =============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................. 19,340,807 12,193,519 45,963,604 2,204,172
Shares redeemed ............................................. (5,367,464) (6,110,477) (25,683,745) (2,281,547)
------------- ------------ -------------- -------------
Net increase/(decrease) ........................................ 13,973,343 6,083,042 20,279,859 (77,375)
============= ============ ============== =============
HARD DEVELOPING EMERGING MARKET
ASSETS WORLD MARKETS MANAGER
SERIES SERIES SERIES SERIES+
------------- ------------ -------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) ................................ $ 250,330 $ (158,979) $ (97,939) $ 50,150
Net realized gain/(loss) on securities, futures
contracts, written options, long options, forward
foreign currency exchange contracts and foreign
currency transactions ..................................... (1,490,149) 6,362,486 8,888,668 334,951
Net change in unrealized/depreciation of securities,
futures contracts, written options, long options,
forward foreign currency exchange contracts and other
assets and liabilities denominated in foreign currencies .. (969,713) (11,955,483) (11,951,499) (168,173)
------------- ------------ -------------- -------------
Net increase/(decrease) in net assets resulting
from operations ........................................... (2,209,532) (5,751,976) (3,160,770) 216,928
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................. 21,792,203 100,273,748 32,098,704 --
Shares redeemed ............................................. (16,594,234) (78,392,868) (35,716,809) (607,429)
------------- ------------ -------------- -------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ......................... 5,197,969 21,880,880 (3,618,105) (607,429)
------------- ------------ -------------- -------------
Net increase/(decrease) in net assets .......................... 2,988,437 16,128,904 (6,778,875) (390,501)
NET ASSETS:
Beginning of period ......................................... 40,290,741 62,615,796 44,949,208 7,318,786
------------- ------------ -------------- -------------
End of period ............................................... $ 43,279,178 $ 78,744,700 $ 38,170,333 $ 6,928,285
============= ============ ============== =============
Undistributed net investment income/(loss) .................. $ 331,716 $ (416,934) $ (288,787) $ 50,150
============= ============ ============== =============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................. 1,998,463 9,194,526 2,750,638 --
Shares redeemed ............................................. (1,498,834) (7,188,721) (3,016,294) (30,387)
------------- ------------ -------------- -------------
Net increase/(decrease) ........................................ 499,629 2,005,805 (265,656) (30,387)
============= ============ ============== =============
</TABLE>
38-39
<PAGE>
---------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
---------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
LIMITED GLOBAL
LIQUID MATURITY FIXED FULLY
ASSET BOND INCOME MANAGED
SERIES SERIES SERIES SERIES
------------- ------------ -------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) $ 17,697,884 $ 9,497,403 $ 827,581 $ 9,203,074
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) 15,233,093
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) (7,642,626)
-------------- ------------ -------------- -------------
Net increase/(decrease) in net assets resulting from operation 17,697,838 2,355,442 (2,251,704) 16,793,541
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (17,697,884) (7,185,414) (461,837) (6,994,358)
In excess of net investment income ............................ -- -- -- --
Net realized gains ............................................ -- -- -- (14,230,057)
In excess of capital gains .................................... -- -- (15,625) --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 1,824,790,607 100,115,792 33,378,663 53,095,025
Shares issued as reinvestment of dividends .................... 17,698,704 7,185,414 477,462 21,224,415
Shares redeemed ............................................... (1,474,370,813) (43,788,724) (22,687,569) (28,175,170)
-------------- ------------ -------------- -------------
NET INCREASE IN NET ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ......................................... 368,118,498 63,512,482 11,168,556 46,144,270
-------------- ------------ -------------- -------------
Net increase/(decrease) in net assets ............................ 368,118,452 58,682,510 8,439,390 41,713,396
NET ASSETS:
Beginning of year ................................................ 211,729,820 148,426,167 21,932,007 246,195,650
-------------- ------------ -------------- -------------
End of year ...................................................... $ 579,848,272 $ 207,108,677 $ 30,371,397 $ 287,909,046
============== ============= ============== =============
Undistributed net investment income/(loss) ....................... $ -- $ 3,570,842 $ 242,347 $ 3,440,637
============== ============= ============== =============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... 1,824,790,607 9,368,786 3,183,817 3,323,155
Shares issued as reinvestment of dividends .................... 17,698,704 689,579 47,367 1,433,114
Shares redeemed ............................................... (1,474,370,813) (4,089,014) (2,176,435) (1,787,526)
-------------- ------------ -------------- -------------
Net increase ..................................................... 368,118,498 5,969,351 1,054,749 2,968,743
============== ============= ============== =============
See Notes to Financial Statements.
TOTAL EQUITY VALUE RISING
RETURN INCOME EQUITY DIVIDENDS
SERIES SERIES SERIES SERIES
-------------- ------------- -------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) .................................. $ 17,847,984 $ 6,175,742 $ 1,492,621 $ 2,986,461
Net realized gain/(loss) on securities, futures contracts, written
options, long options, forward foreign currency exchange
contracts and foreign currency transactions ................. 10,684,128 24,352,410 (6,537,602) 20,240,160
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) (32,706,441) 4,175,343 82,509,118
-------------- ------------- -------------- -------------
Net increase/(decrease) in net assets resulting from operation 17,400,681 (2,178,289) (869,638) 105,735,739
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (12,560,820) (6,300,513) (1,268,740) (2,336,909)
In excess of net investment income ............................ -- -- -- --
Net realized gains ............................................ (8,965,375) (22,460,782) (2,515,295) (20,617,572)
In excess of capital gains .................................... -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 232,649,024 47,467,006 44,194,005 257,955,741
Shares issued as reinvestment of dividends .................... 21,526,195 28,761,295 3,784,035 22,954,481
Shares redeemed ............................................... (27,388,957) (46,008,985) (31,514,293) (38,781,949)
-------------- ------------- -------------- -------------
NET INCREASE IN NET ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ......................................... 226,786,262 30,219,316 16,463,747 242,128,273
-------------- ------------- -------------- -------------
Net increase/(decrease) in net assets ............................ 222,660,748 (720,268) 11,810,074 324,909,531
NET ASSETS:
Beginning of year ................................................ 453,092,864 278,074,490 129,784,497 574,843,165
-------------- ------------- -------------- -------------
End of year ...................................................... $ 675,753,612 $ 277,354,222 $ 141,594,571 $ 899,752,696
============== ============= ============== =============
Undistributed net investment income/(loss) ....................... $ 6,469,348 $ 2,050,640 $ 582,604 $ 1,344,389
============== ============= ============== =============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... 14,406,625 3,675,269 2,627,984 10,819,973
Shares issued as reinvestment of dividends .................... 1,387,891 2,621,643 248,133 933,868
Shares redeemed ............................................... (1,693,311) (3,574,491) (1,929,767) (1,646,223)
-------------- ------------- -------------- -------------
Net increase ..................................................... 14,101,205 2,722,421 946,350 10,107,618
============== ============= ============== =============
MANAGED CAPITAL CAPITAL
GLOBAL RESEARCH APPRECIATION GROWTH
SERIES SERIES SERIES SERIES
-------------- ------------- -------------- ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) .................................. $ (259,532) $ 159,183 $ (158,133) $ 3,443
Net realized gain/(loss) on securities, futures contracts, written
options, long options, forward foreign currency exchange
contracts and foreign currency transactions ................. 39,494,207 51,717,425 57,170,588 50,069,095
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 ........... 35,904,595 135,175,778 17,050,055 55,531,195
-------------- -------------- -------------- -------------
Net increase/(decrease) in net assets resulting from operation 75,139,270 187,052,386 74,062,510 105,603,733
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... -- (159,183) (452,483) (409,749)
In excess of net investment income ............................ -- (119,370) -- (316,820)
Net realized gains ............................................ (25,240,466) (15,913,724) (43,360,371) (29,572,671)
In excess of capital gains .................................... -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 156,363,096 285,194,254 110,706,964 209,954,920
Shares issued as reinvestment of dividends .................... 25,240,466 16,192,277 43,812,854 30,299,240
Shares redeemed ............................................... (181,094,595) (71,362,426) (36,184,597) (46,769,367)
-------------- -------------- -------------- -------------
NET INCREASE IN NET ASSETS FROM SHARES OF BENEFICIAL
INTEREST TRANSACTIONS ......................................... 508,967 230,024,105 118,335,221 193,484,793
-------------- -------------- -------------- -------------
Net increase/(decrease) in net assets ............................ 50,407,771 400,884,214 148,584,877 268,789,286
NET ASSETS:
Beginning of year ................................................ 134,077,788 613,771,402 263,313,492 298,838,700
-------------- -------------- -------------- -------------
End of year ...................................................... $ 184,485,559 $1,014,655,616 $ 411,898,369 $ 567,627,986
============== ============== ============== =============
Undistributed net investment income/(loss) ....................... $ 119,591 $ (135,387) -- --
============== ============== ============== =============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... 9,585,968 13,371,613 5,632,968 12,672,960
Shares issued as reinvestment of dividends .................... 1,344,008 678,922 2,273,630 1,685,164
Shares redeemed ............................................... (11,139,964) (3,378,129) (1,894,783) (2,836,614)
-------------- ------------- -------------- -------------
Net increase ..................................................... (209,988) 10,672,406 6,011,815 11,521,510
============== ============== ============== =============
</TABLE>
40-41
<PAGE>
---------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
---------------------------------------------------
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
STRATEGIC MID-CAP SMALL
EQUITY GROWTH CAP GROWTH
SERIES SERIES SERIES SERIES
-------------- ------------- -------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) .................................. $ (147,054) $ (820,442) $ (1,042,921) $ (2,434,094)
Net realized gain/(loss) on securities, futures contracts, written
options, long options, forward foreign currency exchange
contracts and foreign currency transactions ................. 1,693,687 167,895,022 43,509,195 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 ........... 61,938,726 133,276,872 65,183,467 394,632,424
-------------- ------------- -------------- --------------
Net increase/(decrease) in net assets resulting from operations 63,485,359 300,351,452 107,649,741 470,302,038
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (219,194) (43,708) -- --
In excess of net investment income ............................ -- -- -- --
Net realized gains ............................................ (570,728) (64,374,917) (10,282,407) (16,417,785)
Return of capital ............................................. -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 97,903,351 407,862,991 236,986,292 930,440,724
Shares issued as reinvestment of dividends .................... 789,922 64,418,625 10,282,406 16,417,785
Shares redeemed ............................................... (28,849,911) (178,428,762) (124,695,886) (215,086,923)
-------------- ------------- -------------- --------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... 69,843,362 293,852,854 122,572,812 731,771,586
-------------- ------------- -------------- --------------
Net increase/(decrease) in net assets 132,538,799 529,785,681 219,940,146 1,185,655,839
NET ASSETS:
Beginning of year ............................................. 73,260,613 252,021,816 147,696,446 231,216,381
-------------- ------------- -------------- --------------
End of year ................................................... $ 205,799,412 $ 781,807,497 $ 367,636,592 $1,416,872,220
============== ============= ============== ==============
Undistributed net investment income/(loss) .................... $ (59,367) -- -- $ (1,491,165)
============== ============= ============= ==============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... 6,581,280 18,422,729 12,804,656 47,301,547
Shares issued as reinvestment of dividends .................... 41,185 2,269,860 449,406 612,833
Shares redeemed ............................................... (2,021,650) (8,192,969) (6,787,765) (11,181,642
-------------- ------------- ------------- --------------
Net increase/(decrease) .......................................... 4,600,815 12,499,620 6,466,297 36,732,738
============== ============= ============= ==============
------------------
+ As of March 6, 1995, the Trust no longer accepts investments in the Market
Manager Series.
See Notes to Financial Statements.
REAL HARD DEVELOPING EMERGING
ESTATE ASSETS WORLD MARKETS
SERIES SERIES SERIES SERIES
-------------- ------------ ------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income/(loss) .................................. $ 3,576,418 $ 414,891 $ 205,216 $ 259,189
Net realized gain/(loss) on securities, futures contracts, written
options, long options, forward foreign currency exchange
contracts and foreign currency transactions ................. (3,272,820) 1,232,753 1,871,300 6,199,907
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 ........... (2,992,152) 4,987,440 12,377,252 14,314,255
-------------- ------------ ------------- --------------
Net increase/(decrease) in net assets resulting from operations (2,688,554) 6,635,084 14,453,768 20,773,351
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (2,303,661) (263,876) (491,137) (259,189)
In excess of net investment income ............................ -- -- (182,827) (46,937)
Net realized gains ............................................ (1,585,840) -- (1,028,016) --
Return of capital ............................................. -- -- -- (112,931)
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... 19,689,115 51,726,474 64,127,985 22,632,650
Shares issued as reinvestment of dividends .................... 3,889,500 263,876 1,701,980 419,057
Shares redeemed ............................................... (30,005,609) (48,600,770) (24,762,925) (24,485,024)
-------------- ------------ ------------- --------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... (6,426,994) 3,389,580 41,067,040 (1,433,317)
-------------- ------------ ------------- --------------
Net increase/(decrease) in net assets ............................ (13,005,049) 9,760,788 53,818,828 18,920,977
NET ASSETS:
Beginning of year ............................................. 69,911,383 30,529,953 8,796,968 26,028,231
-------------- ------------ ------------- --------------
End of year ................................................... $ 56,906,334 $ 40,290,741 $ 62,615,796 $ 44,949,208
============== ============ ============= ==============
Undistributed net investment income/(loss) .................... $ 2,149,045 $ 81,386 $ (257,955) $ (190,848)
============== ============ ============= ==============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... 1,434,043 4,591,577 6,945,690 2,427,484
Shares issued as reinvestment of dividends .................... 334,149 23,270 155,432 35,980
Shares redeemed ............................................... (2,220,784) (4,367,369) (2,878,056) (2,689,830)
-------------- ------------ ------------- --------------
Net increase/(decrease) .......................................... (452,592) 247,478 4,223,066 (226,366)
============== ============ ============= ==============
MARKET
MANAGER
SERIES+
-------------
OPERATIONS:
<S> <C>
Net investment income/(loss) .................................. $ 109,969
Net realized gain/(loss) on securities, futures contracts, written
options, long options, forward foreign currency exchange
contracts and foreign currency transactions ................. 973,438
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 ........... (90,764)
-------------
Net increase/(decrease) in net assets resulting from operations 992,643
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ......................................... (109,969)
In excess of net investment income ............................ (47)
Net realized gains ............................................ (973,438)
Return of capital ............................................. --
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................... --
Shares issued as reinvestment of dividends .................... 1,083,454
Shares redeemed ............................................... (1,813,290)
-------------
NET INCREASE/(DECREASE) IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS ........................... (729,836)
-------------
Net increase/(decrease) in net assets ............................ (820,647)
NET ASSETS:
Beginning of year ............................................. 8,139,433
-------------
End of year ................................................... $ 7,318,786
=============
Undistributed net investment income/(loss) .................... $ --
=============
TRANSACTIONS IN FUND SHARES:
Shares sold ................................................... --
Shares issued as reinvestment of dividends .................... 57,326
Shares redeemed ............................................... (94,873)
-------------
Net increase/(decrease) .......................................... (37,547)
=============
</TABLE>
42-43
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
LIQUID ASSET SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- ---------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ....................... 0.028 0.046 0.050 0.050 0.049 0.054
---------- ----------- ---------- --------- --------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income ........ (0.028) (0.046) (0.050) (0.050) (0.049) (0.054)
---------- ----------- ---------- --------- --------- --------
Net asset value, end of period .............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== =========== ========== ========= ========= =========
Total return ................................ 2.83%++ 4.74% 5.13% 5.07% 5.01% 5.51%
========== =========== ========== ========= ========== =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........ $ 531,616 $ 579,848 $ 211,730 $ 59,453 $ 39,096 $ 38,589
Ratio of operating expenses to average net assets 0.55%+ 0.56% 0.59% 0.61% 0.61% 0.61%
Ratio of net investment income to average net assets 5.62%+ 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.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97# 12/31/96# 12/31/95
----------- ---------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........ $ 10.42 $ 10.68 $ 10.31 $ 10.43 $ 11.15 $ 9.98
---------- ---------- ---------- --------- ---------- ---------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ....................... 0.33 0.48 0.24 0.60 0.59 0.60
Net realized and unrealized gain/(loss) on
investments and foreign currencies ....... (0.06) (0.36) 0.47 0.09 (0.13) 0.57
---------- ---------- ---------- --------- ---------- ---------
Total from investment operations ............ 0.27 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 period .............. $ 10.69 $ 10.42 $ 10.68 $ 10.31 $ 10.43 $ 11.15
========== ========== ========== ========= ========== =========
Total return ................................ 2.59%++ 1.13% 6.86% 6.67% 4.32% 11.72%
========== ========== ========== ========= ========== =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........ $ 201,729 $ 207,109 $ 148,426 $ 53,839 $ 81,317 $ 90,081
Ratio of operating expenses to average net assets 0.55%+ 0.57% 0.60% 0.61% 0.61% 0.61%
Ratio of net investment income to average net assets 6.13%+ 5.29% 5.15% 5.71% 5.33% 5.58%
Portfolio turnover rate ..................... 81% 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.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*#
----------- -------- ----------
<S> <C> <C> <C>
Net asset value, beginning of period .............. $ 10.06 $ 11.17 $ 10.47
---------- ---------- ----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.15 0.34 0.09
Net realized and unrealized gain/(loss)
on investments and foreign currencies ........... (0.32) (1.30) 0.74
---------- ---------- ----------
Total from investment operations .................. (0.17) (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 .................... $ 9.89 $ 10.06 $ 11.17
========== ========== ==========
Total return ...................................... (1.69)%++ (8.62)% 7.99%++
========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .............. $ 33,664 $ 30,371 $ 21,932
Ratio of operating expenses to average net assets 1.60%+ 1.60% 1.74%+
Ratio of net investment income to average net assets 3.41%+ 3.17% 2.37%+
Portfolio turnover rate ........................... 76% 87% 25%
------------------
<FN>
* The Global Fixed Income Series commenced operations on August 14, 1998.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
----------- ---------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........... $ 15.05 $ 15.23 $ 15.73 $ 14.82 $ 13.79 $ 11.70
---------- ---------- ---------- --------- ---------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .......................... 0.26 0.50 0.36 0.39 0.56 0.45
Net realized and unrealized gain on investments
and foreign currencies ...................... 0.36 0.53 0.55 1.86 1.69 1.98
---------- ---------- ---------- --------- ---------- ---------
Total from investment operations ............... 0.62 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 period ................. $ 15.67 $ 15.05 $ 15.23 $ 15.73 $ 14.82 $ 13.79
========== ========== ========== ========= ========== =========
Total return ................................... 4.12%++ 6.92% 5.89% 15.27% 16.36% 20.80%
========== ========== ========== ========= ========== =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $ 283,895 $ 287,909 $ 246,196 $ 169,987 $ 136,660 $ 118,589
Ratio of operating expenses to average net assets 0.95%+ 0.97% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets. 3.28%+ 3.45% 2.83% 2.67% 3.83% 3.41%
Portfolio turnover rate ........................ 19% 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.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*#
------------- ----------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period ................. $ 15.80 $ 15.80 $ 14.88
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.27 0.42 0.17
Net realized and unrealized gain on investments
and foreign currencies ............................. 0.16 0.11 0.86
---------- ---------- ----------
Total from investment operations ..................... 0.43 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 ....................... $ 16.23 $ 15.80 $ 15.80
========== ========== ==========
Total return ......................................... 2.72%++ 3.38% 6.90%++
========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ................. $ 672,166 $ 675,754 $ 453,093
Ratio of operating expenses to average net assets .... 0.89%+ 0.91% 0.98%+
Ratio of net investment income to average net assets 3.35%+ 3.04% 2.95%+
Portfolio turnover rate .............................. 52% 81% 37%
------------------
<FN>
* The Total Return Series commenced operations on August 14, 1998.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
EQUITY INCOME SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .............. $ 11.24 $ 12.67 $ 13.09 $ 12.41 $ 12.52 $ 11.33
--------- ---------- ---------- ---------- ---------- ----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.12 0.27 0.49 0.57 0.56 0.58
Net realized and unrealized gain/(loss) on
investments and foreign currencies ............ (0.43) (0.39) 0.58 1.58 0.52 1.56
--------- ---------- ---------- ---------- ---------- ----------
Total from investment operations .................. (0.31) (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 period .................... $ 10.93 $ 11.24 $ 12.67 $ 13.09 $ 12.41 $ 12.52
========== ========== ========== ========== ========== ==========
Total return ...................................... (2.76)%++ (0.72)% 8.26% 17.44% 8.77% 18.93%
========== ========== ========== ========== =========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .............. $ 257,381 $ 277,354 $ 278,074 $ 264,599 $ 272,791 $ 307,691
Ratio of operating expenses to average net assets. 0.95%+ 0.96% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets 2.10%+ 2.19% 3.63% 3.88% 3.86% 4.42%
Portfolio turnover rate ........................... 25% 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.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
INVESTORS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
6/30/00*
(UNAUDITED)
-----------
Net asset value, beginning of period ........................... $ 10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .......................................... 0.03
Net realized and unrealized gain on
investments and foreign currencies ............................ 0.84
----------
Total from investment operations ............................... 0.87
----------
Net asset value, end of period ................................. $ 10.87
==========
Total return ................................................... 8.70%++
==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........................... $ 10,226
Ratio of operating expenses to average net assets .............. 1.00%+
Ratio of net investment income to average net assets ........... 1.36%+
Portfolio turnover rate ........................................ 112%
------------------
* The Investors Series commenced operations on February 1, 2000.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
50
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95*
----------- ---------- ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........... $ 15.52 $ 15.88 $ 16.13 $ 13.92 $ 13.18 $ 10.00
---------- ---------- ---------- --------- ---------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .......................... 0.06 0.17 0.19 0.16 0.22 0.08
Net realized and unrealized gain/(loss) on
investments and foreign currencies .......... (0.58) (0.09) 0.06 3.63 1.18 3.44
---------- ---------- ---------- --------- ---------- -------
Total from investment operations ............... (0.52) 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 ................. $ 15.00 $ 15.52 $ 15.88 $ 16.13 $ 13.92 $ 13.18
========== ========== ========== ========= ========== =======
Total return ................................... (3.35)%++ 0.51% 1.55% 27.28% 10.62% 35.21%++
========== ========== ========== ========= ========== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $ 159,430 $ 141,595 $ 129,784 $ 80,048 $ 44,620 $28,830
Ratio of operating expenses to average net assets 0.95%+ 0.96% 0.98% 0.99% 1.00% 1.01%+
Ratio of net investment income to average net assets 0.99%+ 1.11% 1.49% 1.31% 1.80% 1.53%+
Portfolio turnover rate ........................ 48% 62% 124% 128% 131% 86%
------------------
<FN>
* The Value Equity Series commenced operations on January 3, 1995.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96# 12/31/95
------------ ---------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........ $ 24.84 $ 22.01 $ 20.04 $ 15.81 $ 13.30 $ 10.22
---------- ---------- ---------- ---------- ---------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ....................... 0.03 0.08 0.10 0.14 0.14 0.13
Net realized and unrealized gain on
investments and foreign currencies ....... 0.45 3.41 2.74 4.57 2.61 3.04
---------- ---------- ---------- ---------- ---------- --------
Total from investment operations ............ 0.48 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 period .............. $ 25.32 $ 24.84 $ 22.01 $ 20.04 $ 15.81 $ 13.30
========== ========== ========== ========== ========== ========
Total return ................................ 1.93%++ 15.88% 14.13% 29.82% 20.65% 31.06%
========== ========== ========== ========== ========== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........ $ 975,643 $ 899,753 $ 574,843 $ 252,191 $ 126,239 $ 81,210
Ratio of operating expenses to average net assets 0.95%+ 0.96% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets 0.30%+ 0.40% 0.72% 0.96% 0.99% 1.24%
Portfolio turnover rate ..................... 25% 27% 34% 26% 15% 43%
------------------
<FN>
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
</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>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96**# 12/31/95#
----------- ---------- ------------ ------------ ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........ $ 19.96 $ 14.19 $ 11.46 $ 11.13 $ 9.96 $ 9.26
---------- ---------- ---------- ---------- ---------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ................ (0.01) (0.03) (0.02) 0.02 0.04 0.05
Net realized and unrealized gain/(loss) on
investments and foreign currencies ....... (0.14) 8.82 3.37 1.33 1.18 0.65
---------- ---------- ---------- ---------- ---------- ---------
Total from investment operations ............ (0.15) 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 period .............. $ 19.81 $ 19.96 $ 14.19 $ 11.46 $ 11.13 $ 9.96
========== ========== ========== ========== ========== =========
Total return ................................ (0.75)%++ 63.30% 29.31% 12.17% 12.27% 7.56%
========== ========== ========== ========== ========== =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........ $ 215,375 $ 184,486 $ 134,078 $ 105,305 $ 86,376 $ 72,375
Ratio of operating expenses to average net assets 1.25%+ 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 ............................... (0.06)%+ (0.19)% (0.17)% 0.06% 0.39% 0.51%
Portfolio turnover rate ..................... 96% 168% 173% 199% 141% 44%
------------------
<FN>
* Since February 1, 2000, Capital Guardian Trust Co. 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.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
LARGE CAP VALUE SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
6/30/00*
(UNAUDITED)
-----------
Net asset value, beginning of period ....................... $ 10.00
----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income ...................................... 0.01
Net realized and unrealized gain on investments
and foreign currencies .................................. 0.68
----------
Total from investment operations ........................... 0.69
----------
Net asset value, end of period ............................. $ 10.69
==========
Total return ............................................... 6.90%++
==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ....................... $ 44,342
Ratio of operating expenses to average net assets .......... 1.00%+
Ratio of net investment income to average net assets ....... 0.55%+
Portfolio turnover rate .................................... 4%
------------------
* The Large Cap Value Series commenced operations on February 1, 2000.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
54
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
ALL CAP SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
PERIOD
ENDED
6/30/00*
(UNAUDITED)
-----------
Net asset value, beginning of period .......................... $ 10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ......................................... 0.02
Net realized and unrealized gain on investments
and foreign currencies ...................................... 1.53
----------
Total from investment operations .............................. 1.55
----------
Net asset value, end of period ................................ $ 11.55
==========
Total return .................................................. 15.50%++
==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .......................... $ 19,725
Ratio of operating expenses to average net assets ............. 1.00%+
Ratio of net investment income to average net assets .......... 1.21%+
Portfolio turnover rate ....................................... 27%
------------------
* The All Cap Series commenced operations on February 1, 2000.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
55
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
RESEARCH SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*#
------------ ----------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 24.81 $ 20.31 $ 17.75
------------- ------------ ----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ................... (0.01) 0.01 0.02
Net realized and unrealized gain on investments
and foreign currencies ...................... 1.53 4.90 2.56
------------- ------------ ----------
Total from investment operations ............... 1.52 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 ................. $ 26.33 $ 24.81 $ 20.31
============= ============ ==========
Total return ................................... 6.13%++ 24.23% 14.54%++
============= ============ ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $ 1,169,826 $ 1,014,656 $ 613,771
Ratio of operating expenses to average net assets 0.89%+ 0.91% 0.94%+
Ratio of net investment income/(loss) to
average net assets .......................... (0.04)%+ 0.02% 0.23%+
Portfolio turnover rate ........................ 51% 89% 35%
------------------
<FN>
* The Research Series commenced operations on August 14, 1998.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
CAPITAL APPRECIATION SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
----------- ---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........ $ 20.02 $ 18.09 $ 17.65 $ 15.06 $ 13.51 $ 11.34
---------- ---------- --------- --------- --------- ---------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ................ (0.01) (0.01) 0.15 0.16 0.16 0.19
Net realized and unrealized gain/(loss) on
investments and foreign currencies ....... (0.13) 4.38 2.07 4.19 2.57 3.22
--------- ---------- --------- --------- --------- ---------
Total from investment operations ............ (0.14) 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 period .............. $ 19.88 $ 20.02 $ 18.09 $ 17.65 $ 15.06 $ 13.51
========= ========== ========== ========= ========= =========
Total return ................................ (0.70)%++ 24.64% 12.68% 28.95% 20.26% 30.16%
========= ========== ========== ========= ========= ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........ $ 509,369 $ 411,898 $ 263,313 $ 193,986 $ 148,752 $ 122,227
Ratio of operating expenses to average net assets 0.95%+ 0.96% 0.98% 0.99% 1.00% 1.01%
Ratio of net investment income/(loss) to average
net assets ................................ (0.10)%+ (0.05)% 0.95% 0.95% 1.12% 1.53%
Portfolio turnover rate ..................... 31% 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.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
CAPITAL GROWTH SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*#
------------- ---------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period .......................... $ 18.52 $ 15.62 $ 14.24
--------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) .................................. (0.04) -- 0.09
Net realized and unrealized gain/(loss) on
investments and foreign currencies ......................... (1.47) 3.96 1.36
--------- --------- ----------
Total from investment operations .............................. (1.51) 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 ................................ $ 17.01 $ 18.52 $ 15.62
========= ========= ==========
Total return .................................................. (8.15)%++ 25.56% 10.19%++
========= ========= ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .......................... $ 591,637 $ 567,628 $ 298,839
Ratio of operating expenses to average net assets ............. 1.00%+ 1.05% 1.08%+
Ratio of net investment income/(loss) to average net assets ... (0.50)%+ 0.00% 1.86%+
Portfolio turnover rate ....................................... 29% 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.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR PERIOD
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96## 12/31/95*
------------ ---------- ----------- ---------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .......... $ 19.95 $ 12.82 $ 13.63 $ 11.68 $ 10.01 $ 10.00
---------- ---------- ---------- --------- --------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) .................. (0.02) (0.03) 0.16 0.20 0.23 0.06
Net realized and unrealized gain/(loss) on
investments and foreign currencies ......... 2.23 7.24 (0.07) 2.49 1.71 (0.03)#
---------- ---------- ---------- --------- --------- -------
Total from investment operations .............. 2.21 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 ................ $ 22.16 $ 19.95 $ 12.82 $ 13.63 $ 11.68 $ 10.01
========== ========== ========== ========= ======== =======
Total return .................................. 11.08%++ 56.24% 0.84% 23.16% 19.39% 0.33%++
========== ========== ========== ========= ======== =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .......... $ 383,965 $ 205,799 $ 73,261 $ 51,789 $ 30,423 $ 8,067
Ratio of operating expenses to average net assets 0.95%+ 0.96% 0.99% 0.99% 1.00% 1.00%+
Ratio of net investment income/(loss)
to average net assets ...................... (0.24)%+ (0.14)% 1.46% 1.88% 2.05% 4.04%+
Portfolio turnover rate ....................... 100% 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.
+ Annualized
++ Non-annualized
# The amount shown may not accord with the change in the aggregate gains and
losses of portfolio securities due to timing of sales and redemption of Series
shares.
## Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*#
------------- ----------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period .......................... $ 29.59 $ 18.10 $ 15.68
------------- ---------- ---------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) .................................. (0.07) (0.03) 0.01
Net realized and unrealized gain on investments
and foreign currencies ..................................... 6.92 14.22 2.52
------------- ---------- ---------
Total from investment operations .............................. 6.85 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 ................................ $ 36.44 $ 29.59 $ 18.10
============= ========== ==========
Total return .................................................. 23.15%++ 79.05% 16.12%++
============= ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .......................... $ 1,472,189 $ 781,807 $ 252,022
Ratio of operating expenses to average net assets 0.88%+ 0.91% 0.95%+
Ratio of net investment income/(loss) to average net assets ... (0.54)%+ (0.21)% 0.15%+
Portfolio turnover rate ....................................... 74% 159% 55%
------------------
<FN>
* The Mid-Cap Growth Series commenced operations on August 14, 1998.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
SMALL CAP SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
6/30/00 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96*
----------- --------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .............. $ 23.44 $ 16.03 $ 13.25 $ 12.01 $ 10.00
---------- --------- ---------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ...................... 0.02 (0.07) (0.03) (0.03) (0.01)
Net realized and unrealized gain on investments
and foreign currencies ......................... 1.59 8.17 2.81 1.27 2.02
---------- --------- ---------- -------- --------
Total from investment operations .................. 1.61 8.10 2.78 1.24 2.01
---------- --------- ---------- -------- --------
LESS DISTRIBUTIONS:
Distributions from capital gains .................. -- (0.69) -- -- --
---------- --------- ---------- -------- --------
Net asset value, end of period .................... $ 25.05 $ 23.44 $ 16.03 $ 13.25 $ 12.01
========== ========= ========== ======== ========
Total return ...................................... 6.87%++ 50.61% 20.98% 10.32% 20.10%++
========== ========= ========== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .............. $ 545,283 $ 367,637 $ 147,696 $ 66,396 $ 34,365
Ratio of operating expenses to average net assets 0.95%+ 0.96% 0.99% 0.99% 0.99%+
Ratio of net investment income/(loss) to average net assets 0.20%+ (0.49)% (0.32)% (0.34)% (0.08)%+
Portfolio turnover rate ........................... 99% 132% 133% 130% 117%
------------------
<FN>
* The Small Cap Series commenced operations on January 3, 1996.
** Since February 1, 2000, Capital Guardian Trust Co. has served as Portfolio Manager
for the Small Cap Series. Prior to that date, a different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
GROWTH SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/00 ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98*#
------------- ----------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period ................... $ 27.49 $ 15.62 $ 13.63
------------ ----------- ----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ........................... 0.01 (0.03) (0.03)
Net realized and unrealized gain/(loss) on
investments and foreign currencies .................. (0.91) 12.23 2.02
------------ ----------- ----------
Total from investment operations ....................... (0.90) 12.20 1.99
------------ ----------- ----------
LESS DISTRIBUTIONS:
Distributions from capital gains ....................... -- (0.33) --
------------ ----------- ----------
Net asset value, end of period ......................... $ 26.59 $ 27.49 $ 15.62
============ =========== ==========
Total return ........................................... (3.27)%++ 78.13% 14.60%++
============ =========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ................... $ 1,909,490 $ 1,416,872 $231,216
Ratio of operating expenses to average net assets ...... 0.99%+ 1.04% 1.09%+
Ratio of net investment income/(loss) to average net assets 0.00%+ (0.40)% (0.58)%+
Portfolio turnover rate ................................ 24% 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.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
REAL ESTATE SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
----------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ............... $ 12.12 $ 13.58 $ 18.27 $ 15.98 $ 12.63 $ 11.29
---------- ---------- ---------- ----------- ---------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .............................. 0.52 0.84 0.83 0.69 0.70 0.75
Net realized and unrealized gain/(loss)
on investments and foreign currencies ........... 1.40 (1.39) (3.34) 2.93 3.70 1.12
---------- ---------- ---------- ----------- ---------- --------
Total from investment operations ................... 1.92 (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 period ..................... $ 14.04 $ 12.12 $ 13.58 $ 18.27 $ 15.98 $ 12.63
========== ========== ========== =========== ========== ========
Total return ....................................... 15.84%++ (3.81)% (13.45)% 22.79% 35.30% 16.59%
========== ========== ========== =========== ========== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............... $ 64,795 $56,906 $69,911 $75,530 $ 51,135 $ 34,975
Ratio of operating expenses to average net assets .. 0.95%+ 0.96% 0.99% 0.99% 1.00% 1.01%
Ratio of net investment income to average net assets 5.56%+ 5.61% 5.26% 4.49% 5.53% 5.79%
Portfolio turnover rate ............................ 32% 36% 29% 41% 31% 53%
------------------
<FN>
* Since May 1, 2000, The Prudential Investment Corporation has served as Portfolio Manager
for the Real Estate Series. Prior to that date, a different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
HARD ASSETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
----------- --------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ........ $ 11.76 $ 9.60 $ 15.05 $ 17.85 $ 15.04 $ 13.88
------- -------- -------- -------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ....................... 0.06 0.12 0.26 0.14 0.05 0.15
Net realized and unrealized gain/(loss)
on investments and foreign currencies .... (0.80) 2.12 (4.73) 0.99 4.92 1.34
------- -------- -------- -------- -------- --------
Total from investment operations ............ (0.74) 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 period .............. $ 11.02 $ 11.76 $ 9.60 $ 15.05 $ 17.85 $ 15.04
======= ======== ======== ======== ======== ========
Total return ................................ (6.29)%++ 23.36% (29.58)% 6.22% 33.17% 10.69%
======= ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........ $43,279 $ 40,291 $ 30,530 $ 46,229 $ 43,903 $ 27,147
Ratio of operating expenses to average net assets 0.95%+ 0.96% 1.00% 0.99% 1.00% 1.01%
Ratio of net investment income to average
net assets ............................... 1.21%+ 1.07% 1.99% 0.76% 0.34% 0.89%
Portfolio turnover rate ..................... 86% 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.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/00 ENDED ENDED
(UNAUDITED) 12/31/99# 12/31/98*#
------------- ----------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period ................... $ 11.56 $ 7.37 $ 10.00
-------- --------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ........................... (0.01) 0.08 0.04
Net realized and unrealized gain/(loss) on
investments and foreign currencies .................. (0.94) 4.44 (2.67)
-------- --------- --------
Total from investment operations ....................... (0.95) 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 ......................... $ 10.61 $ 11.56 $ 7.37
======== ========= ========
Total return ........................................... (8.22)%++ 61.66% (26.27)%++
======== ========= ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ................... $ 78,745 $ 62,616 $ 8,797
Ratio of operating expenses to average net assets ...... 1.75%+ 1.75% 1.83%+
Ratio of net investment income/(loss) to average
net assets .......................................... (0.43)%+ 0.85% 0.69%+
Portfolio turnover rate ................................ 75% 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.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99# 12/31/98 12/31/97 12/31/96 12/31/95
------------ ------------ ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ............. $ 12.25 $ 6.68 $ 8.80 $ 9.72 $ 9.06 $ 10.08
---------- ---------- --------- --------- --------- ---------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss) ..................... (0.03) 0.07 0.06 (0.01) 0.04 0.04
Net realized and unrealized gain/(loss) on investments
and foreign currencies ........................ (1.01) 5.62 (2.18) (0.90) 0.62 (1.06)
---------- ---------- --------- --------- --------- ---------
Total from investment operations ................. (1.04) 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 period ................... $ 11.21 $ 12.25 $ 6.68 $ 8.80 $ 9.72 $ 9.06
========== ========== ========= ========= ========== =========
Total return ..................................... (8.49)%++ 85.30% (24.09)% (9.37)% 7.28% (10.11)%
========== ========== ========= ========= ========== =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $ 38,170 $ 44,949 $ 26,028 $ 39,436 $ 51,510 $ 47,974
Ratio of operating expenses to average net assets 1.75%+ 1.75% 1.83% 1.80% 1.55% 1.53%
Ratio of net investment income/(loss) to average
net assets .................................... (0.49)%+ 0.82% 0.83% (0.09)% 0.38% 0.40%
Portfolio turnover rate .......................... 120% 183% 108% 170% 136% 141%
------------------
<FN>
* Since March 16, 2000, Baring International Investment Limited has served as Portfolio
Manager for the Emerging Markets Series. Prior to that date, a different firm served as
Portfolio Manager.
+ Annualized
++ Non-annualized
# Per share numbers have been calculated using the monthly average share method,
which more appropriately represents the per share data for the period.
</FN>
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
---------------------------------------------------
FINANCIAL HIGHLIGHTS
---------------------------------------------------
THE GCG TRUST
MARKET MANAGER SERIES*
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
6/30/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/99 12/31/98 12/31/97 12/31/96 12/31/95
-------------- ----------- ----------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ............ $ 19.40 $ 19.62 $ 16.47 $ 13.22 $ 12.03 $ 10.02
---------- ---------- --------- --------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ........................... 0.14 0.34 0.32 0.36 0.46 0.37
Net realized and unrealized gain on investments and
foreign currencies ........................... 0.43 2.82 3.69 4.11 1.89 2.06
---------- ---------- --------- --------- --------- ----------
Total from investment operations ................ 0.57 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 period .................. $19.97 $ 19.40 $ 19.62 $ 16.47 $ 13.22 $ 12.03
========== ========== ========= ========== ========== ==========
Total return .................................... 2.94%++ 16.59% 24.55% 33.82% 19.40% 24.33%
========== ========== ========= ========== ========== ==========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............ $ 6,928 $ 7,319 $ 8,139 $ 6,791 $ 5,585 $ 5,952
Ratio of operating expenses to average net assets 1.00%+ 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 1.39%+ 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.
+ Annualized
++ Non-annualized
</FN>
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
LIQUID ASSET SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CERTIFICATES OF DEPOSIT -- 9.6%
Barclays Bank Plc, NY:
$10,000,000 6.580% due 07/03/2000 ........... $10,000,006
15,000,000 6.620% due 07/31/2000 ........... 15,000,124
10,000,000 Societe Generale, NY,
6.580% due 07/03/2000 ........... 10,000,000
8,000,000 Toronto Dominion Bank, NY,
7.200% due 05/09/2001 ........... 8,000,000
8,000,000 UBS Finance AG, (CT),
6.875%++ due 03/27/2001 ......... 7,999,162
-----------
Total Certificates of Deposit
(Cost $50,999,292) .............. 50,999,292
-----------
CORPORATE DEBT SECURITIES -- 27.8%
ASSET BACKED SECURITIES -- 0.4%
2,143,631 Heller Equipment Asset Receivables
Trust,
6.129% due 01/06/2001 ........... 2,143,631
-----------
COMMUNICATIONS -- 4.7%
AT&T Corporation:
5,000,000 6.240%++ due 07/13/2000 ......... 4,999,934
10,000,000 6.566%++ due 03/08/2001 ......... 9,999,339
10,000,000 SBC Communications, Inc.,
6.684%++ due 05/15/2001 ......... 10,000,000
-----------
24,999,273
-----------
DEPOSITORY INSTITUTIONS -- 7.1%
Bank of America NA:
8,000,000 7.120% due 06/21/2001 ........... 8,000,000
5,000,000 6.630% due 07/17/2000 ........... 5,000,000
Bank One NA Illinois,
6,000,000 6.253%++ due 10/20/2000 ......... 5,998,362
5,000,000 6.760% due 10/20/2000 ........... 5,000,000
9,000,000 7.160% due 06/26/2001 ........... 8,999,161
5,000,000 CitiGroup, Inc.,
6.623%++ due 04/04/2001 ......... 5,000,000
-----------
37,997,523
-----------
FOOD AND KINDRED PRODUCTS -- 1.9%
10,000,000 General Mills, Inc.,
6.680% due 02/09/2001 ........... 9,997,258
-----------
MANUFACTURING -- 1.9%
10,000,000 Caterpillar Financial Services
Corporation,
6.879%++ due 05/22/2001 ......... 10,007,747
-----------
MISCELLANEOUS BUSINESS CREDIT INSTITUTIONS -- 1.2%
3,000,000 International Business Machines
Credit Corporation,
5.898% due 08/07/2000 ........... 2,999,906
3,300,000 Xerox Credit Corporation,
5.635% due 07/14/2000 ........... 3,299,927
-----------
6,299,833
-----------
PERSONAL CREDIT INSTITUTIONS -- 5.5%
4,400,000 American General Finance
Corporation,
6.125%++ due 09/15/2000 ......... 4,399,127
4,000,000 Ford Motor Credit Corporation,
6.729%++ due 08/18/2000 ......... 3,999,575
5,000,000 General Motors Acceptance
Corporation,
6.375%++ due 10/30/2000 ......... 4,998,401
Household Finance Corporation:
8,000,000 6.745%++ due 03/29/2001 ......... 8,000,000
8,000,000 6.715%++ due 07/20/2001 ......... 7,994,160
-----------
29,391,263
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- --------
RETAIL -- 1.5%
$ 8,000,000 Wal-Mart Stores, Inc.,
5.955%++ due 06/01/2001 ......... $ 7,898,527
-----------
SECURITY BROKERS -- 1.7%
Merrill Lynch & Company, Inc.:
3,000,000 6.740% due 02/07/2001 ........... 2,999,828
6,000,000 6.770% due 02/23/2001 ........... 6,000,000
-----------
8,999,828
-----------
TRANSPORATION EQUIPMENT -- 1.9%
10,000,000 DaimlerChrysler NA Holdin
Corporation,
6.689%++ due 02/22/2001 ......... 9,995,722
-----------
Total Corporate Debt Securities
(Cost $147,730,605) ............. 147,730,605
-----------
COMMERCIAL PAPER -- 61.8%
ASSET BACKED SECURITIES -- 18.4%
Ciesco LP:
10,000,000 6.655%(double dagger)
due 07/10/2000 .................. 9,983,800
10,000,000 6.675%(double dagger)
due 08/07/2000 .................. 9,933,400
10,000,000 Corporate Asset Funding Company,
6.783%(double dagger)
due 08/24/2000 .................. 9,900,700
10,000,000 Delaware Funding Corporation,
6.729%(double dagger)
due 07/19/2000 .................. 9,967,250
Park Avenue Receivables:
10,000,000 6.706%(double dagger)
due 07/12/2000 .................. 9,979,986
10,000,000 6.654%(double dagger)
due 07/21/2000 .................. 9,963,444
Preferred Receivables Funding:
10,000,000 6.759%(double dagger)
due 07/05/2000 .................. 9,992,689
10,000,000 6.727%(double dagger)
due 08/10/2000 .................. 9,926,667
Windmill Funding Corporation:
10,000,000 6.697%(double dagger)
due 07/03/2000 .................. 9,996,333
8,000,000 6.778%(double dagger)
due 08/23/2000 .................. 7,922,384
-----------
97,566,653
-----------
COMMUNICATIONS -- 3.7%
Bell Atlantic Financial Services
Corporation:
10,000,000 6.740%(double dagger)
due 08/25/2000 .................. 9,899,931
10,000,000 6.716%(double dagger)
due 08/29/2000 .................. 9,892,325
-----------
19,792,256
-----------
DEPOSITORY INSTITUTIONS -- 12.2%
8,000,000 Abbey National NA,
6.697%(double dagger)
due 12/22/2000 .................. 7,754,853
5,000,000 Bank of America Corporation,
7.029%(double dagger)
due 12/06/2000 .................. 4,852,972
10,000,000 Bank One Australia Ltd.,
6.645%(double dagger)
due 08/22/2000 .................. 9,903,656
Deutsche Bank Financial:
10,000,000 6.658%(double dagger)
due 07/24/2000 .................. 9,958,281
10,000,000 6.754%(double dagger)
due 08/21/2000 .................. 9,907,067
22,785,000 UBS Finance, (DE) LLC,
7.307%(double dagger)
due 07/05/2000 .................. 22,767,278
-----------
65,144,107
-----------
INSURANCE -- 1.3%
7,000,000 Aegon Funding Corporation,
6.626%(double dagger)
due 12/13/2000 .................. 6,800,121
-----------
MANUFACTURING -- 1.9%
10,000,000 Deere & Company,
6.729%(double dagger)
due 07/26/2000 .................. 9,954,375
-----------
PHARMACEUTICALS -- 1.5%
8,000,000 Schering Corporation,
6.746%(double dagger)
due 08/22/2000 .................. 7,923,964
-----------
See Notes to Financial Statements.
68
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
LIQUID ASSET SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
COMMERCIAL PAPER -- (CONTINUED)
PERSONAL CREDIT INSTITUTIONS -- 15.9%
American General Finance
Corporation:
$10,000,000 7.304%(double dagger)
due 07/03/2000 ................ $ 9,996,106
10,000,000 6.728%(double dagger)
due 08/14/2000 ................ 9,919,944
5,360,000 Associates Corporation North
America,
6.789%(double dagger)
due 08/23/2000 ................ 5,307,840
9,250,000 Ford Motor Credit Corporation,
7.304%(double dagger)
due 07/03/2000 ................ 9,246,429
General Electric Capital
Corporation:
8,000,000 6.188%(double dagger)
due 07/03/2000 ................ 7,997,351
10,000,000 6.787%(double dagger)
due 09/12/2000 ................ 9,866,572
7,000,000 Household Finance Corporation,
6.301%(double dagger)
due 07/07/2000 ................ 6,992,883
25,000,000 Nestle Capital Corporation,
6.086%(double dagger)
due 07/03/2000 ................ 24,990,972
-------------
84,318,097
-------------
SECURITY BROKERS -- 6.9%
Goldman Sachs Group, Inc.:
10,000,000 6.606%(double dagger)
due 07/12/2000 ................ 9,980,017
10,000,000 6.732%(double dagger)
due 08/10/2000 ................ 9,927,111
7,000,000 Merrill Lynch & Company, Inc.,
6.742%(double dagger)
due 08/01/2000 ................ 6,960,518
10,000,000 Salomon-Smith Barney Holdings,
6.717%(double dagger)
due 07/31/2000 ................ 9,945,250
-------------
36,812,896
-------------
Total Commercial Paper
(Cost $328,312,469) ........... 328,312,469
-------------
U.S. GOVERNMENT AGENCY NOTES -- 0.9%
(Cost $4,999,734)
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 0.9%
5,000,000 6.620%+ due 08/09/2000 ......... 4,999,734
-------------
TOTAL INVESTMENTS (COST $532,042,100*) ... 100.1% 532,042,100
OTHER ASSETS AND LIABILITIES (NET) .........(0.1) (426,157)
------ ------------
NET ASSETS ............................... 100.0% $531,615,943
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
[double dagger] Annualized yield at date of purchase.
++ Varible Rate Note. Rate shown is effect of 6/30/2000.
See Notes to Financial Statements.
69
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE BONDS -- 52.7%
BROADCAST, RADIO AND TELEVISION -- 1.5%
$3,000,000 News America Holdings, Inc.,
8.500% due 02/15/2005 ........... $ 3,078,126
-----------
COMMUNICATIONS -- 7.0%
3,000,000 Deutsche Telekom International
Finance,
7.750% due 06/15/2005 ........... 3,022,200
3,000,000 Jones Intercable, Inc.,
8.875% due 04/01/2007 ........... 3,051,813
2,000,000 Telecomunicaciones de Puerto Rico,
6.150% due 05/15/2002 ........... 1,944,386
3,000,000 Vodafine AirTouch Plc,
6.698%(double double dagger)
due 12/19/2001 .................. 2,997,189
3,000,000 Worldcom, Inc.,
7.050%(double double dagger)
due 11/26/2001 .................. 3,000,000
-----------
14,015,588
-----------
ELECTRICAL EQUIPMENT -- 1.5%
3,000,000 Emerson Electric Company,
7.875% due 06/01/2005 ........... 3,087,369
-----------
FINANCE, INSURANCE AND REAL ESTATE -- 14.7%
3,000,000 Countrywide Home Loans, Inc.,
6.580% due 09/21/2001 ........... 2,973,129
3,000,000 Finova Capital Corporation,
6.250% due 11/01/2002 ........... 2,608,893
3,000,000 Ford Motor Credit Company,
7.500% due 03/15/2005 ........... 2,986,470
3,000,000 Heller Financial Inc.,
7.875% due 05/15/2003 ........... 2,992,794
3,000,000 Household Finance Corporation,
7.069%(double double dagger)
due 12/05/2001 .................. 3,000,000
2,850,000 HRPT Properties Trust,
6.875% due 08/26/2002 ........... 2,756,665
1,500,000 Northern Trust Capital I ,
6.801%(double double dagger)
due 01/15/2027 .................. 1,422,453
Paine Webber Group, Inc.:
350,000 7.387%(double double dagger)
due 07/24/2003 .................. 353,756
2,000,000 6.375%(double double dagger)
due 05/15/2004 .................. 1,889,568
3,000,000 PNC Funding Corporation,
7.000% due 09/01/2004 ........... 2,936,241
3,000,000 Simon Property Group, Inc.,
6.750% due 02/09/2004 ........... 2,847,099
3,000,000 Wells Fargo Company,
6.625% due 07/15/2004 ........... 2,928,819
-----------
29,695,887
-----------
FOOD AND BEVERAGES -- 1.5%
3,000,000 Joseph E. Seagrams and Sons, Inc.,
6.250% due 12/15/2001 ........... 2,951,493
-----------
HOTELS/AMUSEMENT SERVICES -- 3.0%
3,000,000 Marriott International,
8.125% due 04/01/2005 ........... 3,008,763
3,000,000 Park Place Entertainment
Corporation,
7.375% due 06/01/2002 ........... 2,958,147
-----------
5,966,910
-----------
MANUFACTURING -- 5.3%
2,000,000 Caterpillar Financial Services
Corporation,
6.875% due 08/01/2004 ........... 1,968,228
3,000,000 DaimlerChrysler North America
Holding Corporation,
7.090%(double double dagger)
due 08/23/2002 .................. 3,008,850
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
MANUFACTURING -- (CONTINUED)
$3,000,000 R.J. Reynolds Tobacco Holdings,
Inc.,
7.375% due 05/15/2003 ........... $ 2,797,641
3,000,000 Tyco International Group S.A.,
6.875% due 09/05/2002** ......... 2,970,690
-----------
10,745,409
-----------
MINING -- 1.8%
3,500,000 Phelps Dodge Corporation,
9.875% due 06/13/2001 ........... 3,571,757
-----------
OIL AND GAS -- 4.2%
3,680,000 El Paso Natural Gas Corporation,
6.750% due 11/15/2003 ........... 3,607,320
3,000,000 Kinder Morgan, Inc.,
6.450% due 11/30/2001 ........... 2,947,350
2,000,000 The Williams Companies, Inc.,
6.500% due 11/15/2002 ........... 1,964,730
-----------
8,519,400
-----------
PAPER AND FOREST PRODUCTS -- 3.1%
3,425,000 Fort James Corporation,
6.700% due 11/15/2003 ........... 3,307,951
3,000,000 International Paper Company,
8.000% due 07/08/2003** ......... 3,011,907
-----------
6,319,858
-----------
RETAIL -- 1.8%
1,000,000 The Kroger Company,
6.340% due 06/01/2001 ........... 990,342
3,000,000 Saks, Inc.,
7.000% due 07/15/2004 ........... 2,695,155
-----------
3,685,497
-----------
SERVICES -- 1.4%
3,000,000 Comdisco, Inc.,
5.950% due 04/30/2002 ........... 2,854,605
-----------
TRANSPORTATION -- 2.9%
3,000,000 AMERCO,
8.800% due 02/04/2005 ........... 2,873,394
3,000,000 CSX Corporation,
7.250% due 05/01/2004 ........... 2,931,171
-----------
5,804,565
-----------
UTILITIES -- 1.5%
3,000,000 Alabama Power Company,
7.125% due 08/15/2004 ........... 2,975,964
-----------
WASTE MANAGEMENT -- 1.5%
3,000,000 Waste Management, Inc.,
7.125% due 06/15/2001 ........... 2,941,233
-----------
Total Corporate Bonds
(Cost $107,888,692) ............. 106,213,661
-----------
ASSET BACKED SECURITIES -- 8.5%
2,000,000 Anrc Auto Owner Trust,
6.750% due 12/15/2003^ .......... 1,986,210
3,000,000 Banc One Home Equity Trust,
6.690% due 06/25/2029 ........... 2,965,635
1,896,072 Coast-Plymouth Tax Lein Capital,
LLC,
6.950% due 11/15/2004** ......... 1,879,007
1,905,760 Garanti Trade Payment Rights Master
Trust,
10.810% due 06/15/2004**^ ....... 1,916,480
2,000,000 Green Tree Home Equity Loan Trust,
5.980% due 04/15/2018 ........... 1,962,785
2,000,000 Honda Auto Lease Trust,
6.650% due 07/15/2005 ........... 1,985,920
See Notes to Financial Statements.
70
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
ASSET BACKED SECURITIES -- (CONTINUED)
$2,000,000 Onyx Acceptance Owner Trust,
6.820% due 11/15/2003 ........... $ 1,992,390
2,552,346 Provident Auto Lease Trust,
6.555% due 08/14/2001**^ ........ 2,553,380
-----------
Total Asset Backed Securities
(Cost $17,352,376) .............. 17,241,807
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.8%
(Cost $1,694,469)
1,709,359 CMC Securities Corporation,
6.000% due 11/25/2008 ........... 1,696,188
-----------
YANKEE BONDS -- U.S. DOLLAR DENOMINATED -- 1.9%
1,000,000 Hercules, Inc.,
6.150% due 08/01/2000 ........... 999,984
3,000,000 Petroleum Geo-Services,
6.250% due 11/19/2003 ........... 2,839,893
-----------
Total Yankee Bonds -- U.S. Dollar
Denominated
(Cost $3,888,344) ............... 3,839,877
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.6%
FEDERAL HOME LOAN BANK (FHLB) -- 1.0%
2,000,000 5.125% due 02/26/2002 ............ 1,945,000
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.5%
195,233 Pool #E65441
7.500% due 04/01/2011 ........... 194,927
130,536 Pool #E65976
6.500% due 04/01/2011 ........... 126,088
4,252 Pool #350042
7.250% due 01/01/2017 ........... 4,312
86,007 Pool #846224
7.183% due 07/01/2024 ........... 88,210
162,544 Pool #C00374
9.000% due 09/01/2024 ........... 167,521
214,143 Pool #D58465
9.000% due 01/01/2025 ........... 220,700
150,947 Pool #C80428
8.000% due 09/01/2026 ........... 151,891
-----------
953,649
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(GOLD) (FGLMC) -- 1.4%
384,914 Pool #E20197
7.000% due 10/01/2010 ........... 378,297
430,014 Pool #E61721
6.500% due 11/01/2010 ........... 415,363
493,024 Pool #G10555
6.000% due 06/01/2011 ........... 467,599
354,096 Pool #E00538
6.500% due 03/01/2013 ........... 342,032
404,102 Pool #E00543
6.000% due 03/01/2013 ........... 383,262
812,919 Pool #E70003
6.000% due 04/01/2013 ........... 770,997
-----------
2,757,550
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 2.3%
1,000,000 6.800% due 01/10/2003 ........... 996,942
41,026 Pool #703550
8.500% due 03/01/2004 ........... 41,859
75,413 Pool #127336
8.500% due 08/01/2006 ........... 76,945
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- (CONTINUED)
$ 3,332 Pool #440260
8.500% due 08/01/2006 ........... $ 3,400
231,940 Pool #341094
6.500% due 04/01/2011 ........... 223,748
255,343 Pool #344243
6.500% due 04/01/2011 ........... 246,324
553,860 Pool #414154
6.000% due 02/01/2013 ........... 524,262
550,120 Pool #379881
6.500% due 04/01/2013 ........... 530,690
572,064 Pool #419878
6.500% due 04/01/2013 ........... 551,858
826,757 Pool #425895
6.000% due 04/01/2013 ........... 782,575
83,280 Pool #103363
7.820% due 12/01/2017 ........... 85,688
229,874 Pool #299481
8.000% due 04/01/2025 ........... 230,950
23,499 Pool #332150
8.500% due 12/01/2025 ........... 23,939
453,549 Pool #397498
7.500% due 08/01/2027 ........... 447,168
-----------
4,766,348
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 1.4%
136,600 Pool #351992
6.000% due 12/15/2008 ........... 129,983
114,694 Pool #368358
6.000% due 01/15/2009 ........... 109,138
344,210 Pool #430587
6.500% due 02/15/2013 ........... 334,421
756,505 Pool #456797
6.000% due 04/15/2013 ........... 719,860
3,125 Pool #147899
10.000% due 02/15/2016 .......... 3,337
4,866 Pool #161670
9.500% due 09/15/2016 ........... 5,062
374,388 Pool #192568
8.000% due 05/15/2017 ........... 378,600
101,943 Pool #223830
8.000% due 06/15/2017 ........... 103,090
49,489 Pool #229269
8.000% due 07/15/2017 ........... 50,046
12,825 Pool #284666
9.500% due 03/15/2020 ........... 13,342
17,903 Pool #286024
10.000% due 04/15/2020 .......... 19,117
98,023 Pool #308911
9.500% due 07/15/2021 ........... 101,975
185,581 Pool #388581
7.500% due 01/15/2024 ........... 184,362
95,152 Pool #398795
8.500% due 07/15/2026 ........... 97,560
95,860 Pool #399003
9.000% due 12/15/2026 ........... 99,095
447,547 Pool #452930
7.500% due 07/15/2027 ........... 444,607
-----------
2,793,595
-----------
Total U.S. Government Agency
Obligations
(Cost $13,713,826) .............. 13,216,142
-----------
See Notes to Financial Statements.
71
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
U.S. TREASURY OBLIGATIONS -- 27.2%
U.S. TREASURY NOTES -- 27.2%
$3,000,000 5.625% due 09/30/2001 ............ $ 2,969,040
1,000,000 5.875% due 11/30/2001 ............ 991,560
6,000,000 6.125% due 12/31/2001 ............ 5,968,080
3,000,000 6.250% due 01/31/2002 ............ 2,989,680
3,500,000 6.500% due 03/31/2002 ............ 3,502,170
4,000,000 6.625% due 04/30/2002 ............ 4,011,240
9,000,000 6.625% due 05/31/2002 ............ 9,033,750
2,000,000 6.250% due 06/30/2002 ............ 1,993,740
5,000,000 5.750% due 10/31/2002 ............ 4,928,100
1,000,000 5.625% due 12/31/2002 ............ 982,500
1,000,000 5.500% due 01/31/2003 ............ 979,370
3,000,000 5.500% due 02/28/2003 ............ 2,936,250
1,400,000 5.250% due 08/15/2003 ............ 1,358,000
3,000,000 4.250% due 11/15/2003 ............ 2,815,290
3,000,000 5.250% due 05/15/2004 ............ 2,895,000
2,000,000 6.000% due 08/15/2004 ............ 1,981,860
4,450,000 6.750% due 05/15/2005 ............ 4,555,688
-----------
54,891,318
-----------
Total U.S. Treasury Obligations
(Cost $55,302,913) .............. 54,891,318
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
DISCOUNT COMMERCIAL PAPER -- 2.6%
(Cost $5,290,089)
$5,292,000 Nestle Capital Corporation,
6.086%(double dagger)
due 07/03/2000 .................. $ 5,290,089
------------
TOTAL INVESTMENTS (COST $205,130,709*) .. 100.3% 202,389,082
OTHER ASSETS AND LIABILITIES (NET) ...... (0.3) (660,341)
----- ------------
NET ASSETS .............................. 100.0% $201,728,741
===== ============
-------------------------------
* Aggregate cost for Federal tax purposes.
** Security is exempt from registration under Rule 144A of
the Securities Act of 1933. These securities may be
resold in transactions exempt from registration to
qualified institutional buyers.
[double dagger] Annualized yield at date of purchase.
[double double dagger] Floating rate security. Rate shown is in effect at
6/30/2000.
^ Illiquid security.
See Notes to Financial Statements.
72
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
GLOBAL FIXED INCOME SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
GOVERNMENT BONDS -- 94.9%
AUSTRALIA -- 0.5%
$ 300,000 Queensland Treasury Corporation,
6.500% due 06/14/2005 ........... $ 180,303
----------
CANADA -- 3.9%
1,970,000 Government of Canada,
5.250% due 09/01/2003 ........... 1,302,396
----------
DENMARK -- 2.7%
Kingdom of Denmark:
4,675,000 6.000% due 11/15/2002 ........... 599,405
2,610,000 5.000% due 08/15/2005 ........... 323,486
----------
922,891
----------
FRANCE -- 5.8%
680,000 French Discount Treasury Bill,
4.338%[double double dagger]
due 09/28/2000 .................. 642,608
Government of France:
614,000 5.500% due 04/25/2004 ........... 594,130
800,000 3.500% due 07/12/2004 ........... 720,340
----------
1,957,078
----------
GERMANY -- 19.9%
140,000 Bundesobligation,
4.500% due 05/17/2002 ........... 132,515
Bundesrepublik:
447,000 5.125% due 11/21/2000 ........... 427,499
626,000 5.250% due 02/21/2001 ........... 599,227
665,000 6.750% due 07/15/2004 ........... 672,495
499,600 6.000% due 01/05/2006 ........... 495,047
1,799,000 6.000% due 01/04/2007 ........... 1,784,924
1,210,000 3.750% due 01/04/2009 ........... 1,035,563
1,600,000 5.625% due 01/04/2028 ........... 1,537,682
----------
6,684,952
----------
ITALY -- 1.6%
590,000 Republic of Italy,
6.000% due 05/29/2008 ........... 544,275
----------
JAPAN -- 17.6%
400,000 Japan Bank for International
Cooperation,
8.000% due 02/05/2007 ........... 644,823
440,000 Japan Financial Corporation
for Municipal Enterprises:
8.375% due 12/07/2006 ........... 723,286
Japan Government:
174,400,000 0.300% due 10/22/2001 ........... 1,642,740
174,400,000 0.500% due 04/22/2002 ........... 1,644,245
400,000 Kansai International Airport
Company,
7.375% due 09/24/2007 ........... 627,876
375,000 Kobe City,
9.500% due 10/20/2004 ........... 623,586
----------
5,906,556
----------
NETHERLANDS -- 3.6%
1,230,000 Dutch Government,
6.000% due 01/15/2006 ........... 1,215,738
----------
SPAIN -- 3.6% Government of Spain:
760,000 4.500% due 07/30/2004 ........... 704,799
540,000 4.500% due 07/30/2004 ........... 501,980
----------
1,206,779
----------
SUPRANATIONAL -- 5.7%
560,000 Asian Development Bank,
6.750% due 06/11/2007 ........... 548,800
430,000 European Investment Bank,
8.000% due 06/10/2003 ........... 675,942
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
SUPRANATIONAL -- (CONTINUED)
Kfw International Finance:
$ 150,000 5.500% due 06/18/2004 ........... $ 219,543
320,000 5.500% due 06/18/2004 ........... 468,359
----------
1,912,644
----------
SWEDEN -- 1.9%
5,800,000 Kingdom of Sweden,
5.000% due 01/15/2004 ........... 651,986
----------
UNITED STATES -- 28.1%
1,860,000 U.S. Treasury Bill,
5.569%[double double dagger]
due 07/13/2000 .................. 1,856,528
U.S. Treasury Bonds:
2,240,000 7.250% due 05/15/2016 ........... 2,465,389
1,880,000 7.500% due 11/15/2016 ........... 2,117,933
U.S. Treasury Notes:
580,000 5.625% due 05/15/2008 ........... 559,514
580,000 4.750% due 11/15/2008 ........... 526,889
1,900,000 4.250% due 01/15/2010 ........... 1,928,500
----------
9,454,753
----------
Total Government Bonds
(Cost $33,893,632) .............. 31,940,351
----------
TOTAL INVESTMENTS (COST $33,893,632*) 94.9% 31,940,351
OTHER ASSETS AND LIABILITIES (NET) 5.1 1,723,620
------ -----------
NET ASSETS 100.0% $33,663,971
====== ===========
------------------------------
* Aggregate cost for Federal tax purposes.
[double double dagger] Annualized yield at date of purchase.
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
---------- ---------------- ------------ ------------ ------------
08/10/2000 EMU 1,538,000 $1,469,840 $1,472,336 $ 2,496
06/26/2000 GBP 1,417,000 2,142,480 2,147,621 5,141
08/18/2000 JPY 771,400,000 7,245,370 7,338,462 93,092
--------
$100,729
--------
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)
---------- ---------------- ------------ ------------ ------------
09/01/2000 CAD 1,750,000 $1,179,515 $1,184,334 $ (4,819)
07/14/2000 DKK 6,300,000 813,533 806,671 6,862
08/10/2000 EMU 732,000 648,802 692,132 (43,330)
09/26/2000 GBP 1,900,000 2,870,140 2,879,661 (9,521)
08/18/2000 JPY 229,600,000 2,200,876 2,184,225 16,651
09/26/2000 SEK 4,330,000 505,516 494,209 11,307
----------
$ (22,850)
----------
Net Unrealized Appreciation of Forward
Foreign Currency Exchange Contracts ................ $ 77,879
==========
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
CAD -- Canadian Dollar
DKK -- Danish Kroner
EMU -- European Monetary Unit
GBP -- Great British Pound Sterling
JPY -- Japanese Yen
SEK -- Swedish Krona
--------------------------------------------------------------------------------
See Notes to Financial Statements.
73
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 59.8%
BANKS -- 0.2%
125 Bank for International Settlements $ 620,652
-----------
BROADCAST, RADIO AND TELEVISION -- 8.6%
128,870 Chris-Craft Industries, Inc.+ .... 8,513,474
89,000 Meredith Corporation ............. 3,003,750
126,500 The New York Times Company, Class A 4,996,750
8,000 Sinclair Broadcast Group, Inc. ... 248,000
15,800 Washington Post Company, Class B 7,552,400
-----------
24,314,374
-----------
BUILDING/CONSTRUCTION -- 1.4%
297,500 Johns Manville Corporation ....... 3,923,281
-----------
CHEMICALS -- 4.4%
149,000 Cabot Corporation ................ 4,060,250
109,000 Great Lakes Chemical Corporation 3,433,500
78,000 Imperial Chemical Industries Plc,
ADR 2,403,375
338,000 Octel Corporation+ ............... 2,640,625
-----------
12,537,750
-----------
CONSUMER PRODUCTS -- 2.2%
28,500 Fortune Brands, Inc. ............. 657,281
54,000 Hasbro, Inc. ..................... 813,375
134,000 Philip Morris Companies, Inc. .... 3,559,375
71,500 Polaroid Corporation ............. 1,291,469
-----------
6,321,500
-----------
DIVERSIFIED HOLDINGS -- 0.0%#
165,000 Lonrho Africa Plc ................ 47,436
-----------
FOOD AND BEVERAGES -- 0.5%
44,000 McCormick & Company, Inc. ........ 1,430,000
-----------
HEALTH CARE -- 1.1%
827,000 Smith & Nephew Plc ............... 2,971,917
-----------
HOTELS/RESORTS -- 1.1%
160,000 Mandalay Resort Group+ ........... 3,200,000
-----------
INSURANCE -- 7.1%
11,500 Aetna Inc. ....................... 738,156
24,000 Berkley (WR) Corporation ......... 450,000
109,000 Leucadia National Corporation .... 2,486,562
198,000 Loews Corporation ................ 11,880,000
34,000 Unitrin, Inc. .................... 998,750
21,700 White Mountains Insurance Group
Inc. ............................ 3,472,000
-----------
20,025,468
-----------
MINING -- 3.3%
205,000 Homestake Mining Company ......... 1,409,375
373,000 Newmont Mining Corporation ....... 8,066,125
-----------
9,475,500
-----------
OIL AND GAS -- 12.4%
217,500 Amerada Hess Corporation ......... 13,430,625
227,300 Mitchell Energy
& Development Corporation, Class A 7,302,012
99,000 Murphy Oil Corporation ........... 5,884,312
122,000 Texaco Inc. ...................... 6,496,500
25,000 USX-Marathon Group ............... 626,562
18,500 Vastar Resources, Inc. ........... 1,519,312
-----------
35,259,323
-----------
PAPER AND FOREST PRODUCTS -- 0.7%
22,000 Georgia-Pacific Corporation ...... 475,750
6,700 Potlatch Corporation ............. 221,937
31,000 Weyerhaeuser Company ............. 1,333,000
-----------
2,030,687
-----------
VALUE
SHARES (NOTE 1)
------ --------
PRINTING/PUBLISHING -- 0.3%
38,000 Donnelley (R.R.) & Sons Company $ 857,375
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
156,000 The Rouse Company ................ 3,861,000
-----------
RETAIL -- 2.4%
48,000 J.C. Penney Company, Inc. ........ 885,000
750,200 Petrie Stores Corporation+ ....... 914,306
155,000 Reebok International Ltd.+ ....... 2,470,312
169,000 Toys "R" Us, Inc.+ ............... 2,461,062
-----------
6,730,680
-----------
TRANSPORTATION -- 4.4%
105,000 Canadian Pacific Ltd. ............ 2,749,687
130,000 Overseas Shipholding Group Inc. .. 3,201,250
61,000 Ryder System, Inc. ............... 1,155,187
140,000 Union Pacific Corporation+ ....... 5,495,000
-----------
12,601,124
-----------
UTILITIES -- 8.3%
216,000 FirstEnergy Corporation .......... 5,049,000
49,000 Kansas City Power & Light Company 1,102,500
865,000 Niagara Mohawk Holdings, Inc.+ ... 12,055,937
54,000 Questar Corporation .............. 1,046,250
292,000 UniSource Energy Corporation+ .... 4,380,000
-----------
23,633,687
-----------
Total Common Stocks
(Cost $157,980,743) ............. 169,841,754
-----------
PREFERRED STOCKS -- 3.9%
INVESTMENT COMPANIES -- 0.2%
11,100 Hercules Trust II ................ 633,255
-----------
MANUFACTURING -- 0.7%
38,500 Owens-Illinois, Inc., Convertible 856,625
36,500 USX Captial Trust I .............. 1,220,469
-----------
2,077,094
-----------
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
199,000 Rouse Company, Class B, Convertible 7,114,250
-----------
UTILITIES -- 0.5%
7,000 Cleveland Electric Illumuninating
Company,
Series L ........................ 686,000
9,017 Entergy Gulf States Utilities Inc.,
Series B ........................ 430,562
2,850 Niagara Mohawk Power Corporation,
Series B ........................ 72,319
4,500 Niagara Mohawk Power Corporation,
Series C ........................ 109,688
-----------
1,298,569
-----------
Total Preferred Stocks
(Cost $12,878,660) .............. 11,123,168
-----------
PRINCIPAL
AMOUNT
-----------
CONVERTIBLE BONDS AND NOTES -- 15.8%
AUTOMOTIVE -- 0.7%
$ 747,000 Exide Cororation,
2.900% due 12/15/2005**^ ........ 366,030
2,980,000 Pep Boys - Manny, Moe & Jack,
5.043%(a) due 09/20/2011 ........ 1,687,425
-----------
2,053,455
-----------
BUILDING/CONSTRUCTION -- 0.4%
2,900,000 Lennar Corporation,
4.942%(a) due 07/29/2018 ........ 1,178,125
-----------
See Notes to Financial Statements.
74
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CONVERTIBLE BONDS AND NOTES -- (CONTINUED)
COMMERCIAL SERVICES -- 0.0%#
$ 100,000 Ogden Corporation,
5.750% due 10/20/2002 ........... $ 84,875
-----------
FINANCIAL SERVICES -- 0.4%
1,200,000 Texaco Capital Inc.,
3.500% due 08/05/2004 ........... 1,135,440
-----------
HEALTH CARE -- 1.3%
3,350,000 HEALTHSOUTH Corporation,
3.250% due 04/01/2003 ........... 2,646,500
600,000 McKesson Corporation,
4.500% due 03/01/2004 ........... 513,000
1,950,000 PhyCor Inc.,
4.500% due 02/15/2003 ........... 402,188
-----------
3,561,688
-----------
HOTELS/RESORTS -- 2.7%
9,450,000 Hilton Hotels Corporation,
5.000% due 05/15/2006 ........... 7,512,750
-----------
INSURANCE -- 1.5%
5,115,000 Loews Corporation,
3.125% due 09/15/2007 ........... 4,283,813
-----------
MINING -- 3.8%
430,000 Battle Mountain Gold Company,
6.000% due 01/04/2005 ........... 354,750
7,250,000 Inco Ltd.,
5.750% due 07/01/2004 ........... 6,515,938
5,050,000 Teck Corporation,
3.750% due 07/15/2006 ........... 3,838,000
-----------
10,708,688
-----------
MUNICIPAL -- 0.5%
1,225,000 California State,
5.250% due 10/01/2011 ........... 1,267,875
-----------
OIL AND GAS -- 0.3%
950,000 Baker Hughes, Inc.,
3.493%(a) due 05/05/2008 ........ 732,688
-----------
PHARMACEUTICALS -- 1.1%
6,980,000 Roche Holdings,
5.295%(a) due 05/06/2012**^ ..... 3,254,425
-----------
PRINTING/PUBLISHING -- 0.1%
660,000 Times Mirror Company,
4.050%(a) due 04/15/2017 ........ 371,250
-----------
RETAIL -- 0.1%
485,000 Rite Aid Corporation,
5.250% due 09/15/2002 ........... 292,819
-----------
TELECOMMUNICATIONS -- 0.4%
1,245,000 Bellsouth Telecommunications,
5.850% due 11/15/2045 ........... 1,238,606
-----------
UTILITIES -- 0.6%
1,850,000 Potomac Electric Power Corporation,
5.000% due 09/01/2002 ........... 1,755,188
-----------
WASTE MANAGEMENT -- 1.9%
5,880,000 Waste Management, Inc.,
4.000% due 02/01/2002 ........... 5,483,100
-----------
Total Convertible Bonds and Notes
(Cost $48,868,835) .............. 44,914,785
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.5%
$ 1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001 ........... $ 1,002,406
500,000 Federal National Mortgage
Association,
6.375% due 01/16/2002 ........... 496,322
Tennessee Valley Authority Power:
15,145,000 5.880% due 04/01/2036 ........... 14,444,544
1,400,000 5.980% due 04/01/2036 ........... 1,336,934
3,900,000 6.235% due 07/15/2045 ........... 3,873,558
-----------
Total U.S. Government Agency
Obligations
(Cost $21,907,202) .............. 21,153,764
-----------
U.S. TREASURY NOTES -- 1.6%
500,000 6.125% due 07/31/2000 ........... 496,561
600,000 6.250% due 04/30/2001 ........... 599,058
1,100,000 6.250% due 10/31/2001 ........... 1,096,557
2,205,000 5.875% due 09/30/2002 ........... 2,180,194
-----------
Total U.S. Treasury Notes
(Cost $4,428,567) ............... 4,372,370
-----------
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
--------- ----------- ------
PUT STOCK OPTIONS PURCHASED -- 0.0%##
(Cost $12,060)
20 Tribune Company 11/18/2000 $40.00 12,750
------------
TOTAL INVESTMENTS (COST $246,076,067*) .. 88.6% 251,418,591
OTHER ASSETS AND LIABILITIES (NET) ...... 11.4 32,476,194
------ ------------
NET ASSETS .............................. 100.0% $283,894,785
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
** Security 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.
+ Non-income producing security.
(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
TOTAL RETURN SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 54.5%
AEROSPACE/DEFENSE -- 1.1%
98,100 The Boeing Company ............... $ 4,101,806
52,100 United Technologies Corporation .. 3,067,387
-----------
7,169,193
-----------
AUTOMOTIVE -- 1.2%
217,800 Delphi Automotive Systems
Corporation ..................... 3,171,712
27,400 Ford Motor Company ............... 1,178,200
90,200 TRW Inc. ......................... 3,912,425
3,587 Visteon Corporation .............. 43,498
-----------
8,305,835
-----------
BANKS -- 2.9%
89,400 Bank of America Corporation ...... 3,844,200
38,300 Bank of New York Company, Inc. ... 1,780,950
16,800 Bank One Corporation ............. 446,250
276,100 HSBC Holdings Plc ................ 3,156,228
168,600 Mellon Financial Corporation ..... 6,143,362
85,300 PNC Financial Services Group ..... 3,998,437
-----------
19,369,427
-----------
BROADCAST, RADIO AND TELEVISION -- 2.8%
44,500 Comcast Corporation,
Special Class A+ ................ 1,802,250
89,500 Gannett Company, Inc. ............ 5,353,219
110,500 The New York Times Company, Class A 4,364,750
45,800 Time Warner Inc. ................. 3,480,800
77,700 Tribune Company .................. 2,719,500
18,445 Viacom, Inc., Class B+ ........... 1,257,718
-----------
18,978,237
-----------
CHEMICALS -- 2.3%
73,800 Air Products and Chemicals, Inc. 2,273,962
179,400 Akzo Nobel N.V. .................. 7,622,053
152,700 Rohm and Haas Company ............ 5,268,150
-----------
15,164,165
-----------
COMPUTER INDUSTRY -- 0.5%
4,700 Hewlett-Packard Company .......... 586,912
7,500 International Business Machines
Corporation ..................... 821,719
25,000 Microsoft Corporation+ ........... 2,000,000
-----------
3,408,631
-----------
CONSUMER PRODUCTS -- 0.7%
6,000 Eastman Kodak Company ............ 357,000
87,000 Fortune Brands, Inc. ............. 2,006,437
35,000 Kimberly-Clark Corporation ....... 2,008,125
-----------
4,371,562
-----------
ELECTRONICS -- 1.3%
1,792 Agilent Technologies, Inc.+ ...... 132,160
141,400 Emerson Electric Company ......... 8,537,025
-----------
8,669,185
-----------
FINANCIAL SERVICES -- 2.2%
81,750 Citigroup, Inc. .................. 4,925,437
81,100 Edwards (A.G.), Inc. ............. 3,162,900
46,600 Freddie Mac ...................... 1,887,300
23,400 Merrill Lynch & Company, Inc. .... 2,691,000
28,000 Morgan Stanley Dean Witter &
Company ......................... 2,331,000
-----------
14,997,637
-----------
FOOD AND BEVERAGES -- 3.0%
30,000 Anheuser-Busch Companies, Inc. ... 2,240,625
199,488 Archer-Daniels Midland Company ... 1,957,476
410,547 Diageo Plc ....................... 3,683,707
54,900 General Mills, Inc. .............. 2,099,925
21,800 Hershey Foods Corporation ........ 1,057,300
VALUE
SHARES (NOTE 1)
------ --------
FOOD AND BEVERAGES -- (CONTINUED)
24,300 McCormick & Company, Inc. ........ $ 789,750
2,055 Nestle S.A. ...................... 4,112,897
60,000 The Quaker Oats Company .......... 4,507,500
-----------
20,449,180
-----------
HEALTH CARE -- 0.3%
11,400 Baxter International Inc. ........ 801,562
40,000 HCA-The Healthcare Corporation ... 1,215,000
1 LifePoint Hospitals, Inc.+ ....... 22
1 Triad Hospitals, Inc.+ ........... 24
-----------
2,016,608
-----------
HOTELS/RESORTS -- 0.7%
161,000 Harrah's Entertainment, Inc.+ .... 3,370,937
46,000 MGM Grand, Inc. .................. 1,477,750
-----------
4,848,687
-----------
INSURANCE -- 6.7%
28,900 The Allstate Corporation ......... 643,025
5,050 American International Group, Inc. 593,375
5,000 AXA .............................. 787,668
167,300 AXA Financial, Inc. .............. 5,688,200
30,500 The Chubb Corporation ............ 1,875,750
29,800 CIGNA Corporation ................ 2,786,300
169,600 The Hartford Financial Services
Group, Inc. ..................... 9,487,000
33,650 Jefferson-Pilot Corporation ...... 1,899,122
141,400 Lincoln National Corporation ..... 5,108,075
54,400 Marsh & McLennan Companies, Inc. 5,681,400
63,420 MetLife, Inc.+ ................... 1,335,784
63,100 ReliaStar Financial Corporation .. 3,308,806
167,800 The St. Paul Companies, Inc. ..... 5,726,175
-----------
44,920,680
-----------
LEISURE ENTERTAINMENT -- 0.1%
15,400 The Walt Disney Company .......... 597,713
-----------
MANUFACTURING -- 1.6%
135,900 Deere & Company .................. 5,028,300
5,000 General Electric Company ......... 265,000
65,000 Honeywell International Inc. ..... 2,189,687
60,600 Ingersoll-Rand Company ........... 2,439,150
10,306 Tyco International Ltd. .......... 488,247
-----------
10,410,384
-----------
METALS/MINING -- 0.1%
33,600 Alcoa Inc. ....................... 974,400
-----------
OIL AND GAS -- 13.6%
56,000 Apache Corporation ............... 3,293,500
181,542 BP Amoco Plc, ADR ................ 10,268,469
14,700 Chevron Corporation .............. 1,246,744
209,200 The Coastal Corporation .......... 12,735,050
34,151 Columbia Energy Group ............ 2,241,159
159,200 Conoco Inc., Class A ............. 3,502,400
102,100 Devon Energy Corporation ......... 5,736,744
27,400 El Paso Energy Corporation ....... 1,395,688
120,857 Exxon Mobil Corporation .......... 9,487,275
173,200 Halliburton Company .............. 8,172,875
101,900 National Fuel Gas Company ........ 4,967,625
227,700 Noble Drilling Corporation+ ...... 9,378,394
128,000 Royal Dutch Petroleum Company,
NY Shares ....................... 7,880,000
80,400 Sunoco, Inc. ..................... 2,366,775
41,800 Transocean Sedco Forex Inc. ...... 2,233,688
155,300 The Williams Companies, Inc. ..... 6,474,069
-----------
91,380,455
-----------
See Notes to Financial Statements.
76
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
PAPER AND FOREST PRODUCTS -- 0.2%
24,900 Bowater Inc. ..................... $ 1,098,713
-----------
PHARMACEUTICALS -- 3.5%
154,400 Abbott Laboratories .............. 6,880,450
93,500 American Home Products Corporation 5,493,125
75,800 Bristol-Myers Squibb Company ..... 4,415,350
111,800 Pharmacia Corporation ............ 5,778,663
19,400 SmithKline Beecham Plc, ADR ...... 1,264,638
-----------
23,832,226
-----------
REAL ESTATE INVESTMENT TRUST -- 0.5%
68,400 Equity Residential Properties Trust 3,146,400
-----------
RESTAURANTS -- 0.2%
38,300 McDonald's Corporation ........... 1,261,506
-----------
RETAIL -- 1.1%
164,300 The Kroger Company+ .............. 3,624,869
86,400 Safeway Inc.+ .................... 3,898,800
-----------
7,523,669
-----------
SERVICES -- 0.7%
53,800 Automatic Data Processing Inc. ... 2,881,662
36,500 W.W. Grainger, Inc. .............. 1,124,656
44,900 Xerox Corporation ................ 931,675
-----------
4,937,993
-----------
TELECOMMUNICATIONS -- 4.5%
26,600 ALLTEL Corporation ............... 1,647,538
45,150 AT&T Corporation ................. 1,427,869
12,400 Bell Atlantic Corporation ........ 630,075
168,200 GTE Corporation .................. 10,470,450
90,900 Motorola, Inc. ................... 2,641,781
30,000 Nippon Telegraph & Telephone
Corporation, ADR ................ 2,051,250
151,066 SBC Communications Inc. .......... 6,533,605
24,300 Sprint Corporation ............... 1,239,300
33,000 Telephone and Data Systems, Inc... 3,308,250
-----------
29,950,118
-----------
TRANSPORTATION -- 0.4%
89,100 Burlington Northern Santa Fe
Corporation ..................... 2,043,731
9,520 United Parcel Service, Inc.,
Class B+ ........................ 561,680
-----------
2,605,411
-----------
UTILITIES -- 2.3%
33,700 CMS Energy Corporation ........... 745,613
69,200 CP&L Energy, Inc. ................ 2,210,075
68,000 Duke Energy Corporation .......... 3,833,500
43,700 Eastern Enterprises .............. 2,753,100
40,000 NiSource Inc. .................... 745,000
25,000 PECO Energy Company .............. 1,007,813
71,700 Pinnacle West Capital Corporation 2,428,838
55,152 Sierra Pacific Resources ......... 692,847
53,000 Washington Gas Light Company ..... 1,275,313
-----------
15,692,099
-----------
Total Common Stocks
(Cost $347,008,346) ............. 366,080,114
-----------
PREFERRED STOCKS -- 1.8%
INSURANCE -- 0.3%
81,900 Lincoln National Corporation ..... 1,658,475
-----------
MANUFACTURING -- 0.2%
68,600 Owens-Illinois, Inc. ............. 1,526,350
-----------
VALUE
SHARES (NOTE 1)
------ --------
OIL AND GAS -- 0.3%
33,600 El Paso Energy Capital Trust I ... $ 2,163,000
-----------
RETAIL -- 0.4%
34,900 CVS Corporation .................. 2,471,356
-----------
UTILITIES -- 0.6%
47,700 CMS Energy Corporation ........... 1,335,600
36,000 NiSource Inc. .................... 1,424,250
29,100 TXU Corporation .................. 1,131,263
-----------
3,891,113
-----------
Total Preferred Stocks
(Cost $13,702,610) .............. 11,710,294
-----------
PRINCIPAL
AMOUNT
---------
CORPORATE BONDS -- 20.8%
ADVERTISING -- 0.0%#
$ 250,000 Outdoor Systems, Inc.,
8.875% due 06/15/2007 ........... 252,500
-----------
AIRLINES -- 1.0%
572,618 American Airlines, Inc.,
6.855% due 04/15/2009 ........... 559,417
1,756,434 Atlas Air, Inc.,
7.200% due 01/02/2019 ........... 1,631,261
Continental Airlines, Inc.:
88,722 9.500% due 10/15/2013 ........... 91,755
673,420 6.648% due 09/15/2017 ........... 615,206
476,231 6.545% due 02/02/2019 ........... 433,711
1,091,258 7.256% due 03/15/2020 ........... 1,036,330
Northwest Airlines, Inc.:
866,000 8.072% due 10/01/2019 ........... 866,000
1,477,509 6.810% due 02/01/2020 ........... 1,327,324
-----------
6,561,004
-----------
AUTOMOTIVE -- 1.3%
DaimlerChrysler NA Holding
Corporation:
5,464,000 6.630% due 09/21/2001 ........... 5,417,037
1,042,000 7.750% due 05/27/2003 ........... 1,050,409
1,774,000 7.400% due 01/20/2005 ........... 1,771,362
280,000 Ford Motor Company,
8.900% due 01/15/2032 ........... 305,896
335,000 General Motors Corporation,
9.400% due 07/15/2021 ........... 386,597
-----------
8,931,301
-----------
BANKS -- 0.4%
1,318,000 The Chase Manhattan Corporation,
6.750% due 12/01/2004 ........... 1,286,700
489,000 Fleet National Bank,
5.750% due 01/15/2009 ........... 427,363
225,000 Riggs National Corporation,
9.650% due 06/15/2009 ........... 225,679
347,000 State Street Corporation,
7.650% due 06/15/2010 ........... 344,894
186,000 Washington Mutual Capital I,
8.375% due 06/01/2027 ........... 165,988
-----------
2,450,624
-----------
BROADCAST, RADIO AND TELEVISION -- 0.7%
1,000,000 Adelphia Communications Corporation,
9.793%(a) due 01/15/2008 ........ 415,000
250,000 AMFM, Inc.,
8.750% due 06/15/2007 ........... 251,875
See Notes to Financial Statements.
77
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE BONDS -- (CONTINUED)
BROADCAST, RADIO AND TELEVISION -- (CONTINUED)
$ 539,000 Belo (A.H.) Corporation,
7.750% due 06/01/2027 ........... $ 469,922
300,000 FrontierVision L.P.,
11.000% due 10/15/2006 .......... 304,500
2,224,000 Hearst-Argyle Television, Inc.,
7.500% due 11/15/2027 ........... 1,926,309
News America Inc.:
357,000 6.703% due 05/21/2004 ........... 338,421
78,000 6.625% due 01/09/2008 ........... 71,488
882,000 7.300% due 04/30/2028 ........... 759,512
526,000 Time Warner, Inc.,
6.625% due 05/15/2029 ........... 443,614
-----------
4,980,641
-----------
CHEMICALS -- 0.3%
2,090,000 Lyondell Chemical Company,
9.625% due 05/01/2007 ........... 2,063,875
-----------
CONSTRUCTION/BUILDING MATERIALS -- 0.0%#
300,000 Nortek, Inc.,
9.250% due 03/15/2007 ........... 282,000
-----------
FINANCIAL SERVICES -- 5.5%
AIG SunAmerica Global Financial II:
1,641,000 7.400% due 05/05/2003** ......... 1,647,093
1,243,000 7.600% due 06/15/2005**^ ........ 1,255,363
793,000 AIG SunAmerica Institutional
Funding,
5.750% due 02/16/2009 ........... 694,470
Associates Corporation of North
America:
2,004,000 5.750% due 11/01/2003 ........... 1,894,802
2,537,000 5.500% due 02/15/2004 ........... 2,362,995
322,000 AT&T Capital Corporation,
6.250% due 05/15/2001 ........... 319,401
1,032,000 Beaver Valley Funding Corporation,
9.000% due 06/01/2017 ........... 1,032,000
100,000 Capital One Financial Corporation,
7.250% due 12/01/2003 ........... 97,711
100,000 Colonial Capital II,
8.920% due 01/15/2027 ........... 83,910
510,000 Countrywide Home Loans, Inc.,
6.250% due 04/15/2009 ........... 446,624
1,250,000 Criimi Mae Commercial Mortgage
Trust,
7.000% due 03/02/2011 ........... 1,088,838
Ford Motor Credit Company:
3,598,000 6.700% due 07/16/2004 ........... 3,476,841
1,892,000 7.750% due 02/15/2007 ........... 1,891,487
662,000 5.800% due 01/12/2009 ........... 576,822
2,024,000 7.875% due 06/15/2010 ........... 2,024,648
General Electric Capital
Corporation:
1,320,000 7.500% due 05/15/2005 ........... 1,337,173
665,000 8.700% due 03/01/2007 ........... 716,178
457,000 8.850% due 03/01/2007 ........... 495,746
336,000 8.750% due 05/21/2007 ........... 361,472
592,000 8.500% due 07/24/2008 ........... 632,238
1,026,000 7.375% due 01/19/2010 ........... 1,038,240
General Motors Acceptance
Corporation:
2,500,000 6.750% due 12/10/2002 ........... 2,463,398
732,000 5.950% due 03/14/2003 ........... 705,139
2,408,000 7.625% due 06/15/2004 ........... 2,411,191
3,000,000 Goldman Sachs Group L.P.,
5.900% due 01/15/2003** ......... 2,884,554
1,211,000 GS Escrow Corporation,
6.750% due 08/01/2001** ......... 1,176,764
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
FINANCIAL SERVICES -- (CONTINUED)
$ 627,000 John Deere Capital Corporation,
7.000% due 10/15/2002 ........... $ 621,839
Midamerican Funding LLC,
220,000 5.850% due 03/01/2001** ......... 217,651
687,000 6.927% due 03/01/2029** ......... 573,344
Midland Funding Corporation:
69,560 10.330% due 07/23/2002 .......... 71,217
31,000 11.750% due 07/23/2005 .......... 33,061
Morgan Stanley Dean Witter &
Company:
1,121,000 7.125% due 01/15/2003 ........... 1,114,174
816,000 7.750% due 06/15/2005 ........... 821,085
401,000 Socgen Real Estate LLC,
7.640% due 12/29/2049** ......... 365,621
-----------
36,933,090
-----------
FOOD AND BEVERAGES -- 0.5%
Joseph E. Seagrams and Sons, Inc.:
1,042,000 5.790% due 04/15/2001 ........... 1,029,076
1,355,000 6.400% due 12/15/2003 ........... 1,304,586
1,054,000 7.500% due 12/15/2018 ........... 997,327
165,000 Nabisco, Inc.,
6.375% due 02/01/2035 ........... 151,045
-----------
3,482,034
-----------
INSURANCE -- 1.0%
1,822,000 AFLAC, Inc.,
6.500% due 04/15/2009 ........... 1,655,928
356,000 Atlantic Mutual Insurance Company,
8.150% due 02/15/2028** ......... 262,245
5,110,000 Loews Corporation,
3.125% due 09/15/2007 ........... 4,279,625
380,000 Providian Capital I,
9.525% due 02/01/2027** ......... 320,290
-----------
6,518,088
-----------
LEISURE ENTERTAINMENT -- 1.3%
Time Warner Entertainment:
6,297,000 6.100% due 12/30/2001** ......... 6,184,800
1,554,000 10.150% due 05/01/2012 .......... 1,809,585
784,000 8.375% due 07/15/2033 ........... 798,619
-----------
8,793,004
-----------
MANUFACTURING -- 0.1%
441,000 Eaton Corporation,
6.950% due 11/15/2004 ........... 428,809
-----------
OIL AND GAS -- 1.1%
The Coastal Corporation:
1,258,000 6.200% due 05/15/2004 ........... 1,204,597
1,599,000 7.750% due 06/15/2010 ........... 1,590,955
547,000 Enron Corporation,
7.875% due 06/15/2003 ........... 551,087
993,000 Northern Natural Gas Company,
7.000% due 06/01/2011** ......... 927,214
948,000 Occidental Petroleum Corporation,
6.400% due 04/01/2013 ........... 909,220
762,000 Phillips Petroleum Company,
8.500% due 05/25/2005 ........... 789,343
650,000 Tennessee Gas Pipeline Company,
7.625% due 04/01/2037 ........... 599,262
100,000 Texas Gas Transmission Corporation,
7.250% due 07/15/2027 ........... 92,170
See Notes to Financial Statements.
78
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE BONDS -- (CONTINUED)
OIL AND GAS -- (CONTINUED)
$ 205,000 Ultramar Diamond Shamrock
Corporation,
7.200% due 10/15/2017 ........... $ 185,117
376,000 Williams Gas Pipeline,
7.375% due 11/15/2006** ......... 369,350
-----------
7,218,315
-----------
PAPER AND FOREST PRODUCTS -- 0.5%
Georgia Pacific Corporation:
658,000 9.950% due 06/15/2002 ........... 683,673
1,250,000 7.700% due 06/15/2015 ........... 1,164,354
10,000 9.875% due 11/01/2021 ........... 10,236
1,000,000 9.500% due 05/15/2022 ........... 1,003,930
250,000 U.S. Timberlands Klamath Falls,
LLC,
9.625% due 11/15/2007 ........... 221,250
-----------
3,083,443
-----------
RETAIL -- 0.3%
Federated Department Stores, Inc.:
1,535,000 8.500% due 06/15/2003 ........... 1,561,562
195,000 6.300% due 04/01/2009 ........... 173,572
-----------
1,735,134
-----------
SERVICES -- 0.3%
3,440,000 Xerox Corporation,
0.570% due 04/21/2018** ......... 1,810,300
-----------
TELECOMMUNICATIONS -- 1.8%
1,110,000 American Tower Corporation,
5.000% due 02/15/2010**^ ........ 1,129,425
231,000 AT&T Canada, Inc.,
9.950% due 06/15/2008 ........... 188,172
1,728,000 AT&T Corporation,
9.650% due 03/31/2027 ........... 1,879,354
438,000 BellSouth Corporation,
7.750% due 02/15/2010 ........... 438,520
1,549,000 Comcast Corporation,
9.125% due 10/15/2006 ........... 1,625,810
200,000 MCI WorldCom, Inc.,
8.875% due 01/15/2006 ........... 206,309
Sprint Capital Corporation:
1,733,000 6.500% due 11/15/2001 ........... 1,713,207
2,018,000 5.875% due 05/01/2004 ........... 1,902,694
1,802,000 6.900% due 05/01/2019 ........... 1,603,448
490,000 Telecomunicaciones de Puerto Rico,
6.650% due 05/15/2006 ........... 464,343
1,180,000 Qwest Corporation,
7.625% due 06/09/2003** ......... 1,178,546
-----------
12,329,828
-----------
TRANSPORTATION -- 0.1%
Union Pacific Corporation:
413,000 5.780% due 10/15/2001 ........... 405,371
640,000 6.340% due 11/25/2003 ........... 612,961
-----------
1,018,332
-----------
UTILITIES -- 4.6%
1,998,696 AEP Generating Corporation,
9.810% due 12/07/2022 ........... 2,230,880
1,681,848 CE Generation, LLC,
7.416% due 12/15/2018** ......... 1,575,014
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
UTILITIES -- (CONTINUED)
Cleveland Electric Illuminating
Company:
$5,360,000 7.670% due 07/01/2004 ........... $5,318,685
201,000 7.880% due 11/01/2017 ........... 192,478
362,000 9.000% due 07/01/2023 ........... 360,494
CMS Energy Corporation:
621,000 8.000% due 07/01/2001 ........... 611,679
2,463,000 8.375% due 07/01/2003 ........... 2,382,928
1,700,000 6.750% due 01/15/2004 ........... 1,575,035
1,359,000 Commonwealth Edison Company,
8.500% due 07/15/2022 ........... 1,340,970
The Connecticut Light and Power
Company:
147,000 7.875% due 06/01/2001 ........... 147,357
1,000,000 8.590% due 06/05/2003** ......... 973,804
415,000 7.875% due 10/01/2024 ........... 415,143
760,000 Empresa Electrica Guacolda S.A.,
7.600% due 04/30/2001** ......... 752,400
454,000 Entergy Mississippi, Inc.,
6.200% due 05/01/2004 ........... 433,003
228,000 Gulf States Utilities Company,
8.250% due 04/01/2004 ........... 232,980
15,000 MidAmerican Energy Holdings,
7.230% due 09/15/2005 ........... 14,593
Niagara Mohawk Power Corporation:
821,121 7.250% due 10/01/2002 ........... 810,575
202,000 7.375% due 08/01/2003 ........... 200,580
2,005,000 7.750% due 05/15/2006 ........... 1,997,898
364,000 8.770% due 01/01/2018 ........... 375,495
90,000 8.500% due 07/01/2023 ........... 90,052
73,000 North Atlantic Energy Corporation,
9.050% due 06/01/2002 ........... 72,740
597,324 Northeast Utilities Corporation,
8.580% due 12/01/2006 ........... 581,738
505,000 NRG Energy Inc.,
8.700% due 03/15/2005** ......... 507,115
697,000 NRG South Central, LLC,
8.962% due 03/15/2016** ......... 705,552
632,000 NSTAR,
8.000% due 02/15/2010 ........... 634,827
Salton Sea Funding Corporation:
15,226 7.370% due 05/30/2005 ........... 14,941
800,000 7.840% due 05/30/2010 ........... 784,453
219,030 System Energy Resources,
7.430% due 01/15/2011 ........... 209,059
514,000 Texas Utilities Company,
5.940% due 10/15/2011 ........... 504,478
1,238,000 Toledo Edison Company,
7.875% due 08/01/2004 ........... 1,235,564
371,000 TXU Eastern Funding Company,
6.150% due 05/15/2002 ........... 359,104
352,000 UtiliCorp United Inc.,
7.000% due 07/15/2004 ........... 337,247
1,133,691 Waterford 3 Funding,
8.090% due 01/02/2017 ........... 1,062,675
2,141,000 Wisconsin Electric Power,
6.625% due 12/01/2002 ........... 2,123,116
-----------
31,164,652
-----------
Total Corporate Bonds
(Cost $145,350,831) ............. 140,036,974
-----------
See Notes to Financial Statements.
79
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.4%
$ 825,000 America Express Credit Account
Master Trust,
5.600% due 11/15/2006 ........... $ 782,026
1,218,901 Bear Stearns Commerical Mortgage
Securities,
6.800% due 09/15/2008 ........... 1,193,949
330,948 Beneficial Mortgage Corporation,+
6.731%++ due 09/28/2037 ......... 329,902
93,505 BlackRock Capital Finance, LP,
7.750% due 09/25/2026 ........... 51,428
Chase Commercial Mortgage
Securities Corporation:
385,000 7.543% due 09/15/2009 ........... 384,992
874,000 6.390% due 11/18/2030 ........... 816,858
COMM 2000:
1,237,000 6.850%[double double dagger]
due 01/15/2003** ................ 1,237,000
758,811 6.950%[double double dagger]
due 12/16/2011** ................ 758,811
2,058,000 Countrywide Alternative Loan Trust,
8.000% due 07/25/2030 ........... 2,084,589
449,000 Criimi Mae CMBS Corporation,
6.701% due 05/20/2008 ........... 404,532
1,168,959 Ford Credit Auto Owner Trust,
6.200% due 04/15/2002 ........... 1,165,303
2,053,051 GS Mortgage Securities Corporation,
6.060% due 10/18/2030 ........... 1,963,148
262,908 Illinois Power Special Purpose
Trust,
5.260% due 06/25/2003 ........... 259,756
JP Morgan Commerical Mortgage
Finance Corporation:
694,973 6.931% due 04/15/2010 ........... 694,973
426,000 6.613% due 01/15/2030 ........... 404,785
Jet Equipment Trust:
49,118 9.410% due 06/15/2010** ......... 52,654
44,247 8.640% due 11/01/2012** ......... 45,321
10,000 10.690% due 11/01/2013** ........ 11,672
Residential Accredit Loans, Inc.:
1,000,000 7.000% due 03/25/2028 ........... 942,455
1,625,000 6.750% due 10/25/2028 ........... 1,540,537
376,000 Residential Funding Mortgage
Securities,
7.660% due 09/25/2012 ........... 375,516
645,336 Starwood Asset Receivables Trust,
6.951% due 08/25/2003** ......... 645,336
-----------
Total Collateralized Mortgage
Obligations
(Cost $16,282,041) .............. 16,145,543
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.3%
FEDERAL HOME LOAN BANK (FHLB) -- 0.1%
800,000 5.700% due 03/03/2009 ........... 716,623
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(GOLD) (FGLMC) -- 0.2%
1,432,007 Pool #C18106
6.500% due 11/01/2028 ........... 1,352,788
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 5.6%
1,270,000 Pool #410201
5.722% due 03/01/2009 ........... 1,151,715
675,000 6.625% due 09/15/2009 ........... 652,070
5,765,000 7.250% due 01/15/2010 ........... 5,821,976
9,876,000 7.125% due 06/15/2010 ........... 9,914,615
2,814,921 Pool #436880
6.500% due 08/01/2028 ........... 2,654,808
2,724,271 Pool #430883
6.500% due 09/01/2028 ........... 2,569,314
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- (CONTINUED)
$2,889,207 Pool #450807
6.500% due 11/01/2028 ........... $ 2,724,869
867,825 Pool #452026
6.500% due 11/01/2028 ........... 818,463
661,174 Pool #252162
6.500% due 12/01/2028 ........... 623,567
429,661 Pool #479026
6.500% due 01/01/2029 ........... 405,222
399,506 Pool #508538
7.000% due 08/01/2029 ........... 385,771
Pool #32767
3,600,000 7.500% due 10/01/2029 ........... 3,545,438
3,600,000 7.000% due 11/01/2029 ........... 3,472,592
3,325,577 Pool #535041
7.000% due 12/01/2029 ........... 3,211,244
-----------
37,951,664
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 4.4%
5,310,256 Pool #323416
8.000% due 05/15/2022 ........... 5,369,997
555,235 Pool #780598
7.500% due 12/15/2023 ........... 551,937
132,210 8.000% due 06/20/2025 ........... 132,723
104,932 Pool #353404
7.500% due 09/15/2025 ........... 104,242
504,635 Pool #414736
7.500% due 11/15/2025 ........... 501,319
70,911 Pool #417340
7.500% due 04/15/2026 ........... 70,445
133,973 Pool #423906
7.500% due 07/15/2026 ........... 133,093
16,911 Pool #432725
8.000% due 07/15/2026 ........... 17,101
266,652 Pool #436405
8.000% due 07/15/2026 ........... 269,651
11,405 Pool #436440
7.500% due 08/15/2026 ........... 11,330
222,155 Pool #433213
7.500% due 09/15/2026 ........... 220,696
310,102 Pool #409052
7.500% due 10/15/2026 ........... 308,065
1,199,577 Pool #431365
7.500% due 10/15/2026 ........... 1,191,696
226,322 Pool #433128
7.500% due 10/15/2026 ........... 224,835
21,168 Pool #442177
8.000% due 12/15/2026 ........... 21,406
513,980 Pool #780498
7.500% due 01/15/2027 ........... 510,927
459,297 Pool #439051
7.500% due 02/15/2027 ........... 456,279
25,941 Pool #432446
7.500% due 04/15/2027 ........... 25,770
190,586 Pool #780546
7.500% due 04/15/2027 ........... 189,454
120,415 Pool #418877
7.500% due 05/15/2027 ........... 119,624
660,519 Pool #426435
7.500% due 05/15/2027 ........... 656,179
70,713 Pool #439558
7.500% due 05/15/2027 ........... 70,249
365,169 Pool #411815
8.000% due 07/15/2027 ........... 369,277
See Notes to Financial Statements.
80
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
TOTAL RETURN SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- (CONTINUED)
$ 372,859 Pool #448957
7.500% due 09/15/2027 ........... $ 370,410
127,219 Pool #455301
7.500% due 09/15/2027 ........... 126,383
274,994 Pool #427811
7.500% due 11/15/2027 ........... 273,188
431,351 Pool #410449
7.500% due 02/15/2028 ........... 428,517
76,084 Pool #458872
7.000% due 03/15/2028 ........... 74,039
49,485 Pool #460810
7.000% due 04/15/2028 ........... 48,155
1,301,708 Pool #467737
7.000% due 04/15/2028 ........... 1,266,718
238,129 Pool #480413
7.000% due 07/15/2028 ........... 231,728
602,913 Pool #480776
7.000% due 07/15/2028 ........... 586,707
701,324 Pool #450368
7.000% due 08/15/2028 ........... 682,379
374,298 Pool #468129
7.000% due 08/15/2028 ........... 364,188
1,561,211 Pool #486467
7.000% due 08/15/2028 ........... 1,519,246
987,165 Pool #186997
8.000% due 11/15/2029 ........... 998,270
2,164,189 Pool #486237
8.000% due 12/15/2029 ........... 2,188,536
1,308,252 Pool #486238
8.000% due 12/15/2029 ........... 1,322,970
1,992,720 Pool #507241
8.000% due 12/15/2029 ........... 2,015,138
1,492,590 Pool #517447
8.000% due 12/15/2029 ........... 1,509,382
1,792,734 Pool #521648
8.000% due 12/15/2029 ........... 1,812,902
939,526 Pool #525494
8.000% due 12/15/2029 ........... 950,095
997,302 Pool #500212
8.000% due 02/15/2030 ........... 1,008,521
-----------
29,303,767
-----------
Total U.S. Government Agency Obligations
(Cost $70,169,451) .............. 69,324,842
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
U.S. TREASURY OBLIGATIONS -- 6.0%
U.S. TREASURY BONDS -- 4.3%
$ 9,631,000 9.875% due 11/15/2015 ........... $13,052,991
15,752,000 6.125% due 08/15/2029 ........... 15,933,148
-----------
28,986,139
-----------
U.S. TREASURY NOTES -- 1.7%
5,000,000 4.250% due 01/15/2010 ........... 5,075,000
6,103,000 6.500% due 02/15/2010 ........... 6,305,009
-----------
11,380,009
-----------
Total U.S. Treasury Obligations
(Cost $40,075,979) 40,366,148
-----------
SHORT TERM INVESTMENTS -- 3.8%
(Cost $25,490,693)
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 3.8%
25,500,000 4.869%[double dagger]
due 07/03/2000 .................. 25,490,693
-----------
TOTAL INVESTMENTS (COST $658,079,951*) .. 99.6% 669,154,608
OTHER ASSETS AND LIABILITIES (NET) ...... 0.4 3,011,135
------ ------------
NET ASSETS .............................. 100.0% $672,165,743
====== ============
-------------------------------
* Aggregate cost for Federal tax purposes.
** Securities exempt from registration under Rule 144A of
the Securities Act of 1933. These securities may be
resold in transactions exempt from registration to
qualified institutional buyers.
^ Illiquid security.
+ Non-income producing securities.
[double dagger] Annualized yield at date of purchase.
[double double dagger] Floating rate security. Rate shown is in effect
at 6/30/2000.
(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.
81
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
EQUITY INCOME SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 95.3%
AEROSPACE/DEFENSE -- 1.8%
26,300 The Boeing Company ............... $ 1,099,669
142,000 Lockheed Martin Corporation ...... 3,523,375
-----------
4,623,044
-----------
AUTOMOTIVE -- 0.8%
24,400 Dana Corporation ................. 516,975
82,200 Genuine Parts Company ............ 1,644,000
-----------
2,160,975
-----------
BANKS -- 8.0%
34,400 Bank of America Corporation ...... 1,479,200
91,700 Bank One Corporation ............. 2,435,781
54,000 Firstar Corporation .............. 1,137,375
115,561 FleetBoston Financial Corporation 3,929,074
28,200 KeyCorp .......................... 497,025
169,700 Mellon Financial Corporation ..... 6,183,444
55,700 Mercantile Bankshares Corporation 1,660,556
53,300 National City Corporation ........ 909,431
62,800 Wells Fargo & Company ............ 2,433,500
-----------
20,665,386
-----------
CHEMICALS -- 3.0%
39,900 The Dow Chemical Company ......... 1,204,481
62,200 du Pont (E.I.) de Nemours and
Company ......................... 2,721,250
54,600 Great Lakes Chemical Corporation 1,719,900
94,900 Hercules, Inc. ................... 1,334,531
26,500 Imperial Chemical Industries Plc,
ADR ............................. 816,531
-----------
7,796,693
-----------
COMPUTER INDUSTRY -- 1.9%
24,700 BMC Software, Inc.+ .............. 901,164
50,700 Compaq Computer Corporation ...... 1,296,019
27,000 Microsoft Corporation+ ........... 2,160,000
40,500 Unisys Corporation+ .............. 589,781
-----------
4,946,964
-----------
CONSUMER PRODUCTS -- 9.1%
54,000 Eastman Kodak Company ............ 3,213,000
117,600 Fort James Corporation ........... 2,719,500
60,300 Fortune Brands, Inc. ............. 1,390,669
34,200 The Gillette Company ............. 1,194,862
80,400 Hasbro, Inc. ..................... 1,211,025
88,500 International Flavors & Fragrances,
Inc. ............................ 2,671,594
62,800 Kimberly-Clark Corporation ....... 3,603,150
84,300 Philip Morris Companies, Inc. .... 2,239,219
21,100 The Procter & Gamble Company ..... 1,207,975
71,200 The Stanley Works ................ 1,691,000
27,700 Tupperware Corporation ........... 609,400
107,400 UST, Inc. ........................ 1,577,437
-----------
23,328,831
-----------
ELECTRONICS -- 1.4%
71,300 Hubbell, Inc., Class B ........... 1,818,150
52,800 Rockwell International Corporation 1,663,200
-----------
3,481,350
-----------
FINANCIAL SERVICES -- 4.7%
55,000 Citigroup, Inc. .................. 3,313,750
60,600 Dun & Bradstreet Corporation ..... 1,734,675
59,100 Fannie Mae ....................... 3,084,281
37,700 H&R Block, Inc. .................. 1,220,537
25,700 Morgan (J.P) & Company ........... 2,830,212
-----------
12,183,455
-----------
VALUE
SHARES (NOTE 1)
------ --------
FOOD AND BEVERAGES -- 8.1%
21,000 Anheuser-Busch Companies, Inc. ... $ 1,568,437
41,000 Brown-Forman Corporation, Class B 2,203,750
63,800 Campbell Soup Company ............ 1,858,175
125,700 General Mills, Inc. .............. 4,808,025
78,100 H.J. Heinz Company ............... 3,416,875
74,900 Hershey Foods Corporation ........ 3,632,650
38,100 Kellogg Company .................. 1,133,475
70,200 McCormick & Company, Inc. ........ 2,281,500
-----------
20,902,887
-----------
HEALTH CARE -- 0.5%
41,900 Becton, Dickinson & Company ...... 1,202,006
-----------
HOTELS/RESORTS -- 1.8%
155,200 Hilton Hotels Corporation ........ 1,455,000
99,800 Starwood Hotels and Resorts
Worldwide, Inc. ................. 3,249,737
-----------
4,704,737
-----------
INSURANCE -- 5.2%
49,300 American General Corporation ..... 3,007,300
39,500 The Chubb Corporation ............ 2,429,250
40,600 Lincoln National Corporation ..... 1,466,675
74,100 SAFECO Corporation ............... 1,472,737
77,300 The St. Paul Companies, Inc. ..... 2,637,862
113,300 UnumProvident Corporation ........ 2,273,081
-----------
13,286,905
-----------
LEISURE ENTERTAINMENT -- 1.2%
79,200 The Walt Disney Company .......... 3,073,950
-----------
MANUFACTURING -- 3.9%
45,000 Armstrong Holdings, Inc. ......... 689,062
15,800 Cooper Industries, Inc. .......... 514,487
21,700 Eaton Corporation ................ 1,453,900
39,100 Minnesota Mining and Manufacturing
Company ......................... 3,225,750
113,300 Pall Corporation ................. 2,096,050
27,400 Phelps Dodge Corporation ......... 1,018,938
23,200 PPG Industries, Inc. ............. 1,028,050
-----------
10,026,237
-----------
MINING -- 0.4%
47,400 Newmont Mining Corporation ....... 1,025,025
-----------
OIL AND GAS -- 13.5%
39,600 Amerada Hess Corporation ......... 2,445,300
63,600 Baker Hughes, Inc. ............... 2,035,200
133,624 BP Amoco Plc, ADR ................ 7,558,108
47,000 Chevron Corporation .............. 3,986,188
86,562 Exxon Mobil Corporation .......... 6,795,117
62,400 Royal Dutch Petroleum Company,
NY Shares ....................... 3,841,500
69,500 Texaco Inc. ...................... 3,700,875
89,600 Unocal Corporation ............... 2,968,000
56,600 USX-Marathon Group ............... 1,418,538
-----------
34,748,826
-----------
PAPER AND FOREST PRODUCTS -- 1.2%
6,800 Consolidated Papers, Inc. ........ 248,625
93,593 International Paper Company ...... 2,790,241
-----------
3,038,866
-----------
PHARMACEUTICALS -- 5.1%
60,000 Abbott Laboratories .............. 2,673,750
82,500 American Home Products Corporation 4,846,875
20,800 Merck & Company, Inc. ............ 1,593,800
79,147 Pharmacia Corporation ............ 4,090,911
-----------
13,205,336
-----------
See Notes to Financial Statements.
82
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
EQUITY INCOME SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
PRINTING/PUBLISHING -- 2.7%
67,000 Donnelley (R.R.) & Sons Company .. $ 1,511,688
20,100 Dow Jones & Company, Inc. ........ 1,472,325
46,000 Knight-Ridder, Inc. .............. 2,446,625
41,100 The Reader's Digest Association,
Inc., Class A ................... 1,633,725
-----------
7,064,363
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
60,900 The Rouse Company ................ 1,507,275
95,900 Simon Property Group, Inc. ....... 2,127,781
-----------
3,635,056
-----------
RETAIL -- 1.9%
39,300 J.C. Penney Company, Inc. ........ 724,594
54,500 May Department Stores Company .... 1,308,000
191,900 Toys "R" Us, Inc.+ ............... 2,794,544
-----------
4,827,138
-----------
SERVICES -- 0.8%
94,500 Xerox Corporation ................ 1,960,875
-----------
TELECOMMUNICATIONS -- 8.8%
58,700 ALLTEL Corporation ............... 3,635,731
47,200 AT&T Corporation ................. 1,492,700
64,000 Bell Atlantic Corporation ........ 3,252,000
37,500 BellSouth Corporation ............ 1,598,438
70,200 GTE Corporation .................. 4,369,950
30,600 Motorola, Inc. ................... 889,313
123,900 SBC Communications Inc. .......... 5,358,675
13,200 US West, Inc. .................... 1,131,900
20,200 Vodafone AirTouch Plc, ADR ....... 837,038
-----------
22,565,745
-----------
VALUE
SHARES (NOTE 1)
------ --------
TRANSPORTATION -- 1.9%
132,100 Norfolk Southern Corporation ..... $ 1,964,988
76,700 Union Pacific Corporation ........ 2,852,281
-----------
4,817,269
-----------
UTILITIES -- 5.3%
47,700 Duke Energy Corporation .......... 2,689,088
36,000 Entergy Corporation .............. 978,750
74,700 FirstEnergy Corporation .......... 1,746,113
66,200 Niagara Mohawk Holdings, Inc.+ ... 922,663
54,200 Reliant Energy, Inc. ............. 1,602,288
34,796 Scottish Power Plc, ADR .......... 1,163,491
95,700 Southern Company ................. 2,231,006
59,700 Unicom Corporation ............... 2,309,644
-----------
13,643,043
-----------
WASTE MANAGEMENT -- 0.9%
128,100 Waste Management, Inc. ........... 2,433,900
-----------
Total Common Stocks
(Cost $273,808,469) ............. 245,348,862
-----------
TOTAL INVESTMENTS (COST $273,808,469*) .. 95.3% 245,348,862
OTHER ASSETS AND LIABILITIES (NET) ...... 4.7 12,032,444
------ ------------
NET ASSETS .............................. 100.0% $257,381,306
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
83
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
INVESTORS SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 99.1%
BANKS -- 6.7%
5,000 The Bank of New York Company, Inc. $ 232,500
3,600 The Chase Manhattan Corporation .. 165,825
2,300 Comerica, Inc. ................... 103,212
4,200 FleetBoston Financial Corporation 142,800
2,300 U.S. Bancorp ..................... 44,275
----------
688,612
----------
BROADCAST, RADIO AND TELEVISION -- 2.8%
4,300 AT&T Corp. - Liberty Media Group,
Class A+ ........................ 104,275
3,800 The News Corporation, Ltd., ADR .. 180,500
----------
284,775
----------
COMPUTER INDUSTRY -- 10.3%
3,900 3Com Corporation+ ................ 224,737
7,700 Compaq Computer Corporation ...... 196,831
2,400 Computer Associates International,
Inc. ............................ 122,850
1,200 Hewlett-Packard Company .......... 149,850
2,200 International Business Machines
Corporation ..................... 241,037
2,100 Seagate Technology, Inc.+ ........ 115,500
----------
1,050,805
----------
CONSUMER PRODUCTS -- 4.5%
2,600 Kimberly-Clark Corporation ....... 149,175
6,800 Philip Morris Companies, Inc. .... 180,625
4,700 R.J. Reynolds Tobacco Holdings,
Inc. ............................ 131,306
----------
461,106
----------
FINANCIAL SERVICES -- 9.2%
1,800 American Express Company ......... 93,825
4,600 Associates First Capital
Corporation, Class A ............ 102,637
2,300 Freddie Mac ...................... 93,150
4,900 Household International, Inc. .... 203,656
4,900 MBNA Corporation ................. 132,912
1,900 Morgan Stanley Dean Witter &
Company ......................... 158,175
5,200 Washington Mutual, Inc. .......... 150,150
-----------
934,505
-----------
FOOD AND BEVERAGES -- 9.5%
6,700 Coca-Cola Enterprises, Inc. ...... 109,294
10,700 Nabisco Group Holdings Corporation 277,531
8,300 The Pepsi Bottling Group, Inc. ... 242,256
2,800 PepsiCo, Inc. .................... 124,425
7,000 Ralston-Ralston Purina Group ..... 139,563
8,200 Tyson Foods, Inc., Class A ....... 71,750
----------
964,819
----------
INSURANCE -- 0.9%
1,500 American General Corporation ..... 91,500
----------
MANUFACTURING -- 4.0%
4,700 Alcoa Inc. ....................... 136,300
5,100 Honeywell International, Inc. .... 171,806
2,600 Ingersoll-Rand Company ........... 104,650
----------
412,756
----------
OIL AND GAS -- 9.8%
1,900 Amerada Hess Corporation ......... 117,325
3,200 Burlington Resources Inc. ........ 122,400
1,500 The Coastal Corporation .......... 91,313
6,000 Conoco Inc., Class A ............. 132,000
2,600 Royal Dutch Petroleum Company .... 160,062
2,400 Total Fina Elf SA, ADR ........... 184,350
2,100 USX-Marathon Group ............... 52,631
3,300 The Williams Companies, Inc. ..... 137,569
----------
997,650
----------
VALUE
SHARES (NOTE 1)
------ --------
PAPER AND FOREST PRODUCTS -- 1.4%
4,700 International Paper Company ...... $ 140,119
----------
PHARMACEUTICALS -- 9.6%
2,800 Abbott Laboratories .............. 124,775
2,400 American Home Products Corporation 141,000
1,100 Eli Lilly & Company .............. 109,863
2,600 Merck & Company, Inc. ............ 199,225
2,800 Novartis AG, ADR ................. 112,000
4,400 Pharmacia Corporation ............ 227,425
1,400 Schering-Plough Corporation ...... 70,700
----------
984,988
----------
REAL ESTATE INVESTMENT TRUSTS -- 0.5%
1,900 Equity Office Properties Trust ... 52,369
----------
RESTAURANTS -- 0.8%
2,600 McDonald's Corporation ........... 85,638
----------
RETAIL -- 8.4%
1,300 Albertson's, Inc. ................ 43,225
6,400 Costco Wholesale Corporation+ .... 211,200
1,200 Delhaize America, Inc., Non Voting
Shares .......................... 21,225
2,600 Delhaize America, Inc., Voting
Shares .......................... 39,975
4,600 Federated Department Stores, Inc.+ 155,250
5,200 Safeway, Inc.+ ................... 234,650
2,700 Target Corporation ............... 156,600
----------
862,125
----------
SEMICONDUCTORS -- 5.8%
1,200 Applied Materials, Inc.+ ......... 108,750
900 Intel Corporation ................ 120,319
1,400 Micron Technology, Inc. .......... 123,288
4,300 National Semiconductor Corporation+ 244,025
----------
596,382
----------
TELECOMMUNICATIONS -- 13.0%
1,700 Alcatel SA, ADR .................. 113,050
1,900 ALLTEL Corporation ............... 117,681
3,600 Bell Atlantic Corporation ........ 182,925
300 Corning, Inc. .................... 80,963
600 General Motors Corporation, Class H 52,650
3,000 GTE Corporation .................. 186,750
1,600 Motorola, Inc. ................... 46,500
5,400 SBC Communications, Inc. ......... 233,550
1,600 Tellabs, Inc.+ ................... 109,500
4,500 WorldCom, Inc.+ .................. 206,438
----------
1,330,007
----------
TRANSPORTATION -- 1.9%
3,600 Canadian National Railway Company 105,075
3,500 Canadian Pacific, Ltd. ........... 91,656
----------
196,731
----------
Total Common Stocks
(Cost $10,169,807) .............. 10,134,887
----------
TOTAL INVESTMENTS (COST $10,169,807*) ... 99.1% 10,134,887
OTHER ASSETS AND LIABILITIES (NET) ...... 0.9 91,425
------ -----------
NET ASSETS .............................. 100.0% $10,226,312
====== ===========
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
84
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
VALUE EQUITY SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 95.0%
AEROSPACE/DEFENSE -- 2.5%
95,000 The Boeing Company ............... $ 3,972,187
-----------
AUTOMOTIVE -- 1.5%
39,861 General Motors Corporation ....... 2,314,429
-----------
BANKS -- 9.3%
87,400 Bank of America Corporation ...... 3,758,200
109,300 Charter One Financial, Inc. ...... 2,513,900
87,750 The Chase Manhattan Corporation .. 4,041,984
134,000 FleetBoston Financial Corporation 4,556,000
-----------
14,870,084
-----------
BROADCAST, RADIO AND TELEVISION -- 2.1%
47,500 Viacom Inc., Class A+ ............ 3,247,812
-----------
CHEMICALS -- 7.0%
84,926 du Pont (E.I.) de Nemours and
Company ......................... 3,715,512
100,000 Praxair, Inc. .................... 3,743,750
109,300 Rohm and Haas Company ............ 3,770,850
-----------
11,230,112
-----------
COMPUTER INDUSTRY -- 8.4%
172,800 Compaq Computer Corporation ...... 4,417,200
67,000 Electronic Data Systems Corporation 2,763,750
56,000 International Business Machines
Corporation ..................... 6,135,500
-----------
13,316,450
-----------
ELECTRONICS -- 2.8%
95,000 Koninklijke (Royal) Philips
Electronics N.V. ................ 4,512,500
-----------
FINANCIAL SERVICES -- 13.1%
125,000 Associates First Capital
Corporation, Class A ............ 2,789,062
111,000 Capital One Financial Corporation 4,953,375
104,500 Citigroup, Inc. .................. 6,296,125
34,000 Lehman Brothers Holdings Inc. .... 3,215,125
92,500 Wells Fargo & Company ............ 3,584,375
-----------
20,838,062
-----------
HEALTH CARE -- 5.0%
48,900 Bausch & Lomb, Inc. .............. 3,783,638
137,500 HCA-The Healthcare Corporation ... 4,176,563
-----------
7,960,201
-----------
INSURANCE -- 5.1%
28,500 American International Group, Inc. 3,348,750
230,400 MetLife, Inc.+ ................... 4,852,800
-----------
8,201,550
-----------
MANUFACTURING -- 6.8%
52,000 Eaton Corporation ................ 3,484,000
85,250 Honeywell International Inc. ..... 2,871,859
54,400 Minnesota Mining and
Manufacturing Company ........... 4,488,000
-----------
10,843,859
-----------
VALUE
SHARES (NOTE 1)
------ --------
OIL AND GAS -- 15.6%
49,040 BP Amoco Plc, ADR ................ $ 2,773,825
57,000 Burlington Resources Inc. ........ 2,180,250
23,700 The Coastal Corporation .......... 1,442,738
96,933 Conoco Inc., Class B ............. 2,380,917
63,600 El Paso Energy Corporation ....... 3,239,625
66,500 Exxon Mobil Corporation .......... 5,220,250
22,000 Santa Fe International Corporation 768,625
56,000 Transocean Sedco Forex Inc. ...... 2,992,500
156,700 USX-Marathon Group ............... 3,927,294
-----------
24,926,024
-----------
PAPER AND FOREST PRODUCTS -- 2.3%
123,500 International Paper Company ...... 3,681,844
-----------
PHARMACEUTICALS -- 3.0%
91,720 Pharmacia Corporation ............ 4,740,778
-----------
RETAIL -- 2.0%
92,000 Federated Department Stores, Inc.+ 3,105,000
-----------
TELECOMMUNICATIONS -- 8.5%
60,325 AT&T Corporation ................. 1,907,778
13,993 General Motors Corporation, Class H 1,227,886
98,500 SBC Communications Inc. .......... 4,260,125
67,170 Sprint Corporation ............... 3,425,670
32,500 US West, Inc. .................... 2,786,875
-----------
13,608,334
-----------
Total Common Stocks
(Cost $146,770,527) ............. 151,369,226
-----------
PRINCIPAL
AMOUNT
---------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 4.8%
(Cost $7,670,310)
$7,673,000 Federal Home Loan Bank,
6.086%[double dagger]
due 07/03/2000 .................. 7,670,310
------------
TOTAL INVESTMENTS (COST $154,440,837*) .. 99.8% 159,039,536
OTHER ASSETS AND LIABILITIES (NET) ...... 0.2 390,481
------ ------------
NET ASSETS .............................. 100.0% $159,430,017
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
[double dagger] Annualized yield at date of purchase.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
85
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
RISING DIVIDENDS SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 98.7%
BANKS -- 3.9%
980,050 Wells Fargo & Company ............ $37,976,937
-----------
COMPUTER INDUSTRY -- 14.9%
538,800 Cisco Systems, Inc.+ ............. 34,247,475
297,870 Hewlett-Packard Company .......... 37,196,516
392,610 International Business Machines
Corporation ..................... 43,015,333
380,700 Microsoft Corporation+ ........... 30,456,000
-----------
144,915,324
-----------
CONSUMER PRODUCTS -- 3.6%
616,675 The Procter & Gamble Company ..... 35,304,644
-----------
DATA SERVICES -- 6.8%
777,140 Automatic Data Processing Inc. ... 41,625,561
610,240 Electronic Data Systems Corporation 25,172,400
-----------
66,797,961
-----------
ELECTRONICS -- 9.0%
113,607 Agilent Technologies, Inc.+ ...... 8,378,516
371,490 Emerson Electric Company ......... 22,428,709
428,480 Intel Corporation ................ 57,282,420
-----------
88,089,645
-----------
FINANCIAL SERVICES -- 3.4%
633,500 Fannie Mae ....................... 33,060,781
-----------
FOOD AND BEVERAGES -- 8.7%
401,010 Bestfoods ........................ 27,769,942
708,970 The Coca-Cola Company ............ 40,721,464
208,570 Wrigley, (Wm) Jr. Company ........ 16,724,707
-----------
85,216,113
-----------
HEALTH CARE -- 2.3%
448,840 Medtronic, Inc. .................. 22,357,843
-----------
INSURANCE -- 7.1%
403,200 American International Group, Inc. 47,376,000
210,870 Marsh & McLennan Companies, Inc... 22,022,736
-----------
69,398,736
-----------
MANUFACTURING -- 9.0%
870,120 General Electric Company ......... 46,116,360
299,540 Illinois Tool Works, Inc. ........ 17,073,780
546,055 PPG Industries, Inc. ............. 24,197,062
-----------
87,387,202
-----------
VALUE
SHARES (NOTE 1)
------ --------
OIL AND GAS -- 3.7%
454,195 Exxon Mobil Corporation .......... $35,654,308
-----------
PHARMACEUTICALS -- 14.7%
488,780 Johnson & Johnson ................ 49,794,463
557,950 Merck & Company, Inc. ............ 42,752,919
1,066,100 Pfizer Inc. ...................... 51,172,800
-----------
143,720,182
-----------
RESTAURANTS -- 3.4%
1,016,110 McDonald's Corporation ........... 33,468,123
-----------
RETAIL -- 3.9%
577,100 The Gap, Inc. .................... 18,034,375
402,500 The Home Depot, Inc. ............. 20,099,844
-----------
38,134,219
-----------
TELECOMMUNICATIONS -- 4.3%
748,830 AT&T Corporation ................. 23,681,749
306,700 Lucent Technologies Inc. ......... 18,171,975
-----------
41,853,724
-----------
Total Common Stocks
(Cost $821,113,023) ............. 963,335,742
-----------
PRINCIPAL
AMOUNT
---------
COMMERCIAL PAPER -- 1.2%
$2,305,000 Allstate Insurance,
6.086%[double dagger]
due 07/03/2000 .................. 2,304,225
4,000,000 Bridgestone/Firestone, Inc.,
7.304[double dagger]
due 07/03/2000 .................. 3,998,467
Coop Association:
2,787,000 7.304%[double dagger]
due 07/03/2000 .................. 2,785,924
2,494,000 7.304%[double dagger]
due 07/03/2000 .................. 2,493,020
-----------
Total Commercial Paper
(Cost $11,581,636) .............. 11,581,636
-----------
TOTAL INVESTMENTS (COST $832,694,659*) .. 99.9% 974,917,378
OTHER ASSETS AND LIABILITIES (NET) ...... 0.1 726,022
------ ------------
NET ASSETS .............................. 100.0% $975,643,400
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
[double dagger] Annualized yield at date of purchase.
See Notes to Financial Statements.
86
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 96.4%
AUSTRALIA -- 2.6%
127,300 Broken Hill Proprietary Company
Ltd. ............................ $ 1,503,602
251,000 Cable and Wirelsss Optus Ltd.+ ... 747,551
33,000 CSL Ltd. ......................... 651,967
206,000 Foster's Brewing Group Ltd. ...... 579,032
67,095 Lend Lease Corporation Ltd. ...... 855,008
79,000 Publishing & Broadcasting Ltd. ... 607,110
83,000 Westpac Banking Corporation Ltd... 598,140
-----------
5,542,410
-----------
BERMUDA -- 0.9%
21,300 FLAG Telecom Holdings, Ltd.+ ..... 316,837
35,000 Tyco International Ltd. .......... 1,658,125
-----------
1,974,962
-----------
CANADA -- 3.3%
35,600 Bank of Nova Scotia .............. 873,162
39,341 Bombardier Inc., Class B ......... 1,068,587
56,100 Investors Group Inc. ............. 771,375
18,966 Nortel Networks Corporation ...... 1,316,087
30,000 Rogers Communications, Inc.,
Class B+ ........................ 850,338
46,000 Thomson Corporation .............. 1,574,257
28,000 Toronto-Dominion Bank ............ 681,081
-----------
7,134,887
-----------
FINLAND -- 2.9%
103,456 Nokia Oyj ........................ 5,279,501
37,100 UPM-Kymmene Oyj .................. 920,952
-----------
6,200,453
-----------
FRANCE -- 3.9%
2,246 Bouygues S.A. .................... 1,501,057
5,200 Groupe Danone .................... 690,093
2,095 LVMH (Louis Vitton Moet Hennessy) 863,887
3,200 PSA Peugeot Citroen .............. 642,203
31,405 Sanofi-Synthelabo S.A.+ .......... 1,496,197
9,700 STMicroelectronics N.V. .......... 622,619
32,180 Societe Television Francaise 1 ... 2,242,841
4,000 Vivendi S.A. ..................... 353,066
-----------
8,411,963
-----------
GERMANY -- 3.9%
5,200 Aixtron AG ....................... 714,917
12,300 DaimlerChrysler AG ............... 640,369
22,732 Infineon Technologies AG+ ........ 1,801,380
16,300 Infineon Technologies AG, ADR+ ... 1,291,775
1,900 Intershop Communications AG+ ..... 858,033
19,000 Siemens AG ....................... 2,857,088
14,700 ThyssenKrupp AG .................. 235,785
-----------
8,399,347
-----------
HONG KONG -- 1.7%
190,000 Cable & Wireless HKT Ltd. ........ 417,998
892,000 First Pacific Company Ltd. ....... 303,226
137,500 Hutchison Whampoa, Ltd. .......... 1,728,561
154,000 Li & Fung Ltd. ................... 770,444
61,000 Sun Hung Kai Properties Ltd. ..... 438,202
-----------
3,658,431
-----------
HUNGARY -- 0.2%
28,000 Mol Magyar Olaj-es Gazipari Rt. .. 387,800
-----------
ITALY -- 0.8%
290,000 ENI SPA .......................... 1,672,339
-----------
JAPAN -- 17.0%
4,000 Advantest Corporation ............ 891,654
2,000 Chugai Pharmaceutical Company, Ltd. 37,796
VALUE
SHARES (NOTE 1)
------ --------
JAPAN -- (CONTINUED)
4,000 Enplas Corporation ............... $ 248,834
1,400 Fujitsu Support and Service, Inc. 138,555
5,000 Hirose Electric Company, Ltd. .... 778,076
59,000 Jusco Company, Ltd. .............. 1,117,772
30,550 Kao Corporation .................. 932,956
263,000 Mitsubishi Heavy Industries, Ltd. 1,165,088
409,000 Mitsubishi Motors Corporation+ ... 1,746,331
182,000 Mitsui Marine & Fire Insurance
Company, Ltd. ................... 874,876
11,000 Murata Manufacturing Company, Ltd. 1,578,020
112,000 NEC Corporation .................. 3,515,340
72,000 Nikon Corporation ................ 2,667,044
83,000 Nippon Sheet Glass Company, Ltd... 1,153,136
283,000 Nissan Motor Company, Ltd. ....... 1,667,138
123 NTT DoCoMo, Inc. ................. 3,327,301
3,900 Rohm Company Ltd. ................ 1,139,545
149,000 Sakura Bank, Ltd. ................ 1,029,426
23,000 Sankyo Company, Ltd. ............. 519,204
44,000 Shionogi & Company, Ltd. ......... 835,666
34,000 Sony Corporation ................. 3,172,628
41,000 Suzuki Motor Corporation ......... 528,658
25,000 Taiyo Yuden Company, Ltd. ........ 1,564,635
100 Takeda Chemical Industries, Ltd... 6,560
21,000 Terumo Corporation .............. 710,590
24,400 Tokyo Electron Ltd. .............. 3,339,347
1,100 Tokyo Seimitsu Company, Ltd. ..... 147,227
244,000 Toray Industries, Inc. ........... 988,925
2 Yahoo Japan Corporation+ ......... 792,686
-----------
36,615,014
-----------
KOREA -- 0.8%
19,000 Pohang Iron & Steel Company, Ltd.,
ADR ............................. 456,000
6,970 Samsung Electronics, GDR ......... 1,366,120
-----------
1,822,120
-----------
MEXICO -- 1.2%
45,800 Telefonos de Mexico S.A., Class L,
ADR ............................. 2,616,325
-----------
NETHERLANDS -- 1.7%
23,392 Aegon N.V. ....................... 832,370
40,215 ASM Lithography Holding, N.V. .... 1,728,554
18,000 Heineken N.V. .................... 1,095,575
23 Randstad Holding, N.V. ........... 851
-----------
3,657,350
-----------
NORWAY -- 0.7%
35,000 Norsk Hydro ASA .................. 1,468,788
-----------
PORTUGAL -- 0.4%
7,000 PT Multimedia Servicos de
Telecomunicacoes e Multimedia+ .. 347,529
7,000 PT Multimedia.com+ ............... 50,124
28,300 Telecel-Comunicacoes Pessoais, S.A. 429,609
-----------
827,262
-----------
SINGAPORE -- 1.2%
11,500 Creative Technology Ltd. ......... 277,678
13,500 Creative Technology Ltd., ADR .... 322,312
71,000 DBS Group Holdings Ltd. .......... 912,681
705,000 Singapore Technologies Engineering
Ltd. ............................ 1,036,885
-----------
2,549,556
-----------
SPAIN -- 1.2%
57,000 Banco Bilbao Vizcaya Argentaria,
S.A.+ ........................... 851,684
62,000 Telefonica S.A.+ ................. 1,331,876
5,000 Telefonica S.A., ADR+ ............ 320,312
-----------
2,503,872
-----------
See Notes to Financial Statements.
87
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
SWEDEN -- 0.5%
41,000 ForeningsSparbanken AB ........... $ 599,728
30,000 Telefonaktiebolaget LM Ericsson,
Class B ......................... 593,605
-----------
1,193,333
-----------
SWITZERLAND -- 3.1%
890 Adecco S.A. ...................... 756,147
260 Compagnie Financiere Richemont AG 700,463
290 Nestle S.A. ...................... 580,409
750 Novartis AG ...................... 1,187,973
915 PubliGroupe S.A. ................. 684,280
350 Swiss Re ......................... 713,366
5,670 Swisscom AG ...................... 1,963,742
-----------
6,586,380
-----------
TAIWAN -- 0.8%
27,200 Asustek Computer Inc., GDR ....... 249,560
35,580 Taiwan Semiconductor Manufacturing
Company, Ltd., ADR+ ............. 1,378,725
-----------
1,628,285
-----------
UNITED KINGDOM -- 8.1%
106,700 AstraZeneca Group Plc ............ 4,960,540
16,000 AstraZeneca Group Plc, ADR ....... 744,000
91,100 BAE Systems Plc .................. 567,915
15,100 BOC Group Plc .................... 217,054
91,900 British Airways Plc .............. 528,405
32,000 Cable & Wireless Plc ............. 541,811
110,000 Cadbury Schweppes Plc ............ 722,354
4,057 Colt Telecom Group Plc+ .......... 135,050
15,500 Glaxo Wellcome Plc ............... 451,940
204,100 Invensys Plc ..................... 765,883
121,649 Lloyds TSB Group Plc ............. 1,148,578
38,000 Reuters Group Plc ................ 648,000
45,000 Royal Bank of Scotland Group Plc.. 753,070
50,000 Shell Transport & Trading Company
Plc ............................. 417,237
1,207,087 Vodafone AirTouch Plc ............ 4,876,603
-----------
17,478,440
-----------
UNITED STATES -- 39.5%
12,500 Advanced Micro Devices, Inc.+ .... 965,625
24,000 The AES Corporation+ ............. 1,095,000
24,399 Agilent Technologies, Inc.+ ...... 1,799,426
40,000 Alcoa Inc. ....................... 1,160,000
25,000 The Allstate Corporation ......... 556,250
8,400 Altera Corporation+ .............. 856,275
2,500 Amazon.com, Inc.+ ................ 90,781
7,900 America Online, Inc.+ ............ 416,725
32,900 American Greetings Corporation,
Class A ......................... 625,100
17,650 American International Group, Inc. 2,073,875
21,200 Applied Materials, Inc.+ ......... 1,921,250
3,600 Applied Micro Circuits Corporation+ 355,500
35,000 Associates First Capital
Corporation, Class A ............ 780,937
12,000 AT&T Corporation ................. 379,500
104,852 AT&T Corporation - Liberty Media
Group, Class A+ ................. 2,542,661
27,400 Autodesk, Inc. ................... 950,437
24,000 Baker Hughes, Inc. ............... 768,000
51,700 Bank of America Corporation ...... 2,223,100
19 Berkshire Hathaway, Inc., Class A+ 1,022,200
18,000 Cablevision Systems Corporation,
Class A+ ........................ 1,221,750
55,400 Cadence Design Systems, Inc.+ .... 1,128,775
14,000 Campbell Soup Company ............ 407,750
18,000 Carnival Corporation ............. 351,000
44,000 Centex Corporation ............... 1,034,000
33,000 Charter Communications, Inc.,
Class A+ ........................ 542,437
VALUE
SHARES (NOTE 1)
------ --------
UNITED STATES -- (CONTINUED)
8,700 Cisco Systems, Inc.+ ............. $ 552,994
18,100 Citigroup, Inc. .................. 1,090,525
31,000 The Clorox Company ............... 1,389,187
69,000 Compaq Computer Corporation ...... 1,763,812
3,000 Crayfish Company, Ltd., ADR+ ..... 21,000
47,000 Crown Cork & Seal Company, Inc. .. 705,000
35,600 Dell Computer Corporation+ ....... 1,755,525
10,000 Electro Scientific Industries,
Inc.+ ........................... 440,312
7,600 Emerson Electric Company ......... 458,850
23,000 Exxon Mobil Corporation .......... 1,805,500
15,000 Forest Laboratories, Inc.+ ....... 1,515,000
13,000 Four Seasons Hotels, Inc. ........ 808,437
22,700 Fox Entertainment Group, Inc.,
Class A+ ........................ 689,512
16,700 General Mills, Inc. .............. 638,775
5,300 Goldman Sachs Group, Inc. ........ 502,837
37,500 Guidant Corporation+ ............. 1,856,250
76,000 Hasbro, Inc. ..................... 1,144,750
9,700 Hewlett-Packard Company .......... 1,211,287
24,000 Illinois Tool Works, Inc. ........ 1,368,000
64,400 IMC Global, Inc. ................. 837,200
11,900 Intel Corporation ................ 1,590,881
7,400 International Business Machines
Corporation ..................... 810,763
40,000 Kellogg Company .................. 1,190,000
21,000 KLA-Tencor Corporation+ .......... 1,229,813
34,000 The Limited, Inc. ................ 735,250
39,700 Lockheed Martin Corporation ...... 985,056
40,600 Lowe's Companies, Inc. ........... 1,667,138
13,400 Lucent Technologies Inc. ......... 793,950
7,800 Macromedia, Inc.+ ................ 754,163
12,000 Maxim Integrated Products, Inc.+ . 815,250
13,100 McDonald's Corporation ........... 431,481
30,000 NIKE, Inc., Class B .............. 1,194,375
23,000 NiSource Inc. .................... 428,375
29,000 PepsiCo, Inc. .................... 1,288,688
52,575 Pfizer Inc. ...................... 2,523,600
4,000 PMC-Sierra, Inc.+ ................ 710,750
12,000 PSINet Inc.+ ..................... 301,500
8,000 Rambus, Inc.+ .................... 824,000
40,000 Raytheon Company, Class A ........ 777,500
12,000 SCG Holding Corporation+ ......... 262,500
200 Sealed Air Corporation+ .......... 10,475
37,000 SLM Holding Corporation .......... 1,385,188
19,900 Sprint Corporation ............... 1,014,900
11,000 Sprint Corporation (PCS Group)+ .. 654,500
29,400 Texas Instruments, Inc. .......... 2,019,413
23,000 The PMI Group, Inc. .............. 1,092,500
22,800 Time Warner Inc. ................. 1,732,800
13,000 Transocean Sedco Forex Inc. ...... 694,688
17,000 UAL Corporation .................. 989,188
7,000 UnitedHealth Group, Inc. ......... 600,250
36,000 V.F. Corporation ................. 857,250
19,700 Viacom, Inc., Class B+ ........... 1,343,294
3,800 VoiceStream Wireless Corporation+ 441,928
30,600 W.W. Grainger, Inc. .............. 942,863
33,100 Wal-Mart Stores, Inc. ............ 1,907,388
57,000 Washington Mutual, Inc. .......... 1,645,875
25,000 The Williams Companies, Inc. ..... 1,042,188
37,000 WorldCom, Inc.+ .................. 1,697,375
-----------
85,210,203
-----------
Total Common Stocks
(Cost $194,410,948) ............. 207,539,520
-----------
See Notes to Financial Statements.
88
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
MANAGED GLOBAL SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
PREFERRED STOCK -- 0.3%
(Cost $838,849)
AUSTRALIA -- 0.4%
64,000 News Corporation Ltd. ............ $ 771,819
-----------
PRINCIPAL
AMOUNT
---------
CORPORATE BONDS -- 0.3%
UNITED STATES -- 0.3%
$1,043,000 Amazon.com, Inc.
4.750% due 02/01/2009 ........... 659,698
-----------
TOTAL INVESTMENTS (COST $196,095,518*) .. 97.0% 208,971,037
OTHER ASSETS AND LIABILITIES (NET) ...... 3.0 6,403,813
------ ------------
NET ASSETS .............................. 100.0% $215,374,850
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
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
--------- --------------- ----------- ----------- ------------
07/18/2000 JPY 99,788,460 $964,000 $943,743 $ 20,257
-------------
Net Unrealized Appreciation of Forward
Foreign Currency Exchange Contracts $ 20,257
=============
The industry classification of the Managed Global Series at June 30, 2000 was as
follows:
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ----------- --------
Advertising ........................ 0.3% $ 684,280
Aerospace/Defense .................. 1.1 2,330,471
Airlines ........................... 0.7 1,517,592
Automotive ......................... 2.4 5,224,699
Banks .............................. 5.2 11,316,526
Broadcast, Radio and Television .... 5.7 12,342,225
Building and Construction .......... 1.1 2,535,057
Computer Industry .................. 7.0 15,019,140
Consumer Products .................. 4.1 8,809,126
Diversified Operations ............. 4.5 9,701,987
Electronics. ....................... 17.2 36,972,733
Engineering. ....................... 0.5 1,036,885
Financial Services. ................ 2.9 6,194,308
Food and Beverages. ................ 4.2 8,989,518
Health Care ........................ 3.0 6,435,031
Insurance .......................... 2.8 6,143,237
Leisure/Entertainment .............. 0.2 351,000
Manufacturing. ..................... 5.0 10,667,988
Metal/Mining ....................... 0.5 1,160,000
Oil and Gas ........................ 3.2 6,787,751
Paper and Forest Products .......... 0.4 920,951
Pharmaceuticals .................... 5.4 11,662,504
Printing and Publishing ............ 0.7 1,574,257
Real Estate Investment Trust ....... 0.2 438,202
Restaurants ........................ 0.2 431,481
Retail ............................. 2.9 6,143,428
Services ........................... 0.5 1,110,064
Telecommunications ................. 14.4 30,947,220
Utilities .......................... 0.7 1,523,375
------ ------------
TOTAL INVESTMENTS .................. 97.0 208,971,036
OTHER ASSETS AND LIABILITIES (NET).. 3.0 6,403,814
------ ------------
NET ASSETS. ........................ 100.0% $215,374,850
====== ============
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
JPY -- Japanese Yen
--------------------------------------------------------------------------------
See Notes to Financial Statements.
89
<PAGE>
THE GCG TRUST
LARGE CAP VALUE SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 93.5%
ADVERTISING -- 1.1%
10,900 The Interpublic Group of Companies,
Inc. ............................ $ 468,700
----------
AEROSPACE/DEFENSE -- 3.9%
24,900 Lockheed Martin Corporation ...... 617,831
17,300 Raytheon Company, Class B ........ 333,025
13,300 United Technologies Corporation .. 783,037
----------
1,733,893
----------
APPAREL AND TEXTILES -- 0.2%
2,500 Tommy Hilfiger Corporation+ ...... 18,750
2,800 V.F. Corporation ................. 66,675
----------
85,425
----------
AUTOMOTIVE -- 0.1%
3,200 Delphi Automotive Systems
Corporation ..................... 46,600
1,300 Federal-Mogul Corporation ........ 12,431
----------
59,031
----------
BANKS -- 2.1%
14,900 Bank of America Corporation ...... 640,700
5,100 Bank One Corporation ............. 135,469
4,200 Wells Fargo & Company ............ 162,750
----------
938,919
----------
BROADCAST, RADIO AND TELEVISION -- 8.8%
14,900 Adelphia Communications
Corporation, Class A+ ........... 698,437
14,200 AT&T Corporation - Liberty Media
Group, Class A+ ................. 344,350
11,300 Cablevision Systems Corporation,
Class A+ ........................ 766,987
17,700 Charter Communications, Inc.,
Class A+ ........................ 290,944
25,900 Fox Entertainment Group, Inc.,
Class A+ ........................ 786,712
10,700 Time Warner Inc. ................. 813,200
3,100 Viacom Inc., Class A+ ............ 211,962
----------
3,912,592
----------
COMPUTER INDUSTRY -- 8.2%
4,300 Autodesk, Inc. ................... 149,156
31,800 Cadence Design Systems, Inc.+ .... 647,925
2,000 Cisco Systems, Inc.+ ............. 127,125
23,700 Compaq Computer Corporation ...... 605,831
14,000 Dell Computer Corporation+ ....... 690,375
10,000 Genuity Inc.+ .................... 91,562
2,600 Hewlett-Packard Company .......... 324,675
1,700 International Business Machines
Corporation ..................... 186,256
3,300 Macromedia, Inc.+ ................ 319,069
29,800 PeopleSoft, Inc.+ ................ 499,150
----------
3,641,124
----------
CONSUMER PRODUCTS -- 4.8%
4,500 American Greetings Corporation,
Class A ......................... 85,500
6,500 Avon Products, Inc. .............. 289,250
16,300 The Clorox Company ............... 730,444
12,700 Hasbro, Inc. ..................... 191,294
18,800 NIKE, Inc., Class B .............. 748,475
3,500 Philip Morris Companies, Inc. .... 92,969
----------
2,137,932
----------
ELECTRONICS -- 2.9%
8,291 Agilent Technologies, Inc.+ ...... 611,461
9,600 Emerson Electric Company ......... 579,600
1,000 Sony Corporation, ADR ............ 94,312
----------
1,285,373
----------
VALUE
SHARES (NOTE 1)
------ --------
FINANCIAL SERVICES -- 3.9%
25,100 Associates First Capital
Corporation, Class A ............ $ 560,044
1,400 Citigroup, Inc. .................. 84,350
12,000 SLM Holding Corporation .......... 449,250
22,200 Washington Mutual, Inc. .......... 641,025
----------
1,734,669
----------
FOOD AND BEVERAGES -- 5.6%
1,400 Anheuser-Busch Companies, Inc. ... 104,562
11,000 Campbell Soup Company ............ 320,375
21,300 ConAgra, Inc. .................... 406,031
5,900 General Mills, Inc. .............. 225,675
3,600 H.J. Heinz Company ............... 157,500
26,900 Kellogg Company .................. 800,275
10,200 PepsiCo, Inc. .................... 453,262
----------
2,467,680
----------
HEALTH CARE -- 4.2%
24,400 Becton, Dickinson and Company .... 699,975
16,500 Guidant Corporation+ ............. 816,750
4,800 Medtronic, Inc. .................. 239,100
800 PacifiCare Health Systems, Inc.+.. 48,150
500 UnitedHealth Group, Inc. ......... 42,875
----------
1,846,850
----------
INSURANCE -- 3.2%
2,400 The Allstate Corporation ......... 53,400
1,200 American International Group, Inc. 141,000
4,100 Cincinnati Financial Corporation.. 128,894
8,300 The Hartford Financial Services
Group, Inc. ..................... 464,281
4,900 Jefferson-Pilot Corporation ...... 276,544
3,100 Lincoln National Corporation ..... 111,987
5,500 The PMI Group, Inc. .............. 261,250
----------
1,437,356
----------
LEISURE ENTERTAINMENT -- 1.6%
35,500 Carnival Corporation ............. 692,250
----------
MANUFACTURING -- 4.4%
10,900 Alcoa, Inc. ...................... 316,100
1,200 Dover Corporation ................ 48,675
2,100 General Electric Company ......... 111,300
13,000 Illinois Tool Works, Inc. ........ 741,000
7,000 Textron, Inc. .................... 380,187
7,600 Tyco International, Ltd. ......... 360,050
----------
1,957,312
----------
OIL AND GAS -- 6.9%
19,800 Baker Hughes, Inc. ............... 633,600
900 Chevron Corporation .............. 76,331
8,200 Exxon Mobil Corporation .......... 643,700
3,200 Royal Dutch Petroleum Company .... 197,000
2,000 Shell Transport & Trading Company,
ADR ............................. 99,875
9,800 Texaco, Inc. ..................... 521,850
3,100 Transocean Sedco Forex, Inc. ..... 165,656
17,700 The Williams Companies, Inc. ..... 737,869
----------
3,075,881
----------
PHARMACEUTICALS -- 7.5%
23,800 AstraZeneca Group Plc, ADR ....... 1,106,700
9,700 Forest Laboratories, Inc.+ ....... 979,700
26,000 Pfizer, Inc. ..................... 1,248,000
----------
3,334,400
----------
RESTAURANTS -- 0.7%
8,800 McDonald's Corporation ........... 289,850
----------
See Notes to Financial Statements.
90
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
LARGE CAP VALUE SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
RETAIL -- 3.3%
300 Albertson's, Inc. ................ $ 9,975
23,800 AutoNation, Inc.+ ................ 168,087
600 Circuit City Stores-Circuit City
Group ........................... 19,912
9,600 The Gap, Inc. .................... 300,000
17,200 Lowe's Companies, Inc. ........... 706,275
7,400 Williams-Sonoma, Inc.+ ........... 240,038
----------
1,444,287
----------
SEMICONDUCTORS -- 6.2%
3,100 Advanced Micro Devices, Inc.+ .... 239,475
1,000 Altera Corporation+ .............. 101,937
1,600 Applied Materials, Inc.+ ......... 145,000
1,000 Applied Micro Circuits Corporation+ 98,750
4,200 Burr-Brown Corporation+ .......... 364,088
1,500 Intel Corporation ................ 200,531
1,800 KLA-Tencor Corporation+ .......... 105,413
1,500 Lam Research Corporation+ ........ 56,250
2,600 Micron Technology, Inc. .......... 228,963
1,200 PMC-Sierra, Inc.+ ................ 213,225
2,800 Teradyne, Inc.+ .................. 205,800
8,900 Texas Instruments, Inc. .......... 611,319
2,100 Xilinx, Inc.+ .................... 173,381
----------
2,744,132
----------
SERVICES -- 3.3%
9 Berkshire Hathaway, Inc., Class A+ 484,200
9,600 Ecolab, Inc. ..................... 375,000
4,100 Galileo International, Inc. ...... 85,588
8,000 Service Corporation International+ 25,500
16,200 W.W. Grainger, Inc. .............. 499,163
----------
1,469,451
----------
VALUE
SHARES (NOTE 1)
------ --------
TELECOMMUNICATIONS -- 7.5%
4,700 AT&T Corporation $ 148,638
2,600 Lucent Technologies, Inc. ........ 154,050
14,500 Nokia Oyj, ADR ................... 724,094
1,000 Qwest Communications International
Inc.+ ........................... 49,688
13,900 Sprint Corporation ............... 708,900
9,600 Sprint Corporation (PCS Group)+ .. 571,200
1,300 US West, Inc. .................... 111,475
4,600 VoiceStream Wireless Corporation+ 534,966
7,100 WorldCom, Inc.+ .................. 325,713
-----------
3,328,724
-----------
TRANSPORTATION -- 0.9%
6,600 Canadian National Railway Company 192,638
3,800 CNF Transportation, Inc. ......... 86,450
2,900 Union Pacific Corporation ........ 107,844
-----------
386,932
-----------
UTILITIES -- 2.2%
4,800 The AES Corporation+ 219,000
8,400 American Electric Power Company,
Inc. ............................ 248,850
11,000 Cinergy Corporation .............. 279,813
6,200 Niagara Mohawk Holdings, Inc. .... 86,413
8,100 NiSource, Inc. ................... 150,863
-----------
984,939
-----------
Total Common Stocks
(Cost $40,876,197) .............. 41,457,702
-----------
TOTAL INVESTMENTS (COST $40,876,197*) ... 93.5% 41,457,702
OTHER ASSETS AND LIABILITIES (NET) ...... 6.5 2,883,904
------ -----------
NET ASSETS .............................. 100.0% $44,341,606
====== ===========
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
91
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
ALL CAP SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 92.4%
BANKS -- 6.3%
8,400 The Bank of New York Company, Inc. $ 390,600
10,700 Banknorth Group, Inc. ............ 163,844
4,300 Comerica, Inc. ................... 192,962
6,500 FleetBoston Financial Corporation 221,000
9,400 Mercantile Bankshares Corporation 280,237
----------
1,248,643
----------
BROADCAST, RADIO AND TELEVISION -- 5.5%
6,600 AT&T Corporation - Liberty Media
Group, Class A+ ................. 160,050
7,700 Hearst-Argyle Television, Inc.+ .. 150,150
6,400 The News Corporation Ltd., ADR ... 304,000
24,300 Sinclair Broadcast Group, Inc.,
Class A+ ........................ 267,300
4,200 UnitedGlobalCom Inc., Class A+ ... 196,350
----------
1,077,850
----------
CHEMICALS -- 3.2%
12,500 The Geon Company ................. 231,250
2,300 Olin Corporation ................. 37,950
8,400 OM Group, Inc. ................... 369,600
----------
638,800
----------
COMPUTER INDUSTRY -- 6.8%
9,200 3Com Corporation+ ................ 530,150
4,400 Caminus Corporation+ ............. 107,800
8,500 Compaq Computer Corporation ...... 217,281
10,200 Genuity, Inc.+ ................... 93,394
1,900 International Business Machines
Corporation ..................... 208,169
100 Netease.com, Inc., ADR+ .......... 1,212
3,400 Seagate Technology, Inc.+ ........ 187,000
----------
1,345,006
----------
CONSUMER PRODUCTS -- 2.7%
8,500 The Gillette Company ............. 296,969
8,600 Philip Morris Companies, Inc. .... 228,437
----------
525,406
----------
FOOD AND BEVERAGES -- 13.1%
32,800 Hormel Foods Corporation ......... 551,450
12,400 John B. Sanfilippo & Son, Inc.+ .. 36,425
12,600 Michael Foods, Inc. .............. 308,700
25,000 Nabisco Group Holdings Corporation 648,437
18,600 The Pepsi Bottling Group, Inc. ... 542,887
7,300 PepsiCo, Inc. .................... 324,394
19,300 Tyson Foods, Inc., Class A ....... 168,875
----------
2,581,168
----------
HEALTH CARE -- 1.1%
8,000 Health Management Associates, Inc.,
Class A+ ........................ 104,500
2,200 Nycomed Amersham Plc, ADR ........ 107,800
----------
212,300
----------
HOTELS/RESORTS -- 0.8%
8,200 Sun International Hotels, Ltd.+ .. 164,000
----------
INSURANCE -- 0.9%
6,500 Protective Life Corporation ...... 173,062
----------
MANUFACTURING -- 4.2%
17,600 AK Steel Holding Corporation ..... 140,800
10,900 Crown Cork & Seal Company, Inc. .. 163,500
39,700 Harnischfeger Industries, Inc. ... 13,498
5,300 Ingersoll-Rand Company ........... 213,325
32,800 The LTV Corporation .............. 94,300
10,800 SpeedFam-IPEC, Inc.+ ............. 196,425
----------
821,848
----------
OIL AND GAS -- 7.7%
15,400 3TEC Engery Corporation+ ......... $ 154,000
8,800 Conoco Inc., Class B ............. 216,150
6,200 Devon Energy Corporation ......... 348,362
6,200 R&B Falcon Corporation+ .......... 146,087
10,900 Suncor Energy, Inc. .............. 254,106
39,600 Tesoro Petroleum Corporation+ .... 400,950
----------
1,519,655
----------
PAPER AND FOREST PRODUCTS -- 1.1%
7,400 International Paper Company ...... 220,613
----------
PHARMACEUTICALS -- 5.0%
6,200 Merck & Company, Inc. ............ 475,075
7,600 Novartis AG, ADR ................. 304,000
4,300 Schering-Plough Corporation ...... 217,150
----------
996,225
----------
PRINTING/PUBLISHING -- 1.3%
11,700 PRIMEDIA, Inc.+ .................. 266,175
----------
RESTAURANTS -- 1.3%
14,700 Wendy's International, Inc. ...... 261,844
----------
RETAIL -- 13.5%
17,400 Abercrombie & Fitch Company,
Class A+ ........................ 212,063
18,500 Costco Wholesale Corporation+ .... 610,500
16,900 Delhaize America, Inc. ........... 259,838
18,500 Federated Department Stores, Inc.+ 624,375
1,800 Hannaford Bros. Company .......... 129,375
18,300 Safeway, Inc.+ ................... 825,788
----------
2,661,939
----------
SEMICONDUCTORS -- 4.2%
4,100 Advanced Micro Devices, Inc.+ .... 316,725
7,400 ASM Internationl N.V.+ ........... 196,100
7,000 Cypress Semiconductor Corporation+ 295,750
300 Marvell Technology Group, Ltd.+ .. 17,100
----------
825,675
----------
SERVICES -- 0.8%
8,200 Organic, Inc.+ ................... 79,950
11,700 Paradigm Geophysical, Ltd.+ ...... 69,834
----------
149,784
----------
TELECOMMUNICATIONS -- 12.9%
5,200 Bell Atlantic Corporation ........ 264,225
2,500 Comverse Technology, Inc.+ ....... 232,500
8,500 Digital Microwave Corporation+ ... 324,063
10,700 Dobson Communications Corporation,
Class A+ ........................ 205,975
100 Exfo Electro-Optical Engineering,
Inc.+ ........................... 4,388
5,200 GTE Corporation .................. 323,700
10,700 ICG Communications, Inc.+ ........ 236,069
5,500 Latitude Communications, Inc.+ ... 61,531
1,500 NTL, Inc.+ ....................... 89,813
8,400 Rogers Cantel Mobile
Communications Inc., Class B+ ... 282,450
5,100 SBC Communications, Inc. ......... 220,575
6,400 WorldCom, Inc.+ .................. 293,600
----------
2,538,889
----------
Total Common Stocks
(Cost $17,840,807) .............. 18,228,882
----------
See Notes to Financial Statements.
92
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
ALL CAP SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE BONDS AND NOTES -- 2.6%
CONSUMER PRODUCTS -- 1.1%
$1,350,000 Sunbeam Corporation,
18.634%(a) due 03/25/2018 ....... $ 219,375
----------
FINANCIAL SERVICES -- 0.0%#
40,000 Contifinancial Corporation,
8.125% due 04/01/2008 ........... 5,000
----------
MANUFACTURING -- 1.0%
Harnischfeger Industries, Inc.:
150,000 8.900% due 03/01/2022 ........... 57,750
250,000 7.250% due 12/15/2025 ........... 96,250
100,000 6.875% due 02/15/2027 ........... 38,500
----------
192,500
----------
OIL & GAS -- 0.5%
169,000 Friede Goldman Halter,
4.500% due 09/15/2004 ........... 102,456
----------
Total Corporate Bonds and Notes
(Cost $554,559) ................. 519,331
----------
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
----------- ---------- ------
PUT STOCK OPTIONS PURCHASED -- 0.2%
45 DoubleClick, Inc., 07/22/2000 $ 35.00 10,406
4 Inter@Ctive WK, 07/20/2000 45.00 3,500
9 Inter@Ctive WK, 07/20/2000 480.00 7,538
2 Inter@Ctive WK, 08/17/2000 400.00 3,350
4 S & P 500, 07/20/2000 1,425.00 2,900
4 S & P 500, 07/20/2000 1,400.00 4,600
---------
Total Put Stock Options Purchased
(Cost $48,376) .......................... 32,294
---------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
REPURCHASE AGREEMENT -- 10.2%
(Cost $2,003,000)
$2,003,000 Agreement with JP Morgan Securities, Inc.,
6.400% dated 06/30/2000 to be repurchased
at $2,004,068 on 07/03/2000, collateralized
by $1,579,000 U.S. Treasury Bonds,
8.750% due 05/15/2020
(market value $2,043,052) $ 2,003,000
-------------
TOTAL INVESTMENTS (COST $20,446,742*) .. 105.4% 20,783,507
OTHER ASSETS AND LIABILITIES (NET) ..... (5.4) (1,058,552)
------ -------------
NET ASSETS ............................. 100.0% $19,724,955
====== =============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
(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.
93
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
RESEARCH SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 95.7%
AEROSPACE/DEFENSE -- 2.4%
1,095,600 BAE Systems Plc .................. $ 6,829,938
239,900 The Boeing Company ............... 10,030,819
47,300 General Dynamics Corporation ..... 2,471,425
149,300 United Technologies Corporation .. 8,790,037
-------------
28,122,219
-------------
BANKS -- 1.6%
153,078 The Chase Manhattan Corporation .. 7,051,155
295,700 HSBC Holdings Plc ................ 3,380,285
92,200 PNC Financial Services Group ..... 4,321,875
4,000 State Street Corporation ......... 424,250
153,900 U.S. Bancorp ..................... 2,962,575
-------------
18,140,140
-------------
BROADCAST, RADIO AND TELEVISION -- 3.4%
145,000 Comcast Corporation, Special
Class A+ ........................ 5,872,500
221,025 Infinity Broadcasting Corporation,
Class A+ ........................ 8,053,598
122,100 Time Warner Inc. ................. 9,279,600
158,000 Tribune Company .................. 5,530,000
161,434 Viacom, Inc., Class B+ ........... 11,007,781
-------------
39,743,479
-------------
CHEMICALS -- 0.3%
110,100 Rohm and Haas Company ............ 3,798,450
-------------
COMPUTER INDUSTRY -- 20.6%
176,100 America Online, Inc.+ ............ 9,289,275
30,450 Ancor Communications, Inc.+ ...... 1,089,063
110,000 BMC Software, Inc.+ .............. 4,013,281
8,800 Business Objects S.A., ADR+ ...... 775,500
134,400 Cabletron Systems, Inc.+ ......... 3,393,600
570,000 Cisco Systems, Inc.+ ............. 36,230,625
155,800 Compaq Computer Corporation ...... 3,982,637
68,125 Computer Associates International,
Inc. ............................ 3,487,148
171,100 Computer Sciences Corporation+ ... 12,779,031
89,900 Dell Computer Corporation+ ....... 4,433,194
16,300 E.piphany, Inc.+ ................. 1,747,156
373,600 EMC Corporation+ ................. 28,743,850
97,200 Hewlett-Packard Company .......... 12,137,850
84,500 International Business Machines
Corporation ..................... 9,258,031
10,200 InterWorld Corporation+ .......... 209,100
39,100 Liberate Technologies, Inc.+ ..... 1,146,119
43,800 Macromedia, Inc.+ ................ 4,234,912
355,400 Microsoft Corporation+ ........... 28,432,000
206,200 Oracle Corporation+ .............. 17,333,687
26,300 Rational Software Corporation+ ... 2,444,256
119,000 Seagate Technology, Inc.+ ........ 6,545,000
9,590 Selectica, Inc.+ ................. 671,899
335,300 Sun Microsystems, Inc.+ .......... 30,491,344
62,900 Trintech Group Plc, ADR+ ......... 1,239,327
54,600 VeriSign, Inc.+ .................. 9,636,900
65,643 VERITAS Software Corporation+ .... 7,418,685
-------------
241,163,470
-------------
CONSUMER PRODUCTS -- 1.3%
153,400 The Clorox Company ............... 6,874,237
144,200 Colgate-Palmolive Company ........ 8,633,975
-------------
15,508,212
-------------
ELECTRONICS -- 9.5%
80,200 Analog Devices, Inc.+ ............ 6,095,200
120,400 Atmel Corporation+ ............... 4,439,750
75,200 Fairchild Semiconductor
Corporation, Class A+ ........... 3,045,600
121,946 Flextronics International Ltd.+ .. 8,376,166
VALUE
SHARES (NOTE 1)
------ --------
ELECTRONICS -- (CONTINUED)
205,000 Hitachi Ltd. ..................... $ 2,956,313
346,600 Intel Corporation ................ 46,336,087
149,600 Lam Research Corporation+ ........ 5,610,000
86,200 LSI Logic Corporation+ ........... 4,665,575
184,700 Micron Technology, Inc.+ ......... 16,265,144
5,700 Novellus Systems, Inc.+ .......... 322,406
26,100 SCI Systems, Inc.+ ............... 1,022,794
135,000 Solectron Corporation+ ........... 5,653,125
79,100 Teradyne, Inc.+ .................. 5,813,850
-------------
110,602,010
-------------
ENERGY -- 0.7%
182,000 The AES Corporation+ ............. 8,303,750
-------------
FINANCIAL SERVICES -- 4.9%
373,114 Associates First Capital
Corporation, Class A ............ 8,325,106
104,400 Capital One Financial Corporation 4,658,850
235,850 Citigroup, Inc. .................. 14,209,962
76,000 Fiserv, Inc.+ .................... 3,287,000
210,500 Freddie Mac ...................... 8,525,250
29,100 Lehman Brothers Holdings Inc. .... 2,751,769
60,200 Merrill Lynch & Company, Inc. .... 6,923,000
39,100 Morgan Stanley Dean Witter &
Company ......................... 3,255,075
64,900 Providian Financial Corporation .. 5,841,000
-------------
57,777,012
-------------
FOOD AND BEVERAGES -- 1.3%
123,800 Anheuser-Busch Companies, Inc. ... 9,246,312
73,800 The Quaker Oats Company .......... 5,544,225
-------------
14,790,537
-------------
HEALTH CARE -- 1.3%
77,300 Bausch & Lomb, Inc. .............. 5,981,087
400 McKesson HBOC, Inc. .............. 8,375
176,300 Medtronic, Inc. .................. 8,781,944
-------------
14,771,406
-------------
INSURANCE -- 3.2%
48,100 AFLAC Inc. ....................... 2,209,594
110,625 American International Group, Inc. 12,998,437
174,800 AXA Financial, Inc. .............. 5,943,200
117,000 The Hartford Financial Services
Group, Inc. ..................... 6,544,687
41,400 Marsh & McLennan Companies, Inc... 4,323,712
192,820 MetLife, Inc.+ ................... 4,061,271
51,400 The St. Paul Companies, Inc. ..... 1,754,025
-------------
37,834,926
-------------
MANUFACTURING -- 8.4%
84,200 Alcoa Inc. ....................... 2,441,800
72,203 Corning Inc. ..................... 19,485,785
170,100 Deere & Company .................. 6,293,700
562,500 General Electric Company ......... 29,812,500
127,200 Ingersoll-Rand Company ........... 5,119,800
136,200 Owens-Illinois, Inc.+ ............ 1,591,838
30,070 SPX Corporation+ ................. 3,636,591
619,768 Tyco International Ltd. .......... 29,361,509
-------------
97,743,523
-------------
OIL AND GAS -- 9.5%
123,900 Baker Hughes, Inc. ............... 3,964,800
284,970 BP Amoco Plc, ADR ................ 16,118,616
505,800 Conoco Inc., Class B ............. 12,423,713
16,500 Cooper Cameron Corporation+ ...... 1,089,000
41,300 Devon Energy Corporation ......... 2,320,544
147,200 EOG Resources, Inc. .............. 4,931,200
See Notes to Financial Statements.
94
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
RESEARCH SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
OIL AND GAS -- (CONTINUED)
237,774 Exxon Mobil Corporation .......... $ 18,665,259
349,200 Global Marine Inc.+ .............. 9,843,075
137,200 Noble Drilling Corporation+ ...... 5,650,925
177,600 Royal Dutch Petroleum Company+ ... 11,038,586
115,700 Santa Fe International Corporation 4,042,269
13,200 Total Fina SA .................... 2,023,993
179,000 Transocean Sedco Forex Inc. ...... 9,565,313
122,600 Weatherford International, Inc.+.. 4,881,013
101,400 The Williams Companies, Inc. ..... 4,227,113
-------------
110,785,419
-------------
PAPER AND FOREST PRODUCTS -- 0.2%
48,300 Bowater Inc. ..................... 2,131,238
-------------
PHARMACEUTICALS -- 6.1%
153,500 American Home Products Corporation 9,018,125
104,800 AstraZeneca Group Plc ............ 4,891,972
346,400 Bristol-Myers Squibb Company ..... 20,177,800
276,650 Pfizer Inc. ...................... 13,279,200
473,359 Pharmacia Corporation ............ 24,466,743
-------------
71,833,840
-------------
RETAIL -- 5.3%
882 Albertson's, Inc. ................ 29,327
474,200 CVS Corporation .................. 18,968,000
8,200 Fast Retailing Company, Ltd. ..... 3,431,641
512,400 Office Depot, Inc.+ .............. 3,202,500
203,900 RadioShack Corporation ........... 9,659,763
414,600 Safeway Inc.+ .................... 18,708,825
146,000 Wal-Mart Stores, Inc. ............ 8,413,250
-------------
62,413,306
-------------
SERVICES -- 1.6%
200,500 Automatic Data Processing Inc. ... 10,739,281
33,600 BEA Systems, Inc.+ ............... 1,661,100
9,110 Digimarc Corporation+ ............ 350,735
31,100 i2 Technologies, Inc.+ ........... 3,242,661
14,700 Siebel Systems, Inc.+ ............ 2,404,369
-------------
18,398,146
-------------
VALUE
SHARES (NOTE 1)
------ --------
TELECOMMUNICATIONS -- 14.1%
13,700 Allegiance Telcom, Inc.+ ......... $ 876,800
104,000 Bell Atlantic Corporation ........ 5,284,500
94,600 CIENA Corporation+ ............... 15,768,638
101,500 Comverse Technology, Inc.+ ....... 9,439,500
169,930 FLAG Telecom Holdings, Ltd.+ ..... 2,527,709
412,500 Global Crossing Ltd.+ ............ 10,853,906
21,700 Intermedia Communications Inc.+ .. 645,575
147,400 Koninklijke KPN NV ............... 6,593,205
33,600 Level 3 Communications, Inc.+ .... 2,956,800
333,400 Metromedia Fiber Network, Inc.,
Class A+ ........................ 13,231,813
348,475 Motorola, Inc. ................... 10,127,555
484 Nippon Telegraph & Telephone
Corporation+ .................... 6,432,348
343,200 Nortel Networks Corporation ...... 23,423,400
165,700 Qwest Communications International
Inc.+ ........................... 8,233,219
237,900 Sprint Corporation ............... 12,132,900
238,000 Sprint Corporation (PCS Group)+ .. 14,161,000
52,105 Tellabs, Inc.+ ................... 3,565,936
20,400 Time Warner Telecom Inc., Class A+ 1,313,250
993,819 Vodafone AirTouch Plc ............ 4,015,005
19,200 Winstar Communications, Inc.+ .... 650,400
289,891 WorldCom, Inc.+ .................. 13,298,750
--------------
165,532,209
--------------
Total Common Stocks
(Cost $939,469,469) ............. 1,119,393,292
--------------
PRINCIPAL
AMOUNT
---------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 4.0%
(Cost $46,582,991)
$46,600,000 Federal Home Loan Mortgage
Corporation,
6.086%[double dagger]
due 07/03/2000 .................. 46,582,991
--------------
TOTAL INVESTMENTS (COST $986,052,460*) ... 99.7% 1,165,976,283
OTHER ASSETS AND LIABILITIES (NET) ....... 0.3 3,849,537
------ --------------
NET ASSETS ............................... 100.0% $1,169,825,820
====== ==============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
[double dagger] Annualized yield at date of purchase.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
95
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
CAPITAL APPRECIATION SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 87.2%
BANKS -- 1.7%
189,000 The Chase Manhattan Corporation... $ 8,705,812
-----------
BROADCAST, RADIO AND TELEVISION -- 10.3%
766,000 Comcast Corporation, Special
Class A+ ........................ 31,023,000
455,000 Cox Communications, Inc., Class A+ 20,730,937
11,700 Time Warner Inc. ................. 889,200
-----------
52,643,137
-----------
COMPUTER INDUSTRY -- 12.7%
334,000 Apple Computer, Inc.+ ............ 17,493,250
275,000 At Home Corporation, Series A+ ... 5,706,250
34,100 Citrix Systems, Inc.+ ............ 645,769
241,000 Dell Computer Corporation+ ....... 11,884,312
19,200 EMC Corporation+ ................. 1,477,200
130,400 Gateway Inc.+ .................... 7,400,200
153,700 Lexmark International Group, Inc.,
Class A+ ........................ 10,336,325
26,000 Oracle Corporation+ .............. 2,185,625
72,000 Sun Microsystems, Inc.+ .......... 6,547,500
77,000 Unisys Corporation+ .............. 1,121,312
-----------
64,797,743
-----------
CONSUMER PRODUCTS -- 1.4%
21,000 Colgate-Palmolive Company ........ 1,257,375
19,400 Eastman Kodak Company ............ 1,154,300
79,500 Kimberly-Clark Corporation ....... 4,561,312
-----------
6,972,987
-----------
ELECTRONICS -- 2.2%
92,000 Solectron Corporation+ ........... 3,852,500
101,600 Teradyne, Inc.+ .................. 7,467,600
-----------
11,320,100
-----------
FINANCIAL SERVICES -- 9.7%
132,000 American Express Company ......... 6,880,500
113,000 Citigroup, Inc. .................. 6,808,250
291,000 First Data Corporation ........... 14,440,875
33,000 Merrill Lynch & Company, Inc. .... 3,795,000
212,000 Morgan Stanley Dean Witter &
Company ......................... 17,649,000
-----------
49,573,625
-----------
HEALTH CARE -- 3.0%
192,000 Guidant Corporation+ ............. 9,504,000
54,300 Johnson & Johnson ................ 5,531,813
-----------
15,035,813
-----------
INSURANCE -- 2.8%
112,000 American International Group, Inc. 13,160,000
15,000 The Hartford Financial Services
Group, Inc. ..................... 839,063
-----------
13,999,063
-----------
MANUFACTURING -- 3.9%
418,000 Tyco International Ltd. .......... 19,802,750
-----------
OIL AND GAS -- 1.9%
26,100 Schlumberger, Ltd. ............... 1,947,713
190,000 The Williams Companies, Inc. ..... 7,920,625
-----------
9,868,338
-----------
VALUE
SHARES (NOTE 1)
------ --------
PAPER AND FOREST PRODUCTS -- 0.2%
28,000 Weyerhaeuser Company ............. $ 1,204,000
-----------
PHARMACEUTICALS -- 2.1%
221,000 Pfizer Inc. ...................... 10,608,000
-----------
RETAIL -- 12.4%
173,000 Best Buy Company Inc.+ ........... 10,942,250
298,600 Costco Wholesale Corporation+ .... 9,853,800
200,000 The Kroger Company+ .............. 4,412,500
7,600 Lowe's Companies, Inc. ........... 312,075
164,000 Safeway Inc.+ .................... 7,400,500
372,000 Target Corporation ............... 21,576,000
270,000 Walgreen Company ................. 8,690,625
-----------
63,187,750
-----------
SEMICONDUCTORS -- 5.9%
181,900 Analog Devices, Inc.+ ............ 13,824,400
152,700 Applied Materials, Inc.+ ......... 13,838,438
33,000 Texas Instruments, Inc. .......... 2,266,688
-----------
29,929,526
-----------
SERVICES -- 3.8%
72,000 Automatic Data Processing, Inc. .. 3,856,500
126,000 Celestica, Inc.+ ................. 6,252,750
104,200 Omnicom Group Inc. ............... 9,280,312
-----------
19,389,562
-----------
TELECOMMUNICATIONS -- 13.2%
28,600 360networks Inc.+ ................ 436,150
460,200 Nextel Communications, Inc.,
Class A+ ........................ 28,158,488
547,200 Nokia Oyj, ADR ................... 27,325,800
163,500 Nortel Networks Corporation ...... 11,158,875
-----------
67,079,313
-----------
Total Common Stocks
(Cost $380,559,316) ............. 444,117,519
-----------
PRINCIPAL
AMOUNT
---------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 13.3%
(Cost $67,879,215)
$67,904,000 Federal National Mortgage
Association,
6.086%[double dagger]
due 07/03/2000 .................. 67,879,215
-----------
TOTAL INVESTMENTS (COST $448,438,531*) .. 100.5% 511,996,734
OTHER ASSETS AND LIABILITIES (NET) ...... (0.5) (2,627,437)
------ ------------
NET ASSETS .............................. 100.0% $509,369,297
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
[double dagger] Annualized yield at date of purchase.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
96
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
CAPITAL GROWTH SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 97.7%
APPAREL AND TEXTILES -- 1.1%
500,000 Unifi, Inc.+ ..................... $ 6,187,500
-----------
BROADCAST, RADIO AND TELEVISION -- 8.4%
42,000 Citadel Communications Corporation+ 1,467,375
137,000 Comcast Corporation, Special
Class A+ ........................ 5,548,500
60,000 Emmis Communications Corporation,
Class A+ ........................ 2,482,500
75,000 Entercom Communications
Corporation+ .................... 3,656,250
230,000 Hearst-Argyle Television, Inc.+ .. 4,485,000
170,000 RCN Corporation+ ................. 4,313,750
200,000 Rogers Communications, Inc.,
Class B+ ....................... 5,700,000
275,000 United Pan-Europe Communications
N.V., Class A, ADR+ ............. 7,425,000
260,000 UnitedGlobalCom Inc., Class A+ ... 12,155,000
120,000 USA Networks, Inc.+ .............. 2,595,000
-----------
49,828,375
-----------
CHEMICALS -- 1.4%
500,000 Lyondell Chemical Company ........ 8,375,000
-----------
COMPUTER INDUSTRY -- 5.6%
300,000 At Home Corporation, Series A+ ... 6,225,000
150,200 Fiserv, Inc.+ .................... 6,496,150
80,000 Foundry Networks, Inc.+ .......... 8,840,000
750,000 Informix Corporation+ ............ 5,578,125
200,000 PSINet Inc.+ ..................... 5,025,000
29,600 RADVision, Ltd.+ ................. 826,950
-----------
32,991,225
-----------
ELECTRONICS -- 0.5%
69,100 Fairchild Semiconductor
Corporation, Class A+ ........... 2,798,550
-----------
ENERGY -- 0.2%
20,000 The AES Corporation+ ............. 912,500
-----------
FINANCIAL SERVICES -- 8.3%
620,000 Associates First Capital
Corporation, Class A ............ 13,833,750
100,000 Healthcare Financial Partners,
Inc.+^ .......................... 3,500,000
460,000 Legg Mason, Inc. ................. 23,000,000
180,000 MBIA, Inc. ....................... 8,673,750
-----------
49,007,500
-----------
HEALTH CARE -- 4.5%
1 Genzyme Surgical Products+ ....... 10
1,125,000 Health Management Associates, Inc.,
Class A+ ........................ 14,695,312
700,000 HEALTHSOUTH Corpation+ ........... 5,031,250
60,000 PE Corp-PE Biosystems Group ...... 3,952,500
100,000 Tenet Healthcare Corporation+ .... 2,700,000
-----------
26,379,072
-----------
HOTELS/RESORTS -- 3.0%
450,000 Extended Stay Amererica, Inc.+ ... 4,162,500
80,000 MGM Grand, Inc. .................. 2,570,000
600,000 Park Place Entertainment
Corporation+ .................... 7,312,500
196,000 Sun International Hotels Ltd.+ ... 3,920,000
-----------
17,965,000
-----------
INSURANCE -- 5.7%
675,000 ACE Ltd. ......................... 18,900,000
125,000 AFLAC Inc. ....................... 5,742,187
275,000 CNA Financial Corporation+ ....... 9,350,000
-----------
33,992,187
-----------
VALUE
SHARES (NOTE 1)
------ --------
LEISURE ENTERTAINMENT -- 5.4%
500,000 Carnival Corporation ............. $ 9,750,000
450,000 Metro-Goldwyn-Mayer Inc.+ ........ 11,756,250
50,000 Premier Parks Inc.+ .............. 1,137,500
506,400 Royal Carribean Cruises Ltd. ..... 9,368,400
-----------
32,012,150
-----------
MANUFACTURING -- 2.2%
150,000 Masco Corporation ................ 2,709,375
197,200 Mohawk Industries, Inc.+ ......... 4,289,100
30,000 Monaco Coach Corporation+ ........ 408,750
450,000 U.S. Industries, Inc. ............ 5,456,250
-----------
12,863,475
-----------
OIL AND GAS -- 4.7%
110,000 Diamond Offshore Drilling, Inc. .. 3,863,750
250,000 Kerr-McGee Corporation ........... 14,734,375
46,300 Louis Dreyfus Natural Gas
Corporation+ .................... 1,449,769
77,200 Santa Fe International Corporation 2,697,175
80,700 Stolt Comex Seaway S.A.+ ......... 1,139,888
345,000 Stolt Comex Seaway, S.A., ADR+ ... 4,096,875
-----------
27,981,832
-----------
PHARMACEUTICALS -- 1.1%
50,000 Human Genome Sciences, Inc.+ ..... 6,668,750
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.8%
115,000 Boston Properties, Inc. .......... 4,441,875
77,629 Canadian Hotel Income Properties.. 500,917
-----------
4,942,792
-----------
RETAIL -- 3.4%
160,000 Bed Bath & Beyond, Inc.+ ......... 5,800,000
1 Delhaize America, Inc., Class A .. 18
250,000 Family Dollar Stores, Inc. ....... 4,890,625
3,900 Industrie Natuzzi SpA, ADR ....... 46,312
220,000 The Kroger Company+ .............. 4,853,750
100,000 The Limited, Inc. ................ 2,162,500
57,000 Mattel, Inc. ..................... 751,687
72,900 The TJX Companies, Inc. .......... 1,366,875
1 Too Inc.+ ........................ 25
-----------
19,871,792
-----------
SCHOOLS -- 0.2%
50,000 Edison Schools, Inc. ............. 1,159,375
-----------
SERVICES -- 2.5%
200,000 Cendant Corporation+ ............. 2,800,000
21,000 ChoicePoint Inc.+ ................ 934,500
80,000 United Rentals, Inc.+ ............ 1,370,000
360,000 Viad Corporation ................. 9,810,000
-----------
14,914,500
-----------
TELECOMMUNICATIONS -- 29.0%
425,000 Adelphia Business Solutions, Inc.+ 9,854,688
80,000 ALLTEL Corporation ............... 4,955,000
150,400 Amdocs Ltd.+ ..................... 11,543,200
329,000 AT&T Wireless Group+ ............. 9,170,875
100,000 CenturyTel, Inc. ................. 2,875,000
198,600 Clearnet Communications Inc.+ .... 5,514,253
1,100,000 Global TeleSystems Group, Inc.+ .. 13,268,750
150,000 Infonet Services Corporation,
Class B+ ........................ 1,790,625
635,000 Millicom International Cellular
S.A.+ ........................... 22,225,000
400,000 NTL, Inc.+ ....................... 23,950,000
50,000 SAVVIS Communications Corporation+ 653,125
370,000 Scientific-Atlanta, Inc. ......... 27,565,000
161,700 Telephone and Data Systems, Inc... 16,210,425
50,000 Telesystem International Wireless,
Inc. ............................ 925,000
See Notes to Financial Statements.
97
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
CAPITAL GROWTH SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
TELECOMMUNICATIONS -- (CONTINUED)
50,000 Time Warner Telecom Inc., Class A+ $ 3,218,750
260,000 United States Cellular Corporation+ 16,380,000
25,000 Western Wireless Corporation,
Class A+ ........................ 1,362,500
-----------
171,462,191
-----------
TRANSPORTATION -- 9.7%
155,000 Alaska Air Group, Inc.+ .......... 4,204,375
230,000 Budget Group, Inc., Class A+ ..... 948,750
641,400 Continental Airlines, Inc.,
Class B+ ........................ 30,145,800
115,000 Knightsbridge Tankers, Ltd. ...... 2,300,000
650,000 Northwest Airlines Corporation+ .. 19,784,375
-----------
57,383,300
-----------
Total Common Stocks
(Cost $543,660,915) ............. 577,697,066
-----------
PREFERRED STOCKS -- 0.3%
INDUSTRIAL -- 0.0%#
5,440 Hybridon, Inc., Series A+ ........ 151,994
-----------
TELECOMMUNICATIONS -- 0.3%
25,000 Amdocs TRACES .................... 1,578,125
-----------
Total Preferred Stocks
(Cost $898,475) ................. 1,730,119
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CONVERTIBLE BONDS -- 0.8%
(Cost $4,330,165)
TELECOMMUNICATIONS -- 0.8%
$3,000,000 NTL Inc.,
7.000% due 12/15/2008 ........... $ 4,815,000
-----------
SHARES
------
WARRANTS -- 0.1%
FINANCIAL SERVICES -- 0.1%
40,000 Healthcare Financial Partners,
Inc.^ ........................... 645,720
-----------
PHARMACEUTICALS -- 0.0%#
30,995 Hybridon, Inc. ................... 310
-----------
Total Warrants
(Cost $485,600) ................. 646,030
-----------
TOTAL INVESTMENTS (COST $549,375,155*) .. 98.9% 584,888,215
OTHER ASSETS AND LIABILITIES (NET) ...... 1.1 6,749,154
------ ------------
NET ASSETS .............................. 100.0% $591,637,369
====== ============
------------------------------
* Aggregate cost for Federal tax purposes.
^ Illiquid security.
+ Non-income producing security.
# Amount is less than 0.1%.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
98
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 84.8%
ADVERTISING -- 0.8%
70,800 Lamar Advertising Company+ ....... $ 3,066,525
-----------
APPAREL AND TEXTILES -- 0.1%
12,226 Jones Apparel Group, Inc.+ ....... 287,311
-----------
AUTOMOTIVE -- 0.6%
63,800 Harley-Davidson, Inc. ............ 2,456,300
-----------
BROADCAST, RADIO AND TELEVISION -- 4.9%
75,000 Hispanic Broadcasting Corporation+ 2,484,375
49,500 Macrovision Corporation+ ......... 3,164,133
52,000 Pegasus Communications Corporation+ 2,551,250
37,900 Polycom, Inc.+ ................... 3,566,153
37,300 Univision Communications, Inc.,
Class A+ ........................ 3,860,550
93,900 Westwood One, Inc.+ .............. 3,204,337
-----------
18,830,798
-----------
COMPUTER INDUSTRY -- 10.5%
66,500 Allaire Corporation+ ............. 2,443,875
16,600 Check Point Software Technologies
Ltd.+ ........................... 3,515,050
46,500 Critical Path, Inc.+ ............. 2,711,531
54,400 Digex, Inc.+ ..................... 3,695,800
37,200 Macromedia, Inc.+ ................ 3,596,775
40,000 Mercury Interactive Corporation+.. 3,870,000
62,100 Portal Software, Inc.+ ........... 3,966,637
52,500 Quest Software, Inc.+ ............ 2,907,187
30,900 Rational Software Corporation+ ... 2,871,769
60,800 SanDisk Corporation+ ............. 3,720,200
61,500 Verity, Inc.+ .................... 2,337,000
82,000 Websense, Inc.+ .................. 2,060,250
64,200 WebTrends Corporation+ ........... 2,483,737
-----------
40,179,811
-----------
ELECTRONICS -- 13.9%
71,500 Aeroflex, Inc.+ .................. 3,552,656
13,400 Affymetrix, Inc.+ ................ 2,212,675
59,600 Coherent, Inc.+ .................. 4,998,950
47,500 Credence Systems Corporation+ .... 2,621,406
51,400 Electro Scientific Industries,
Inc.+ ........................... 2,263,206
110,000 KEMET Corporation+ ............... 2,756,875
90,300 Methode Electronics, Inc., Class A 3,487,837
69,200 Micrel, Inc.+ .................... 3,005,875
48,600 Microchip Technology, Inc.+ ...... 2,831,709
35,000 Millipore Corporation ............ 2,638,125
60,600 Newport Corporation .............. 6,506,925
40,900 PerkinElmer, Inc. ................ 2,704,512
46,000 Sanmina Corporation+ ............. 3,933,000
44,700 Sawtek, Inc.+ .................... 2,573,044
65,100 Veeco Instruments, Inc.+ ......... 4,768,575
155,000 Viasystems Group, Inc.+ .......... 2,509,062
-----------
53,364,432
-----------
FINANCIAL SERVICES -- 2.3%
56,700 Federated Investors, Inc., Class B 1,988,044
61,100 Fiserv, Inc.+ .................... 2,642,575
127,400 London Pacific Group, Ltd., ADR... 1,656,200
66,000 SEI Investments Company .......... 2,627,625
-----------
8,914,444
-----------
FOOD AND BEVERAGES -- 0.7%
47,600 Aldolph Coors Company, Class B ... 2,879,800
-----------
HEALTH CARE -- 2.5%
24,500 Bausch & Lomb, Inc. .............. 1,895,687
92,600 First Health Group Corporation+ .. 3,038,437
260,700 Health Management Associates, Inc.,
Class A+ ........................ 3,405,394
VALUE
SHARES (NOTE 1)
------ --------
HEALTH CARE -- (CONTINUED)
50,800 VISX, Inc.+ ...................... $ 1,425,575
-----------
9,765,093
-----------
INSURANCE -- 0.9%
88,800 ACE Ltd. ......................... 2,486,400
32,800 Aon Corporation .................. 1,018,850
-----------
3,505,250
-----------
MANUFACTURING -- 1.7%
44,100 Danaher Corporation .............. 2,180,194
200,000 NS Group, Inc.+ .................. 4,187,500
-----------
6,367,694
-----------
OIL AND GAS -- 11.9%
33,000 BJ Services Company+ ............. 2,062,500
38,400 Cooper Cameron Corporation+ ...... 2,534,400
34,200 Dynegy Inc., Class A ............. 2,336,288
73,000 ENSCO International Inc. ......... 2,614,313
110,700 Grant Prideco, Inc.+ ............. 2,767,500
60,000 Kerr-McGee Corporation ........... 3,536,250
65,200 Nabors Industries, Inc.+ ......... 2,709,875
100,000 National-Oilwell, Inc.+ .......... 3,287,500
181,300 Ocean Energy, Inc.+ .............. 2,572,194
80,000 Patterson Energy, Inc.+ .......... 2,280,000
127,700 R&B Falcon Corporation+ .......... 3,008,931
88,200 Rowan Companies, Inc.+ ........... 2,679,075
175,000 Santa Fe Snyder Corporation+ ..... 1,990,625
32,300 Smith International, Inc.+ ....... 2,351,844
78,200 Spinnaker Exploration Company+ ... 2,003,875
54,300 Transocean Sedco Forex Inc. ...... 2,901,656
86,400 Union Pacific Resources Group, Inc. 1,900,800
56,600 Weatherford International, Inc.+.. 2,253,388
-----------
45,791,014
-----------
PHARMACEUTICALS -- 3.9%
56,500 Biogen, Inc.+ .................... 3,644,250
27,100 Forest Laboratories, Inc.+ ....... 2,737,100
101,300 Jones Pharma, Inc. ............... 4,045,669
79,000 Medicis Pharmaceutical Corporation,
Class A+ ........................ 4,503,000
-----------
14,930,019
-----------
RESTAURANTS -- 0.6%
72,800 Outback Steakhouse, Inc.+ ........ 2,129,400
-----------
RETAIL -- 5.8%
79,700 Bed Bath & Beyond, Inc.+ ......... 2,889,125
64,200 Dollar Tree Stores, Inc.+ ........ 2,539,913
132,100 Family Dollar Stores, Inc. ....... 2,584,206
133,200 Intimate Brands, Inc. ............ 2,630,700
122,500 Linens 'n Things, Inc.+ .......... 3,322,813
55,600 Talbots, Inc. .................... 3,054,525
39,600 Tiffany & Company ................ 2,673,000
69,400 Zale Corporation+ ................ 2,533,100
-----------
22,227,382
-----------
SEMICONDUCTORS -- 6.1%
65,000 Bookham Technology Plc, ADR+ ..... 3,851,250
18,200 Cree Research, Inc.+ ............. 2,429,700
41,200 Intersil Holding Corporation+ .... 2,227,375
41,600 Kopin Corporation+ ............... 2,880,800
46,500 Novellus Systems, Inc.+ .......... 2,630,156
38,500 Semtech Corporation+ ............. 2,944,648
51,400 Varian Semiconductor Equipment
Associates, Inc.+ ............... 3,228,563
42,200 Vitesse Semiconductor Corporation+ 3,104,338
-----------
23,296,830
-----------
See Notes to Financial Statements.
99
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
SERVICES -- 3.1%
59,900 BEA Systems, Inc.+ ............... $ 2,961,306
54,300 CSG Systems International, Inc.+.. 3,044,194
29,500 i2 Technologies, Inc.+ ........... 3,075,836
30,800 Orbotech, Ltd.+ .................. 2,860,550
-----------
11,941,886
-----------
TELECOMMUNICATIONS -- 13.2%
79,300 ADC Telecommunications, Inc.+ .... 6,651,288
57,800 Advanced Fibre Communications,
Inc.+ ........................... 2,619,063
92,700 Andrew Corporation+ .............. 3,111,244
53,000 CommScope, Inc.+ ................. 2,173,000
38,700 Comverse Technology, Inc.+ ....... 3,599,100
38,600 Copper Mountain Networks, Inc.+ .. 3,401,625
86,600 Crown Castle International
Corporation+ .................... 3,160,900
38,100 Digital Lightwave, Inc.+ ......... 3,829,050
32,400 Ditech Communications Corporation+ 3,063,825
70,000 Harris Corporation ............... 2,292,500
30,300 MCK Communications, Inc.+ ........ 700,688
58,500 Powerwave Technologies, Inc.+ .... 2,574,000
97,600 Primus Telecommunications Group,
Inc.+ ........................... 2,427,800
64,000 Scientific-Atlanta, Inc. ......... 4,768,000
14,000 SDL, Inc.+ ....................... 3,992,625
45,800 Western Wireless Corporation,
Class A+ ........................ 2,496,100
-----------
50,860,808
-----------
TRANSPORTATION -- 0.7%
30,000 Kansas City Southern Industries,
Inc. ............................ 2,660,625
-----------
UTILITIES -- 0.6%
62,000 Montana Power Company ............ 2,189,375
-----------
Total Common Stocks
(Cost $267,475,675) ............. 325,644,797
-----------
PREFERRED STOCKS -- 0.4%
(Cost $1,648,194)
30,000 Titan Capital Trust .............. 1,648,170
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- -------
CONVERTIBLE BONDS -- 0.6%
$ 210,000 Exodus Communications, Inc.
4.750% due 07/15/2008^ .......... $ 300,300
2,562,000 Primus Telecommunications Group,
Inc.
5.750% due 02/15/2007^ .......... 1,790,198
-----------
Total Convertible Bonds
(Cost $2,721,543) ............... 2,090,498
-----------
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 13.1%
(Cost $50,339,619)
50,358,000 Federal National Mortgage
Association,
6.086%[double dagger]
due 07/03/2000 .................. 50,339,619
-----------
TOTAL INVESTMENTS (COST $322,185,031*) .. 98.9% 379,723,084
OTHER ASSETS AND LIABILITIES (NET) ...... 1.1 4,241,561
----- ------------
NET ASSETS .............................. 100.0% $383,964,645
===== ============
------------------------------
* Aggregate cost for Federal tax purposes.
^ Illiquid security.
+ Non-income producing security.
[double dagger] Annualized yield at date of purchase.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
100
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 95.8%
BROADCAST, RADIO AND TELEVISION -- 0.9%
74,600 Hearst-Argyle Television, Inc.+ .. $ 1,454,700
22,100 Sinclair Broadcast Group, Inc.,
Class A+ ........................ 243,100
637,600 SportLine USA, Inc.+ ............. 10,879,050
-------------
12,576,850
-------------
CHEMICALS -- 0.5%
195,400 Rohm and Haas Company ............ 6,741,300
-------------
COMPUTER INDUSTRY -- 27.4%
6,800 Affiliated Computer Services, Inc.,
Class A+ ........................ 224,825
724,990 Ancor Communications, Inc.+ ...... 25,929,720
141,900 Aspen Technology, Inc.+ .......... 5,463,150
257,800 Cabletron Systems, Inc.+ ......... 6,509,450
32,900 Check Point Software Technologies
Ltd.+ ........................... 6,966,575
978,200 CheckFree Holdings Corporation+ .. 50,438,437
129,850 Chordiant Software, Inc.+ ........ 2,158,756
179,200 Computer Network Technology
Corporation+ .................... 3,113,600
390,100 Diversinet Corporation+ .......... 4,632,437
638,501 Emulex Corporation+ .............. 41,941,534
118,300 Entrust Technologies, Inc.+ ...... 9,789,325
314,900 ePresence, Inc.+ ................. 2,283,025
318,700 MMC Networks, Inc.+ .............. 17,030,531
453,675 Peregrine Systems, Inc.+ ......... 15,736,852
302,150 Radiant Systems, Inc. ............ 7,251,600
737,300 RSA Security, Inc.+ .............. 51,058,025
1,551,882 S1 Corporation+ .................. 36,178,249
482,300 Seagate Technology, Inc.+ ........ 26,526,500
710,050 Switchboard, Inc.+ ............... 7,100,500
472,800 VeriSign, Inc.+ .................. 83,449,200
36,500 Ziff-Davis, Inc. - ZDNet+ ........ 328,500
-------------
404,110,791
-------------
DIVERSIFIED MINERALS -- 0.0%#
466,100 Southern Africa Minerals
Corporation+ .................... 94,480
-------------
ELECTRONICS -- 2.6%
108,000 Applied Science and Technology,
Inc.+ ........................... 2,794,500
4,720 Capstone Turbine Corporation+ .... 212,695
159,700 DuPont Photomasks, Inc.+ ......... 10,939,450
3,800 Marvell Technology Group, Ltd.+ .. 216,600
84,000 MKS Instruments, Inc.+ ........... 3,286,500
51,200 Sawtek, Inc.+ .................... 2,947,200
432,600 SIPEX Corporation+ ............... 11,977,612
78,900 Veeco Instruments, Inc.+ ......... 5,779,425
-------------
38,153,982
-------------
FINANCIAL SERVICES -- 1.6%
397,300 Edwards (A.G.), Inc. ............. 15,494,700
152,100 Intuit, Inc.+ .................... 6,293,137
220,700 Netzee, Inc.+ .................... 1,262,128
-------------
23,049,965
-------------
FOOD AND BEVERAGES -- 1.8%
1,574,050 Del Monte Foods Company+ ......... 10,723,216
426,600 Keebler Foods Company+ ........... 15,837,525
-------------
26,560,741
-------------
HEALTH CARE -- 8.8%
1,800 AHT Corporation+ ................. 3,600
177,500 Cerner Corporation+ .............. 4,836,875
905,600 Cytyc Corporation+ ............... 48,336,400
VALUE
SHARES (NOTE 1)
------ --------
HEALTH CARE -- (CONTINUED)
502,178 Martek Biosciences Corporation+^.. $ 9,415,837
1,123,105 Total Renal Care Holdings, Inc.+.. 6,738,630
2,143,400 VISX, Inc.+ ...................... 60,149,162
-------------
129,480,504
-------------
MANUFACTURING -- 2.7%
1,211,600 AGCO Corporation ................. 14,842,100
1,905,800 Smurfit-Stone Container
Corporation+ .................... 24,537,175
-------------
39,379,275
-------------
OIL AND GAS -- 21.0%
487,700 Apache Corporation ............... 28,682,856
389,663 Diamond Offshore Drilling, Inc. .. 13,686,913
1,521,600 EOG Resources, Inc. .............. 50,973,600
2,203,500 Global Industries, Ltd.+ ......... 41,591,063
511,500 Global Marine Inc.+ .............. 14,417,906
677,900 The Houston Exploration Company+.. 17,032,238
1,171,560 Newfield Exploration Company+ .... 45,837,285
90,100 Noble Affiliates, Inc. ........... 3,356,225
1,251,500 Noble Drilling Corporation+ ...... 51,546,156
795,600 Transocean Sedco Forex Inc. ...... 42,514,875
-------------
309,639,117
-------------
PHARMACEUTICALS -- 6.0%
707,860 IntraBiotics Pharmaceuticals, Inc.+ 18,891,014
639,000 United Therapeutics Corporation+.. 69,251,625
-------------
88,142,639
-------------
PRINTING/PUBLISHING -- 1.2%
282,500 Scholastic Corporation+ .......... 17,267,813
-------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
60,800 Pinnacle Holdings, Inc.+ ......... 3,283,200
-------------
RETAIL -- 5.5%
837,400 BJ's Wholesale Club, Inc.+ ....... 27,634,200
257,700 The Gymboree Corporation+ ........ 773,100
2,403,070 The Kroger Company+ .............. 53,017,732
-------------
81,425,032
-------------
SERVICES -- 7.8%
158,640 Collectors Universe, Inc.+ ....... 466,005
783,600 CSG Systems International, Inc.+.. 43,930,575
315,000 IDEXX Laboratories, Inc.+ ........ 7,205,625
187,800 The InterCept Group, Inc.+ ....... 3,192,600
36,500 iVillage, Inc.+ .................. 307,969
431,100 National Data Corporation ........ 9,915,300
1,279,900 NOVA Corporation+ ................ 35,757,206
461,200 W.W. Grainger, Inc. .............. 14,210,725
-------------
114,986,005
-------------
TELECOMMUNICATIONS -- 7.8%
139,500 Adelphia Business Solutions, Inc.+ 3,234,656
50,700 Allegiance Telcom, Inc.+ ......... 3,244,800
865,400 American Tower Corporation,
Class A+ ........................ 36,076,363
113,400 Aware, Inc.+ ..................... 5,797,575
793,190 Cable Design Technologies
Corporation+ .................... 26,571,865
78,200 Comverse Technology, Inc.+ ....... 7,272,600
97,800 Covad Communications Group, Inc.+ 1,577,025
3,170 i3 Mobile, Inc.+ ................. 58,249
44,400 ICG Communications, Inc.+ ........ 979,575
160,240 Intermedia Communications Inc.+ .. 4,767,140
See Notes to Financial Statements.
101
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
MID-CAP GROWTH SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
TELECOMMUNICATIONS -- (CONTINUED)
147,700 MGC Communications, Inc.+ ........ $ 8,852,769
53,800 Spectrasite Holdings, Inc.+ ...... 1,526,575
4,430 Stratos Lightwave, Inc.+ ......... 123,486
86,200 Tekelec+ ......................... 4,153,763
167,900 Time Warner Telecom Inc., Class A+ 10,808,563
-------------
115,045,004
-------------
Total Common Stocks
(Cost $1,223,964,414) ........... 1,409,936,698
-------------
PRINCIPAL
AMOUNT
---------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 4.6%
(Cost $67,475,363)
$67,500,000 Federal Home Loan Mortgage
Corporation,
6.086%[double dagger]
due 07/03/2000 .................. 67,475,363
--------------
TOTAL INVESTMENTS (COST $1,291,439,777*) 100.4% 1,477,412,061
OTHER ASSETS AND LIABILITIES (NET) ..... (0.4) (5,223,200)
------ --------------
NET ASSETS ............................. 100.0% $1,472,188,861
====== ==============
------------------------------
* Aggregate cost for Federal tax purposes.
^ Illiquid security.
+ Non-income producing security.
[double dagger] Annualized yield at date of purchase.
# Amount is less than 0.01%.
See Notes to Financial Statements.
102
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 91.8%
ADVERTISING -- 0.9%
68,000 24/7 Media, Inc.+ ................ $ 1,062,500
87,000 ADVO, Inc. ....................... 3,654,000
-----------
4,716,500
-----------
AEROSPACE/DEFENSE -- 0.8%
150,000 Armor Holdings, Inc.+ ............ 1,950,000
60,000 REMEC, Inc.+ ..................... 2,512,500
-----------
4,462,500
-----------
AGRICULTURE -- 0.1%
160,000 Seminis, Inc., Class A+ .......... 420,000
-----------
AIRLINES -- 1.6%
230,000 Atlantic Coast Airlines Holdings,
Inc.+ ........................... 7,302,500
42,600 SkyWest, Inc. .................... 1,578,862
-----------
8,881,362
-----------
APPAREL AND TEXTILES -- 0.7%
110,000 Kellwood Company ................. 2,323,750
250,000 The Stride Rite Corporation ...... 1,531,250
-----------
3,855,000
-----------
AUTOMOTIVE -- 2.0%
170,000 Autoweb.com, Inc.+ ............... 361,250
50,000 BorgWarner, Inc. ................. 1,756,250
127,300 Dollar Thrifty Automotive Group,
Inc.+ ........................... 2,347,094
77,500 Oshkosh Truck Corporation ........ 2,770,625
120,000 Polaris Industries, Inc. ......... 3,840,000
-----------
11,075,219
-----------
BANKS -- 2.7%
109,500 Banknorth Group, Inc. ............ 1,676,719
60,000 Commerce Bancorp, Inc. ........... 2,760,000
105,000 Fulton Finanacial Corporation .... 1,857,187
200,000 Silicon Valley Bancshares ........ 8,525,000
-----------
14,818,906
-----------
BROADCAST, RADIO AND TELEVISION -- 6.2%
75,000 Acme Communications, Inc.+ ....... 1,368,750
140,000 ACTV, Inc.+ ...................... 2,091,250
16,000 BHC Communications, Inc., Class A+ 2,432,000
114,000 Citadel Communications Corporation+ 3,982,875
70,000 Classic Communications, Inc.,
Class A+ ........................ 625,625
92,700 Cox Radio, Inc., Class A+ ........ 2,595,600
199,000 Cumulus Media Inc., Class A+ ..... 1,815,875
80,000 Insight Communications Company,
Inc.+ ........................... 1,250,000
125,300 Mediacom Communications
Corporation+ .................... 1,926,487
30,000 Radio One, Inc., Class A+ ........ 886,875
60,000 Radio One, Inc., Class D+ ........ 1,323,750
125,000 Sinclair Broadcast Group, Inc.,
Class A+ ........................ 1,375,000
90,000 Sirius Satellite Radio Inc.+ ..... 3,988,125
100,000 Spanish Broadcasting System, Inc.,
Class A+ ........................ 2,056,250
25,000 TiVo Inc.+ ....................... 875,000
67,000 World Wrestling Federation
Entertainment, Inc.+ ............ 1,394,437
105,000 XM Satellite Radio Holdings Inc.,
Class A+ ........................ 3,930,937
-----------
33,918,836
-----------
CHEMICALS -- 0.9%
60,000 H.B. Fuller Company .............. 2,733,750
75,000 Spartech Corporation ............. 2,025,000
-----------
4,758,750
-----------
VALUE
SHARES (NOTE 1)
------ --------
COMPUTER INDUSTRY -- 7.5%
45,000 About.com, Inc.+ ................. $ 1,417,500
39,000 Click Commerce, Inc.+ ............ 882,375
20,500 Cobalt Networks, Inc.+ ........... 1,186,437
101,000 CyberSource Corporation+ ......... 1,395,062
39,000 Digex, Inc.+ ..................... 2,649,562
40,000 EarthWeb Inc.+ ................... 560,000
101,000 Extensity, Inc.+ ................. 3,459,250
31,300 Handspring, Inc.+ ................ 845,100
80,000 Intelligroup, Inc.+ .............. 960,000
145,000 Liquid Audio, Inc.+ .............. 1,372,969
125,000 Mail.com, Inc.+ .................. 710,937
48,400 MatrixOne, Inc.+ ................. 1,966,250
110,000 National Information Consortium
Inc.+ ........................... 1,251,250
35,769 NetIQ Corporation+ ............... 2,132,727
39,300 Numerical Technologies, Inc.+ .... 1,910,962
6,400 ONI Systems Corporation+ ......... 750,100
22,800 OpenTV Corporation+ .............. 1,023,150
46,000 PC-Tel, Inc.+ .................... 1,748,000
50,000 Pixar, Inc.+ ..................... 1,762,500
33,200 Register.com, Inc.+ .............. 1,014,675
66,500 Remedy Corporation+ .............. 3,707,375
32,900 RSA Security, Inc.+ .............. 2,278,325
50,000 Saba Software, Inc.+ ............. 1,050,000
39,000 Snowball.com, Inc.+ .............. 190,125
90,000 Via Net.Works, Inc.+ ............. 1,389,375
50,000 WorldGate Communications, Inc.+ .. 887,500
181,000 Xpedior Inc.+ .................... 2,500,062
-----------
41,001,568
-----------
CONSUMER PRODUCTS -- 2.7%
146,000 American Greetings Corporation,
Class A ......................... 2,774,000
450,000 Egreetings Network, Inc.+ ........ 618,750
59,800 Libbey Inc. ...................... 1,921,075
115,000 Martha Stewart Living Omnmedia,
Inc., Class A+ .................. 2,530,000
140,000 Nu Skin Enterprises, Inc., Class A+ 805,000
167,000 Ocular Sciences, Inc.+ ........... 1,962,250
150,000 RPM, Inc. ........................ 1,518,750
66,000 The Scotts Company, Class A+ ..... 2,409,000
-----------
14,538,825
-----------
EDUCATION -- 0.9%
200,000 click2learn.com, Inc.+ ........... 3,525,000
60,000 Lightspan Inc.+ .................. 330,000
53,000 Riverdeep Group Plc, ADR+ ........ 1,026,875
-----------
4,881,875
-----------
ELECTRONICS -- 9.4%
30,000 American Superconductor
Corporation+ .................... 1,447,500
6,600 Capstone Turbine Corporation+ .... 297,413
85,600 Electro Scientific Industries,
Inc.+ ........................... 3,769,075
60,000 Harman International Industries,
Inc. ............................ 3,660,000
118,700 Harmon Industries, Inc. .......... 1,572,775
15,800 Manufacturers' Services Ltd.+ .... 324,887
123,000 Nanometrics, Inc.+ ............... 5,066,062
100,000 Power Intergrations, Inc.+ ....... 2,356,250
120,000 Power-One, Inc.+ ................. 13,672,500
250,000 Sensormatic Electronics
Corporation+ .................... 3,953,125
100,000 SRS Labs, Inc.+ .................. 925,000
111,000 Therma-Wave Inc.+ ................ 2,476,687
223,200 UNOVA, Inc.+ ..................... 1,632,150
65,000 Veeco Instruments, Inc.+ ......... 4,761,250
60,000 Zygo Corporation+ ................ 5,448,750
-----------
51,363,424
-----------
See Notes to Financial Statements.
103
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
FINANCIAL SERVICES -- 2.2%
98,000 American Captial Strategies, Ltd.. $ 2,339,750
175,000 AmeriCredit Corporation+ ......... 2,975,000
55,000 Bank United Corporation, Class A.. 1,935,312
51,800 LendingTree, Inc.+ ............... 388,500
120,000 Online Resources & Communications
Corporation+ .................... 772,500
104,000 Organic, Inc.+ ................... 1,014,000
171,000 Policy Management Systems
Corporation+ .................... 2,629,125
-----------
12,054,187
-----------
FOOD AND BEVERAGES -- 3.3%
77,000 Beringer Wine Estates Holdings,
Inc., Class B+ .................. 2,719,062
335,000 Flowers Industries, Inc. ......... 6,679,063
130,000 Suiza Foods Corporation+ ......... 6,353,750
70,750 Tootsie Roll Industries, Inc. .... 2,476,250
-----------
18,228,125
-----------
HEALTH CARE -- 3.9%
64,100 Aspect Medical Systems, Inc.+ .... 1,730,700
200,000 Assisted Living Concepts, Inc.+ .. 125,000
250,000 Capital Senior Living Corporation+ 734,375
120,000 ChromaVision Medical Systems, Inc.+ 1,582,500
187,900 Focal, Inc.+ ..................... 563,700
140,000 Healthcentral.com+ ............... 420,000
130,000 LifePoint Hospitals, Inc.+ ....... 2,892,500
100,000 MedQuist, Inc.+ .................. 3,400,000
35,000 Novoste Corporation+ ............. 2,135,000
180,000 Orthodontic Centers of America,
Inc.+ ........................... 4,072,500
100,000 PlanetRx.com, Inc.+ .............. 150,000
150,000 Triad Hospitals, Inc.+ ........... 3,628,125
-----------
21,434,400
-----------
INSURANCE -- 1.4%
100,000 Everest Re Group, Ltd. ........... 3,287,500
51,000 Fidelity National Financial, Inc.. 933,937
100,000 The First American Corporation ... 1,431,250
105,000 Philadelphia Consolidated Holding
Corporation+ .................... 1,765,313
-----------
7,418,000
-----------
LEISURE ENTERTAINMENT -- 1.4%
450,000 Acclaim Entertainment, Inc.+ ..... 646,875
110,000 Championship Auto Racing Teams,
Inc.+ ........................... 2,805,000
44,000 International Speedway Corporation,
Class A ......................... 1,820,500
90,200 Speedway Motorsports, Inc.+ ...... 2,074,600
-----------
7,346,975
-----------
MANUFACTURING -- 2.8%
250,000 CONSOL Energy Inc. ............... 3,781,250
154,000 Donaldson Company, Inc. .......... 3,041,500
60,000 Elcor Corporation ................ 1,380,000
120,000 Ivex Packaging Corporation+ ...... 1,335,000
200,000 Speedfam-IPEC, Inc.+ ............. 3,637,500
110,000 Valence Technology, Inc.+ ........ 2,028,125
-----------
15,203,375
-----------
OIL AND GAS -- 0.6%
300,000 San Juan Basin Royalty Trust ..... 3,000,000
-----------
PAPER AND FOREST PRODUCTS -- 0.4%
40,000 Potlatch Corporation ............. 1,325,000
105,000 Wausau-Mosinee Paper Corporation.. 899,063
-----------
2,224,063
-----------
VALUE
SHARES (NOTE 1)
------ --------
PHARMACEUTICALS -- 7.1%
92,700 Aclara Biosciences Inc.+ ......... $ 4,721,906
86,900 Algos Pharmaceuticals Corporation+ 1,325,225
88,000 Antigenics Inc.+ ................. 1,463,000
60,000 Aviron+ .......................... 1,852,500
30,000 Charles River Laboratories
International, Inc.+ ............ 665,625
36,000 Diversa Corporation+ ............. 1,192,500
58,500 Exelixis, Inc.+ .................. 1,952,438
95,000 Gene Logic Inc.+ ................. 3,390,313
375,000 Heska Corporation+ ............... 796,875
95,000 ILEX Oncology, Inc.+ ............. 3,348,750
170,000 The Immune Response Corporation+.. 1,848,750
110,000 Kendle International Inc.+ ....... 866,250
379 Nexell Therapeutics Inc.+ ........ 5,638
33,400 Protein Design Labs, Inc.+ ....... 5,509,434
38,300 Tanox, Inc.+ ..................... 1,812,069
80,000 Trimeris, Inc.+ .................. 5,595,000
88,000 Vical, Inc.+ ..................... 1,694,000
57,000 ViroPharma, Inc.+ ................ 890,625
-----------
38,930,898
-----------
PRINTING/PUBLISHING -- 0.4%
160,000 Hollinger International Inc. ..... 2,180,000
-----------
REAL ESTATE -- 1.2%
92,000 HomeStore.com, Inc.+ ............. 2,685,250
130,000 Intrawest Corporation ............ 2,470,000
120,000 Trammell Crow Company+ ........... 1,290,000
-----------
6,445,250
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.6%
150,000 MeriStar Hospitality Corporation.. 3,150,000
-----------
RESTAURANTS -- 1.0%
160,000 Buffets, Inc.+ ................... 2,030,000
260,000 CKE Restaurants, Inc. ............ 780,000
210,000 Ruby Tuesday, Inc. ............... 2,638,125
-----------
5,448,125
-----------
RETAIL -- 1.8%
125,000 American Eagle Outfitters, Inc.+.. 1,750,000
170,000 Ashford.com, Inc.+ ............... 488,750
120,000 CDnow, Inc.+ ..................... 371,250
175,000 Cheap Tickets, Inc.+ ............. 2,100,000
120,000 Fogdog, Inc.+ .................... 153,750
60,000 HomeGrocer.com, Inc.+ ............ 361,875
234,000 Neoforma.com, Inc.+ .............. 1,645,313
33,000 Pets.com, Inc.+ .................. 74,250
210,000 QXL.com Plc, ADS+ ................ 1,627,500
250,000 Restoration Hardware, Inc. ....... 1,375,000
-----------
9,947,688
-----------
SEMICONDUCTORS -- 9.8%
150,000 ASM International N.V.+ .......... 3,975,000
23,700 August Technology Corporation+ ... 389,569
100,000 Cymer, Inc.+ ..................... 4,775,000
70,000 Electroglas, Inc.+ ............... 1,505,000
61,000 Exar Corporation+ ................ 5,318,438
77,000 GaSonics International Corporation+ 3,036,688
324,800 LTX Corporation+ ................. 11,347,700
2,800 Marvell Technology Group, Ltd.+... 159,600
89,000 MIPS Technologies Inc., Class A+.. 3,782,500
87,000 Parthus Technologies Plc, ADR+.... 2,479,500
58,000 Rambus, Inc.+ .................... 5,974,000
46,000 Rudolph Technologies, Inc.+ ...... 1,782,500
74,200 SCG Holding Corporation+ ......... 1,623,125
See Notes to Financial Statements.
104
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
SEMICONDUCTORS -- (CONTINUED)
120,000 Silicon Valley Group, Inc.+ ...... $ 3,105,000
60,000 Zoran Corporation+ ............... 3,956,250
-----------
53,209,870
-----------
SERVICES -- 6.0%
86,000 Agency.com, Inc.+ ................ 1,531,875
130,000 Alloy Online, Inc.+ .............. 1,462,500
140,000 Cambridge Technology Partners,
Inc.+ ........................... 1,220,625
100,000 CoStar Group Inc.+ ............... 2,506,250
20,000 Documentum, Inc.+ ................ 1,787,500
100,000 Harris Interactive Inc.+ ......... 484,375
39,000 HeadHunter.NET, Inc.+ ............ 394,875
76,800 Hotel Reservations Network, Inc.,
Class A+ ........................ 2,284,800
280,000 Integrated Electrical Services,
Inc.+ ........................... 1,435,000
80,000 Ionics, Inc.+ .................... 2,450,000
200,000 iVillage, Inc.+ .................. 1,687,500
140,000 The Knot, Inc.+ .................. 533,750
66,000 NetRatings, Inc.+ ................ 1,691,250
60,000 Official Payments Corporation+ ... 258,750
71,650 QRS Corporation+ ................. 1,759,903
70,000 Quanta Services, Inc.+ ........... 3,850,000
270,000 Service Corporation International+ 860,625
170,000 Steiner Leisure, Ltd.+ ........... 3,846,250
400,000 Stewart Enterprises, Inc., Class A 1,412,500
150,000 WESCO International, Inc.+ ....... 1,434,375
-----------
32,892,703
-----------
TELECOMMUNICATIONS -- 7.4%
90,000 Alaska Communications Systems
Holdings, Inc.+ ................. 933,750
100,000 Allied Riser Communications
Corporation+ .................... 1,412,500
42,000 Anaren Microwave, Inc.+ .......... 5,511,844
170,000 Aspect Communications Corporation+ 6,683,125
108,000 Carrier Access Corporation+ ...... 5,710,500
26,600 Choice One Communications Inc.+ .. 1,085,613
179,300 Cypress Communications, Inc.+ .... 1,299,925
110,000 FLAG Telecom Holdings, Ltd.+ ..... 1,636,250
86,000 Focal Communications Corporation+ 3,074,500
30,200 GT Group Telecom Inc. Class B+ ... 477,538
110,000 Hickory Tech Corporation ......... 1,340,625
79,000 InterWave Communications
International, Ltd.+ ............ 1,106,000
78,700 Metawave Communications
Corporation+ .................... 2,100,306
50,800 Net2000 Communications, Inc.+ .... 831,850
12,300 New Focus, Inc.+ ................. 1,010,138
50,000 SAVVIS Communications Corporation+ 653,125
100,000 Spectrasite Holdings, Inc.+ ...... 2,837,500
150,000 Superior TeleCom, Inc. ........... 1,490,625
14,600 Time Warner Telecom Inc., Class A+ 939,875
-----------
40,135,589
-----------
VALUE
SHARES (NOTE 1)
------ --------
TRANSPORTATION -- 1.2%
15,000 Circle International Group, Inc... $ 376,875
50,000 Landstar System, Inc.+ ........... 2,978,125
55,000 USFreightways Corporation ........ 1,350,938
160,000 Werner Enterprises, Inc. ......... 1,850,000
-----------
6,555,938
-----------
UTILITIES -- 2.9%
62,500 MDU Resources Group, Inc. ........ 1,351,563
119,000 New Jersey Resources Corporation.. 4,529,438
210,000 NRG Energy, Inc.+ ................ 3,832,500
110,000 South Jersey Industries, Inc. .... 2,860,000
136,000 Washington Gas Light Company ..... 3,272,500
-----------
15,846,001
-----------
Total Common Stocks
(Cost $517,854,153) ............. 500,343,952
-----------
TOTAL INVESTMENTS (COST $517,854,153*) .. 91.8% 500,343,952
OTHER ASSETS AND LIABILITIES (NET) ...... 8.2 44,939,360
----- ------------
NET ASSETS .............................. 100.0% $545,283,312
===== ============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
105
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
GROWTH SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 80.0%
ADVERTISING -- 1.2%
90,330 Lamar Advertising Company+ ....... $ 3,912,418
261,935 TMP Worldwide Inc.+ .............. 19,334,077
-------------
23,246,495
-------------
BANKS -- 1.7%
332,875 Fifth Third Bancorp. ............. 21,054,344
516,660 Firstar Corporation .............. 10,882,151
-------------
31,936,495
-------------
BROADCAST, RADIO AND TELEVISION -- 11.9%
3,069,084 AT&T Corporation - Liberty Media
Group, Class A+ ................. 74,425,287
243,430 Cablevision Systems Corporation,
Class A+ ........................ 16,522,811
641,460 Charter Communications, Inc.,
Class A+ ........................ 10,543,999
654,345 Comcast Corporation, Special
Class A+ ........................ 26,500,972
286,560 Cox Communications, Inc., Class A+ 13,056,390
381,827 Infinity Broadcasting Corporation,
Class A+ ........................ 13,912,821
47,920 Liberty Digital, Inc.+ ........... 1,437,600
791,280 Time Warner Inc. ................. 60,137,280
238,890 UnitedGlobalCom Inc., Class A+ ... 11,168,107
-------------
227,705,267
-------------
COMPUTER INDUSTRY -- 18.2%
462,660 3Com Corporation+ ................ 26,660,782
510,220 ASM Lithography Holding N.V.+ .... 22,513,458
571,590 Cisco Systems, Inc.+ ............. 36,331,689
310,845 DoubleClick Inc.+ ................ 11,850,966
457,955 Electronic Arts Inc.+ ............ 33,402,093
512,660 EMC Corporation+ ................. 39,442,779
346,140 Exodus Communications, Inc.+ ..... 15,944,074
203,895 iGATE Capital Corporation+ ....... 2,803,556
148,880 InfoSpace.com, Inc.+ ............. 8,225,620
71,125 Inktomi Corporation+ ............. 8,410,531
205,505 Lycos, Inc.+ ..................... 11,097,270
317,437 MarchFirst, Inc.+ ................ 5,793,225
195,295 Microsoft Corporation+ ........... 15,623,600
201,030 Phone.com, Inc.+ ................. 13,092,079
188,465 Sapient Corporation+ ............. 20,153,976
35,035 Scient Corporation+ .............. 1,545,919
224,760 Software.com, Inc.+ .............. 29,190,705
130,840 Verio Inc.+ ...................... 7,259,576
131,145 VeriSign, Inc.+ .................. 23,147,093
131,920 VERITAS Software Corporation+ .... 14,909,021
-------------
347,398,012
-------------
ELECTRONICS -- 0.8%
173,400 Sony Corporation ................. 16,180,404
-------------
FINANCIAL SERVICES -- 1.6%
387,585 American Express Company ......... 20,202,868
688,920 E*TRADE Group, Inc.+ ............. 11,367,180
-------------
31,570,048
-------------
VALUE
SHARES (NOTE 1)
------ --------
HEALTH CARE -- 3.5%
746,315 Medtronic, Inc. .................. $37,175,816
92,080 MiniMed Inc.+ .................... 10,865,440
286,130 PE Corp-PE Biosystems Group ...... 18,848,814
-------------
66,890,070
-------------
OIL AND GAS -- 4.6%
1,353,525 Enron Corporation ................ 87,302,363
-------------
RETAIL -- 3.1%
786,060 Amazon.com, Inc.+ ................ 28,543,804
254,450 eBay, Inc.+ ...................... 13,819,816
330,610 The Home Depot, Inc. ............. 16,509,837
-------------
58,873,457
-------------
SEMICONDUCTORS -- 4.2%
260,975 Analog Devices, Inc.+ ............ 19,834,100
301,575 Applied Materials, Inc.+ ......... 27,330,234
113,885 Maxim Integrated Products, Inc.+.. 7,737,062
357,860 Texas Instruments, Inc. .......... 24,580,509
-------------
79,481,905
-------------
SERVICES -- 2.6%
84,155 GoTo.com Inc.+ ................... 1,288,623
350,815 i2 Technologies, Inc.+ ........... 36,577,945
95,495 NetZero Inc.+ .................... 498,365
277,510 Priceline.com Inc.+ .............. 10,541,044
21,390 Ticketmaster Online-CitySearch,
Inc., Class B+ .................. 340,903
-------------
49,246,880
-------------
TELECOMMUNICATIONS -- 26.6%
87,560 AT&T Corporation ................. 2,769,085
155,060 China Telecom (Hong Kong), Ltd.,
ADR+ ............................ 27,571,606
1,309,965 China Unicom Ltd., ADR+ .......... 27,836,756
29,935 E-Tek Dynamics Inc.+ ............. 7,897,227
93,995 JDS Uniphase Corporation+ ........ 11,267,651
340,415 Level 3 Communications, Inc.+ .... 29,956,520
303,712 Nokia Oyj ........................ 15,498,839
3,452,324 Nokia Oyj, ADR ................... 172,400,430
159,461 NTL, Inc.+ ....................... 9,547,727
506 NTT DoCoMo, Inc. ................. 13,687,921
292,210 QUALCOMM, Inc.+ .................. 17,532,600
314,510 Sprint Corporation (PCS Group)+... 18,713,345
494,972 Telefonaktiebolaget LM Ericsson,
Class B ......................... 9,793,924
1,481,380 Telefonaktiebolaget LM Ericsson,
Class B, ADR .................... 29,627,600
745,987 Telefonica S.A.+ ................. 16,025,193
441,570 Telefonos de Mexico S.A., Class L,
ADR ............................. 25,224,686
8,451,870 Vodafone AirTouch Plc ............ 34,145,353
234,075 Vodafone AirTouch Plc, ADR ....... 9,699,483
177,010 VoiceStream Wireless Corporation+ 20,585,710
236,530 Winstar Communications, Inc.+ .... 8,012,454
-------------
507,794,110
-------------
Total Common Stocks
(Cost $1,248,902,961) ........... 1,527,625,506
-------------
See Notes to Financial Statements.
106
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
GROWTH SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 15.3%
Federal National Mortgage
Association:
$20,000,000 6.579%[double dagger]
due 07/28/2000 .................. $ 19,903,400
50,000,000 6.444[double dagger]
due 08/21/2000 .................. 49,545,958
25,000,000 6.552%[double dagger]
due 08/22/2000 .................. 24,767,806
30,000,000 6.330%[double dagger]
due 09/13/2000 .................. 29,611,800
5,000,000 6.309%[double dagger]
due 09/14/2000 ................. 4,934,400
Federal Home Loan Mortgage
Corporation:
10,000,000 6.125%[double dagger]
due 07/03/2000 .................. 9,996,694
25,000,000 6.421%[double dagger]
due 07/05/2000 .................. 24,982,556
90,000,000 5.106%[double dagger]
due 07/31/2000 .................. 89,523,500
20,000,000 5.964%[double dagger]
due 08/01/2000 .................. 19,898,389
20,000,000 6.479%[double dagger]
due 09/27/2000 .................. 19,690,800
-------------
Total U.S. Government Agency
Discount Notes
(Cost $292,875,025) ............. 292,855,303
-------------
COMMERCIAL PAPER -- 4.3%
(Cost $81,768,871)
81,800,000 Prudential Funding Corporation,
7.304%[double dagger]
due 07/03/2000 .................. 81,768,871
-------------
TOTAL INVESTMENTS (COST $1,623,546,857*) 99.6% 1,902,249,680
OTHER ASSETS AND LIABILITIES (NET) ...... 0.4 7,240,340
------ --------------
NET ASSETS .............................. 100.0% $1,909,490,020
====== ==============
------------------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
[double dagger] Annualized yield at date of purchase.
SCHEDULE OF FORWARD
FOREIGN CURRENCY EXCHANGE CONTRACTS
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS TO BUY
CONTRACTS TO RECEIVE
------------------------------------
UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
---------- ---------------- ------------ ------------ -------------
09/08/2000 EMU 37,800,000 $35,512,307 $36,247,560 $ 735,253
01/26/2000 EMU 10,100,000 9,592,301 9,764,088 171,787
09/08/2000 JPY 132,000,000 1,260,528 1,260,379 (149)
09/14/2000 JPY 200,000,000 1,896,184 1,911,674 15,490
10/05/2000 JPY 635,000,000 5,986,673 6,092,560 105,887
------------
$ 1,028,268
------------
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)
---------- ----------------- ----------- ----------- -----------
09/08/2000 EMU 95,000,000 $90,091,430 $91,098,365 $(1,006,935)
09/22/2000 EMU 30,100,000 29,046,801 28,887,401 159,400
10/05/2000 EMU 6,000,000 5,766,000 5,762,705 3,295
01/26/2001 EMU 47,000,000 45,458,068 45,436,847 21,221
03/16/2001 HKD 35,000,000 4,493,297 4,493,084 213
06/27/2001 HKD 167,000,000 21,445,909 21,438,341 7,568
09/08/2000 JPY 1,070,000,000 10,460,476 10,216,707 243,769
09/14/2000 JPY 475,000,000 4,606,029 4,540,225 65,804
10/05/2000 JPY 635,000,000 6,274,704 6,092,560 182,144
-----------
$ (323,521)
-----------
Net Unrealized Appreciation of Forward
Foreign Currency Exchange Contracts .............. $ 704,747
===========
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
EMU -- European Monetary Unit
HKD -- Hong Kong Dollars
JYP -- Japanese Yen
--------------------------------------------------------------------------------
See Notes to Financial Statements.
107
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
REAL ESTATE SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 87.0%
APARTMENTS -- 19.4%
66,900 Apartment Investment &
Management Company .............. $2,893,425
47,464 Avalonbay Communities, Inc. ...... 1,981,622
58,100 BRE Properties Inc., Class A ..... 1,677,637
63,287 Equity Residential Properties Trust 2,911,202
40,505 Post Properties, Inc. ............ 1,782,220
34,000 Smith, Charles E. Residential
Realty, Inc. .................... 1,292,000
----------
12,538,106
----------
HOTELS/RESORTS -- 5.7%
60,000 MeriStar Hospitality Corporation 1,260,000
75,592 Starwood Hotels and Resorts
Worldwide, Inc. ................. 2,461,464
----------
3,721,464
----------
MANUFACTURED HOUSING -- 2.6%
51,300 Sun Communities, Inc. ............ 1,715,344
----------
OFFICE/INDUSTRIAL -- 37.7%
10,000 Alexandria Real Estate Equities,
Inc. ............................ 343,125
77,300 AMB Property Corporation ......... 1,763,406
64,800 Boston Properties, Inc. .......... 2,502,900
59,300 CarrAmerica Realty Corporation ... 1,571,450
65,000 CenterPoint Properties Corporation,
Class A ......................... 2,648,750
85,000 Duke-Weeks Realty Corporation .... 1,901,875
155,705 Equity Office Properties Trust ... 4,291,606
70,600 Kilroy Realty Corporation ........ 1,831,188
50,200 Liberty Property Trust ........... 1,302,063
93,190 ProLogis Trust ................... 1,986,112
55,500 SL Green Realty Corporation ...... 1,484,625
60,700 Spieker Properties, Inc. ......... 2,792,200
----------
24,419,300
----------
VALUE
SHARES (NOTE 1)
------ --------
REGIONAL MALLS -- 7.4%
56,000 General Growth Properties, Inc. .. $ 1,778,000
79,300 The Rouse Company ................ 1,962,675
94,400 Taubman Centers, Inc. ............ 1,038,400
-----------
4,779,075
-----------
RESTAURANTS -- 3.0%
83,500 Franchise Finance Corporation of
America ......................... 1,920,500
-----------
SELF STORAGE -- 2.8%
77,962 Public Storage, Inc. ............. 1,827,234
-----------
SHOPPING CENTERS -- 8.4%
60,650 Kimco Realty Corporation ......... 2,486,650
85,400 Vornado Realty Trust ............. 2,967,650
-----------
5,454,300
-----------
Total Common Stocks
(Cost $52,964,858) .............. 56,375,323
-----------
PREFERRED STOCK -- 1.2%
(Cost $834,680)
15,400 Vornado Realty Trust Convertible,
Series A ........................ 797,913
-----------
TOTAL INVESTMENTS (COST $53,799,538*) ... 88.2% 57,173,236
OTHER ASSETS AND LIABILITIES (NET) ...... 11.8 7,621,672
------ -----------
NET ASSETS .............................. 100.0% $64,794,908
====== ===========
------------------------------
* Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
108
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
HARD ASSETS SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 100.9%
CHEMICALS -- 3.4%
9,900 BASF AG .......................... $ 401,238
35,430 The Dow Chemical Company ......... 1,069,543
----------
1,470,781
----------
DIAMONDS/MINING -- 1.6%
16,700 De Beers-Centenary Linked Unit^ .. 406,117
12,900 De Beers Centenary AG Linked Unit 298,738
----------
704,855
----------
DIVERSIFIED MINERALS -- 3.8%
82,400 Broken Hill Proprietary Company
Ltd. ............................ 973,267
17,250 EuroZinc Mining Corporporation ... 6,877
146,610 WMC Ltd. ......................... 655,233
----------
1,635,377
----------
ELECTRONICS -- 2.2%
4,750 Samsung Electronics, GDR ......... 931,000
----------
GOLD/MINING -- 2.2%
630,800 Brazilian Resources, Inc.^ ....... 353,759
307,600 Gold Mines of Sardinia Ltd.+^ .... 62,546
206,600 Newcrest Mining Ltd.+ ............ 556,007
----------
972,312
----------
MANUFACTURING -- 0.9%
29,500 Smurfit-Stone Container
Corporation+ .................... 379,813
----------
METALS/MINING -- 6.6%
36,320 Alcoa Inc. ....................... 1,053,280
10,600 Hindalco Industries, Ltd., GDR ... 207,495
77,600 Inco Ltd., Class VBN+ ............ 351,297
32,100 Lonmin Plc ....................... 357,479
55,050 Rio Tinto, Ltd. .................. 909,291
----------
2,878,842
----------
OIL/GAS -- EQUIPMENT & SERVICES -- 7.5%
12,500 Enron Corporation ................ 806,250
11,800 Halliburton Company .............. 556,813
28,100 R&B Falcon Corporation+ .......... 662,106
45,000 Plains Energy Services, Ltd.+**^.. 355,743
20,290 The Williams Companies, Inc. ..... 845,839
----------
3,226,751
----------
OIL/GAS -- EXPLORATION -- 33.8%
89,570 Baytex Energy Ltd.+ .............. 847,284
13,730 Devon Energy Corporation ......... 771,454
296,170 Encal Energy Ltd.+^ .............. 1,881,080
22,600 ENSCO International Inc. ......... 809,363
34,370 Evergreen Resources, Inc. ........ 1,018,211
62,500 Forcenergy, Inc.+** .............. 40,000
15,700 Global Marine Inc.+ .............. 442,544
16,500 Newfield Exploration Company+ .... 645,563
24,700 Penn West Petroleum Ltd.+ ........ 610,824
42,890 Pennaco Energy, Inc.+ ............ 702,324
52,030 Rio Alto Exploration Ltd.+ ....... 952,712
11,000 Rowan Companies, Inc.+ ........... 334,125
35,000 Shell Canada Ltd., Class A ....... 786,318
107,110 Suncor Energy, Inc. .............. 2,475,109
45,990 Talisman Energy, Inc.+ ........... 1,524,196
49,390 Ventus Energy Ltd.+^ ............. 258,630
23,500 Vintage Petroleum, Inc. .......... 530,219
196,000 Windsor Energy Corporation+** .... 0
----------
14,629,956
----------
VALUE
SHARES (NOTE 1)
------ --------
OIL/GAS -- INTEGRATED -- 25.3%
43,670 BP Amoco Plc, ADR ................ $2,470,084
51,133 Exxon Mobil Corporation .......... 4,013,941
31,900 Phillips Petroleum Company ....... 1,616,931
340,020 Shell Transport & Trading Company
Plc ............................. 2,837,380
----------
10,938,336
----------
OIL/GAS -- REFINING -- 6.7%
86,730 Imperial Oil, Ltd. ............... 2,118,439
42,500 S.P. Interoil **^ ................ 161,500
19,100 Valero Energy Corporation ........ 606,425
----------
2,886,364
----------
PAPER AND FOREST PRODUCTS -- 2.0%
3,800 Bowater Inc. ..................... 167,675
35,630 Stora Enso Oyj, Class R+ ......... 324,869
15,200 UPM-Kymmene Oyj .................. 377,317
----------
869,861
----------
PLATINUM/MINING -- 4.3%
36,360 Anglo American Platinum
Corporation, Ltd. ............... 1,047,125
21,840 Impala Platinum Holdings Ltd. .... 827,248
----------
1,874,373
----------
SERVICES -- 0.0%#
4,408 Online Advantage, Ltd.+ .......... 738
----------
STEEL -- PRODUCERS -- 0.6%
8,800 Acerinox S.A. .................... 254,574
----------
Total Common Stocks
(Cost $44,448,713) .............. 43,653,933
----------
TOTAL INVESTMENTS (COST $44,448,713*) ... 100.9% 43,653,933
OTHER ASSETS AND LIABILITIES (NET) ...... (0.9) (374,755)
----- -----------
NET ASSETS .............................. 100.0% $43,279,178
===== ===========
------------------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
^ Illiquid security.
# Amount is less than 0.01%.
The summary of investments by country at June 30, 2000 was as follows:
COUNTRY % OF TOTAL INVESTMENTS
-------- ----------------------
Australia ................... 7.2%
Canada ...................... 28.7%
Finland ..................... 1.6%
Germany ..................... 0.9%
India ....................... 0.5%
Korea ....................... 2.1%
South Africa ................ 5.9%
Spain ....................... 0.6%
United Kingdom .............. 13.0%
United States ............... 39.5%
------
100.0%
======
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
109
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 95.4%
ARGENTINA -- 0.3%
1,500 Banco de Galicia y Buenos Aires
S.A. de C.V., ADR ............... $ 22,219
8,800 Telecom Argentina Stet-France
Telecom, S.A., ADR .............. 242,000
----------
264,219
----------
BRAZIL -- 9.5%
7,000 Aracruz Celulose S.A., ADR ....... 135,187
18,200 Companhia Brasileira de
Distribuicao Grupo Pao
de Acucar, ADR .................. 584,675
22,270 Companhia Cervejaria Brahma, ADR.. 378,590
34,500 Companhia Paranaese de
Energia-Copel, ADR .............. 321,281
5,700 Companhia Siderurgica Nacional, ADR 175,631
23,100 Companhia Vale do Rio Doce, ADR .. 652,575
88,000 Embratel Participacoes S.A., ADR 2,079,000
25,040 Petroleo Brasileiro S.A. ......... 735,580
5,800 Tele Celular Sul Participacoes
S.A., ADR ....................... 262,450
18,300 Tele Centro Oeste Celular
Participacoes, ADR .............. 219,600
5,200 Tele Centro Sul Participacoes S.A.,
ADR ............................. 379,925
45,000 Tele Norte Leste Participacoes
S.A., ADR ....................... 1,063,125
2,800 Telemig Celular Participacoes S.A.,
ADR ............................. 200,200
7,200 Telesp Celular Participacoes S.A.,
ADR ............................. 23,100
----------
7,510,919
----------
CHILE -- 1.5%
15,000 Companhia de Telecomunicaciones de
Chile S.A., ADR ................. 271,875
15,000 Distribucion y Servicio D&S S.A.,
ADR ............................. 260,625
14,300 Embotelladora Andina S.A., Class A,
ADR ............................. 168,025
20,800 Empresa Nacional de Electricidad
S.A., ADR ....................... 230,100
6,000 Vina Concha Y Toro S.A., ADR^ .... 218,625
----------
1,149,250
----------
CHINA -- 2.3%
124,904 China Steel Corporation, ADR** ... 1,707,395
562,000 Yanzhou Coal Mining Company, Ltd.,
Class H+ ........................ 116,070
----------
1,823,465
----------
GREECE -- 0.9%
28,200 Hellenic Telecommunications Org.
S.A. ............................ 690,914
----------
HONG KONG -- 5.6%
368,000 China Mobile (Hong Kong), Ltd.+ .. 3,245,462
129,000 Citic Pacific Ltd. ............... 675,159
420,000 Ng Fung Hong, Ltd. ............... 224,937
1,114,000 PetroChina Company, Ltd.+ ........ 231,503
----------
4,377,061
----------
HUNGARY -- 1.5%
3,700 Gedeon Richter Ltd. GDR** ........ 198,412
22,900 Magyar Tavkozlesi Rt., ADR ....... 788,619
3,800 OTP Bank Rt., GDR ................ 197,600
----------
1,184,631
----------
INDIA -- 6.3%
37,800 Ashok Leyland Ltd., GDR .......... 160,650
20,700 Dr. Reddy's Laboratories Ltd.,
GDR**^ .......................... 605,115
19,800 Hindalco Industries, Ltd., GDR ... 387,584
31,100 I.T.C. Ltd., GDR ................. 598,675
27,730 ICICI Bank Ltd., ADR+ ............ 402,085
51,680 Larsen and Toubro Ltd., GDR** .... 574,294
41,420 Mahanagar Telephone Nigam Ltd., GDR 421,966
38,500 Pentafour Software & Exports Ltd.,
GDR+ ............................ 534,187
15,350 Reliance Industries Ltd., GDR**+.. 322,350
13,200 Silverline Technologies Ltd., ADR+ 285,450
29,100 SSI Ltd., GDR+ ................... 194,970
32,000 Videsh Sanchar Nigam Ltd., GDR**.. 500,000
----------
4,987,326
----------
INDONESIA -- 1.3%
798,000 PT Astra International, Inc. Tbk+ $ 250,728
171,000 PT Gudang Garam Tbk .............. 276,452
580,000 PT Ramayana Lestari Sentosa Tbk... 371,094
290,500 PT Telekomunikasi Indonesia ...... 102,061
7,600 PT Telekomunikasi Indonesia, ADR.. 52,725
----------
1,053,060
----------
ISRAEL -- 5.2%
99,900 Bank Hapoalim, Ltd. .............. 289,693
113,800 Bank Leumi Le-Israel ............. 234,958
89,100 Bezeq Israeli Telecommunication
Corporation, Ltd. ............... 496,455
6,500 Check Point Software Technologies
Ltd.+ ........................... 1,376,375
6,750 ECI Telecom Ltd. ................. 241,312
1,700 Gilat Satellite Networks Ltd.+ ... 117,937
4,000 IDB Holding Corporation Ltd. ..... 153,613
7,250 Orbotech, Ltd. ................... 673,344
8,700 Teva Pharmaceutical Industries
Ltd., ADR ....................... 482,306
----------
4,065,993
----------
KOREA -- 14.9%
26,710 Hyundai Electronics Industries
Company, Ltd.+ ................. 527,002
52,750 Kookmin Bank ..................... 671,779
44,891 Kookmin Bank, GDR** .............. 570,116
13,700 Korea Electric Power Corporation 425,121
50,166 Korea Electric Power Corporation,
ADR ............................. 924,936
18,559 Korea Telecom Corporation, ADR ... 897,792
26,900 LG Chemical, Ltd. ................ 537,988
2,800 Pohang Iron & Steel Company, Ltd.. 237,555
41,000 Pohang Iron & Steel Company, Ltd.,
ADR ............................. 984,000
1,070 Samsung Electronics .............. 354,100
19,902 Samsung Electronics, GDR** ....... 3,900,792
120 Samsung Fire & Marine Insurance .. 3,336
3,070 SK Telecom Company, Ltd. ......... 1,004,955
18,300 SK Telecom Company, Ltd., ADR .... 664,519
----------
11,703,991
----------
MALAYSIA -- 3.0%
53,000 British American Tobacco (Malaysia)
Berhad .......................... 432,368
169,400 Malayan Banking Berhad ........... 686,516
133,000 Resorts World Berhad ............. 364,000
271,000 Tenaga Nasional Berhad ........... 884,316
----------
2,367,200
----------
MEXICO -- 11.7%
57,700 Alfa, S.A., Class A .............. 131,869
58,769 Cemex S.A. de C.V. ............... 275,489
22,200 Coca-Cola Femsa S.A., ADR ........ 419,025
20,700 Fomento Economico Mexicano, S.A.
de C.V., ADR .................... 891,394
240,700 Grupo Financiero Banamex Accival,
S.A. de C.V., Series O .......... 1,012,187
21,600 Grupo Televisa S.A., GDR+ ........ 1,489,050
63,500 Kimberley-Clark de Mexico S.A. de
C.V., Class A ................... 180,599
20,500 Panamerican Beverages, Inc.,
Class A ......................... 306,219
62,980 Telefonos de Mexico S.A., Class L,
ADR ............................. 3,597,733
382,400 Wal-Mart de Mexico S.A. de C.V.+.. 897,251
----------
9,200,816
----------
PHILLIPINES -- 0.3%
14,900 Philippine Long Distance Telephone
Company ......................... 266,994
----------
POLAND -- 0.9%
105,500 Telekomunikacja Polska S.A., GDR.. 728,478
----------
RUSSIA -- 3.7%
18,000 AO Tatneft, ADR .................. 176,625
19,250 OAO Lukoil Holding, ADR .......... 986,563
54,900 RAO Unified Energy System, ADR^ .. 620,370
See Notes to Financial Statements.
110
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
DEVELOPING WORLD SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
RUSSIA -- (CONTINUED)
13,400 Rostelecom, ADR .................. $ 182,575
71,200 Surgutneftegaz, ADR .............. 938,950
----------
2,905,083
----------
SOUTH AFRICA -- 5.8%
118,500 African Bank Investments, Ltd.+ .. 154,740
18,600 Anglo American Platinum
Corporation, Ltd. ............... 535,658
5,500 AngloGold, Ltd. .................. 224,539
26,600 Barlow Ltd. ...................... 158,777
24,902 Bidvest Group Ltd. ............... 171,763
16,700 De Beers-Centenary Linked Unit ... 406,116
33,150 Dimension Data Holdings Ltd. ..... 274,092
251,300 FirstRand Ltd. ................... 258,893
9,900 Impala Platinum Holdings Ltd. .... 374,989
6,500 Investec Group Ltd. .............. 218,615
26,200 Johnnic Holdings Ltd. ............ 359,116
113,500 Metropolitan Life Ltd. ........... 148,043
68,000 Nampak Ltd. ...................... 146,824
13,000 Nedcor Ltd. ...................... 272,837
156,800 Sanlam Ltd. ...................... 185,110
25,900 Sappi Ltd. ....................... 194,679
47,100 Sasol Ltd. ....................... 315,851
20,500 South African Breweries Plc ...... 152,881
----------
4,553,523
----------
TAIWAN -- 12.9%
180,986 Asustek Computer Inc., GDR ....... 1,660,547
70,399 Hon Hai Precision Industry Company,
Ltd. GDR+ ....................... 1,759,975
77,000 Siliconware Precision Industries
Company, ADR+ ................... 712,250
51,780 Synnex Technology International
Corporation, GDR ................ 1,113,270
97,178 Taiwan Semiconductor Manufacturing
Company, Ltd., ADR+ ............ 3,765,657
40,109 Winbond Electronics Corporation,
GDR+ ............................ 1,153,147
----------
10,164,846
----------
THAILAND -- 1.9%
36,800 Advanced Info Service Public
Company Ltd. (Foreign)+ ......... 458,415
80,200 BEC World Public Company Ltd.
(Foreign)^ ...................... 487,239
675,800 Thai Farmers Bank Public Company
Ltd. (Foreign)+ ................. 569,276
----------
1,514,930
----------
TURKEY -- 3.0%
5,344,877 Arcelik A.S. ..................... 262,758
10,233,000 Dogan Yayin Holdings A.S.+ ....... 173,185
1,280,866 Enka Holding Yatirim A.S. ........ 283,873
22,572,770 Hurriyet Gazetecilik ve
Matbaacilik A.S. ................ 218,300
1,500,000 Migros Turk T.A.S. ............... 278,040
5,264,000 Tupras-Turkiye Petrol Rafinerileri
A.S. ............................ 275,751
26,998,700 Turkiye Garanti Bankasi A.S.+ .... 326,379
16,903,400 Turkiye Is Bankasi, Class C ...... 361,000
16,480,592 Yapi ve Kredi Bankasi A.S. ....... 183,290
----------
2,362,576
----------
UNITED STATES -- 2.5%
135,900 The India Fund, Inc. ............. 1,928,081
----------
VENEZUELA -- 0.4%
11,700 Compania Anonima Nacional Telefonos
de Venezuela, ADR ............... 318,094
----------
Total Common Stocks
(Cost $75,448,919) .............. 75,121,450
----------
PREFERRED STOCKS -- 2.7%
BRAZIL -- 2.7%
9,770,800 Banco Itau S.A. .................. $ 858,704
16,973,300 Companhia Siderurgica de Tubarao.. 208,461
35,934 Petroleo Brasileiro S.A. ......... 1,085,890
----------
2,153,055
----------
Total Preferred Stocks
(Cost $2,038,225) ............... 2,153,055
----------
TOTAL INVESTMENTS (COST $77,487,144*) ... 98.1% 77,274,505
OTHER ASSETS AND LIABILITIES (NET) ...... 1.9 1,470,195
------ -----------
NET ASSETS .............................. 100.0% $78,744,700
====== ===========
-------------------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
^ Illiquid security.
+ Non-income producing security.
The indusrty classification of the Developing World Series at June 30, 2000 was
as follows:
INDUSTRY CLASSIFICATION % OF NET ASSETS VALUE (NOTE 1)
----------------------- --------------- --------------
Agriculture ...................... 0.2% $ 154,740
Automotive ....................... 0.5 411,378
Banks ............................ 7.2 5,646,451
Broadcast, Radio and Television .. 2.8 2,194,589
Chemicals ........................ 0.7 537,988
Computer Industry ................ 4.6 3,583,375
Consumer Products ................ 0.9 708,822
Diversified Operations ........... 3.0 2,318,085
Electronics ...................... 18.4 14,506,813
Financial Services ............... 2.5 2,002,423
Food and Beverage ................ 5.0 3,943,046
Health Care ...................... 0.9 680,719
Insurance ........................ 0.4 336,489
Investment Companies ............. 2.7 2,101,266
Leisure/Entertainment ............ 0.5 364,000
Manufacturing .................... 5.3 4,210,066
Mining ........................... 2.9 2,309,947
Oil and Gas ...................... 5.7 4,515,210
Paper and Forest Products ........ 0.6 510,466
Pharmaceuticals .................. 0.8 605,115
Retail ........................... 2.3 1,807,010
Services ......................... 0.2 194,970
Telecommunications ............... 25.7 20,225,414
Utilities ........................ 4.3 3,406,123
------ ------------
TOTAL INVESTMENTS ................. 98.1% 77,274,505
OTHER ASSETS AND LIABILITIES ...... 1.9% 1,470,195
------ ------------
NET ASSETS ........................ 100.0% $ 78,744,700
====== ============
The activity for investments in Common Stocks of Affiliates is as follows:
SHARES AT SHARES AT REALIZED
DESCRIPTION 12/31/99 6/30/00 DIFFERENCE DIVIDENDS GAINS
----------- -------- -------- ---------- ----------- --------
Turkiye Garanti
Bankasi A.S. 17,523,000 26,998,700 9,475,700 0 $84,367
Turkiye Is Bankasi,
Class C 20,428,700 16,903,400 (3,525,300) $3,733 533,590
Yapi ve Kredi
Bankasi A.S. 17,250,872 16,480,592 (770,280) 0 126,191
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
111
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- 92.7%
ARGENTINA -- 0.4%
5,527 Telecom Argentina Stet-France
Telecom, S.A., ADR .............. $ 151,993
----------
BRAZIL -- 10.9%
3,710 Aracruz Celulose S.A., ADR ....... 71,649
8,558 Companhia Brasileira de
Distribuicao Grupo Pao
de Acucar, ADR .................. 274,926
10,725 Companhia Cervejaria Brahma, ADR.. 182,325
17,200 Companhia Paranaese de
Energia-Copel, ADR .............. 160,175
2,906,400 Companhia Siderurgica Nacional+... 91,181
10,964 Companhia Vale do Rio Doce, ADR... 309,733
43,700 Embratel Participacoes S.A., ADR.. 1,032,413
12,523 Petroleo Brasileiro S.A. ......... 367,878
16,609 Petroleo Brasileiro S.A., ADR .... 501,908
2,900 Tele Celular Sul Participacoes
S.A., ADR ....................... 131,225
8,800 Tele Centro Oeste Celular
Participacoes, ADR .............. 105,600
2,570 Tele Centro Sul Participacoes
S.A., ADR ....................... 187,771
20,752 Tele Norte Leste Participacoes
S.A., ADR ....................... 490,259
1,400 Telemig Celular Participacoes
S.A., ADR ....................... 100,100
3,605 Telesp Celular Participacoes
S.A., ADR ....................... 161,774
----------
4,168,917
----------
CHILE -- 1.5%
6,700 Companhia de Telecomunicaciones de
Chile S.A., ADR ................. 121,438
6,700 Distribucion y Servicio D&S S.A.,
ADR ............................. 116,413
8,800 Embotelladora Andina S.A., Class A,
ADR ............................. 103,400
9,700 Empresa Nacional de Electricidad
S.A., ADR ....................... 107,306
3,100 Vina Concha Y Toro S.A., ADR 112,956
----------
561,513
----------
CHINA -- 1.6%
45,240 China Steel Corporation, ADR** ... 618,415
----------
GREECE -- 1.0%
14,924 Hellenic Telecommunications Org.
S.A. ............................ 365,645
----------
HONG KONG -- 5.6%
180,000 China Mobile (Hong Kong), Ltd.+ .. 1,587,454
58,000 Citic Pacific Ltd. ............... 303,560
232,000 Ng Fung Hong, Ltd. ............... 124,251
564,000 PetroChina Company, Ltd.+ ........ 117,206
----------
2,132,471
----------
HUNGARY -- 1.5%
1,800 Gedeon Richter Ltd., GDR ......... 96,525
11,400 Magyar Tavkozlesi Rt., ADR ....... 392,588
1,800 OTP Bank Rt., GDR ................ 93,600
----------
582,713
----------
INDIA -- 5.5%
14,100 Ashok Leyland Ltd., GDR .......... 59,925
8,900 Dr. Reddy's Laboratories Ltd.,
GDR**^ .......................... 260,170
9,800 Hindalco Industries, Ltd., GDR ... 191,835
11,029 I.T.C. Ltd., GDR ................. 212,308
12,740 ICICI Bank Ltd., ADR+ ............ 184,730
20,900 Larsen and Toubro Ltd., GDR** .... 232,251
19,700 Mahanagar Telephone Nigam Ltd., GDR 200,694
14,803 Pentafour Software & Exports Ltd.,
GDR+ ............................ 205,392
5,186 Reliance Industries Ltd., GDR .... 108,906
5,020 Silverline Technologies Ltd., ADR+ 108,558
14,200 SSI Ltd., GDR+ ................... 95,140
15,723 Videsh Sanchar Nigam Ltd, GDR .... 245,672
----------
2,105,581
----------
VALUE
SHARES (NOTE 1)
------ --------
INDONESIA -- 1.3%
401,600 PT Astra International, Inc. Tbk+ $ 126,181
99,000 PT Gudang Garam Tbk .............. 160,051
195,000 PT Ramayana Lestari Sentosa Tbk .. 124,764
233,000 PT Telekomunikasi Indonesia ...... 81,860
----------
492,856
----------
ISRAEL -- 5.1%
46,300 Bank Hapoalim, Ltd. .............. 134,262
55,800 Bank Leumi Le-Israel ............. 115,208
42,100 Bezeq Israeli Telecommunication
Corporation, Ltd. ............... 234,576
3,100 Check Point Software Technologies
Ltd.+ ........................... 656,425
3,400 ECI Telecom Ltd. ................. 121,550
828 Gilat Satellite Networks Ltd.+ ... 57,443
2,200 IDB Holding Corporation Ltd. ..... 84,487
3,408 Orbotech, Ltd. ................... 316,518
4,200 Teva Pharmaceutical Industries
Ltd., ADR ....................... 232,838
----------
1,953,307
----------
KOREA -- 13.3%
11,100 Hyundai Electronics Industries
Company, Ltd.+ .................. 219,009
36,220 Kookmin Bank ..................... 461,267
19,970 Korea Electric Power Corporation.. 619,683
5,734 Korea Telecom Corporation, ADR ... 277,382
10,900 LG Chemical, Ltd. ................ 217,995
870 Pohang Iron & Steel Company, Ltd.. 73,812
16,050 Pohang Iron & Steel Company, Ltd.,
ADR ............................. 385,200
6,984 Samsung Electronics .............. 2,311,245
327 Samsung Fire & Marine Insurance .. 9,091
1,580 SK Telecom Company, Ltd. ......... 517,208
----------
5,091,892
----------
MALAYSIA -- 3.2%
27,000 British American Tobacco (Malaysia)
Berhad .......................... 220,263
86,000 Malayan Banking Berhad ........... 348,526
68,000 Resorts World Berhad ............. 186,105
146,000 Tenaga Nasional Berhad ........... 476,421
----------
1,231,315
----------
MEXICO -- 11.8%
30,566 Alfa, S.A., Class A .............. 69,856
5,402 Cemex S.A. de C.V., ADR+ ......... 126,272
10,884 Coca-Cola Femsa S.A., ADR ........ 205,436
101,681 Fomento Economico Mexicano S.A de
C.V., Series UBD ................ 433,784
118,728 Grupo Financiero Banamex Accival,
S.A. de C.V., Series O .......... 499,273
10,811 Grupo Televisa S.A., GDR+ ........ 745,283
29,700 Kimberley-Clark de Mexico S.A. de
C.V., Class A ................... 84,469
13,900 Panamerican Beverages, Inc.,
Class A ......................... 207,631
29,049 Telefonos de Mexico S.A., Class L,
ADR ............................. 1,659,424
194,800 Wal-Mart de Mexico S.A. de C.V.+.. 457,073
----------
4,488,501
----------
PHILLIPINES -- 0.3%
6,200 Philippine Long Distance Telephone
Company ......................... 111,098
----------
POLAND -- 0.9%
25,158 Polski Koncern Naftowy S.A. GDR**+ 236,485
15,200 Telekomunikacja Polska S.A., GDR.. 104,956
----------
341,441
----------
RUSSIA -- 3.4%
10,100 AO Tatneft, ADR .................. 99,106
9,000 OAO Lukoil Holding, ADR^ ......... 461,250
22,600 RAO Unified Energy System, ADR ... 255,380
6,250 Rostelecom, ADR .................. 85,156
31,575 Surgutneftegaz, ADR .............. 416,395
----------
1,317,287
----------
See Notes to Financial Statements.
112
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
---------------------------------------------------
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 2000 (UNAUDITED)
VALUE
SHARES (NOTE 1)
------ --------
COMMON STOCKS -- (CONTINUED)
SOUTH AFRICA -- 5.3%
49,382 African Bank Investments, Ltd.+ .. $ 64,484
8,400 Anglo American Platinum
Corporation, Ltd. ............... 241,910
2,675 AngloGold, Ltd. .................. 109,208
11,700 Barlow Ltd. ...................... 69,838
11,000 Bidvest Group Ltd. ............... 75,873
7,500 De Beers-Centenary Linked Unit ... 182,388
16,207 Dimension Data Holdings Ltd. ..... 134,003
122,900 FirstRand Ltd. ................... 126,613
4,501 Impala Platinum Holdings Ltd. .... 170,487
2,700 Investec Group Ltd. .............. 90,809
11,439 Johnnic Holdings Ltd. ............ 156,791
50,000 Metropolitan Life Ltd. ........... 65,217
29,900 Nampak Ltd. ...................... 64,559
5,400 Nedcor Ltd. ...................... 113,332
69,000 Sanlam Ltd. ...................... 81,458
9,963 Sappi Ltd. ....................... 74,888
20,602 Sasol Ltd. ....................... 138,156
9,800 South African Breweries Plc ...... 73,085
----------
2,033,099
----------
TAIWAN -- 12.1%
10,545 Advanced Semiconductor Engineering,
Inc., GDR**+ .................... 179,265
64,817 Asustek Computer Inc., GDR ....... 594,694
26,501 Hon Hai Precision Industry Company,
Ltd., GDR+ ...................... 662,525
33,000 Siliconware Precision Industries
Company, ADR+ ................... 305,250
22,216 Synnex Technology International
Corporation, GDR** .............. 477,644
43,930 Taiwan Semiconductor Manufacturing
Company, Ltd., ADR+ ............. 1,702,288
24,003 Winbond Electronics Corporation,
GDR+ ............................ 695,286
----------
4,616,952
----------
THAILAND -- 1.9%
18,800 Advanced Info Service Public
Company Ltd. (Foreign)+ ......... 234,190
40,000 BEC World Public Company Ltd.
(Foreign)^ ...................... 238,928
289,900 Thai Farmers Bank Public Company
Ltd. (Foreign)+ ................. 244,204
----------
717,322
----------
TURKEY -- 3.0%
2,400,000 Arcelik A.S. ..................... 117,986
4,640,000 Dogan Yayin Holdings A.S.+ ....... 78,528
697,681 Enka Holding Yatirim A.S. ........ 154,624
10,518,750 Hurriyet Gazetecilik ve Matbaacilik
A.S. ............................ 101,726
720,000 Migros Turk T.A.S. ............... 133,459
2,775,000 Tupras-Turkiye Petrol Rafinerileri
A.S. ............................ 145,366
12,237,500 Turkiye Garanti Bankasi A.S.+ .... 147,935
7,666,000 Turkiye Is Bankasi, Class C ...... 163,720
8,242,035 Yapi ve Kredi Bankasi A.S. ....... 91,665
----------
1,135,009
----------
UNITED STATES -- 2.5%
67,200 The India Fund, Inc. ............. 953,400
----------
VENEZUELA -- 0.6%
7,800 Compania Anonima Nacional Telefonos
de Venezuela, ADR ............... 212,063
----------
Total Common Stocks
(Cost $35,014,097) .............. 35,382,790
----------
VALUE
SHARES (NOTE 1)
------ --------
PREFERRED STOCKS -- 1.3%
BRAZIL -- 1.3%
4,319,200 Banco Itau S.A. .................. $ 379,592
357 Companhia Paulista de Forca e Luz 16
8,488,800 Companhia Siderurgica de Tubarao.. 104,257
----------
483,865
----------
Total Preferred Stocks
(Cost $472,328) ................. 483,865
----------
WARRANTS AND RIGHTS -- 0.0%#
(Cost $1,806)
MEXICO -- 0.0%#
1,032 Cemex S.A., ADR .................. 2,741
-----------
TOTAL INVESTMENTS (COST $35,488,231*) ... 94.0% 35,869,396
OTHER ASSETS AND LIABILITIES (NET) ...... 6.0 2,300,937
------ -----------
NET ASSETS .............................. 100.0% $38,170,333
====== ===========
------------------------------
* Aggregate cost for Federal tax purposes.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
^ Illiquid security.
+ Non-income producing security.
# Amount is less than 0.1%.
The industry classification of the Emerging Markets Series at June 30, 2000 was
as follows:
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
----------------------- ----------- --------
Agriculture ......................... 0.2% $ 64,484
Automotive .......................... 0.5 186,106
Banks ............................... 6.5 2,478,041
Broadcast, Radio and Television ..... 2.8 1,082,329
Chemicals ........................... 0.6 217,995
Computer Industry ................... 4.7 1,794,212
Consumer Products ................... 1.1 432,571
Construction/Building Materials ..... 0.3 129,013
Diversified Operations .............. 2.7 1,014,909
Electronics ......................... 18.1 6,925,243
Financial Services .................. 1.9 716,695
Food and Beverage ................... 3.8 1,442,868
Healthcare .......................... 0.3 96,525
Insurance ........................... 0.4 155,766
Investment Companies ................ 2.7 1,037,887
Leisure/Entertainment ............... 0.5 186,105
Manufacturing ....................... 4.3 1,647,244
Mining .............................. 2.7 1,013,726
Oil and Gas ......................... 7.8 2,961,396
Paper and Forest Products ........... 0.6 231,006
Pharmaceuticals ..................... 1.3 493,008
Retail .............................. 2.9 1,106,634
Telecommunications .................. 24.1 9,210,458
Utilities ........................... 3.2 1,245,175
------ -----------
TOTAL INVESTMENTS .................... 94.0% 35,869,396
OTHER ASSETS AND LIABILITIES (NET) ... 6.0 2,300,937
------ -----------
NET ASSETS ........................... 100.0% $38,170,333
====== ===========
--------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
--------------------------------------------------------------------------------
See Notes to Financial Statements.
113
<PAGE>
---------------------------------------------------
PORTFOLIO OF INVESTMENTS
---------------------------------------------------
THE GCG TRUST
MARKET MANAGER SERIES
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
AMOUNT (NOTE 1)
--------- --------
CORPORATE BONDS AND NOTES -- 4.2%
FINANCIAL SERVICES -- 2.6%
197,000 Cabco (Texaco Capital),
7.102%(a) due 10/01/2001 ........ $ 179,972
----------
INDUSTRIAL -- 1.6%
114,000 Philip Morris Companies, Inc.,
6.000% due 07/15/2001 ........... 111,576
----------
Total Corporate Bonds and Notes
(Cost $292,805) ................. 291,548
----------
U.S. TREASURY OBLIGATIONS -- 28.5%
(Cost $1,950,995)
U.S. TREASURY STRIP:
2,043,000 3.032%[double dagger]
due 02/15/2001 .................. 1,975,601
----------
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
----------- ----------- ------
CALL OPTIONS PURCHASED -- 67.1%
940 S&P Midcap Companies
Index 400 European 03/06/2001 $178.50 290,502
4,534 S&P Midcap Companies
Index 400 European 03/06/2001 178.50 1,406,847
1,473 S&P Midcap Companies
Index 400 European 03/06/2001 178.50 453,513
1,663 S&P 500 European 03/06/2001 485.63 1,622,989
544 S&P 500 European 03/06/2001 485.63 533,118
348 S&P 500 European 03/06/2001 485.63 340,302
----------
Total Call Options Purchased
(Cost $722,656) ................. 4,647,271
---------
TOTAL INVESTMENTS (COST $2,966,456*) ..... 99.8% 6,914,420
OTHER ASSETS AND LIABILITIES (NET) ....... 0.2 13,865
------ ----------
NET ASSETS ............................... 100.0% $6,928,285
====== ==========
------------------------------
* 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.
114
<PAGE>
---------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
---------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
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 June 30, 2000 the Trust had twenty five operational portfolios (the
"Series"): Liquid Asset Series ("LA"), Limited Maturity Bond Series ("LMB"),
Global Fixed Income Series ("GF"), Fully Managed Series ("FM"), Total Return
Series ("TR"), Equity Income Series ("EI"), Investors Series ("I"), Value Equity
Series ("VE"), Rising Dividends Series ("RD"), Managed Global Series ("MG"),
Large Cap Value Series ("LC"), All Cap Series ("AC"), Research Series ("R"),
Capital Appreciation Series ("CA"), Capital Growth Series ("CG"), Strategic
Equity Series ("SE"), Mid-Cap Growth Series ("MC"), Small Cap Series ("SC"),
Growth Series ("G"), 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.
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
115
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--------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
market performance. Certain Series may use written options to generate
additional income, protect partially against declines in the value of portfolio
securities or facilitate a Series' ability to purchase a security at a price
lower than the security's current market price. Option transactions may be
engaged on exchanges and on over-the-counter markets. When a Series writes an
option, an amount equal to the premium received by the Series is reflected as an
asset and an equivalent liability. The amount of the liability is subsequently
marked to market on a daily basis to reflect the current value of the option
written. When a security is sold through an exercise of an option, the related
premium received (or paid) is deducted from (or added to) the basis of the
security sold. When an option expires (or the Series enters into a closing
transaction), the Series realizes a gain or loss on the option to the extent of
the premiums received or paid. Realized and unrealized gains and losses arising
from purchased option transactions are included in the net realized and
unrealized gain/(loss) on securities. The option activity for FM for the six
months ended June 30, 2000 was as follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS PREMIUMS
----------- --------
<S> <C> <C>
Options outstanding at December 31, 1999 ..................... 75 $50,398
Options written during the period ............................ -- --
Options expired during the period ............................ 75 50,398
Options closed during the period ............................. -- --
--- -------
Options outstanding at June 30, 2000 ......................... -- --
=== =======
The option activity for AC for the period ended June 30, 2000 was as follows:
NUMBER OF
CONTRACTS PREMIUMS
----------- ---------
Options outstanding at December 31, 1999 ..................... -- --
Options written during the period ............................ 2 $ 7,994
Options expired during the period ............................ -- --
Options closed during the period ............................. 2 7,994
--- -------
Options outstanding at June 30, 2000 ......................... -- --
=== =======
The option activity for CA for the period ended June 30, 2000 was as follows:
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
Options outstanding at December 31, 1999 ..................... -- --
Options written during the period ............................ 162 $33,285
Options expired during the period ............................ 162 33,285
Options closed during the period ............................. -- --
--- -------
Options outstanding at June 30, 2000 ......................... -- --
=== =======
The option activity for SE for the period ended June 30, 2000 was as follows:
NUMBER OF
CONTRACTS PREMIUMS
--------- --------
Options outstanding at December 31, 1999 ..................... -- --
Options written during the period ............................ 20 $99,929
Options expired during the period ............................ -- --
Options closed during the period ............................. 20 99,929
--- -------
Options outstanding at June 30, 2000 ......................... -- --
=== =======
</TABLE>
116
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-------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: Certain Series may enter into
forward foreign currency exchange contracts. A Series will engage in forward
foreign currency exchange transactions to protect itself against fluctuations in
currency exchange rates. Forward foreign currency exchange contracts are valued
at the applicable forward rate and are marked to market daily. The change in
market value is recorded by the Series as an unrealized gain or loss. When the
contract is closed, the Series records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed. Contracts open, if any, at June 30, 2000 and
their related unrealized appreciation/(depreciation) are set forth in the
Schedule of Forward Foreign Currency Exchange Contracts which accompanies the
Portfolio of Investments. Realized and unrealized gains and losses arising from
forward foreign currency exchange contracts are included in net realized and
unrealized gain/(loss) on forward foreign currency exchange contracts.
(C) FOREIGN CURRENCY: Assets and liabilities denominated in foreign currencies
and commitments under forward foreign currency exchange contracts are translated
into U.S. dollars at the mean of the quoted bid and asked prices of such
currencies against the U.S. dollar as of the close of business immediately
preceding the time of valuation. Purchases and sales of portfolio securities are
translated at the rate of exchange prevailing when such securities were acquired
or sold. Income and expenses are translated at the rate of exchange prevailing
when accrued.
The Trust does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on securities from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain/(loss) from securities.
Reported net realized gains or losses on foreign currency transactions arise
from sales and maturities of short-term securities, sales of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Series' books, and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
appreciation/(depreciation) on other assets and liabilities denominated in
foreign currencies arise from changes in the value of assets and liabilities
other than investments in securities at period end, resulting from changes in
the exchange rate.
(D) REPURCHASE AGREEMENTS: All Series may enter into repurchase agreements in
accordance with guidelines approved by the Board of Trustees of the Trust. Each
Series bears a risk of loss in the event that the other party to a repurchase
agreement defaults on its obligations and the Series is delayed or prevented
from exercising its rights to dispose of the underlying securities received as
collateral including the risk of a possible decline in the value of the
underlying securities during the period while the Series seeks to exercise its
rights. Each Series takes possession of the collateral and reviews the value of
the collateral and the creditworthiness of those banks and dealers with which
the Series enters into repurchase agreements to evaluate potential risks. The
market value of the underlying securities received as collateral must be at
least equal to the total amount of the repurchase obligation. In the event of
counterparty default, the Series has the right to use the underlying securities
to offset the loss.
(E) FEDERAL INCOME TAXES: Each Series of the Trust is a separate entity for
Federal income tax purposes. No provision for Federal income taxes has been made
since each Series of the Trust has complied and intends to continue to comply
with provisions of subchapter M of the Internal Revenue Code of 1986, as
amended, available to regulated investment companies and to distribute its
taxable income to shareholders sufficient to relieve it from all, or
substantially all, Federal income taxes.
(F) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Investment transactions are
recorded on trade date. Dividend income and distributions to shareholders are
recorded on the ex-dividend date, except certain dividends from foreign
securities where the ex-dividend date may have passed are reported as income
when the Series identifies the dividend. Interest income (including amortization
of premium and discount on securities) and expenses are accrued daily. Realized
gains and losses from investment transactions are recorded on an identified cost
basis which is the same basis the Trust uses for Federal income tax purposes.
Purchases of securities under agreements to resell are carried at cost, and the
related accrued interest is included in interest receivable.
(G) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net investment income of LA is
declared as a dividend daily and paid monthly. For all other Series, net
investment income will be paid annually, except that LMB may declare a dividend
monthly or quarterly. Any net realized long-term capital gains (the excess of
net long-term capital gains over net short-term capital losses) for any Series
will be declared and paid at least once annually. Net realized short-term
capital gains may be declared and paid more frequently. Income distributions and
capital gain distributions are determined in accordance with income tax
regulations which may differ from net investment income and net realized gains
recorded by the Trust. These differences are primarily due to differing
treatments of income and gains on various investment securities held by the
Series, timing differences and differing characterization of distributions made
by each Series as a whole.
117
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-------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Directed Services, Inc. (the "Manager"), an indirect wholly owned subsidiary of
ING, provides all of the Series with advisory and administrative services under
a Management Agreement (the "Agreement"). Under the Agreement, the Manager has
overall responsibility for engaging Portfolio Managers and for monitoring and
evaluating the management of the assets of each Series by the Portfolio
Managers. Portfolio Managers are compensated by the Manager and not the Trust.
In some cases, Portfolio Managers may be affiliated with the Manager. Portfolio
Managers have full investment discretion and make all determinations with
respect to the investment of a Series' assets and the purchase and sale of
portfolio securities and other investments. Pursuant to this Agreement, the
Manager also is responsible for providing or procuring, at the Manager's
expense, the services reasonably necessary for the ordinary operation of the
Trust including, among other things, custodial, administrative, transfer agency,
portfolio accounting, dividend disbursing, auditing and ordinary legal services.
The Manager does not bear the expense of brokerage fees, taxes, interest, fees
and expenses of the independent trustees, and extraordinary expenses, such as
litigation or indemnification expenses. As compensation for its services under
the Management Agreement, the Trust pays the Manager a monthly fee (a "Unified
Fee") based on the following annual rates of the average daily net assets of the
Series:
<TABLE>
<CAPTION>
SERIES FEE
------ ---
<S> <C>
(based on combined assets of the indicated Groups of Series)
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
Global Fixed Income Series 1.60%
Fully Managed Series, Equity Income Series, Value Equity 1.00% on the first $750 million in combined assets of
Series, Rising Dividends Series, Capital Appreciation Series, these Series;
Strategic Equity Series, Small Cap Series, Real Estate Series 0.95% on the next $1.250 billion;
and Hard Assets Series 0.90% on the next $1.5 billion; and
0.85% on the amount over $3.5 billion
Total Return Series, Research Series and 1.00% on the first $250 million;
Mid-Cap Growth Series 0.95% on the next $400 million;
0.90% on the next $450 million; and
0.85% on the amount in excess of $1.1 billion
Managed Global Series 1.25% on the first $500 million and
1.05% on the amount over $500 million
Large Cap Value Series 1.00% of first $500 million;
0.95% of next $250 million;
0.90% of next $500 million; and
0.85% on the amount over $1.25 billion
Capital Growth Series and Growth Series 1.10% on the first $250 million;
1.05% on the next $400 million;
1.00% on the next $450 million; and
0.95% on the amount in excess of $1.1 billion
Investors and All Cap Series 1.00% on the first $500 million;
0.95% of next $250 million;
0.90% of next $500 million; and
0.85% on the amount over $1.25 billion
Developing World Series and Emerging Market Series 1.75%
Market Manager Series 1.00%
</TABLE>
118
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
--------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
The Manager and the Trust have entered into Portfolio Management Agreements with
the Portfolio Managers. These Portfolio Managers provide investment advice for
the various Series and are paid by the Manager based on the average net assets
of the respective Series. The Portfolio Managers of each of the Series are as
follows (*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*
Fully Managed Series T. Rowe Price Associates, Inc.
Total Return Series Massachusetts Financial Services Company
Equity Income Series T. Rowe Price Associates, Inc.
Investors Series Salomon Brothers Asset Management, Inc.
Value Equity Series Eagle Asset Management, Inc.
Rising Dividends Series Kayne Anderson Investment Management, LLC
Managed Global Series Capital Guardian Trust Company
Large Cap Value Series Capital Guardian Trust Company
All Cap Series Salomon Brothers Asset Management, Inc.
Research Series Massachusetts Financial Services Company
Capital Appreciation Series A I M Capital Management Group, Inc.
Capital Growth Series Alliance Capital Management L.P.
Strategic Equity Series A I M Capital Management Group, Inc.
Mid-Cap Growth Series Massachusetts Financial Services Company
Small Cap Series Capital Guardian Trust Company
Growth Series Janus Capital Corporation
Real Estate Series The Prudential Investment Corporation
Hard Assets Series Baring International Investment Limited*
Developing World Series Baring International Investment Limited*
Emerging Markets Series Baring International Investment Limited*
Market Manager Series ING Investment Management, LLC*
During the period ended June 30, 2000, FM, EI, I, AC and HA, in the ordinary
course of business, paid commissions of $200, $425, $12, $48, and $505,
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.
Effective May 18, 2000, each Trustee of the Trust who is not an interested
person of the Trust or Manager or Portfolio Manager (the "non-interested
Trustees") receives an annual retainer of $20,000 plus $5,000 for each regular
quarterly Board meeting attended in person ($1,250 if attended by telephone), as
well as reimbursement for expenses incurred in connection with attendance at
such meetings or carrying out their responsibilities as Trustees of the Trust.
In addition, the Trust pays the Trustees an annual stipend of $5,000 for each
committee chairmanship and $1,000 for attendance at any committee meeting not
held in conjunction with a regular Board meeting or for any specially called
telephone meeting. The Trustee designated by the Board as Lead Trustee also
receives additional compensation in an amount 50% greater than the amount paid
for services as a non-interested Trustee (i.e. 50% of the regular retainer of
$20,000 plus 50% of the full quarterly meeting fee of $20,000 or $20,000).
119
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
-------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the period ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Liquid Assets Series .............................. -- --
Limited Maturity Bond Series ...................... $151,546,066 $163,591,838
Global Fixed Income Series ........................ 21,582,987 20,399,816
Fully Managed Series .............................. 47,669,869 55,453,248
Total Return Series ............................... 338,172,122 328,589,796
Equity Income Series .............................. 64,187,426 72,663,785
Investors Series .................................. 16,428,289 6,369,694
Value Equity Series ............................... 91,998,436 68,980,014
Rising Dividends Series ........................... 287,130,796 224,102,792
Managed Global Series ............................. 199,722,883 178,426,309
Large Cap Value Series ............................ 41,717,178 980,910
All Cap Series .................................... 20,294,361 2,319,130
Research Series ................................... 608,095,003 529,595,759
Capital Appreciation Series ....................... 215,851,937 132,576,114
Capital Growth Series ............................. 239,309,043 164,990,323
Strategic Equity Series ........................... 393,766,551 276,398,846
Mid-Cap Growth Series ............................. 1,225,630,854 808,756,912
Small Cap Series .................................. 554,645,712 401,406,938
Growth Series ..................................... 685,253,456 360,403,655
Real Estate Series ................................ 18,026,813 22,194,695
Hard Assets Series ................................ 40,834,591 34,137,360
Developing World Series ........................... 74,968,167 52,615,035
Emerging Markets Series ........................... 46,702,957 50,230,256
Market Manager Series ............................. -- 591,148
</TABLE>
120
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
--------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
3. PURCHASES AND SALES OF SECURITIES--(CONTINUED)
At June 30, 2000, the aggregate gross unrealized appreciation for all securities
in which there is an excess of value over tax cost and aggregate gross
unrealized depreciation for all securities in which there is an excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
NET TAX
TAX BASIS TAX BASIS BASIS
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ -------------- --------------
<S> <C> <C> <C>
Liquid Assets Series ......................... -- -- --
Limited Maturity Bond Series ................. $ 276,974 $ 3,018,601 $ (2,741,627)
Global Fixed Income Series ................... 133,772 2,087,053 (1,953,281)
Fully Managed Series ......................... 29,576,118 24,233,594 5,342,524
Total Return Series .......................... 46,505,878 35,431,221 11,074,657
Equity Income Series ......................... 12,074,601 40,534,208 (28,459,607)
Investors Series ............................. 534,982 569,902 (34,920)
Value Equity Series .......................... 17,188,920 12,590,221 4,598,699
Rising Dividends Series ...................... 203,443,153 61,220,434 142,222,719
Maanged Global Series ........................ 27,419,621 14,544,102 12,875,519
Large Cap Value Series ....................... 2,910,081 2,328,576 581,505
All Cap Series ............................... 1,383,511 1,046,746 336,765
Research Series .............................. 241,571,281 61,647,458 179,923,823
Capital Appreciation Series .................. 86,739,811 23,181,608 63,558,203
Capital Growth Series ........................ 103,765,202 68,252,142 35,513,060
Strategic Equity Series ...................... 72,168,114 14,630,061 57,538,053
Mid-Cap Growth Series ........................ 340,209,578 154,237,294 185,972,284
Small Cap Series ............................. 81,446,764 98,956,965 (17,510,201)
Growth Series ................................ 435,133,761 156,430,938 278,702,823
Real Estate Series ........................... 5,052,571 1,678,873 3,373,698
Hard Assets Series ........................... 3,267,462 4,062,242 (794,780)
Developing World Series ...................... 7,657,461 7,870,100 (212,639)
Emerging Markets Series ...................... 4,014,516 3,633,351 381,165
Market Manager Series. ....................... 3,949,221 1,257 3,947,964
</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.
Total restricted and/or illiquid securities at June 30, 2000 were as follows:
<TABLE>
<CAPTION>
FAIR VALUE % OF NET ASSETS
----------- ---------------
<S> <C> <C>
Limited Maturity Bond Series ................... $6,456,070 3.20%
Fully Managed Series ........................... 3,620,455 1.28%
Total Return Series ............................ 2,384,788 0.35%
Capital Growth Series .......................... 4,145,720 0.70%
Strategic Equity Series ........................ 2,090,498 0.55%
Mid-Cap Growth Series .......................... 9,415,837 0.64%
Hard Assets Series ............................. 3,479,375 8.04%
Developing World Series ........................ 1,931,349 2.45%
Emerging Markets Series ........................ 499,098 1.31%
</TABLE>
On June 30, 2000, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
121
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
-------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
5. CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Series indicated below have capital loss
carryforwards as of June 30, 2000 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. CONSOLIDATION OF ALL-GROWTH SERIES AND GROWTH OPPORTUNITIES SERIES
INTO MID-CAP GROWTH SERIES
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 in the Series substituted shares of
Mid-Cap Growth Growth Series for shares of All-Growth Series and Growth
Opportunites Series in a taxable exchange as follows:
<TABLE>
<CAPTION>
SERIES REPLACED SERIES SUBSTITUTED SHARES ISSUED VALUE OF NET ASSETS
-------------- ------------------ ------------- -------------------
<S> <C> <C> <C>
All Growth Series Mid-Cap Growth Series 5,236,657 $147,987,926
Growth Opportunity Series Mid-Cap Growth Series 228,824 6,466,572
</TABLE>
The aggregate net assets of the Mid-Cap Growth Series were $779,697,805 prior to
the consolidation. The aggregate net assets of Mid-Cap Growth Series were
$932,223,063 as a result of the consolidation.
122
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--------------------------------------------------------------------
THE GCG TRUST
JUNE 30, 2000
SPECIAL MEETINGS OF SHAREHOLDERS
At a Special Meeting of Shareholders of the Trust held on January 28, 2000, the
following actions were taken:
The new portfolio management agreement among the Managed Global Series of the
Trust, DSI and Capital Guardian Trust Company was approved by the shareholders
of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
---- ---------- --------- -----
<S> <C> <C> <C>
7,203,475 192,791 561,951 7,958,217
</TABLE>
The new portfolio management agreement among the Small Cap Series of the Trust,
DSI and Capital Guardian Trust Company was approved by the shareholders of the
Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
---- ---------- --------- ----
<S> <C> <C> <C>
13,759,380 179,467 896,269 14,835,116
</TABLE>
At a Special Meeting of Shareholders of the Trust held on March 10, 2000, the
following action was taken:
The new portfolio management agreement among the Emerging Markets Series of the
Trust, DSI and Baring International Investment Limited was approved by the
shareholders of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
---- ----------- --------- -----
<S> <C> <C> <C>
3,152,363 132,896 209,265 3,494,524
</TABLE>
At a Special Meeting of Shareholders of the Trust held on April 24, 2000, the
following action was taken:
The new portfolio management agreement among the Real Estate Series of the
Trust, DSI and The Prudential Investment Corporation was approved by the
shareholders of the Trust as follows:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
---- ---------- --------- -----
<S> <C> <C> <C>
4,023,202 122,943 327,324 4,473,469
</TABLE>
123
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124
<PAGE>
THE GCG TRUST
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TRUSTEES AND EXECUTIVE OFFICERS
Barnett Chernow, CHAIR, TRUSTEE AND PRESIDENT*
John R. Barmeyer, TRUSTEE*
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
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Sutherland Asbill & Brennan LLP, LEGAL COUNSEL
Directed Services, Inc., MANAGER
Ernst & Young LLP, INDEPENDENT AUDITORS
