<PAGE>
SEMI-ANNUAL REPORT
JUNE 30, 1995
EXECANNUITY
PLUS
[LOGO]
<PAGE>
GENERAL INFORMATION
BOARD OF TRUSTEES
John F. O'Brien, Chairman
Russell E. Fuller
Gordon Holmes
John D. Hunt
John Kavanaugh
Attiat F. Ott
Richard M. Reilly
Ranne P. Warner
Thomas S. Zocco
GENERAL DISTRIBUTOR
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
OFFICERS OF STATE MUTUAL LIFE
ASSURANCE COMPANY OF AMERICA
John F. O'Brien, President and CEO
Edward J. Parry, III, Vice President and
Treasurer
Mark R. Colborn, Vice President and
Controller
OFFICERS OF ALLMERICA
INVESTMENTS, INC.
Richard M. Reilly, President
Eric S. Levy, Vice President and Treasurer
Robert T. Stemple, Vice President and
Principal Accounting Officer
INVESTMENT MANAGER
Allmerica Investment
Management Co., Inc.
440 Lincoln Street
Worcester, MA 01653
INDEPENDENT ACCOUNTANT
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110
CUSTODIAN
The Chase Manhattan Bank, N.A.
1211 Avenue of the Americas
New York, NY 10036
ADMINISTRATOR
The Shareholder Services Group, Inc.
290 Donald Lynch Boulevard
Marlboro, MA 01752
LEGAL COUNSEL
Ropes & Gray
One International Place
Boston, MA 02110
INVESTMENT SUB-ADVISERS
Allmerica Asset Management, Inc.
440 Lincoln Street
Worcester, MA 01653
EQUITY INDEX FUND
INVESTMENT GRADE INCOME FUND
GOVERNMENT BOND FUND
MONEY MARKET FUND
David L. Babson & Co., Inc.
One Memorial Drive
Cambridge, MA 02142
SMALL CAP VALUE FUND
Bank of Ireland
Asset Management Limited
2 Greenwich Plaza
Greenwich, CT 06830
SELECT INTERNATIONAL EQUITY FUND
Janus Capital Corporation
100 Fillimore Street - Suite 300
Denver, CO 80206
SELECT CAPITAL APPRECIATION FUND
John A. Levin & Co., Inc.
One Rockefeller Plaza
New York, NY 10020
SELECT GROWTH & INCOME FUND
Miller, Anderson & Sherrerd
One Tower Bridge
West Conshohocken, PA 19248
GROWTH FUND
Nicholas-Applegate Capital Management
501 West Broadway - Suite 2000
San Diego, CA 92101
SELECT AGGRESSIVE GROWTH FUND
Provident Investment Counsel
300 North Lake Avenue
Pasadena, CA 91101
SELECT GROWTH FUND
INVESTMENT ADVISERS
Delaware International Advisers Ltd.
1818 Market Street
Philadelphia, PA 19103
DELAWARE INTERNATIONAL EQUITY SERIES
Fidelity Management & Research Company
82 Devonshire Street
Boston, MA 02108
FIDELITY'S VIPF II ASSET MANAGER PORTFOLIO
FIDELITY'S VIPF EQUITY-INCOME PORTFOLIO
FIDELITY'S VIPF GROWTH PORTFOLIO
FIDELITY'S VIPF HIGH INCOME PORTFOLIO
FIDELITY'S VIPF OVERSEAS PORTFOLIO
Rowe Price-Fleming International, Inc.
100 E. Pratt Street
Baltimore, MD 21202
T. ROWE PRICE'S INTERNATIONAL STOCK PORTFOLIO
CONTENTS
A LETTER FROM THE CHAIRMAN .................... 2
PERFORMANCE SUMMARY ........................... 3
DOMESTIC & INTERNATIONAL EQUITY
MARKET OVERVIEW ............................... 4-5
SELECT INTERNATIONAL EQUITY FUND .............. 6
DELAWARE INTERNATIONAL EQUITY SERIES .......... 7
FIDELITY'S VIPF OVERSEAS PORTFOLIO ............ 8
T. ROWE PRICE'S INTERNATIONAL
STOCK PORTFOLIO ............................... 9
SELECT AGGRESSIVE GROWTH FUND ................. 10
SELECT CAPITAL APPRECIATION FUND .............. 11
SMALL CAP VALUE FUND .......................... 12
SELECT GROWTH FUND ............................ 13
GROWTH FUND ................................... 14
FIDELITY'S VIPF GROWTH PORTFOLIO .............. 15
SELECT GROWTH AND INCOME FUND ................. 16
EQUITY INDEX FUND ............................. 17
FIDELITY'S VIPF EQUITY-INCOME
PORTFOLIO ..................................... 18
FIDELITY'S VIPF II ASSET MANAGER
PORTFOLIO ..................................... 19
BOND MARKET OVERVIEW .......................... 20
FIDELITY'S VIPF HIGH INCOME PORTFOLIO ......... 21
INVESTMENT GRADE INCOME FUND .................. 22
GOVERNMENT BOND FUND .......................... 23
MONEY MARKET OVERVIEW ......................... 24
MONEY MARKET FUND ............................. 25
FINANCIALS .................................... 26-72
FOR FURTHER INFORMATION, SEE THE
ACCOMPANYING SEMI-ANNUAL REPORTS.
1
<PAGE>
A LETTER FROM THE CHAIRMAN
[PHOTO]
[Picture of John F. O'Brien, Chairman of the company.]
Dear Client:
What a difference six months can make. At the end of 1994, we reported
that both stocks and bonds declined in value for the year -- a somewhat rare
phenomenon. Now I'm pleased to say that for the first six months of 1995,
the story is reversed -- in general, stocks and bonds generated strong
returns. In each case, specific economic and financial developments
triggered changes in investor psychology and sharp upward swings in the
financial markets. The only underachievers were cash and money market
investments.
Bolstered by declining interest rates, moderate inflation, and slower
economic growth, bonds posted double-digit returns in the first half of
1995, more than recovering from the declines of 1994.
Lower interest rates and relatively low inflation also had a positive
effect on stocks. The attractiveness of stocks was further enhanced by
strong corporate earnings, a weak U.S. dollar, and continued efforts by
corporate America to improve productivity and efficiency. These factors sparked
continued stock buying by individuals through equity mutual funds. In the first
six months of the year ending June 30, 1995, the Standard & Poor's 500 Stock
Index (S&P 500), an unmanaged index of common stocks, rose more than 20%.
The steep rise in the stock and bond markets this year demonstrates
the value of taking a long-term approach to investing and of not reacting to
short-term market activity. Many investors who abandoned their long-term
investments in 1994 and early 1995 lost money, because they sold at market
lows. However, those who stuck with their investments during last year's
rough periods were rewarded in 1995.
It would be unrealistic to think that the financial markets will
continue to rise without some adjustment. No one knows when the markets may
stage a correction. But as we have stressed so often, we urge you to
recognize that market fluctuations are a normal part of the investment
cycle. We encourage you to take a long-term perspective when making
investment decisions, to diversify your investments, and to review them
periodically to make sure they are in line with your objectives and
financial goals.
At Allmerica the investment philosophy of our managers remains intact
during market advances and declines. Our investment decisions are based on
long-term economic and business fundamentals. We seek securities that are
attractively priced and that have the potential to provide investors with
solid returns over the long-term.
On Behalf of the Board of Directors,
/s/ John F. O'Brien
John F. O'Brien
Chairman, State Mutual Life Assurance Company of America
---------------------------------------
"THE STEEP RISE IN THE STOCK AND BOND
MARKETS THIS YEAR DEMONSTRATES THE
VALUE OF TAKING A LONG-TERM APPROACH
TO INVESTING AND OF NOT REACTING TO
SHORT-TERM MARKET ACTIVITY."
---------------------------------------
2
<PAGE>
PERFORMANCE SUMMARY
EXECANNUITY PLUS - Average Annual Total Returns as of 6/30/95
<TABLE>
<CAPTION>
WITHOUT SURRENDER CHARGE
LIFE OF
ONE SUB
SUBACCOUNTS YEAR ACCT
---------------------------------------------------------
<S> <C> <C>
ALLMERICA INVESTMENT TRUST
Select International Equity Fund(4) 8.35% 3.45%
Select Aggressive Growth Fund(1) 20.79% 13.90%
Select Capital Appreciation Fund(6) N/A 13.13%+
Small Cap Value Fund(1) 6.76% 4.68%
Select Growth Fund(1) 23.08% 20.18%
Growth Fund(1) 20.75% 17.99%
Select Growth and Income Fund(1) 15.41% 14.16%
Equity Index Fund(2) 23.46% 18.94%
Investment Grade Income Fund(2) 10.80% 7.90%
Government Bond Fund(1) 7.14% 5.85%
Money Market Fund(5) 3.72% 3.44%
DELAWARE GROUP PREMIUM
FUND, INC.
International Equity Series(1) 4.34% 2.72%
ROWE PRICE-FLEMING
INTERNATIONAL, INC.
T. Rowe Price's International
Stock Portfolio(6) N/A 0.15%+
FIDELITY'S VARIABLE INSURANCE
PRODUCTS FUND (VIPF) I AND II
Overseas Portfolio(1) 1.38% 0.97%
Growth Portfolio(1) 35.06% 26.23%
Equity-Income Portfolio(1) 22.26% 20.50%
Asset Manager Portfolio(3) 4.26% 3.43%
High Income Portfolio(1) 10.31% 8.93%
</TABLE>
WITH SURRENDER CHARGE
<TABLE>
<CAPTION>
LIFE OF
ONE SUB
SUBACCOUNTS YEAR ACCT
---------------------------------------------------------
<S> <C> <C>
ALLMERICA INVESTMENT TRUST
Select International Equity Fund(4) 1.15% -2.80%
Select Aggressive Growth Fund(1) 13.64% 7.99%
Select Capital Appreciation Fund(6) N/A 5.13%+
Small Cap Value Fund(1) -0.45% -1.35%
Select Growth Fund(1) 15.92% 14.35%
Growth Fund(1) 13.57% 12.13%
Select Growth and Income Fund(1) 8.23% 8.25%
Equity Index Fund(2) 16.29% 13.07%
Investment Grade Income Fund(2) 3.60% 1.89%
Government Bond Fund(1) -0.06% -0.16%
Money Market Fund(5) -3.47% -2.45%
DELAWARE GROUP PREMIUM
FUND, INC.
International Equity Series(1) -2.86% -3.33%
ROWE PRICE-FLEMING
INTERNATIONAL, INC.
T. Rowe Price's International
Stock Portfolio(6) N/A -7.85%+
FIDELITY'S VARIABLE INSURANCE
PRODUCTS FUND (VIPF) I AND II
Overseas Portfolio(1) -5.84% -5.11%
Growth Portfolio(1) 27.94% 20.47%
Equity-Income Portfolio(1) 15.10% 14.69%
Asset Manager Portfolio(3) -2.95% -2.93%
High Income Portfolio(1) 3.11% 2.95%
<FN>
Performance numbers in this report are historic and are not indicative of
future results. The investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost.
1. Inception April 21, 1994 3. Inception May 12, 1994 5. Inception April 11, 1994
2. Inception April 22, 1994 4. Inception May 4, 1994 6. Inception May 1, 1995
+Unannualized
</TABLE>
For more information about performance of the underlying funds, see the
Performance Reviews beginning on page 6.
3
<PAGE>
DOMESTIC &
INTERNATIONAL
EQUITY MARKET
OVERVIEW
1990-1991: Economic recession
in the United States. A deep depression
affects much of the former Soviet bloc
countries.
1992: U.S. economy continues its
slow recovery. Larger companies
downsize while smaller firms thrive.
1993: A year of low regional interest
rates and strong growth in the emerging
markets.
1994: Federal Reserve Board raises
interest rates six times stalling equity
markets.
The U.S. equity markets posted a strong advance during the first half of
1995. Investors reacted positively to preliminary economic and inflationary
news which indicated that the Federal Reserve Board's series of interest rate
hikes had slowed the economy and subdued inflationary pressures. In addition
to the favorable economic reports, the U.S. equity markets were bolstered by
the strong first quarter corporate earnings reports, large cash inflows from
both retail and institutional investors, and a rally in the fixed income
markets. U.S. investors were rewarded as the leading U.S. markets set record
highs during the six-month period, with the Dow Jones Industrial Average
crossing the 4600 level, and the S&P 500 Index, an unmanaged index of common
stocks, gaining more than 20% over the six-month period ending June 30, 1995.
The tremendous bull market was fueled largely by technology stocks, with the
semiconductor sector producing extraordinary gains as the demand for PCs and
the Pentium chip drove industry and individual company earnings. The
financial sector, especially bank stocks, also contributed to the strong
market advance, as these stocks benefited from lower interest rates and the
trend towards consolidation.
The international markets, in aggregate, turned in only modest
performance during the first half of the year. The Morgan Stanley Capital
Index of European, Australian and Far East stocks
Weak U.S.
Profits at dollar causes
major U.S. international
corporations companies
surge to suffer
| |
--------------------------------------------------------------------------------
1995 JAN 95 FEB 95 MARCH 95
--------------------------------------------------------------------------------
| |
Real GDP grew Barings/
at an annual Singapore
rate of 2.8% collapse
causes Nikkei
to drop 3.8%
4
<PAGE>
(MSCI EAFE) gained 2.76% for the six-month period. Japan's economic woes were
largely responsible for the sluggish results. Trade tensions with the United
states, the ineffectiveness of the Japanese government in dealing with the
banking crisis, and forecasts for slow economic growth kept the Japanese market
depressed. The Morgan Stanley Capital Index of Japan (MSCI Japan) LOST 8.2%
from December 31, 1994 to June 30, 1995. The decrease in the value of the
dollar versus the yen was also detrimental to Japan's market because as the
value of the dollar declines, U.S. products and services gain a price
advantage over foreign competition.
International equity mutual funds slightly outpaced the MSCI EAFE Index,
with a 2.90% return over the six-month period, as reported by Morningstar.
Investment portfolios with a heavy European focus fared well, while funds
with a large emphasis in Japan and Latin America struggled. Mexico has still
not recovered from the devastation it experienced in the latter part of 1994
and early 1995. However, investors are once again starting to return to
Mexico as economic indicators signal some success in dealing with the
financial crisis.
Ahead may be more volatile times in the international arena, as a
slowdown in the U.S. markets could have negative effects throughout the
foreign markets.
Demand for
Lower interest PCs and the DJIA up 19%
rates fuel Pentium chip for the period,
market rallies cause best six months
in developing technology in the market
Asia stocks to soar since 1990
| | |
--------------------------------------------------------------------------------
APRIL 95 MAY 95 JUNE 95
--------------------------------------------------------------------------------
| | |
Mexican Dow Jones MSCI EAFE
crisis eases- Industrial Index posts a
investors Average breaks modest 2.76%
begin to through 4600 return for the
return mark six-month
to Mexico period
5
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
Many foreign stock markets got off to a weak start in 1995. During the
first quarter, foreign stock prices fluctuated as concerns about inflation,
interest rates, and political instability dominated market sentiment. At the
end of March, the German Bundesbank lowered interest rates and France,
Switzerland, and the Netherlands followed. Lower interest rates led to market
rallies in many countries during the second quarter. The strong growth of the
U.S. stock market combined with a weak dollar also had a positive effect on
many countries, particularly those in the Far East (excluding Japan) whose
currencies are linked to the U.S. dollar. Due to Bank of Ireland's view that
the dollar is undervalued, a conservative strategy has been implemented.
For the six-month period ending June 30, 1995, the Portfolio
significantly outperformed the Morgan Stanley EAFE Index. Interest rate
declines benefited a number of stocks in the Portfolio, particularly those of
finance companies sensitive to interest rate moves. Impressive earnings
reported by pharmaceutical companies led management to refocus on this
sector. As investors purchased pharmaceutical stocks, cyclical stocks became
less attractive. While the cyclical stocks in the Portfolio underperformed,
they maintained their strong economic fundamentals, therefore, the
Portfolio's management intends to keep them in the Portfolio.
Most Continental European markets rallied during the second quarter. The
market in the United Kingdom was strong due to better-than-expected corporate
earnings and a rise in takeover activity. Of the major European markets,
France provided the poorest return. This was attributed to the government's
efforts to combat high unemployment and an escalating budget deficit.
The weakness in the Pacific Rim markets continued into early 1995.
However, once fears about the Mexican economic crisis subsided and U.S.
interest rates declined, most Pacific Rim markets rebounded. Portfolio
management's strategy in the Pacific Rim emphasized consumer stocks, which
generated strong gains during the period.
Several factors contributed to a decline in Japanese stocks: the Kobe
earthquake, appreciation of the yen and negative reaction to the Government's
stimulus package. Fortunately, the Portfolio had a small position in Japanese
stocks.
Going forward, the Portfolio's management will continue to emphasize
stocks of medium and large international companies whose potential for strong
earnings is reflected in their market valuations.
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management
Limited
ABOUT THE FUND:
Invests in companies around the world
based on fundamental value and an
adherence to sound business strategies.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1995:
Select International Equity Fund 9.55%
Morgan Stanley EAFE Index 2.76%
Lipper International Index 2.50%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the geographic
distributions of net assets were:
Japan 3.36%
Switzerland 8.66%
Australia 9.84%
Netherlands 13.36%
United Kingdom 29.43%
Cash Equivalents 6.56%
Other 28.79%
GROWTH OF A $10,000 INVESTMENT SINCE 1994
<TABLE>
<CAPTION>
5/2/94 6/95
------- --------
<S> <C> <C>
Select International Equity Fund $10,000 $10,573
Morgan Stanley EAFE Index $10,000 $10,285
</TABLE>
--------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select International Equity Fund, since its inception on
May 2, 1994, to a similar group of investments; the Morgan Stanley EAFE Index.
Performance benchmarking allows investors to objectively measure their fund's
performance.
--------------------------------------------------------------------------------
THE MORGAN STANLEY EAFE INDEX IS AN UNMANAGED INDEX OF EUROPEAN, AUSTRALIAN &
FAR EAST STOCKS. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES,
BUT DO NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE
EFFECT OF THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
6
<PAGE>
DELAWARE INTERNATIONAL EQUITY SERIES
During the first six months of 1995, international equity markets were
quite volatile. Earlier in the year, problems caused by the devaluation of
the Mexican peso prompted South American stocks and emerging markets in
general to stumble. The International Equity Series Portfolio had little
exposure to these regions, with only small positions in Indonesia and the
Philippines.
Delaware International continues to believe that the Japanese equity
market offers little growth potential relative to investment opportunities
found elsewhere in the world. Although the Portfolio's management continues
to invest in Japanese securities, the Portfolio holds less Japanese
investments, as a percentage of assets, than its benchmark, the Morgan Stanley
EAFE Index. Going forward, the Portfolio will continue to focus on export
companies that are positioned to benefit from the expected fall of the yen.
The Portfolio will also focus on small and mid-sized Japanese companies that
offer good value.
Over the last six months, the Portfolio's underweighted position in
Japan, a limited exposure to emerging markets, and the continued emphasis on
the core world markets helped boost returns. The Portfolio outpaced the EAFE
Index in spite of its risk-averse nature. The Portfolio's management will
continue to implement its strict disciplines to help reduce volatility,
preserve purchasing power and deliver competitive returns. Delaware
International will: 1) focus on income, as income can be just as important to
equity investments as it is to fixed income investments; 2) perform inflation
analysis to help preserve purchasing power; 3) address the effect of currency
fluctuations, as changes in currency can add or subtract substantially from
investment returns and 4) apply consistent disciplines across markets by
comparing U.S. dollar inflation-adjusted values for each security under
consideration.
INVESTMENT ADVISER:
Delaware International Advisers Ltd.
ABOUT THE FUND:
A value-oriented equity portfolio which
seeks capital appreciation and income by
investing in companies domiciled outside
the United States.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1995:
Delaware International Equity Series 4.66%
Morgan Stanley EAFE Index 2.80%
Lipper International Index 2.50%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the geographical
allocations of net assets were:
United Kingdom 27.0%
Japan 14.5%
Australia 8.4%
Netherlands 7.2%
Germany 6.2%
Other 36.7%
GROWTH OF A $10,000 INVESTMENT SINCE 1992
<TABLE>
<CAPTION>
10/92 6/95
------ -------
<S> <C> <C>
Delaware International Equity Series $10,000 $12,510
Morgan Stanley EAFE Index $10,000 $14,546
</TABLE>
--------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the International Equity Series, since its inception on
October 29, 1992, to a similar group of investments; the Morgan Stanley EAFE
Index. Performance benchmarking allows investors to objectively measure their
portfolio's performance.
--------------------------------------------------------------------------------
THE MORGAN STANLEY EAFE INDEX IS AN UNMANAGED INDEX OF EUROPEAN, AUSTRALIAN &
FAR EAST STOCKS. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES,
BUT DO NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE
EFFECT OF THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
7
<PAGE>
FIDELITY'S VIPF OVERSEAS PORTFOLIO
During the first six months of 1995, Fidelity's VIPF Overseas Portfolio
performance topped that of the Morgan Stanley EAFE Index. The keys to its
positive performance were selected investments in Japan and Europe. In
addition, the Portfolio benefited from new investments in emerging markets.
While European markets have fared relatively well, emerging markets and
Japan have not. Japan was affected by a number of factors including the
Barings debacle, the Kobe earthquake and the subway gas attack. The Japanese
market also was hurt by the strength of the yen versus the dollar. On the
heels of Mexico's devaluation of the peso in late 1994, emerging markets also
struggled, although Mexican stocks look like they have "bottomed out" and are
on the rebound.
The Portfolio is underweighted in Japanese investments, relative to the
EAFE Index, with much of the Japanese emphasis in technology stocks such as
Toshiba and Hitachi, and other manufacturers and exporters that are poised to
take advantage of economic activity both in Japan and globally. While U.S.
technology stocks have fared well over the last few months, it has been a
weak sector in Japan, therefore valuations and future growth possibilities
are attractive.
The Portfolio invests heavily in European stocks, mainly in the
financial and consumer non-durable area, as well as interest rate sensitive
stocks. European stocks have rallied lately, mainly on the strength of the
technology sector. The Portfolio added investments in cyclical stocks such as
auto stocks Volvo and Peugeot, and Michelin, a tire company. These stocks
recently declined in price and have become a good value.
Fidelity believes that any worldwide recession will be shallow and that
growth will resume. Going forward, they will continue to look for
opportunities in markets that appear to have excellent value.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
A growth-oriented equity portfolio which
seeks growth of capital by investing in
foreign securities
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1995:
Fidelity's VIPF Overseas Portfolio 4.14%
Morgan Stanley EAFE Index 2.80%
Lipper International Index 2.50%
PORTFOLIO
COMPOSITION:
As of May 31, 1995, the geographical
allocations of net assets were:
Germany 5.9%
Netherlands 6.6%
France 8.2%
Switzerland 9.0%
United Kingdom 13.2%
Japan 18.7%
Other 38.4%
GROWTH OF A $10,000 INVESTMENT SINCE 1987
<TABLE>
<CAPTION>
1/28/87 6/95
------- --------
<S> <C> <C>
Fidelity VIPF Overseas Portfolio $10,000 $17,825
Morgan Stanley EAFE Index $10,000 $15,668
</TABLE>
--------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in Fidelity's VIPF Overseas Portfolio, since its inception
on January 28, 1987, to a similar group of investments; the Morgan Stanley
EAFE Index. Performance benchmarking allows investors to objectively measure
their portfolio's performance.
--------------------------------------------------------------------------------
THE MORGAN STANLEY EAFE INDEX IS AN UNMANAGED INDEX OF EUROPEAN, AUSTRALIAN &
FAR EAST STOCKS. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES,
BUT DO NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE
EFFECT OF THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
8
<PAGE>
T. ROWE PRICE'S INTERNATIONAL STOCK PORTFOLIO
International equity markets performed stronger in the second quarter of
1995 than in the first, with most markets posting positive gains. T. Rowe
Price's International Stock Portfolio finished the first six months of the
year ahead of the Morgan Stanley EAFE Index. The Portfolio's geographic focus
did not significantly change over the last six months, maintaining a heavy
emphasis on the European markets with only selective investments in Japan.
In Europe, economies continued to recover and strengthen -- an
environment which benefited the Portfolio's heavy European orientation.
Meanwhile, markets in the Far East (excluding Japan) and Latin America were
boosted by more stable interest rates in the U.S. The Japanese stock market
continued its downward trend, as trade disputes with the U.S. heated up. The
broad selling of Japanese stocks further spurred negative sentiment among
investors. Despite this difficult environment, Rowe Price-Fleming
International, Inc. believes Japan will still remain a strong force over the
long-term. Therefore, the Portfolio's management will focus on areas of the
Japanese market which they expect to benefit when the economy inevitably
recovers. They will also seek international companies that make excellent
products but have lost their competitive position due to the strong yen.
These companies suffer when the yen becomes more expensive compared to the
U.S. dollar and the demand for cheaper U.S. goods and services increase. The
Portfolio's management expects this trend to moderate, making these companies
more attractive.
Looking forward, the continued recovery in Europe along with the return
of confidence in Latin American investments, and the continued expansion of
already strong economies in the Far East (excluding Japan) markets, will most
likely help drive Portfolio returns higher during the second half of 1995.
Rowe Price-Fleming will continue to use fundamental research from more than
110 on-site global analysts to provide investors with a highly diversified
international stock portfolio committed to long-term stability and
performance.
INVESTMENT ADVISER:
Rowe Price-Fleming International, Inc.
ABOUT THE FUND:
The Portfolio's strategy broadens diversification
by carefully managing exposure to small
companies and emerging markets.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1995:
T. Rowe Price's International Stock Portfolio 3.87%
Morgan Stanley EAFE Index 2.80%
Lipper International Index 2.50%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the geographic
allocations of net assets were:
Europe 50.0%
Japan 23.0%
Far East 12.0%
Latin America 4.0%
Other 11.0%
GROWTH OF A $10,000 INVESTMENT SINCE 1994
<TABLE>
<CAPTION>
3/94 6/95
------- -------
<S> <C> <C>
T. Rowe Price's International Stock Portfolio $10,000 $10,574
Morgan Stanley EAFE Index $10,000 $10,619
</TABLE>
--------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in T. Rowe Price's International Stock Portfolio, since its inception
on March 31, 1994, to a similar group of investments; the Morgan Stanley EAFE
Index. Performance benchmarking allows investors to objectively measure their
portfolio's performance.
--------------------------------------------------------------------------------
THE MORGAN STANLEY EAFE INDEX IS AN UNMANAGED INDEX OF EUROPEAN, AUSTRALIAN &
FAR EAST STOCKS. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES,
BUT DO NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE
EFFECT OF THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
9
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
The equity markets soared during the first half of 1995 as an unexpected
bond rally and a declining dollar led market indices to record highs. The large
capitalization stock sector led the way for most of the first six months of
the year, significantly outperforming the small- and mid-capitalization
sectors. A narrow band of stocks fueled the market increase, with the largest
100 companies in the S&P 500 Index, producing 72% of the total return.
Technology stocks, bolstered by increased demand for U.S. products, led the
drive, followed by financial services and energy stocks. Smaller stocks,
which the Portfolio tends to invest in, advanced later in the period,
producing excellent gains in the month of June. As a result, the Portfolio
performed well in the first half of the year, outperforming its benchmark,
the Russell 2000 Index. The Portfolio's management emphasized the technology
and producer/manufacturing sectors with the semiconductor and software
industries, and the metals and paper industries leading their respective
sectors. The Portfolio's heavy emphasis on technology stocks and
producer/manufacturing stocks proved to be an effective strategy as the
majority of the Portfolio's gains came from investments in these two
industries.
Nicholas-Applegate's outlook for growth stocks remains very optimistic
for the next six to twelve months. The Portfolio should benefit if, as
anticipated, corporate profitability levels continue to rise and corporate
earnings continue to increase. Although small-cap stocks have lagged the
market so far this year, eventually the market should realize the earnings
power that is being generated by the smaller-cap stocks and reward investors.
INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management
ABOUT THE FUND:
Invests in companies whose potential for rapidly growing earnings is not
fully reflected in their stock prices.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Select Aggressive Growth Fund 14.89%
Russell 2000 Index 14.42%
Lipper Capital Appreciation Fund Index 17.02%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector allocations of net assets were:
Electronics 9.25%
Cash Equivalents 0.79%
Health Services 9.74%
Financial 11.90%
Consumer Products 12.09%
Technology 22.50%
Other 33.73%
GROWTH OF A $10,000 INVESTMENT SINCE 1992
<TABLE>
<CAPTION>
8/92 6/95
------- -------
<S> <C> <C>
Select Aggressive Growth Fund $10,000 $16,077
Russell 2000 Index $10,000 $15,243
Lipper Capital Appreciation Fund Index $10,000 $15,245
</TABLE>
--------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Select Aggressive Growth Fund, since its inception
on August 21, 1992, to a similar group of investments; the Russell 2000 Index
and Lipper Capital Appreciation Fund Index. Performance benchmarking allows
investors to objectively measure their fund's performance.
--------------------------------------------------------------------------------
THE RUSSELL 2000 INDEX IS AN UNMANAGED COMPOSITE OF 2,000 SMALL
CAPITALIZATION STOCKS. THE LIPPER CAPITAL APPRECIATION FUND INDEX IS A
NON-WEIGHTED INDEX OF THE 30 LARGEST CAPITAL APPRECIATION MUTUAL FUNDS.
PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT
INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE EFFECT OF
THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
10
<PAGE>
SELECT CAPITAL APPRECIATION FUND
During the first six months of 1995, U.S. stocks staged a powerful rally.
Spurred by declining interest rates and strong corporate profits, U.S. stocks
rose 20.2% as measured by the S&P 500 Index, an unmanaged index of common
stocks. Although the Portfolio's inception occurred four months into the
period, Janus Capital Corporation was able to catch much of the market's
rally.
Generally, returns on the stocks of large, multinational companies
outpaced those of medium-size and small companies. Because multinational
companies derive a significant portion of their revenues from foreign sales,
these companies benefited greatly from the decline in the U.S. dollar.
During the six-month period that ended June 30, 1995, financial stocks
were strong performers. Because financial stocks are sensitive to
interest-rate moves, they generally perform well in a declining interest rate
environment. During the Portfolio's first two months, it benefited from a
number of individual holdings in the financial sector, including World
Acceptance Corporation, a consumer finance company, and Insignia Financial
Group, the largest U.S. property manager. Other additions to the Portfolio
during the period included: R. P. Scherer, a developer of drug delivery
systems, and Minerals Technology, a producer of chemicals used in paper
making. The Portfolio intentionally avoided technology stocks due to their
volatility and high prices. However, these stocks were excellent performers
during the period, and the Portfolio's underweighting in this area hurt
performance.
Looking ahead, Janus believes that moderate economic growth, lower
interest rates and low inflation should provide a favorable environment for
growth stocks during the second half of 1995.
INVESTMENT SUB-ADVISER:
Janus Capital Corporation
ABOUT THE FUND:
The Portfolio seeks value through strong stock selection following a
fundamental bottom-up approach.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Select Capital
Appreciation Fund 13.40%+
S&P 500 Index-Registered Trademark 20.09%
Lipper Capital Appreciation
Fund Index 17.02%
PORTFOLIO
COMPOSITION*
As of June 30, 1995, the sector allocations of net assets were:
Foreign Common Stocks 3.60%
U.S. Government Backed Bonds 11.25%
Commercial Paper 9.41%
Chemicals & Drugs 15.24%
Communications 11.15%
Durable Goods 9.44%
Consumer Staples 7.22%
Technology 7.01%
Other Common Stocks 29.88%
* Other liabilities--4.20%
+ Since inception on April 28, 1995
GROWTH OF A $10,000 INVESTMENT SINCE 1995
<TABLE>
<CAPTION>
4/95 6/95
------- -------
<S> <C> <C>
Select Capital Appreciation Fund $10,000 $11,340
S&P 500 Index $10,000 $10,584
Lipper Capital Appreciation Fund Index $10,000 $11,627
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Select Capital Appreciation Fund, since its
inception on April 28, 1995, to a similar group of investments; the S&P 500
Index and the Lipper Capital Appreciation Fund Index. Performance
benchmarking allows investors to objectively measure their fund's performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LEADING STOCKS. S&P 500 INDEX
IS A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. THE LIPPER
CAPITAL APPRECIATION FUND INDEX IS A NON-WEIGHTED INDEX OF THE 30 LARGEST
FUNDS IN THE CAPITAL APPRECIATION INVESTMENT OBJECTIVE. PERFORMANCE NUMBERS
ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES.
IF PERFORMANCE INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES,
IT WOULD HAVE BEEN LOWER.
11
<PAGE>
SMALL CAP VALUE FUND
After several years of lagging behind small-company stocks, the top
performing stocks during the first half of 1995 were large-company blue chip
stocks and the stocks of selected multinational corporations. Recession fears
and the decline of the U.S. dollar relative to other currencies were
instrumental in boosting the prices of large-company stocks. As economic
growth slowed and recession concerns grew, investors sought the quality that
large, established companies tend to provide. Because blue chip companies and
multinational companies derive a large portion of their revenues from
overseas markets, these companies benefited greatly from the decline in the
U.S. dollar.
Among small-company stocks, technology companies made the strongest
gains. Technology stocks rose more than 28% during the first six months of
1995. Because of its value orientation, the Small Cap Value Fund was
underweighted in technology stocks, which significantly affected its
investment performance. Also contributing to the Portfolio's
underperformance, was the fact that investor sentiment during the period did
not favor sectors such as manufacturing and automotive, in which the
Portfolio was heavily invested. While individual companies in the Portfolio
continued to produce strong operating results, their industry sectors tend to
be sensitive to economic cycles and to interest-rate fluctuations, both of
which are strong contributors to investor's sentiment.
Going forward, Portfolio management is confident that small-company
stocks should begin to regain strength. They believe small-cap stocks are
more attractively priced than large-cap stocks. In addition, an interest rate
decline may provide a boost to the economy and to the interest-rate sensitive
sectors in which a large portion of the Portfolio's assets are invested.
While David L. Babson & Co.'s investment style proved to be out of favor
during this period, over the long term value investing has performed well.
INVESTMENT SUB-ADVISER:
David L. Babson & Co., Inc.
ABOUT THE FUND:
Invests in attractively valued small companies believed to have above-average
potential for capital appreciation.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Small Cap Value Fund 9.00%
Russell 2000 Index 14.42%
Lipper Small Co. Growth Index 15.39%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector allocations of net assets were:
Cash Equivalents 1.99%
Financial 6.25%
Retail 8.32%
Automotive 6.77%
Consumer Products 17.69%
Durable Goods 22.00%
Other 36.98%
GROWTH OF A $10,000 INVESTMENT SINCE 1993
<TABLE>
<CAPTION>
4/93 6/95
------- -------
<S> <C> <C>
Small Cap Value Fund $10,000 $12,270
Russell 2000 Index $10,000 $13,150
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Small Cap value Fund, since its inception on April
30, 1993, to a similar group of investments; the Russell 2000 Index.
Performance benchmarking allows investors to objectively measure their fund's
performance.
-------------------------------------------------------------------------------
THE RUSSELL 2000 INDEX IS AN UNMANAGED COMPOSITE OF 2,000 SMALL CAPITALIZATION
STOCKS. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO
NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE EFFECT
OF THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
12
<PAGE>
SELECT GROWTH FUND
Economic activity slowed during the first half of 1995, after
accelerating through much of 1993 and 1994. As the economy slowed, interest
rates fell and set the stage for a "soft landing". However, corporate
profits remain robust. The combination of lower interest rates and strong
corporate profits during the first six months of 1995 results in an exploding
stock market that reached new highs.
Since the Portfolio invests in companies with above average growth
rates, this rally benefited the Portfolio and resulted in exceptional returns
during the last few months of the period. During the first few months of the
year there was strong evidence that the economy was headed for a slowdown.
In response, investors moved their assets from cyclical stocks to larger
capitalization growth stocks. This pushed the growth indices higher. However,
this movement of assets into large capitalization stocks caused prices to
rise. As demand increased, stock prices were bid up and investors then began
seeking investments with faster growth rates.
With the strong worldwide demand for U.S. products, the technology
sector realized exceptional gains during the period. With 21% of its assets
invested in technology stocks, the Portfolio benefited from this emphasis.
Financial services companies, representing approximately 12% of the
Portfolio, also helped boost investment returns as these stocks did well in
an environment of declining interest rates. In an effort to diversify, the
Portfolio's management allocated investments among a broad range of other
industries, including communications, retail and healthcare. In addition,
the Portfolio maintained smaller investments in industries such as aerospace,
energy, entertainment, and specialty chemicals.
Looking ahead, Provident Investment Counsel is encouraged by a favorable
environment for growth stocks.
INVESTMENT SUB-ADVISER:
Provident Investment Counsel
ABOUT THE FUND:
Invests in companies believed to have long-term potential for strong earnings
and growth.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Select Growth Fund 18.56%
S&P 500 Index 20.09%
Lipper Growth Fund Index 18.70%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector allocations of net assets were:
Financial 12.14%
Electronics 19.16%
Technology 20.71%
Consumer Products 12.42%
Communications 6.07%
Cash Equivalents 2.01%
Other 27.49%
GROWTH OF A $10,000 INVESTMENT SINCE 1992
<TABLE>
<CAPTION>
8/92 6/95
------- -------
<S> <C> <C>
Select Growth Fund $10,000 $13,103
S&P 500 Index -Copyright- $10,000 $14,005
Lipper Growth Fund Index $10,000 $15,400
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The charge above compares the value of a
$10,000 investment in the Select Growth Fund, since its inception on
August 21, 1992, to a similar group of investments; the S&P 500 Index and the
Lipper Growth Fund Index. Performance benchmarking allows investors to
objectively measure their fund's performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LEADING STOCKS. S&P 500 INDEX
IS A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. THE LIPPER
GROWTH FUND INDEX IS A NON-WEIGHTED INDEX OF THE 30 LARGEST GROWTH MUTUAL
FUNDS. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT
INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE EFFECT OF
THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
13
<PAGE>
GROWTH FUND
For the first six months of 1995, strong corporate profits, declining
interest rates, and moderate inflation fueled a powerful advance in U.S.
stocks. The S&P 500 Stock Index posted its largest six-month gain since the
October 1990-March 1991 period.
During the first six months of 1995, Miller, Anderson & Sherrerd (MAS)
lagged slightly behind the S&P 500 Index. This underperformance was due
primarily to MAS' conservative investment strategy. MAS allocated the
Portfolio's investments among a number of sectors, including technology,
utilities, health care, consumer nondurables, and basic industries, many of
which benefited from the market rally. However, the Portfolio also maintained
a relatively high cash position, and, since cash underperformed other
financial assets, it diluted the Portfolio's overall performance.
Bolstered by worldwide demand for U.S. products, technology stocks made
the strongest gains during the period. Included among the Portfolio's stock
choices in the technology sector were Intel, Texas Instruments and Seagate
Technologies, all of which rose significantly in value. While technology
stocks represented the most aggressive portion of the Portfolio, investments
in other economic sectors reflected more conservative and defensive stock
picks. In the utilities sector, the Portfolio invested in Pacific Gas &
Electric and Ohio Edison. Consumer nondurable stocks included Anheuser Busch
and RJR Nabisco. In the basic industry category, the Portfolio added W.R.
Grace, Scott Paper, and DuPont. Over the past several years, these basic
industry companies have restructured and cut costs and have become more
productive and competitive in the global economy.
Subsequently the Portfolio has reduced its position in financial
services, heavy industry and transportation and increased its position in
utilities and basic resources. These adjustments should bring the Portfolio
more in line with its benchmark.
Looking ahead, the Portfolio's management will maintain a conservative
investment approach positioning the Portfolio to take advantage of an
anticipated volatile market.
INVESTMENT SUB-ADVISER:
Miller, Anderson & Sherrerd
ABOUT THE FUND:
Invests in stocks that have a long-term potential for solid earnings growth
and capital appreciation.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Growth Fund 18.16%
S&P 500 Index-Copyright 20.09%
Lipper Growth Fund Avg. 18.70%
PORTFOLIO
COMPOSITION*:
As of June 30, 1995, the sector allocations of net assets were:
Financial 13.42%
Chemicals and Drugs 12.42%
Consumer Products 9.16%
Cash Equivalents 1.06%
Energy 9.85%
Durable Goods 18.61%
Other 35.72%
*Other Liabilities--0.24%
GROWTH OF A $10,000 INVESTMENT SINCE 1985
<TABLE>
<CAPTION>
4/85 6/95
------- -------
<S> <C> <C>
Growth Fund $10,000 $40,954
S&P 500 Index $10,000 $41,507
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Growth Fund, since its inception on April 29, 1985,
to a similar group of investments; the S&P 500 Index. Performance
benchmarking allows investors to objectively measure their fund's performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LEADING STOCKS. S&P 500 INDEX
IS A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. PERFORMANCE
NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE
CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL
CHARGES, IT WOULD HAVE BEEN LOWER.
14
<PAGE>
FIDELITY'S VIPF GROWTH PORTFOLIO
Fidelity's VIPF Growth Portfolio performed well during the six-month
period ending June 30, 1995 as the Portfolio beat its benchmark, the S&P 500
Index. The strong gains were primarily due to the fact that the economy has
slowed and interest rates declined -- a perfect environment for growth stocks.
Additionally, the Portfolio's investments in the technology sector paid off
handsomely.
As of June 30, 1995, roughly half of the Portfolio's assets were in
technology stocks, which benefited from strong corporate and consumer demand.
From PCs and software to semiconductors and networking, business is booming
in the technology sector.
The Portfolio's management boosted the Portfolio's stake in both Intel,
a manufacturer of microprocessors like the Pentium chip, and Micron
Technology, a manufacturer of PC memory components. This fueled the
Portfolio's performance as both stocks posted sizable gains for the period.
In addition, the Portfolio's management reduced its healthcare stake
from 7.7% of net assets on December 31, 1994 to 3.0% as of June 30, 1995.
Fidelity decided to reduce investments in this sector once the Republicans
took charge of Congress in January. This change cast a cloud over healthcare
stocks as the new congressional leadership promised to re-examine programs
like Medicare.
In summary, Fidelity believes the Portfolio is well-positioned to
benefit from a long-term positive market, although investors should expect
some volatility due to the Portfolio's aggressive investments in technology
companies.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
The Portfolio seeks growth opportunities in both small- and mid-cap equities.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Fidelity's VIPF Growth Portfolio 23.78%
S&P 500 Index 20.09%
Lipper Growth Fund Index 18.70%
PORTFOLIO
COMPOSITION:
As of May 31, 1995, the sector allocations of net assets were:
Technology 49.39%
Utilities 9.44%
Retail 9.41%
Media & Leisure 4.44%
Indus Machine & Equip 4.39%
Finance 3.57%
Other 19.36%
GROWTH OF A $10,000 INVESTMENT SINCE 1986
<TABLE>
<CAPTION>
10/9/86 6/95
------- -------
<S> <C> <C>
Fidelity VIPF Growth Portfolio $10,000 $32,782
S&P 500 Index-Copyright $10,000 $29,528
Lipper Growth Index $10,000 $27,205
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in Fidelity's VIPF Growth Portfolio, since its inception
on October 9, 1986, to a similar group of investments; the S&P 500 Index and
the Lipper Growth Fund Index. Performance benchmarking allows investors to
objectively measure their portfolio's performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LEADING STOCKS. S&P 500 INDEX IS
A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. THE LIPPER GROWTH
FUND INDEX IS A NON-WEIGHTED INDEX OF THE 30 LARGEST FUNDS WITHIN THE GROWTH
INVESTMENT OBJECTIVE. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING
EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE INFORMATION
INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN LOWER.
15
<PAGE>
SELECT GROWTH AND INCOME FUND
Over the last six months, the strength of corporate earnings, prospects
for lower interest rates, effective corporate restructuring, and a spate of
mergers and takeovers fueled a strong advance of the U.S. stock markets. In
addition, the rise in the S&P 500 Index has been magnified by the vigorous
performance of global growth stocks. These stocks represent many of the
largest stocks in the S&P 500 Index, and have significantly benefited from
the decline in the dollar.
At the end of the period, the Portfolio achieved significant gains yet
trailed the strong advance of the S&P 500 Index, which was fueled by
extraordinary gains from the technology sector. The Portfolio's relative
underperformance can be attributed to its minimal exposure to the technology
sector. Although the Portfolio maintains some exposure to this sector, it
also contains other investments such as bonds, convertible stocks and
specialized equities which are less affected by gains in the stock market.
The Portfolio's management strategy is to protect capital by investing in
companies that have strong proprietary products or services and have a
special situation or new factor that has not yet been reflected in the stock
price.
Levin & Co. has a cautious view of the current market environment, due
to several adverse market conditions. The market moves over the first half of
the year have been one directional. For example, since January there have
only been two days of market decline in excess of 1%. Also, several sectors,
including the technology sector, have already posted extraordinary gains and
are currently trading at high valuations. The international environment,
especially the weakness in the Japanese market, may trigger a negative effect
on the U.S. equity markets.
Going forward, Levin & Co. seeks to reduce investments which are
currently overvalued and reinvest in stocks selling at reasonable valuations
with superior business prospects. In so doing, Levin & Co. seeks to
construct a portfolio of more stable investments such as preferred stock,
bonds and specialized equities that may sacrifice some upward potential to
provide investors protection in the event of a market correction.
INVESTMENT SUB-ADVISER:
John A. Levin & Co., Inc.
ABOUT THE FUND:
A "value" approach to investing in high quality stocks with a strong
potential for growth and above-average dividend yields.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Select Growth and Income Fund 14.47%
S&P 500 Index 20.09%
Lipper Growth & Income
Fund Index 16.70%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector allocations of net assets were:
Financial 19.17%
Durable Goods 9.56%
Chemicals & Drugs 10.84%
Consumer Products 15.00%
Automotive 8.09%
Cash Equivalents & Other 37.34%
GROWTH OF A $10,000 INVESTMENT SINCE 1992
<TABLE>
<CAPTION>
8/92 6/95
------- -------
<S> <C> <C>
Select Growth & Income Fund $10,000 $12,713
S&P 500 Index $10,000 $14,005
Lipper Growth & Income Fund Index $10,000 $14,432
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Select Growth and Income Fund, since its inception
on August 21, 1992, to a similar group of investments; the S&P 500 Index and
the Lipper Growth & Income Fund Index. Performance benchmarking allows
investors to objectively measure their fund's performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LEADING STOCKS. S&P 500 INDEX IS
A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. THE LIPPER
GROWTH & INCOME FUND INDEX IS A NON-WEIGHTED INDEX OF THE 30 LARGEST FUNDS
WITHIN THE GROWTH & INCOME INVESTMENT OBJECTIVE. PERFORMANCE NUMBERS ARE NET
OF ALL FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES. IF
PERFORMANCE INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES, IT
WOULD HAVE BEEN LOWER.
16
<PAGE>
EQUITY INDEX FUND
Bolstered by the success of the Federal Reserve's efforts to
successfully engineer steady economic growth without inflation and the trend
of positive corporate earnings, equity investors enjoyed a spectacularly
rewarding first half of the year. The S&P 500 Index rose 20%, posting the
largest six-month gain since the October 1990 -- March 1991 period. The
Portfolio continued to maintain its primary objective of matching the total
return of the S&P 500 Stock Index as closely as possible by investing in more
than three-quarters of the Index's stocks. This rewarded investors as the
Equity Index Fund earned returns in line with the S&P 500 for the six month
period ending June 30, 1995.
Fueled by an increase in demand for U.S. products and services,
technology stocks rallied during the period. Semiconductor stocks led this
industry group, followed by a resurgence of casino stocks.
Major banks also helped the Portfolio to perform well during the first
half of the year. Because financial services stocks are sensitive to changes
in interest rates, the lower interest rate environment boosted these stocks.
Cyclical stocks, those that do well in periods of economic expansion, did not
fare as well over the period. Others that did not benefit from the market
rally were metal and mining, trucking and air freight, and health care stocks.
The next six to twelve months look bright. Allmerica Asset Management is
optimistic going forward as corporate earnings continue to show positive
trends.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Aims to replicate the returns of the S&P 500 Index.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Equity Index Fund 19.56%
S&P 500 Index 20.09%
Lipper S&P 500 Obj. Index 20.04%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector allocations at net assets were:
Durable Goods 15.00%
Consumer Products 11.94%
Energy 9.71%
Utilities 10.08%
Technology 7.42%
Cash Equivalents 0.92%
Other 44.93%
GROWTH OF A $10,000 INVESTMENT SINCE 1990
<TABLE>
<CAPTION>
9/90 6/95
------- -------
<S> <C> <C>
Equity Index Fund $10,000 $19,962
S&P 500 Index $10,000 $19,498
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Equity Index Fund, since the Fund's inception
on September 28, 1990 to a similar group of investments; the S&P 500 Index.
Performance benchmarking allows investors to objectively measure their fund's
performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LEADING STOCKS. S&P 500 INDEX IS
A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. PERFORMANCE NUMBERS
ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES.
IF PERFORMANCE INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES, IT
WOULD HAVE BEEN LOWER.
17
<PAGE>
FIDELITY'S VIPF EQUITY-INCOME PORTFOLIO
Although Fidelity's VIPF Equity-Income Portfolio did well relative to its
peers, it trailed the S&P 500 Stock Index for the six-month period ending
June 30, 1995 by a small margin. Because the recent stock market rally was
led by only a few sectors, namely technology, financial services and
large-cap stocks, relatively few stock funds topped the index. The market's
strength was driven by Investors' belief that the Federal Reserve Board would
manage the economy to a "soft landing," albeit slower economic growth and
continued low inflation. These conditions are ideal for corporate profit
growth and will provide fuel for continued increases in stock prices which
should benefit the Portfolio.
Several of the Portfolio's largest holdings boosted returns late in the
period. Highlights included Phillip Morris, where strong profit growth and
free cash flow contributed to earnings; and Federal National Mortgage
Association (Fannie Mae) whose stock price was set back last fall, but has
since recovered as conditions in the secondary mortgage market have turned
more favorable. IBM was another strong performer, as the company has
succeeded in cutting costs. During the period, the Portfolio purchased a
number of bank stocks along with other diversified financial services
companies such as American Express and Fannie Mae. The increased emphasis on
the financial sector has buoyed the Portfolio's returns because when interest
rates fall, as they have done over the past few months, the markets usually
rewards these stocks.
Risks of earnings shortfalls combined with generally high stock
valuations could make navigating the market more difficult in the second half
of 1995. In light of this, Fidelity plans to focus intensely on investing in
companies that offer prospects for higher earnings through 1996 to enhance
the Portfolio's value.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
A growth-oriented portfolio which invests primarily in income-producing
equity securities.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Fidelity's VIPF Equity-Income Portfolio 17.15%
S&P 500 Index 20.09%
Lipper Growth & Income Fund Index 14.56%
PORTFOLIO
COMPOSITION:
As of May 31, 1995, the sector allocations of net assets were:
Utilities 6.27%
Consumer Products 17.23%
Automotive 9.93%
Retail 8.56%
Energy 6.45%
Cash Equivalents 2.78%
Other 42.08%
GROWTH OF A $10,000 INVESTMENT SINCE 1986
<TABLE>
<CAPTION>
10/86 6/95
------- -------
<S> <C> <C>
Fidelity VIPF Equity-Income Portfolio $10,000 $27,545
S&P 500 Index $10,000 $28,210
Lipper Growth & Income Fund Index $10,000 $25,922
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in Fidelity's VIPF Equity-Income Portfolio, since its
inception on October 9, 1986, to a similar group of investments, the S&P 500
Index and the Lipper Growth & Income Fund Index. Performance benchmarking
allows investors to objectively measure their portfolio's performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LENDING STOCKS. S&P 500 INDEX
IS A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. THE LIPPER
GROWTH & INCOME FUND INDEX IS A NON-WEIGHTED INDEX OF THE 30 LARGEST FUNDS
WITHIN THE GROWTH & INCOME INVESTMENT OBJECTIVE. PERFORMANCE NUMBERS ARE NET
OF ALL FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES. IF
PERFORMANCE INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES, IT
WOULD HAVE BEEN LOWER.
18
<PAGE>
FIDELITY'S VIPF II ASSET MANAGER PORTFOLIO
Fidelity's VIPF II Asset Manager Portfolio performed well in the first half
of the year. However, since the Portfolio invests a portion of its assets in
foreign stocks and bonds, and nearly all foreign markets trailed their
domestic counterparts, the Portfolio's performance was disappointing.
Japanese investments, which made up about 10% of the Portfolio's assets, hurt
the Portfolio's performance the most.
At the end of the six-month period, about 53% of the Portfolio's assets
were in stocks, 32% bonds and 16% cash. This is a more aggressive allocation
than six months ago when the Portfolio's asset allocation was 37% stocks, 37%
bonds and 26% cash. Having so much of the Portfolio invested in bonds and
cash early in the period also contributed to the Portfolio's sluggish
performance. Foreign investments declined slightly during the period from 27%
of the Portfolio's assets at the beginning of the period to about 25% on June
30th.
Many of the Portfolio's top holdings were domestic technology stocks,
including the largest, IBM. The sharp advance of domestic technology stocks
during the period enhanced the Portfolio's performance. Newer investments to
the Portfolio include defense contractor Northrop Grumman, U.S. Surgical, a
former high-flying medical-supply company currently undergoing restructuring,
and W.R. Grace, which is refocusing on its core specialty-chemical business.
All of these investments should provide future potential for the Portfolio.
Approximately 50% of the Portfolio's fixed income investments were
ten-year U.S. Treasury bonds. In the currently environment, these bonds seem
to offer the best balance between yield and the potential for price gain.
Because lower rated bonds tend not to perform as well as Investment Grade
bonds when the economy is in a declining interest rate environment, Fidelity
management has trimmed investments in these bonds.
Looking forward, Fidelity will continue reducing the Portfolio's exposure
to U.S. stocks while adding more Japanese stocks, and other foreign stocks
which look promising for the latter half of the year.
INVESTMENT ADVISER:
Fidelity Management & Research Co.
ABOUT THE FUND:
A growth-oriented portfolio which provides diversification by investing
across a variety of asset classes including stocks, bonds and money market
instruments.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Fidelity's VIPF II Asset Manager Portfolio 6.14%
S&P 500 Index 20.09%
Lipper Flexible Portfolio 13.58%
PORTFOLIO
COMPOSITION:
As of May 31, 1995, the sector allocations of net assets were:
Technology 6.33%
Health Care 6.60%
Finance 3.58%
Aerospace 2.34%
Basic Industries 2.19%
Other 72.26%
Energy 6.70%
GROWTH OF A $10,000 INVESTMENT SINCE 1989
<TABLE>
<CAPTION>
9/6/89 6/95
------- -------
<S> <C> <C>
Fidelity VIPF II Asset Manager Portfolio $10,000 $17,800
S&P 500 Index-Registered Trademark $10,000 $18,388
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in Fidelity's VIPF II Asset Manager Portfolio, since the
Portfolio's inception on September 6, 1989 to a similar group of investments;
the S&P 500 Index. Performance benchmarking allows investors to objectively
measure their fund's performance.
-------------------------------------------------------------------------------
THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 LEADING STOCKS. S&P 500 INDEX
IS A REGISTERED TRADEMARK OF THE STANDARD & POOR'S CORPORATION. PERFORMANCE
NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE
CHARGES. IF PERFORMANCE INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL
CHARGES, IT WOULD HAVE BEEN LOWER.
19
<PAGE>
BOND MARKET
OVERVIEW
1992: Government and corporate bonds outperformed the stock market.
1993: U.S. economy gains momentum. Consumer spending and installment debt
increase.
1994: Federal Reserve Board raises interest rates six times in an effort to
slow down the economy and keep inflation in check.
The series of rate increases by the Federal Reserve Board throughout 1994,
had its desired effect in 1995. Economic growth slowed, inflation remained at
a moderate level, long-term interest rates declined and bond prices rose. For
the six month period ending June 30, 1995, the fixed income markets staged a
powerful rally. The Lehman Brothers Aggregate Bond Index returned 11.4% and
the Lehman Brothers Government and Corporate Bond Index rose 11.8%.
Corporate bonds were the best performing fixed income securities due to
strong earnings growth, low interest rates and a narrowing in the difference
in yields relative to Treasury securities. These positive factors encouraged
corporations to issue new bonds.
High-yield bonds, as indicated by the Salomon Brothers High-Yield Index,
underperformed the investment-grade corporate sector. Because of concerns
about the possibility of a recession, yields on these bonds rose significantly
over yields on Treasury securities. High-yield bonds benefited from the
relatively low level of new issuance.
Mortgage-backed securities were the laggards during the period. Declining
interest rates tend to have a negative effect on mortgage-backed securities.
This is because homeowners who hold the mortgages backing these bonds view
declining rates as an opportunity to refinance at lower rates.
The future bodes well for the fixed income markets as we should continue
to experience moderate economic growth with declining interest rates and
rising bond prices.
Pressure on
Federal Reserve
Bond funds Board to cut
rally for the Federal Reserve interest rates in
first time in Board succeeds order to keep
more than a in slowing eco- the economy
3.85% year. Up 3.85% nomic growth from stalling
| | | |
--------------------------------------------------------------------------------
1995 JAN 95 FEB 95 MAR 95 APRIL 95 MAY 95 JUNE 95
--------------------------------------------------------------------------------
| | |
Seventh interest Higher interest Lehman
rate hike by the rates hurt auto Brothers
Federal Reserve sales and home Government
Board building and Corporate
Bond Index
rose 11.8%
20
<PAGE>
FIDELITY'S VIPF HIGH INCOME PORTFOLIO
For the first half of the year, Fidelity's VIPF High Income Portfolio
performed well versus its peer group, yet slightly trailed its benchmark, the
Merrill Lynch High Yield Master Index. The Portfolio's emphasis on B-rated
bonds rather than Ba-rated bonds was the leading factor for the slight
underperformance versus the Index. That is, the Merrill Lynch High Yield
Master Index contains a larger percentage of Ba-rated bonds which typically are
more sensitive to changing interest rates, and therefore, benefited more from
the recent decline in interest rates than B-rated bonds.
On the positive side, the Portfolio's management found ample new investment
opportunities over the period. PanAmSat Corp., a company which operates a
satellite communications system, and Stratosphere Corp., a Las Vegas-based
casino, were two new additions. Both of these companies are promising
investments. In addition to their high 14.25% coupons, they pay additional
interest based on a percentage of cash flow. Other excellent performers over
the period included Revlon and Big Flower Press, a large printer of advertising
inserts, comics and television guides. Revlon continued to benefit from
restructuring and the successful launch of two key new products: Color Stay
Lipstick and Age Defying Makeup. The Portfolio's Revlon investment is
concentrated in junior securities which are most sensitive to changes in credit
quality, which has been a recent plus. Big Flower Press was helped by the
strong growth in advertising and the synergies gained from recent acquisitions.
On the downside, stocks within the restaurant sector did not perform as
well during the period due to competitive pressures and a slowing economy. One
of the Portfolio's largest holdings, FlagStar, the largest franchisee of
Hardees, suffered due to aggressive price promotions from the major burger
chains.
Over the next six months, Fidelity believes that the economy will be excellent
for the high-yield bonds. Slow economic growth and low inflation could allow
many companies in the high-yield market to improve credit quality.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
Seeks high income and growth of capital by investing primarily in high-yielding,
lower-rated, fixed-income securities.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Fidelity's VIPF High
Income Portfolio 12.10%
Merrill Lynch High Yield
Master Index 12.76%
Salomon Brothers
High-Yield Index 12.42%
PORTFOLIO
COMPOSITION:
As of May 31, 1995, the sector allocations of net assets were:
Leisure & Lodging 14.20%
Transportation 9.00%
Media 7.70%
Energy/Oil/Gas 7.50%
Consumer Durables 7.00%
Insurance 6.60%
Other 48.00%
GROWTH OF A $10,000 INVESTMENT SINCE 1985
<TABLE>
<CAPTION>
9/6/85 6/95
------- -------
<S> <C> <C>
Salomon Brothers High-Yield Index $10,000 $30,245
Fidelity's VIPF High Income $10,000 $29,272
Merrill Lynch High Yield Master Index $10,000 $28,609
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Fidelity VIPF High Income Portfolio, since its
inception on September 19, 1985, to a similar group of investments; the Merrill
Lynch High Yield Master Index and the Salomon Brothers High Yield Index.
Performance benchmarking allows investors to objectively measure their
portfolio's performance.
-------------------------------------------------------------------------------
THE MERRILL LYNCH HIGH YIELD MASTER INDEX IS AN UNMANAGED INDEX OF HIGH YIELD
BONDS. SALOMON BROTHERS HIGH-YIELD INDEX TRACKS THE PERFORMANCE OF HIGH YIELD
SECURITIES TRADES IN THE U.S. BOND MARKET. PERFORMANCE NUMBERS ARE NET OF ALL
FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE
INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES, IT WOULD HAVE BEEN
LOWER.
21
<PAGE>
INVESTMENT GRADE INCOME FUND
The first six months of 1995 were an outstanding period for fixed-income
markets and for the Investment Grade Income Fund. This was due primarily to a
slowdown in economic growth, declining interest rates and rising bond prices.
The Investment Grade Income Fund performed well over the period. The
Portfolio's performance can be attributed to its significant investment in
corporate bonds and reduced exposure to mortgage-backed securities. In
addition, its cash position was reduced from 24% to 2%.
Corporate bonds outperformed other fixed-income securities during the
period. Their performance was affected by strong corporate profits, increased
investor demand for bonds and a limited supply. Allmerica Asset Management
found the most attractive corporate bond investment opportunities in areas
that were undervalued including the airline, cable, media, oil and gas
sectors.
While corporate bonds made strong gains, mortgage-backed securities
provided relatively weak returns. Allmerica Asset Management reduced the
Portfolio's investments in mortgage-backed securities from approximately 29%
of assets to 24%. They eliminated premium priced, newly-originated mortgages
that it believed would be more susceptible to prepayments in a lower interest
rate environment.
The Portfolio's management changed its interest-rate strategy from a
defensive posture to a more positive stance. They also increased its average
maturity and duration (the interest rate sensitivity of the Portfolio) by
reducing the number of short-term securities in favor of intermediate-term
securities. This change benefited the Portfolio as interest rates declined.
Going forward, Allmerica Asset Management expects moderate economic
growth and believes that interest rates will continue to decline. The
Portfolio is positioned to take advantage of this type of investment
environment as its cash position and exposure to interest rate fluctuations
are minimal.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
The Portfolio's objective is to generate high level of total return, while
preserving shareholder capital.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1995:
Investment Grade Income Fund 11.31%
Lehman Brothers Aggregate
Bond Index 11.44%
Lipper Corp. Debt BBB Index 11.19%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector allocations of net assets were:
U.S. Government & Agency Obligations 55.40%
Corporate Notes and Bonds 41.67%
Cash Equivalents and Other 2.93%
GROWTH OF A $10,000 INVESTMENT SINCE 1985
<TABLE>
<CAPTION>
4/85 6/95
------- -------
<S> <C> <C>
Investment Grade Income Fund $10,000 $26,547
Lehman Brothers Aggregate Bond Index $10,000 $30,765
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Investment Grade Income Fund, since its inception
on April 29, 1985, to a similar group of investments; the Lehman Brothers
Aggregate Bond Index. Performance benchmarking allows investors to
objectively measure their fund's performance.
-------------------------------------------------------------------------------
THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS AN UNMANAGED INDEX OF AVERAGE
YIELD U.S. INVESTMENT GRADE BONDS. PERFORMANCE NUMBERS ARE NET OF ALL FUND
OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES. IF PERFORMANCE
INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES, IT WOULD HAVE
BEEN LOWER.
22
<PAGE>
GOVERNMENT BOND FUND
After six interest rate increases by the Federal Reserve Board during
1994, a seventh rate increase was instituted in February of 1995. The Fed's
decision to raise rates was prompted by climbing inflation indicators and
consumer confidence measures which pointed towards continued positive
economic conditions. As the first quarter of 1995 came to a close, economic
indicators began to shift. Consumer spending responded to declining personal
income growth more rapidly than expected and business inventories climbed. By
May there were signs of a slowdown as the economy responded to the Fed's
restrictive policy stance.
For the six-month period ending June 30, 1995, the Government Bond Fund
lagged its benchmark, the Lehman Brothers Government Bond Index, due, in
part, to a short-term interest rate strategy in which the Portfolio maintained
a shorter average duration than usual. As interest rates declined during the
second quarter of 1995, this shorter-term maturity strategy hurt performance.
Also negatively affecting performance were the Portfolio's investments in
mortgage-backed securities.
As interest rates declined in the second quarter, the Portfolio's
exposure to mortgage-backed securities was reduced. Because lower interest
rates prompt homeowners to prepay their mortgages, the Portfolio retained
only those securities expected to have the least sensitivity to rising
prepayments. In addition, higher yielding U.S. Government agency securities,
such as FNMA and the Federal Home Loan Bank, were added to the Portfolio.
Several asset-backed securities, such as MBNA Corporation, a credit card
company, and Western Financial Trust, were purchased to provide the Portfolio
with income stability and diversification.
Allmerica Asset Management expects the Portfolio's performance to
continue to improve in the second half of 1995. Its strategy is to maintain
minimal cash levels, while focusing on consistent incremental income over
that of Treasury securities.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
The Portfolio's objective is to generate high income for investors while
preserving capital and maintaining liquidity.
PERFORMANCE:
Net total return for the six-month period ending June 30,1995:
Government Bond Fund 7.89%
Lehman Brothers Government Bond Index 11.80%
Lipper General U.S. Gov't Index 10.19%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector allocations of net assets were:
U.S. Government & Agency Obligation 97.59%
Cash Equivalents and Other 2.41%
GROWTH OF A $10,000 INVESTMENT SINCE 1991
<TABLE>
<CAPTION>
9/91 6/95
------- -------
<S> <C> <C>
Government Bond Fund $10,000 $13,519
Lehman Brothers Government Bond Index $10,000 $13,595
</TABLE>
-------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Government Bond Fund, since its inception on August
26, 1991 to a similar group of investments; the Lehman Brothers Government
Bond Index. Performance benchmarking allows investors to objectively measure
their fund's performance.
-------------------------------------------------------------------------------
THE LEHMAN BROTHERS GOVERNMENT BOND INDEX IS AN UNMANAGED INDEX OF AVERAGE
YIELD U.S. INTERMEDIATE FIXED-INCOME BONDS. PERFORMANCE NUMBERS ARE NET OF
ALL FUND OPERATING EXPENSES, BUT DO NOT INCLUDE INSURANCE CHARGES. IF
PERFORMANCE INFORMATION INCLUDED THE EFFECT OF THESE ADDITIONAL CHARGES, IT
WOULD HAVE BEEN LOWER.
23
<PAGE>
MONEY
MARKET
OVERVIEW
1981: Money market returns peak
at 14.71%.
1992-1993: Federal Reserve eases
interest rates to boost faltering economy.
1994: Federal Reserve raises interest
rates six times in an effort to slow the
economy and keep inflation in check.
Economic growth slowed dramatically during the six-month period ending
June 30, 1995. Strong year-end gross domestic product and final sales figures
along with increasing employment prompted the Federal Reserve to tighten
credit in February, 1994. However, just as the Fed acted, there were signs
that the economy was slowing down. A decline in consumer spending and
weakness in the housing and auto sectors indicated that the economy was
cooling off.
As the economy slowed down, interest rates fell. This decline in general
interest rates combined with a stable Federal Funds rate resulted in an
inverted yield curve. This situation occurs when rates available on short
term securities are higher relative to intermediate term securities. As a
result, investors channeled substantial assets into money market investments
which reached a record level of $579.8 billion.
Looking forward, there is no clear consensus on what lies ahead. If the
economy falls off dramatically, the Federal Reserve may change course and
lower interest rates to avoid an extended downturn.
Pressure on
Federal Reserve
Board to cut
Seventh interest Federal Reserve interest rates in
rate hike by the Board succeeds order to keep
Federal Reserve in slowing the economy
Board economic growth from stalling
| | |
--------------------------------------------------------------------------------
JAN 95 FEB 95 MAR 95 APRIL 95 MAY 95 JUNE 95
--------------------------------------------------------------------------------
|
Dollar drops to
post WWII lows [Graphic]
fueling Japan's
economic woes
24
<PAGE>
MONEY MARKET FUND
For the first six months of 1995 the Money Market Fund provided
competitive returns to investors. In the first quarter, investors faced a
volatile economic environment of continued strong economic growth with
lurking inflationary worries. The upward trend in interest rates peaked when
the Federal Reserve Board responded for the seventh time in a year by raising
the Federal Funds rate to 6% from 5.5%. Then, in the second quarter, market
expectations shifted as a series of weak economic indicators showed signs
that the pace of economic growth had slowed. This stimulated a decline in
interest rates. And, the decline in rates, combined with a stable Federal
Funds rate resulted in an inverted yield curve with interest rates on
short-term securities higher relative to intermediate-term securities. As a
result, money market funds continued to attract substantial assets, reaching
a record level of $579.8 billion.
The Portfolio continued to focus on its three primary goals:
preservation of capital, maintenance of liquidity, and protection of maximum
current income for investors. The Portfolio's management emphasized high
quality commercial paper and sought opportunities in other creditworthy
short-term financial products.
Going forward, Allmerica Asset Management believes that a significant
slowdown in economic growth without inflationary pressure will prompt the Fed
to further lower rates. This, in turn, will cause short-term rates to fall.
Portfolio management increased the average maturity of the portfolio in the
second quarter, purchasing short-term corporate notes and bank certificates
of deposit. This longer maturity structure has left the Portfolio
well-positioned to benefit from a lower interest rate environment.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Strives to maximize current income
for investors with preservation of capital
and liquidity.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1995:
Money Market Fund 2.88%
IBC/Donoghue General Purpose
Money Market Average 2.80%
Lipper Money Market Index 2.33%
PORTFOLIO
COMPOSITION:
As of June 30, 1995, the sector
allocations of net assets were:
Commercial Paper 57.05%
Corporate Notes and Bonds 28.78%
Other 8.07%
Cash Equivalents 6.10%
25
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
COMMON STOCKS - 97.36%
<S> <C> <C>
AUSTRALIA - 9.84%
121,800 Broken Hill Proprietary Co., Ltd $ 1,495,332
131,060 Mayne Nickless, Ltd 537,887
507,690 MIM Holdings, Ltd 626,168
157,800 National Australia Bank, Ltd 1,243,811
334,270 News Corp., Ltd 1,862,355
116,550 Western Mining Corp. 638,608
-----------
6,404,161
-----------
FINLAND - 1.64%
50,600 Repola Oy S 1,064,637
-----------
FRANCE - 1.89%
16,630 Societe Nationale Elf Acquitaine, S.A. 1,229,880
-----------
INDONESIA - 5.13%
21,000 Gadjah Tunggal-F 30,175
70,000 Gudang Garam 537,494
88,000 Hero Supermarkets 159,048
148,500 Iianjaya Mandala Sampoerna-F 1,166,928
117,000 Kalbe Farma 535,878
72,500 Mayora Indah-F 332,061
147,000 PT Indcmt Tug 577,571
-----------
3,339,155
-----------
IRELAND - 2.79%
106,400 Allied Irish Banks, Plc 501,598
436,650 Smurfit (Jefferson) Group 1,315,142
-----------
1,816,740
-----------
ITALY - 1.90%
448,010 Stet * 1,238,390
-----------
JAPAN - 3.36%
55,000 Canon, Inc. 893,993
27,000 Sony Corp. 1,294,346
-----------
2,188,339
-----------
MALAYSIA - 5.06%
191,000 DCB Holdings, Berhad 560,154
203,000 Hume Industries Berhad 1,107,428
108,000 Malaysian International Shipping Corp. 316,736
468,200 Sime-Darby Berhad 1,305,895
-----------
3,290,213
-----------
MEXICO - 0.15%
2,985 Grupo Financiero Banamex 4,536
59,700 Grupo Financiero Banamex 91,685
-----------
96,221
-----------
NETHERLANDS - 13.36%
10,640 Akzo Nobel, NV $ 1,270,894
24,975 ABN-Amro Holdings, NV 963,237
96,800 Elsevier, NV 1,142,492
20,005 International Nederlanden Group 1,105,722
20,190 KLM Royal Dutch Airlines 654,984
72,650 Philips Electronics, NV 3,073,732
13,455 Royal PTT Nederland, NV, ADR 483,354
-----------
8,694,415
-----------
SINGAPORE - 6.99%
148,000 City Developments 905,467
117,000 Development Bank of Singapore, Ltd 1,331,152
93,000 Fraser and Neave, Ltd, Ord 1,071,405
82,800 Singapore Press Holdings 1,238,287
-----------
4,546,311
-----------
SPAIN - 1.69%
12,125 Argentaria Corp., Banceria De Espana 448,091
16,495 Banco Santander, S.A. 650,455
-----------
1,098,546
-----------
SWEDEN - 2.86%
8,150 Assisdoman 175,164
14,600 Astra AB, Series B 439,107
28,840 Ericsson Series B 574,297
35,150 Volvo (AB) B 668,572
-----------
1,857,140
-----------
SWITZERLAND - 8.66%
1,507 Alusuisse-Lonza Holdings Regd 944,397
2,453 Ciba-Geigy Namen 1,796,984
256 Roche Holding Ag Basel 1,648,724
1,047 Schweiz Ruckverischer 806,073
2,485 Swiss Bank Corp., Regd * 440,008
-----------
5,636,186
-----------
THAILAND - 2.55%
60,300 Bangkok Bank Plc 664,435
6,900 Siam Cement, Ltd, Regd-F 440,526
58,000 Thai Farmers Bank Co., Regd-F 554,507
-----------
1,659,468
-----------
UNITED KINGDOM - 29.43%
233,150 B.A.T. Industries, Ord 1,784,117
56,350 Barclays Bank, Ord 605,567
87,700 BICC, Ord 414,380
116,450 British Airways, Plc 763,272
219,900 British Gas, Plc 1,012,784
330,290 BTR, Plc 1,678,840
</TABLE>
26
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
168,090 Cadbury Schweppes $ 1,227,432
114,350 Chubb Security, Plc 571,227
280,430 Coats Viyella, Plc 829,813
46,200 General Accident, Plc 423,358
237,700 General Electric Co., Plc 1,160,942
98,400 Glaxo Wellcome, Plc 1,207,741
74,360 Grand Metropolitan, Plc 456,044
284,700 Hanson, Plc 996,444
77,800 Powergen, Plc * 237,023
272,750 Prudential Corp., Plc * 1,453,625
217,400 Scottish Power, Plc 1,120,594
158,700 Siebe, Plc 1,580,499
46,040 Smith New Court, Plc 323,011
62,800 Thorn EMI, Plc 1,303,806
-----------
19,150,519
-----------
UNITED STATES - 0.06%
2,847 US Industries, Inc. 38,790
-----------
TOTAL COMMON STOCKS 63,349,111
-----------
(Cost $59,419,447)
PREFERRED STOCKS - 0.53%
69,985 News Corp. $ 345,764
-----------
TOTAL PREFERRED STOCKS 345,764
-----------
(Cost $278,776)
INVESTMENT COMPANIES - 6.56%
1,653,451 Chase Vista U.S. Government
Money Market Fund 1,653,451
2,613,736 ILA Prime Obligation Portfolio Fund 2,613,736
-----------
TOTAL INVESTMENT COMPANIES 4,267,187
-----------
(Cost $4,267,187)
TOTAL INVESTMENTS - 104.45% 67,962,062
-----------
(Cost $63,965,410)
NET OTHER ASSETS AND LIABILITIES - (4.45)% (2,894,388)
-----------
NET ASSETS - 100.00% $65,067,674
-----------
-----------
----------------------------------------------------------
<FN>
* Non income producing security.
ADR American Depository Receipt
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS SOLD
<TABLE>
<CAPTION>
CONTRACTS TO SETTLEMENT CONTRACTS AT IN EXCHANGE APPRECIATION
PAR VALUE DELIVER DATES VALUE FOR U.S. $ (DEPRECIATION)
--------- ------------ ---------- ------------ ----------- --------------
<S> <C> <C> <C> <C> <C>
4,980,000 CHF 08/16/95 $ 4,343,283 $ 4,133,020 $ (210,263)
5,566,200 FRF 07/10/95 1,147,250 1,135,571 (11,679)
9,900,000 NLG 08/18/95 6,406,605 6,198,880 (207,725)
------------ ------------ -----------
$ 11,897,138 $ 11,467,471 $ (429,667)
------------ ------------ -----------
------------ ------------ -----------
</TABLE>
See Notes to Financial Statements. 27
--------------------------------------------------------
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
COMMON STOCKS - 98.80%
<S> <C> <C>
TECHNOLOGY - 22.50%
21,800 3COM Corp. * $ 1,460,600
55,200 Adaptec, Inc. * 2,042,400
99,200 Altera Corp. * 4,290,400
72,200 Atmel Corp. * 3,998,075
104,700 Boca Research, Inc. * 2,826,900
58,700 Breed Technologies, Inc. 1,408,800
41,000 Cabletron Systems, Inc. * 2,183,250
38,200 Cisco Systems, Inc. * 1,931,488
51,400 Computer Associates International, Inc. 3,482,350
63,500 Madge Nv * 1,778,000
108,700 Microdyne Corp. * 2,106,063
107,500 Micron Technology, Inc. 5,899,063
5,900 Pairgain Technologies, Inc. * 112,838
51,100 Proxima Corp. * 1,220,013
54,200 S3, Inc. * 1,951,200
115,000 Santa Cruz Operation, Inc. * 963,125
47,900 Softkey International, Inc. * 1,526,813
36,500 Sun Microsystems, Inc. * 1,770,250
95,400 Veritas Software Co. * 2,122,650
-----------
43,074,278
-----------
CONSUMER PRODUCTS - 12.09%
63,300 Archer Daniels Midland Co. 1,178,963
66,200 Ascend Communications, Inc. * 3,343,100
68,000 Boise Cascade Corp. 2,754,000
44,000 Bowater, Inc. 1,974,500
41,200 Devon Group, Inc. * 1,215,400
55,500 First Team Sports, Inc. * 1,276,500
120,900 Gaylord Container Corp., Class A * 1,450,800
69,800 Jefferson Smurfit Corp. * 916,125
42,700 King World Productions, Inc. * 1,729,350
23,300 Rock-Tenn Co., Class A 413,575
57,400 Scott Paper Co. 2,841,300
64,400 Stone Container Corp. * 1,368,500
23,300 Union Camp Corp. 1,348,488
30,300 Westvaco Corp. 1,340,775
-----------
23,151,376
-----------
FINANCIAL - 11.90%
46,300 American Bankers Insurance Group, Inc. 1,470,025
28,000 American National Insurance Co. 1,708,000
50,100 Bank of Boston Corp. 1,878,750
81,000 Bear Stearns Cos., Inc. 1,731,375
61,400 Coventry Corp. * 867,275
47,500 First Mississippi Corp. 1,620,938
66,400 Green Tree Financial Corp. 2,946,500
87,100 Lehman Brother Holdings, Inc. 1,905,313
53,000 Medaphis Corp. * 1,152,750
99,300 North Fork Bancorporation, Inc. 1,799,814
153,600 Olympic Financial, Ltd * 2,563,200
1 Pacific Crest Capital, Inc. * 6
102,700 Penncorp Financial Group, Inc. 1,899,950
25,000 St. Paul Cos., Inc. 1,231,250
-----------
22,775,146
-----------
HEALTH SERVICES - 9.74%
18,000 Amgen, Inc. 1,447,875
50,900 Bergen Brunswig Corp., Class A 1,164,338
62,800 Boston Scientific Corp. * 2,001,750
156,600 CNS, Inc. 2,623,050
73,400 Dynatech Corp. * 1,376,250
113,800 Empi, Inc. * 1,707,000
66,900 Lincare Holdings, Inc. 1,777,031
26,500 Medic Computer Systems, Inc. 1,020,250
29,600 Pacificare Health Systems, Inc., Class A * 1,502,200
59,400 Phoenix Resources Cos., Inc. 1,885,950
92,700 Research Industries Corp. 2,132,100
-----------
18,637,794
-----------
ELECTRONICS - 9.25%
25,500 Alliance Semiconductor Corp. * 1,249,500
54,700 Cellstar Corp. * 1,278,613
40,900 Electroglas, Inc. * 2,341,525
89,300 Electronics for Imaging, Inc. * 4,665,925
43,700 Kulicke & Soffa Industries, Inc. * 2,897,856
32,500 Presstek, Inc. * 1,657,500
41,200 Tencor Instruments 1,689,200
20,600 Xilinx, Inc. * 1,936,400
-----------
17,716,519
-----------
ENERGY - 7.00%
56,300 Asarco, Inc. 1,717,150
119,000 Benton Oil & Gas Co. * 1,651,125
58,700 Lyondell Petrochemical Co. 1,504,188
71,200 Occidental Petroleum Corp. 1,628,700
130,000 Oryx Energy Co. * 1,787,500
207,000 Pride Petroleum Services, Inc. * 1,552,500
63,800 Sonat Offshore Drilling, Inc. 1,834,250
86,800 USX-Marathon Group 1,714,300
-----------
13,389,713
-----------
CONSUMER STAPLES - 6.96%
74,500 Acme-Cleveland Corp. 1,760,063
42,200 Danaher Corp. 1,276,550
31,000 IBP, Inc. 1,348,489
79,000 Input/Output, Inc. * 2,844,000
93,200 Lydall, Inc. * 2,050,400
20,200 Philip Morris Cos., Inc. 1,502,375
37,900 Planar Systems, Inc. * 843,275
17,600 Springs Industries, Inc., Class A 655,600
89,500 Sterling Chemicals, Inc. * 1,040,438
-----------
13,321,190
-----------
</TABLE>
28 See Notes to Financial Statements.
----------------------------------------------------------
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
<S> <C> <C>
CHEMICALS AND DRUGS - 6.42%
32,600 Eastman Chemical, Inc. $ 1,939,700
62,600 Grand Casinos, Inc. * 2,214,475
162,400 Liposome, Inc. * 1,766,100
20,300 Novellus Systems, Inc. * 1,375,325
46,400 Sanmina Corp. * 1,763,200
52,600 Union Carbide Corp. 1,755,525
53,900 Wellman, Inc. 1,475,513
------------
12,289,838
------------
METALS AND MINING - 5.35%
43,200 Aluminum Company of America 2,165,400
60,700 J&L Specialty Steel, Inc. * 1,168,475
19,200 Phelps Dodge Corp. 1,132,800
57,500 Potash Corp. of Saskatchewan 3,212,813
21,700 Reynolds Metals Co. 1,122,975
31,100 Timken Co. 1,434,488
------------
10,236,951
------------
AEROSPACE-AIRLINES - 2.45%
40,600 Crane Co. 1,471,750
42,000 McDonnell Douglas Corp. 3,223,500
------------
4,695,250
------------
BUSINESS SERVICES - 1.48%
61,600 Manpower, Inc. 1,570,800
49,300 Robert Half International, Inc. * 1,263,313
------------
2,834,113
------------
FOOD SERVICES - 1.35%
69,100 Safeway, Inc. * 2,582,613
------------
TRANSPORTATION - 1.29%
68,300 Consolidated Freightways, Inc. 1,511,138
53,400 Yellow Corp. 967,875
------------
2,479,013
------------
BUILDING AND CONSTRUCTION - 1.02%
33,900 NCI Building Systems, Inc. 567,825
26,800 Olin Corp. 1,380,200
------------
1,948,025
------------
TOTAL COMMON STOCKS 189,131,819
------------
(Cost $146,607,146)
COMMERCIAL PAPER (A) - 1.05%
$2,000,000 Commerzbank U.S. Finance, Inc.
6.10%, 07/03/95 $ 1,999,322
------------
TOTAL COMMERCIAL PAPER 1,999,322
------------
(Cost $1,999,322)
SHARES
INVESTMENT COMPANIES - 0.79%
1,245,872 ILA Prime Obligation Money Market Fund 1,245,872
272,421 ILA Prime Obligation Portfolio Fund 272,421
------------
TOTAL INVESTMENT COMPANIES 1,518,293
------------
(Cost $1,518,293)
TOTAL INVESTMENTS - 100.64% 192,649,434
------------
(Cost $150,124,761)
NET OTHER ASSETS AND LIABILITIES - (0.64)% (1,218,174)
------------
NET ASSETS - 100.00% $191,431,260
------------
------------
<FN>
* Non income producing security.
(A) Annualized yields at time of purchase.
</TABLE>
See Notes to Financial Statements. 29
--------------------------------------------------------
<PAGE>
SELECT CAPITAL APPRECIATION
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 79.94%
CHEMICALS AND DRUGS - 15.24%
2,250 Amerisource Health Corp., Class A $ 51,328
9,825 American Oncology Resources, Inc. 272,644
2,025 Brady (WH) Co., Class A 137,700
3,350 Cardinal Health, Inc. 158,288
5,450 I-Stat Corp. 198,925
2,425 Intertape Polymer Group, Inc. * 56,988
525 Resmed, Inc. 6,300
15,975 Scherer (R.P.) Corp. * 674,944
1,375 Target Therapeutics, Inc. * 60,500
-----------
1,617,617
-----------
COMMUNICATIONS - 11.15%
2,500 Airtouch Communications, Inc. * 71,250
11,300 Arch Communications Group, Inc. * 251,425
6,150 CommNet Cellular, Inc. * 172,200
5,275 NEXTEL Communications, Inc. * 74,509
7,500 Nokia Corp., ADR 447,188
4,500 Paradigm Technology, Inc. 100,969
1,750 Vodafone Group, Plc, ADR 66,281
-----------
1,183,822
-----------
DURABLE GOODS - 9.44%
11,250 APS Holding Corp., Class A * 296,719
825 Crown Cork & Seal, Inc. * 41,353
8,150 Exide Corp. 350,450
700 General Motors Corp., Class E 30,450
2,025 Nike, Inc., Class B 170,100
3,825 Reynolds & Reynolds Co., Class A 112,838
-----------
1,001,910
-----------
CONSUMER STAPLES - 7.22%
3,900 American Standard Cos. * 106,763
11,300 Petco Animal Supply, Inc. * 262,725
3,225 Sealed air Corp. * 141,900
5,700 U.S. Can Corp. * 89,063
4,550 Viking Office Products, Inc. * 166,644
-----------
767,095
-----------
TECHNOLOGY - 7.01%
1,425 Dendrite International, Inc. 20,663
2,325 Discreet Logic, Inc. 48,825
6,450 First Data Corp. 366,844
4,000 Maxis, Inc. 106,500
950 Microcom, Inc. 14,250
2,350 Nexgen, Inc. 55,519
1,750 Seer Technologies, Inc. 31,500
3,175 Storemedia, Inc., Class A 100,013
-----------
744,114
-----------
FINANCIAL - 6.11%
475 American International Group, Inc. $ 54,150
4,425 APPS Dental, Inc. 92,925
1,300 Franklin Resources, Inc. 57,850
5,550 Insignia Financial Group, Inc., Class A * 148,463
850 North American Mortgage Co. 19,656
5,625 Progressive Corp. 215,859
2,200 Protective Life Corp. 59,950
-----------
648,853
-----------
HEALTH SERVICES - 4.91%
8,150 Horizon Healthcare Corp. * 145,681
6,000 Omnicare, Inc. 162,750
12,500 Quidel Corp. 62,500
10,800 TheraTech, Inc. * 149,850
-----------
520,781
-----------
METALS AND MINING - 4.50%
13,275 Minerals Technologies, Inc. 477,900
-----------
BUSINESS SERVICES - 4.26%
13,200 Paging Network, Inc. * 452,100
-----------
FOOD SERVICES - 3.47%
8,950 JP Foodservice, Inc. * 125,300
4,000 Lone Star Steakhouse & Saloon * 121,250
4,225 Outback Steakhouse, Inc. * 121,997
-----------
368,547
-----------
CONSUMER SERVICES - 2.10%
2,575 Hospitality Franchise Systems, Inc. 89,159
3,750 Loewen Group, Inc. 133,594
-----------
222,753
-----------
CONSUMER PRODUCTS 1.50%
1,350 Bowater, Inc., Plc, ADR 60,581
200 Department 56, Inc. * 7,650
5,725 Katz Media Group, Inc. 90,884
-----------
159,115
-----------
MISCELLANEOUS - 1.25%
7,725 Act Networks, Inc. 133,256
-----------
RETAIL - 1.15%
4,850 AutoZone, Inc. * 121,856
-----------
ELECTRONICS - 0.63%
3,625 Opal, Inc. 67,063
-----------
TOTAL COMMON STOCKS 8,486,782
-----------
(Cost $7,524,879)
</TABLE>
30 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
SELECT CAPITAL APPRECIATION
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS - 3.60%
2,296 Huhtamaki I (Finland) $ 75,146
2,960 Kinnevik Ab-B Free Shares (Switzerland) 90,244
4,078 Thorn Emi, Plc (United Kingdom) 84,664
15,493 Wetherspoon (J.D.) Plc (United Kingdom) 132,602
-----------
TOTAL FOREIGN COMMON STOCKS 382,656
-----------
(Cost $391,676)
PAR VALUE
---------
U.S. GOVERNMENT BACK BONDS - 11.25%
$1,200,000 Federal Home Loan Bank (A)
5.84%, 07/31/95 1,194,160
-----------
TOTAL U.S. GOVERNMENT BACK BONDS 1,194,160
-----------
(Cost $1,194,160)
COMMERCIAL PAPER (A) - 9.41%
$ 500,000 Ford Motor Credit Corp.
6.05%, 07/03/95 $499,832
500,000 General Electric Capital Corp.
6.10%, 07/03/95 499,831
-----------
TOTAL COMMERCIAL PAPER 999,663
-----------
(Cost $999,663)
TOTAL INVESTMENTS - 104.20% 11,063,261
-----------
(Cost $10,110,378)
NET OTHER ASSETS AND LIABILITIES - (4.20)% (446,244)
-----------
NET ASSETS - 100.00% $10,617,017
-----------
-----------
----------------------------------------------------
<FN>
* Non income producing security.
(A) Annualized yields at time of purchase.
ADR American Depository Receipt
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS SOLD
<TABLE>
<CAPTION>
CONTRACTS TO SETTLEMENT CONTRACTS AT IN EXCHANGE APPRECIATION
PAR VALUE DELIVER DATES VALUE FOR U.S. $ (DEPRECIATION)
--------- ------------ ---------- ------------ ----------- --------------
<S> <C> <C> <C> <C> <C>
1,029,000 FIM 08/15/95 $ 240,870 $ 231,587 $ (9,283)
88,000 GBP 08/15/95 139,828 137,262 (2,566)
632,000 SEK 08/15/95 86,426 84,845 (1,581)
----------- ----------- -----------
$ 467,124 $ 453,694 $ (13,430)
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See Notes to Financial Statements. 31
---------------------------------------------------------
<PAGE>
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.50%
DURABLE GOODS - 22.00%
23,880 Baldor Electric Co. $ 683,565
37,500 Carlisle Cos., Inc. 1,434,375
12,500 Fluke Corp. 525,000
37,000 Herman Miller, Inc. * 915,750
35,000 Huffy Corp. 455,000
52,000 Kennametal, Inc. 1,833,000
51,700 M.A. Hanna Co. 1,344,200
10,000 National Presto Industries, Inc. 453,750
12,700 Nellcor, Inc. * 571,500
29,100 Precision Castparts Corp. 1,022,138
18,400 Toro Co. 515,200
37,000 Wallace Computer Services, Inc. 1,419,875
19,900 West, Inc. 557,200
-----------
11,730,553
-----------
CONSUMER PRODUCTS - 17.69%
137,000 Cash America Investment, Inc. 1,010,375
52,800 Commerce Clearing House, Inc., Class B 1,148,400
56,900 Fingerhut Cos., Inc. 889,063
28,000 First Brands Corp. 1,200,500
16,000 King World Productions, Inc. * 648,000
24,500 La-Z Boy Chair Co. 646,188
33,000 Lee Enterprises, Inc. 1,258,125
29,600 MagneTek, Inc. * 403,300
45,710 Mosinee Paper Corp. 982,765
30,700 Paragon Trade Brands, Inc. * 441,313
48,000 Seal Right Co., Inc. 804,000
-----------
9,432,029
-----------
RETAIL - 8.32%
81,500 Consolidated Stores Corp. * 1,701,313
26,000 Hannaford Brothers Co. 741,000
32,050 Rykoff-Sexton, Inc. 564,881
10,000 Vons Cos., Inc. * 201,250
82,500 Waban, Inc. * 1,227,188
-----------
4,435,632
-----------
AUTOMOTIVE PARTS - 6.77%
41,000 Apogee Enterprises, Inc. 727,750
23,000 Arvin Industries, Inc. 514,625
61,000 Intermet Corp. * 579,500
35,900 Modine Manufacturing Co. 1,319,325
26,000 Walbro Corp. 468,000
-----------
3,609,200
-----------
FINANCIAL - 6.25%
21,000 Arthur J. Gallagher & Co. 763,875
31,750 First Commercial Corp. 809,625
24,400 FirsTier Financial, Inc. 896,700
FINANCIAL (CONTINUED)
20,100 NYMAGIC, Inc. $ 319,088
30,000 Primark Corp. * 543,750
-----------
3,333,038
-----------
ENERGY - 5.84%
31,000 Cabot Oil & Gas Corp., Class A 426,250
63,500 California Energy Co., Inc. * 1,039,813
37,400 Devon Energy Corp. 804,100
102,000 Nabors Industries, Inc. * 841,500
-----------
3,111,663
-----------
CHEMICALS AND DRUGS - 5.15%
32,000 Alberto-Culver Co., Class A 824,000
48,000 Armor All Products Corp. 828,000
11,100 Brady (W.H.) Co. * 754,800
12,000 Helene Curtis Industries, Inc. 342,000
-----------
2,748,800
-----------
METALS AND MINING - 4.76%
35,300 Brush Wellman, Inc. 754,538
44,000 Indresco Inc. * 682,000
48,000 Trimas Corp. 1,104,000
-----------
2,540,538
-----------
TRANSPORTATION - 4.48%
27,400 Overseas Shipholding Group, Inc. 568,550
24,000 Standard Products Co. 522,000
39,100 Trinity Industries, Inc. 1,300,069
-----------
2,390,619
-----------
BUILDING AND CONSTRUCTION - 3.65%
80,100 Southdown, Inc. * 1,531,913
35,100 Wolohan Lumber Co. 412,425
-----------
1,944,338
-----------
TECHNOLOGY - 3.40%
50,000 Gerber Scientific, Inc. 837,500
15,000 Octel Communication Corp. 438,750
25,000 Scitex Corp., Ltd 537,500
-----------
1,813,750
-----------
RECREATIONAL EQUIPMENT - 3.24%
17,650 Anthony Industries, Inc. 324,319
43,000 Sturm Ruger & Co., Inc. 1,402,875
-----------
1,727,194
-----------
</TABLE>
32 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES - 2.05%
57,800 True North Communications, Inc. $ 1,090,975
-----------
ELECTRICAL - 1.90%
63,500 Juno Lighting, Inc. 1,016,000
-----------
TOTAL COMMON STOCKS 50,924,329
-----------
(Cost $47,994,439)
INVESTMENT COMPANIES - 1.99%
403,863 ILA Prime Obligation Money Market Fund 403,863
658,880 ILA Prime Obligation Portfolio Fund 658,880
-----------
TOTAL INVESTMENT COMPANIES 1,062,743
-----------
(Cost $1,062,743)
TOTAL INVESTMENTS - 97.49% 51,987,072
-----------
(Cost $49,057,182)
NET OTHER ASSETS AND LIABILITIES - 2.51% 1,335,935
-----------
NET ASSETS - 100.00% $53,323,007
-----------
-----------
<FN>
-----------------------------------
* Non-income producing security
</TABLE>
See Notes to Financial Statements. 33
--------------------------------------------------------
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 90.38%
DURABLE GOODS - 18.61%
58,900 Airtouch Communications, Inc. * $ 1,678,650
8,400 AlliedSignal, Inc. 373,800
7,000 American Mobile Earth Satellites, Inc. * 183,750
25,900 Armstrong World Industries, Inc. 1,298,238
30,600 Beckman Instruments, Inc. 852,975
3,600 Broderbund Software, Inc. 229,500
4,000 Ceridian Corp. 147,500
41,800 Chrysler Corp. 2,001,175
5,700 CIDCO, Inc. * 178,838
68,300 Compaq Computer Corp. * 3,099,113
51,000 Cummins Engine Co., Inc. 2,224,875
6,500 Deere & Co. 556,563
22,400 Eaton Corp. 1,302,000
12,300 Federal Express Corp. * 747,225
10,600 Gartner Group Inc., Class A* 307,400
129,900 General Electric Co. 7,323,113
166,700 General Motors Corp. 7,814,063
2,850 Glenayre Technologies Inc. 145,350
7,300 Globalstar Telecommunication, Ltd.* 96,725
110,300 Goodyear Tire & Rubber Co. 4,549,875
72,600 Intel Corp. 4,596,488
23,200 ITT Corp. 2,726,000
1,500 Kemet Corp. * 78,750
6,600 Legent Corp. * 288,750
7,990 Lockheed Corp. 504,369
4,200 LSI Logic Corp. 164,325
155,700 MCI Communications Corp. 3,425,400
28,300 Motorola, Inc. 1,899,638
28,500 National Semiconductor Corp.* 790,875
4,800 Network Peripherals Inc.* 104,700
2,500 Nokia Corp., ADR 149,063
12,300 Novell, Inc. * 245,231
26,300 Officemax, Inc. * 733,113
33,900 Oracle Corp.* 1,309,388
14,400 PHH Corp. 640,800
16,400 Reebok International, Ltd. 557,600
25,200 Ryder Systems, Inc. 601,650
102,300 Seagate Technology, Inc. * 4,015,275
121,600 Sprint Corp. 4,088,800
12,400 Standard Register Co. 235,600
2,800 Stratacom, Inc.* 136,500
45,700 Sun Microsystems, Inc. * 2,216,450
5,000 Tellabs, Inc. * 240,625
36,300 Texas Instruments, Inc. 4,859,663
47,600 Textron, Inc. 2,766,750
11,900 Trinova Corp. 416,500
1,600 U.S. Robotics Corp. * 174,400
31,600 Western Digital Corp. * 549,050
-----------
73,626,481
-----------
FINANCIAL - 13.42%
48,600 Aetna Life & Casualty Co. $ 3,055,725
21,600 American General Corp. 729,000
12,000 Bank of Boston Corp. 450,000
7,300 Boatmens Bancshares, Inc. 257,325
17,500 Capital One Financial Corp. * 341,250
141,500 Chemical Banking Corp. 6,685,875
46,200 Citicorp 2,673,825
8,300 Crestar Financial Corp. 406,700
20,500 Crown American Realty Corp. 258,813
42,700 Debartolo Realty Corp. 624,488
17,600 Developers Diversified Realty Co. 506,000
33,700 Federal Home Loan Mortgage Corp. 2,316,875
67,300 Federal National Mortgage Association 6,351,438
33,600 First American Bank Corp. 1,247,400
25,600 First Union Corp. 1,158,400
33,800 Florida Progress Corp. 1,056,250
4,500 Franklin Resources, Inc. 200,250
4,400 Healthcare Compare Corp. * 132,000
71,000 Humana, Inc. 1,251,375
7,100 Integra Financial Corp. 345,238
15,900 Kimco Realty Corp. 604,200
10,400 Mercantile Bancorp., Inc. 466,700
5,800 Mutual Risk Management, Ltd. 194,300
25,100 National Golf Properties, Inc. 527,100
76,948 NationsBank Corp. 4,126,337
2,800 Northern Trust Corp. 112,700
5,000 Pinnacle West Capital 122,500
24,300 Post Properties, Inc. 735,075
23,100 Providan Corp. 837,375
93,900 Rjr Nabisco Holdings Corp. 2,617,463
2,600 SAFECO Corp. 149,338
7,700 Security Capital Industrial Trust 125,125
46,363 Security Capital Pacific Trust 805,557
9,300 Shawmut National Corp. 296,438
8,600 Signet Banking Corp. 188,125
6,400 Sirrom Capital Corp. * 86,000
5,600 Stewart Enterprises, Inc., Class A 187,600
72,398 Student Loan Marketing Association 3,393,656
13,100 St. Paul Cos., Inc. 645,175
4,600 Tanger Factory Outlet Centers, Inc. 116,725
5,100 TCF Financial Corp. 242,250
44,496 TransAmerica Corp. 2,591,892
53,300 U.S. Healthcare, Inc. 1,632,313
39,600 United Dominion Realty Trust, Inc. 584,100
56,000 UST, Inc. 1,666,000
-----------
53,102,271
-----------
CHEMICALS AND DRUGS - 12.42%
9,000 Airgas, Inc. * 241,875
56,400 Allergan, Inc. 1,529,850
38,100 American Home Products Corp. 2,947,988
33,500 Avon Products, Inc. 2,244,500
110,000 Baxter International, Inc. 4,001,250
</TABLE>
34 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
CHEMICALS AND DRUGS (CONTINUED)
56,100 Becton, Dickinson & Co. $ 3,267,825
101,040 Bristol-Myers Squibb Co. 6,883,350
11,400 Cabot Corp. 601,350
2,800 Cardinal Health, Inc. 132,300
1,700 Cordis Corp. * 113,475
120,900 DuPont (E.I.) DeNemours & Co.* 8,311,875
1,550 Eastman Chemical, Inc. 92,225
5,500 FMC Corp. * 369,875
13,800 Foundation Health Corp. * 372,600
46,600 Grace (W.R.) & Co. 2,860,075
16,487 Health Management Associates, Inc., Class A * 482,245
2,400 Healthsource, Inc. * 84,000
56,500 Johnson & Johnson, Inc. 3,820,813
14,200 Lincare Holdings, Inc.* 377,188
16,900 Mallinckrodt Group, Inc. 599,950
14,300 Monsanto Co. 1,288,788
7,100 North American Biological, Inc. * 66,563
22,500 NovaCare, Inc. * 182,813
10,600 OrNda Healthcorp* 181,525
12,100 Premark International, Inc. 627,688
12,800 Rhone-Poulenc Rorer, Inc. 523,200
13,600 Rohm & Haas Co. 746,300
8,400 Sun Healthcare Group, Inc.* 132,300
7,200 Vivra, Inc.* 195,300
67,800 Warner-Lambert Co. 5,856,225
-----------
49,135,311
-----------
ENERGY - 9.85
53,800 Amoco Corp. 3,584,425
39,600 Atlantic Richfield Co. 4,346,100
47,300 British Petroleum Plc, ADR 4,050,063
45,800 Burlington Resources, Inc. 1,688,875
44,400 Chevron Corp. 2,070,150
72,300 Coastal Corp. 2,196,113
50,300 El Paso Natural Gas Co. 1,433,550
12,100 Mapco, Inc. 701,800
57,100 Mobil Corp. 5,481,600
48,000 Royal Dutch Petroleum Co., ADR 5,850,000
24,728 Santa Fe Pacific Corp. * 630,564
68,400 Tenneco, Inc. 3,146,400
29,200 Ultramar Corp. 737,300
89,000 Unocal Corp. 2,458,625
8,900 Williams Cos., Inc. 310,388
15,600 YPF Sociedad Anonima, ADR 294,450
-----------
38,980,403
-----------
CONSUMER PRODUCTS - 9.16%
31,900 Anheuser Busch Cos., Inc. 1,814,313
129,800 Archer Daniels Midland Co. 2,417,525
7,000 Barnes & Noble Inc. * 238,000
59,400 Campbell Soup Co. 2,910,600
22,900 Capital Cities/ABC, Inc. 2,401,638
CONSUMER PRODUCTS (CONTINUED)
8,900 Cintas Corp. $315,950
57,300 Circuit City Stores, Inc. 1,812,113
34,200 Colgate Palmolive Co. 2,500,875
8,050 Comcast Corp., Class A 149,428
25,700 Eastman Kodak Co. 1,558,063
3,100 Echostar Communications 47,275
24,200 Georgia Pacific Corp. 2,099,350
9,100 Gymboree Corp.* 264,469
206,600 Limited, Inc. 4,545,200
27,100 Liz Claiborne, Inc. 575,875
10,250 Nelson (Thomas), Inc. * 197,313
28,000 Office Depot, Inc. * 787,500
52,900 Procter & Gamble Co. 3,802,188
22,700 Scitex Corp., Ltd 488,050
62,800 Scott Paper Co. 3,108,600
136,617 Tele-Communications, Inc., Class A* 3,201,961
10,800 United International Holdings, Inc. Class A* 180,900
18,000 Venture Stores, Inc. 177,750
4,300 Videotron Holdings Plc, ADR* 60,200
6,100 Weyerhaeuser Co. 287,463
5,700 Whirlpool Corp. 313,500
-----------
36,256,099
-----------
UTILITIES - 8.18%
96,800 American Telephone and Telegraph Corp. 5,142,500
27,000 Central Maine Power Co. 320,625
33,600 Consolidated Edison Co., Inc. 991,200
93,300 Entergy Corp. 2,250,863
21,400 General Public Utilities Corp.* 636,650
102,600 GTE Corp. 3,501,225
28,300 Houston Industries, Inc. 1,192,138
25,900 Long Island Lighting Co. 401,450
8,900 New York State Electric & Gas Corp. 208,038
90,100 Ohio Edison Co. 2,038,513
71,300 Pacific Gas and Electric Co. 2,067,700
18,800 PacifiCorp 352,500
81,500 PECO Energy Corp. 2,251,438
38,800 Public Service Enterprise Group, Inc. 1,076,700
84,100 SBC Communications, Inc. * 4,005,263
35,400 Texas Utilities Co. 1,216,875
85,200 Unicom Corp. 2,268,450
86,400 WMX Technologies, Inc. 2,451,600
-----------
32,373,728
-----------
CONSUMER STAPLES - 7.76%
81,312 Columbia/HCA-Healthcare Corp. 3,516,744
31,400 Cott Corp. 368,950
7,000 Danaher Corp. 211,750
45,700 Minnesota Mining & Manufacturing Co. 2,616,325
171,600 Pepsico, Inc. 7,829,250
114,000 Philip Morris Cos., Inc. 8,478,750
5,000 Rotech Medical Corp. * 138,724
</TABLE>
See Notes to Financial Statements. 35
---------------------------------------------------------
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
9,600 Springs Industries, Inc., Class A $ 357,600
4,200 Sunglass Hut International Inc. 147,000
23,400 Tokos Medical Corp. * 172,575
28,000 Unilever NV, ADR 3,643,500
4,100 Universal Foods Corp. 132,738
53,600 VF Corp. 2,881,000
5,900 Viking Office Products, Inc. * 216,088
-----------
30,710,994
-----------
COMMUNICATIONS - 2.91%
32,900 ALC Communications Corp. * 1,484,613
3,400 Cellular Communications, Class A * 154,700
74,900 Exel, Limited 3,894,800
7,300 General Cable Plc, ADR * 108,588
11,700 International Cabletel, Inc. * 380,250
4,000 LIN Television Corp. 134,500
98,300 News Corp., ADR 1,966,000
10,600 Nynex Cablecomms Group 214,650
83,451 Vodafone Group Plc, ADR 3,160,707
-----------
11,498,808
-----------
AEROSPACE-AIRLINES - 2.56%
49,200 AMR Corp. * 3,671,550
6,400 Raytheon Co. 496,800
10,300 Rockwell International Corp. 471,225
70,300 United Technologies Corp. 5,492,188
-----------
10,131,763
-----------
RETAIL - 1.93%
4,700 Dayton Hudson Corp. 337,225
25,000 Dillard Department Stores, Inc., Class A 734,375
64,000 Kroger Co.* 1,720,000
12,700 Melville Corp. 434,975
11,100 Sears, Roebuck & Co. 664,613
140,300 Wal-Mart Stores, Inc. 3,753,025
-----------
7,644,213
-----------
TRANSPORTATION - 1.14%
49,000 Burlington Northern, Inc. 3,105,375
19,000 CSX Corp. 1,427,375
-----------
4,532,750
-----------
BUILDING AND CONSTRUCTION - 0.82%
79,566 Home Depot, Inc. 3,232,369
-----------
FOOD SERVICES - 0.62%
9,500 Boston Chicken, Inc.* 229,781
4,500 Papa Johns International, Inc.* 157,500
115,900 Wendys International, Inc. 2,071,713
-----------
2,458,994
-----------
CONSUMER SERVICES - 0.62%
10,100 Bard (C.R.), Inc. $ 303,000
5,300 Hospitality Franchise Systems, Inc. 183,513
6,700 La Quinta Inns, Inc. 180,900
7,350 Paychex, Inc. 266,438
48,200 Service Corp. International 1,524,325
-----------
2,458,176
-----------
BUSINESS SERVICES - 0.20%
9,650 FISERV, Inc. * 271,406
5,800 Olsten Corp. 189,950
9,900 Paging Network, Inc. * 339,075
-----------
800,431
-----------
METALS AND MINING - 0.18%
24,800 Cyprus-Amax Minerals Co. 706,800
-----------
TOTAL COMMON STOCKS 357,649,591
-----------
(Cost $300,289,553)
PAR VALUE
CORPORATE NOTES AND BONDS - 1.77%
$2,000,000 Bear Stearns Cos., Mtn
5.63%, 12/29/95 (B) 1,997,040
5,000,000 Seariver Maritime Financial Holdings, Inc.
6.13%, 10/01/11 (B) 4,999,965
700 Time Warner, Inc., Subordinate Debenture
8.75%, 01/10/15 729
-----------
TOTAL CORPORATE NOTES AND BONDS 6,997,734
-----------
(Cost $6,997,738)
COMMERCIAL PAPER (A) - 4.51%
2,000,000 American Honda Finance Corp.
5.97%, 07/10/95 1,997,015
4,000,000 American Honda Finance Corp.
6.04%, 08/22/95 3,965,102
2,000,000 B.I. Funding, Inc.
6.00%, 07/21/95 1,993,333
3,500,000 Galacia Funding Corp.
5.75%, 11/20/95 3,420,618
2,500,000 NationsBank Corp.
6.00%, 10/02/95 2,500,000
2,000,000 Reckitt & Coleman, Inc.
6.10%, 07/05/95 1,998,644
2,000,000 Yale University
5.72%, 10/16/95 1,965,998
-----------
TOTAL COMMERCIAL PAPER 17,840,710
-----------
(Cost $17,840,710)
</TABLE>
36 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT - 2.52%
$10,000,000 Bear Stearns
6.06%, Due 07/10/95, Dated 06/13/95
Maturity Value $ 10,045,450
(Collaterized by U.S. Government Backed
Security, 7.67%, maturing in 2025;
Par Value $10,250,580,
Market Value $10,204,914) $ 10,000,000
------------
TOTAL REPURCHASE AGREEMENT 10,000,000
------------
(Cost $10,000,000)
SHARES
INVESTMENT COMPANIES - 1.06%
23,843 Goldman Sachs Financial Square Pop 23,843
4,159,597 Lehman Brothers Prime Fund,Class A 4,159,597
------------
TOTAL INVESTMENT COMPANIES 4,183,440
------------
(Cost $4,183,440)
TOTAL INVESTMENTS - 100.24% 396,671,475
------------
(Cost $339,311,441)
NET OTHER ASSETS AND LIABILITIES - (0.24)% (956,830)
------------
NET ASSETS - 100.00% $395,714,645
------------
------------
<FN>
* Non-income producing security
(A) Annualized yields at time of purchase.
(B) Interest is reset at various time intervals.
ADR American Depository Receipt
MTN Medium Term Note
</TABLE>
See Notes to Financial Statements. 37
---------------------------------------------------------
<PAGE>
SELECT GROWTH FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 97.13%
TECHNOLOGY - 20.71%
18,800 Automatic Data Processing, Inc. $ 1,182,050
27,750 Cabletron Systems, Inc. * 1,477,688
34,100 CISCO Systems, Inc. * 1,724,181
39,700 Computer Associates International, Inc 2,689,675
18,600 Computer Sciences Corp. * 1,057,875
46,600 First Data Corp. 2,650,375
79,000 Informix Corp. * 2,004,625
94,800 Nokia Corp., ADR * 5,652,450
139,700 Oracle Corp. * 5,395,913
21,000 3COM Corp. 1,407,000
-----------
25,241,832
-----------
ELECTRONICS - 19.16%
63,000 Analog Devices, Inc. * 2,142,000
29,700 Hewlett Packard Co. 2,212,650
91,200 Intel Corp. 5,774,100
61,000 Microsoft Corp. * 5,512,875
20,625 Molex, Inc., Class A 752,813
81,500 Motorola, Inc. 5,470,688
41,900 Sensormatic Electronics Corp. 1,487,450
-----------
23,352,576
-----------
CONSUMER PRODUCTS - 12.42%
13,100 Alco Standard Corp. 1,046,363
33,850 Andrew Corp. * 1,959,069
24,400 Applied Materials, Inc. * 2,113,650
25,000 ASM Lithography 896,875
64,900 British Sky Broadcasting Group, ADR 1,695,513
41,600 Capital Cities/Abc, Inc. 4,362,800
24,200 Gillette Co. 1,079,925
70,500 Office Depot, Inc. * 1,982,813
-----------
15,137,008
-----------
FINANCIAL - 12.14%
11,800 American International Group, Inc. 1,345,200
16,600 Federal Home Loan Mortgage Corp. 1,141,250
24,400 Federal National Mortgage Association 2,302,750
35,200 FINOVA Group, Inc. 1,232,000
23,600 First Financial Management Corp. 2,017,800
34,900 First USA, Inc. 1,548,688
86,750 MBNA Corp. 2,927,813
35,700 MGIC Investment Corp. 1,673,438
13,800 PMI Group, Inc. * 598,575
-----------
14,787,514
-----------
COMMUNICATIONS - 6.07%
20,000 ALC Communications Corp. * $ 902,500
244,000 Ericsson LM Telephone Co., Class B, ADR * 4,880,000
42,100 General Instrument Corp. * 1,615,588
-----------
7,398,088
-----------
CONSUMER SERVICES - 5.58%
44,700 Circus Circus Enterprises, Inc. * 1,575,675
27,800 Hospitality Franchise Systems, Inc. 962,575
53,400 Loewen Group, Inc. 1,902,375
17,700 Paychex Inc. 641,625
32,000 Tyco International, Ltd. 1,728,000
-----------
6,810,250
-----------
HEALTH SERVICES - 5.36%
27,900 Cardinal Health, Inc. 1,318,275
5,800 Humana, Inc. * 102,225
32,000 Medtronic, Inc. 2,468,000
43,700 Quorom Health Group, Inc. * 884,925
12,400 St. Jude Medical, Inc. 621,550
27,300 United Healthcare Corp. 1,129,538
-----------
6,524,513
-----------
ELECTRICAL, GAS AND SANITARY - 4.79%
34,000 Browning-Ferris Industries, Inc. 1,228,250
130,900 Enron Corp. 4,597,863
-----------
5,826,113
-----------
RETAIL - 3.21%
60,100 AutoZone, Inc. * 1,510,013
89,700 Wal-Mart Stores, Inc. 2,399,475
-----------
3,909,488
-----------
CHEMICALS AND DRUGS - 2.64%
21,200 Air Products & Chemicals, Inc. 1,181,900
12,000 Pfizer, Inc. 1,108,500
21,800 Scherer (R.P.) Corp. * 921,050
-----------
3,211,450
-----------
BUILDING AND CONSTRUCTION - 2.58%
53,533 Home Depot, Inc. 2,174,778
32,400 Lowe's Cos., Inc. 967,943
-----------
3,142,721
-----------
AEROSPACE-AIRLINES - 1.46%
28,400 Boeing Co. 1,778,550
-----------
FOOD SERVICES - 1.01%
31,600 McDonald's Corp. 1,236,350
-----------
TOTAL COMMON STOCKS 118,356,453
-----------
(Cost $94,160,883)
</TABLE>
38 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
SELECT GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER (A) - 2.46%
$3,000,000 Ford Motor Credit Corp.
5.97%, 07/19/95 $ 3,000,000
-----------
TOTAL COMMERCIAL PAPER 3,000,000
-----------
(Cost $3,000,000)
SHARES
INVESTMENT COMPANIES - 2.01%
2,445,697 ILA Prime Obligation Portfolio Fund 2,445,697
-----------
TOTAL INVESTMENT COMPANIES 2,445,697
-----------
(Cost $2,445,697)
TOTAL INVESTMENTS - 101.60% 123,802,150
-----------
(Cost $99,606,580)
NET OTHER ASSETS AND LIABILITIES - (1.60)% (1,948,863)
-----------
NET ASSETS - 100.00% $121,853,287
-----------
-----------
<FN>
---------------------------------------
* Non income producing security.
(A) Annualized yield at time of purchase.
ADR American Depository Receipt
</TABLE>
See Notes to Financial Statements. 39
--------------------------------------------------------
<PAGE>
SELECT GROWTH AND INCOME FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 92.19%
FINANCIAL - 19.17%
48,000 American Express Co. $ 1,686,000
74,800 Bank of New York, Inc. 3,020,050
40,000 Chase Manhattan Corp. 1,880,000
91,400 Citicorp 5,289,775
22,700 ITT Corp. 2,667,250
22,300 Kemper Corp. 1,039,738
14,200 Marsh & McLennan Co. 1,151,975
90,000 Northern Trust Corp. 3,622,500
47,700 RJR Nabisco Holdings Corp. 1,329,638
82,000 TIG Holdings, Inc. 1,886,000
14,000 Unitrin, Inc. 665,000
47,000 Unum Corp. 2,203,125
57,200 U.S. West, Inc. 2,380,950
-----------
28,822,001
-----------
CONSUMER PRODUCTS - 15.00%
41,000 Eastman Kodak Co. 2,485,625
28,100 LIN Broadcasting Corp. 3,554,650
45,800 Nabisco Holdings Corp., Class A * 1,236,600
43,000 New York Times Co., Class A 1,010,500
22,600 NYNEX Cablecomms Group, ADR 457,650
31,100 Philip Morris Cos., Inc. 2,313,063
71,400 Seagram Co., Ltd. 2,472,225
30,000 Tele-Communications, Inc., Class A * 703,125
45,000 Time Warner, Inc. 1,850,625
137,267 Times Mirror Co., Series A 3,277,250
61,000 Viacom, Inc., Class B * 2,828,875
248,700 Viacom, Inc., Rights 357,506
-----------
22,547,694
-----------
CHEMICALS AND DRUGS - 10.84%
45,000 ALZA Corp. * 1,051,875
17,900 American Home Products Corp. 1,385,013
38,800 Avon Products, Inc. 2,599,600
53,500 Baxter International, Inc. 1,946,063
161,000 Caremark International, Inc. 3,220,000
5,200 Dow Chemical Co. 373,750
41,000 Foundation Health Corp. * 1,107,000
4,900 Johnson & Johnson, Inc. 331,363
33,800 Monsanto Co. 3,046,225
14,300 Warner-Lambert Co. 1,235,163
-----------
16,296,052
-----------
DURABLE GOODS - 9.56%
19,500 Caterpillar, Inc. 1,252,875
55,300 General Electric Co. 3,117,538
72,000 Litton Industries, Inc. * 2,654,992
139,900 McDermott International, Inc. 3,375,087
40,800 Rubbermaid, Inc. 1,132,200
18,000 Xerox Corp. 2,110,500
50,000 Westinghouse Electric Corp. 731,250
-----------
14,374,442
-----------
AUTOMOTIVE - 8.09%
10,500 Chrysler Corp. 502,688
33,500 Exide Corp. 1,440,500
90,100 Federal-Mogul Corp 1,644,325
100,000 Ford Motor Co. 2,975,000
12,400 General Motors Corp. 581,250
85,200 General Motors Corp., Class E 3,706,200
33,400 General Motors, Class H 1,319,300
-----------
12,169,263
-----------
AEROSPACE-AIRLINES - 5.97%
56,100 AlliedSignal, Inc. 2,496,450
28,600 Boeing Co. 1,791,075
35,000 Lockheed Martin Corp. 2,209,375
41,600 Sundstrand Corp. 2,485,600
-----------
8,982,500
-----------
ENERGY - 5.75%
48,200 Amerada Hess Corp. 2,355,775
65,400 J Ray Mcdermott S.A. * 1,446,975
38,400 Tenneco, Inc. 1,766,400
36,000 Unocal Corp. 994,500
47,100 USX-Marathon Group 930,225
25,900 Western Atlas, Inc. * 1,149,313
-----------
8,643,188
-----------
TECHNOLOGY - 5.54%
18,900 Adaptec, Inc. * 699,300
95,800 Honeywell, Inc. 4,131,375
19,000 International Business Machines Corp. 1,824,000
48,500 MFS Communications, Series A * 1,673,250
-----------
8,327,925
-----------
HOTELS - 3.79%
364,300 Host Marriott Corp. * 3,870,688
50,900 Marriott International, Inc. 1,826,038
-----------
5,696,726
-----------
UTILITIES - 3.22%
40,500 American Telephone and Telegraph Corp. 2,151,563
21,100 NYNEX Corp. 849,275
64,700 WMX Technologies, Inc. 1,835,863
-----------
4,836,701
-----------
</TABLE>
40 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
SELECT GROWTH AND INCOME FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
METALS AND MINING - 1.77%
30,500 Molten Metal Technology, Inc. * $ 709,125
33,000 Phelps Dodge Corp. 1,947,000
------------
2,656,125
------------
RETAIL - 1.73%
37,500 Sears, Roebuck & Co. 2,245,313
12,300 Toys 'R' Us, Inc. * 359,775
------------
2,605,088
------------
TRANSPORTATION - 0.85%
20,100 Burlington Northern, Inc. 1,273,838
------------
BUILDING AND CONSTRUCTION - 0.73%
61,000 Rauma Oy, ADR 1,098,000
------------
REAL ESTATE - 0.18%
18,200 Mcarthur/Glen Realty Corp., REIT 266,175
------------
TOTAL COMMON STOCKS 138,595,718
------------
(Cost $126,461,558)
PREFERRED STOCK - 0.28%
17,733 Times Mirror Co.,Series B 423,375
------------
TOTAL PREFERRED STOCK 423,375
------------
(Cost $399,403)
PAR VALUE
CORPORATE BONDS - 3.33%
$3,900,000 Roche Holdings, Inc.
1.00%, 04/20/10 (B) 1,550,250
1,429,000 Champion International Corp.
Subordinated Debenture
6.50%, 04/15/11 2,100,630
1,150,000 Pennzoil Co., Senior Debenture
6.50%, 01/15/03 1,362,750
------------
TOTAL CORPORATE BONDS 5,013,630
------------
(Cost $4,374,673)
COMMERCIAL PAPER (A) - 1.66%
2,500,000 Reckitt & Coleman, Inc.
6.05%, 07/24/95 2,490,337
------------
TOTAL COMMERCIAL PAPER 2,490,337
------------
(Cost $2,490,337)
INVESTMENT COMPANIES - 3.19%
4,353,581 Lehman Brothers Prime Fund, Class A $ 4,353,581
445,000 Temporary Investment Fund, Class B 445,000
------------
TOTAL INVESTMENT COMPANIES 4,798,581
------------
(Cost $4,798,581)
CONTRACTS
PURCHASED OPTIONS - 0.02%
75 Boeing Co. Put, $65.00, 07/22/95 19,219
100 Avon Products Put, $65.00, 08/19/95 10,000
------------
TOTAL PURCHASED OPTIONS 29,219
------------
(Premium Paid $39,141)
TOTAL INVESTMENTS - 100.67% 151,350,860
------------
(Cost $138,563,693)
NET OTHER ASSETS AND LIABILITIES - (0.67)% (1,007,597)
------------
NET ASSETS - 100.00% $150,343,263
------------
------------
<FN>
* Non income producing security.
(A) Annualized yield at time of purchase.
(B) Interest is reset at various time intervals.
ADR American Depository Receipt
REIT Real Estate Investment Trust
</TABLE>
See Notes to Financial Statements. 41
---------------------------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.92%
DURABLE GOODS - 15.00%
8,100 AirTouch Communications, Inc. * $ 230,850
800 Alco Standard Corp. 63,900
2,800 Alltel Corp. 71,050
8,200 Ameritech Corp. 360,800
4,600 AMP, Inc. 194,350
1,600 Avery Dennison Corp. 64,000
3,800 Baker Hughes, Inc. 77,900
5,100 Biomet, Inc. * 79,050
4,300 Caterpillar, Inc. 276,275
5,400 Chrysler Corp. 258,525
1,400 Cooper Industries, Inc. 55,300
1,900 Cooper Tire & Rubber Co. 46,313
2,600 Corning, Inc. 85,150
1,100 Crown Cork & Seal, Inc. * 55,138
800 Cummins Engine Co., Inc. 34,900
3,500 Dana Corp. 100,188
1,000 Deere & Co. 85,625
1,750 Dominion Resources, Inc. 63,875
1,000 Eaton Corp. 58,125
1,800 Echlin, Inc. 62,550
1,500 EG & G, Inc. 25,125
3,200 Emerson Electric Co. 228,800
2,700 Fleetwood Enterprises, Inc. 53,325
22,500 Ford Motor Co. 669,375
38,800 General Electric Co. 2,187,350
11,000 General Motors Corp. 515,625
1,600 General Signal Corp. 63,600
1,400 Genuine Parts Co. 53,025
600 Goodrich (B.F.) Co. 32,175
1,900 Goodyear Tire & Rubber Co. 78,375
900 Grainger (W.W.), Inc. 52,875
2,000 Harris Corp. 103,250
500 Helmerich & Payne, Inc. 14,750
11,800 Hewlett-Packard Co. 879,100
1,700 Illinois Tool Works, Inc. 93,500
700 Ingersoll Rand Co. 26,775
1,500 ITT Corp. 176,250
1,300 Johnson Controls, Inc. 73,450
2,200 McDermott International, Inc. 53,075
11,400 MCI Communications Corp. 250,800
1,300 Moore Corp., Ltd. 28,763
12,800 Motorola, Inc. 859,200
3,200 Northern Telecom, Ltd. 116,800
690 PACCAR, Inc. 32,258
3,700 Pall Corp. 82,325
1,650 Parker-Hannifin Corp. 59,813
2,100 Pioneer Hi-Bred International, Inc. 88,200
1,900 Raychem Corp. 72,913
1,700 Rubbermaid, Inc. 47,175
2,100 Scientific-Atlanta, Inc. 46,200
1,500 Snap-On, Inc. 58,125
4,800 Sprint Corp. 161,400
900 Tandy Corp. 46,688
2,200 Teledyne, Inc. 53,900
44 Teledyne,Inc., Preferred, Series E 644
1,800 Texas Instruments, Inc. 240,975
2,700 Union Pacific Corp. 149,513
4,000 Westinghouse Electric Corp. 58,500
1,300 Xerox Corp. 152,425
-----------
10,310,281
-----------
CONSUMER PRODUCTS - 11.94%
2,000 American Greetings Corp., Class A 58,750
3,900 Anheuser Busch Cos., Inc. 221,813
1,400 Applied Materials, Inc. * 121,275
7,821 Archer-Daniels-Midland Co. 145,666
900 Bemis Co., Inc. 23,400
2,400 Brown-Forman Corp., Class B 80,100
3,700 Campbell Soup Co. 181,300
4,000 Capital Cities/ABC, Inc. 419,500
2,060 CBS, Inc. 138,020
1,900 Clorox Co. 123,975
2,200 Colgate-Palmolive Co. 160,875
4,600 Comcast Corp., Class A 85,388
3,500 ConAgra, Inc. 122,063
2,300 Coors Adolph Co., Class B 37,663
1,414 Cox Communications, Inc., Class A * 27,396
2,200 Deluxe Corp. 72,875
4,000 Dial Corp. 99,000
7,500 Disney (Walt) Co. 417,188
1,700 Donnelley (R.R.) & Sons Co. 61,200
1,500 Dow Jones & Co, Inc. 55,313
2,200 Dun & Bradstreet Corp. 115,500
5,000 Eastman Kodak Co. 303,125
1,900 Gannett Co., Inc. 103,075
1,300 Georgia-Pacific Corp. 112,775
1,400 Harcourt General, Inc. 59,150
2,800 Hasbro, Inc. 88,900
3,000 Heinz (H.J.) Co. 133,125
1,700 Hershey Foods Corp. 93,925
1,500 International Paper Co. 128,625
4,700 James River Corp. 129,838
3,400 Jostens, Inc. 72,250
3,100 Kellogg Co. 221,263
2,000 Kimberly-Clark Corp. 119,750
1,700 King World Productions, Inc. * 68,850
1,000 Knight-Ridder, Inc. 56,875
2,890 Mattel, Inc. 75,140
800 Maytag Corp. 12,800
800 McGraw-Hill, Inc. 60,700
1,300 Mead Corp. 77,188
2,600 Meredith Corp. 65,975
2,200 New York Times Co., Class A 51,700
</TABLE>
42 See Notes to Financial Statements.
------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
-----------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.92%
CONSUMER PRODUCTS (CONTINUED)
2,300 Polaroid Corp. $ 93,725
10,300 Procter & Gamble Co. 740,313
1,900 Quaker Oats Co. 62,463
7,400 Sara Lee Corp. 210,900
4,000 Scott Paper Co. 198,000
4,800 Seagram Co., Ltd. 166,200
1,100 Stanley Works 41,663
2,810 Stone Container Corp. * 59,713
1,900 Stride Rite Corp. 19,713
2,300 Sysco Corp. 67,850
15,400 Tele-Communications, Inc. Class A * 360,938
5,680 Time Warner, Inc. 233,590
3,100 Times Mirror Co., Series A 74,013
1,300 Tribune Co. 79,788
800 TRW, Inc. 63,900
2,200 Union Camp Corp. 127,325
288 Viacom, Inc., Class A * 13,392
7,082 Viacom, Inc., Class B * 328,428
3,600 Viacom, Inc., Rights * 5,400
1,500 Westvaco Corp. 66,375
2,200 Weyerhaeuser Co. 103,675
1,300 Whirlpool Corp. 71,500
7,000 Whitman Corp. 135,625
1,700 Wrigley (Wm), Jr. Co. 78,838
-----------
8,206,616
-----------
UTILITIES - 10.08%
2,000 American Electric Power, Inc. 70,250
700 Andrew Corp. * 40,513
24,567 AT&T Corp. 1,305,122
4,450 Baltimore Gas & Electric Co. 111,250
6,800 Bell Atlantic Corp. 380,800
7,500 Bellsouth Corp. 476,250
3,400 Browning-Ferris Industries, Inc. 122,825
2,600 Carolina Power & Light Co. 78,650
2,400 Central & South West Corp. 63,000
1,943 CiNergy Corp. 51,004
2,800 Columbia Gas System, Inc. * 88,900
2,500 Consolidated Edison Co., Inc. 73,750
1,900 Consolidated Natural Gas Co. 71,725
2,400 Detroit Edison Co. 70,200
3,200 DSC Communications Corp. * 148,800
2,300 Duke Power Co. 95,450
3,000 ENSERCH Corp. 51,375
3,000 Entergy Corp. 72,375
1,800 FPL Group, Inc. 69,525
1,800 General Public Utilities Corp. 53,550
16,900 GTE Corp. 576,713
1,300 Houston Industries, Inc. 54,763
7,200 Laidlaw, Inc., Class B 69,300
4,800 Niagara Mohawk Power Corp. 70,800
1,800 Northern States Power Co. 83,025
6,600 NYNEX Corp. 265,650
2,600 Ohio Edison Co. 58,825
6,000 Pacific Gas and Electric Co. 174,000
6,400 Pacific Telesis Group 171,200
3,000 PacifiCorp 56,250
2,100 PECO Energy Corp. 58,013
2,200 People's Energy Corp. 56,925
3,600 Public Service Enterprise Group, Inc. 99,900
18,800 SBC Communications, Inc. * 895,350
5,100 SCEcorp. 87,338
9,400 Southern Co. 210,325
2,500 Texas Utilities Co. 85,938
4,100 Unicom Corp. 109,163
2,000 Union Electric Co. 74,500
6,300 WMX Technologies, Inc. 178,763
-----------
6,932,055
-----------
ENERGY - 9.71%
1,900 Albemarle Corp. 29,688
1,000 Amerada Hess Corp. 48,875
7,500 Amoco Corp. 499,688
1,500 Ashland Oil, Inc. 52,688
2,400 Atlantic Richfield Co. 263,400
1,600 Burlington Resources, Inc. 59,000
14,600 Chevron Corp. 680,725
2,500 Coastal Corp. 75,938
2,300 Dresser Industries, Inc. 51,175
3,800 Enron Corp. 133,475
19,900 Exxon Corp. 1,405,438
56 Gardner Denver Machinery, Inc. * 980
1,700 Halliburton Co. 60,775
600 Kerr McGee Corp. 32,175
1,500 Louisiana Land & Exploration Co. 59,813
300 Louisiana Pacific Corp. 7,875
6,200 Mobil Corp. 595,200
4,300 Occidental Petroleum Corp. 98,363
4,900 Oryx Energy Co. * 67,375
2,400 Pacific Enterprises, Inc. 58,800
3,000 Panhandle Eastern Corp. 73,125
1,100 Pennzoil Co. 51,838
4,000 Phillips Petroleum Co. 133,500
8,300 Royal Dutch Petroleum Co. 1,011,563
4,600 Santa Fe Energy Resources, Inc. * 43,700
1,177 Santa Fe Pacific Corp. 30,014
3,200 Schlumberger, Ltd. 198,800
2,000 Sonat, Inc. 61,000
2,200 Tenneco, Inc. 101,200
3,700 Texaco, Inc. 242,813
3,500 Unocal Corp. 96,688
4,800 USX-Marathon Group, Inc. 94,800
2,220 USX-U.S. Steel Group, Inc. 76,313
2,800 Western Atlas, Inc. * 124,250
1,600 Williams Cos., Inc. 55,800
-----------
6,676,850
-----------
</TABLE>
See notes to Financial Statements. 43
------------------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
-----------------------------------------------------------------
<S> <C> <C>
TECHNOLOGY - 7.42%
2,500 Advanced Micro Devices, Inc. * $ 90,938
1,800 Amdahl Corp. * 20,025
2,000 Apple Computer, Inc. 92,875
1,800 Autodesk, Inc. 77,400
2,000 Automatic Data Processing, Inc. 125,750
1,700 Cabletron Systems, Inc. * 90,525
1,300 Ceridian Corp. * 47,938
6,800 Cisco Systems, Inc. * 343,825
3,000 Compaq Computer Corp. * 136,125
2,000 Computer Associates International, Inc. 135,500
2,700 Computer Sciences Co. * 153,563
1,800 Cray Research, Inc. * 43,875
3,300 Digital Equipment Corp. * 134,475
1,600 First Data Corp. 91,000
100 Harris Computer Systems Corp. 1,375
1,400 Honeywell, Inc. 60,375
12,400 Intel Corp. 785,075
8,900 International Business Machines Corp. 854,400
600 Lotus Development Corp. 38,250
2,600 Micron Technology, Inc. 142,675
8,900 Microsoft Corp. * 804,338
500 Millipore Corp. 33,750
100 National Semiconductor Corp. 2,775
3,800 Novell, Inc. * 75,763
8,750 Oracle Systems Corp. * 337,969
1,500 Pitney-Bowes, Inc. 57,563
2,400 Silicon Graphics Inc. * 95,700
1,500 Sun Microsystems, Inc. * 72,750
5,100 Tandem Computers, Inc. * 82,238
6,400 Unisys Corp. * 69,600
-----------
5,098,410
-----------
CHEMICALS AND DRUGS - 7.10%
1,400 Air Products & Chemicals, Inc. 78,050
4,300 Alberto-Culver Co. Class B 130,075
3,000 Allergan, Inc. * 81,375
2,500 ALZA Corp. * 58,438
4,400 American Home Products Corp. 340,450
100 Avon Products, Inc. 6,700
7,800 Bristol-Myers Squibb Co. 531,375
4,400 Dow Chemical Co. 316,250
8,700 Dupont (E.I) Denemours & Co. * 598,125
3,000 Eastman Chemical Co. 178,500
1,300 Engelhard Corp. 55,738
1,100 FMC Corp. * 73,975
6,000 Gillette Co. 267,750
1,300 Grace (W.R.) & Co. 79,788
900 Great Lakes Chemical Corp. 54,225
3,000 Hercules, Inc. 146,250
1,600 International Flavors & Fragrances, Inc. 79,600
4,400 Lilly Eli & Co. 345,400
1,500 Monsanto Co. 135,188
3,700 Morton International, Inc. 108,225
1,800 Nalco Chemical Co. 65,475
5,000 Pfizer, Inc. 461,875
3,600 Praxair, Inc. 90,000
2,000 Premark International, Inc. 103,750
1,100 Rohm & Haas Co. 60,363
2,900 Sherwin-Williams Co. 103,313
1,700 Sigma-Aldrich Corp. 83,513
500 Union Carbide Corp. 16,688
2,400 Upjohn Co. 90,900
1,600 Warner-Lambert Co. 138,200
-----------
4,879,554
-----------
CONSUMER STAPLES - 6.05%
2,300 American Brands, Inc. 91,425
1,400 Black & Decker Corp. 43,225
19,900 Coca Cola Co. 1,268,572
2,100 General Mills, Inc. 107,888
8,700 Minnesota Mining & Manufacturing Co. 498,075
4,500 Newell Co. 110,250
12,600 PepsiCo, Inc. 574,875
13,600 Philip Morris Cos., Inc. 1,011,500
1,300 Ralston-Purina Co. 66,300
300 Springs Industries, Inc., Class A 11,175
2,200 Unilever NV, ADR 286,275
1,600 VF Corp. 86,000
-----------
4,155,560
-----------
BANKING - 5.91%
3,600 Ahmanson (H.F.) & Co. 79,200
8,037 Banc One Corp. 259,193
3,000 Bank of Boston Corp. 112,500
2,800 Bank of New York, Inc. 113,050
5,652 BankAmerica Corp. 297,437
1,800 Bankers Trust New York Corp. 111,600
1,400 Barnett Banks, Inc. 71,750
2,600 Chase Manhattan Corp. 122,200
3,200 Chemical Banking Corp. 151,200
5,700 Citicorp 329,888
3,600 CoreStates Financial Corp. 125,550
1,800 First Chicago Corp. 107,775
1,500 First Fidelity Bancorp. 88,500
1,000 First Interstate Bancorp. 80,250
700 First Mississippi Corp. 23,888
2,100 First Union Corp. 95,025
2,600 Fleet Financial Group, Inc. 96,525
1,200 Golden West Financial Corp. 56,550
4,700 Great Western Financial Corp. 96,938
3,300 KeyCorp 103,538
1,400 Lincoln National Corp. 61,250
</TABLE>
44 See notes to Financial Statements.
------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
-----------------------------------------------------------------
<S> <C> <C>
BANKING (CONTINUED)
1,800 MBNA Corp. $ 60,750
1,950 Mellon Bank Corp. 81,169
2,700 Morgan (J.P.) & Co., Inc. 189,338
2,500 National City Corp. 73,438
3,820 NationsBank Corp. 204,848
1,300 NBD Bancorp., Inc. 41,600
4,100 Norwest Corp. 117,875
4,400 PNC Bank Corp. 116,050
3,200 Shawmut National Corp. 102,000
1,600 SunTrust Banks, Inc. 93,200
3,800 UST, Inc. 113,050
2,700 U. S. Bancorp. 64,969
2,100 Wachovia Corp. 75,075
800 Wells Fargo & Co. 144,200
-----------
4,061,369
-----------
FINANCIAL - 5.77%
1,600 Aetna Life & Casualty Co. 100,600
3,900 Alexander & Alexander Services, Inc. 93,113
7,500 American Express Co. 263,438
2,400 American General Corp. 81,000
4,800 American International Group, Inc. 547,200
1,500 Beneficial Corp. 66,000
1,700 Block (H.& R.), Inc. 69,913
2,100 Boatmens Bancshares, Inc. 74,025
1,100 Chubb Corp. 88,138
1,000 Cigna Corp. 77,625
3,166 Dean Witter Discover & Co. 148,802
2,500 Federal Home Loan Mortgage Corp. 171,875
3,900 Federal National Mortgage Association 368,063
1,100 General Re Corp. 147,263
1,200 Household International, Inc. 59,400
1,000 Jefferson-Pilot Corp. 54,750
1,340 Lehman Brothers Holdings, Inc. 29,313
900 Loews Corp. 108,900
800 Marsh & McLennan Cos., Inc. 64,900
3,900 Merrill Lynch & Co., Inc. 204,750
1,900 Nicor, Inc. 51,063
1,400 Providan Corp. 50,750
2,933 Rjr Nabisco Holdings Corp. 81,757
1,500 SAFECO Corp. 86,156
1,600 Salomon, Inc. 64,200
1,300 St. Paul Cos., Inc. 64,025
1,800 Sun Co., Inc. 49,275
1,600 Torchmark Corp. 60,400
1,200 TransAmerica Corp. 69,900
4,331 Travelers, Inc. 189,481
1,100 Unum Corp. 51,563
3,000 USF & G Corp. 48,750
6,800 U. S. West, Inc. 283,050
-----------
3,969,438
-----------
HEALTH CARE - 5.66%
12,400 Abbott Laboratories $ 502,200
1,500 Amgen, Inc. * 120,656
2,700 Bard (C.R.), Inc. 81,000
1,500 Bausch & Lomb, Inc. 62,250
3,600 Baxter International, Inc. 130,950
900 Becton, Dickinson & Co. 52,425
800 Beverly Enterprises, Inc. * 9,900
2,600 Boston Scientific Corp. * 82,875
8,700 Columbia Healthcare Corp. 376,275
800 Community Psychiatric Centers * 9,000
9,700 Johnson & Johnson 655,963
2,700 Mallinckrodt Group, Inc. 95,850
1,700 Manor Care, Inc. 49,513
1,800 Medtronic, Inc. 138,825
18,900 Merck & Co., Inc. 926,100
5,000 Schering-Plough Corp. 220,625
2,000 St. Jude Medical, Inc. 100,250
4,600 Tenet Healthcare Corp. 66,125
2,400 United Healthcare Corp. 99,300
1,800 United States Surgical Corp. 37,575
2,300 U. S. HealthCare, Inc. 70,438
-----------
3,888,095
-----------
RETAIL - 5.27%
3,600 Albertsons, Inc. 107,100
4,900 American Stores Co. 137,813
7,400 Brunos, Inc. 86,025
2,300 Circuit City Stores, Inc. 72,738
1,900 CPC International, Inc. 117,325
800 Dayton Hudson Corp. 57,400
2,600 Dillard Department Stores, Inc., Class A 76,375
2,600 Fleming Cos., Inc. 68,900
2,000 Gap, Inc. 69,750
2,900 Giant Food, Inc., Class A 82,288
1,900 Great Atlantic & Pacific Tea Co., Inc. 50,113
5,000 Kmart Corp. * 73,125
2,300 Kroger Co. * 61,813
3,600 Limited, Inc. 79,200
2,500 Liz Claiborne, Inc. 53,125
2,800 May Department Stores Co. 116,550
2,000 Melville Corp. 68,500
700 NIKE, Inc., Class B 58,800
1,200 Nordstrom, Inc. 49,650
3,300 Penney (J.C.) Co., Inc. * 158,400
4,756 Price/Costco, Inc. * 77,285
2,000 Reebok International, Ltd. 68,000
2,900 Rite Aid Corp. 74,313
5,900 Sears Roebuck & Co. 353,263
4,000 Supervalu, Inc. 116,500
4,300 Toys 'R' Us, Inc. * 125,775
1,400 Walgreen Co. 70,175
35,000 Wal-Mart Stores, Inc. 936,250
</TABLE>
See Notes to Financial Statements. 45
---------------------------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
-----------------------------------------------------------------
<S> <C> <C>
RETAIL (CONTINUED)
1,800 Winn Dixie Stores, Inc. $ 103,950
3,700 Woolworth Corp. 55,963
-----------
3,626,464
-----------
AEROSPACE-AIRLINES - 3.27%
5,600 AlliedSignal, Inc. 249,200
900 AMR Corp. * 67,163
5,400 Boeing Co. 338,175
1,100 Delta Air Lines, Inc. 81,125
1,700 General Dynamics Corp. 75,438
7,541 Lockheed Corp. 476,026
3,400 McDonnell Douglas Corp. 260,950
1,800 Northrop Grumman Corp. 93,825
1,800 Raytheon Co. 139,725
3,000 Rockwell International Corp. 137,250
2,000 Southwest Airline Co. 47,750
1,300 Textron, Inc. 75,563
1,700 United Technologies Corp. 132,813
1,600 Varity Corp. * 70,400
-----------
2,245,403
-----------
METALS AND MINING - 1.69%
3,600 Alcan Aluminum, Ltd. 108,900
4,100 Aluminum Company of America 205,513
9,400 Barrick Gold Corp. 237,350
2,000 Bethlehem Steel Corp. * 32,500
800 Cyprus Amax Minerals Co. 22,800
600 Echo Bay Mines, Ltd. 5,400
800 Homestake Mining Co. 13,200
1,900 Inco, Ltd. 53,675
1,748 Newmont Mining Corp. 73,198
1,200 Nucor Corp. 64,200
1,900 Phelps Dodge Corp. 112,100
2,900 Placer Dome, Inc. 75,763
1,000 Reynolds Metals Co. 51,750
5,801 Santa Fe Pacific Gold Corp. * 70,337
1,700 Worthington Industries, Inc. 34,744
-----------
1,161,430
-----------
BUILDING AND CONSTRUCTION - 1.32%
1,600 Champion International Corp. 83,400
900 Dover Corp. 65,475
700 Fluor Corp. 36,400
6,433 Home Depot, Inc. 261,341
4,800 Lowe's Cos., Inc. 143,400
1,900 Masco Corp. 51,300
2,100 Owens Corning Fiberglass Corp. * 77,438
4,400 PPG Industries,Inc. 189,200
-----------
907,954
-----------
FOOD SERVICES - 0.87%
2,100 Darden Restaurants, Inc. * $ 22,838
14,700 McDonald's Corp. 575,138
-----------
597,976
-----------
TRANSPORTATION - 0.82%
1,200 Burlington Northern, Inc. 76,050
1,200 Conrail, Inc. 66,750
1,900 CSX Corp. 142,738
1,300 Federal Express Corp. * 78,975
1,900 Norfolk Southern Corp. 128,013
1,300 Roadway Services, Inc. 61,425
400 Ryder Systems, Inc. 9,550
-----------
563,501
-----------
HOTELS-LEISURE - 0.38%
1,500 Hilton Hotels Corp. 105,375
3,200 Marriott International, Inc. 114,800
1,000 Promus Co., Inc. * 39,000
-----------
259,175
-----------
CONSUMER SERVICE - 0.37%
2,100 CUC International, Inc. * 88,200
2,200 Service Corp., International 69,575
1,800 Tyco International, Ltd. 97,200
-----------
254,975
-----------
ELECTRONICS - 0.15%
2,000 Loral Corp. 103,500
-----------
BUSINESS SERVICES - 0.14%
1,800 Interpublic Cos, Inc. 67,500
1,500 Ogden Corp. 32,813
-----------
100,313
-----------
TOTAL COMMON STOCKS 67,998,919
-----------
(Cost $54,580,690)
INVESTMENT COMPANY - 0.92%
635,069 Lehman Brothers Prime Fund, Class A 635,069
-----------
TOTAL INVESTMENT COMPANY 635,069
-----------
(Cost $635,069)
TOTAL INVESTMENTS - 99.84% 68,633,988
-----------
(Cost $55,215,759)
NET OTHER ASSETS AND LIABILITIES - 0.16% 108,754
-----------
NET ASSETS - 100.00% $68,742,742
-----------
-----------
<FN>
-----------------------------
* Non-income producing security
ADR American Depository Receipt
</TABLE>
46 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
INVESTMENT GRADE INCOME FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
-----------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 55.40%
U.S. TREASURY NOTES - 21.24%
$4,690,000 7.38%, 11/15/97 (E) $ 4,842,425
3,000,000 5.13%, 02/28/98 2,944,680
2,500,000 5.13%, 04/30/98 2,450,400
4,000,000 5.38%, 05/31/98 3,943,120
750,000 7.13%, 10/15/98 777,068
7,050,000 7.75%, 01/31/00 (E) 7,532,502
500,000 7.75%, 02/15/01 540,545
225,000 6.38%, 08/15/02 227,671
2,385,000 5.75%, 08/15/03 2,312,329
1,000,000 7.25%, 08/15/04 1,068,590
-----------
26,639,330
-----------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 15.41%
681,920 6.50%, 06/01/04 670,164
692,135 6.50%, 08/01/04 697,755
4,404,893 7.00%, 08/01/07 (D) 4,414,496
543,927 8.00%, 09/01/08 555,437
378,432 8.00%, 04/01/09 385,607
255,938 8.00%, 06/01/09 261,295
441,485 8.00%, 08/01/09 450,827
1,470,008 6.50%, 09/01/14 1,443,824
831,828 8.75%, 05/01/17 868,062
757,873 7.50%, 10/01/18 756,426
1,082,025 9.50%, 08/01/19 1,136,927
33,978 9.50%, 08/01/20 35,945
30,188 10.00%, 10/01/20 32,772
281,978 10.00%, 12/01/20 305,599
528,699 9.50%, 02/01/21 559,025
2,475,000 7.50%, 06/01/25 2,482,722
4,192,882 8.00%, 06/01/25 (D) 4,271,499
-----------
19,328,382
-----------
U.S. TREASURY BONDS - 10.35%
1,500,000 7.50%, 11/15/16 1,633,125
2,750,000 7.63%, 11/15/22 3,067,103
7,867,000 7.13%, 02/15/23 8,288,593
-----------
12,988,821
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.08%
425,879 8.00%, 04/01/09 436,892
1,513,233 7.50%, 07/01/14 1,534,327
576,116 7.00%, 05/01/17 577,090
3,980,722 6.50%, 01/01/24 3,826,469
-----------
6,374,778
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 1.72%
368,124 6.50%, 09/15/08 363,982
202,356 9.00%, 08/15/16 213,845
$305,953 9.00%, 08/15/16 $ 323,618
390,462 8.00%, 08/15/22 399,736
867,325 7.00%, 11/15/23 853,500
-----------
2,154,681
-----------
FEDERAL HOME LOAN BANK - 1.60%
1,000,000 3.96%, 05/14/96 (F) 968,750
1,000,000 7.89%, 12/23/97 1,043,750
-----------
2,012,500
-----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS 69,498,492
-----------
(Cost $67,787,547)
CORPORATE NOTES AND BONDS - 41.67%
FINANCE - 9.52%
500,000 Advanta Corp.
5.13%, 11/15/96 491,043
1,600,000 Avco Financial Services, Inc., MTN
0.00%, 12/16/98 (A) 1,278,560
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 1,477,650
1,000,000 Capital One Bank, MTN
8.63%, 01/15/97 1,030,680
500,000 Coles Myer Finance, MTN
5.45%, 07/16/98 486,735
1,192,668 Contimortgage Home Equity Loan Trust
7.63%, 06/01/24 1,208,881
208,846 DVI Lease Receivables Corp., Series 94-A
7.13%, 10/20/01 208,454
500,000 Green Tree Financial Corp.
Senior Subordinate
7.35%, 05/15/19 512,340
850,000 Green Tree Financial Corp.
Senior Subordinate, Series A-3
8.25%, 04/15/20 896,215
800,000 Heller Financial, Inc.
7.75%, 05/15/97 819,640
500,000 Lehman Brothers, Inc.
Senior Subordinate Notes
10.00%, 05/15/99 541,770
1,300,000 Santander Financial Issuance, Ltd.
Subordinate Note
7.75%, 05/15/05 1,361,438
1,150,000 Western Financial Corp., Class A-2
7.10%, 07/01/00 1,165,094
460,428 Western Financial, Class A-2
6.38%, 09/01/99 461,939
-----------
11,940,439
-----------
</TABLE>
See Notes to Financial Statements. 47
---------------------------------------------------------
<PAGE>
INVESTMENT GRADE INCOME FUND
PORTFOLIO OF INVESTMETNS, CONTINUED - JUNE 30, 1995 (UNAUDITIED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
---------------------------------------------------------------------
<S> <C> <C>
OIL, GAS AND PETROLEUM - 7.78%
$1,350,000 Coastal Corp.
9.75%, 08/01/03 $ 1,543,253
450,000 Saga Petroleum
(Eurodollars - Norway)
11.50%, 11/21/95 (C) 457,371
1,500,000 Saga Petroleum
(Yankee Bond - Norway)
8.40%, 07/15/04 (C) 1,611,180
1,000,000 Parker & Parsley Petroleum Co.
8.88%, 04/15/05 1,071,980
700,000 Southwest Gas Corp.
Debenture, Series F
9.75%, 06/15/02 801,311
1,000,000 Tosco Corp., Series A
9.00%, 03/15/97 1,015,000
600,000 Transcontinental Gas Pipe Line Corp.
9.00%, 11/15/96 620,262
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 1,547,730
1,050,000 USX-Marathon Group, Notes
8.88%, 09/15/97 1,093,932
-----------
9,762,019
-----------
TRANSPORTATION - 6.02%
1,000,000 AMR Corp., Notes
9.50%, 05/15/01 1,101,240
900,000 Consolidated Freightways, Inc.
9.13%, 08/15/99 974,304
1,914,665 Delta Airlines, Inc.
9.88%, 04/30/08 2,204,851
1,000,000 Hertz Corp.
8.30%, 02/02/98 1,044,310
1,500,000 United Air Lines, Inc., Debenture
10.67%, 05/01/04 1,728,075
472,696 United Air Lines, Inc.
Series 1991-B-1
9.30%, 03/22/08 502,882
-----------
7,555,662
-----------
TELECOMMUNICATIONS - 3.98%
1,000,000 Cox Communications, Inc. 989,990
6.38%, 06/15/00
1,000,000 GTE Corp.
8.85%, 03/01/98 1,055,190
500,000 GTE Corp., Debenture
8.75%, 11/01/21 566,915
1,050,000 News America Holdings, Inc.
Gtd Senior Notes
9.13%, 10/15/99 1,138,883
675,000 Time Warner Entertainment Co.
Senior Debenture
8.38%, 03/15/23 665,091
$ 550,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 570,444
-----------
4,986,513
-----------
INDUSTRIAL - 3.79%
1,100,000 Amax, Inc., Senior Notes
9.88%, 06/13/01 1,262,701
1,200,000 Boise Cascade Corp.
10.13%, 12/15/97 1,286,340
600,000 Chesapeake Corp., Debenture
7.20%, 03/15/05 597,624
1,500,000 Westinghouse Electric Corp., Notes
8.88%, 06/01/01 1,607,565
-----------
4,754,230
-----------
UTILITIES - 2.69%
1,000,000 Connecticut Light & Power Co.
Series 94A
5.50%, 02/01/99 972,500
1,250,000 Philadelphia Electric Co.
7.50%, 01/15/99 1,281,625
1,050,000 Sithe/Independence Funding Corp.
9.00%, 12/30/13 (B) 1,113,683
-----------
3,367,808
-----------
AUTOMOBILE FINANCE - 2.01%
950,000 General Motors Acceptance Corp.
8.40%, 10/15/99 1,009,309
1,500,000 General Motors Acceptance Corp., Debenture
7.00%, 03/01/00 1,517,100
-----------
2,526,409
-----------
BANKING - 1.16%
375,000 Central Fidelity Banks, Inc.
8.15%, 11/15/02 398,190
1,000,000 Westpac Banking Corp.
Subordinate Debenture
7.88%, 10/15/02 1,053,960
-----------
1,452,150
-----------
HEALTH CARE - 1.06%
1,350,000 FHP International Corp., Senior Notes
7.00%, 09/15/03 1,327,928
-----------
PROCESSED FOODS - 0.86%
1,000,000 Ralcorp Holdings
8.75%, 09/15/04 1,081,110
-----------
</TABLE>
48 See notes to Financial Statements
----------------------------------------------------
<PAGE>
INVESTMENT GRADE INCOME FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
---------------------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS - 0.86%
$1,000,000 Methanex Corp.
8.88%, 11/15/01 $ 1,075,500
------------
FOREIGN - 0.74%
1,000,000 Colombia, Republic of
7.25%, 02/23/04 925,000
------------
ENGINEERING AND CONSTRUCTION - 0.65%
850,000 Pulte Corp.
7.00%, 12/15/03 820,769
------------
SECURITIES BROKER - 0.55%
650,000 Morgan Stanley Group, Inc., Notes
9.25%, 03/01/98 693,303
------------
TOTAL CORPORATE NOTES AND BONDS 52,268,840
------------
(Cost $51,158,718)
SHARES
------
INVESTMENT COMPANIES - 2.32%
29,922 Goldman Sachs Financial Square Pop 29,922
2,885,376 Lehman Brothers Prime Fund, Class A 2,885,376
------------
TOTAL INVESTMENT COMPANIES 2,915,298
------------
(Cost $2,915,298)
TOTAL INVESTMENTS - 99.39% 124,682,630
------------
(Cost $121,861,563)
NET OTHER ASSETS AND LIABILITIES - 0.61% 768,818
------------
NET ASSETS - 100.00% $125,451,448
------------
------------
<FN>
--------------------
(A) Interest rate is resetable based on Great British Pounds swap rate.
(B) 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. At June 30, 1995, these
securities amounted to $1,113,683 or 0.89% of net assets.
(C) U.S. Currency Denominated
(D) Forward commitments
(E) Collateral for forward commitments
(F) Interest is reset at various time intervals.
MTN Medium Term Note
</TABLE>
See Notes to Financial Statements. 49
---------------------------------------------------------
<PAGE>
GOVERNMENT BOND FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
------------------------------------------------------------------
U.S. Government And Agency Obligations - 97.59%
<S> <C> <C>
U.S. TREASURY NOTES - 48.22%
$2,500,000 6.88%, 10/31/96 $ 2,533,200
2,150,000 6.25%, 01/31/97 2,163,782
3,200,000 5.63%, 08/31/97 3,184,512
2,000,000 5.13%, 02/28/98 1,963,120
1,550,000 5.38%, 05/31/98 1,527,959
1,450,000 4.75%, 09/30/98 1,398,801
500,000 7.13%, 10/15/98 (B) 518,045
2,175,000 5.00%, 01/31/99 2,109,076
1,090,000 7.75%, 01/31/00 1,164,600
2,675,000 5.75%, 08/15/03 2,593,493
-----------
19,156,588
-----------
U.S. GOVERNMENT BACKED BONDS - 15.31%
850,000 Discover Card Trust 1991-D
8.00%, 10/16/00 883,728
700,000 Green Tree Financial Corp.
Senior Subordinate, Class A1
6.05%, 06/15/25 698,250
950,000 MBNA Credit Card Trust 1995-D
6.05%, 11/15/02 938,714
660,866 Small Business Administration, Debenture
9.25%, 02/01/08 703,591
1,500,000 State of Israel
5.25%, 03/15/98 1,470,810
550,000 Tennessee Valley Authority, Series A
6.38%, 06/15/05 544,154
850,000 Western Financial Trust 1995-3
6.05%, 11/01/00 844,422
-----------
6,083,669
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 11.32%
1,200,000 5.85%, 06/22/98 1,195,875
650,000 6.20%, 06/06/00 645,625
1,300,000 8.40%, 02/25/09, REMIC 1,404,000
255,527 8.00%, 04/01/09 262,135
481,246 7.50%, 07/01/14 487,955
212,706 7.00%, 05/01/17 213,065
300,575 6.50%, 11/01/23 288,928
-----------
4,497,583
-----------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 10.51%
454,614 6.50%, 06/01/04 446,776
571,764 6.50%, 08/01/04 576,407
439,344 7.00%, 08/01/07 (A) 440,302
1,535 9.00%, 12/01/07 1,598
550,511 8.00%, 09/01/08 562,159
664 9.00%, 11/01/08 693
$ 438,761 8.00%, 04/01/09 $ 447,080
161,662 8.00%, 06/01/09 165,046
444,145 8.00%, 08/01/09 453,543
538,415 10.00%, 03/01/21 586,366
25,202 6.50%, 05/01/23 24,241
487,379 6.50%, 05/01/23 468,795
-----------
4,173,006
-----------
FEDERAL HOME LOAN BANK - 7.25%
1,000,000 3.96%, 05/14/96 (A) 968,750
500,000 7.89%, 12/23/97 521,875
1,400,000 6.01%, 06/29/00 1,388,184
-----------
2,878,809
-----------
U.S. TREASURY BOND - 3.68%
1,100,000 10.75%, 08/15/05 1,460,591
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 1.30%
125,884 6.50%, 06/15/09 124,468
122,314 8.00%, 08/15/22 125,219
272,867 7.00%, 11/15/23 268,517
-----------
518,204
-----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS 38,768,450
-----------
(Cost $38,677,485)
SHARES
------
INVESTMENT COMPANY - 1.22%
483,402 Lehman Brothers Prime Fund, Class A 483,402
-----------
TOTAL INVESTMENT COMPANY 483,402
-----------
(Cost $483,402)
TOTAL INVESTMENTS- 98.81% 39,251,852
-----------
(Cost $39,160,887)
Net Other Assets and Liabilities - 1.19% 472,826
-----------
Net Assets - 100.00% $39,724,678
-----------
-----------
<FN>
------------------------------------------
(A) Forward commitments
(B) Collateral for forward commitments
REMIC Real Estate Mortgage Investment Conduit
</TABLE>
50 See Notes to Financial Statements.
--------------------------------------------------------
<PAGE>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
-----------------------------------------------------------------
COMMERCIAL PAPER (A) - 57.05%
<S> <C> <C>
Financial - 22.70%
$3,500,000 Banco Real S.A.
5.77%, 10/23/95 $ 3,436,049
2,000,000 B.I. Funding, Inc.
6.00%, 07/21/95 1,993,333
2,500,000 Dow Jones & Co., Inc.
5.82%, 10/11/95 2,458,775
5,000,000 Ford Motor Credit Co.
6.04%, 07/06/95 4,995,806
1,000,000 Galicia Funding Corp., Series A
6.15%, 07/21/95 996,583
600,000 Industrial Funding Corp.
6.00%, 07/11/95 599,000
1,000,000 Mitsui & Co. USA, Inc.
6.13%, 09/29/95 984,688
5,000,000 Monte Dei Paseni Di Siena Corp.
6.05%, 07/20/95 4,984,035
2,000,000 National Westminister Bank, USA
5.82%, 09/18/95 1,974,457
2,500,000 NationsBank Corp.
6.00%, 10/02/95 2,500,000
260,000 Progress Funding Corp.
6.03%, 07/27/95 258,868
325,000 Progress Funding Corp.
6.03%, 08/10/95 322,823
350,000 Progress Funding Corp.
6.03%, 08/17/95 347,245
300,000 Progress Funding Corp.
5.89%, 10/22/95 293,141
3,000,000 RCC Capital Corp.
6.09%, 07/27/95 2,986,805
2,100,000 Svenska Handelsbanken, Inc.
5.72%, 10/23/95 2,061,962
-----------
31,193,570
-----------
TECHNOLOGY - 7.61%
$3,000,000 CSC Enterprise
5.87%, 09/21/95 $ 2,959,888
4,000,000 Minolta Corp.
6.10%, 07/07/95 3,995,933
3,500,000 Southland Corp.
6.06%, 07/06/95 3,497,054
-----------
10,452,875
-----------
EDUCATION - 6.13%
4,000,000 Emory University
6.06%, 07/06/95 4,000,000
3,500,000 Yale University
5.74%, 10/16/95 3,440,288
1,000,000 Yale University
5.85%, 10/16/95 982,613
-----------
8,422,901
-----------
INDUSTRIAL - 5.42%
2,500,000 Kobe Steel International USA, Inc.
6.06%, 07/13/95 2,494,950
4,000,000 Reckitt & Coleman
6.05%, 08/07/95 3,975,128
1,000,000 Reckitt & Coleman
5.90%, 09/29/95 985,250
-----------
7,455,328
-----------
SECURITY, BROKERS AND DEALERS - 3.61%
5,000,000 Paine Webber Group Inc.
6.07%, 08/22/95 4,956,161
-----------
</TABLE>
See Notes to Financial Statements. 51
---------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
AUTOMOTIVE - 3.14%
$1,000,000 American Honda Finance Corp.
6.04%, 08/27/95 $ 991,276
1,250.000 American Honda Finance Corp.
6.00%, 09/14/95
2,500,000 American Honda Finance Corp.
6.00%, 09/15/95 2,468,333
----------
4,694,166
----------
EQUIPMENT LEASING - 2.95%
500,000 Cooperative Association of Tractor Dealers
6.13%, 08/08/95 496,767
2,000,000 Cooperative Association of Tractor Dealers
6.07%, 08/22/95 1,982,464
1,600,000 Cooperative Association of Tractor Dealers
6.12%, 09/07/95 1,581,504
----------
4,060,735
----------
UTILITIES - 2.70%
2,000,000 BICC Cables Corp.
6.05%, 07/12/95 1,996,303
1,500,000 BICC Cables Corp.
5.90%, 09/06/95 1,483,529
235,000 Natural Rural Utilities
5.85%, 09/06/95 232,442
-----------
3,712,274
-----------
MISCELLANEOUS - 1.45%
2,000,000 ABS, Inc.
6.06%, 07/28/95 1,990,910
-----------
OTHER GOVERNMENTS - 1.07%
1,500,000 Vattenfall Treasury, Inc.
5.77%, 10/23/95 1,472,593
-----------
TOTAL COMMERCIAL PAPER 78,411,513
-----------
(Cost $78,411,513)
CORPORATE NOTES AND BONDS - 28.78%
FINANCIAL - 22.24%
$2,500,000 Advanta Credit Card Master Trust,
Series 1993-1
6.21%, 11/30/98 (B) * $ 2,500,000
1,000,000 Advanta Credit Card Master Trust,
Series 1993-1
6.21%, 05/04/96 (B) * 1,000,000
1,175,000 Associates Corp. of North America
8.80%, 03/01/96 1,193,681
1,585,000 BankAmerica Corp., MTN
5.88%, 11/15/95 1,583,258
500,000 CIT Group Holdings, Inc.
5.65%, 11/15/95 498,968
2,500,000 Deutsche Bank AG
6.35%, 05/29/96 2,500,000
5,000,000 First National Bank of Boston
6.25%, 04/08/96 * 5,001,000
1,500,000 General Electric Capital Corp.
5.25%, 11/15/95 1,494,438
1,000,000 General Motors Acceptance Corp., MTN
6.75%, 05/17/96 1,002,852
5,000,000 General Motors Acceptance Corp., MTN
5.96%, 06/07/96 * 5,000,000
1,700,000 ITT Corp.
5.25%, 02/15/96 1,689,373
2,350,000 Massachusetts State Health and
Education Facility Northeastern University
Series F
6.16%, 08/01/95 2,350,000
1,250,000 Pennsylvania Economic Development
Financial Authority, Series D1
6.10%, 12/01/09 * 1,250,000
3,000,000 PNC Bank, N.A., MTN
5.64%, 08/07/95 * 2,999,781
500,000 World Savings & Loan Association, MTN
5.80%, 11/20/95 499,200
-----------
30,562,551
-----------
</TABLE>
52 See notes to Financial Statements
-------------------------------------------------------
<PAGE>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
----------------------------------------------------------------------
<S> <C> <C>
SECURITY, BROKERS AND DEALERS - 6.54%
$2,000,000 Bear Stearns Cos., MTN
6.21%, 10/05/95 * $ 2,000,256
3,000,000 Bear Stearns Cos., MTN
5.81%, 03/28/96 * 3,000,000
3,000,000 Merrill Lynch & Co., Inc., MTN
6.08%, 06/12/96 * 2,999,431
1,000,000 Merrill Lynch & Co., Inc.
5.88%, 12/01/95 998,873
-----------
8,998,560
-----------
TOTAL CORPORATE NOTES AND BONDS 39,561,111
-----------
(Cost $39,561,111)
CERTIFICATES OF DEPOSIT - 5.09%
5,000,000 Bayerische Landesbank Girozentrale
6.38%, 05/31/96 4,998,908
2,000,000 Dai-Ichi Kangyo Bank
5.74%, 08/18/95 1,998,035
-----------
TOTAL CERTIFICATE OF DEPOSIT 6,996,943
-----------
(Cost $6,996,943)
U.S. GOVERNMENT BACKED BONDS - 2.55%
FEDERAL HOME LOAN BANK - 2.55%
3,000,000 6.52%, 04/25/96 3,001,410
500,000 5.98%, 07/03/96 500,000
-----------
3,501,410
-----------
TOTAL U.S. GOVERNMENT BACKED BONDS 3,501,410
-----------
(Cost $3,501,410)
SHARES
------
INVESTMENT COMPANIES - 6.10%
1,887,567 Goldman Sachs Financial Square Pop 1,887,567
6,500,274 Lehman Brothers Prime Fund, Class A 6,500,274
-----------
TOTAL INVESTMENT COMPANIES 8,387,841
-----------
(Cost $8,387,841)
TOTAL INVESTMENTS - 99.57% 136,858,818
-----------
(Cost $136,858,818)
NET OTHER ASSETS AND LIABILITIES - 0.43% 585,208
-----------
NET ASSETS - 100.00% $137,444,026
-----------
-----------
<FN>
------------------------------------------
* Interest is reset at various time intervals.
(A) Annualized yields at time of purchase.
(B) 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. At June 30, 1995,
these securities amounted to $3,500,000 or 2.55% of net assets.
MTN Medium Term Notes
</TABLE>
53
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF ASSETS AND LIABILITIES * JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------
SELECT SELECT SELECT SMALL CAP
INTERNATIONAL AGGRESSIVE CAPITAL VALUE
EQUITY FUND GROWTH FUND APPRECIATION FUND FUND
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost $63,965,410 $150,124,761 $10,110,378 $49,057,182
Net unrealized appreciation (depreciation) 3,996,652 42,524,673 952,883 2,929,890
------------- ------------ ------------- -----------
Total investments at value 67,962,062 192,649,434 11,063,261 51,987,072
Cash -- -- 64,892 1,326,184
Foreign currency * 2,937,590 -- 97,278 --
Forward foreign currency sold at cost
(Notes 2 &8) 11,467,471 -- 453,694 --
Receivable for investments sold 400,918 1,266,382 57,137 --
Receivable for shares sold 193,701 221,004 166,157 4,971
Receivable from investment adviser -- -- 1,391 --
Interest and dividend receivables 352,249 116,784 9,830 85,160
Dividend reclaim receivables 24,845 -- -- --
------------- ------------ ------------- -----------
Total Assets 83,338,836 194,253,604 11,913,640 53,403,387
------------- ------------ ------------- -----------
LIABILITIES:
Payable for investments purchased 3,492,702 2,301,181 705,708 --
Payable for shares purchased 65 61,196 24 16,952
Payable for foreign currency purchased 2,586,816 -- 97,891 --
Forward foreign currency contracts
sold at value (Notes 2 & 8)** 11,897,138 -- 467,124 --
Payable to Custodian 215,190 261,066 -- --
Advisory fee payable (Note 3) 52,345 148,999 12,217 36,287
Accrued expenses and other payables 26,906 49,902 13,659 27,141
------------- ------------ ------------- -----------
Total Liabilities 18,271,162 2,822,344 1,296,623 80,380
------------- ------------ ------------- -----------
NET ASSETS $65,067,674 $191,431,260 $10,617,017 $53,323,007
------------- ------------ ------------- -----------
------------- ------------ ------------- -----------
NET ASSETS consist of
Paid-in capital (Note 4) $61,305,833 $162,924,292 $ 9,679,145 $50,052,214
Undistributed (Overdistributed)
net investment income 577,764 55,159 10,101 203,106
Accumulated net realized gain (loss) on
investments sold, foreign currency (383,559) (14,072,864) (11,568) 137,797
Net unrealized appreciation (depreciation)
of investments, foreign currency,
dividends and reclaims receivable 3,567,636 42,524,673 939,339 2,929,890
------------- ------------ ------------- -----------
TOTAL NET ASSETS $65,067,674 $191,431,260 $10,617,017 $53,323,007
------------- ------------ ------------- -----------
------------- ------------ ------------- -----------
Share of beneficial interest outstanding 61,664,924 119,262,831 9,366,205 44,921,665
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) $1.055 $1.605 $1.134 $1.187
------------- ------------ ------------- -----------
------------- ------------ ------------- -----------
<FN>
-------------------------
* The cost for foreign currency for the Select Capital Appreciation Fund was
$97,891 and $2,931,447 for the Select International Equity Fund.
** The cost for forward foreign currency contracts for the Select Capital
Appreciation Fund was $453,694 and $11,467,471 for the Select International
Equity Fund.
54 See Notes to Financial Statements.
</TABLE>
<PAGE>
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
SELECT SELECT GROWTH EQUITY
GROWTH GROWTH AND INCOME INDEX
FUND FUND FUND FUND
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost $339,311,441 $99,606,580 $138,563,693 $55,215,759
Net unrealized appreciation (depreciation) 57,360,034 24,195,570 12,787,167 13,418,229
------------ ----------- ------------ -----------
Total investments at value 396,671,475 123,802,150 151,350,860 68,633,988
Cash 369,229 -- 10,398 28,854
Foreign currency * -- -- -- --
Forward foreign currency sold at cost
(Notes 2 &8) -- -- -- --
Receivable for investments sold 721,192 975,036 34,991 --
Receivable for shares sold 14,168 188,713 5,856 18,450
Receivable from investment adviser -- -- -- --
Interest and dividend receivables 854,652 76,190 339,347 154,802
Dividend reclaim receivables -- -- -- --
------------ ----------- ------------ -----------
Total Assets 398,630,716 125,042,089 151,741,452 68,836,094
------------ ----------- ------------ -----------
LIABILITIES:
Payable for investments purchased 2,339,594 3,001,690 1,147,857 --
Payable for shares purchased 338,150 48,354 115,655 36,121
Payable for foreign currency purchased -- -- -- --
Forward foreign currency contracts
sold at value (Notes 2 & 8)** -- -- -- --
Payable to Custodian -- 17,847 -- --
Advisory fee payable (Note 3) 139,436 81,551 90,689 16,784
Accrued expenses and other payables 98,891 39,360 43,988 26,686
------------ ----------- ------------ -----------
Total Liabilities 2,916,071 3,188,802 1,398,189 79,591
------------ ----------- ------------ -----------
NET ASSETS $395,714,645 $121,853,287 $150,343,263 $68,756,503
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
NET ASSETS consist of
Paid-in capital (Note 4) $319,308,633 $102,576,194 $136,240,469 $60,379,921
Undistributed (Overdistributed)
net investment income 81,042 150,169 15,455 31,386
Accumulated net realized gain (loss) on
investments sold, foreign currency 18,964,936 (5,068,646) 1,300,172 (5,073,033)
Net unrealized appreciation (depreciation)
of investments, foreign currency,
dividends and reclaims receivable 57,360,034 24,195,570 12,787,167 13,418,229
------------ ----------- ------------ -----------
TOTAL NET ASSETS $395,714,645 $121,853,287 $150,343,263 $68,756,503
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
Share of beneficial interest outstanding 186,864,461 93,525,212 128,911,531 42,852,333
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) $2.118 $1.303 $1.166 $1.604
------------ ----------- ------------ -----------
------------ ----------- ------------ -----------
--------------------------------------------------------------------------------------------
INVESTMENT GOVERNMENT MONEY
GRADE INCOME BOND MARKET
FUND FUND FUND
--------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost $121,861,563 $39,160,887 $136,858,818
Net unrealized appreciation (depreciation) 2,821,067 90,965 --
------------ ----------- ------------
Total investments at value 124,682,630 39,251,852 136,858,818
Cash -- 6,177 64,814
Foreign currency * -- -- --
Forward foreign currency sold at cost
(Notes 2 & 8) -- -- --
Receivable for investments sold 8,785,220 442,227 --
Receivable for shares sold 41,227 -- 630,093
Receivable from investment adviser -- -- --
Interest and dividend receivables 1,953,478 542,855 540,490
Dividend reclaim receivables -- -- --
------------ ----------- ------------
Total Assets 135,462,555 40,243,111 138,094,215
------------ ----------- ------------
LIABILITIES:
Payable for investments purchased 8,730,816 442,159 500,000
Payable for shares purchased 36,166 28,835 72,630
Payable for foreign currency purchased -- -- --
Forward foreign currency contracts
sold at value (Notes 2 & 8)** -- -- --
Payable to Custodian 1,097,867 -- --
Advisory fee payable (Note 3) 42,073 16,649 31,179
Accrued expenses and other payables 104,185 30,790 46,380
-------------- ----------- ------------
Total Liabilities 10,011,107 518,433 650,189
-------------- ----------- ------------
NET ASSETS $125,451,448 $39,724,678 $137,444,026
-------------- ----------- ------------
-------------- ----------- ------------
NET ASSETS consist of
Paid-in capital (Note 4) $125,319,848 $41,655,148 $137,444,184
Undistributed (Overdistributed)
net investment income 22,570 4,648 --
Accumulated net realized gain (loss) on
investments sold, foreign currency (2,712,037) (2,026,083) (158)
Net unrealized appreciation (depreciation)
of investments, foreign currency,
dividends and reclaims receivable 2,821,067 90,965 --
-------------- ----------- ------------
TOTAL NET ASSETS $125,451,448 $39,724,678 $137,444,026
-------------- ----------- ------------
-------------- ----------- ------------
Share of beneficial interest outstanding 115,069,553 38,059,963 137,444,184
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) $1.090 $1.044 $1.000
-------------- ----------- ------------
-------------- ----------- ------------
<FN>
-------------------------
* The cost for foreign currency for the Select Capital Appreciation Fund was
$97,891 and $2,931,447 for the Select International Equity Fund.
** The cost for forward foreign currency contracts for the Select Capital
Appreciation Fund was $453,694 and $11,467,471 for the Select International
Equity Fund.
</TABLE>
55
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF OPERATIONS * FOR SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
SELECT SELECT SELECT SMALL CAP
INTERNATIONAL AGGRESSIVE CAPITAL VALUE
EQUITY FUND* GROWTH FUND APPRECIATION FUND** FUND
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (Note 2) $ 4,748 $ 135,561 $ 21,350 $ --
Dividends (Note 2) 1,034,918 802,695 5,549 450,396
Less net foreign taxes withheld (130,212) -- (305) --
---------- ----------- -------- ----------
Total investment income 909,454 938,256 26,594 450,396
---------- ----------- -------- ----------
EXPENSES
Investment advisory fee (Note 3) 254,914 789,549 12,217 200,359
Custodian fee 34,534 10,180 2,192 5,329
Fund accounting fee (Note 3) 18,434 19,624 4,384 14,095
Legal fee 1,378 2,726 4,267 2,726
Audit Fee 3,883 3,584 1,267 3,633
Trustees' fees and expenses (Note 3) 724 2,492 881 463
Reports to Shareholders 853 36,062 776 16,114
Insurance 272 1,363 275 101
Miscellaneous 2,819 17,517 64 4,470
---------- ----------- -------- ----------
Total expenses before reimbursement 317,811 883,097 26,323 247,290
Less: Reimbursement (Note 3) -- -- (9,830) --
---------- ----------- -------- ----------
Total expenses net of reimbursement 317,811 883,097 16,493 247,290
---------- ----------- -------- ----------
NET INVESTMENT INCOME 591,643 55,159 10,101 203,106
---------- ----------- -------- ----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold (465,944) (2,777,469) (10,524) 174,683
Net realized (loss) on foreign currency (76,634) -- (1,044) --
Net change in unrealized appreciation
(depreciation) of foreign currency,
dividends and reclaims receivable (424,390) -- (13,544) --
Net change in unrealized appreciation
(depreciation) of investments 5,435,380 26,442,871 952,883 3,864,128
---------- ----------- -------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS 4,468,412 23,665,402 927,771 4,038,811
---------- ----------- -------- ----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $5,060,055 $23,720,561 $937,872 $4,241,917
---------- ----------- -------- ----------
---------- ----------- -------- ----------
<FN>
----------------------
* The Fund commenced operations on May 2, 1994.
** The Fund commenced operations on April 28, 1995.
</TABLE>
56 See Notes to Financial Statements.
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENETS OF OPERATIONS * FOR SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
SELECT SELECT GROWTH EQUITY
GROWTH GROWTH AND INCOME INDEX
FUND FUND FUND FUND
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (Note 2) $159,467 $185,014 $120,934 $--
Dividends (Note 2) 5,290,979 471,664 1,581,680 786,166
Less net foreign taxes withheld -- -- -- --
----------- ----------- ----------- -----------
Total investment income 5,450,446 656,678 1,702,614 786,166
----------- ----------- ----------- -----------
EXPENSES
Investment advisory fee (Note 3) 841,263 428,096 478,173 101,266
Custodian fee 10,122 4,889 10,680 9,012
Fund accounting fee (Note 3) 31,192 19,479 19,530 37,674
Legal fee 2,726 2,726 2,726 726
Audit Fee 4,869 3,584 3,584 11,503
Trustees' fees and expenses (Note 3) 8,764 2,208 2,474 1,866
Reports to Shareholders 76,509 21,427 28,873 15,735
Insurance 1,629 760 760 641
Miscellaneous 24,878 23,726 14,131 500
----------- ----------- ----------- -----------
Total expenses before reimbursement 1,001,952 506,895 560,931 178,923
Less: Reimbursement (Note 3) -- -- -- --
----------- ----------- ----------- -----------
Total expenses net of reimbursement 1,001,952 506,895 560,931 178,923
----------- ----------- ----------- -----------
NET INVESTMENT INCOME 4,448,494 149,783 1,141,683 607,243
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold 13,963,293 (1,366,118) 1,983,609 279,583
Net realized (loss) on foreign currency -- -- -- --
Net change in unrealized appreciation
(depreciation) of foreign currency,
dividends and reclaims receivable -- -- -- --
Net change in unrealized appreciation
(depreciation) of investments 42,304,311 19,355,404 14,546,652 9,810,092
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS 56,267,604 17,989,286 16,530,261 10,089,675
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $60,716,098 $18,139,069 $17,671,944 $10,696,918
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
-----------------------------------------------------------------------------------------------------
INVESTMENT GOVERNMENT MONEY
GRADE INCOME BOND MARKET
FUND FUND FUND
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest (Note 2) $ 4,188,763 $ 1,268,945 $ 3,610,947
Dividends (Note 2) 108,911 62,078 165,614
Less net foreign taxes withheld -- -- --
----------- ----------- -----------
Total investment income 4,297,674 1,331,023 3,776,561
----------- ----------- -----------
EXPENSES
Investment advisory fee (Note 3) 241,220 100,880 178,816
Custodian fee 4,585 5,917 7,590
Fund accounting fee (Note 3) 22,377 15,732 18,100
Legal fee 2,764 2,726 2,726
Audit Fee 4,254 4,254 4,760
Trustees' fees and expenses (Note 3) 2,661 739 3,001
Reports to Shareholders 30,462 8,032 18,010
Insurance 1,629 766 1,267
Miscellaneous 10,341 3,533 5,140
----------- ----------- -----------
Total expenses before reimbursement 320,293 142,579 239,410
Less: Reimbursement (Note 3) -- -- --
----------- ----------- -----------
Total expenses net of reimbursement 320,293 142,579 239,410
----------- ----------- -----------
NET INVESTMENT INCOME 3,977,381 1,188,444 3,537,151
----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold 453,032 (107,017) 189
Net realized (loss) on foreign currency -- -- --
Net change in unrealized appreciation
(depreciation) of foreign currency,
dividends and reclaims receivable -- -- --
Net change in unrealized appreciation
(depreciation) of investments 8,151,400 2,013,670 --
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS 8,604,432 1,906,653 189
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $12,581,813 $3,095,097 $3,537,340
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
57
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------------
SELECT INTERNATIONAL SELECT AGGRESSIVE
EQUITY FUND GROWTH FUND
----------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1995 PERIOD ENDED JUNE 30, 1995 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1994* (UNAUDITED) DECEMBER 31, 1994
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period $40,497,806 $-- $136,573,109 $66,250,873
----------- ----------- ------------ ------------
INCREASE (DECREASE ) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss) 591,643 131,963 55,159 (221,519)
Net realized gain (loss) on investments sold and
foreign currency (542,578) 100,896 (2,777,469) (10,161,948)
Net change in unrealized appreciation
(depreciation) of investments, foreign
currency, dividends and reclaims receivable 5,010,990 (1,443,354) 26,442,871 7,667,386
----------- ----------- ------------ ------------
Net increase (decrease) in net assets resulting
from operations 5,060,055 (1,210,495) 23,720,561 (2,716,081)
----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- (38,995) -- --
Net realized gain on investments (194) (48,530) -- --
Distributions in excess of net capital gains -- -- -- --
----------- ----------- ------------ ------------
Total Distributions (194) (87,525) -- --
----------- ----------- ------------ ------------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 22,897,923 42,401,429 33,779,881 79,109,465
Issued to shareholders in reinvestment dividends 194 87,525 -- --
Costs of shares repurchased (3,388,110) (693,128) (2,642,291) (6,071,148)
----------- ----------- ------------ ------------
Net increase (decrease) from share transactions 19,510,007 41,795,826 31,137,590 73,038,317
----------- ----------- ------------ ------------
Net increase (decrease) in net assets 24,569,868 40,497,806 54,858,151 70,322,236
----------- ----------- ------------ ------------
NET ASSETS at end of period (including line A) $65,067,674 $40,497,806 $191,431,260 $136,573,109
----------- ----------- ------------ ------------
----------- ----------- ------------ ------------
(A) Accumulated undistributed (overdistributed)
net investment income $577,764 $ (13,879) $55,159 $--
----------- ----------- ------------ ------------
----------- ----------- ------------ ------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold 23,145,138 42,648,059 23,327,405 55,741,786
Issued to shareholders in reinvestment of dividends 184 90,888 -- --
Repurchased (3,519,584) (699,761) (1,818,531) (4,299,154)
----------- ----------- ------------ ------------
Net increase (decrease) in shares outstanding 19,625,738 42,039,186 21,508,874 51,442,632
----------- ----------- ------------ ------------
----------- ----------- ------------ ------------
<FN>
-------------------
* The Fund commenced operations on May 2, 1994.
** The Fund commenced operations on April 28, 1995.
</TABLE>
58 See Notes to Financial Statements.
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------
SELECT CAPITAL SMALL CAP
APPRECIATION FUND VALUE FUND
-----------------------------------------------------------------------------------------------------------------------
PERIOD ENDED SIX MONTHS ENDED
JUNE 30, 1995 JUNE 30, 1995 YEAR ENDED
(UNAUDITED) (UNAUDITED) DECEMBER 31, 1994
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS at beginning of period $-- $41,341,503 $12,730,551
----------- ----------- -----------
INCREASE (DECREASE ) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss) 10,101 203,106 181,612
Net realized gain (loss) on investments sold and
foreign currency (11,568) 174,683 40,557
Net change in unrealized appreciation
(depreciation) of investments, foreign
currency, dividends and reclaims receivable 939,339 3,864,128 (2,150,217)
----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations 937,872 4,241,917 (1,928,048)
----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- (181,612)
Net realized gain on investments -- -- --
Distributions in excess of net capital gains -- -- (22)
----------- ----------- -----------
Total Distributions -- -- (181,634)
----------- ----------- -----------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 9,714,367 10,695,582 30,878,413
Issued to shareholders in reinvestment dividends -- -- 181,634
Costs of shares repurchased (35,222) (2,955,995) (339,413)
----------- ----------- -----------
Net increase (decrease) from share transactions 9,679,145 7,739,587 30,720,634
----------- ----------- -----------
Net increase (decrease) in net assets 10,617,017 11,981,504 28,610,952
----------- ----------- -----------
NET ASSETS at end of period (including line A) $10,617,017 $53,323,007 $41,341,503
----------- ----------- -----------
----------- ----------- -----------
(A) Accumulated undistributed (overdistributed)
net investment income $10,101 $203,106 $--
----------- ----------- -----------
----------- ----------- -----------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold 9,399,688 9,519,667 27,225,300
Issued to shareholders in reinvestment of dividends -- -- 166,790
Repurchased (33,483) (2,564,264) (303,464)
----------- ----------- -----------
Net increase (decrease) in shares outstanding 9,366,205 6,955,403 27,088,626
----------- ----------- -----------
----------- ----------- -----------
---------------------------------------------------------------------------------------------------------------------------------
GROWTH FUND SELECT
FUND GROWTH FUND
---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1995 YEAR ENDED JUNE 30, 1995 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1994 (UNAUDITED) DECEMBER 31, 1994
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period $335,713,593 $338,545,370 $88,263,274 $53,853,524
------------ ------------ ------------ -----------
INCREASE (DECREASE ) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss) 4,448,494 7,552,976 149,783 266,298
Net realized gain (loss) on investments sold and
foreign currency 13,963,293 20,083,968 (1,366,118) (3,381,025)
Net change in unrealized appreciation
(depreciation) of investments, foreign
currency, dividends and reclaims receivable 42,304,311 (27,175,747) 19,355,404 2,059,489
------------ ------------ ------------ -----------
Net increase (decrease) in net assets resulting
from operations 60,716,098 461,197 18,139,069 (1,055,238)
------------ ------------ ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (4,368,020) (7,552,408) -- (265,912)
Net realized gain on investments (160,399) (14,798,129) -- --
Distributions in excess of net capital gains -- -- -- --
------------ ------------ ------------ -----------
Total Distributions (4,528,419) (22,350,537) -- (265,912)
------------ ------------ ------------ -----------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 17,823,740 48,153,532 17,794,199 39,359,834
Issued to shareholders in reinvestment dividends 4,528,420 22,350,537 -- 265,912
Costs of shares repurchased (18,538,787) (51,446,506) (2,343,255) (3,894,846)
------------ ------------ ------------ -----------
Net increase (decrease) from share transactions 3,813,373 19,057,563 15,450,944 35,730,900
------------ ------------ ------------ -----------
Net increase (decrease) in net assets 60,001,052 (2,831,777) 33,590,013 34,409,750
------------ ------------ ------------ -----------
NET ASSETS at end of period (including line A) $395,714,645 $335,713,593 $121,853,287 $88,263,274
------------ ------------ ------------ -----------
------------ ------------ ------------ -----------
(A) Accumulated undistributed (overdistributed)
net investment income $81,042 $568 $150,169 $386
------------ ------------ ------------ -----------
------------ ------------ ------------ -----------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold 8,963,761 25,103,242 15,221,146 35,429,310
Issued to shareholders in reinvestment of dividends 2,211,262 12,224,920 -- 241,958
Repurchased (9,409,963) (26,815,831) (1,985,238) (3,516,928)
------------ ------------ ------------ -----------
Net increase (decrease) in shares outstanding 1,765,060 10,512,331 13,235,908 32,154,340
------------ ------------ ------------ -----------
------------ ------------ ------------ -----------
</TABLE>
59
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------------
SELECT GROWTH EQUITY INDEX
AND INCOME FUND FUND
--------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1995 YEAR ENDED JUNE 30, 1995 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1994 (UNAUDITED) DECEMBER 31, 1994
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period $110,212,501 $60,518,037 $52,245,669 $42,841,722
------------ ------------ ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income 1,141,683 2,199,418 607,243 1,084,250
Net realized gain (loss) on investments sold 1,983,609 2,043,101 279,583 642,239
Net change in unrealized appreciation
(depreciation) of investments 14,546,652 (3,847,540) 9,810,092 (1,184,242)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets
resulting from operations 17,671,944 394,979 10,696,918 542,247
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income (1,126,536) (2,199,265) (575,857) (1,100,368)
------------ ------------ ----------- -----------
Distributions net in excess of net investment income -- -- -- --
Net realized gain on investments -- (1,837,958) (5,326,012) (655,350)
Distribution in excess of net capital gains -- (683,154) -- --
Total Distributions (1,126,536) (4,720,377) (5,901,869) (1,755,718)
SHARE TRANSACTIONS:
Net proceeds from sales of shares 25,064,747 51,551,924 7,087,254 11,343,518
Issued to shareholders in reinvestment
of dividend 1,126,536 4,720,377 5,901,870 1,755,718
Costs of shares repurchased (2,605,929) (2,252,439) (1,273,339) (2,481,818)
------------ ------------ ----------- -----------
Net increase (decrease) from share transactions 23,585,354 54,019,862 11,715,785 10,617,418
------------ ------------ ----------- -----------
Net increase (decrease) in net assets 40,130,762 49,694,464 16,510,834 9,403,947
------------ ------------ ----------- -----------
NET ASSETS at end of period (including line A) $150,343,263 $110,212,501 $68,756,503 $52,245,669
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
(A) Accumulated undistributed (overdistributed)
net investment income $15,455 $308 $31,386 $--
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold 22,974,286 48,256,893 4,382,272 7,589,119
Issued to shareholders in reinvestment of dividends 1,000,953 4,559,518 3,680,017 1,199,589
Repurchased (2,350,921) (2,119,523) (804,288) (1,665,704)
------------ ------------ ----------- -----------
Net increase (decrease) in shares
outstanding 21,624,318 50,696,888 7,258,001 7,123,004
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
</TABLE>
60 See Notes to Financial Statements.
<PAGE>
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------------
INVESTMENT GRADE GOVERNMENT
INCOME FUND BOND FUND
--------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
JUNE 30, 1995 YEAR ENDED JUNE 30, 1995 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1994 (UNAUDITED) DECEMBER 31, 1994
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period $109,971,914 $107,123,848 $42,078,279 $77,105,113
------------ ------------ ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income 3,977,381 6,869,069 1,188,444 3,322,013
Net realized gain (loss) on investments sold 453,032 (3,140,594) (107,017) (1,847,471)
Net change in unrealized appreciation
(depreciation) of investments 8,151,400 (7,095,992) 2,013,670 (2,221,909)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets
resulting from operations 12,581,813 (3,367,517) 3,095,097 (747,367)
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income (3,954,811) (6,869,299) (1,183,796) (3,323,245)
Distributions net in excess of net investment income -- (24,128) -- (8,606)
Net realized gain on investments -- -- -- --
Distribution in excess of net capital gains -- (14,248) -- (3,450)
------------ ------------ ----------- -----------
Total Distributions (3,954,811) (6,907,675) (1,183,796) (3,335,301)
------------ ------------ ----------- -----------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 9,585,716 22,620,108 2,929,547 11,772,816
Issued to shareholders in reinvestment
of dividend 3,954,811 6,907,675 1,183,796 3,335,301
Costs of shares repurchased (6,687,995) (16,404,525) (8,378,245) (46,052,283)
------------ ------------ ----------- -----------
Net increase (decrease) from share transactions 6,852,532 13,123,258 (4,264,902) (30,944,166)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets 15,479,534 2,848,066 (2,353,601) (35,026,834)
------------ ------------ ----------- -----------
NET ASSETS at end of period (including line A) $125,451,448 $109,971,914 $39,724,678 $42,078,279
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
(A) Accumulated undistributed (overdistributed)
net investment income $22,570 $-- $4,648 $--
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold 9,042,339 21,039,347 2,836,248 11,192,730
Issued to shareholders in reinvestment of dividends 3,704,453 6,680,741 1,148,745 3,266,791
Repurchased (6,318,784) (15,461,822) (8,147,473) (44,309,624)
------------ ------------ ----------- -----------
Net increase (decrease) in shares
outstanding 6,428,008 12,258,266 (4,162,480) (29,850,103)
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
--------------------------------------------------------------------------------------------------
MONEY MARKET
FUND
--------------------------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1995 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1994
--------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS at beginning of period $95,991,332 $71,051,834
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income 3,537,151 3,195,275
Net realized gain (loss) on investments sold 189 (347)
Net change in unrealized appreciation
(depreciation) of investments -- --
Net increase (decrease) in net assets
resulting from operations 3,537,340 3,194,928
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income (3,537,151) (3,195,275)
Distributions net in excess of net investment income -- --
Net realized gain on investments -- --
Distribution in excess of net capital gains -- --
------------ ------------
Total Distributions (3,537,151) (3,195,275)
------------ ------------
SHARE TRANSACTIONS:
Net proceeds from sales of shares 95,977,104 135,502,179
Issued to shareholders in reinvestment
of dividend 3,537,151 3,195,275
Costs of shares repurchased (58,061,750) (113,757,609)
------------ ------------
Net increase (decrease) from share transactions 41,452,505 24,939,845
------------ ------------
Net increase (decrease) in net assets 41,452,694 24,939,498
------------ ------------
NET ASSETS at end of period (including line A) $137,444,026 $95,991,332
------------ ------------
------------ ------------
(A) Accumulated undistributed (overdistributed)
net investment income $-- $--
------------ ------------
------------ ------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold 95,977,104 135,502,179
Issued to shareholders in reinvestment of dividends 3,537,151 3,195,275
Repurchased (58,061,750) (113,757,609)
------------ ------------
Net increase (decrease) in shares
outstanding 41,452,505 24,939,845
------------ ------------
------------ ------------
</TABLE>
61
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
------------------------------------------------- ------------------------------------------------------
NET REALIZED DISTRIBUTIONS
NET AND DISTRIBUTIONS IN
ASSET UNREALIZED DIVIDENDS FROM NET GROSS
VALUE NET GAIN(LOSS) TOTAL FROM FROM NET REALIZED OF NET
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL CAPITAL TOTAL
DECEMBER 31, OF PERIOD INCOME(2&1) INVESTMENT OPERATIONS INCOME GAINES GAINES DISTRIBUTIONS
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Select
International
Equity Fund(1)
Six Months Ended
June 30, 1995(A) $0.963 0.010 0.082 0.092 -- -- -- --
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) -- (0.002)
Select Aggressive
Growth Fund(1)
Six Months Ended
June 30, 1995(A) $1.397 -- 0.208 0.208 -- -- -- --
1994 1.431 (0.002) (0.032) (0.034) -- -- -- --
1993 1.197 0.001 0.234 0.235 (0.001) -- -- (0.001)
1992 1.000 0.001 0.197 0.198 (0.001) -- -- (0.001)
Select Capital
Appreciation Fund(1)
Period Ended
June 30, 1995(A) $1.000 0.001 0.133 0.134 -- -- -- --
<CAPTION>
NET
INCREASE
(DECREASE) NET ASSET
IN VALUE NET ASESTS
YEAR ENDED NET ASSET END OF TOTAL END OF
DECEMBER 31, VALUE PERIOD RETURN PERIOD
---------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select
International
Equity Fund(1)
Six Months Ended
June 30, 1995(A) 0.092 $1.055 9.55%** $65,068
1994 (0.037) 0.963 (3.49)%** 40,498
Select Aggressive
Growth Fund(1)
Six Months Ended
June 30, 1995(A) 0.208 $1.605 14.89%** $191,431
1994 (0.034) 1.397 (2.31)% 136,573
1993 0.234 1.431 19.51% 66,251
1992 0.197 1.197 19.85%** 9,270
Select Capital
Appreciation Fund(1
Period Ended
June 30, 1995(A) 0.134 $1.134 13.40%** $10,617
RATIOS TO AVERAGE NET ASSETS
-------------------------------------------------
<CAPTION>
OPERATING OPERATING
NET EXPENSES GROSS NET PORTFOLIO EXPENSES
YEAR ENDED INVESTMENT INCLUDING MANAGEMENT MANAGEMENT TURNOVER EXCLUDING
DECEMBER 31, INCOME REIMBURSEMENT FEE FEE RATE REIMBURSEMENT
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Select International
Equity Fund(1)
Six Months Ended
June 30, 1995(A) 2.32%* 1.25%* 1.00%* 1.00%* 14% N/A
1994 0.87%* 1.50%* 1.00%* 0.72%* 19% 1.78%*
Select Aggressive
Growth Fund(1)
Six Months Ended
June 30, 1995(A) 0.07%* 1.12%* 1.00%* 1.00%* 48%* N/A
1994 (0.21)% 1.16% 1.00% 1.00% 100% N/A
1993 0.10% 1.19% 1.00% 0.96% 76% 1.23%
1992 0.34%* 1.35%* N/A N/A 33% 1.88%*
Select Capital
Appreciation Fund(1)
Period Ended
June 30, 1995(A) 0.83%* 1.35%* 1.00%* 0.20%* 27% 2.15%*
<FN>
-------------------------------
* Annualized
** Not Annualized
(A) Unaudited
(1) The Funds commenced operations as follows:
Select International Select Aggressive Select Capital Select Growth
Equity Fund Growth Fund Appreciation Fund Fund
-------------------- ----------------- ----------------- ---------------
May 2, 1994 August 21, 1992 April 28, 1995 August 21, 1992
(2) Amounts for Select International Equity and Select Aggressive Growth Funds
are based on the undistributed net investment income balance prior to
reclassification among capital accounts. See Note 2.
(3) Net Investment Income per share before reimbursement of fees by the
investment adviser were as follows:
Six Months Ended Years Ended December 31,
June 30, 1995 1994 1993 1992
---------------- ------ ------ -------
Select International Equity Fund $N/A $0.002 $N/A $N/A
Select Aggressive Growth Fund N/A N/A 0.000 (0.001)
Select Capital Appreciation Fund 0.000 N/A N/A N/A
</TABLE>
62 See Notes to Financial Statements.
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
---------------------------------------- -------------------------------------------------
NET REALIZED
NET AND DISTRIBUTIONS
ASSET UNREALIZED DIVIDENDS FROM NET
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET REALIZED TOTAL
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL RETURN DISTRI-
DECEMBER 31, OF PERIOD INCOME(2&3) INVESTMENT(2) OPERATIONS INCOME GAINS OF CAPITAL BUTIONS
------------- --------- ------------ -------------- ---------- ---------- ------------- ---------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Small Cap
Value Fund(1)
Six Months Ended
June 30, 1995(A) $1.089 0.005 0.093 0.098 -- -- -- --
1994 1.170 0.005 (0.081) (0.076) (0.005) -- -- (0.005)
1993 1.000 0.002 0.176 0.178 (0.002) (0.006) -- (0.008)
Growth Fund
Six Months Ended
June 30, 1995(A) $ 1.814 0.024 0.305 0.329 (0.024) (0.001) -- (0.015)
1994 1.939 0.043 (0.041) 0.002 (0.043) (0.084) -- (0.127)
1993 2.034 0.039 0.095 0.134 (0.039) (0.180) (0.010) (0.229)
1992 1.976 0.034 0.105 0.139 (0.034) (0.047) -- (0.081)
1991 1.471 0.038 0.548 0.586 (0.039) (0.042) -- (0.081)
1990 1.558 0.041 (0.047) (0.006) (0.041) (0.040) -- (0.081)
Select Growth
Fund(1)
Six Months Ended
June 30, 1995(A) $1.099 0.002 0.202 0.204 -- -- -- --
1994 1.119 0.003 (0.020) (0.017) (0.003) -- -- (0.003)
1993 1.111 0.001 0.008 0.009 (0.001) -- -- (0.001)
1992 1.000 0.001 0.111 0.112 (0.001) -- -- (0.001)
<CAPTION>
NET
INCREASE
(DECREASE) NET ASSET
IN VALUE NET ASSETS
YEAR ENDED NET ASSET END OF TOTAL END OF
DECEMBER 31, VALUE PERIOD RETURN PERIOD
------------ ---------- --------- ---------- ------
<S> <C> <C> <C> <C>
Small Cap
Value Fund(1)
Six Months Ended
June 30, 1995(A) 0.098 $ 1.187 9.00%** $53,323
1994 (0.081) 1.089 (6.51)% 41,342
1993 0.170 1.170 17.74%** 12,731
Growth Fund
Six Months Ended
June 30, 1995(A) 0.304 $2.118 18.16%** $395,715
1994 (0.125) 1.814 0.16% 335,714
1993 (0.095) 1.939 6.66% 338,545
1992 0.058 2.034 7.11% 270,818
1991 0.505 1.976 40.44% 182,965
1990 (0.087) 1.471 (0.30)% 97,179
Select Growth
Fund(1)
Six Months Ended
June 30, 1995(A) 0.204 $ 1.303 18.56%** $121,853
1994 (0.020) 1.099 (1.49)% 88,263
1993 0.008 1.119 0.84% 53,854
1992 0.111 1.111 11.25%** 9,308
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
-----------------------------------------------------
OPERATING OPERATING
NET EXPENSES GROSS NET PORTFOLIO EXPENSES
YEAR ENDED INVESTMENT INCLUDING MANAGEMENT MANAGEMENT TURNOVER EXCLUDING
DECEMBER 31, INCOME REIMBURSEMENTS FEE FEE RATE REIMBURSEMENT
------------------- ---------- -------------- ---------- ---------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Small Cap
Value Fund(1)
Six Months Ended
June 30, 1995(A) 0.86%* 1.05%* 0.85%* 0.85%* 9% N/A
1994 0.64% 1.08% 0.85% 0.84% 4% 1.09%
1993 0.52%* 1.22%* 0.85%* 0.04%* 8% 2.03%*
Growth Fund
Six Months Ended
June 30, 1995(A) 2.47%* 0.56%* 0.47%* 0.47%* 31% N/A
1994 2.15% 0.56% 0.48% 0.48% 46% N/A
1993 1.92% 0.54% 0.49% 0.48% 42% 0.55%
1992 1.85% 0.58% N/A N/A 19% N/A
1991 2.26% 0.57% N/A N/A 24% N/A
1990 2.87% 0.60% N/A N/A 39% N/A
Select Growth
Fund(1)
Six Months Ended
June 30, 1995(A) 0.30%* 1.01%* 0.85%* 0.85%* 26% N/A
1994 0.37% 1.03% 0.85% 0.85% 55% N/A
1993 0.15% 1.05% 0.85% 0.82% 65% 1.08%
1992 0.40%* 1.20%* N/A N/A 3% 1.72%*
<FN>
------------------------------
* Annualized
** Not Annualized
(A) Unaudited
(1) The Funds commenced operations as follows:
Small Cap Select Growth
Value Fund Fund
-------------------- -----------------
April 30, 1993 August 21, 1992
(2) Amounts for Growth Funds are based on the undistributed net investment
income balance prior to reclassification among capital accounts.
See Note 2.
(3) Net Investment Income per share before reimbursement of fees by the
investment adviser were as follows:
Years Ended December 31,
1994 1993 1992
----- ---- ----
Small Cap Value Fund $0.005 $0.001 $ N/A
Growth Fund N/A 0.038 N/A
Select Growth Fund N/A 0.001 0.000
</TABLE>
See Notes to Financial Statements. 63
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
---------------------------------------- -------------------------------------------------
NET REALIZED DISTRIBUTIONS
NET AND DISTRIBUTIONS IN
ASSET UNREALIZED DIVIDENDS FROM NET EXCESS
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET REALIZED OF TOTAL
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL NET DISTRI-
DECEMBER 31, OF PERIOD INCOME(2) INVESTMENT OPERATIONS INCOME GAINS CAPITAL GAINS BUTIONS
------------ --------- ----------- ------------ ---------- ---------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund(1)
Six Months Ended
June 30, 1995(A) $ 1.027 0.009 0.139 0.148 (0.009) -- -- (0.009)
1994 1.069 0.025 (0.018) 0.007 (0.025) (0.017) (0.007) (0.049)
1993 0.990 0.023 0.079 0.102 (0.023) -- -- (0.023)
1992 1.000 0.008 (0.009) (0.001) (0.008) (0.001) -- (0.009)
Equity Index
Fund(1)
Six Months Ended
June 30, 1995(A) $ 1.468 0.016 0.270 0.286 (0.015) (0.135) -- (0.150)
1994 1.505 0.033 (0.018) 0.015 (0.033) (0.019) -- (0.052)
1993 1.409 0.032 0.102 0.134 (0.031) (0.007) -- (0.038)
1992 1.354 0.030 0.066 0.096 (0.031) (0.010) -- (0.041)
1991 1.080 0.032 0.279 0.311 (0.032) (0.005) -- (0.037)
1990 1.000 0.009 0.080 0.089 (0.009) -- -- (0.009)
Investment Grade
Income Fund(1)
Six Months Ended
June 30, 1995(A) $ 1.012 0.036 0.077 0.113 (0.035) -- -- (0.035)
1994 1.119 0.066 (0.099) (0.033) (0.066) -- -- (0.066)
1993 1.074 0.065 0.049 0.114 (0.065) (0.012) -- (0.077)
1992 1.085 0.075 0.013 0.088 (0.075) (0.024) -- (0.099)
1991 1.004 0.080 0.081 0.161 (0.080) -- -- (0.080)
1990 1.011 0.083 (0.006) 0.077 (0.084) -- -- (0.084)
<CAPTION>
NET
INCREASE
(DECREASE) NET ASSET
IN VALUE NET ASSETS
YEAR ENDED NET ASSET END OF TOTAL END OF
DECEMBER 31, VALUE PERIOD RETURN PERIOD
------------ ---------- --------- ---------- ------
<S> <C> <C> <C> <C>
Select Growth and
Income Fund(1)
Six Months Ended
June 30, 1995(A) 0.139 $1.166 14.47%** $150,343
1994 (0.042) 1.027 0.73% 110,213
1993 0.079 1.069 10.37% 60,518
1992 (0.010) 0.990 (0.11)%** 7,302
Equity Index
Fund(1)
Six Months Ended
June 30, 1995(A) 0.136 $1.604 19.56%** $68,757
1994 (0.037) 1.468 1.06% 52,246
1993 0.096 1.505 9.53% 42,842
1992 0.055 1.409 7.25% 22,393
1991 0.274 1.354 29.16% 9,700
1990 0.080 1.080 8.90%** 5,469
Investment Grade
Income Fund(1)
Six Months Ended
June 30, 1995(A) 0.078 $1.090 11.31%** $ 125,451
1994 (0.099) 1.012 (2.96)% 109,972
1993 0.037 1.111 10.80% 107,124
1992 (0.011) 1.074 8.33% 52,874
1991 0.081 1.085 16.75% 29,018
1990 (0.007) 1.004 8.02% 18,226
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
-----------------------------------------------------
OPERATING OPERATING
NET EXPENSES GROSS NET PORTFOLIO EXPENSES
YEAR ENDED INVESTMENT INCLUDING MANAGEMENT MANAGEMENT TURNOVER EXCLUDING
DECEMBER 31, INCOME REIMBURSEMENTS FEE FEE RATE REIMBURSEMENT
------------------- ---------- -------------- ---------- ---------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund(1)
Six Months Ended
June 30, 1995(A) 1.79%* 0.88%* 0.75%* 0.75%* 50% N/A
1994 2.51% 0.91% 0.75% 0.75% 107% N/A
1993 2.73% 0.99% 0.75% 0.71% 25% 1.03%
1992 3.20%* 1.10%* N/A N/A 4% 2.37%*
Equity Index
Fund(1)
Six Months Ended
June 30, 1995(A) 2.05%* 0.60%* 0.34%* 0.34%* 3% N/A
1994 2.25% 0.57% 0.35% 0.35% 7% N/A
1993 2.28% 0.57% 0.35% 0.29% 4% 0.63%
1992 2.47% 0.57% N/A N/A 6% 0.75%
1991 2.73% 0.55% N/A N/A 6% 0.64%
1990 3.39%* 0.38%* N/A N/A 0.24% N/A
Investment Grade
Income Fund(1)
Six Months Ended
June 30, 1995(A) 6.82%* 0.55%* 0.41%* 0.41%* 74% N/A
1994 6.25% 0.58% 0.42% 0.42% 129% N/A
1993 6.16% 0.54% 0.45% 0.44% 55% 0.55%
1992 7.25% 0.59% N/A N/A 71% N/A
1991 8.10% 0.60% N/A N/A 52% N/A
1990 9.14% 0.56% N/A N/A 5% N/A
<FN>
-----------------------------------
* Annualized
** Not Annualized
(A) Unaudited
(1) The Funds commenced operations as follows:
Select Growth and Equity Index
Income Fund Fund
----------------- ------------------
August 21, 1992 September 28, 1990
(2) Net Investment Income per share before reimbursement of fees by the
investment adviser were as follows:
Years Ended December 31,
1993 1992 1991
---- ---- ----
Select Growth and Income Fund $ 0.023 $ 0.005 $ N/A
Equity Index Fund 0.031 0.028 0.031
Investment Grade Income Fund 0.065 N/A N/A
</TABLE>
See Notes to Financial Statements. 64
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
---------------------------------------- -------------------------------------------------
NET REALIZED
NET AND DISTRIBUTIONS
ASSET UNREALIZED DIVIDENDS FROM NET
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET REALIZED TOTAL
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL RETURN OF DISTRI-
DECEMBER 31, OF PERIOD INCOME(2) INVESTMENT OPERATIONS INCOME GAINS CAPITAL BUTIONS
------------ --------- ----------- ------------ ---------- ---------- ----------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Government
Bond Fund(1)
Six Months Ended
June 30,1995(A) $ 0.997 0.031 0.047 0.078 (0.031) -- -- (0.031)
1994 1.070 0.063 (0.073) (0.010) (0.063) -- -- (0.063)
1993 1.051 0.055 0.024 0.079 (0.055) (0.003) (0.002) (0.060)
1992 1.047 0.057 0.009 0.066 (0.057) (0.005) -- (0.062)
1991 1.000 0.022 0.051 0.073 (0.022) (0.004) -- (0.026)
Money Market
Fund(1)
Six Months Ended
June 30, 1995(A) $ 1.000 0.028 -- 0.028 (0.028) -- -- (0.028)
1994 1.000 0.039 -- 0.039 (0.039) -- -- (0.039)
1993 1.000 0.030 -- 0.030 (0.030) -- -- (0.030)
1992 1.000 0.037 -- 0.037 (0.037) -- -- (0.037)
1991 1.000 0.060 -- 0.060 (0.060) -- -- (0.060)
1990 1.000 0.078 -- 0.078 (0.078) -- -- (0.078)
<CAPTION>
NET
INCREASE
(DECREASE) NET ASSET
IN VALUE NET ASSETS
YEAR ENDED NET ASSET END OF TOTAL END OF
DECEMBER 31, VALUE PERIOD RETURN PERIOD
------------ ---------- --------- ---------- ------
<S> <C> <C> <C> <C>
Government
Bond Fund(1)
Six Months Ended
June 30, 1995(A) 0.047 $1.044 7.89%** $39,725
1994 (0.073) 0.997 (0.88)% 42,078
1993 0.019 1.070 7.51% 77,105
1992 0.004 1.051 6.59% 33,689
1991 0.047 1.047 7.60%** 7,591
Money Market
Fund
Six Months Ended
June 30, 1995(A) -- $1.000 2.88%** $137,444
1994 -- 1.000 3.93% 95,991
1993 -- 1.000 3.00% 71,052
1992 -- 1.000 3.78% 64,506
1991 -- 1.000 6.22% 39,909
1990 -- 1.000 8.17% 28,330
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
-----------------------------------------------------
OPERATING OPERATING
NET EXPENSES GROSS NET PORTFOLIO EXPENSES
YEAR ENDED INVESTMENT INCLUDING MANAGEMENT MANAGEMENT TURNOVER EXCLUDING
DECEMBER 31, INCOME REIMBURSEMENTS FEE FEE RATE REIMBURSEMENT
------------------- ---------- -------------- ---------- ---------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Government
Bond Fund(1)
Six Months Ended
June 30,1995(A) 5.89%* 0.71%* 0.50%* 0.50%* 108% N/A
1994 5.60% 0.70% 0.50% 0.50% 106% N/A
1993 5.51% 0.61% 0.50% 0.49% 35% 0.62%
1992 6.13% 0.68% N/A N/A 67% 0.69%
1991 5.55%* 0.54%* N/A N/A 65% N/A
Money Market
Fund
Six Months Ended
June 30, 1995(A) 5.74%* 0.39%* 0.29%* 0.29%* N/A N/A
1994 3.94% 0.45% 0.31% 0.31% N/A N/A
1993 2.95% 0.42% 0.32% 0.31% N/A 0.43%
1992 3.65% 0.44% N/A N/A N/A N/A
1991 5.98% 0.43% N/A N/A N/A N/A
1990 8.22% 0.42% N/A N/A N/A N/A
<FN>
-----------------------------------
* Annualized
** Not Annualized
(A) Unaudited
(1) The Government Bond Fund commenced operations on August 26, 1991.
(2) Net Investment Income per share before reimbursement of fees by the
investment adviser were as follows:
Years Ended December 31,
1993 1992
---- ----
Government Bond Fund $ 0.055 $ 0.056
Money Market Fund 0.030 N/A
</TABLE>
See Notes to Financial Statements. 65
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS * JUNE 30, 1995 (UNAUDITED)
1. ORGANIZATION
Allmerica Investment Trust (the "Trust"), formerly SMA Investment Trust, is
registered under the Investment Company Act of 1940, as amended, as an open-end,
diversified management investment company established as a Massachusetts
business trust for the purpose of providing a vehicle for the investment of
assets of various separate accounts established by SMA Life Assurance Company, a
wholly-owned subsidiary of State Mutual Life Assurance Company of America
("State Mutual"), or State Mutual Life Insurance Company (the "Companies"). As
of the date of this report, the Trust offered twelve managed investment
portfolios. The accompanying financial statements and financial highlights are
those of the Select International Equity, Select Aggressive Growth, Select
Capital Appreciation, Small Cap Value, Growth, Select Growth, Select Growth and
Income, Equity Index, Investment Grade Income, Government Bond and Money Market
Funds (individually, a "Portfolio," collectively, the "Portfolios").
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies which are in
conformity with generally accepted accounting principles consistently followed
by the Trust in the preparation of its financial statements.
SECURITY VALUATION: Securities which are traded on a recognized exchange
(including securities traded through the National Market System) are valued at
the last sale price on the securities exchange on which such securities are
primarily traded or, if there were no sales that day, at the mean of the closing
bid and asked price. Over-the-counter securities that are not traded through the
National Market System are valued on the basis of the bid price at the close of
business each day. Short-term investments that mature in 60 days or less are
valued at amortized cost. Corporate debt securities and debt securities of the
U.S. Government and its agencies (other than short-term investments) are valued
by an independent pricing service approved by the Board of Trustees which
utilizes market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. If not valued by a pricing
service, such securities are valued at prices obtained from independent brokers.
Investments with prices that cannot be readily obtained, if any, are carried at
fair value as determined in good faith under consistently applied procedures
established by and under the supervision of the Board of Trustees. The
investments of the Money Market Fund are valued utilizing the amortized cost
valuation method permitted in accordance with Rule 2a-7 under the Investment
Company Act of 1940. This method involves valuing a portfolio security initially
at its cost and thereafter assuming a constant amortization to maturity of any
discount or premium.
FORWARD FOREIGN CURRENCY CONTRACTS: The Select International Equity and
Select Capital Appreciation Funds may enter into forward foreign currency
contracts whereby the Portfolios agree to sell a specific currency at a
specific price at a future date in an attempt to hedge against fluctuations
in the value of the underlying currency of certain portfolio instruments.
Forward foreign currency contracts are valued at the daily exchange rate of
the underlying currency. Purchases and sales of forward foreign currency
contracts having the same settlement date and broker are offset and presented
on a net basis in the Statement of Assets and Liabilities. Gains or losses on
the purchase or sale of forward foreign currency contracts having the same
settlement date and broker are recognized on the date of offset, otherwise
gains or losses are recognized on the settlement date.
66
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED (UNAUDITED)
FOREIGN CURRENCY TRANSLATION: Investment valuations, other assets and
liabilities initially expressed as foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments and income and expenses are converted into U.S.
dollars based upon exchange rates prevailing on the respective dates of such
transactions. That portion of unrealized gains or losses on investments due to
fluctuations in foreign currency exchange rates is not separately disclosed.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are
recorded on the trade date. Net realized gains and losses from security
transactions are recorded on the basis of identified cost. Interest income is
recorded on the accrual basis and consists of interest accrued and, if
applicable, discount earned less premiums amortized. Dividend income is
recorded on the ex-dividend date. Short-term gains of the Money Market Fund are
included in interest income.
DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment income are
declared and reinvested daily for the Money Market Fund, declared and
distributed quarterly for the Growth, Select Growth and Income, Equity Index,
Investment Grade Income and Government Bond Funds, and annually for the
Select International Equity, Select Aggressive Growth, Select Capital
Appreciation, Small Cap Value and Select Growth Funds. All Portfolios with
the exception of the Money Market Fund declare and distribute, if any, all
net realized capital gains at least annually.
The amounts of income and capital gains to be distributed are determined in
accordance with income tax regulations. Such amounts may vary from income and
gains recognized in accordance with generally accepted accounting principles. As
such, reclassifications are made to the Portfolio's capital accounts as
necessary, so that they reflect income and gains available for distribution (or
available capital loss carryforwards) under income tax regulations.
FEDERAL INCOME TAXES: The Trust treats each Portfolio as a separate entity
for Federal income tax purposes. Each Portfolio intends to qualify each year
as a "regulated investment company" under Subchapter M of the Internal
Revenue Code of 1986, as amended. By so qualifying, each Portfolio will not
be subject to Federal income taxes to the extent it distributes all of its
taxable income and net realized gains for the tax year ending December 31. In
addition, by distributing during each calendar year substantially all of its
net investment income, capital gains and certain other amounts, if any, each
Portfolio will not be subject to Federal excise tax. Therefore, no Federal
income tax provision is required. Withholding taxes on foreign dividend
income and gains have been paid or provided for in accordance with the
applicable country's tax rules and rates.
EXPENSES: The Trust accounts separately for assets, liabilities and
operations of each Portfolio. Expenses directly attributed to a Portfolio are
charged to the Portfolio, while expenses which are attributable to more than
one Portfolio of the Trust are allocated among the respective Portfolios.
FORWARD COMMITMENTS: Each Portfolio may from time to time purchase securities
on forward commitment basis. Debt securities are often issued on this basis. The
yield of such securities is fixed at the time a commitment to purchase is made,
with actual payment and delivery of the security generally taking place 15 to 45
days later. During the period between purchase and settlement, typically no
payment is made by a Portfolio and no interest accrues to the Portfolio. The
market value of forward commitments may be more or less than the purchase price
payable at settlement date.
67
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED (UNAUDITED)
3. INVESTMENT ADVISORY, ADMINISTRATION
AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Investment Management Company, Inc. (the "Manager"), a wholly-owned
subsidiary of State Mutual, serves as Investment Adviser to the Trust. Under the
terms of the management agreement, the Portfolios pay a management fee,
calculated daily and payable monthly, at an annual rate based upon the following
fee schedule:
<TABLE>
<CAPTION>
PERCENTAGE OF AVERAGE DAILY NET ASSET VALUE
FIRST NEXT ON THE
PORTFOLIO $50,000,000 $200,000,000 REMAINDER
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Select International Equity 1.00% 1.00% 1.00%
Select Aggressive Growth 1.00% 1.00% 1.00%
Select Capital Appreciation 1.00% 1.00% 1.00%
Small Cap Value 0.85% 0.85% 0.85%
Growth 0.60% 0.50% 0.35%
Select Growth 0.85% 0.85% 0.85%
Select Growth and Income 0.75% 0.75% 0.75%
Equity Index 0.35% 0.30% 0.25%
Investment Grade Income 0.50% 0.35% 0.25%
Government Bond 0.50% 0.50% 0.50%
Money Market 0.35% 0.25% 0.20%
</TABLE>
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers.
The Sub-Advisers for each of the Portfolios are as follows:
Select International Equity Bank of Ireland Asset Management Limited
Select Aggressive Growth Nicholas-Applegate Capital Management
Select Capital Appreciation Janus Capital Corporation
Small Cap Value David L.Babson & Co. Inc.
Growth Miller, Anderson & Sherrerd
Select Growth Provident Investment Counsel
Select Growth and Income John A. Levin & Co., Inc.
Equity Index Allmerica Asset Management, Inc.
Investment Grade Income Allmerica Asset Management, Inc.
Government Bond Allmerica Asset Management, Inc.
Money Market Allmerica Asset Management, Inc.
Effective September 1, 1994, John A. Levin & Co., Inc. replaced Newbold's Asset
Management, Inc. as Sub-Adviser of the Select Growth and Income Portfolio.
68
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED (UNAUDITED)
The Manager also has entered into an Administrative Services Agreement
with The Shareholder Services Group, Inc. ("TSSG"), a wholly-owned subsidiary
of First Data Corp., whereby TSSG performs administrative services for each
of the Portfolios and is entitled to receive an administrative fee and
certain out-of-pocket expenses. The manager is solely responsible for the
payment of the administrative fee to TSSG.
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, broker commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select
International Equity - 1.50%, Select Aggressive Growth - 1.35%, Select
Capital Appreciation -1.35%, Small Cap Value - 1.25%, Growth Fund - 1.20%,
Select Growth - 1.20%, Select Growth and Income - 1.10%, Equity Index Fund -
0.60%, Investment Grade Income Fund - 1.00%, Government Bond Fund - 1.00% and
Money Market Fund -0.60%), the Manager will bear such expenses directly or
reduce its compensation from the Portfolios by the excess of the stated
expense limitations. Expense limitations may be removed or revised without
prior notice to existing shareholders. The Manager may voluntarily reimburse
its fees and any expenses in excess of the expense limitations.
For the six months ended June 30, 1995, the Investment Adviser voluntarily
agreed to reimburse the Portfolios as follows:
<TABLE>
<CAPTION>
FEES REIMBURSED BY
PORTFOLIO INVESTMENT ADVISER
--------------------------------------------------------------------------
<S> <C>
Select Capital Appreciation $ 9,830
</TABLE>
The Shareholder Services Group, Inc., doing business as 440 Financial ("440
Financial"), a wholly-owned subsidiary of First Data Corp., calculates net asset
value per share, and maintains general accounting records for each Portfolio.
For these services, 440 Financial receives an annual fee based on
Portfolio assets and certain out-of-pocket expenses. The Trust pays no
salaries or compensation to any of its officers. Trustees who are not
directors, officers, or employees of the Trust or any investment adviser are
reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such
amounts are paid by the Trust.
4. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value.
69
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED (UNAUDITED)
5. PURCHASES AND SALES OF SECURITIES
The cost of purchases and proceeds from sales of investment securities,
excluding short-term investments, for the six months ended June 30, 1995 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
OTHER GOVERNMENT OTHER GOVERNMENT
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International Equity $ 26,915,178 $-- $ 7,037,913 $--
Select Aggressive Growth 106,111,385 -- 74,566,605 --
Select Capital Appreciation 9,214,308 -- 1,287,229 --
Small Cap Value 11,700,611 -- 4,061,644 --
Growth 104,206,310 -- 100,636,438 --
Select Growth 49,249,695 -- 23,985,784 --
Select Growth and Income 88,165,725 -- 59,659,417 --
Equity Index 7,636,107 -- 1,462,727 --
Investment Grade Income 19,806,768 79,444,263 9,430,751 68,100,121
Government Bond -- 40,020,269 -- 41,640,795
</TABLE>
At June 30, 1995, aggregate gross unrealized appreciation for all securities
in which there was an excess of value over tax cost and aggregate gross
unrealized depreciation for all securities in which there was an excess of tax
cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS
------------------------------
NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION) COST
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International Equity $ 6,070,689 $ 2,074,037 $ 3,996,652 $ 63,965,410
Select Aggressive Growth 46,976,477 4,451,804 42,524,673 150,124,761
Select Capital Appreciation 1,046,547 93,664 952,883 10,110,378
Small Cap Value 6,039,696 3,109,806 2,929,890 49,057,182
Growth 63,236,229 5,876,195 57,360,034 339,311,441
Select Growth 25,291,297 1,095,727 24,195,570 99,606,580
Select Growth and Income 16,142,574 3,355,407 12,787,167 138,563,693
Equity Index 14,731,035 1,312,806 13,418,229 55,215,759
Investment Grade Income 3,841,350 1,020,283 2,821,067 121,861,563
Government Bond 396,325 305,360 90,965 39,160,887
</TABLE>
70
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED (UNAUDITED)
6.CAPITAL LOSS CARRYFORWARD
As of December 31, 1994, certain Portfolios had capital loss carryforwards which
expire as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
PORTFOLIO 2000 2001 2002
-----------------------------------------------------------------------------------------
<S> <C>
Select Aggressive Growth $18,976 $1,114,471 $8,096,149
Small Cap Value -- -- 36,886
Select Growth 7,651 247,191 2,115,070
Investment Grade Income -- -- 2,377,773
Government Bond -- -- 1,544,794
Money Market -- -- 347
</TABLE>
7. FOREIGN SECURITIES
The Select International Equity Fund purchases securities of foreign issuers.
Investing in such securities involves special risks not typically associated
with investing in securities of U.S. issuers. The risks include revaluation
of currencies and future adverse political and economic developments.
Moreover, securities of many foreign issuers and their markets may be less
liquid and their prices more volatile than those of securities of comparable
U.S. issuers.
8. FINANCIAL INSTRUMENTS
Investing in financial instruments such as the sales of forward foreign currency
contracts involves risk in excess of the amounts reflected in the Statement of
Assets and Liabilities. The face or contract amounts reflect the extent of the
involvement the Portfolio has in the instruments. Risks associated with these
instruments include an imperfect correlation between the movements in the price
of the instruments and the price of the underlying securities and interest
rates, an illiquid secondary market for the instruments or inability of
counterparties to perform under the terms of the contract and changes in the
value of currency relative to the U.S. dollar. The Select International Equity
Fund and the Select Capital Appreciation Fund enter into these contracts
primarily as a means to remain fully invested and reduce transaction costs.
71
<PAGE>
ALLMERICA INVESTMENT TRUST
The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is neither insured nor guaranteed by
the U.S. Government. There can be no assurance that the Fund will be able to
maintain a stable net asset value of $1.00 per share.
Notes: This report is not authorized for distribution to prospective purchasers
of SMA Life Variable Annuity products unless accompanied or preceded by
effective prospectuses of the SMA Life Variable Annuity and Allmerica Investment
Trust; or to prospective purchasers of SMA Life's or State Mutual's ExecAnnuity
Plus unless accompanied or preceded by effective prospectuses for SMA Life's or
State Mutual's ExecAnnuity Plus, Allmerica Investment Trust and Variable
Insurance Products Fund, which include information related to charges and
expenses.
The information contained in the report relating to Separate Accounts VA-B and
VA-C does not apply to the following policy series offered prior to October 15,
1975: ST-67, ST-69, FP-67, FP-69, SP-67, SP-69, VFR-68 and VFS-68. The
information contained in the report relating to Separate Accounts VA-G and VA-H
does not apply to the previously noted policy series and following policy series
offered prior to February 12, 1980: A3001-75, A3002-75, A3003-75 and A3004-75
72
<PAGE>
EXECANNUITY PLUS
ExecAnnuity Plus is issued by SMA Life Assurance Company and distributed by
Allmerica Investments, Inc.
[ALLMERICA FINANCIAL LOGO]
State Mutual Life Assurance Company of America - SMA Life Assurance Company
(licensed in all states except New York and Hawaii)
Allmerica Trust Company, N.A. - Allmerica Investments, Inc. - Allmerica
Investment Management Company, Inc.
Allmerica Property & Casualty Companies, Inc. - The Hanover Insurance Company
Sterling Risk Management Services, Inc. - Citizens Corporation - Citizens
Insurance Company of America - AMGRO, Inc.
440 Lincoln Street, Worcester, Massachusetts 01653
AFSEASEMISM [RECYCLED PAPER LOGO]
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 1
<NAME> GROWTH FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 339,311,441
<INVESTMENTS-AT-VALUE> 396,671,475
<RECEIVABLES> 1,590,012
<ASSETS-OTHER> 369,229
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 398,630,716
<PAYABLE-FOR-SECURITIES> 2,339,594
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 576,477
<TOTAL-LIABILITIES> 2,916,071
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 319,308,633
<SHARES-COMMON-STOCK> 186,864,461
<SHARES-COMMON-PRIOR> 185,099,401
<ACCUMULATED-NII-CURRENT> 81,042
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 18,964,936
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 57,360,034
<NET-ASSETS> 395,714,645
<DIVIDEND-INCOME> 5,290,979
<INTEREST-INCOME> 159,467
<OTHER-INCOME> 0
<EXPENSES-NET> 1,001,952
<NET-INVESTMENT-INCOME> 4,448,494
<REALIZED-GAINS-CURRENT> 13,963,293
<APPREC-INCREASE-CURRENT> 42,304,311
<NET-CHANGE-FROM-OPS> 60,716,098
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 4,368,020
<DISTRIBUTIONS-OF-GAINS> 160,399
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 17,823,740
<NUMBER-OF-SHARES-REDEEMED> 18,538,787
<SHARES-REINVESTED> 4,528,420
<NET-CHANGE-IN-ASSETS> 60,001,052
<ACCUMULATED-NII-PRIOR> 568
<ACCUMULATED-GAINS-PRIOR> 5,162,042
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 841,263
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,001,952
<AVERAGE-NET-ASSETS> 363,277,014
<PER-SHARE-NAV-BEGIN> 1.814
<PER-SHARE-NII> 0.024
<PER-SHARE-GAIN-APPREC> 0.305
<PER-SHARE-DIVIDEND> 0.024
<PER-SHARE-DISTRIBUTIONS> 0.001
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 2.118
<EXPENSE-RATIO> 0.56
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 2
<NAME> INVESTMENT GRADE INCOME FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 121,861,563
<INVESTMENTS-AT-VALUE> 124,682,630
<RECEIVABLES> 10,779,925
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 135,462,555
<PAYABLE-FOR-SECURITIES> 8,730,816
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,280,291
<TOTAL-LIABILITIES> 10,011,107
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 125,319,848
<SHARES-COMMON-STOCK> 115,069,553
<SHARES-COMMON-PRIOR> 108,641,545
<ACCUMULATED-NII-CURRENT> 22,570
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 2,712,037
<ACCUM-APPREC-OR-DEPREC> 2,821,067
<NET-ASSETS> 125,451,448
<DIVIDEND-INCOME> 108,911
<INTEREST-INCOME> 4,188,763
<OTHER-INCOME> 0
<EXPENSES-NET> 320,293
<NET-INVESTMENT-INCOME> 3,977,381
<REALIZED-GAINS-CURRENT> 453,032
<APPREC-INCREASE-CURRENT> 8,151,400
<NET-CHANGE-FROM-OPS> 12,581,813
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 3,954,811
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,585,716
<NUMBER-OF-SHARES-REDEEMED> 6,687,995
<SHARES-REINVESTED> 3,954,811
<NET-CHANGE-IN-ASSETS> 15,479,534
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 3,165,069
<GROSS-ADVISORY-FEES> 241,220
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 320,293
<AVERAGE-NET-ASSETS> 117,553,760
<PER-SHARE-NAV-BEGIN> 1.012
<PER-SHARE-NII> 0.036
<PER-SHARE-GAIN-APPREC> 0.077
<PER-SHARE-DIVIDEND> 0.035
<PER-SHARE-DISTRIBUTIONS> 0.0
<RETURNS-OF-CAPITAL> 0.0
<PER-SHARE-NAV-END> 1.090
<EXPENSE-RATIO> 0.55
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 3
<NAME> MONEY MARKET FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 136,858,818
<INVESTMENTS-AT-VALUE> 136,858,818
<RECEIVABLES> 1,170,583
<ASSETS-OTHER> 64,814
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 138,094,215
<PAYABLE-FOR-SECURITIES> 500,000
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 150,189
<TOTAL-LIABILITIES> 650,189
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 137,444,184
<SHARES-COMMON-STOCK> 137,444,184
<SHARES-COMMON-PRIOR> 95,991,679
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 158
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 137,444,026
<DIVIDEND-INCOME> 165,614
<INTEREST-INCOME> 3,610,947
<OTHER-INCOME> 0
<EXPENSES-NET> 239,410
<NET-INVESTMENT-INCOME> 203,106
<REALIZED-GAINS-CURRENT> 189
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 3,537,340
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 3,537,151
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 95,977,104
<NUMBER-OF-SHARES-REDEEMED> 58,061,750
<SHARES-REINVESTED> 3,537,151
<NET-CHANGE-IN-ASSETS> 41,452,694
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 347
<GROSS-ADVISORY-FEES> 178,816
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 239,410
<AVERAGE-NET-ASSETS> 124,238,173
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> 0.028
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0.028
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1.000
<EXPENSE-RATIO> 0.39
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 4
<NAME> EQUITY INDEX FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 55,215,759
<INVESTMENTS-AT-VALUE> 13,418,229
<RECEIVABLES> 173,252
<ASSETS-OTHER> 28,854
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 68,836,094
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 79,591
<TOTAL-LIABILITIES> 79,591
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 60,379,921
<SHARES-COMMON-STOCK> 42,852,333
<SHARES-COMMON-PRIOR> 35,594,332
<ACCUMULATED-NII-CURRENT> 31,386
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 5,073,033
<ACCUM-APPREC-OR-DEPREC> 13,418,229
<NET-ASSETS> 68,756,503
<DIVIDEND-INCOME> 786,166
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 178,923
<NET-INVESTMENT-INCOME> 607,243
<REALIZED-GAINS-CURRENT> 279,583
<APPREC-INCREASE-CURRENT> 9,810,092
<NET-CHANGE-FROM-OPS> 10,696,918
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 575,85768
<DISTRIBUTIONS-OF-GAINS> 5,326,012
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,087,254
<NUMBER-OF-SHARES-REDEEMED> 1,273,339
<SHARES-REINVESTED> 5,901,870
<NET-CHANGE-IN-ASSETS> 16,510,834
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 26,604
<GROSS-ADVISORY-FEES> 101,266
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 178,923
<AVERAGE-NET-ASSETS> 59,736,776
<PER-SHARE-NAV-BEGIN> 1.468
<PER-SHARE-NII> 0.016
<PER-SHARE-GAIN-APPREC> 0.270
<PER-SHARE-DIVIDEND> 0.015
<PER-SHARE-DISTRIBUTIONS> 0.135
<RETURNS-OF-CAPITAL> 0.0
<PER-SHARE-NAV-END> 1.604
<EXPENSE-RATIO> 0.60
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 5
<NAME> GOVERNMENT BOND FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 39,160,887
<INVESTMENTS-AT-VALUE> 39,251,852
<RECEIVABLES> 985,082
<ASSETS-OTHER> 6,177
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 40,243,111
<PAYABLE-FOR-SECURITIES> 442,159
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 76,274
<TOTAL-LIABILITIES> 518,433
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 41,655,148
<SHARES-COMMON-STOCK> 38,059,963
<SHARES-COMMON-PRIOR> 108,641,545
<ACCUMULATED-NII-CURRENT> 4,648
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 2,026,083
<ACCUM-APPREC-OR-DEPREC> 90,965
<NET-ASSETS> 39,724,678
<DIVIDEND-INCOME> 62,078
<INTEREST-INCOME> 1,268,945
<OTHER-INCOME> 0
<EXPENSES-NET> 142,579
<NET-INVESTMENT-INCOME> 1,188,444
<REALIZED-GAINS-CURRENT> (107,017)
<APPREC-INCREASE-CURRENT> 2,013,670
<NET-CHANGE-FROM-OPS> 3,095,097
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1,183,796
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,929,547
<NUMBER-OF-SHARES-REDEEMED> 8,378,245
<SHARES-REINVESTED> 1,183,796
<NET-CHANGE-IN-ASSETS> (2,353,601)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 1,919,066
<GROSS-ADVISORY-FEES> 100,880
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 142,579
<AVERAGE-NET-ASSETS> 40,685,687
<PER-SHARE-NAV-BEGIN> 0.997
<PER-SHARE-NII> 0.031
<PER-SHARE-GAIN-APPREC> 0.047
<PER-SHARE-DIVIDEND> 0.031
<PER-SHARE-DISTRIBUTIONS> 0.0
<RETURNS-OF-CAPITAL> 0.0
<PER-SHARE-NAV-END> 1.044
<EXPENSE-RATIO> 0.71
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 6
<NAME> SELECT GROWTH AND INCOME FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 138,563,693
<INVESTMENTS-AT-VALUE> 151,350,860
<RECEIVABLES> 380,194
<ASSETS-OTHER> 10,398
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 151,741,452
<PAYABLE-FOR-SECURITIES> 1,147,857
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 250,332
<TOTAL-LIABILITIES> 1,398,189
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 136,250,469
<SHARES-COMMON-STOCK> 128,911,531
<SHARES-COMMON-PRIOR> 107,287,213
<ACCUMULATED-NII-CURRENT> 15,455
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 1,300,172
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 12,787,167
<NET-ASSETS> 150,343,263
<DIVIDEND-INCOME> 1,581,680
<INTEREST-INCOME> 120,934
<OTHER-INCOME> 0
<EXPENSES-NET> 560,931
<NET-INVESTMENT-INCOME> 1,141,683
<REALIZED-GAINS-CURRENT> 1,983,609
<APPREC-INCREASE-CURRENT> 14,546,652
<NET-CHANGE-FROM-OPS> 17,671,944
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1,126,536
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 25,064,747
<NUMBER-OF-SHARES-REDEEMED> 2,605,929
<SHARES-REINVESTED> 2,605,929
<NET-CHANGE-IN-ASSETS> 40,130,762
<ACCUMULATED-NII-PRIOR> 308
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 683,437
<GROSS-ADVISORY-FEES> 478,173
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 560,931
<AVERAGE-NET-ASSETS> 128,569,432
<PER-SHARE-NAV-BEGIN> 1.027
<PER-SHARE-NII> 0.009
<PER-SHARE-GAIN-APPREC> 0.139
<PER-SHARE-DIVIDEND> 0.009
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 1.166
<EXPENSE-RATIO> 0.88
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 7
<NAME> SELECT GROWTH FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 99,606,580
<INVESTMENTS-AT-VALUE> 123,802,150
<RECEIVABLES> 1,239,939
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 125,042,089
<PAYABLE-FOR-SECURITIES> 3,001,690
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 187,112
<TOTAL-LIABILITIES> 3,188,802
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 102,576,194
<SHARES-COMMON-STOCK> 93,525,212
<SHARES-COMMON-PRIOR> 80,289,304
<ACCUMULATED-NII-CURRENT> 150,169
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 5,068,646
<ACCUM-APPREC-OR-DEPREC> 24,195,570
<NET-ASSETS> 121,853,287
<DIVIDEND-INCOME> 471,664
<INTEREST-INCOME> 185,014
<OTHER-INCOME> 0
<EXPENSES-NET> 506,895
<NET-INVESTMENT-INCOME> 149,783
<REALIZED-GAINS-CURRENT> (1,366,118)
<APPREC-INCREASE-CURRENT> 19,355,404
<NET-CHANGE-FROM-OPS> 18,139,069
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 17,794,199
<NUMBER-OF-SHARES-REDEEMED> 2,343,255
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 33,590,013
<ACCUMULATED-NII-PRIOR> 386
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 3,702,528
<GROSS-ADVISORY-FEES> 428,096
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 506,895
<AVERAGE-NET-ASSETS> 101,563,296
<PER-SHARE-NAV-BEGIN> 1.099
<PER-SHARE-NII> 0.002
<PER-SHARE-GAIN-APPREC> 0.202
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.303
<EXPENSE-RATIO> 1.01
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 8
<NAME> SELECT AGGRESSIVE GROWTH FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 150,124,761
<INVESTMENTS-AT-VALUE> 192,649,434
<RECEIVABLES> 1,604,170
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 194,253,604
<PAYABLE-FOR-SECURITIES> 2,301,181
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 521,163
<TOTAL-LIABILITIES> 2,822,344
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 162,924,292
<SHARES-COMMON-STOCK> 119,262,831
<SHARES-COMMON-PRIOR> 97,753,957
<ACCUMULATED-NII-CURRENT> 55,159
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 14,072,864
<ACCUM-APPREC-OR-DEPREC> 42,524,673
<NET-ASSETS> 191,431,260
<DIVIDEND-INCOME> 802,695
<INTEREST-INCOME> 135,561
<OTHER-INCOME> 0
<EXPENSES-NET> 883,097
<NET-INVESTMENT-INCOME> 55,159
<REALIZED-GAINS-CURRENT> (2,777,469)
<APPREC-INCREASE-CURRENT> 26,442,871
<NET-CHANGE-FROM-OPS> 23,720,561
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 33,779,881
<NUMBER-OF-SHARES-REDEEMED> 2,642,291
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 54,858,151
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 11,295,395
<GROSS-ADVISORY-FEES> 789,549
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 883,097
<AVERAGE-NET-ASSETS> 159,223,465
<PER-SHARE-NAV-BEGIN> 1.397
<PER-SHARE-NII> 0.000
<PER-SHARE-GAIN-APPREC> 0.208
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.605
<EXPENSE-RATIO> 1.12
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 9
<NAME> SELECT INCOME FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 53,726,651
<INVESTMENTS-AT-VALUE> 54,461,496
<RECEIVABLES> 1,238,243
<ASSETS-OTHER> 466
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 55,700,205
<PAYABLE-FOR-SECURITIES> 6,912,047
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 76,977
<TOTAL-LIABILITIES> 6,989,024
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 49,310,969
<SHARES-COMMON-STOCK> 48,920,894
<SHARES-COMMON-PRIOR> 43,864,660
<ACCUMULATED-NII-CURRENT> 5,688
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 1,340,321
<ACCUM-APPREC-OR-DEPREC> 734,845
<NET-ASSETS> 48,711,181
<DIVIDEND-INCOME> 65,345
<INTEREST-INCOME> 1,566,791
<OTHER-INCOME> 0
<EXPENSES-NET> 184,926
<NET-INVESTMENT-INCOME> 1,447,210
<REALIZED-GAINS-CURRENT> (92,958)
<APPREC-INCREASE-CURRENT> 3,120,626
<NET-CHANGE-FROM-OPS> 4,474,878
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1,441,522
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,717,988
<NUMBER-OF-SHARES-REDEEMED> 6,265,777
<SHARES-REINVESTED> 1,441,522
<NET-CHANGE-IN-ASSETS> 7,927,089
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 1,247,363
<GROSS-ADVISORY-FEES> 136,132
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 187,473
<AVERAGE-NET-ASSETS> 45,423,311
<PER-SHARE-NAV-BEGIN> 0.930
<PER-SHARE-NII> 0.030
<PER-SHARE-GAIN-APPREC> 0.066
<PER-SHARE-DIVIDEND> 0.030
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 0.996
<EXPENSE-RATIO> 0.82
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 10
<NAME> SMALL CAP VALUE FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 49,057,182
<INVESTMENTS-AT-VALUE> 51,987,072
<RECEIVABLES> 90,131
<ASSETS-OTHER> 1,326,184
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 53,403,387
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 80,380
<TOTAL-LIABILITIES> 80,380
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 50,052,214
<SHARES-COMMON-STOCK> 44,921,665
<SHARES-COMMON-PRIOR> 42,312,627
<ACCUMULATED-NII-CURRENT> 203,106
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 137,797
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 2,929,890
<NET-ASSETS> 53,323,007
<DIVIDEND-INCOME> 450,396
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 247,290
<NET-INVESTMENT-INCOME> 203,106
<REALIZED-GAINS-CURRENT> 174,683
<APPREC-INCREASE-CURRENT> 3,864,128
<NET-CHANGE-FROM-OPS> 4,241,917
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 10,695,582
<NUMBER-OF-SHARES-REDEEMED> 2,955,995
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 11,981,504
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 36,886
<GROSS-ADVISORY-FEES> 200,359
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 247,290
<AVERAGE-NET-ASSETS> 47,534,063
<PER-SHARE-NAV-BEGIN> 1.089
<PER-SHARE-NII> 0.005
<PER-SHARE-GAIN-APPREC> 0.093
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.187
<EXPENSE-RATIO> 0.86
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 11
<NAME> SELECT INTERNATIONAL EQUITY FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 63,965,410
<INVESTMENTS-AT-VALUE> 67,962,062
<RECEIVABLES> 15,376,774
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 83,338,836
<PAYABLE-FOR-SECURITIES> 3,492,702
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 14,778,460
<TOTAL-LIABILITIES> 18,271,162
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 61,305,833
<SHARES-COMMON-STOCK> 61,664,924
<SHARES-COMMON-PRIOR> 42,039,186
<ACCUMULATED-NII-CURRENT> 577,764
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 383,559
<ACCUM-APPREC-OR-DEPREC> 3,567,636
<NET-ASSETS> 65,067,674
<DIVIDEND-INCOME> 904,706
<INTEREST-INCOME> 4,748
<OTHER-INCOME> 0
<EXPENSES-NET> 317,811
<NET-INVESTMENT-INCOME> 591,643
<REALIZED-GAINS-CURRENT> (542,578)
<APPREC-INCREASE-CURRENT> 5,010,990
<NET-CHANGE-FROM-OPS> 5,060,055
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 194
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 22,897,923
<NUMBER-OF-SHARES-REDEEMED> 3,388,110
<SHARES-REINVESTED> 194
<NET-CHANGE-IN-ASSETS> 24,569,868
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 159,213
<OVERDISTRIB-NII-PRIOR> 13,879
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 254,914
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 317,811
<AVERAGE-NET-ASSETS> 51,405,234
<PER-SHARE-NAV-BEGIN> 0.963
<PER-SHARE-NII> 0.010
<PER-SHARE-GAIN-APPREC> 0.082
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.055
<EXPENSE-RATIO> 1.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<SERIES>
<NUMBER> 12
<NAME> SELECT CAPITAL APPRECIATION FUND
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> JUN-30-1995
<INVESTMENTS-AT-COST> 10,110,378
<INVESTMENTS-AT-VALUE> 11,063,261
<RECEIVABLES> 785,487
<ASSETS-OTHER> 64,892
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 11,913,640
<PAYABLE-FOR-SECURITIES> 705,708
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 590,915
<TOTAL-LIABILITIES> 1,296,623
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,679,145
<SHARES-COMMON-STOCK> 9,366,205
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 10,101
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 11,568
<ACCUM-APPREC-OR-DEPREC> 939,339
<NET-ASSETS> 10,617,017
<DIVIDEND-INCOME> 5,244
<INTEREST-INCOME> 21,350
<OTHER-INCOME> 0
<EXPENSES-NET> 16,493
<NET-INVESTMENT-INCOME> 10,101
<REALIZED-GAINS-CURRENT> (11,568)
<APPREC-INCREASE-CURRENT> 939,339
<NET-CHANGE-FROM-OPS> 937,872
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,714,367
<NUMBER-OF-SHARES-REDEEMED> 35,222
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 10,617,017
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 12,217
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 26,323
<AVERAGE-NET-ASSETS> 6,967,421
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> 0.001
<PER-SHARE-GAIN-APPREC> 0.133
<PER-SHARE-DIVIDEND> 0.000
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.134
<EXPENSE-RATIO> 1.35
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
