<PAGE>
ANNUAL REPORT
--------------------------------------
DECEMBER 31, 1995
VARIABLE
ANNUITY &
EXECANNUITY
PLUS
[ALLMERICA LOGO]
ALLMERICA
FINANCIAL-Registered Trademark-
<PAGE>
GENERAL INFORMATION
- --------------------------------------------------------------------------------
OFFICERS OF ALLMERICA FINANCIAL LIFE INSURANCE AND ANNUITY COMPANY
John F. O'Brien, Chairman of the Board
Richard M. Reilly, President and CEO
Eric A. Simonsen, Vice President and CFO
Abigail M. Armstrong, Secretary and Counsel
INVESTMENT MANAGER
Allmerica Investment Management Co., Inc.
440 Lincoln Street
Worcester, MA 01653
GENERAL DISTRIBUTOR
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
INDEPENDENT ACCOUNTANT
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110
CUSTODIAN
Bankers Trust Company
16 Wall Street
New York, NY 10005
LEGAL COUNSEL
Ropes & Gray
One International Place
Boston, MA 02110
ADMINISTRATOR
First Data Investor Services Group
4400 Computer Drive
P.O. Box 5108
Westboro, MA 01581-5108
OFFICERS OF ALLMERICA INVESTMENT TRUST (AIT)
Richard M. Reilly, President
Robert T. Stemple, Vice President, Treasurer and Principal Accounting Officer
BOARD OF TRUSTEES OF AIT
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
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, LLP
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 VIP II ASSET MANAGER PORTFOLIO
FIDELITY VIP EQUITY-INCOME PORTFOLIO
FIDELITY VIP GROWTH PORTFOLIO
FIDELITY VIP HIGH INCOME PORTFOLIO
FIDELITY VIP OVERSEAS PORTFOLIO
Rowe Price-Fleming International, Inc.
100 E. Pratt Street
Baltimore, MD 21202
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
CONTENTS
- --------------------------------------------------------------------------------
A LETTER FROM THE CHAIRMAN . . . . . . . . . . . . . . . . . . . . . . . . . . 2
PERFORMANCE SUMMARIES. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3-4
DOMESTIC & INTERNATIONAL EQUITY MARKET OVERVIEW. . . . . . . . . . . . . . . 6-7
SELECT INTERNATIONAL EQUITY FUND . . . . . . . . . . . . . . . . . . . . . . . 8
DELAWARE INTERNATIONAL EQUITY SERIES . . . . . . . . . . . . . . . . . . . . . 9
FIDELITY VIP OVERSEAS PORTFOLIO. . . . . . . . . . . . . . . . . . . . . . . .10
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO . . . . . . . . . . . . . . . . .11
SELECT AGGRESSIVE GROWTH FUND. . . . . . . . . . . . . . . . . . . . . . . . .12
SELECT CAPITAL APPRECIATION FUND . . . . . . . . . . . . . . . . . . . . . . .13
SMALL CAP VALUE FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . .14
SELECT GROWTH FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .15
GROWTH FUND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .16
FIDELITY VIP GROWTH PORTFOLIO. . . . . . . . . . . . . . . . . . . . . . . . .17
SELECT GROWTH AND INCOME FUND. . . . . . . . . . . . . . . . . . . . . . . . .18
EQUITY INDEX FUND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19
FIDELITY VIP EQUITY-INCOME PORTFOLIO . . . . . . . . . . . . . . . . . . . . .20
FIDELITY VIPII ASSET MANAGER PORTFOLIO . . . . . . . . . . . . . . . . . . . .21
BOND MARKET OVERVIEW . . . . . . . . . . . . . . . . . . . . . . . . . . . 22-23
FIDELITY VIP HIGH INCOME PORTFOLIO . . . . . . . . . . . . . . . . . . . . . .24
INVESTMENT GRADE INCOME FUND . . . . . . . . . . . . . . . . . . . . . . . . .25
GOVERNMENT BOND FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . .26
MONEY MARKET OVERVIEW. . . . . . . . . . . . . . . . . . . . . . . . . . . . .27
MONEY MARKET FUND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .28
FINANCIALS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29-72
FOR FURTHER INFORMATION, SEE THE ACCOMPANYING ANNUAL REPORTS.
1
<PAGE>
A LETTER FROM THE CHAIRMAN
[JOHN F. O'BRIEN PHOTO]
Dear Client:
It's remarkable how much can change in a year. After disappointing returns in
all sectors of the market for 1994, 1995 brought historic gains in both the
stock and bond markets.
One look at several of the leading indices quickly shows just how
phenomenal these gains were. Fueled primarily by tremendous advances in the
technology and financial sectors, the Standard & Poor's 500-Registered
Trademark-, an unmanaged index of the 500 leading stocks, capped the year with a
total return of 37.5%. Nearly matching the stock market's record returns,
30-year U.S. Treasury bonds provided a total return of 34.15%. Investment grade
corporate bonds also turned in an exceptionally strong performance - with a
total return of 21.2% for the year, as measured by the Merrill Lynch Fixed
Income Index.
What nurtured this growth in both the equity and fixed income markets was a
somewhat unusual combination of events. While interest rates declined, corporate
earnings soared. And while inflation remained modest, the dollar strengthened.
This year, I was particularly pleased with the ability of the money
managers to capitalize on these favorable conditions. However, as welcome as
1995's rebound has been, it also underscores the cyclical nature of the
financial markets. To cushion yourself against this inevitable volatility, I
encourage you to remain focused on long-term results. By maintaining a long-term
perspective, you won't be easily tempted to overreact to short-term performance.
Think for a moment about those investors who responded to 1994's disappointing
results by abandoning their investments early in 1995. Because they sold at
market lows, these investors not only lost money early in the year - they also
lost out on tremendous earnings potential throughout the year.
Of course, no one can predict what's ahead for 1996. However, given 1995's
record gains, it would be unrealistic to expect a repeat in 1996. It's important
to keep in mind, though, that it is this volatility that presents opportunities.
At Allmerica, we look forward to continuing to provide you with a broad
array of products offering investment options managed by some of the world's
leading investment advisers. Not only are we committed to carefully selecting
each manager, we're also focused on continually monitoring their performance -
ensuring they continue to earn their place on Allmerica's elite roster.
On behalf of the Board of Directors,
/s/ John F. O'Brien
John F. O'Brien
President and CEO
First Allmerica Financial Life Insurance Company
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"AS WELCOME AS 1995'S REBOUND HAS BEEN, IT ALSO UNDERSCORES THE CYCLICAL NATURE
OF THE FINANCIAL MARKETS. TO CUSHION YOURSELF AGAINST THIS INEVITABLE
VOLATILITY, I URGE YOU TO REMAIN FOCUSED ON LONG-TERM RESULTS."
- --------------------------------------------------------------------------------
2
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PERFORMANCE SUMMARY
EXECANNUITY PLUS - AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/95
FOR EASY REFERENCE, THE YEAR-END RETURNS FOR THE EXECANNUITY PLUS
SUBACCOUNTS ARE SUMMARIZED BELOW.
KEEP IN MIND, HOWEVER, THAT THESE RETURNS ARE NET OF ALL PRODUCT CHARGES.
FOR RETURNS THAT DO NOT REFLECT THE DEDUCTION OF PRODUCT CHARGES,
PLEASE REFER TO THE INDIVIDUAL PORTFOLIO REVIEWS BEGINNING ON PAGE 8.
<TABLE>
<CAPTION>
WITHOUT SURRENDER CHARGE
ONE LIFE OF
SUBACCOUNTS YEAR SUBACCT
- --------------------------------------------------------------
<S> <C> <C>
ALLMERICA INVESTMENT TRUST
Select International Equity Fund(5) 17.94% 7.46%
Select Aggressive Growth Fund(2) 30.43% 17.21%
Select Capital Appreciation Fund(6) N/A 38.25%
Small Cap Value Fund(3) 15.95% 8.67%
Select Growth Fund(2) 22.83% 7.24%
Growth Fund(1) 30.93% 11.46%
Select Growth & Income Fund(2) 28.50% 10.05%
Equity Index Fund(1) 34.27% 12.12%
Investment Grade Income Fund(1) 16.18% 7.91%
Government Bond Fund(1) 11.46% 5.96%
Money Market Fund(1) 4.34% 2.75%
DELAWARE GROUP PREMIUM FUND, INC.
Delaware International Equity Series(3) 12.27% 9.84%
ROWE PRICE-FLEMING INTERNATIONAL, INC.
T. Rowe Price International
Stock Portfolio(6) N/A 6.42%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIPF AND VIPFII)
Fidelity VIP Overseas Portfolio(1) 8.12% 6.82%
Fidelity VIP Growth Portfolio(1) 33.47% 15.93%
Fidelity VIP Equity-Income Portfolio(1) 33.20% 17.18%
Fidelity VIPII Asset Manager Portfolio(5) 15.31% 7.41%
Fidelity VIP High Income Portfolio(1) 18.91% 13.70%
</TABLE>
<TABLE>
<CAPTION>
WITH SURRENDER CHARGE
ONE LIFE OF
SUBACCOUNTS YEAR SUB ACCT
- --------------------------------------------------------------
<S> <C> <C>
ALLMERICA INVESTMENT TRUST
Select International Equity Fund(5) 9.94% 2.82%
Select Aggressive Growth Fund(2) 22.43% 15.92%
Select Capital Appreciation Fund(6) N/A 32.25%
Small Cap Value Fund(3) 7.95% 6.33%
Select Growth Fund(2) 14.83% 5.66%
Growth Fund(1) 22.93% 10.64%
Select Growth & Income Fund(2) 20.50% 8.56%
Equity Index Fund(1) 26.27% 11.32%
Investment Grade Income Fund(1) 8.18% 7.00%
Government Bond Fund(1) 3.46% 4.99%
Money Market Fund(1) -3.18% 1.67%
DELAWARE GROUP PREMIUM FUND, INC.
Delaware International Equity Series(3) 4.27% 7.55%
ROWE PRICE-FLEMING INTERNATIONAL, INC.
T. Rowe Price International
Stock Portfolio(6) N/A -1.24%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIPF AND VIPFII)
Fidelity VIP Overseas Portfolio(1) 0.34% 5.88%
Fidelity VIP Growth Portfolio(1) 25.47% 15.21%
Fidelity VIP Equity-Income Portfolio(1) 25.20% 16.49%
Fidelity VIPII Asset Manager Portfolio(5) 7.31% 2.77%
Fidelity VIP High Income Portfolio(1) 10.91% 12.94%
</TABLE>
All funds are not available in all states.
Performance figures shown above are for the subaccounts of ExecAnnuity Plus
which invest in the underlying funds listed. 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.
<TABLE>
<CAPTION>
<S> <C> <C>
1. Inception September 3, 1991 3. Inception May 3, 1993 5. Inception May 1, 1994
2. Inception September 15, 1992 4. Inception April 30, 1993 6. Inception May 1, 1995
</TABLE>
3
<PAGE>
PERFORMANCE SUMMARY
VARIABLE ANNUITY - AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/95
FOR EASY REFERENCE, THE YEAR-END RETURNS FOR THE VARIABLE ANNUITY
SUBACCOUNTS ARE SUMMARIZED BELOW.
KEEP IN MIND THAT THESE RETURNS ARE NET OF ALL PRODUCT CHARGES.
FOR RETURNS THAT DO NOT REFLECT THE DEDUCTION OF PRODUCT CHARGES,
PLEASE REFER TO THE INDIVIDUAL PORTFOLIO REVIEWS BEGINNING ON PAGE 8.
<TABLE>
<CAPTION>
WITHOUT SURRENDER CHARGE
ONE FIVE TEN
SUBACCOUNTS YEAR YEAR YEAR
- -------------------------------------------------------------------------
<S> <C> <C> <C>
GROWTH FUND - SINGLE/ELECTIVE PAYMENT
Tax Qualified Account 31.17% 14.97% 14.15%
Non Tax Qualified Account 31.18% 14.97% 13.06%
INVESTMENT GRADE INCOME FUND -
SINGLE/ELECTIVE PAYMENT
Tax Qualified Account 16.40% 8.56% 7.92%
Non Tax Qualified Account 16.40% 8.57% 7.96%
MONEY MARKET FUND
Tax Qualified Account 4.53% 3.26% 4.82%
Non Tax Qualified Account 4.53% 3.26% 4.82%
</TABLE>
<TABLE>
<CAPTION>
WITH SURRENDER CHARGE
ONE FIVE TEN
SUBACCOUNTS YEAR YEAR YEAR
- -------------------------------------------------------------------------
<S> <C> <C> <C>
GROWTH FUND - ELECTIVE PAYMENT
Tax Qualified Account 21.99% 13.91% 14.15%
Non Tax Qualified Account 21.99% 13.91% 13.06%
INVESTMENT GRADE INCOME FUND -
ELECTIVE PAYMENT
Tax Qualified Account 8.25% 7.56% 7.92%
Non Tax Qualified Account 8.25% 7.58% 7.96%
MONEY MARKET FUND - ELECTIVE PAYMENT
Tax Qualified Account -2.78% 2.32% 4.82%
Non Tax Qualified Account -2.78% 2.32% 4.82%
GROWTH FUND - SINGLE PAYMENT
Tax Qualified Account 25.27% 14.34% 14.15%
Non Tax Qualified Account 25.27% 14.34% 13.06%
INVESTMENT GRADE INCOME FUND -
SINGLE PAYMENT
Tax Qualified Account 11.16% 7.96% 7.92%
Non Tax Qualified Account 11.16% 7.98% 7.96%
MONEY MARKET FUND - SINGLE PAYMENT
Tax Qualified Account -0.17% 2.70% 4.82%
Non Tax Qualified Account -0.17% 2.70% 4.82%
</TABLE>
The performance figures reported on this page include all investment management
fees and related insurance charges. 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.
FOR MORE INFORMATION ABOUT THE PERFORMANCE OF THE UNDERLYING FUNDS, SEE THE
PERFORMANCE REVIEWS BEGINNING ON PAGE 8.
4
<PAGE>
INDIVIDUAL
PORTFOLIO
REVIEWS
5
<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 interest rates and strong growth in the emerging markets.
1994: Federal Reserve Board raises interest rates six times stalling equity
markets.
1995: Favorable economic conditions result in tremendous gains for the U.S.
equity market. Europe turns in strongest performance of international equity
markets.
In 1995, an unusual convergence of economic conditions created the most
favorable environment for the U.S. equity market in years. By February,
investors became more confident that the Federal Reserve had successfully
piloted its "soft landing" strategy - slowing growth while controlling
inflation. As interest rates continued to fall, corporate earnings expanded. And
while inflation remained modest, the dollar strengthened.
Thanks to this extraordinary combination of conditions, every sector of the
equity market produced gains in 1995 far above their historic averages. In
general, those equity funds that favor growth investing approaches outperformed
those that follow low valuation strategies.
The most dramatic growth story, however, was in the large capitalization
sector. Blue chip stocks sharply outperformed both their annual averages as well
as the small- and mid-capitalization indices.
The advance in the equity market was largely fueled by a rally in high
technology stocks. Within this sector, stocks issued by companies benefiting
from the increased demand for computing, networking and communication
capabilities fared particularly well. The banking industry was also a top
performer in 1995, as near record profitability levels and takeover activity
spurred stock price increases.
Twice during the year, the equity market's phenomenal growth set new
milestones for the Dow Jones Industrial Average (DJIA). In February, the DJIA
broke through the 4000 point barrier. And just nine months later in November, it
topped 5000 for the first time in history.
Throughout this tremendous growth period, assets streamed into stock funds.
By year end, total stock fund assets reached a record $1.24 trillion, up more
than 43% from 1994.
Much of this rise can be attributed to increased participation in 401(k)
and pension plans. As fund managers began to put this influx of assets to work,
demand for stocks increased - driving stock prices even higher.
[GRAPHIC]
Profits surge at U.S. corporations, initiating historic gains in corporate
stocks.
Dow Jones Industrial Average breaks 4000 barrier, powered by an emerging high
tech rally.
[GRAPHIC]
- --------------------------------------------------------------------------------
1995 JAN 95 FEB 95 MAR 95 APR 95 MAY 95
- --------------------------------------------------------------------------------
Confidence builds that the Federal Reserve has succeeded in engineering a "soft
landing."
[GRAPHIC]
Technology stocks soar as demand increases for computer, networking, and
communication capabilities.
6
<PAGE>
In the fourth quarter, the U.S. equity market finally began to slow, as
technology and telecommunications stocks showed some weakness. The Standard
& Poor's 500, an unmanaged index of the 500 leading stocks, still managed a gain
of 6.9% for the quarter - topping off a climb of 37.5% for the year, its best
year since 1958.
Given that the U.S. equity markets have all performed far above their
averages for the year, market adjustments are a distinct possibility. While the
fundamental outlook for equities remains optimistic, profitability levels have
reached historic highs. Some corporations have already experienced difficulty in
achieving earnings estimates. Any trend of this sort could serve as a catalyst
for a market correction.
In the international equity market, 1995 produced widely divergent returns.
In general, Europe delivered the year's best gains while the Pacific Rim brought
in mixed results.
Europe's top-performing market was the United Kingdom (UK). Contributing to
the UK's strong results were increased merger activity, a favorable interest
rate environment, enhanced political stability (following Prime Minister John
Major's mid-year emergence as the Conservative Party's leader), and continued
strength in the U.S. equity market.
In continental Europe, most major markets experienced strong advances -
with the notable exceptions of France and Italy, both rocked by political
uncertainty. The French market was also hurt by the impact of a strong currency
and a high budget deficit. However, low inflation, declining interest rates and
growing investor confidence sparked rallies in Switzerland, the Netherlands,
Spain, Sweden and Ireland.
In the Far East, the largest single market, Japan, ended the year up 1.4% -
a result that masked considerable volatility during the year. Relative market
strength in the second half of the year counter-balanced the market's poor
performance in the first half of the year. While the yen's decline provided much
needed relief to Japan's export sector, the banking crisis and other economic
problems continued to depress stock prices.
After a weak start, smaller Far Eastern markets gained some ground
initially - only to retreat later in the year. In an attempt to prevent
overheated economic growth, local governments tightened the money supply which
in turn slowed equity advances.
In Latin America, markets were generally weak in 1995. However, by the end
of the year, the worst performers, Mexico and Brazil, recovered well from their
early 1995 lows.
Moving into 1996, prospects for the overall international equity market
look promising - as long as major world economies continue to experience
steady growth.
[GRAPH]
Japan begins to recover from earlier slump, although Nikkei closes year up only
1.4%.
International markets produce widely varying results, with Europe proving to be
the year's top performer.
[GRAPH]
- -------------------------------------------------------------------------------
JUNE 95 JULY 95 AUG 95 SEPT95 OCT 95 NOV 95 DEC 95
- -------------------------------------------------------------------------------
[GRAPH]
Dow Jones Industrial Average tops 5000 for the first time in history.
Stock fund assets reach a record $1.24 trillion, up 43% for the year.
7
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management Limited
ABOUT THE FUND: 011
Invests in companies around the world based on fundamental value and strong
opportunities for growth.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Select International Equity Fund 19.63%
Morgan Stanley EAFE Index 11.55%
Lipper International Fund Index 9.28%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the geographic distribution of net assets was:
United Kingdom
31.94%
Indonesia 5.60%
Switzerland
9.37%
[PIE CHART]
Australia
9.48%
Netherlands
10.85%
Singapore
7.76%
Malaysia 4.37%
Cash Equivalents
2.47%
Other 18.16%
Significantly outperforming both its benchmark and peer group, the Select
International Equity Fund returned an impressive 19.63% for 1995.
This success can be attributed to the Fund manager's ability to pinpoint
and capitalize on the year's key international investing themes.
In response to Europe's low interest rate environment, Bank of Ireland
Asset Management(BIAM) increased the Fund's weighting in insurance and banking
stocks - adding positions in Lloyds TBS Group, Barclays Bank, and General
Accident. Consequently, the Fund benefited from 1995's rally within the
financial services sector.
The Fund was also well positioned to capture growth within the European
health care industry - a trend triggered by strong earnings from pharmaceutical
companies and increased takeover activity.
Foreseeing opportunities in emerging communications technology, the Fund
management also targeted multimedia companies. These holdings made a significant
contribution to the Fund's value - as strong corporate earnings and substantial
takeover activity drove stock prices upward.
One of the Fund's only underachieving themes this year was its "Cyclical
Recovery Theme." BIAM had anticipated that cyclical stocks would regain ground
in 1995 as the economy rebounded. But conservative industry analysts stubbornly
held to their recessionary forecasts. Given the low growth/low inflation
environment, the Fund's management continues to believe many cyclical stocks
have considerable upside potential in 1996.
The Fund's Far East holdings also performed well - particularly in the
consumer spending and financial services areas. Going forward, management will
look to increase its weighting in this region, except in Japan, where recovery
may be somewhat delayed.
In general, BIAM is optimistic that the world's major economies will
continue to experience steady economic growth in 1996 - providing continuing
opportunities for international investors.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
[CHART]
- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Select International Equity Select Fund, since its
inception on May 2, 1994, to a similar group of investments: the Morgan Stanley
EAFE Index and the Lipper International Fund 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. THE LIPPER INTERNATIONAL FUND INDEX IS A NON-WEIGHTED INDEX OF
THE 30 LARGEST BROADLY INVESTED FUNDS WITHIN THE INTERNATIONAL FUND CATEGORY.
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>
DELAWARE INTERNATIONAL EQUITY SERIES
Despite its risk-averse orientation, the Delaware International Equity Series
Portfolio topped the Morgan Stanley Europe Australia Far East Index (MSCI EAFE
Index) for 1995, delivering a total return of 13.72%.
Two strategic allocation decisions largely account for Delaware
International's success in outperforming its benchmark. First, the Portfolio was
overweighted in the United Kingdom, which turned out to be one of Europe's top-
performing markets. Just as significantly, the Portfolio was underweighted in
Japan, where the Nikkei Index rose only a little over 1% for the year.
Geographically, the United Kingdom represented the largest percentage of
the Portfolio's holdings - totaling nearly 27% of net assets. Top holdings
included a major airline, an entertainment company, food processors, and several
retailers.
The Portfolio also benefited from its sizable holdings in the British
Common-wealth countries. Thanks to low inflation as well as governmental efforts
to reform fiscal policy, positions in Australia, New Zealand, and Canada
generally delivered strong returns.
To cushion investors against stock price drops, the Portfolio's management
continued to favor stocks with higher than average dividend yields - typically
from relatively stable, large and mid-size companies. Given that promising
stocks in Sweden and Switzerland did not generally fit this income-oriented
selection criteria, the Portfolio did not participate in these robust markets.
However, holdings in Belgium and in the Netherlands, another top-performing
European market, did enhance overall performance.
Of the Portfolio's Japanese holdings, the majority consisted of technology
stocks which generally outperformed the Nikkei. Most of these holdings were in
companies whose earnings were fueled by exports to other countries such as the
United States.
In 1996, the Portfolio's management will continue to seek to avoid undue
risk by emphasizing diversification, by limiting holdings in markets believed to
be over-valued or subject to economic or political instability, and by
maintaining currency contracts as a defensive measure.
INVESTMENT ADVISER:
Delaware International Advisers Ltd.
ABOUT THE FUND: 020
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 one-year period ending December 31, 1995:
Delaware International
Equity Series 13.72%
Morgan Stanley EAFE Index 11.55%
Lipper International Fund Index 9.28%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the geographic allocation of net assets was:
United Kingdom 26.84%
Japan
13.93%
Australia 8.44%
[PIE CHART]
France
6.84%
Netherlands 6.71%
Germany 6.10%
Other
31.14%
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[CHART]
- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Delaware International Equity Series, since its
inception on October 29, 1992, to a similar group of investments: the Morgan
Stanley EAFE Index and the Lipper International Fund 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. THE LIPPER INTERNATIONAL FUND INDEX IS A NON-WEIGHTED INDEX OF
THE 30 LARGEST BROADLY INVESTED FUNDS WITHIN THE INTERNATIONAL FUND CATEGORY.
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>
FIDELITY VIP OVERSEAS PORTFOLIO
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 105
A growth-oriented equity portfolio which seeks growth of capital by investing in
foreign securities.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Fidelity VIP Overseas Portfolio 9.68%
Morgan Stanley EAFE Index 11.55%
Lipper International Fund Index 9.28%
PORTFOLIO COMPOSITION:
As of November 30, 1995, the geographic allocation of net assets was:
France
4.73%
Germany
5.02%
Netherlands
6.52%
[PIE CHART]
Switzerland
8.19%
United
Kingdom
13.67%
Japan 19.02%
Other 42.85%
For the 12 months ending December 31, 1995, the Fidelity VIP Overseas Portfolio
delivered a total return of 9.68%, trailing the Morgan Stanley EAFE Index but
outperforming the Lipper International Fund Index.
This solid performance can be generally attributed to three key moves: a
de-emphasis on European cyclicals (those stocks whose rise and fall tend to
track the ups and downs of the economy), an underweighting in stocks from
emerging markets, and strong participation in Japan's recovery during the second
half of the year.
In Europe, the Portfolio's management strategically targeted consumer
nondurable goods in place of cyclicals. This focus significantly benefited the
Portfolio as investors swung toward companies with a stable earnings outlook.
Conversely, the Portfolio's European financial services holdings turned out to
be a disappointment, as they failed to keep up with the buoyant bond market.
In the Pacific Rim and Latin America, the Portfolio's de-emphasis on
emerging market stocks proved beneficial. These markets suffered from a general
lack of investor interest in 1995.
Throughout the year, the Portfolio maintained approximately 20% of its
holdings in Japan. These holdings, comprised primarily of export-oriented
manufacturers, can be viewed as a mixed blessing for the Portfolio. During the
first half of the year, as Japanese markets declined sharply, these holdings
hurt the Portfolio's performance. But during the second half of the year, as a
weakening Yen and low interest rates fueled exports, this focus on Japanese
stocks significantly enhanced the Portfolio's overall return.
In anticipation of a Japanese economic recovery, the Portfolio's Japanese
holdings have now been repositioned toward companies that stand to benefit from
an increase in domestic sales rather than international exports. Selected stocks
in certain emerging markets will also likely be added to the Portfolio over the
next year, although they will remain a relatively small portion of the
Portfolio. In Europe, the Portfolio's management will continue to de-emphasize
cyclicals in favor of consumer nondurables which offer a more stable earnings
outlook.
In general, the Portfolio remains highly diversified across geographic
regions.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[CHART]
- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Fidelity VIP Overseas Portfolio, since its inception
on January 28, 1987, to a similar group of investments: the Morgan Stanley EAFE
Index and the Lipper International Index Fund. 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. THE LIPPER INTERNATIONAL FUND INDEX IS A NON-WEIGHTED INDEX OF
THE 30 LARGEST BROADLY INVESTED FUNDS WITHIN THE INTERNATIONAL FUND CATEGORY.
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>
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
In 1995, the T. Rowe Price International Stock Portfolio successfully
capitalized on the growth in selected international markets, turning in an
11.18% return for the year.
The biggest contributor to the Portfolio's solid performance was its
management's strategic stock selection. Applying fundamental research
techniques, Rowe Price-Fleming continued to seek out companies with above-
average growth rates and below-market valuations. Positive contributions from
solid stock selection were slightly offset by mixed results from the Portfolio's
geographic distribution.
In response to accelerating European economies, the Portfolio maintained
approximately 50% of its holdings in Europe - which proved to be the best
performing region over the calendar year. Positions within the United Kingdom,
as well as throughout parts of Continental Europe, significantly added to the
Portfolio's value. Over the year, shifts in this segment of the Portfolio also
resulted in additional buys in France and the Netherlands.
While the Portfolio's holdings in the Netherlands boosted overall
performance, exposure to the smaller markets of the Pacific Rim and Latin
America did not. Results from Brazil, Mexico and Thailand were particularly
disappointing in 1995. However, the Portfolio's management feels confident that
these smaller markets now seem poised to outperform other international markets
once again.
In general, Rowe Price-Fleming remains optimistic about the overall outlook
for international markets for 1996. Worldwide, the economic cycle continues to
trend upward, corporate earnings appear generally healthy, and valuations look
reasonable in many markets. As Japan emerges from its deep recession, the
Portfolio's management feels this market will again offer attractive
opportunities.
By carefully balancing the Portfolio's country allocation with strategic
stock selections in targeted markets, the Portfolio's management looks to
continue maximizing these international growth opportunities.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
[CHART]
- ------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in T. Rowe Price International Stock Portfolio, since its
inception on March 31, 1994, to a similar group of investments: the Morgan
Stanley EAFE Index and the Lipper International Fund 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. THE LIPPER INTERNATIONAL FUND INDEX IS A NON-WEIGHTED INDEX OF
THE 30 LARGEST BROADLY INVESTED FUNDS WITHIN THE INTERNATIONAL FUND CATEGORY.
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.
INVESTMENT ADVISER:
Rowe Price-Fleming International, Inc.
ABOUT THE FUND: 150
The Portfolio seeks long-term growth through a highly diversified portfolio of
foreign stocks.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
T. Rowe Price International
Stock Portfolio 11.18%
Morgan Stanley EAFE Index 11.55%
Lipper International Fund Index 9.28%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the geographic distribution of net assets was:
Europe 53.5%
Japan
24.8%
Far East
11.3%
Latin
America
2.6%
[PIE CHART] United States
5.1%
Other
2.7%
11
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management
ABOUT THE FUND: 006
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock prices.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Select Aggressive Growth Fund 32.28%
Russell 2000 Index 28.45%
Lipper Capital Appreciation
Fund Index 30.78%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the sector allocation of net assets was:
Technology
22.92%
Financial
12.15%
Chemicals &
Drugs 11.02%
Electronics
10.07%
Consumer [PIE CHART]
Products
9.59%
Energy
6.86%
Durable Goods
5.87%
Cash Equivalents
2.43%
Other
19.09%
THE SELECT AGGRESSIVE GROWTH FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT
TRUST.
The Select Aggressive Growth Fund took strong advantage of the equity market's
historic rise. It delivered a total return of 32.28%, sharply outperformed
benchmarks for both the small- and mid-capitalization markets.
This success can be primarily attributed to the Fund's strategic holdings
in the technology arena. Its semiconductor, networking, software and equipment
supplier stocks all contributed excellent double digit returns for the year.
Three major trends fueled the growth in the Fund's technology segment.
First, the increasing demand for enhanced computing capabilities proved a
powerful catalyst for the growth in the Fund's semiconductor holdings.
Secondly, the burgeoning popularity of the Internet among both corporations
and individuals alike prompted the growth in the Portfolio's networking stocks.
This provided strong relative strength in the fourth quarter when many
technology stocks lost ground.
Lastly, many companies' desire to upgrade their communication transmission
capabilities signaled growth opportunities for equipment suppliers.
Holdings within other market segments also significantly boosted the Fund's
return - particularly in the producer/manufacturing, consumer nondurable, and
retail trade areas.
In pursuit of rising long-term values, Nicholas-Applegate focused its stock
search on issues promising dramatic growth - regardless of the size of the
issuing corporation. Because the best growth opportunities have historically
been in the small and midcap area, the Fund's holdings tend to be concentrated
in these capitalization segments. Given this concentration, the only trend the
Fund did not fully participate in was the growth in blue chip stocks.
After such tremendous growth in the equity markets, the Fund's management
fully expects some market adjustments. Confident that it is well positioned for
those potential fluctuations, the Fund's management will continue to seek out
companies whose earnings growth appears to be sustainable over the long term.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- ------------------------------------------------------------------------------
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
the Lipper Capital Appreciation Fund Index. Performance benchmarking allows
investors to objectively measure their fund's performance.
- ------------------------------------------------------------------------------
THE LIPPER CAPITAL APPRECIATION FUND INDEX IS A NON-WEIGHTED INDEX OF THE 30
LARGEST CAPITAL APPRECIATION MUTUAL FUNDS. 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 CAPITAL APPRECIATION FUND
In a year when profits reached an all-time high for companies represented within
the S&P 500 Index, few funds could hope to even parallel the Index's record-
breaking 37.53% return.
Yet the Select Capital Appreciation Fund exceeded that benchmark -
delivering a 39.56% return for the eight-month period ended December 31, 1995.
This accomplishment is even more impressive in light of the fact that the fund
commenced operations at the end of April - by which time the S&P 500 had already
gained nearly 13%.
Superior stock selection proved critical to the Fund's enviable returns.
Utilizing extensive, bottom-up research, the Fund's management continued to
favor concentrated positions in individual securities - with a particular eye
for rapidly-growing companies that offer franchises.
A number of the Fund's most significant holdings benefited from timely
developments in their prospective market arenas, including:
- - PAGING NETWORK. The Fund's largest position, Paging Network, signed an
agreement with Sprint - giving Sprint the right to re-sell Paging Network's
services. This agreement follows on the heels of Paging Network's sales
agreement with MCI last spring.
- - INSIGNIA FINANCIAL. The largest real estate management company in the
U.S., Insignia Financial entered into a joint venture with HFS, Inc. -
another portfolio holding that franchises leading hotels and motels,
including Howard Johnson's, Ramada, and Super 8. This joint venture offers
attractive cross-selling opportunities to both partners.
- - APS HOLDINGS. Another one of the Fund's key positions, APS Holdings
recently acquired Parts, Inc., the largest member of the Parts Plus auto
parts chain. This acquisition promises to pave the way for future stock
earnings.
While there may be no market "tail wind" to ease investors into 1996, the
Fund's management expects its holdings to continue generating earnings power.
Since buy decisions have centered on individual companies that can grow their
earnings rapidly even in a weak economy, Janus Capital feels confident that the
Select Capital Appreciation Fund can weather potential long-term market changes.
GROWTH OF A $10,000 INVESTMENT SINCE 1995
[CHART]
- ------------------------------------------------------------------------------
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, the
Russell 2000 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 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 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.
INVESTMENT SUB-ADVISER:
Janus Capital Corporation
ABOUT THE FUND: 012
The Fund seeks to construct a concentrated portfolio of rapidly growing,
reasonably valued stocks.
PERFORMANCE:
Net total return for the period ending December 31, 1995:
Select Capital Appreciation Fund* 39.56%
S&P 500 Index 37.53%
Russell 2000 Index 28.45%
Lipper Capital Appreciation
Fund Index 30.78%
PORTFOLIO COMPOSITION: As of December 31, 1995, the sector allocation of net
assets was:
Business Services
17.45%
Health Services
11.23%
Financial
10.68%
Chemicals
& Drugs
10.45%
[PIE CHART] Telecommunications
9.25%
Food Services
5.30%
Retail
4.01%
Durable Goods
3.74%
Cash & Equivalents
6.28%
Other
21.61%
THE SELECT CAPITAL APPRECIATION FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT
TRUST.
*SINCE ITS INCEPTION ON APRIL 28, 1995.
13
<PAGE>
SMALL CAP VALUE FUND
INVESTMENT SUB-ADVISER:
David L. Babson & Co. Inc.
ABOUT THE FUND: 009
Invests in attractively valued small companies believed to have above-average
potential for capital appreciation.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Small Cap Value Fund 17.60%
Russell 2000 Index 28.45%
Lipper Small Co. Growth Index 31.43%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the sector allocation of net assets was:
Consumer Products
20.97%
Durable Goods
18.82%
Financial 7.56%
Retail
7.20%
Automotive [PIE CHART]
6.97%
Energy
6.63%
Chemicals
& Drugs 5.51%
Metals &
Mining
4.60%
Cash Equivalents
8.76%
Other
12.98%
THE SMALL CAP VALUE FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT TRUST.
For the period ending December 31, 1995 the Small Cap Value Fund delivered a
total return of 17.60%, underperforming its benchmark.
Throughout the year, the Small Cap Value Fund's emphasis on attractively
valued, yet out-of-favor companies put it at a relative disadvantage. What the
market favored instead were several highly popular segments in which the Fund
was not heavily weighted. These segments included high technology, which proved
the star in 1995's small capitalization universe, and banking, where near-record
profitability levels and take-over activity spurred increases.
Despite the dramatic rise of high technology and banking stocks in 1995,
the Fund's management is skeptical about the ability of both groups to sustain
these unusually high profitability levels. Thus, the Fund remains underweighted
in both of these sectors.
Relative to the Russell 2000 Index, the Fund was overweighted favorably in
the areas of energy and producer durables - both of which turned out to be
strong-performing sectors. The best performing portfolio stocks in these areas
included Precision Castparts (up 96%), a manufacturer of complex structural
casting; Nabors Industries (up 71%), providing oil and gas drilling services;
and Devon Energy (up 40%), an oil and gas exploration and production company.
Buyout offers also enhanced the Small Cap Value Fund's performance in 1995.
Clearly, corporate strategic planners saw significantly more value in several of
the Fund's holdings than the stock market did. For example, CCH Inc, a tax and
business law information services company, received a friendly offer at over
double its then existing market valuation.
Moving ahead, David L. Babson & Co. Inc. will continue to apply its
disciplined, value-oriented approach to search for small capitalization
companies with promising long-term fundamentals.
GROWTH OF A $10,000 INVESTMENT SINCE 1993
[CHART]
- ------------------------------------------------------------------------------
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 and the Lipper
Small Company Growth 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 SMALL COMPANY GROWTH FUND INDEX IS A NON-WEIGHTED INDEX OF
THE 30 LARGEST SMALL COMPANY GROWTH 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.
14
<PAGE>
SELECT GROWTH FUND
Benefiting from the second and third quarter's boom in technology and financial
service stocks, the Select Growth Fund returned 24.59% for 1995.
During the first few months of the year, the Fund was negatively affected
by investors' attraction to large capitalization stocks. Since the Fund is
comprised primarily of faster-growing companies, it lagged the indices during
the first quarter.
However, during the second and third quarters, when investors rotated into
high growth stocks, the Fund's technology and specialty finance holdings boosted
overall performance.
In the fourth quarter, the Fund again underperformed its benchmark. As
investors began to worry about the sustainability of the technology sector's
tremendous growth, they rotated back into large capitalization stocks in an
effort to lock in their 1995 gains. In response, the Fund's management reduced
exposure in this sector. However, Provident Investment Counsel believes that
much of the technology "sell off" was unwarranted. So it retained key holdings
in technology companies offering compelling growth prospects - including
Hewlett-Packard, Oracle, and Informix. However, this strategy caused the Fund to
lose ground relative to the S&P 500 Index, particularly in November and
December.
Looking ahead, the Fund's management remains optimistic about the prospects
for growth stocks in general - and for companies involved in networking, client
server and database businesses in particular. As the equity markets cool down,
Provident Investment Counsel believes that prospects for companies with strong
growth in earnings, should again heat up - enabling these holdings to achieve
superior growth rates relative to their cyclical counterparts.
While the Fund's holdings are diversified across a wide range of
industries, Provident will continue to seek out stocks that share one common
trait: a prospect for exceptional growth.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[CHART]
- ------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE THE CHART 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.
INVESTMENT SUB-ADVISER:
Provident Investment Counsel
ABOUT THE FUND: 007
Invests in companies believed to have long-term potential for strong earnings
and growth.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Select Growth Fund 24.59%
S&P 500 Index 37.53%
Lipper Growth Fund Index 31.48%
PORTFOLIO COMPOSITION: As of December 31, 1995, the sector
allocation of net assets was:
Technology
24.14%
Electronics
11.46%
Financial
10.79%
Health Services
7.78%
[PIE CHART] Consumer Products
6.51%
Business
Services
6.42%
Chemicals
& Drugs
6.27%
Telecommunications
5.05%
Cash Equivalents
10.99%
Other 10.59%
THE SELECT GROWTH FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT TRUST.
15
<PAGE>
GROWTH FUND
INVESTMENT SUB-ADVISER:
Miller, Anderson & Sherrerd, LLP
ABOUT THE FUND: 001
Invests in stocks that have a long-term potential for solid earnings growth and
capital appreciation.
PERFORMANCE: Net total return for the one-year period ending December 31, 1995:
Growth Fund 32.80%
S&P 500 Index 37.53%
Lipper Growth Fund Index 31.48%
PORTFOLIO COMPOSITION: As of December 31, 1995, the sector
allocation of net assets was:
Durable Goods
16.45%
Financial 17.27%
Chemicals
& Drugs 12.63%
Consumer Staples [PIE CHART]
6.55%
Energy
7.01%
Technology
6.29%
Consumer Products 6.05%
Utilities 5.67%
Cash Equivalents
5.81%
Other 16.27%
THE GROWTH FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT TRUST.
Outperforming the average equity manager for the year, the Growth Fund produced
a total return of 32.8% for 1995. Even though overall market gain was dominated
by growth in a few top-performing groups, the Growth Fund succeeded with well
diversified holdings across market sectors.
While sector allocation had little impact on the Fund's overall
performance, stock selection within the sectors provided mixed contributions.
Several holdings produced exceptionally high returns, including Seagate (97.9%)
and Intel (78.2%) in technology; Chemical Bank (68.8%), and Fannie Mae (75.4%)
and Freddie Mac (68.3%) in financial. These gains were somewhat offset by
underperformance in other holdings, including Archer-Daniels-Midland (-7.7%) in
foods and Cummins Engine (-16.3%) in heavy industrials.
Throughout the year, the Fund's management did carry a modest cash position
- - a position which somewhat constrained its overall performance. This position
was established when the Federal Reserve was raising interest rates - typically
an unfavorable climate for equities. After the 1995 stock market ignored this
traditional signal, the Fund's management reduced its cash position and
increased its holdings in three groups with attractive valuations: the
automobile, tobacco, and airline sectors.
Going forward, the Fund's management favors stocks from companies whose
recent restructuring actions seem likely to enhance efficiencies. Included in
this group are Aetna and Chemical Bank in the financial services sector, British
Petroleum in the oil industry, and Burlington Northern, Union Pacific and AMR
Corporation in the transportation group.
In July of 1995, the partners of Miller, Andersen & Sherrerd, LLP agreed to
sell their operations to the Morgan Stanley Asset Management Company. However,
they will continue operating as a distinct entity and employing the same
investment philosophy.
In 1996, Miller, Anderson & Sherrerd, LLP expects domestic stocks to be
outperformed by foreign equities. Accordingly, the Fund now reflects a somewhat
defensive strategy, preparing for moderate corporate profits as the business
expansion matures.
GROWTH OF A $10,000 INVESTMENT SINCE 1985
[CHART]
- ------------------------------------------------------------------------------
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 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 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.
16
<PAGE>
FIDELITY VIP GROWTH PORTFOLIO
For 1995, the Fidelity VIP Growth Portfolio posted an attractive 35.36% return -
outperforming the average growth portfolio for the year and nearly matching the
S&P 500 Index's historic high.
Throughout the year, the technology sector served as the primary source of
the Portfolio's returns. Although technology shares were generally quite weak in
the fourth quarter as business fundamentals slowed, these declines were more
than offset by their exceptionally strong results in the second and third
quarters.
Tempering the positive contribution from the technology shares during the
year were the Portfolio's holdings in the retail sector. Although these holdings
were concentrated in specialty retailers - the group of retailers that posted
the sector's strongest earnings growth - share prices still suffered. Investor
concerns about retailers' excess inventory and consumers' abundant debt
stubbornly clouded the entire retail category.
Entering the first quarter of 1996, technology stocks remain the
Portfolio's primary focus - although they constitute a slightly lower percentage
of the Portfolio's holdings than in the final quarter of 1995.
Since business fundamentals have slowed for many firms, share prices
reflect sharply lower expectations. Thus, the Portfolio's areas of increased
emphasis now include moderately higher levels of cash equivalents as well as
segments of health care and retailing. This positioning reflects the
management's more cautious view for the early months of 1996.
Rather than trying to predict a turnaround in a company's earnings, the
Portfolio's management will continue to seek out long-term growth stocks that
demonstrate good earnings momentum or strong growth rates.
GROWTH OF A $10,000 INVESTMENT SINCE 1986
[CHART]
- ------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value
of a $10,000 investment in Fidelity VIP 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.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 104
The Portfolio seeks growth opportunities in both small-capitalization and mid-
capitalization equities.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Fidelity VIP Growth Portfolio 35.36%
S&P 500 Index 37.53%
Lipper Growth Fund Index 31.48%
PORTFOLIO COMPOSITION:
As of November 30, 1995, the sector allocation of net assets was:
Technology
43.62%
Utilities
9.52%
Retail
7.22%
[PIE CHART] Health Care
5.69%
Media &
Leisure
3.78%
Industrial
Machine &
Equipment
3.69%
Other
26.48%
17
<PAGE>
SELECT GROWTH AND INCOME FUND
INVESTMENT SUB-ADVISER:
John A. Levin & Co., Inc.
ABOUT THE FUND: 008
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 one-year period ending December 31, 1995:
Select Growth and Income Fund 30.32%
S&P 500 Index 37.53%
Lipper Growth & Income
Fund Index 30.47%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the sector allocation of net assets was:
Financial 20.70%
Durable Goods 14.11%
Utilities 4.81% [PIE CHART]
Technology 7.18%
Energy
7.78%
Automotive
7.63%
Chemicals
& Drugs
9.94%
Consumer
Products
12.41%
Cash
Equivalents
8.14%
Other 7.30%
THE SELECT GROWTH AND INCOME FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT
TRUST
Nearly paralleling the Lipper Growth & Income Fund Index, the Select Growth and
Income Fund gained 30.32% for 1995.
For the year, the Fund's management produced few stock-specific
disappointments - thanks to its thorough, bottom-up research orientation. True
to its philosophy, however, John A. Levin & Co., Inc. sought to mediate risk by
maintaining a diverse portfolio. This approach left the Fund underweighted in
technology, which hampered growth in the first three quarters. However, it
augmented performance during the fourth quarter.
The Select Growth and Income Fund did maintain selected technology-sector
holdings, although management refrained from initiating new positions. The
Fund's management continues to closely monitor the technology sector, actively
looking for investment candidates - particularly given the corrections sustained
by the sector in the final months of 1995.
Several of the Fund's equity holdings benefited dramatically from corporate
restructuring and process re-engineering. These developments promise to boost
profit margins further and help sustain recent earnings improvements.
In its effort to construct a less volatile portfolio, the Fund's management
also maintained positions in convertible securities and other specialized
instruments - a diversity that was not well rewarded by the recent gains in both
the bond and equity markets. However, Levin & Co. continues to believe that the
future health of the market requires - and is therefore vulnerable to - an
important correction.
In seeking significant downside protection, the Fund will continue to hold
positions in a broad spectrum of stocks as well as certain convertible
securities and other purchases which appear to offer more predictable rates of
return. The Fund's management feels confident this continued focus on
diversification can offer significant gains in up markets - while enabling it to
outperform its benchmarks in down markets.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[CHART]
- ------------------------------------------------------------------------------
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.
18
<PAGE>
EQUITY INDEX FUND
Participants in the Equity Index Fund were rewarded with a 36.18% total return
for the year ending December 31, 1995 - nearly mirroring the S&P 500 Index's
extraordinary 37.53% gain.
In striving to match the total return of the Standard & Poor's 500 Index as
closely as possible, the Fund's management invested more than three-quarters of
its holdings in stocks represented by the S&P 500 Index. Thus, the Fund's
performance closely tracked the equity market's general trends throughout the
year.
In the first two quarters of 1995, the Fund participated in the tremendous
high technology rally as well as the resurgence of casino stocks and major
commercial and investment banks. The few holdings that declined were based on
the cyclical nature of each group, rather than any overall stock market
weakness.
The Fund's third quarter growth was driven by a rebound in technology and
medical stocks - along with continued growth in the mining, communications and
footwear industries. Transportation equipment and container industries, however,
continued to lag the market.
In the fourth quarter, two key factors pushed all stock indices down from
their previous highs. First, semiconductor prices were volatile throughout the
quarter. Secondly, investors began to take their profits by selling stocks to
cash in on their gains. Retail stocks faced the biggest decline over the quarter
as they suffered from weaker than expected sales.
Throughout the year, the Fund's holdings were particularly invigorated by
the unprecedented flow of new assets into the equity market. In general, stock
fund assets were up 43% for the year, reaching a record $1.24 trillion.
Increased 401(k) and pension plan contributions drove up both the demand and the
price of stocks.
The Fund's management remains optimistic about the equity market's outlook
for 1996 - expecting continued slow growth, moderate inflation and low interest
rates.
GROWTH OF A $10,000 INVESTMENT SINCE 1990
[CHART]
- ------------------------------------------------------------------------------
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 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.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 004
Aims to replicate the returns of the
S&P 500 Index.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Equity Index Fund 36.18%
S&P 500 Index 37.53%
Lipper Growth & Income
Fund Index 30.47%
PORTFOLIO COMPOSITION: As of December 31, 1995, the sector
allocation of net assets was:
Financial
13.94%
Consumer
Products
11.70%
Utilities
10.49%
Energy
9.49%
Durable Goods
7.94%
[PIE CHART] Chemicals
& Drugs
7.06%
Consumer
Staples
6.78%
Electronics
6.32%
Health Services
6.26%
Cash
Equivalents
0.91%
Other
19.11%
THE EQUITY INDEX FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT TRUST.
19
<PAGE>
FIDELITY VIP EQUITY-INCOME PORTFOLIO
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 103
Invests primarily in income-producing equity securities.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Fidelity VIP Equity-Income
Portfolio 35.09%
S&P 500 Index 37.53%
Lipper Growth & Income
Fund Index 30.47%
PORTFOLIO COMPOSITION:
As of November 30, 1995, the sector allocation of net assets was:
Health Care
6.13%
Industrial Machine
& Equipment 6.68%
Energy
6.13%
Utilities [PIE CHART]
7.45%
Nondurables
9.11%
Finance
19.07%
Other
45.43%
Even though 1995's bull market favored more aggressive funds, the Fidelity VIP
Equity-Income Portfolio posted a total return of 35.09%. This return placed the
Portfolio among the top of all equity income funds, and only modestly behind the
growth-oriented S&P 500 Index.
Propelling this growth were the Portfolio's holdings in financial services
and Regional Bell Operating Companies as well as in a broad group of defense and
aerospace stocks. Energy holdings also boosted results earlier in the year, but
generally hampered results in the second half of the year.
While the consumer nondurable issues held by the Portfolio generally
performed well, the relative low allocation to this strong performing group
detracted from results.
Going into the first quarter of 1996, the Portfolio's management has made
few adjustments to the Portfolio's overall holdings. In general, these holdings
reflect a cautionary outlook for corporate profits, based on the expectation
that many companies will have difficulty posting increases in 1996.
Financial stocks remain the Portfolio's largest industry allocation,
representing nearly 20% of total assets. In this sector, holdings are focused in
mortgage agencies and multi-line insurers, with banks playing a lesser role.
Regional Bell Operating Companies remain prominent, given prospects for
deregulation and expanded business opportunities.
Since valuations for integrated oil companies appear reasonable, several
stocks in this category have also been added. Similarly, the Portfolio's
management feels selected industrial stocks appear attractive, namely those
whose stock prices seem to adequately reflect the anticipation of weak earnings.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[CHART]
- ------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in Fidelity VIP 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 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.
20
<PAGE>
FIDELITY VIPII ASSET MANAGER PORTFOLIO
For the one-year period ending December 31, 1995 the Fidelity VIPII Asset
Manager Portfolio returned 16.96%.
Rebounding from a disappointing first and second quarter, the Portfolio
turned in a strong third quarter performance - outpacing both the S&P 500 Index
and the Lipper Flexible Portfolio's average. Two key factors contributed to this
positive upturn: management's decision to increase allocation to domestic
equities and improved performance of the Japanese market. Fourth quarter
returns also enhanced the Portfolio's overall value, as allocations to domestic
sectors did well - particularly in health care, aerospace and defense. Profits
were also taken in the financial sector.
In general, exposure to Japanese equities - beginning early and lasting all
year - negatively affected the Portfolio's performance in 1995. While the
Japanese market did emerge from its slump in the second half of the year, it
still finished well behind the U.S. market. Even the positive performance from
Japanese holdings in the fourth quarter was offset almost entirely by the Yen's
weakening against the U.S. dollar.
The Portfolio was also highly exposed to median capitalization stocks,
which generally lagged large capitalization stocks.
In hindsight, the Portfolio was also underweighted in U.S. securities and
overweighted in foreign securities and cash equivalents. Throughout the year,
cash positions were slowly reduced and redeployed into Japanese equities.
The fixed income portion of the Portfolio benefited from falling U.S.
interest rates. However, since 1995's declining rates favored longer-term
securities, the Portfolio's shorter-term holdings underperformed the benchmark.
Management did capture the domestic bond market's superior returns - by
consistently increasing U.S. government obligations and significantly decreasing
non-dollar denominated debt.
Going forward, the Portfolio's management will continue to seek an
efficient mixture among the three asset classes to provide high returns over the
long term.
GROWTH OF A $10,000 INVESTMENT SINCE 1990
[CHART]
- ------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in Fidelity VIPII Asset Manager Portfolio, since the Port-
folio's inception on September 6, 1989 to a similar group of investments: the
S&P 500 Index and the Lipper Flexible Portfolio. 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 FLEXIBLE
PORTFOLIO IS A NON-WEIGHTED INDEX OF THE 30 LARGEST FUNDS WITHIN THE FLEXIBLE
PORTFOLIO FUND CATEGORY. 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.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 106
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 one-year period ending December 31, 1995:
Fidelity VIPII Asset
Manager Portfolio 16.96%
S&P 500 Index 37.53%
Lipper Flexible Portfolio 23.43%
PORTFOLIO COMPOSITION:
As of November 30, 1995, the sector allocation of net assets was:
Health
Care 9.26%
Industrial
Machine &
Equipment
3.95%
[PIE CHART] Media &
Leisure
4.64%
Retail
4.05%
Basic
Industries
2.89%
Energy
2.56%
Other
72.65%
21
<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.
1995: U.S. bond market enjoys its third best performance in 30 years, thanks to
strong total returns from 30-year U.S. Treasuries and corporate issues.
For the U.S. fixed income market, 1995 was indeed a very favorable year. In
fact, 1995's bond market turned in its third best performance in the past 30
years.
By February 1995, investors became more confident that the Federal Reserve
had successfully piloted its "soft landing" strategy - slowing growth while
controlling inflation. This growing confidence quickly transformed the bond
market's initial negative outlook into expectations for double-digit returns.
Overall, the year's dramatic decline in interest rates rewarded bonds with
longer durations. Thirty-year U.S. Treasury bonds provided a total return
(principal appreciation and interest return) of 34.15% - approaching the
historic return of the U.S. stock market. Conversely, the short-end of the yield
curve turned in a 14.41% total return for the year (as measured by the Lehman
Intermediate Government Index, an unmanaged index of average yield U.S.
intermediate fixed-income bonds).
Corporate bonds were among the market's top-performing issues for 1995.
After advancing only 3.4% in 1994, investment grade corporate bonds achieved a
1995 total return of 21.2% (as measured by the Merrill Lynch Fixed Income
Index).
Strong earnings trends, coupled with strong demand and limited new supply,
served to accentuate gains in the corporate sector throughout the year --
particularly in the industrial and finance categories. Not only did corporate
issues offer excellent yield enhancement for many portfolios, they also served
to narrow yield spreads relative to U.S. Treasuries.
After a slow start, high yield bonds also saw increased investor interest
in the second half of 1995. As the stream of positive economic news continued,
concerns about moving up to "quality issues" dissipated. Now willing to accept
potentially
Bond funds rally for the first time in more than a year, up 3.85%.
Strong earnings and low volatility make corporate bonds one of the biggest
success stories throughout the year.
[GRAPHIC]
- -------------------------------------------------------------------------------
1995 JAN 95 FEB 95 MAR 95 APR 95 MAY 95
- --------------------------------------------------------------------------------
Confidence builds that the Federal Reserve has succeeded in engineering a "soft
landing."
[GRAPHIC]
22
<PAGE>
higher risks in exchange for the promise of higher returns, more investors began
seeking return opportunities in the high yield market.
Despite a heavy schedule of new issues in the third quarter, the high yield
market delivered solid results. In the fourth quarter, the high yield market
again produced positive performance - but failed to keep pace with both U.S.
Treasuries and investment grade corporate bonds. This underperformance can be
attributed to a variety of factors - including some disappointing third quarter
corporate earnings, increased supply of new issues, and investor concern with
some highly-publicized defaults in the sector.
Mortgage-backed securities proved to be the biggest disappointment in the
1995 fixed income market. These issues, backed by mortgage obligations, were
negatively affected by declining interest rates throughout the year. As
homeowners saw interest rates fall, many decided to refinance their mortgages at
lower rates. This increase in refinancing activity lowered the expected rate of
return on mortgage securities - as loans backing these securities were paid off
earlier than expected.
Even after a small rally in December, mortgage-backed issues still seemed
attractively priced relative to their valuations. However, it remains unclear as
to whether this value will be realized sooner or later.
Going forward, prospects for the overall bond market remain generally
positive - as long as inflation remains in check and economic growth doesn't
resurge. But enthusiasm for fixed income securities could be dampened by a
number of other possible events in 1996 - such as a failure to re-elect the
Federal Reserve Chairman or an inability to resolve the budget impasse in
Washington. Such events could shake investor confidence and precipitate
a return to single-digit returns.
Regardless of specific events, however, it's unlikely that 1996 returns
will be able to match 1995's historic levels, unless there were to be an
unexpected collapse in interest rates.
Low interest rates motivate more refinancing, negatively impacting mortgage-
backed securities.
[GRAPHIC]
Federal Reserve lowers Federal Funds target rate for second time this year to
5.50%.
[GRAPHIC]
- ------------------------------------------------------------------------------
JUNE 95 JULY 95 AUG 95 SEPT95 OCT 95 NOV 95 DEC 95
- ------------------------------------------------------------------------------
[GRAPHIC]
Federal Reserve lowers target rate for Federal Funds to 5.75%, easing money
supply.
[GRAPHIC]
Budget resolutions in Washington promise progress on federal deficit reduction.
The 30-year U.S. Treasury bond posted a 34.15% total return, approaching the
return of the U.S. stock market.
Lehman Brothers Government and Corporate Bond Index ends year up 18.43%, the
third strongest performance in the last 30 years.
23
<PAGE>
FIDELITY VIP HIGH INCOME PORTFOLIO
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 102
Seeks high income and growth of capital by investing primarily in high-yielding,
lower-rated, fixed-income securities.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Fidelity VIP High
Income Portfolio 20.72%
Merrill Lynch High Yield
Master Index 19.91%
Salomon Brothers
High-Yield Index 19.71%
PORTFOLIO COMPOSITION:
As of November 30, 1995, the sector allocation of net assets was:
Leisure &
Lodging 12.7%
Energy/Oil/Gas
9.4%
Media 9.2%
Insurance [PIE CHART]
6.7%
Communications
6.1%
Retail 5.4
Other 50.5%
GROWTH OF A $10,000 INVESTMENT SINCE 1985
[GRAPHIC]
- ------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in Fidelity VIP 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 bench-
marking 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.
Benefiting from surges in both the equity and fixed-income markets, the Fidelity
VIP High Income Portfolio delivered a 20.72% return for 1995. Consistent strong
performance throughout the year enabled the Portfolio to slightly outpace its
benchmark.
During the first quarter, the Portfolio's success can be primarily
attributed to its exposure to consumer-based industries - including
media/leisure, cable, and nondurables. Improved earnings momentum in these
industries sparked investor interest and raised price levels.
Only the second quarter brought disappointing results for the Portfolio,
largely due to exposure to one particular security that filed for bankruptcy.
But performance quickly picked up again in the third quarter - driven primarily
by the Portfolio's reduced exposure to over-valued zero coupon securities, as
well as to lower quality securities.
In the fourth quarter, the Portfolio's early exposure to broadcast
technology issues paid off handsomely. Following Federal Trade Commission
auction announcements and news of key contracts, investors recognized the value
these companies offer. During this quarter, corporate restructurings,
deleveraging activities, and industry re-evaluations also benefited a number of
creditors - and enhanced the Portfolio's overall performance.
Moving into the first quarter of 1996, the Portfolio is more cautiously
positioned. The Portfolio's management is now focused on more conservative,
growth-oriented sectors. Despite this cautious economic outlook, the Portfolio
is still active in some cyclical issues - which it judges to be attractively
valued following recent deleveraging activity.
In seeking an above average yield, the Portfolio's management will continue
to employ its detail-oriented approach to stock selection, maintaining close
contact with individual companies that are either already represented in the
portfolio or under consideration.
24
<PAGE>
INVESTMENT GRADE INCOME FUND
The Investment Grade Income Fund capitalized on the year's extraordinary fixed
income market - posting a total return of 17.84%.
Throughout 1995, the Fund benefited from its overweighted position in
corporate bonds. The strong demand and limited new supply in this market,
coupled with positive corporate earnings trends, supported solid results.
The Fund's gains from the corporate sector were diluted by two troubled
issues. National discount retailer K-Mart suffered from unexpected liquidity
concerns and bankruptcy rumors - prompting the Fund's management to sell this
position. Another holding the Fund's management is watching cautiously is Sithe
Independence Funding Corporation ("Sithe"), an independent power producer in
upstate New York. While Sithe is involved in potentially protracted contract
renegotiations, the Fund's management anticipates these issues will be favorably
resolved.
Overall, Allmerica Asset Management remains bullish on corporate bonds.
The Fund's management believes several sectors are currently undervalued and
provide significant upside potential - including cable television, media, and
oil and gas.
In the area of mortgage-backed securities, the Fund has suffered from the
sector's overall volatility. After a weak second quarter, the Fund's management
reduced exposure to this sector. Consequently the Fund missed out on the third
quarter's strong returns.
Moving into 1996, the Fund will remain underweighted in mortgage-backed
securities, as management expects this sector to be outperformed by corporate
bonds.
Allmerica Asset Management wrapped up 1995 with a much more conservative
view of the market's economic and fiscal fundamentals. While moderating its
expectations, the Fund's management still anticipates that a federal deficit
reduction package and slower consumer spending will bode well for the coming
year's bond market.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 002
The Fund's objective is to generate high level of total return, while preserving
shareholder capital.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Investment Grade Income Fund 17.84%
Lehman Brothers Aggregate
Bond Index 18.47%
Lipper Corp. Debt BBB
Rated Index 18.04%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the sector allocation of net assets was:
US Government
& Agency
Obligations
57.68%
[PIE CHART] Corporate
Notes
and Bonds
30.30%
Cash
Equivalents
and Other
12.02%
THE INVESTMENT GRADE INCOME FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT
TRUST.
GROWTH OF A $10,000 INVESTMENT SINCE 1985
[GRAPHIC]
- ------------------------------------------------------------------------------
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 and the Lipper Corporate Debt BBB Rated 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. THE LIPPER CORPORATE DEBT BBB RATED INDEX IS A NON-
WEIGHTED INDEX OF THE 30 LARGEST FUNDS WITHIN THE CORPORATE BBB DEBT FUND
CATEGORY. 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.
25
<PAGE>
GOVERNMENT BOND FUND
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 005
The Fund's objective is to generate high income for investors while preserving
capital and maintaining liquidity.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Government Bond Fund 13.06%
Lehman Brothers
Government Bond Index 14.41%
Lipper General U.S.
Government Fund Index 16.79%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the sector allocation of net assets was:
U.S.
Government
& Agency
Obligations
83.71%
Asset Backed [PIE CHART]
Securities
7.85%
Cash
Equivalents
and Other
8.44%
THE GOVERNMENT BOND FUND IS A PORTFOLIO
OF THE ALLMERICA INVESTMENT TRUST.
GROWTH OF A $10,000 INVESTMENT SINCE 1985
[GRAPHIC]
- ------------------------------------------------------------------------------
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 25, 1991, to a similar group of investments: the Lehman Brothers
Government Bond Index and the Lipper General U.S. Government Fund 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. THE LIPPER GENERAL U.S. GOVERNMENT FUND
INDEX OF THE 30 LARGEST FUNDS WITHIN THE GENERAL U.S. GOVERNMENT FUND 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.
For 1995, the Government Bond Fund delivered a total return of 13.06%,
underperforming both the Lehman Brothers Government Bond Index and the Lipper
General U.S. Government Fund Index.
Over the year, major shifts in market sentiment and mixed messages from
economic data proved challenging to bond investors. In response to these
challenges, the Fund's management changed its interest rate exposure strategy
from a defensive posture to a more optimistic stance during the first half of
the year.
In the third quarter, however, management sensed that changing conditions
could support a renewed surge in economic growth. Concerned any economic
strengthening might nudge interest rates upward, the Fund's management reduced
its interest rate exposure.
In the area of mortgage-backed securities, the Fund suffered from the
sector's overall volatility. Gains from the first and third quarter were largely
offset by weak second and fourth quarters. As interest rates declined further,
particularly toward the end of the second quarter, the Fund's exposure to
mortgage-backed securities was reduced. Only those securities which the Fund's
management expects to be least sensitive to increased refinancing have been
retained.
To provide incremental yield over U.S. Treasuries, the Fund's management
added asset-backed securities to the mix. Current holdings include bonds that
are secured by the issuers' credit card and auto loan receivables. Given their
yield advantage, agency note securities were also increased during 1995.
For 1996, Allmerica Asset Management anticipates positive developments in
the bond market - precipitated by slower consumer spending, increased savings,
and a federal deficit reduction package. However, the Fund's management also
expects these positive influences to be somewhat offset by negative results in
the mortgage-backed sector. If low interest rates continue to motivate
homeowners to refinance their mortgages, the expected rates of returns on
mortgage-backed securities will remain depressed.
26
<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.
1995: After successfully piloting economy to a "soft landing," Federal Reserve
lowers federal funds target rate twice.
1995 began as tumultuously as any in recent memory. After disappointing
returns in all market sectors in 1994, investors approached the new year
cautiously. In the first quarter of 1995, this caution seemed further warranted
by continued strong economic growth - a trend which seemed to be paving the way
for increased inflation.
In February, the upward trend in interest rates peaked - as the Federal
Reserve raised the interest rate it charges banks from 5.5% to 6.0%. This move
actually culminated a 100% rise in the Federal Funds rate over a one-year
period.
However, beginning in the second quarter of 1995, a procession of weak
economic data initiated a rapid decline in interest rates. These declining
interest rates, coupled with a stabilizing Federal Reserve rate, caused the
yield curve to invert, meaning that short-term securities began to provide
higher yields than intermediate securities. Thus, investors began pouring assets
into the money market at record levels.
By the third quarter of 1995, it began to appear that the Federal Reserve
had successfully piloted the economy toward the much discussed "soft landing"
strategy - slowing growth while controlling inflation. In response, the Federal
Reserve lowered its federal funds rate one quarter of one percentage point to
5.75% in July.
Following this shift in the Federal Reserve rates, the money market sector
remained inverted. This continued inversion signaled that short term rates would
continue to move lower in the future.
By the end of the year, money fund assets had increased 25% - totalling a
record $762.7 billion for 1995. Because this tremendous growth in assets
heightened the demand for short-term financial products, their prices
appreciated and their yields declined - particularly in the area of shorter-term
U.S. Treasuries.
As the fourth quarter came to a close, the Federal Reserve lowered its
rate for the second time in 1995 - down another one quarter of one percentage
point to 5.50%. Some analysts see this move as a signal that the Federal Reserve
may continue to loosen its hold on the money supply in the months ahead.
If inflation remains low - and economic growth remains steady - the
Federal Reserve could lower rates again in the coming year. However, it's
uncertain how the Federal government's continuing inability to agree on a budget
resolution could affect both investor confidence and economic growth as we move
into 1996.
Inflationary fears prompt seventh interest rate hike, completing a 100% rise in
the Fed rate over a one-year period.
Declining interest rates and a stabilized Federal Funds rate inverts yield
curve.
Federal Reserve lowers federal funds target rate for second time in a year to
5.50%.
[GRAPHIC]
- ------------------------------------------------------------------------------
1995 1ST QUARTER 2ND QUARTER 3RD QUARTER 4TH QUARTER
- ------------------------------------------------------------------------------
[GRAPHIC]
Confidence builds that the Federal Reserve has succeeded in engineering a "soft
landing."
Federal Reserve lowers target rate for Federal Funds to 5.75%, easing money
supply.
[GRAPHIC]
Over 1995, money fund assets increased 25% to a record $762.7 billion.
27
<PAGE>
MONEY MARKET FUND
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 003
Strives to maximize current income for investors with preservation of capital
and liquidity.
PERFORMANCE:
Net total return for the one-year period ending December 31, 1995:
Money Market Fund 5.84%
IBC/Donoghue General Purpose
Money Market Average 5.54%
Lipper Money Market
Funds Index 5.37%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the sector allocation of net assets was:
Commercial
Paper 41.49
Corporate
Notes and [PIE CHART]
Bonds
44.03%
Cash
Equivalents
2.37%
Other 12.11%
THE MONEY MARKET FUND IS A PORTFOLIO
OF THEALLMERICA INVESTMENT TRUST.
IBC/DONOGHUE IS AN INDEPENDENT FIRM THAT TRACKS 2a-7 REGULATED MONEY MARKET
FUNDS ON A YIELD, SHAREHOLDER, ASSET SIZE AND PORTFOLIO ALLOCATION BASIS. THE
LIPPER MONEY MARKET FUNDS INDEX IS AN UNMANAGED INDEX OF THE TOP 30 FUNDS WITHIN
THE MONEY MARKET CATEGORY.
The Money Market Fund outperformed the Lipper Money Market Funds Index,
delivering a solid 5.84% return for the year ending December 31, 1995.
Throughout 1995, the Money Market Fund continued to focus on its three
primary goals: preservation of capital, maintenance of liquidity, and generation
of current income. In seeking to achieve these goals, the Fund's management
employed varying responses to rapidly-evolving developments within the money
markets.
Toward the end of the second quarter, the Fund's management adapted to the
lower interest rate environment by lengthening the average maturity of its
holdings. As rates declined further, management also adjusted the Fund's
composition - shifting away from variable rate securities. Since rates on these
securities can be quickly reset, they are less attractive in declining rate
environments.
When the Federal Reserve lowered its federal funds rate in the third
quarter, implying short term rates would continue to move lower, the Fund's
management maintained its average weighted maturity.
As 1995's historic demand for short-term financial products drove prices
upward and yields downward for shorter-term U.S. Treasuries, the Fund's
management decreased exposure to this asset class. Currently, the Fund is
heavily weighted in high quality, first tier commercial paper. Plans are to
continue to emphasize this sector, as well as all short-term financial products.
In the coming year, the Fund's management foresees subdued inflation, an
accommodating Federal Reserve, and moderate economic growth. If the economy
remains stable and the federal budget impasse is resolved, interest rates have
the potential to decline further. In light of this view, the Fund enters 1996
with a modestly longer average weighted maturity.
28
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 96.82%
AUSTRALIA - 9.48%
195,090 Broken Hill Proprietary Co., Ltd $ 2,757,300
658,240 MIM Holdings 910,736
270,720 National Australia Bank, Ltd 2,436,695
464,270 News Corp. 2,479,650
202,750 WMC, Ltd 1,303,077
-------------
9,887,458
-------------
FINLAND - 1.36%
75,000 Repola 1,416,396
-------------
FRANCE - 1.41%
19,930 Elf Aquitaine 1,470,386
-------------
GERMANY - 2.80%
5,580 Hoechst AG 1,520,461
4,400 Mannesmann AG 1,403,362
-------------
2,923,823
-------------
INDONESIA - 5.60%
98,000 Gudang Garam 1,024,393
235,000 Hanjaya Mandala Sampoerna 2,446,175
96,000 Hero Supermarkets 205,736
242,000 Indocement Tunggal Perkasa 812,337
135,000 Kalbe Farma 457,592
735,000 Mayora Indah 530,413
279,000 Telekomunikasi 366,073
-------------
5,842,719
-------------
IRELAND - 2.30%
106,400 Allied Irish Banks 576,406
773,350 Smurfit (Jefferson) Group 1,822,065
-------------
2,398,471
-------------
ITALY - 1.65%
608,010 STET Societa Finanziaria Telefonica 1,720,856
-------------
JAPAN - 1.34%
77,000 Canon, Inc. 1,395,906
-------------
MALAYSIA - 4.37%
388,000 Development & Commercial Bank Holdings, Berhad 1,130,883
294,000 Hume Industries Berhad 1,412,737
108,000 Malaysian International Shipping Corp. 282,878
652,200 Sime-Darby Berhad 1,733,958
-------------
4,560,456
-------------
MEXICO - 0.40%
249,700 Grupo Financiero Banamex, Series B 418,719
-------------
NETHERLANDS - 10.85%
39,400 ABN-Amro Holdings 1,796,731
9,950 Akzo Nobel, NV 1,152,048
185,150 Elsevier, NV 2,471,764
24,605 International Nederlanden CVA 1,645,461
9,890 KLM 347,972
5,040 Nutricia Ver Bedrijven 408,108
79,300 Philips Electronics 2,869,265
17,205 Royal PTT Nederland, ADR 625,738
-------------
11,317,087
-------------
SINGAPORE - 7.76%
246,000 City Developments 1,791,347
185,000 Development Bank of Singapore 2,301,929
134,000 Fraser and Neave, Ltd, Ord 1,705,237
129,800 Singapore Press 2,294,152
-------------
8,092,665
-------------
SPAIN - 0.99%
20,495 Banco de Santander 1,028,837
-------------
SWEDEN - 2.16%
8,150 Assi Doman AB 177,088
84,869 Ericsson Series B 1,664,800
13,000 Stora Kopparbergs Bergslags Aktiebolag, Series A 153,006
12,600 Volvo (AB), Series B 258,570
-------------
2,253,464
-------------
SWITZERLAND - 9.37%
2,177 Alusuisse-Lonza Holdings, Regd 1,729,263
3,448 Ciba-Geigy AG, Regd 3,041,513
378 Roche Holdings AG 2,997,651
1,474 Schweiz Ruckverisch 1,719,121
1,415 Schweizerisher Bankverein 289,603
-------------
9,777,151
-------------
THAILAND - 3.03%
128,800 Bangkok Bank Public Co., Ltd 1,564,669
9,900 Siam Cement Public Co., Ltd 548,663
103,800 Thai Farmers Bank Public Co., Ltd 1,046,685
-------------
3,160,017
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 29
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM - 31.94%
212,000 Argyll Group, Plc $ 1,119,114
212,350 Barclays Bank, Ord 2,436,443
211,450 British Airways, Plc 1,529,865
196,230 British Gas, Plc, Ord 773,853
41,100 British Petroleum 343,946
371,577 BTR, Plc, Ord 1,898,035
342,650 B.A.T Industries, Ord 3,019,090
211,900 Cadbury Schweppes 1,750,258
114,350 Chubb Security, Plc, Ord 565,464
337,430 Coats Viyella, Plc, Ord 916,814
83,700 General Accident, Plc, Ord 845,991
262,700 General Electric Co., Plc, Ord 1,447,931
67,400 Glaxo Wellcome, Plc 957,504
22,000 Granada Group, Plc 220,314
114,360 Grand Metropolitan, Plc, Ord 823,857
449,700 Hanson Trust 1,344,043
268,300 Ladbroke Group, Plc 610,264
229,840 Lloyds TSB Group, Plc 1,182,956
210,000 Medeva, Plc, Ord 873,803
225,750 Prudential Corp., Plc, Ord 1,454,573
275,400 Scottish Power, Plc 1,582,068
262,850 Siebe, Plc, Ord 3,240,321
100,400 Thorn EMI, Plc 2,364,715
297,700 Vodafone Group, Plc 1,065,392
49,000 Zeneca Group, Plc, Ord 947,924
-------------
33,314,538
-------------
UNITED STATES - 0.01%
400 US Industries, Inc.* 7,050
-------------
TOTAL COMMON STOCKS 100,985,999
(Cost $91,855,906) -------------
PREFERRED STOCK - 0.31%
69,985 News Corp., Ltd (Australia) 327,455
-------------
TOTAL PREFERRED STOCK 327,455
(Cost $278,776) -------------
INVESTMENT COMPANIES - 2.47%
1,880,824 ILA Prime Obligation Portfolio Fund 1,880,824
696,034 Lehman Brothers Prime Fund, Class A 696,034
-------------
TOTAL INVESTMENT COMPANIES 2,576,858
(Cost $2,576,858) -------------
TOTAL INVESTMENTS - 99.60% 103,890,312
(Cost $94,711,540) -------------
NET OTHER ASSETS AND LIABILITIES - 0.40% 421,822
-------------
NET ASSETS - 100.00% $ 104,312,134
-------------
-------------
</TABLE>
- ----------------------------------------
* Non income producing security.
ADR American Depository Receipt.
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>
7,684,900 CHF 1/16/96 $ 6,681,534 $ 6,700,000 $ 18,466
3,882,000 DEM 3/27/96 2,714,185 2,707,963 (6,222)
6,207,000 FRF 2/13/96 1,266,962 1,267,899 937
125,000,000 JPY 2/22/96 1,217,821 1,239,636 21,815
12,658,000 NLG 1/30/96 7,892,505 8,000,000 107,495
------------ ----------- --------------
$ 19,773,007 $19,915,498 $ 142,491
------------ ----------- --------------
------------ ----------- --------------
</TABLE>
- ------------------------------
CHF Swiss Francs
DEM German Marks
FRF French Francs
JPY Japanese Yen
NLG Dutch Guilders
See Notes to Financial Statements.
30 ---------------------------------------------------------
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 97.80%
TECHNOLOGY - 22.92%
60,000 Adaptec, Inc.* $ 2,460,000
50,400 Advanced Semiconductor Materials
International NV 2,482,200
99,200 Altera Corp.* 4,935,200
144,400 Atmel Corp.* 3,230,950
17,200 Cabletron Systems, Inc.* 1,393,200
38,200 CISCO Systems, Inc.* 2,850,675
90,200 Cognex Corp.* 3,134,450
63,300 Computer Associates International, Inc 3,600,188
131,000 Conner Peripherals, Inc.* 2,751,000
111,600 Henry (Jack) & Associates, Inc. 2,762,100
60,000 Iomega Corp.* 2,917,500
50,400 Komag, Inc.* 2,324,700
63,500 Madge Networks NV* 2,841,625
71,250 McAfee Associates, Inc.* 3,126,094
33,800 Micron Technology, Inc. 1,339,325
5,900 PairGain Technologies, Inc.* 323,025
108,400 S3, Inc.* 1,910,550
54,300 Seagate Technology, Inc.* 2,579,250
47,900 Softkey International, Inc.* 1,107,688
92,000 Sun Microsystems, Inc.* 4,197,500
101,000 Teradyne, Inc.* 2,525,000
95,400 Veritas Software Co.* 3,625,200
-------------
58,417,420
-------------
FINANCIAL - 12.15%
71,000 Aames Financial Corp. 1,979,125
60,700 Alex Brown, Inc. 2,549,400
71,700 ALLIED Group, Inc. 2,581,200
79,000 American Financial Group, Inc. 2,419,375
55,600 Bank of Boston Corp. 2,571,500
124,100 Bear Stearns Cos., Inc. 2,466,488
123,300 Lehman Brothers Holdings, Inc. 2,620,125
101,400 North Fork Bancorp., Inc. 2,560,350
153,600 Olympic Financial, Ltd* 2,496,000
114,501 Penncorp Financial Group, Inc. 3,363,445
73,200 Salomon, Inc. 2,598,600
111,575 Waterhouse Investors Services, Inc. 2,761,481
-------------
30,967,089
-------------
CHEMICALS AND DRUGS - 11.02%
49,900 Amgen, Inc.* 2,962,813
65,000 Boston Scientific Corp.* 3,185,000
86,000 Cephalon, Inc. 3,504,500
32,600 Eastman Chemical Co. 2,041,575
113,800 Empi, Inc.* 2,901,900
99,400 Lincare Holdings, Inc.* 2,485,000
152,100 Liposome Co., Inc.* 3,042,000
16,500 Medeva Plc, ADR 279,428
12,600 Medic Computer Systems, Inc.* 762,300
33,000 Research Industries, Inc.* 891,000
120,200 Vital Signs, Inc. 3,170,275
58,300 Watson Pharmaceuticals, Inc.* 2,856,700
-------------
28,082,491
-------------
ELECTRONICS - 10.07%
47,150 Alliance Semiconductor Corp.* 548,119
91,000 American President Cos., Ltd 2,093,000
54,700 CellStar Corp.* 1,422,200
87,300 Electroglas, Inc.* 2,138,850
178,600 Electronics for Imaging, Inc.* 7,813,750
161,000 Integrated Circuit Systems, Inc.* 1,992,375
87,400 Kulicke & Soffa Industries, Inc. 2,032,050
75,800 Maxim Integrated Products, Inc.* 2,918,300
41,200 Tencor Instruments* 1,004,250
52,000 Wyle Electronics Laboratories, Inc. 1,826,500
61,800 Xilinx, Inc.* 1,884,900
-------------
25,674,294
-------------
CONSUMER PRODUCTS - 9.59%
59,300 Applied Materials* 2,334,938
80,500 Ascend Communications, Inc.* 6,530,563
71,800 Bowater, Inc. 2,548,900
46,800 Consolidated Papers, Inc. 2,626,650
52,500 Devon Group, Inc.* 1,525,781
44,772 Kimberly-Clark Corp. 3,704,883
63,000 King World Productions, Inc.* 2,449,125
23,300 Rock-Tenn Co., Class A 378,625
112,900 Seattle FilmWorks, Inc.* 2,342,675
-------------
24,442,140
-------------
ENERGY - 6.86%
68,700 Asarco, Inc. 2,198,400
20,200 Louisiana Land & Exploration Co. 866,075
285,800 Pride Petroleum Services, Inc.* 3,036,625
196,000 Reading & Bates Corp.* 2,940,000
75,200 Sonat Offshore Drilling, Inc. 3,365,200
101,900 Valero Energy Corp. 2,496,550
58,900 Williams Cos., Inc. 2,584,238
-------------
17,487,088
-------------
DURABLE GOODS - 5.87%
135,500 Aetrium, Inc.* 2,710,000
62,800 Carpenter Technology, Corp. 2,582,650
64,400 Credence Systems Corp.* 1,473,150
88,600 JLG Industries, Inc. 2,635,850
194,000 Rexel, Inc.* 2,619,000
33,600 U.S. Robotics Corp. 2,948,400
-------------
14,969,050
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 31
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
AEROSPACE-AIRLINES - 3.69%
74,000 Continental Airlines, Class B* $ 3,219,000
42,000 Mcdonnell Douglas Corp. 3,864,000
13,000 UAL Corp.* 2,320,500
-------------
9,403,500
-------------
BUILDING AND CONSTRUCTION - 3.58%
17,500 Granite Construction, Inc. 551,250
32,200 Loews Corp. 2,523,675
33,900 NCI Building Systems, Inc.* 839,025
118,400 Neurogen Corp.* 3,182,000
36,000 Willamette Industries, Inc. 2,025,000
-------------
9,120,950
-------------
METALS AND MINING - 2.65%
52,100 Mueller Industries, Inc.* 1,523,925
19,200 Phelps Dodge Corp. 1,195,200
76,200 Rayonier, Inc. 2,543,175
26,200 Reynolds Metals Co. 1,483,575
-------------
6,745,875
-------------
CONSUMER STAPLES - 2.33%
34,700 Acme-Cleveland Corp. 650,625
31,000 IBP, Inc. 1,565,496
83,200 Lydall, Inc.* 1,892,800
20,200 Philip Morris Cos., Inc. 1,828,100
-------------
5,937,021
-------------
UTILITIES - 2.27%
196,400 CellPro, Inc.* 3,142,400
298,000 NorAm Energy Corp. 2,644,750
-------------
5,787,150
-------------
CONSUMER CYCLICALS - 1.96%
107,700 Grand Casinos, Inc.* 2,504,025
131,000 Ross Stores, Inc. 2,505,375
-------------
5,009,400
-------------
BUSINESS SERVICES - 1.23%
148,800 National Media Corp.* 3,124,800
-------------
MISCELLANEOUS - 1.11%
195,300 Orthologic Corp. 2,831,850
-------------
CONSUMER SERVICE - 0.50%
30,400 Robert Half International, Inc.* 1,273,000
-------------
TOTAL COMMON STOCKS 249,273,118
(Cost $195,724,233) -------------
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
COMMERCIAL PAPER (A) - 0.94%
$2,389,000 Philip Morris Capital Corp.
5.80%, 01/02/96 2,388,615
-------------
TOTAL COMMERCIAL PAPER 2,388,615
(Cost $2,388,615) -------------
<CAPTION>
SHARES
- ------
<C> <S> <C>
INVESTMENT COMPANIES - 1.49%
1,281,149 ILA Prime Obligation Money Market Fund 1,281,149
2,506,145 ILA Prime Obligation Portfolio Fund, Class B 2,506,145
-------------
TOTAL INVESTMENT COMPANIES 3,787,294
(Cost $3,787,294) -------------
TOTAL INVESTMENTS - 100.23% 255,449,027
(Cost $201,900,142) -------------
NET OTHER ASSETS AND LIABILITIES - (0.23)% (577,304)
-------------
NET ASSETS - 100.00% $ 254,871,723
-------------
-------------
</TABLE>
- ----------------------------------------
* Non income producing security.
(A) Effective Yield.
ADR American Depository Receipt.
See Notes to Financial Statements.
32 ---------------------------------------------------------
<PAGE>
SELECT CAPITAL APPRECIATION FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 87.24%
BUSINESS SERVICES - 17.45%
22,650 First Data Corp. $ 1,514,718
31,175 HFS, Inc.* 2,548,556
129,475 Paging Network, Inc.* 3,155,953
-------------
7,219,227
-------------
HEALTH SERVICES - 11.23%
44,350 Exogen, Inc.* 853,738
10,550 Healthsource, Inc.* 379,800
21,725 HEALTHSOUTH Corp.* 632,741
20,875 Omnicare, Inc. 934,156
4,550 Oxford Health Plans, Inc.* 336,131
10,350 PacifiCare Health Systems, Class B* 900,450
33,900 TheraTech, Inc.* 610,200
-------------
4,647,216
-------------
FINANCIAL - 10.68%
4,525 Credit Acceptance Corp.* 93,894
49,525 Insignia Financial Group, Inc., Class A* 1,906,712
45,375 Medaphis Corp.* 1,678,875
9,275 Progressive Corp. of Ohio 453,316
9,100 Protective Life Corp. 284,375
-------------
4,417,172
-------------
CHEMICALS AND DRUGS - 10.45%
38,225 ARV Assisted Living, Inc. 449,144
30,325 General Nutrition Cos., Inc.* 697,475
27,950 Gulf South Medical Supply, Inc.* 845,488
2,425 Intertape Polymer Group, Inc. 76,084
39,350 Scherer (R.P.) Corp.* 1,933,069
6,925 Teva Pharmaceutical Industries, Ltd, ADR 321,147
-------------
4,322,407
-------------
TELECOMMUNICATIONS - 9.25%
41,225 Arch Communications Group, Inc.* 989,400
32,900 Black Box Corp.* 538,738
37,300 CommNet Cellular, Inc.* 1,077,038
10,000 Millicom International Cellular SA* 305,000
18,625 MobileMedia Corp., Class A* 414,406
38,725 PriCellular Corp., Class A* 503,425
-------------
3,828,007
-------------
FOOD SERVICES - 5.30%
8,950 JP Foodservice, Inc.* 174,525
29,100 Lone Star Steakhouse & Saloon* 1,116,712
21,900 Papa John's International, Inc.* 902,006
-------------
2,193,243
-------------
RETAIL - 4.01%
31,525 AutoZone, Inc.* 910,284
31,525 Family Golf Centers, Inc. 575,331
6,025 O'Reilly Automotive, Inc.* 174,725
-------------
1,660,340
-------------
DURABLE GOODS - 3.74%
11,250 APS Holding Corp., Class A* 253,125
28,250 Exide Corp. 1,295,969
-------------
1,549,094
-------------
TRANSPORTATION - 3.06%
19,275 Wisconsin Central Transportation Corp.* 1,267,331
-------------
BUILDING AND CONSTRUCTION - 2.94%
10,975 Pitway Corp., Class A 743,556
16,850 Sealed Air Corp.* 473,906
-------------
1,217,462
-------------
CONSUMER SERVICES - 2.30%
27,850 CUC International, Inc.* 950,381
-------------
ENERGY - 2.17%
3,450 NGC Corp. 30,619
44,475 Trigen Energy Corp. 867,263
-------------
897,882
-------------
CONSUMER STAPLES - 2.11%
22,600 Petco Animal Supplies, Inc.* 661,050
4,550 Viking Office Products, Inc.* 211,575
-------------
872,625
-------------
TECHNOLOGY - 1.55%
22,925 Bell & Howell Holdings Co.* 641,900
-------------
METALS AND MINING - 1.00%
11,325 Minerals Technologies, Inc. 413,363
-------------
TOTAL COMMON STOCKS 36,097,650
(Cost $31,507,212) -------------
FOREIGN COMMON STOCKS - 4.80%
30,000 Hanjaya Mandala Sampoerna (Indonesia) 312,278
167,994 Wetherspoon (J.D.) Plc (United Kingdom) 1,674,512
-------------
TOTAL FOREIGN COMMON STOCKS 1,986,790
(Cost $1,913,562) -------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 33
<PAGE>
SELECT CAPITAL APPRECIATION FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATION (A) - 1.21%
$ 500,000 Federal Home Loan Bank
5.61%, 01/12/96 $ 499,143
-------------
TOTAL U.S. GOVERNMENT
AND AGENCY OBLIGATION 499,143
(Cost $499,143) -------------
COMMERCIAL PAPER (A) - 6.28%
$1,000,000 General Electric Capital Corp.
5.90%, 01/03/96 999,672
1,600,000 Household Finance Corp.
5.70%, 01/02/96 1,599,747
-------------
TOTAL COMMERCIAL PAPER 2,599,419
(Cost $2,599,419) -------------
TOTAL INVESTMENTS - 99.53% 41,183,002
(Cost $36,519,336) -------------
NET OTHER ASSETS AND LIABILITIES - 0.47% 193,033
-------------
NET ASSETS - 100.00% $ 41,376,035
-------------
-------------
</TABLE>
- ----------------------------------------
* Non income producing security.
(A) Effective Yield.
ADR American Depository Receipt.
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>
263,000 GBP 2/8/96 $ 407,906 $ 411,740 $ 3,834
95,000 GBP 2/22/96 147,287 146,865 (422)
5,000 GBP 3/28/96 7,746 7,638 (108)
------------ ----------- --------------
$ 562,939 $ 566,243 $ 3,304
------------ ----------- --------------
------------ ----------- --------------
</TABLE>
- ----------------------------------------
GBP British Pound
See Notes to Financial Statements.
34 ---------------------------------------------------------
<PAGE>
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 91.31%
CONSUMER PRODUCTS - 20.97%
151,000 Cash America International, Inc. $ 830,500
57,800 CCH, Inc., Class B 3,186,225
50,000 DiMon Inc. 881,250
43,500 Duty Free International, Inc. 696,000
56,900 Fingerhut Cos., Inc. 789,488
25,000 King World Productions, Inc.* 971,875
24,500 La-Z Boy Chair Co. 756,438
66,000 Lee Enterprises, Inc. 1,518,000
49,600 MagneTek, Inc.* 403,000
45,710 Mosinee Paper Corp. 1,177,033
30,700 Paragon Trade Brands, Inc.* 717,613
44,000 Scitex Corp. Ltd., ADR 599,500
48,000 Sealright Co. 534,000
20,000 Tennant Co. 477,500
-------------
13,538,422
-------------
DURABLE GOODS - 18.82%
35,820 Baldor Electric Co. 720,878
37,500 Carlisle Cos., Inc. 1,514,063
12,500 Fluke Corp. 471,875
51,700 Hanna (M.A.) Co. 1,447,600
35,000 Huffy Corp. 354,375
63,500 Juno Lighting, Inc. 1,016,000
41,400 Kennametal, Inc. 1,314,450
42,400 Miller (Herman), Inc. 1,272,000
24,000 National Presto Industries, Inc. 954,000
28,000 Octel Communications Corp.* 903,000
29,100 Precision Castparts Corp. 1,156,725
24,000 Standard Products Co. 423,000
18,400 Toro Co. 604,900
-------------
12,152,866
-------------
FINANCIAL - 7.56%
38,253 First Commercial Corp. 1,262,333
24,400 FirsTier Financial, Inc. 1,073,600
31,000 Gallagher (Arthur J.) & Co. 1,154,750
20,100 NYMAGIC, Inc. 341,700
35,000 Primark Corp.* 1,050,000
-------------
4,882,383
-------------
RETAIL - 7.20%
61,500 Consolidated Stores Corp.* 1,337,625
26,000 Hannaford Brothers Co. 640,250
32,050 Rykoff-Sexton, Inc. 560,875
20,000 Vons Cos, Inc.* 565,000
82,500 Waban, Inc. 1,546,875
-------------
4,650,625
-------------
AUTOMOTIVE - 6.97%
61,000 Apogee Enterprises, Inc. 1,037,000
23,000 Arvin Industries, Inc. 379,500
28,000 First Brands Corp. 1,333,500
61,000 Intermet Corp.* 640,500
26,700 Modine Manufacturing Co. 640,800
26,000 Walbro Corp. 468,000
-------------
4,499,300
-------------
ENERGY - 6.63%
31,000 Cabot Oil & Gas Corp., Class A 453,375
63,500 California Energy, Inc.* 1,238,250
37,400 Devon Energy Corp. 953,700
147,000 Nabors Industries, Inc.* 1,635,375
-------------
4,280,700
-------------
CHEMICALS AND DRUGS - 5.51%
45,000 Alberto-Culver Co., Class A 1,372,500
50,000 Armor All Products Corp. 906,250
33,300 Brady (W.H.) Co., Class A 899,100
12,000 Helene Curtis Industries, Inc. 379,500
-------------
3,557,350
-------------
METALS AND MINING - 4.60%
44,300 Brush Wellman, Inc. 764,175
69,000 Global Industrial Technologies, Inc.* 1,302,375
48,000 Trimas Corp. 906,000
-------------
2,972,550
-------------
TECHNOLOGY - 3.14%
21,500 ADAC Laboratories 260,688
76,000 Gerber Scientific, Inc. 1,235,000
52,900 Viewlogic Systems, Inc.* 529,000
-------------
2,024,688
-------------
BUILDING AND CONSTRUCTION - 2.95%
80,100 Southdown, Inc. 1,561,950
35,100 Wolohan Lumber Co. 342,225
-------------
1,904,175
-------------
TRANSPORTATION - 2.71%
27,400 Overseas Shipholding Group, Inc. 520,600
39,100 Trinity Industries, Inc. 1,231,646
-------------
1,752,246
-------------
RECREATIONAL EQUIPMENT - 2.45%
17,650 Anthony Industries, Inc. 405,950
43,000 Sturm Ruger & Co., Inc. 1,177,125
-------------
1,583,075
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 35
<PAGE>
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
BUSINESS SERVICES - 1.80%
62,800 True North Communications, Inc. $ 1,161,800
-------------
TOTAL COMMON STOCKS 58,960,180
(Cost $53,306,165) -------------
INVESTMENT COMPANIES - 8.76%
2,712,340 ILA Prime Obligation Money Market Fund 2,712,340
2,944,818 ILA Prime Obligation Portfolio Fund, Class B 2,944,818
-------------
TOTAL INVESTMENT COMPANIES 5,657,158
(Cost $5,657,158) -------------
TOTAL INVESTMENTS - 100.07% 64,617,338
(Cost $58,963,323) -------------
NET OTHER ASSETS AND LIABILITIES - (0.07)% (42,785)
-------------
NET ASSETS - 100.00% $ 64,574,553
-------------
-------------
</TABLE>
- ----------------------------------------
* Non income producing security.
See Notes to Financial Statements.
36 ---------------------------------------------------------
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 92.44%
FINANCIAL - 17.27%
66,900 ACE, Ltd. $ 2,659,275
79,200 Aetna Life & Casualty Co. 5,484,600
62,100 AFLAC, Inc. 2,693,588
10,290 Allstate Corp. 423,176
21,600 American General Corp. 753,300
12,000 Bank of Boston Corp. 555,000
7,300 Boatmen's Bancshares, Inc. 298,388
17,500 Capital One Financial Corp. 417,813
99,000 Chemical Banking Corp. 5,816,250
45,200 Citicorp 3,039,700
8,300 Crestar Financial Corp. 490,738
7,200 Dean Witter Discover & Co. 338,400
41,700 Debartolo Realty Corp., REIT 542,100
73,100 EXEL, Ltd. 4,459,100
33,000 Federal Home Loan Mortgage Corp. 2,755,500
33,400 Federal National Mortgage Association 4,145,775
82,448 First Chicago NBD Corp. 3,256,696
22,800 First Fidelity Bancorp. 1,718,550
33,000 First Of America Bank Corp. 1,464,375
46,000 First Union Corp. 2,558,750
8,297 Fleet Financial Group, Inc. 338,103
16,000 Great Western Financial Corp. 408,000
4,400 HealthCare COMPARE Corp.* 191,400
82,300 Humana, Inc.* 2,252,963
18,300 ITT Hartford Group, Inc.* 885,263
75,148 NationsBank Corp. 5,232,180
2,800 Northern Trust Corp. 156,800
3,300 PMI Group, Inc. 149,325
13,000 PNC Bank Corp. 419,250
4,600 Post Properties, Inc. 146,625
23,100 Providian Corp. 941,325
152,600 RJR Nabisco Holdings Corp. 4,711,525
5,200 SAFECO Corp. 179,400
7,700 Security Capital Industrial Trust 134,750
45,463 Security Capital Pacific Trust 897,894
8,600 Signet Banking Corp. 204,250
11,100 Sirrom Capital Corp. 209,513
5,600 Stewart Enterprises, Inc., Class A 207,200
13,100 St. Paul Cos., Inc. 728,688
10,200 TCF Financial Corp. 337,875
8,400 Torchmark Corp. 380,100
43,496 TransAmerica Corp. 3,169,771
157,600 UST, Inc. 5,259,900
44,700 U.S. HealthCare, Inc. 2,078,550
93,400 U.S. West, Inc. 3,339,050
-------------
76,830,774
-------------
DURABLE GOODS - 16.48%
8,400 AlliedSignal, Inc. 399,000
11,400 American Mobile Satellite Corp.* 349,125
13,600 Armstrong World Industries, Inc. 843,200
30,600 Beckman Instruments, Inc. 1,082,475
6,100 Caterpillar, Inc. 358,375
95,700 Chrysler Corp. 5,299,388
72,700 Cummins Engine Co., Inc. 2,689,900
19,500 Deere & Co. 687,375
58,000 Eaton Corp. 3,110,250
6,800 Electronics For Imaging, Inc.* 297,500
186,800 Frontier Corp. 5,604,000
126,800 General Electric Co. 9,129,600
197,900 General Motors Corp. 10,463,963
5,100 Gilat Satellite Networks, Ltd.* 128,775
5,450 Glenayre Technologies, Inc.* 339,263
13,600 Globalstar Telecommunication, Ltd.* 513,400
93,300 Goodyear Tire & Rubber Co. 4,233,488
67,400 Intel Corp. 3,824,950
4,300 Kent Electronics Corp.* 251,013
4,200 LSI Logic Corp.* 137,550
5,400 Millicom International Cellular S.A.* 164,700
27,600 Motorola, Inc. 1,573,200
5,000 Nokia Corp., ADR* 194,375
68,350 OfficeMax, Inc. 1,529,331
7,300 Palmer Wireless, Inc., Class A* 160,600
14,400 PHH Corp. 673,200
25,200 Ryder System, Inc. 623,700
12,400 Standard Register Co. 249,550
14,700 Tandy Corp. 610,050
10,800 Tecumseh Products Co., Class A 558,900
5,000 Teltabs, Inc.* 185,000
106,000 Texas Instruments, Inc. 5,485,500
46,800 Textron, Inc. 3,159,000
71,500 TRINOVA Corp. 2,046,688
85,100 Union Pacific Corp. 5,616,600
2,200 U.S. Robotics Corp. 193,050
31,600 Western Digital Corp.* 564,850
-------------
73,330,884
-------------
CHEMICALS AND DRUGS - 12.63%
9,000 Airgas, Inc.* 299,250
85,900 Allergan, Inc. 2,791,750
37,200 American Home Products Corp. 3,608,400
48,400 Avon Products, Inc. 3,648,150
9,300 Bausch & Lomb, Inc. 372,475
61,800 Baxter International, Inc. 2,587,875
54,800 Becton, Dickinson & Co. 4,110,000
23,000 Bergen Brunswig Corp., Class A 572,125
92,940 Bristol-Myers Squibb Co. 7,981,223
5,200 Cabot Corp. 280,150
6,100 Cardinal Health, Inc. 333,975
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 37
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
CHEMICALS AND DRUGS (CONTINUED)
128,700 duPont (E.I.) deNemours & Co. $ 8,992,913
7,500 Estee Lauder Cos., Class A* 261,563
5,500 FMC Corp.* 371,938
13,800 Foundation Health Corp.* 593,400
110,400 Grace (W.R.) & Co. 6,527,400
32,380 Health Management Associates, Inc., Class A* 845,928
47,200 Johnson & Johnson 4,041,500
66,900 Mallinckrodt Group, Inc. 2,433,488
7,100 North American Biologicals, Inc.* 76,325
10,600 OrNda Healthcorp* 246,450
2,600 Oxford Health Plans, Inc.* 192,075
12,100 Premark International, Inc. 612,563
12,800 Rhone-Poulenc Rorer, Inc. 681,600
3,900 Total Renal Care Holdings, Inc.* 115,050
8,850 Vivra, Inc.* 222,356
31,600 Warner-Lambert Co. 3,069,150
14,600 Wellman, Inc. 332,150
-------------
56,201,222
-------------
ENERGY - 7.01%
6,100 Amoco Corp. 438,438
31,100 Atlantic Richfield Co. 3,444,325
71,900 British Petroleum Co. Plc, ADR 7,342,788
16,900 Burlington Resources, Inc. 663,325
82,300 Coastal Corp. 3,065,675
49,500 El Paso Natural Gas Co. 1,404,563
12,100 MAPCO, Inc. 660,963
38,500 Mobil Corp. 4,312,000
33,100 Royal Dutch Petroleum Co., ADR 4,671,238
82,700 Tenneco, Inc. 4,103,988
29,200 Ultramar Corp. 751,900
15,600 YPF Sociedad Anonima, ADR 337,350
-------------
31,196,553
-------------
CONSUMER STAPLES - 6.55%
4,600 Charter Power Systems, Inc. 132,250
7,000 Danaher Corp. 222,250
13,800 Dexter Corp. 326,025
5,300 Inter-Tel, Inc.* 81,819
6,000 Lam Research Corp.* 274,500
50,100 Minnesota Mining & Manufacturing Co. 3,319,125
8,700 Mondavi (Robert) Corp., Class A* 240,338
147,700 PepsiCo, Inc. 8,252,738
124,000 Philip Morris Cos., Inc. 11,222,000
9,600 Rotech Medical Corp.* 263,979
9,600 Springs Industries, Inc., Class A 397,200
8,400 Sunglass Hut International, Inc.* 199,500
20,900 Unilever, ADR 2,941,675
10,000 VF Corp. 527,500
7,500 Vigoro Corp. 463,125
5,900 Viking Office Products, Inc.* 274,350
-------------
29,138,374
-------------
TECHNOLOGY - 6.29%
3,700 Boca Research, Inc.* 98,050
3,000 Broderbund Software, Inc.* 182,250
7,800 Ceridian Corp.* 321,750
85,900 Compaq Computer Corp.* 4,123,200
5,800 CompUSA, Inc.* 180,525
7,500 Computron Software, Inc.* 135,000
11,300 Creative Technology, Ltd.* 97,463
61,900 EMC Corp.* 951,713
3,800 Firefox Communications, Inc.* 89,300
10,600 Gartner Group, Inc., Class A* 507,475
46,400 International Business Machines Corp. 4,257,200
18,300 ITT Corp. 969,900
18,300 ITT Industries, Inc. 439,200
4,000 Maxis, Inc.* 152,000
4,050 McAfee Associates, Inc.* 177,694
327,200 National Semiconductor Corp.* 7,280,200
33,100 Oracle Corp.* 1,402,613
5,000 PLATINUM Technology, Inc.* 91,875
124,300 Seagate Technology, Inc.* 5,904,250
14,600 Teradyne, Inc.* 365,000
6,800 Transaction Systems Architects, Inc., Class A* 229,500
-------------
27,956,158
-------------
CONSUMER PRODUCTS - 6.05%
19,900 Anheuser-Busch Cos., Inc. 1,330,813
214,720 Archer-Daniels-Midland Co. 3,864,960
24,500 Boise Cascade Corp. 848,313
28,200 Bowater, Inc. 1,001,100
5,900 Cintas Corp. 262,550
56,000 Circuit City Stores, Inc. 1,547,000
25,100 Eastman Kodak Co. 1,681,700
4,200 Gucci Group, ADR* 163,275
66,690 Kimberly-Clark Corp. 5,518,598
27,300 Office Depot, Inc.* 539,175
1,700 Pete's Brewing Co.* 23,800
51,700 Procter & Gamble Co. 4,291,100
9,900 Reebok International, Ltd. 279,675
4,500 Scholastic Corp.* 349,875
22,700 Scitex Corp., Ltd. 309,288
38,400 Temple-Inland, Inc. 1,694,400
68,600 Time Warner, Inc. 2,598,225
5,200 TRW, Inc. 403,000
4,300 Videotron Holdings Plc, ADR* 54,825
5,200 Wolverine World Wide, Inc. 163,800
-------------
26,925,472
-------------
UTILITIES - 5.67%
27,000 Central Maine Power Co. 388,125
54,300 Detroit Edison Co. 1,873,350
91,400 Entergy Corp. 2,673,450
21,400 General Public Utilities Corp. 727,600
</TABLE>
See Notes to Financial Statements.
38 ---------------------------------------------------------
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES (CONTINUED)
101,100 GTE Corp. $ 4,448,400
8,900 New York State Electric & Gas Corp. 230,288
95,000 NYNEX Corp.* 5,130,000
88,000 Ohio Edison Co. 2,068,000
80,200 PECO Energy Co. 2,416,025
83,200 Unicom Corp. 2,724,800
84,400 WMX Technologies, Inc. 2,521,450
-------------
25,201,488
-------------
RETAIL - 2.95%
4,700 Dayton Hudson Corp. 352,500
25,000 Dillard Department Stores, Inc., Class A 712,500
7,400 Eckerd Corp.* 330,225
120,100 Federated Department Stores, Inc. 3,302,750
62,500 Kroger Co.* 2,343,750
12,700 Melville Corp. 390,525
129,400 Sears Roebuck & Co. 5,046,600
3,900 Tommy Hilfiger Corp.* 165,263
22,700 Toys 'R' Us, Inc.* 493,725
-------------
13,137,838
-------------
AEROSPACE-AIRLINES - 2.39%
64,500 AMR Corp.* 4,789,125
12,800 Raytheon Co. 604,800
10,300 Rockwell International Corp. 544,613
7,900 Spacehab, Inc.* 96,775
48,400 United Technologies Corp. 4,591,950
-------------
10,627,263
-------------
BROADCASTING - 1.94%
24,550 Comcast Corp., Special, Class A 446,503
9,200 Comcast UK Cable Partners, Ltd.* 115,000
7,650 Citicasters, Inc., Class A 180,731
7,300 General Cable Plc, ADR* 109,500
4,000 LIN Television Corp. 119,000
3,400 QUALCOMM, Inc.* 146,200
11,000 Sinclair Broadcast Group, Inc., Class A* 189,750
83,879 Tele-Comm Liberty Media Group, Series A* 2,254,248
135,100 Tele-Communications, Inc., Class A* 2,685,113
11,800 Tele-Communications
International, Inc., Series A* 268,450
10,800 United International Holdings, Inc., Class A* 159,300
5,900 United Video Satellite Group, Class A* 159,300
93,400 U.S. West Media Group* 1,774,600
-------------
8,607,695
-------------
COMMUNICATIONS - 1.47%
4,600 Cellular Communications, Inc., Class A* 228,850
15,600 International Cabletel, Inc.* 382,200
88,200 Sprint Corp. 3,516,975
68,951 Vodafone Group Plc, ADR 2,430,523
-------------
6,558,548
-------------
TRANSPORTATION - 1.45%
75,374 Burlington Northern Santa Fe Corp. 5,879,172
13,000 CSX Corp. 593,125
-------------
6,472,297
-------------
BUILDING AND CONSTRUCTION - 1.22%
25,900 Champion International Corp. 1,087,800
77,666 Home Depot, Inc. 3,718,260
8,500 Olin Corp. 631,125
-------------
5,437,185
-------------
HEALTH SERVICES - 1.16%
10,100 Bard (G.R.), Inc. 325,725
79,412 Columbia/HCA Healthcare Corp. 4,030,159
6,300 Horizon/CMS Healthcare Corp.* 159,075
30,600 Tenet Healthcare Corp.* 634,950
-------------
5,149,909
-------------
FOOD SERVICES - 0.67%
14,100 Bob Evans Farms, Inc. 267,900
3,400 Boston Chicken, Inc.* 109,225
4,500 Papa John's International, Inc.* 185,344
113,200 Wendy's International, Inc. 2,405,500
-------------
2,967,969
-------------
CONSUMER SERVICES - 0.64%
7,400 Ascent Entertainment Group, Inc.* 116,550
9,900 La Quinta Inns, Inc. 271,013
55,400 Service Corp. International 2,437,600
-------------
2,825,163
-------------
METALS AND MINING - 0.35%
24,800 Cyprus Amax Minerals Co. 647,900
14,200 Inland Steel Industries, Inc. 356,775
9,800 Reynolds Metals Co. 554,925
-------------
1,559,600
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 39
<PAGE>
GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
BUSINESS SERVICES - 0.25%
6,250 Fiserv, Inc. $ 187,500
19,800 Paging Network, Inc.* 482,625
9,250 Paychex, Inc. 461,344
-------------
1,131,469
-------------
TOTAL COMMON STOCKS 411,255,861
(Cost $329,746,119) -------------
PREFERRED STOCK - 0.76%
173,800 News Corp. Ltd, ADR 3,345,650
-------------
TOTAL PREFERRED STOCK 3,345,650
(Cost $3,437,829) -------------
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
CORPORATE NOTES AND BONDS - 1.24%
$1,500,000 Dean Witter Discover & Co.
6.68%, 11/15/96** 1,501,935
1,972,000 Ford Motor Credit Co.
8.00%, 12/01/96 2,013,254
1,000,000 Paine Webber Group, MTN
5.25%, 12/23/96 990,753
1,000,000 World Savings & Loan Association, MTN
5.25%, 02/15/96 999,054
-------------
TOTAL CORPORATE NOTES AND BONDS 5,504,996
(Cost $5,497,594) -------------
COMMERCIAL PAPER (A) - 2.68%
2,000,000 Fuji Bank Ltd. - New York
5.76%, 03/18/96 1,975,360
2,500,000 Equitable of Iowa Cos.
6.00%, 01/12/96 2,495,417
3,500,000 Galacia Funding Corp., Series A
5.68%, 03/06/96 3,464,106
2,000,000 Madison Funding, Inc.
5.65%, 03/27/96 1,973,006
2,000,000 Mitsubishi Motor Credit, Inc.
5.80%, 01/19/96 1,994,200
-------------
TOTAL COMMERCIAL PAPER 11,902,089
(Cost $11,902,089) -------------
CERTIFICATES OF DEPOSIT - 1.12%
5,000,000 Deutsche Bank A.G.
6.06%, 10/04/96 5,000,000
-------------
TOTAL CERTIFICATES OF DEPOSIT 5,000,000
(Cost $5,000,000) -------------
REPURCHASE AGREEMENT - 1.12%
5,000,000 Barclays De Zoete Wedd Securities, Inc., Repo
6.25%, 01/02/96, Dated 12/29/95
Repurchase Price $5,003,472
(Collateralized By National Rail
Corp. 7.47%, 144A, Due 2010
Total Par $4,800,000;
Market Value $5,141,434) 5,000,000
-------------
TOTAL REPURCHASE AGREEMENT 5,000,000
(Cost $5,000,000) -------------
<CAPTION>
SHARES
- ------
<C> <S> <C>
INVESTMENT COMPANIES - 0.88%
144,263 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 144,263
3,778,802 Lehman Brothers Prime Fund, Class A 3,778,802
-------------
TOTAL INVESTMENT COMPANIES 3,923,065
(Cost $3,923,065) -------------
TOTAL INVESTMENTS - 100.24% 445,931,661
(Cost $364,506,696) -------------
NET OTHER ASSETS AND LIABILITIES - (0.24)% (1,060,708)
-------------
NET ASSETS - 10.00% $ 444,870,953
-------------
-------------
</TABLE>
- ----------------------------------------
* Non income producing security.
** Interest is reset at various time intervals.
(A) Effective Yield.
ADR American Depository Receipt
MTN Medium Term Note
REIT Real Estate Investment Trust
See Notes to Financial Statements.
40 ---------------------------------------------------------
<PAGE>
SELECT GROWTH FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 89.04%
TECHNOLOGY - 24.14%
66,800 Applied Materials* $ 2,630,250
9,800 Automatic Data Processing, Inc. 727,650
30,000 AVX Corp. 795,000
27,750 Cabletron Systems, Inc.* 2,247,750
15,600 Ceridian Corp.* 643,500
41,800 CISCO Systems, Inc.* 3,119,325
59,550 Computer Associates International, Inc. 3,386,906
31,200 Computer Sciences Corp.* 2,191,800
101,000 Informix Corp.* 3,030,000
39,400 LSI Logic Corp.* 1,290,350
64,800 Nokia Corp., ADR 2,519,100
108,500 Oracle Corp.* 4,597,688
25,000 Teradyne, Inc.* 625,000
57,500 3COM Corp.* 2,680,938
29,500 U.S. Robotics Corp. 2,588,625
48,200 Xilinx, Inc.* 1,470,100
-------------
34,543,982
-------------
ELECTRONICS - 11.46%
63,000 Analog Devices, Inc.* 2,228,625
40,300 Hewlett-Packard Co. 3,375,125
82,000 Intel Corp. 4,653,500
47,200 Microsoft Corp.* 4,141,800
25,781 Molex, Inc., Class A* 789,543
30,100 SGS-Thomson Microelectronics* 1,211,525
-------------
16,400,118
-------------
FINANCIAL - 10.79%
17,700 American International Group, Inc. 1,637,250
16,600 Federal Home Loan Mortgage Corp. 1,386,100
24,400 Federal National Mortgage Association 3,028,650
35,200 FINOVA Group, Inc. 1,698,400
34,900 First USA, Inc. 1,548,688
86,750 MBNA Corp. 3,198,906
42,700 MGIC Investment Corp. 2,316,475
13,800 PMI Group, Inc. 624,450
-------------
15,438,919
-------------
HEALTH SERVICES - 7.78%
32,600 Cardinal Health, Inc. 1,784,850
64,000 Medtronic, Inc. 3,576,000
43,700 Quorum Health Group, Inc.* 961,400
34,050 St. Jude Medical, Inc.* 1,464,150
51,200 United Healthcare Corp. 3,353,600
-------------
11,140,000
-------------
CONSUMER PRODUCTS - 6.51%
26,200 Alco Standard Corp. 1,195,375
33,850 Andrew Corp.* 1,294,763
25,000 ASM Lithography Holding* 831,250
64,900 British Sky Broadcasting Group Plc, ADR* 2,441,863
18,200 Capital Cities/ABC, Inc. 2,245,425
66,300 Office Depot, Inc.* 1,309,425
-------------
9,318,101
-------------
BUSINESS SERVICES - 6.42%
84,027 First Data Corp. 5,619,306
32,800 HFS, Inc.* 2,681,400
17,700 Paychex 882,788
-------------
9,183,494
-------------
CHEMICALS AND DRUGS - 6.27%
11,200 Air Products & Chemicals, Inc. 590,800
20,400 Amgen* 1,211,250
58,100 HEALTHSOUTH Corp.* 1,692,163
27,400 Merck & Co., Inc. 1,801,550
45,600 Pfizer, Inc. 2,872,800
16,300 Scherer (R.P.) Corp.* 800,738
-------------
8,969,301
-------------
TELECOMMUNICATIONS - 5.05%
244,000 Ericsson L.M. Telephone Co.,
Class B, Series 10, ADR 4,758,000
40,000 Frontier Corp. 1,200,000
20,500 Glenayre Technologies, Inc.* 1,276,125
-------------
7,234,125
-------------
CONSUMER SERVICES - 2.54%
53,400 Loewen Group, Inc. 1,351,683
64,000 Tyco International, Ltd 2,280,000
-------------
3,631,683
-------------
ELECTRICAL, GAS AND SANITARY - 2.02%
75,800 Enron Corp. 2,889,875
-------------
AEROSPACE-AIRLINES - 1.94%
35,500 Boeing Co. 2,782,313
-------------
CONSUMER STAPLES - 1.78%
46,100 American Standard Cos., Inc.* 1,290,800
24,200 Gillette Co. 1,261,425
-------------
2,552,225
-------------
RETAIL - 1.21%
60,100 AutoZone, Inc.* 1,735,388
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 41
<PAGE>
SELECT GROWTH FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION - 0.63%
21,600 Fritz Cos., Inc.* $ 896,400
-------------
CONSUMER CYCLICAL - 0.50%
21,200 CUC International, Inc.* 723,450
-------------
TOTAL COMMON STOCK 127,439,374
(Cost $98,214,432) -------------
<CAPTION>
PAR VALUE
- ----------
<C> <S> <C>
COMMERCIAL PAPER (A) - 7.69%
$4,000,000 General Electric Corp.
5.81%, 01/04/96 4,000,000
7,000,000 Prudential Funding Corp.
5.80%, 01/09/96 7,000,000
-------------
TOTAL COMMERCIAL PAPER 11,000,000
(Cost $11,000,000) -------------
INVESTMENT COMPANY - 3.30%
4,729,778 ILA Prime Obligation Portfolio Fund $ 4,729,778
-------------
TOTAL INVESTMENT COMPANY 4,729,778
(Cost $4,729,778) -------------
TOTAL INVESTMENTS - 100.03% 143,169,152
(Cost $113,944,210) -------------
NET OTHER ASSETS AND LIABILITIES - (0.03)% (44,466)
-------------
NET ASSETS - 100.00% $ 143,124,686
-------------
-------------
</TABLE>
- ----------------------------------------
* Non income producing security.
(A) Effective Yield.
ADR American Depository Receipt
See Notes to Financial Statements.
42 ---------------------------------------------------------
<PAGE>
SELECT GROWTH AND INCOME FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 90.83%
FINANCIAL - 20.70%
60,100 Aetna Life & Casualty Co. $ 4,161,925
43,200 American Express Co. 1,787,400
63,500 Bank of New York Co., Inc. 3,095,625
40,500 Chase Manhattan Corp. 2,455,313
43,000 Citicorp 2,891,750
100,000 FHP International Corp.* 2,850,000
30,000 GEICO Corp. 2,096,250
11,648 HGI Realty, Inc. 266,448
56,400 ITT Corp. 2,989,200
42,900 ITT Hartford Group, Inc. 2,075,288
83,900 Northern Trust Corp. 4,698,400
51,000 RJR Nabisco Holdings Corp. 1,574,625
109,800 TIG Holdings, Inc. 3,129,300
50,000 Unum Corp. 2,750,000
149,100 U.S. West , Inc. 2,832,900
-------------
39,654,424
-------------
DURABLE GOODS - 14.11%
47,700 AlliedSignal, Inc. 2,265,750
27,700 Boeing Co. 2,170,988
86,000 Corning, Inc. 2,752,000
64,000 General Electric Co. 4,608,000
26,700 Lockheed Martin Corp. 2,109,300
100,000 McDermott International, Inc. 2,200,000
35,800 Rubbermaid, Inc. 912,900
52,900 Sundstrand Corp. 3,722,838
272,700 Westinghouse Electric Corp. 4,499,550
13,100 Xerox Corp. 1,794,700
-------------
27,036,026
-------------
CONSUMER PRODUCTS - 12.41%
61,800 Anheuser-Busch Cos., Inc. 4,132,875
68,800 Eastman Kodak Co. 4,609,600
41,200 Nabisco Holdings Corp., Class A 1,344,150
20,100 Polaroid Corp. 952,238
49,500 Readers Digest Association, Inc., Class A 2,536,875
49,100 Seagram Co., Ltd 1,700,088
118,000 Time Warner, Inc. 4,469,250
34,000 Varian Associates, Inc. 1,623,500
40,900 Walt Disney Co. 2,413,100
-------------
23,781,676
-------------
CHEMICALS AND DRUGS - 9.94%
11,600 American Home Products Corp. 1,125,200
44,000 Avon Products, Inc. 3,316,500
70,600 Baxter International, Inc. 2,956,375
36,500 Ergo Science Corp. 520,125
48,000 Grace (W.R.) & Co. 2,838,000
4,900 Johnson & Johnson 419,563
45,000 Merck & Co., Inc. 2,958,750
18,500 Monsanto Co. 2,266,250
14,300 Warner-Lambert Co. 1,388,888
43,200 Witco Chemical Co., Inc. 1,263,600
-------------
19,053,251
-------------
ENERGY - 7.78%
55,000 Amerada Hess Corp. 2,915,000
16,900 Ente Nazionale Idrocarburi SPA, ADR 578,825
173,000 Oryx Energy Co.* 2,313,875
88,200 Tenneco, Inc. 4,376,924
120,000 USX-Marathon Group, Inc. 2,340,000
47,100 Western Atlas, Inc.* 2,378,550
-------------
14,903,174
-------------
AUTOMOTIVE - 7.63%
25,500 Exide Corp. 1,169,813
70,100 Federal-Mogul Corp. 1,375,713
130,000 Ford Motor Co. 3,770,000
90,700 General Motors Corp., Class E 4,716,400
72,900 General Motors Corp., Class H 3,581,213
-------------
14,613,139
-------------
TECHNOLOGY - 7.18%
63,700 Adaptec, Inc.* 2,611,700
103,200 AirTouch Communications * 2,915,400
97,900 Honeywell, Inc. 4,760,388
31,200 International Business Machines Corp. 2,862,600
25,500 ITT Industries, Inc. 612,000
-------------
13,762,088
-------------
UTILITIES - 4.80%
51,000 American Telephone & Telegraph Corp. 3,302,250
41,000 NYNEX Corp. 2,214,000
123,500 WMX Technologies, Inc. 3,689,563
-------------
9,205,813
-------------
HOTELS - 2.61%
377,300 Host Marriott Corp.* 4,999,225
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 43
<PAGE>
SELECT GROWTH AND INCOME FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER STAPLES - 1.93%
66,000 Litton Industries, Inc.* $ 2,936,992
8,400 Philip Morris Cos., Inc. 760,200
-------------
3,697,192
-------------
METALS AND MINING - 1.38%
27,500 Molten Metal Technology, Inc.* 897,188
28,000 Phelps Dodge Corp. 1,743,000
-------------
2,640,188
-------------
BUILDING AND CONSTRUCTION - 0.36%
16,367 Champion International Corp. 687,414
-------------
TOTAL COMMON STOCKS 174,033,610
(Cost $149,919,160) -------------
<CAPTION>
PAR VALUE
- ----------
<C> <S> <C>
CORPORATE BONDS - 1.69%
$2,069,000 AMR Corp.
6.13%, 11/01/24 2,141,415
1,079,000 Ciba-Geigy
6.25%, 03/15/96 1,087,710
-------------
TOTAL CORPORATE BONDS 3,229,125
(Cost $3,241,329) -------------
COMMERCIAL PAPER (A) - 5.45%
2,500,000 Equitable of Iowa Cos.
6.00%, 01/12/96 2,495,417
2,000,000 Madison Funding, Inc.
5.65%, 03/27/96 1,973,006
6,000,000 Mitsubishi Motor Credit
5.80%, 01/19/96 5,982,600
-------------
TOTAL COMMERCIAL PAPER 10,451,023
(Cost $10,451,023) -------------
CERTIFICATES OF DEPOSIT - 2.09%
2,000,000 Creditanstalt Bankverein
6.08%, 10/30/96 2,000,000
2,000,000 Deutsche Bank Ag
6.06%, 10/02/96 2,000,000
-------------
TOTAL CERTIFICATES OF DEPOSIT 4,000,000
(Cost $4,000,000) -------------
INVESTMENT COMPANIES - 0.60%
479,302 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund $ 479,302
676,536 Lehman Brothers Prime Fund, Class A 676,536
56 Temporary Investment Fund, Class B 56
-------------
TOTAL INVESTMENT COMPANIES 1,155,894
(Cost $1,155,894) -------------
TOTAL INVESTMENTS - 100.66% 192,869,652
(Cost $168,767,406) -------------
NET OTHER ASSETS AND LIABILITIES - (0.66)% (1,259,652)
-------------
NET ASSETS - 100.00% $ 191,610,000
-------------
-------------
</TABLE>
- ----------------------------------------
* Non income producing security.
(A) Effective Yield.
ADR American Depository Receipt
See Notes to Financial Statements.
44 --------------------------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 98.94%
FINANCIAL - 13.94%
1,600 Aetna Life & Casualty Co. $ 110,800
3,600 Ahmanson (H.F.) & Co. 95,400
3,900 Alexander & Alexander Services, Inc. 74,100
8,369 Allstate Corp. 344,175
9,100 American Express Co. 376,513
2,400 American General Corp. 83,700
8,900 American International Group, Inc. 823,250
8,037 Banc One Corp. 303,397
3,000 Bank of Boston Corp. 138,750
2,800 Bank of New York Co., Inc. 136,500
7,452 BankAmerica Corp. 482,517
1,800 Bankers Trust New York Corp. 119,700
1,400 Barnett Banks, Inc. 82,600
1,500 Beneficial Corp. 69,938
1,700 Block (H & R), Inc. 68,850
2,100 Boatmen's Bancshares, Inc. 85,838
2,600 Chase Manhattan Corp. 157,625
5,000 Chemical Banking Corp. 293,750
1,100 Chubb Corp. 106,425
1,000 Cigna Corp. 103,250
8,400 Citicorp 564,900
3,500 Comerica, Inc. 140,438
3,600 CoreStates Financial Corp. 136,350
3,166 Dean Witter Discover & Co. 148,802
3,400 Federal Home Loan Mortgage Corp. 283,900
5,100 Federal National Mortgage Association 633,038
2,500 First Bank System, Inc. 124,063
6,558 First Chicago Corp. 259,041
1,500 First Fidelity Bancorp 113,063
1,400 First Interstate Bancorp 191,100
3,600 First Union Corp. 200,250
7,755 Fleet Financial Group, Inc. 316,016
1,500 General Re Corp. 232,500
1,800 Golden West Financial Corp. 99,450
1,900 Great Western Financial Corp. 48,450
1,200 Household International, Inc. 70,950
2,500 Humana, Inc.* 68,438
4,700 ITT Hartford Group, Inc. 227,363
1,500 Jefferson-Pilot Corp. 69,750
3,300 KeyCorp 119,625
1,340 Lehman Brothers Holdings, Inc. 28,475
1,800 Lincoln National Corp. 96,750
800 Marsh & McLennan Cos., Inc. 71,000
2,900 MBNA Corp. 106,908
2,350 Mellon Bank Corp. 126,313
3,900 Merrill Lynch & Co., Inc. 198,900
1,300 Morgan Stanley Group, Inc. 104,813
3,500 Morgan (J.P.) & Co., Inc. 280,875
2,500 National City Corp. 82,813
5,020 NationsBank Corp. 349,518
3,500 Nicor, Inc. 96,250
6,800 Norwest Corp. 224,400
4,400 PNC Bank Corp. 141,900
3,000 Providian Corp. 122,250
1,800 Republic New York Corp. 111,825
2,933 RJR Nabisco Holdings Corp. 90,556
3,000 SAFECO Corp. 103,500
2,000 Salomon, Inc. 71,000
1,300 St. Paul Cos., Inc. 72,313
1,800 Sun Co., Inc. 49,275
1,600 SunTrust Banks, Inc. 109,600
1,600 Torchmark Corp. 72,400
1,200 TransAmerica Corp. 87,430
23 Transport Holdings, Inc., Class A 937
6,031 Travelers Group, Inc. 379,199
2,400 United Healthcare Corp. 157,200
1,900 UNUM Corp. 104,500
4,600 USP & G Corp. 77,625
3,800 UST, Inc. 126,825
2,700 U.S. Bancorp 90,788
2,300 U.S. HealthCare, Inc. 106,950
3,300 USLIFE Corp. 98,588
9,500 U.S. West, Inc. 339,625
2,500 Wachovia Corp. 114,375
800 Wells Fargo & Co. 172,800
-------------
12,673,061
-------------
CONSUMER PRODUCTS - 11.70%
2,000 American Greetings Corp., Class A 55,250
1,000 Andrew Corp.* 38,250
4,900 Anheuser-Busch Cos., Inc. 327,688
2,800 Applied Materials, Inc.* 110,250
10,207 Archer-Daniels-Midland Co. 183,726
900 Bemis, Inc. 23,063
2,400 Brown-Forman Corp., Class B 87,600
4,800 Campbell Soup Co. 288,000
2,900 Capital Cities/ABC, Inc. 357,788
1,900 Clorox Co. 136,088
2,200 Colgate-Palmolive Co. 154,550
4,600 Comcast Corp., Class A 83,663
3,500 ConAgra, Inc. 144,375
1,414 Cox Communications, Inc., Class A 27,573
470 Crown Vantage, Inc. 6,698
2,100 Darden Restaurants, Inc.* 24,938
2,200 Deluxe Corp. 63,800
4,000 Dial Corp. 118,500
1,700 Donnelley (R.R.) & Sons Co. 66,938
2,200 Dow Jones & Co., Inc. 87,725
3,200 Dun & Bradstreet Corp. 207,200
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 45
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER PRODUCTS (CONTINUED)
6,500 Eastman Kodak Co. $ 435,500
1,900 Gannett Co., Inc. 116,613
1,300 Georgia-Pacific Corp. 89,213
8,600 Gillette Co. 448,275
1,400 Harcourt General, Inc. 58,625
2,800 Hasbro, Inc. 86,800
6,600 Heinz (H.J.) Co. 218,625
1,700 Hershey Foods Corp. 110,500
4,200 International Paper Co. 159,075
4,700 James River Corp. of Virginia 113,388
3,400 Jostens, Inc. 82,450
6,120 Kimberly-Clark Corp. 506,430
1,700 King World Productions, Inc.* 66,088
1,000 Knight-Ridder, Inc. 62,500
2,500 Liz Claiborne, Inc. 69,375
2,890 Mattel, Inc. 88,868
800 Maytag Corp. 16,200
800 McGraw-Hill Cos., Inc. 69,700
1,300 Mead Corp. 67,925
2,200 New York Times Co., Class A 65,175
2,400 NIKE, Inc., Class B 167,100
2,100 Owens-Corning Fiberglas Corp.* 94,238
2,300 Polaroid Corp. 108,963
12,900 Procter & Gamble Co. 1,070,700
5,900 Quaker Oats Co. 203,550
2,000 Reebok International, Ltd. 56,500
7,400 Sara Lee Corp. 235,875
6,300 Seagram Co., Ltd. 218,138
1,500 Snap-On, Inc. 67,875
1,100 Stanley Works 56,650
2,810 Stone Container Corp. 40,394
1,900 Stride Rite Corp. 14,250
2,300 Sysco Corp. 74,750
3,850 Tele-Comm Liberty Media Group, Series A* 103,469
15,400 Tele-Communications, Inc., Class A* 306,075
400 Temple-Inland, Inc. 17,650
7,380 Time Warner, Inc. 279,518
4,600 Times Mirror Co., Series A 155,825
1,300 Tribune Co. 79,463
1,200 TRW, Inc. 93,000
2,200 Union Camp Corp. 104,775
288 Viacom, Inc., Class A* 13,212
8,263 Viacom, Inc., Class B* 391,460
9,800 Walt Disney Co. 578,200
4,150 Westvaco Corp. 115,163
3,300 Weyerhaeuser Co. 142,725
1,300 Whirlpool Corp. 69,225
7,000 Whitman Corp. 162,750
1,700 Wrigley (Wm.) Jr. Co. 89,250
-------------
10,635,731
-------------
UTILITIES - 10.49%
2,000 American Electric Power, Inc. $ 81,000
30,467 American Telephone & Telegraph Corp. 1,972,738
4,450 Baltimore Gas & Electric Co. 126,825
8,200 Bell Atlantic Corp. 548,375
21,100 BellSouth Corp. 917,850
3,400 Browning-Ferris Industries, Inc. 100,300
2,600 Carolina Power & Light Co. 89,700
6,100 Central & South West Corp. 170,038
2,943 CINergy Corp. 90,129
2,800 Columbia Gas System, Inc.* 122,850
2,500 Consolidated Edison Co. Of New York, Inc. 80,000
1,900 Consolidated Natural Gas Co. 86,213
2,400 Detroit Edison Co. 82,800
3,200 DSC Communications Corp.* 118,000
3,800 Duke Power Co. 180,025
7,200 ENSERCH Corp. 117,000
3,000 Entergy Corp. 87,750
3,200 FPL Group, Inc. 148,400
3,300 General Public Utilities Corp. 112,200
18,800 GTE Corp. 827,200
4,800 Houston Industries, Inc. 116,400
7,200 Laidlaw, Inc., Class B 73,800
11,800 Niagara Mohawk Power Corp. 113,575
4,100 Noram Energy Corp. 36,388
1,800 Northern States Power Co. 88,425
8,000 NYNEX Corp. 432,000
2,600 Ohio Edison Co. 61,100
6,000 Pacific Gas & Electric Co. 170,250
8,600 Pacific Telesis Group 289,175
4,700 PacifiCorp 99,875
4,200 PECO Energy Co. 126,525
2,200 People's Energy Corp. 69,850
3,600 Public Service Enterprise Group, Inc. 110,250
11,400 SBC Communications, Inc. 655,500
5,100 SCEcorp 90,525
12,500 Southern Co. 307,813
4,200 Texas Utilities Co. 172,725
4,100 Unicom Corp. 134,275
2,000 Union Electric Co. 83,500
8,100 WMX Technologies, Inc. 241,988
-------------
9,533,332
-------------
ENERGY - 9.50%
1,900 Albemarle Corp. 36,813
1,500 Amerada Hess Corp. 79,500
9,300 Amoco Corp. 668,438
2,500 Ashland, Inc. 87,813
3,000 Atlantic Richfield Co. 332,250
3,300 Burlington Resources, Inc. 129,525
12,200 Chevron Corp. 640,500
2,500 Coastal Corp. 93,125
</TABLE>
See Notes to Financial Statements.
46 --------------------------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
ENERGY (CONTINUED)
3,000 Dresser Industries, Inc. $ 73,125
3,800 Enron Corp. 144,875
24,100 Exxon Corp. 1,931,013
56 Gardner Denver Machinery, Inc.* 1,064
1,700 Halliburton Co. 86,063
3,700 Homestake Mining Co. 57,813
1,200 Kerr McGee Corp. 76,200
1,500 Louisiana Land & Exploration Co. 64,313
1,200 Louisiana Pacific Corp. 29,100
7,600 Mobil Corp. 851,200
4,300 Occidental Petroleum Corp. 91,913
4,900 Oryx Energy Co.* 65,538
2,400 Pacific Enterprises 67,800
3,000 Panhandle Eastern Corp. 83,625
1,100 Pennzoil Co. 46,475
4,000 Phillips Petroleum Co. 136,500
10,000 Royal Dutch Petroleum Co., ADR 1,411,250
4,600 Santa Fe Energy Resources, Inc.* 44,275
4,000 Schlumberger, Ltd. 277,000
2,000 Sonat, Inc. 71,250
2,200 Tenneco, Inc. 109,175
4,700 Texaco, Inc. 368,950
3,500 Unocal Corp. 101,938
4,800 USX-Marathon Group, Inc. 93,600
2,220 UST-U.S. Steel Group, Inc. 68,265
2,800 Western Atlas, Inc.* 141,400
1,600 Williams Cos., Inc. 70,200
-------------
8,631,884
-------------
DURABLE GOODS - 7.94%
8,100 AirTouch Communications, Inc.* 228,825
1,600 Alco Standard Corp. 73,000
5,000 Alltel Corp. 147,500
10,500 Ameritech Corp. 619,500
4,600 AMP, Inc. 176,525
300 Armstrong World Industries, Inc. 18,600
1,600 Avery Dennison Corp. 80,200
3,800 Baker Hughes, Inc. 92,625
4,300 Caterpillar, Inc. 252,625
6,500 Chrysler Corp. 359,938
3,300 Cooper Tire & Rubber Co. 81,263
2,600 Corning, Inc. 83,200
2,000 Crown Cork & Seal Co., Inc.* 83,500
1,600 Cummins Engine Co., Inc. 59,200
3,500 Dana Corp. 102,375
5,000 Deere & Co. 176,250
3,350 Dominion Resources, Inc. 138,188
1,800 Echlin, Inc. 65,700
4,200 Fleetwood Enterprises, Inc. 108,150
20,100 Ford Motor Co. 582,900
14,000 General Motors Corp. 740,250
1,600 General Signal Corp. 51,800
1,400 Genuine Parts Co. 57,400
1,600 Goodrich (B.F.) Co. 109,000
1,900 Goodyear Tire & Rubber Co. 86,213
900 Grainger (W.W.), Inc. 59,625
2,000 Harris Corp. 109,250
1,100 Helmerich & Payne, Inc. 32,725
1,700 Illinois Tool Works, Inc. 100,300
2,300 Ingersoll Rand Co. 80,788
1,300 Johnson Controls, Inc. 89,375
2,200 McDermott International, Inc. 48,400
12,100 MCI Communications Corp. 316,113
2,400 Millipore Corp. 98,700
3,100 Moore Corp., Ltd. 57,738
4,900 Northern Telecom, Ltd. 210,700
690 PACCAR, Inc. 29,066
3,700 Pall Corp. 99,438
1,650 Parker-Hannifin Corp. 56,513
1,400 Pep Boys-Manny, Moe & Jack 35,875
2,100 Pioneer Hi-Bred International, Inc. 116,813
1,900 Raychem Corp. 108,063
2,300 Rubbermaid, Inc. 58,650
6,500 Sprint Corp. 259,188
4,000 Tellabs, Inc.* 148,000
3,600 Tyco International, Ltd. 128,250
8,900 U.S. West Media Group.* 169,100
1,700 Xerox Corp. 232,900
-------------
7,220,297
-------------
CHEMICALS AND DRUGS - 7.06%
1,400 Air Products & Chemicals, Inc. 73,850
4,300 Alberto-Culver Co., Class B 147,813
3,000 Allergan, Inc. 97,500
2,500 ALZA Corp.* 61,875
5,800 American Home Products Corp. 562,600
1,100 Avon Products, Inc. 82,913
9,500 Bristol-Myers Squibb Co. 815,813
4,400 Dow Chemical Co. 309,650
10,600 DuPont (E.I.) deNemours & Co. 740,675
2,650 Engelhard Corp. 57,638
1,100 FMC Corp.* 74,388
1,500 Grace (W.R.) & Co. 76,863
900 Great Lakes Chemical Corp. 64,800
3,000 Hercules, Inc. 169,125
1,600 International Flavors & Fragrances 76,800
10,400 Lilly (Eli) & Co. 585,000
2,200 Monsanto Co. 269,500
3,700 Morton International, Inc. 132,738
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 47
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
CHEMICALS AND DRUGS (CONTINUED)
3,100 Nalco Chemical Co. $ 93,388
12,200 Pfizer, Inc. 768,600
9,480 Pharmacia & Upjohn, Inc. 367,350
3,600 Praxair, Inc. 121,050
2,000 Premark International, Inc. 101,250
1,100 Rohm & Haas Co. 70,813
2,900 Sherwin-Williams Co. 118,175
1,700 Sigma-Aldrich Corp. 84,150
2,400 Union Carbide Corp. 90,000
2,100 Warner-Lambert Co. 203,963
-------------
6,418,280
-------------
CONSUMER STAPLES - 6.78%
3,200 American Brands, Inc. 142,800
1,900 Black & Decker Corp. 66,975
24,500 Coca-Cola Co. 1,819,125
3,200 Coors (Adolph) Co., Class B 70,800
800 Fruit of The Loom, Inc., Class A* 19,500
2,100 Gedneral Mills, Inc. 121,275
4,100 Kellogg Co. 316,725
9,600 Minnesota Mining & Manufacturing Co. 636,000
4,500 Newell Cos., Inc. 116,438
15,000 PepsiCo, Inc. 838,125
15,900 Philip Morris Cos., Inc. 1,438,950
1,300 Ralston-Purina Co. 81,088
300 Springs Industries, Inc. Class A 12,413
2,800 Unilever NV, ADR 394,100
1,600 VF Corp. 84,400
-------------
6,158,714
-------------
ELECTRONICS - 6.32%
1,900 Cooper Industries, Inc. 69,825
1,000 Eaton Corp. 53,625
1,500 EG & G, Inc. 36,375
4,200 Emerson Electric Co. 343,350
32,900 General Electric Co. 2,368,800
9,600 Hewlett-Packard Co. 804,000
15,400 Intel Corp. 873,950
4,000 Loral Corp. 141,500
11,000 Motorola, Inc. 627,000
2,100 Scientific-Atlanta, Inc. 31,500
1,400 Tandy Corp. 58,100
600 Tektronix, Inc. 29,475
2,200 Teledyne, Inc. 56,375
3,600 Texas Instruments, Inc. 186,300
4,000 Westinghouse Electric Corp. 66,000
-------------
5,746,175
-------------
HEALTH SERVICES - 6.26%
13,900 Abbott Laboratories 580,325
4,200 Amgen, Inc.* 249,375
2,700 Bard (C.R.), Inc. 87,075
1,500 Bausch & Lomb, Inc. 59,438
5,200 Baxter International, Inc. 217,750
1,700 Becion, Dickinson & Co. 127,500
800 Beverly Enterprises, Inc.* 8,500
2,600 Boston Scientific Corp.* 127,400
8,700 Columbia/HCA Healthcare Corp. 441,525
800 Community Psychiactric Centers 9,800
12,100 Johnson & Johnson 1,036,044
2,700 Mallinckrodt Group, Inc. 98,213
2,400 Manor Care, Inc. 84,000
4,800 Medtronic, Inc. 268,200
23,200 Merck & Co., Inc. 1,525,400
7,200 Schering-Plough Corp. 394,200
3,000 St. Jude Medical, Inc. 129,000
8,700 Tenet Healthcare Corp.* 180,525
3,000 United States Surgical Corp. 64,125
-------------
5,688,395
-------------
TECHNOLOGY - 5.99%
3,300 Advanced Micro Devices, Inc. 54,450
7,500 Amdahl Corp.* 63,750
2,000 Apple Computer, Inc. 63,750
1,800 Autodesk, Inc. 61,650
2,000 Automatic Data Processing, Inc., Co. 148,500
1,700 Cabletron Systems, Inc. 137,700
1,300 Ceridian Corp.* 53,625
5,100 Cisco Systems, Inc.* 380,588
4,900 Compaq Computer Corp.* 235,200
4,500 Computer Associates International, Inc. 255,938
2,700 Computer Sciences Corp.* 189,675
3,200 Cray Research, Inc.* 79,200
3,300 Digital Equipment Corp.* 211,613
1,800 Harnischfeger Industries, Inc. 59,850
100 Harris Computer Systems Corp. 1,350
2,300 Honeywell, Inc. 111,838
1,400 Intergraph Corp.* 22,050
10,700 International Business Machines Corp. 981,725
2,400 ITT Corp. 127,200
2,000 ITT Industries, Inc. 48,000
2,100 LSI Logic Corp.* 68,775
3,400 Micron Technology, Inc. 134,725
11,000 Microsoft Corp.* 965,250
3,600 National Semiconductor Corp.* 80,100
6,200 Novell, Inc.* 88,350
8,750 Oracle Corp.* 370,781
2,900 Pitney-Bowes, Inc. 136,300
</TABLE>
See Notes to Financial Statements
48 -------------------------------------------------------
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
TECHNOLOGY (CONTINUED)
2,400 Silicon Graphics, Inc.* $ 66,000
3,000 Sun Microsystems, Inc.* 136,875
5,100 Tandem Computers, Inc.* 54,188
9,500 Unisys Corp.* 53,438
-------------
5,442,434
-------------
RETAIL - 4.20%
3,600 Albertsons, Inc. 118,350
4,900 American Stores Co. 131,075
2,300 Circuit City Stores, Inc. 63,538
1,900 CPC International, Inc. 130,388
2,100 Dayton Hudson Corp. 157,500
2,600 Dillard Department Stores, Inc., Class A 74,100
4,300 Federated Department Stores, Inc.* 118,250
5,200 Fleming Cos., Inc. 107,250
2,000 Gap, Inc. 84,000
2,900 Glant Food, Inc., Class A 91,350
1,900 Great Atlantic & Pacific Tea Co., Inc. 43,700
8,100 Kmart Corp. 58,725
2,300 Kroger Co.* 86,250
6,200 Limited, Inc. 107,725
4,000 May Department Stores Co. 169,000
2,000 Melville Corp. 61,500
400 Mercantile Stores Co., Inc. 18,500
3,700 Nordstrom, Inc. 149,850
3,300 Penney (J.C.) Co., Inc. 157,163
4,756 Price/Costco, Inc.* 72,529
2,900 Rite Aid Corp. 99,325
7,600 Sears Roebuck & Co. 296,400
4,000 Supervalu, Inc. 126,000
4,300 Toys 'R' Us, Inc.* 93,525
2,800 Walgreen Co. 83,650
43,000 Wal-Mart Stores, Inc. 962,125
2,600 Winn-Dixie Stores, Inc. 95,875
4,900 Woolworth Corp. 63,700
-------------
3,821,343
-------------
AEROSPACE-AIRLINES - 2.54%
5,600 AlliedSignal, Inc. 266,000
900 AMR Corp.* 66,825
6,400 Boeing Co. 501,600
500 General Dynamics Corp. 29,563
3,741 Lockheed Martin Corp. 295,539
3,400 McDonnell Douglas Corp. 312,800
1,800 Northrop Grumman Corp. 115,200
3,600 Raytheon Co. 170,100
3,000 Rockwell International Corp. 158,625
2,700 Southwest Airlines Co. 62,775
1,300 Textron, Inc. 87,750
1,700 United Technologies Corp. 161,288
1,800 USAir Group, Inc.* 23,850
1,600 Varity Corp.* 59,400
-------------
2,311,315
-------------
METALS AND MINING - 1.71%
3,600 Alcan Aluminum, Ltd. 112,050
4,100 Aluminum Co. of America 216,788
9,400 Barrick Gold Corp. 247,925
2,000 Bethlehem Steel Corp.* 28,000
5,100 Biomet, Inc.* 91,163
1,900 Cyprus Amax Minerals Co. 49,638
600 Echo Bay Mines, Ltd. 6,225
1,346 FirstMiss Gold, Inc. 29,949
4,200 Freeport-Mcmoran Copper & Gold, Inc., Class B 118,125
1,900 Inco, Ltd., Class A, 63,175
1,748 Newmont Mining Corp. 79,097
1,700 Nucor Corp. 97,113
1,900 Phelps Dodge Corp. 118,275
2,900 Placer Dome, Inc. 69,963
1,300 Reynolds Metals Co. 73,613
5,801 Santa Fe Pacific Gold Corp. 70,337
800 Timken Co. 30,600
2,400 Worthington Industries, Inc. 49,950
-------------
1,551,986
-------------
BUILDING AND CONSTRUCTION - 1.48%
1,600 Champion International Corp. 67,200
1,800 Dover Corp. 66,375
1,000 Fluor Corp. 66,000
9,133 Home Depot, Inc. 437,242
2,200 Loews Corp. 172,425
4,800 Lowe's Cos., Inc. 160,800
3,400 Masco Corp. 106,675
4,400 PPG Industries, Inc. 201,300
1,200 Willamette Industries, Inc. 67,500
-------------
1,345,517
-------------
TRANSPORTATION - 1.33%
2,884 Burlington Northern Santa Fe Corp. 224,952
1,500 Conrail, Inc. 105,000
3,800 CSX Corp. 173,375
1,100 Delta Air Lines, Inc. 81,263
1,300 Federal Express Corp.* 96,038
2,100 Norfolk Southern Corp. 166,688
1,300 Roadway Services, Inc. 63,538
1,800 Ryder Systems, Inc. 44,550
3,800 Union Pacific Corp. 250,800
-------------
1,206,204
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 49
<PAGE>
EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
FOOD SERVICES - 0.69%
13,000 McDonald's Corp. $ 586,625
1,900 Wendy's International, Inc. 40,375
-------------
627,000
-------------
CONSUMER SERVICES - 0.53%
3,150 CUC International, Inc.* 107,494
4,100 First Data Corp. 274,188
2,200 Service Corp. International 96,800
-------------
478,482
-------------
HOTELS-LEISURE - 0.30%
1,800 Harrah's Entertainment, Inc.* 43,650
1,500 Hilton Hotels Corp. 92,250
3,200 Marriott International, Inc. 122,400
500 Promus Hotel Corp.* 11,125
-------------
269,425
-------------
BUSINESS SERVICES - 0.18%
1,900 Ecolab, Inc. 57,000
1,800 Interpublic Group Cos., Inc. 78,075
1,500 Ogden Corp. 32,063
-------------
167,138
-------------
TOTAL COMMON STOCKS 89,926,713
(Cost $68,599,797) -------------
PREFERRED STOCK - 0.00%
88 Teledyne, Inc., Series E 1,265
-------------
TOTAL PREFERRED STOCK 1,265
(Cost $1,320) -------------
INVESTMENT COMPANIES - 0.91%
206,455 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 206,455
621,858 Lehman Brothers Prime Fund, Class A 621,858
-------------
TOTAL INVESTMENT COMPANIES 828,313
(Cost $828,313) -------------
TOTAL INVESTMENTS - 99.85% 90,756,291
(Cost $69,429,400) -------------
NET OTHER ASSETS AND LIABILITIES - 0.15% 132,425
-------------
NET ASSETS - 100.00% $ 90,888,716
-------------
-------------
</TABLE>
- ---------------------------------------
* Non income producing security.
ADR American Depository Receipt
See Notes to Financial Statements.
50 ---------------------------------------------------------
<PAGE>
INVESTMENT GRADE INCOME FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 57.68%
U.S. TREASURY NOTES - 19.57%
$3,240,000 7.38%, 11/15/97 $ 3,362,504
3,000,000 5.13%, 02/28/98 2,994,840
2,500,000 5.13%, 04/30/98 2,494,925
4,550,000 5.38%, 05/31/98 4,564,924
4,600,000 7.50%, 10/31/99 4,938,514
750,000 8.00%, 08/15/01 839,528
7,325,000 5.75%, 08/15/03 7,413,120
1,000,000 7.25%, 08/15/04 1,112,030
-------------
27,720,385
-------------
FEDERAL HOME LOAN MORTGAGE
CORPORATION (D) - 12.94%
662,374 9.50%, 03/01/01 695,658
529,178 6.50%, 06/01/04 526,824
535,401 6.50%, 08/01/04 546,612
523,725 8.00%, 04/01/07 544,642
494,195 8.00%, 09/01/08 512,975
344,437 8.00%, 04/01/09 355,166
231,876 8.00%, 06/01/09 241,000
408,879 8.00%, 08/01/09 424,968
4,366,708 7.00%, 08/01/10 4,449,937
755,129 8.75%, 05/01/17 796,510
675,763 7.50%, 10/01/18 691,981
972,939 9.50%, 08/01/19 1,039,877
31,019 9.50%, 08/01/20 33,149
26,585 10.00%, 10/01/20 29,154
280,504 10.00%, 12/01/20 307,596
522,046 9.50%, 02/01/21 561,700
2,417,940 7.50%, 06/01/25 2,479,138
3,950,957 8.00%, 06/01/25 4,094,179
-------------
18,331,066
-------------
U.S. TREASURY BONDS - 10.83%
3,000,000 7.25%, 05/15/16 3,425,610
1,500,000 7.50%, 11/15/16 1,758,749
2,750,000 7.63%, 11/15/22 3,321,918
5,967,000 7.13%, 02/15/23 6,822,906
-------------
15,329,183
-------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (D) - 10.14%
875,559 8.50%, 07/01/08 921,928
380,176 8.00%, 04/01/09 393,121
1,222,153 9.00%, 02/01/10 1,292,989
1,900,749 6.50%, 09/01/10 1,910,253
493,706 7.00%, 05/01/17 501,186
3,857,794 6.50%, 01/01/24 3,811,964
918,738 8.50%, 03/01/25 958,932
4,460,213 7.50%, 10/01/25 4,568,909
-------------
14,359,282
-------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (D) - 3.46%
2,307,705 9.50%, 02/15/06 2,466,360
344,202 6.50%, 09/15/08 347,320
200,399 9.00%, 08/15/16 213,543
267,856 9.00%, 08/15/16 285,425
358,048 8.00%, 08/15/22 373,315
1,190,927 7.00%, 06/15/23 1,205,063
-------------
4,891,026
-------------
FEDERAL HOME LOAN BANK - 0.74%
1,000,000 7.89%, 12/23/97 1,047,500
-------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS 81,678,442
(Cost $78,576,579) -------------
CORPORATE NOTES AND BONDS - 30.30%
OIL, GAS AND PETROLEUM - 6.00%
1,350,000 Coastal Corp.
Senior Debenture
9.75%, 08/01/03 1,612,427
1,000,000 Parker & Parsley Petroleum Co.
Senior Notes
8.88%, 04/15/05 1,128,090
1,500,000 Saga Petroleum
(Yankee Bond - Norway)
8.40%, 07/15/04 (C) 1,683,690
700,000 Southwest Gas Corp.
Debenture, Series F
9.75%, 06/15/02 822,437
1,000,000 Tosco Corp., Series A
9.00%, 11/15/97 1,036,250
600,000 Transcontinental Gas Pipe Line Corp.
9.00%, 11/15/96 615,894
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 1,599,855
-------------
8,498,643
-------------
</TABLE>
See Notes To Financial Statements.
- -------------------------------------------------------- 51
<PAGE>
INVESTMENT GRADE INCOME FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL - 4.35%
$ 500,000 Advanta Corp.
5.13%, 11/15/96 $ 497,180
1,000,000 Capital One Bank, MTN
8.63%, 01/15/97 1,027,900
500,000 Coles Myer Finance USA, Ltd., MTN
5.45%, 07/16/98 496,895
1,300,000 Donaldson, Lufkin & Jenrette, Inc.
6.88%, 11/01/05 1,332,513
800,000 Heller Financial, Inc.
7.75%, 05/15/97 822,104
500,000 Lehman Brothers, Inc.
Senior Subordinate Notes
10.00%, 05/15/99 558,245
1,300,000 Santander Finance Issuances, Ltd.
Gtd. Subordinate Notes
7.75%, 05/15/05 1,418,742
-------------
6,153,579
-------------
INDUSTRIAL - 3.60%
1,100,000 Cyprus Amax Minerals Co.
9.88%, 06/13/01 1,284,382
1,200,000 Boise Cascade Corp.
10.13%, 12/15/97 1,290,228
600,000 Chesapeake Corp.
7.20%, 03/15/05 623,418
1,050,000 USX-Marathon Group, Inc.
8.88%, 09/15/97 1,100,075
750,000 Westinghouse Electric Corp.
8.88%, 06/01/01 793,650
-------------
5,091,753
-------------
TRANSPORTATION - 2.79%
1,000,000 AMR Corp
9.50%, 05/15/01 1,132,070
900,000 Consolidated Freightways, Inc.
9.13%, 08/15/99 981,504
1,650,000 United Air Lines, Inc.
9.00%, 12/15/03 1,835,229
-------------
3,948,803
-------------
UTILITIES - 2.74%
900,000 Cincinnati Gas & Electric Co.
7.20%, 10/01/23 906,354
1,250,000 PECO Energy Co.
7.50%, 01/15/99 1,309,738
1,050,000 Sithe/Independence Funding Corp.
Gtd. Secured Bond
9.00%, 12/30/13 (B) 1,087,065
580,000 Texas Utilities Electric Co.
7.38%, 10/01/25 583,822
-------------
3,886,979
-------------
COMMUNICATIONS - 2.50%
1,000,000 GTE Corp.
8.85%, 03/01/98 1,066,150
500,000 GTE Corp.
8.75%, 11/01/21 593,750
1,050,000 News America Holdings, Inc.
Gtd. Senior Notes
9.13%, 10/15/99 1,160,649
675,000 Time Warner Entertainment Co., LP
Senior Debenture Notes
8.38%, 03/15/23 726,644
-------------
3,547,193
-------------
PROCESSED FOODS - 1.93%
1,000,000 Ralcorp Holdings, Inc.
8.75%, 09/15/04 1,121,090
1,500,000 Ralston Purina Co.
7.75%, 10/01/15 1,611,120
-------------
2,732,210
-------------
MANUFACTURING - 1.86%
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 1,530,120
1,000,000 James River Corp.
8.38%, 11/15/01 1,108,220
-------------
2,638,340
-------------
AUTOMOBILE FINANCE - 1.10%
1,500,000 General Motors Acceptance Corp.
7.00%, 03/01/00 1,558,035
-------------
PHARMACEUTICALS - 0.96%
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 1,365,188
------------
</TABLE>
See Notes to Financial Statements.
52 ---------------------------------------------------------
<PAGE>
INVESTMENT GRADE INCOME FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTH SERVICES - 0.94%
$1,350,000 FHP International Corp., Senior Notes
7.00%, 09/15/03 $ 1,332,153
--------------
ENGINEERING AND CONSTRUCTION - 0.60%
850,000 Pulte Corp., Senior Notes
7.00%, 12/15/03 846,158
-------------
SECURITIES BROKER - 0.49%
650,000 Morgan Stanley Group, Inc.
9.25%, 03/01/98 695,019
-------------
BOOK PUBLISHING - 0.44%
550,000 Time Warner, Inc.
9.15%, 02/01/23 623,722
-------------
TOTAL CORPORATE NOTES AND BONDS 42,917,775
(Cost $41,031,412) -------------
ASSET-BACKED SECURITIES (D) - 6.14%
920,318 Contimortgage Home Equity Loan Trust
1994-3 Mortgage Pass Thru Certificates
7.63%, 05/15/09 931,535
1,889,655 Delta Air Lines, Inc., Pass Thru Trust
9.88%, 04/30/08 2,190,865
500,000 Green Tree Financial Corp.
94-2 MFD, Senior Subordinate
Pass Thru Certificates
7.35, 05/15/19 515,935
850,000 Green Tree Financial Corp.
94-8 MFD, Senior Subordinate
Pass Thru Certificates
8.25%, 04/15/20 910,877
964,275 Nationsbank Auto Grantor Trust
1995-A Asset-Backed Certificates, Class B
6.00%, 06/15/02 966,384
1,350,000 Premier Auto Trust
1995-4 Asset-Backed Notes, Class A-4
6.00%, 05/06/00 1,363,919
472,696 United Air Lines
1991-A Pass Thru Trust
9.30%, 03/22/08 530,095
351,180 Western Financial Grantor Trust
1994-2 Pass Thru Certificates
6.38%, 09/01/99 353,429
911,409 Western Financial Grantor Trust
1995-2 Pass Thru Certificates
7.10%, 07/01/00 927,501
-------------
TOTAL ASSET-BACKED SECURITIES 8,690,540
(Cost $8,369,904) -------------
INDEXED SECURITY - 0.70%
1,000,000 Federal Home Loan Bank, Structured Note
4.66%, 05/14/96* 995,000
-------------
TOTAL INDEXED SECURITY 995,000
(Cost $997,500) -------------
BRADY BOND (C) - 0.68%
1,000,000 Colombia, Republic of
7.25%, 02/23/04 959,240
-------------
TOTAL BRADY BOND 959,240
(Cost $991,960) -------------
COMMERCIAL PAPER (A) - 2.11%
1,000,000 Svenska Handelsbanken
5.69%, 01/16/96 997,629
2,000,000 Banca Court Financial Corp.
5.65%, 01/26/96 1,992,153
-------------
TOTAL COMMERCIAL PAPER 2,989,782
(Cost $2,989,782) -------------
<CAPTION>
SHARES
- ------
<C> <S> <C>
INVESTMENT COMPANIES - 1.09%
552 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 552
1,547,474 Lehman Brothers Prime Fund, Class A 1,547,474
-------------
TOTAL INVESTMENT COMPANIES 1,548,026
(Cost $1,548,026) -------------
TOTAL INVESTMENTS - 98.70% 139,778,805
(Cost $134,504,893) -------------
NET OTHER ASSETS AND LIABILITIES - 1.30% 1,846,575
-------------
NET ASSETS - 100.OO% $ 141,625,380
-------------
-------------
</TABLE>
- ---------------------------
* Interest rate is resetable based on the French Franc Swap Rate.
(A) Effective Yield.
(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. As of December 31, 1995, these securities amounted to
$1,087,065 or 0.77% of net assets.
(C) U.S. Currency Denominated.
(D) Pass Through Certificates.
MTN Medium Term Notes.
See Notes to Financial Statements.
- -------------------------------------------------------- 53
<PAGE>
GOVERNMENT BOND FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 83.71%
U.S. TREASURY NOTES - 30.63%
$1,000,000 6.25%, 01/31/97 $ 1,010,310
1,000,000 8.50%, 07/15/97 1,048,280
3,050,000 7.00%, 04/15/99 3,204,391
1,090,000 7.75%, 01/31/00 1,184,013
950,000 7.13%, 02/29/00 1,011,304
1,600,000 6.25%, 05/31/00 1,653,744
1,250,000 8.75%, 08/15/00 1,419,725
3,450,000 5.75%, 08/15/03 3,491,504
-------------
14,023,271
-------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 17.74%
1,200,000 5.85%, 06/22/98 1,212,936
1,800,000 7.29%, 09/22/99 1,846,926
650,000 6.20%, 06/06/00 656,637
1,500,000 7.06%, 07/14/05 1,542,555
1,300,000 8.40%, 02/25/09, REMIC (A) 1,432,031
228,106 8.00%, 04/01/09 (A) 235,873
1,000,000 6.40%, 11/25/10 (A) 1,010,000
182,280 7.00%, 05/01/17 (A) 185,041
-------------
8,121,999
-------------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 14.41%
895,000 7.19%, 09/15/99, Series A 920,588
1,250,000 8.60%, 01/26/00, Series A 1,289,450
690,648 9.50%, 03/01/01 (A) 725,353
352,786 6.50%, 06/01/04 (A) 351,216
442,288 6.50%, 08/01/04 (A) 451,549
494,195 8.00%, 09/01/08 (A) 512,975
390,947 8.00%, 04/01/09 (A) 403,125
144,934 8.00%, 06/01/09 (A) 150,637
408,879 8.00%, 08/01/09 (A) 424,968
275,203 8.00%, 09/01/09 (A) 284,508
531,386 8.00%, 06/01/19 (A) 551,558
483,795 10.00%, 03/01/21 (A) 531,821
-------------
6,597,748
-------------
U.S. GOVERNMENT BACKED BONDS - 11.22%
1,500,000 State of Israel, Class 1-B
5.25%, 03/15/98 1,496,697
629,707 Small Business Administration, Series 20B
9.25%, 02/01/08 671,419
1,250,000 Small Business Administration
7.15%, 08/01/15 1,279,688
550,000 Tennessee Valley Power Authority
6.38%, 06/15/05 568,904
1,100,000 Tennessee Valley Power Authority, 1995 Series D
6.00%, 11/01/00 1,118,216
-------------
5,134,924
-------------
FEDERAL HOME LOAN BANK - 4.26%
500,000 7.89%, 12/23/97 523,750
1,400,000 6.01%, 06/29/00, Series G 1,424,276
-------------
1,948,026
-------------
U.S. TREASURY BONDS - 3.30%
1,100,000 10.75%, 08/15/05 1,511,301
-------------
1,511,301
-------------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (A) - 2.15%
121,725 6.50%, 06/15/09 122,827
119,513 8.00%, 12/15/06 125,912
687,611 9.50%, 02/15/06 734,885
------------
983,624
-------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS 38,320,893
(Cost $37,513,105) -------------
ASSET-BACKED SECURITIES (A) - 7.85%
850,000 Discover Card Trust
1991-D Credit Card Pass Thru Certificate
8.00%, 10/16/00 897,260
700,000 Green Tree Financial Corp.
94-7 MFD Senior Subordinate Pass Thru Certificates
Class A-3
8.00%, 03/15/20 743,946
1,200,000 Premier Auto Trust
1995-4 Notes, Class A-4
6.00%, 05/06/00 1,212,372
734,394 Western Financial Grantor Trust
1995-3, Class A
6.05%, 11/01/00 739,718
-------------
TOTAL ASSET-BACKED SECURITIES 3,593,296
(Cost $3,558,387) -------------
</TABLE>
See Notes to Financial Statements.
54 ---------------------------------------------------------
<PAGE>
CONTINUED
GOVERNMENT BOND FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
INDEXED SECURITY - 2.17%
$ 1,000,000 Federated Home Loan Bank, Structured Note
4.66%, 05/14/96 * $ 995,000
-------------
TOTAL INDEXED SECURITY 995,000
(Cost $997,500) -------------
<CAPTION>
SHARES
- -------
<C> <S> <C>
INVESTMENT COMPANIES - 3.37%
578 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 578
1,539,687 Lehman Brothers Prime Fund, Class A 1,539,687
-------------
TOTAL INVESTMENT COMPANIES 1,540,265
(Cost $1,540,265) -------------
TOTAL INVESTMENTS - 97.10% 44,449,454
(Cost $43,609,257) -------------
NET OTHER ASSETS AND LIABILITIES - 2.90% 1,328,670
-------------
NET ASSETS - 100.00% $ 45,778,124
-------------
-------------
</TABLE>
- ---------------------
* Interest rate is reset based on the French Franc Swap Rate.
(A) Pass Through Certificates
REMIC Real Estate Mortgage Investment Conduit.
See Notes to Financial Statements.
- -------------------------------------------------------- 55
<PAGE>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE NOTES AND BONDS - 44.03%
FINANCIAL - 19.92%
$1,000,000 American West Michigan Properties
5.85%, 12/01/25* $ 1,000,000
550,000 Associates Corp. of North America
4.50%, 02/15/96 548,904
500,000 Associates Corp. of North America, MTN
Senior Notes
4.68%, 04/26/96 498,299
1,725,000 Associates Corp. of North America
8.80%, 03/01/96 1,732,084
1,850,000 Bankers Trust New York Corp.
7.25%, 11/01/96 1,872,979
1,000,000 Caterpillar Financial Services Corp., MTN
5.00%, 06/26/96 995,399
950,000 Corestates Capital Corp., MTN
Senior Notes
5.22%, 10/16/96* 947,925
2,750,000 First National Bank of Ohio, MTN
5.95%, 08/01/96 2,750,246
5,000,000 First National Bank of Boston
5.81%, 04/08/96* 5,001,000
650,000 First Union Corp.
Subordinated Notes, Registered
8.13%, 12/15/96 664,631
2,500,000 Fleet Mortgage Group, Inc., MTN
5.84%, 11/20/96* 2,498,670
1,000,000 IBM Credit Corp., MTN
4.77%, 03/04/96 998,034
2,000,000 IBM Credit Corp., MTN
4.93%, 07/29/96 1,989,131
500,000 International Lease Finance Corp.
6.38%, 11/01/96 501,225
940,000 International Lease Finance Corp.
6.63%, 06/01/96 942,748
1,700,000 ITT Corp.
5.25%, 02/15/96 1,697,912
800,000 NationsBank Corp.
Senior Notes
4.75%, 08/15/96 794,298
4,000,000 World Savings & Loan Association, MTN
4.88%, 03/01/96 3,992,692
1,500,000 World Savings & Loan Association, MTN
4.85%, 04/01/96 1,496,419
-------------
30,922,596
-------------
SECURITY BROKERS, DEALERS AND EXCHANGES - 12.26%
2,000,000 Bear Stearns & Cos., Inc., MTN
6.08%, 08/12/96* 2,001,766
3,000,000 Bear Stearns & Cos., Inc., MTN
5.94%, 10/07/96* 3,000,000
750,000 Dean Witter Discover & Co., MTN
6.92%, 09/30/96 756,098
3,000,000 Merrill Lynch & Co., Inc., MTN
5.65%, 06/12/96* 2,999,733
3,500,000 Merrill Lynch & Co., Inc.
5.00%, 12/15/96 3,478,176
2,975,000 Morgan Stanley Group, Inc.
8.00%, 10/15/96 3,026,139
1,000,000 Morgan Stanley Group, Inc., MTN
Senior Notes
7.98%, 11/04/96 1,017,516
2,725,000 Paine Webber Group, Inc., MTN
Senior Notes
6.83%, 09/03/96 2,741,104
-------------
19,020,532
-------------
</TABLE>
See Notes to Financial Statements.
56 ---------------------------------------------------------
<PAGE>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE - 7.80%
$1,200,000 American Honda Finance Corp., MTN
5.88%, 02/07/96* (B) $ 1,199,935
3,000,000 American Honda Finance Corp., MTN
5.97%, 08/01/96* (B) 3,000,000
500,000 Ford Motor Credit Co.
8.88%, 03/15/96 502,956
875,000 Ford Motor Credit Co.
8.00%, 10/01/96 887,570
500,000 General Motors Acceptance Corp., MTN
8.85%, 07/18/96 507,633
1,000,000 General Motors Acceptance Corp., MTN
6.75%, 05/17/96 1,001,217
5,000,000 General Motors Acceptance Corp., MTN
5.50%, 06/07/96* 5,000,000
-------------
12,099,311
-------------
UTILITIES - 1.93%
500,000 Bell Atlantic Financial Services, Inc., MTN
5.50%, 06/13/96 499,276
2,500,000 Potomac Electric Power Co., MTN
6.25%, 05/28/96 2,502,489
-------------
3,001,765
-------------
TECHNOLOGY -1.29%
1,500,000 American Telephone & Telegraph Corp.
4.50%, 02/15/96 1,497,213
500,000 Lockheed Corp., MTN
4.88%, 02/15/96 499,320
-------------
1,996,533
-------------
MISCELLANEOUS - 0.33%
500,000 Temple-Inland, Inc., Registered
8.38%, 10/01/96 509,341
-------------
FOOD AND BEVERAGE - 0.29%
450,000 PepsiCo, Inc.
7.88%, 08/15/96 455,608
-------------
BASIC MATERIALS - 0.21%
325,000 duPont (EI) deNemours & Co., MTN
8.45%, 07/23/96 329,750
-------------
TOTAL CORPORATE NOTES AND BONDS 68,335,436
(Cost $68,335,436) -------------
MUNICIPAL BONDS - 11.43%
5,000,000 Arizona Educational Loan Marketing Corp.
Series C-1, Auction-Based
6.26%, 01/24/96* 5,000,000
2,500,000 De Kalb County, Georgia
Development Authority Revenue
6.10%, 01/11/96 2,500,000
3,000,000 Harris County, Texas Industrial Development Corp.
Solid Waste Disposal Revenue
5.85%, 02/20/96 2,999,789
3,000,000 Colorado State Student Obligation Board Authority
Student Loan, Senior Lien, Series III-A2
6.07%, 01/03/96* 3,000,000
3,000,000 Nebraska Higher Education Loan
1993-1, Senior Notes, Series A-2
5.85%, 02/08/96 3,000,000
1,250,000 Pennsylvania Economic Development Financing
Authority Economic Development Revenue
Series D1
5.80%, 12/01/09* 1,250,000
-------------
TOTAL MUNICIPAL BONDS 17,749,789
(Cost $17,749,789) -------------
COMMERCIAL PAPER (A)- 41.49%
FINANCIAL - 19.93%
1,000,000 Banca CRT Financial Corp.
5.78%, 02/05/96 994,381
2,900,000 Banca CRT Financial Corp.
5.64%, 04/12/96 2,853,658
1,000,000 Banca CRT Financial Corp.
5.55%, 05/15/96 979,188
1,075,000 Banca CRT Financial Corp.
5.80%, 01/11/96 1,073,268
1,000,000 Fleet Mortgage Group, Inc.
5.77%, 01/29/96 995,512
2,000,000 Fuji Bank Ltd New York
5.76%, 03/18/96 1,975,360
2,500,000 Galacia Funding Corp.
5.63%, 03/04/96 2,475,369
2,000,000 Galacia Funding Corp., Series A
5.68%, 03/06/96 1,979,489
2,500,000 Grupo Financiero Bancomer S.A.
5.42%, 07/11/96 2,427,733
3,000,000 Heller International Corp.
6.00%, 01/22/96 2,989,500
200,000 International Lease Finance Corp.
7.60%, 11/29/96 203,311
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 57
<PAGE>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL (CONTINUED)
$2,500,000 Jefferson Smurfit Finance Corp., Series B
5.69%, 02/06/96 $ 2,485,775
3,500,000 PNC Funding Corp.
5.77%, 02/05/96 3,480,366
3,000,000 Receivables Capital Corp.
5.81%, 01/04/96 2,998,548
3,031,000 Receivables Capital Corp.
5.85%, 01/11/96 3,026,159
-------------
30,937,617
-------------
UTILITIES - 6.42%
5,000,000 Frontier Corp.
5.78%, 02/09/96 4,968,692
5,000,000 San Diego Gas & Electric
5.85%, 03/18/96 5,000,000
-------------
9,968,692
-------------
TECHNOLOGY - 3.85%
1,500,000 General Electric Capital Corp.
5.41%, 06/12/96 1,463,257
2,000,000 Mitsubishi Motor Credit
5.80%, 01/19/96 1,994,200
1,000,000 Toshiba International Finance (UK)
5.95%, 01/30/96 995,207
1,200,000 Toshiba International Finance (UK)
5.95%, 01/02/96 1,199,802
330,000 Toshiba International Finance (UK)
5.95%, 03/11/96 326,182
-------------
5,978,648
-------------
EQUIPMENT LEASING - 3.21%
5,000,000 Cooperative Association of Tractor Dealers
5.75%, 01/22/96 4,983,229
-------------
SECURITY BROKERS AND DEALERS - 3.21%
5,000,000 Paine Webber Group, Inc.
5.80%, 01/31/96 4,975,833
-------------
OTHER GOVERNMENTS - 2.53%
2,500,000 Kingdom of Sweden
5.64%, 03/11/96 2,472,583
500,000 Province of British Columbia
5.49%, 05/03/96 490,630
355,000 Western Australian Treasury Corp.
5.75%, 02/22/96 352,052
629,000 Western Australian Treasury Corp.
5.60%, 04/24/96 617,846
-------------
3,933,111
-------------
CONSUMER PRODUCTS - 1.60%
1,000,000 Fingerhut Owner Trust
5.86%, 01/24/96 996,256
1,500,000 Stanley Works
5.62%, 03/27/96 1,479,862
-------------
2,476,118
-------------
MISCELLANEOUS - 0.74%
155,000 Ciesco LP
6.25%, 01/09/96 154,785
1,000,000 Sunbelt-Dix, Inc.
5.64%, 03/12/96 988,877
-------------
1,143,662
-------------
TOTAL COMMERCIAL PAPER 64,396,910
(Cost $64,396,910) -------------
CERTIFICATES OF DEPOSIT - 1.29%
1,000,000 U.S. National Bank of Oregon
6.35%, 02/27/96 1,000,424
1,000,000 Creditanstalt Bankverein
6.10%, 10/30/96 1,000,000
-------------
TOTAL CERTIFICATES OF DEPOSIT 2,000,424
(Cost $2,000,424) -------------
</TABLE>
See Notes to Financial Statements.
58 ---------------------------------------------------------
<PAGE>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT BACKED BOND - 0.64%
$1,000,000 Federal Home Loan Bank
6.85%, 02/28/96 $ 1,001,301
-------------
TOTAL U.S. GOVERNMENT BACKED BOND 1,001,301
(Cost $1,001,301) -------------
<CAPTION>
SHARES
- ------
<C> <S> <C>
INVESTMENT COMPANIES - 1.08%
15,460 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 15,460
1,656,865 Lehman Brothers Prime Fund, Class A 1,656,865
31 Temporary Investment Fund, Class B 31
-------------
TOTAL INVESTMENT COMPANIES 1,672,356
(Cost $1,672,356) -------------
TOTAL INVESTMENTS - 99.96% 155,156,216
(Cost $155,156,216) -------------
NET OTHER ASSETS AND LIABILITIES - 0.04% 54,958
-------------
NET ASSETS - 100.00% $ 155,211,174
-------------
-------------
</TABLE>
- ----------------------------------------
* Interest is reset at various time intervals. The rate shown is that
in effect at December 31, 1995.
(A) Effective Yield.
(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. As of December 31, 1995, these securities amounted to
$4,199,935 or 2.71% of net assets.
MTN Medium Term Notes
See Notes to Financial Statements.
- --------------------------------------------------------- 59
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
<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. . . . . . . . . . . . . $ 94,711,540 $ 201,900,142 $ 36,519,336 $ 58,963,323
Repurchase agreements at cost. . . . . . . . -- -- -- --
Net unrealized appreciation (depreciation) . 9,178,772 53,548,885 4,663,666 5,654,015
--------------- --------------- ---------------- ----------------
Total investments at value. . . . . . . . 103,890,312 255,449,027 41,183,002 64,617,338
Cash . . . . . . . . . . . . . . . . . . . . . -- 1,917,605 81,167 17,171
Foreign currency (cost $287,912). . . . . . . . 288,252 -- -- --
Net unrealized gain (loss) on forward foreign
currency contracts (Notes 2 & 11). . . . . . 142,491 -- 3,304 --
Receivable for investments sold . . . . . . . . -- 486,001 149,843 --
Receivable for shares sold. . . . . . . . . . . 196,214 241,244 246,306 11,582
Receivable from investment adviser (Note 4) . . -- -- 3,346 --
Interest and dividend receivables . . . . . . . 446,733 118,447 3,729 118,768
Deferred organizational expense (Note 2). . . . -- -- 5,540 --
Dividend reclaim receivables. . . . . . . . . . 57,750 -- 924 --
--------------- --------------- ---------------- ----------------
Total Assets. . . . . . . . . . . . . . . 105,021,752 258,212,324 41,677,161 64,764,859
--------------- --------------- ---------------- ----------------
LIABILITIES:
Payable for investments purchased . . . . . . . 500,100 2,750,306 232,443 43,032
Payable for shares purchased. . . . . . . . . . 2,362 308,440 73 44,562
Payable to custodian. . . . . . . . . . . . . . 52,793 -- -- --
Advisory fee payable (Note 3) . . . . . . . . . 84,366 211,877 31,317 46,025
Accrued expenses and other payables . . . . . . 69,997 69,978 37,293 56,687
--------------- --------------- ---------------- ----------------
Total Liabilities . . . . . . . . . . . . 709,618 3,340,601 301,126 190,306
--------------- --------------- ---------------- ----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . $ 104,312,134 $ 254,871,723 $ 41,376,035 $ 64,574,553
--------------- --------------- ---------------- ----------------
--------------- --------------- ---------------- ----------------
NET ASSETS CONSIST OF
Paid-in capital (Note 6). . . . . . . . . . . . $ 95,044,431 $ 196,589,468 $ 36,478,701 $ 58,960,317
Undistributed (distribution in excess of)
net investment income. . . . . . . . . . . . 140,980 -- (3,304) 1,061
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold
and foreign currency transactions. . . . . . (197,338) 4,733,370 253,736 (40,840)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currency . . . . . . . . . . . . . . 9,324,061 53,548,885 4,646,902 5,654,015
--------------- --------------- ---------------- ----------------
TOTAL NET ASSETS . . . . . . . . . . . . . . . . . $ 104,312,134 $ 254,871,723 $ 41,376,035 $ 64,574,553
--------------- --------------- ---------------- ----------------
--------------- --------------- ---------------- ----------------
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(UNLIMITED AUTHORIZATION, NO PAR VALUE) . . . . 91,803,489 137,942,393 30,220,462 52,154,374
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) . . . . . . . . $ 1.136 $ 1.848 $ 1.369 $ 1.238
--------------- --------------- ---------------- ----------------
--------------- --------------- ---------------- ----------------
</TABLE>
See Notes to Financial Statements.
60 ---------------------------------------------------------
<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. . . . . . . . . . . . . $ 359,506,696 $ 113,944,210 $ 168,767,406 $ 69,429,400
Repurchase agreements at cost. . . . . . . . 5,000,000 -- -- --
Net unrealized appreciation (depreciation) . 81,424,965 29,224,942 24,102,246 21,326,891
--------------- --------------- --------------- ---------------
Total investments at value. . . . . . . . 445,931,661 143,169,152 192,869,652 90,756,291
Cash . . . . . . . . . . . . . . . . . . . . . -- -- 3,609,622 9,888
Foreign currency (cost $287,912). . . . . . . . -- -- -- --
Net unrealized gain (loss) on forward foreign
currency contracts (Notes 2 & 11). . . . . . -- -- -- --
Receivable for investments sold . . . . . . . . 2,661,202 520,873 3,028,357 --
Receivable for shares sold. . . . . . . . . . . 3,219 55,031 7,159 33,201
Receivable from investment adviser (Note 4) . . -- -- -- --
Interest and dividend receivables . . . . . . . 1,071,749 115,140 369,496 180,860
Deferred organizational expense (Note 2). . . . -- -- -- --
Dividend reclaim receivables. . . . . . . . . . -- -- -- --
--------------- --------------- --------------- ---------------
Total Assets. . . . . . . . . . . . . . . 449,667,831 143,860,196 199,884,286 90,980,240
--------------- --------------- --------------- ---------------
LIABILITIES:
Payable for investments purchased . . . . . . . 2,525,195 -- 8,043,243 19,016
Payable for shares purchased. . . . . . . . . . 363,506 21,045 36,818 3,869
Payable to custodian. . . . . . . . . . . . . . 1,576,692 526,763 -- --
Advisory fee payable (Note 3) . . . . . . . . . 167,049 102,466 119,571 18,139
Accrued expenses and other payables . . . . . . 164,436 85,236 74,654 50,500
--------------- --------------- --------------- ---------------
Total Liabilities . . . . . . . . . . . . 4,796,878 735,510 8,274,286 91,524
--------------- --------------- --------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . $ 444,870,953 $ 143,124,686 $ 191,610,000 $ 90,888,716
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
NET ASSETS CONSIST OF
Paid-in capital (Note 6). . . . . . . . . . . . $ 357,590,837 $ 117,839,442 $ 163,988,543 $ 69,631,030
Undistributed (distribution in excess of)
net investment income. . . . . . . . . . . . 45,614 3,143 15,372 --
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold
and foreign currency transactions. . . . . . 5,809,537 (3,942,841) 3,503,839 (69,205)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currency . . . . . . . . . . . . . . 81,424,965 29,224,942 24,102,246 21,326,891
--------------- --------------- --------------- ---------------
TOTAL NET ASSETS . . . . . . . . . . . . . . . . . $ 444,870,953 $ 143,124,686 $ 191,610,000 $ 90,888,716
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(UNLIMITED AUTHORIZATION, NO PAR VALUE) . . . . 204,423,860 104,517,970 151,079,967 49,740,620
NET ASSET VALUE,
Offering and redemption price per share $ 2.176 $ 1.369 $ 1.268 $ 1.827
(Net Assets/Shares Outstanding) . . . . . . . . --------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
INVESTMENT GOVERNMENT MONEY
GRADE INCOME BOND MARKET
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost. . . . . . . . . . . . . $ 134,504,893 $ 43,609,257 $ 155,156,216
Repurchase agreements at cost. . . . . . . . -- -- --
Net unrealized appreciation (depreciation) . 5,273,912 840,197 --
--------------- --------------- ---------------
Total investments at value. . . . . . . . 139,778,805 44,449,454 155,156,216
Cash . . . . . . . . . . . . . . . . . . . . . 76,688 689 34,520
Foreign currency (cost $287,912). . . . . . . . -- -- --
Net unrealized gain (loss) on forward foreign
currency contracts (Notes 2 & 11). . . . . . -- -- --
Receivable for investments sold . . . . . . . . 124,990 88,660 --
Receivable for shares sold. . . . . . . . . . . 44,534 593,018 287,045
Receivable from investment adviser (Note 4) . . -- -- --
Interest and dividend receivables . . . . . . . 1,740,894 712,493 1,158,888
Deferred organizational expense (Note 2). . . . -- -- --
Dividend reclaim receivables. . . . . . . . . . -- -- --
--------------- --------------- ---------------
Total Assets. . . . . . . . . . . . . . . 141,765,911 45,844,314 156,636,669
--------------- --------------- ---------------
LIABILITIES:
Payable for investments purchased . . . . . . . -- -- --
Payable for shares purchased. . . . . . . . . . 24,940 5,212 1,335,374
Payable to custodian. . . . . . . . . . . . . . -- -- --
Advisory fee payable (Note 3) . . . . . . . . . 47,831 18,784 37,642
Accrued expenses and other payables . . . . . . 67,760 42,194 52,479
--------------- --------------- ---------------
Total Liabilities . . . . . . . . . . . . 140,531 66,190 1,425,495
--------------- --------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . $ 141,625,380 $ 45,778,124 $ 155,211,174
--------------- --------------- ---------------
--------------- --------------- ---------------
NET ASSETS CONSIST OF
Paid-in capital (Note 6). . . . . . . . . . . . $ 138,299,700 $ 47,003,138 $ 155,211,911
Undistributed (distribution in excess of)
net investment income. . . . . . . . . . . . -- -- --
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold
and foreign currency transactions. . . . . . (1,948,232) (2,065,211) (737)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currency . . . . . . . . . . . . . . 5,273,912 840,197 --
--------------- --------------- ---------------
TOTAL NET ASSETS . . . . . . . . . . . . . . . . . $ 141,625,380 $ 45,778,124 $ 155,211,174
--------------- --------------- ---------------
--------------- --------------- ---------------
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(UNLIMITED AUTHORIZATION, NO PAR VALUE) . . . . 126,821,989 43,121,579 155,211,911
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) . . . . . . . . $ 1.117 $ 1.062 $ 1.000
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 61
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF OPERATIONS - FOR YEAR ENDED DECEMBER 31, 1995
<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) . . . . . . . . . . . . . . . $ 12,218 $ 294,930 $ 86,963 $ 24
Dividends (Note 2). . . . . . . . . . . . . . . 2,254,342 1,678,137 61,054 990,146
Other income (Note 5). . . . . . . . . . . . . 11,687 2,753 -- 7,929
Less net foreign taxes withheld . . . . . . . . (316,808) -- (1,443) --
--------------- --------------- ---------------- ----------------
Total investment income. . . . . . . . . . . 1,961,439 1,975,820 146,574 998,099
--------------- --------------- ---------------- ----------------
EXPENSES
Investment advisory fees (Note 3&4) . . . . . . 672,770 1,943,953 133,723 453,215
Custodian fees . . . . . . . . . . . . . . . . 110,230 7,723 8,494 7,782
Fund accounting fees (Note 3) . . . . . . . . . 34,297 42,326 16,986 31,236
Legal fees. . . . . . . . . . . . . . . . . . . 4,156 5,497 3,737 5,497
Audit fees. . . . . . . . . . . . . . . . . . . 2,373 7,227 4,910 7,326
Trustees' fees and expenses (Note 3). . . . . . 1,972 5,886 467 1,654
Reports to shareholders . . . . . . . . . . . . 1,719 65,169 14,632 22,688
Registration fees . . . . . . . . . . . . . . . 3,331 30,923 1,171 10,665
Amortization of organization costs (Note 2) . . -- -- 867 --
Insurance . . . . . . . . . . . . . . . . . . . 548 1,570 1,066 204
Miscellaneous . . . . . . . . . . . . . . . . . 110 8,412 3,196 594
--------------- --------------- ---------------- ----------------
Total expenses before reimbursement. . . . . 831,506 2,118,686 189,249 540,861
Less: Reimbursement (Note 4) . . . . . . . . -- -- (8,720) --
--------------- --------------- ---------------- ----------------
Total expenses net of reimbursement. . . . . 831,506 2,118,686 180,529 540,861
--------------- --------------- ---------------- ----------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . 1,129,933 (142,866) (33,955) 457,238
--------------- --------------- ---------------- ----------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Net realized gain (loss) on investments sold. . 39,470 16,028,765 1,065,740 1,693,710
Net realized (loss) on foreign currency
transactions . . . . . . . . . . . . . . . . 20,963 -- 2,497 --
Net change in unrealized appreciation
(depreciation) of assets and liabilities
in foreign currency. . . . . . . . . . . . . 149,915 -- (16,764) --
Net change in unrealized appreciation
(depreciation) of investments. . . . . . . . 10,617,500 37,467,083 4,663,666 6,588,253
--------------- --------------- ---------------- ----------------
NET GAIN (LOSS) ON INVESTMENTS . . . . . . . . . . 10,827,848 53,495,848 5,715,139 8,281,963
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS. . . . . . . . $ 11,957,781 $ 53,352,982 $ 5,681,184 $ 8,739,201
--------------- --------------- ---------------- ----------------
--------------- --------------- ---------------- ----------------
</TABLE>
____________________________________________________________________
* The Fund commenced operations on April 28, 1995.
See Notes to Financial Statements.
62 ---------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
<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) . . . . . . . . . . . . . . . $ 1,486,503 $ 321,681 $ 614,995 $ --
Dividends (Note 2). . . . . . . . . . . . . . . 9,719,958 852,325 3,168,788 1,753,528
Other income (Note 5). . . . . . . . . . . . . 85,334 11,423 24,078 --
Less net foreign taxes withheld . . . . . . . . -- -- -- --
--------------- --------------- --------------- ---------------
Total investment income. . . . . . . . . . . 11,291,795 1,185,429 3,807,861 1,753,528
--------------- --------------- --------------- ---------------
EXPENSES
Investment advisory fees (Note 3&4) . . . . . . 1,796,677 1,017,303 1,124,323 234,207
Custodian fees (Note 3) . . . . . . . . . . . . 20,411 9,859 12,813 15,476
Fund accounting fees (Note 3) . . . . . . . . . 62,900 41,841 39,384 59,181
Legal fees. . . . . . . . . . . . . . . . . . . 5,497 5,497 5,497 5,497
Audit fees. . . . . . . . . . . . . . . . . . . 9,819 7,227 7,227 16,453
Trustees' fees and expenses (Note 3). . . . . . 12,302 3,668 4,584 2,119
Reports to shareholders . . . . . . . . . . . . 154,286 43,209 53,284 35,645
Registration fees . . . . . . . . . . . . . . . -- 13,067 19,163 5,522
Amortization of organization costs (Note 2) . . -- -- -- --
Insurance . . . . . . . . . . . . . . . . . . . 3,285 1,533 1,533 1,292
Miscellaneous . . . . . . . . . . . . . . . . . 55,539 18,186 7,859 8,809
--------------- --------------- --------------- ---------------
Total expenses before reimbursement. . . . . 2,120,716 1,161,390 1,275,667 384,201
Less: Reimbursement (Note 4) . . . . . . . . -- -- -- --
--------------- --------------- --------------- ---------------
Total expenses net of reimbursement. . . . . 2,120,716 1,161,390 1,275,667 384,201
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . 9,171,079 24,039 2,532,194 1,369,327
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Net realized gain (loss) on investments sold. . 34,330,359 (240,313) 11,310,318 1,875,586
Net realized (loss) on foreign currency
transactions . . . . . . . . . . . . . . . . -- -- -- --
Net change in unrealized appreciation
(depreciation) of assets and liabilities
in foreign currency. . . . . . . . . . . . . -- -- -- --
Net change in unrealized appreciation
(depreciation) of investments. . . . . . . . 66,369,242 24,384,776 25,861,731 17,718,754
--------------- --------------- --------------- ---------------
NET GAIN (LOSS) ON INVESTMENTS . . . . . . . . . . 100,699,601 24,144,463 37,172,049 19,594,340
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS. . . . . . . . $ 109,870,680 $ 24,168,502 $ 39,704,243 $ 20,963,667
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
INVESTMENT GOVERNMENT MONEY
GRADE INCOME BOND MARKET
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2) . . . . . . . . . . . . . . . $ 8,771,898 $ 2,722,441 $ 7,964,553
Dividends (Note 2). . . . . . . . . . . . . . . 207,636 -- 242,614
Other income (Note 5). . . . . . . . . . . . . -- -- --
Less net foreign taxes withheld . . . . . . . . -- -- --
--------------- --------------- ---------------
Total investment income. . . . . . . . . . . 8,979,534 2,722,441 8,207,167
--------------- --------------- ---------------
EXPENSES
Investment advisory fees (Note 3&4) . . . . . . 511,997 206,197 389,542
Custodian fees (Note 3) . . . . . . . . . . . . 9,245 7,888 10,883
Fund accounting fees (Note 3) . . . . . . . . . 45,125 35,770 36,500
Legal fees. . . . . . . . . . . . . . . . . . . 5,574 2,919 5,497
Audit fees. . . . . . . . . . . . . . . . . . . 8,578 7,305 9,600
Trustees' fees and expenses (Note 3). . . . . . 3,923 1,310 4,217
Reports to shareholders . . . . . . . . . . . . 55,903 14,306 24,342
Registration fees . . . . . . . . . . . . . . . 5,526 -- 1,794
Amortization of organization costs (Note 2) . . -- -- --
Insurance . . . . . . . . . . . . . . . . . . . 3,285 1,544 2,555
Miscellaneous . . . . . . . . . . . . . . . . . 15,715 8,971 6,837
--------------- --------------- ---------------
Total expenses before reimbursement. . . . . 664,871 286,210 491,767
Less: Reimbursement (Note 4) . . . . . . . . -- -- --
--------------- --------------- ---------------
Total expenses net of reimbursement. . . . . 664,871 286,210 491,767
--------------- --------------- ---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . 8,314,663 2,436,231 7,715,400
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Net realized gain (loss) on investments sold. . 1,260,297 (120,017) (390)
Net realized (loss) on foreign currency
transactions . . . . . . . . . . . . . . . . -- -- --
Net change in unrealized appreciation
(depreciation) of assets and liabilities
in foreign currency. . . . . . . . . . . . . -- -- --
Net change in unrealized appreciation
(depreciation) of investments. . . . . . . . 10,604,245 2,762,902 --
--------------- --------------- ---------------
NET GAIN (LOSS) ON INVESTMENTS . . . . . . . . . . 11,864,542 2,642,885 (390)
--------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS. . . . . . . . $ 20,179,205 $ 5,079,116 $ 7,715,010
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 63
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SELECT INTERNATIONAL SELECT AGGRESSIVE
EQUITY FUND GROWTH FUND
-------------------------------------------------------------------------------
YEAR ENDED PERIOD ENDED YEARS ENDED DECEMBER 31,
DECEMBER 31, 1995 DECEMBER 31, 1994* 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . . . . . . $ 40,497,806 $ -- $ 136,573,109 $ 66,250,873
------------- ------------- ------------- -------------
INCREASE (DECREASE ) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss). . . . . . . . . . 1,129,933 131,963 (142,866) (221,519)
Net realized gain (loss) on investments
sold and foreign currency transactions . . . 60,433 100,896 16,028,765 (10,161,948)
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency.. . . . 10,767,415 (1,443,354) 37,467,083 7,667,386
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . 11,957,781 (1,210,495) 53,352,982 (2,716,081)
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . (996,037) (38,995) -- --
Net realized gain on investments. . . . . . . . (396,021) (48,530) -- --
Distribution in excess of net capital gains . . -- -- -- --
------------- ------------- ------------- -------------
Total distributions . . . . . . . . . . . . (1,392,058) (87,525) -- --
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares . . . . . . . 58,476,233 42,401,429 74,888,511 79,109,465
Issued to shareholders in reinvestment of
dividends . . . . . . . . . . . . . . . . . 1,392,058 87,525 -- --
Cost of shares repurchased. . . . . . . . . . . (6,619,686) (693,128) (9,942,879) (6,071,148)
------------- ------------- ------------- -------------
Net increase (decrease) from capital share
transactions. . . . . . . . . . . . . . . . 53,248,605 41,795,826 64,945,632 73,038,317
------------- ------------- ------------- -------------
Total increase (decrease) in net assets . . . . 63,814,328 40,497,806 118,298,614 70,322,236
------------- ------------- ------------- -------------
NET ASSETS AT END OF YEAR (INCLUDING LINE A) . . . $ 104,312,134 $ 40,497,806 $ 254,871,723 $ 136,573,109
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
(A) Undistributed (distribution in excess of)
net investment income . . . . . . . . . . . $ 140,980 $ (13,879) $ -- $ --
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold. . . . . . . . . . . . . . . . . . . . . . 54,922,638 42,648,059 46,078,409 55,741,786
Issued to shareholders in reinvestment of
dividends . . . . . . . . . . . . . . . . . 1,229,509 90,888 -- --
Repurchased . . . . . . . . . . . . . . . . . . (6,387,844) (699,761) (5,889,973) (4,299,154)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding . 49,764,303 42,039,186 40,188,436 51,442,632
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
_____________________________________________________
* The Fund commenced operations on May 2, 1994.
** The Fund commenced operations on April 28, 1995.
See Notes to Financial Statements.
64 ---------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
SELECT CAPITAL SMALL CAP
APPRECIATION FUND VALUE FUND
-----------------------------------------------------------
PERIOD ENDED YEARS ENDED DECEMBER 31,
DECEMBER 31, 1995** 1995 1994
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . . . . . . $ -- $ 41,341,503 $ 12,730,551
------------- ------------- -------------
INCREASE (DECREASE ) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss). . . . . . . . . . (33,955) 457,238 181,612
Net realized gain (loss) on investments
sold and foreign currency transactions . . . 1,068,237 1,693,710 40,557
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency.. . . . 4,646,902 6,588,253 (2,150,217)
------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . 5,681,184 8,739,201 (1,928,048)
------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . -- (456,177) (181,612)
Net realized gain on investments. . . . . . . . (783,850) (1,656,824) --
Distribution in excess of net capital gains . . -- (40,840) (22)
------------- ------------- -------------
Total distributions . . . . . . . . . . . . (783,850) (2,153,841) (181,634)
------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares . . . . . . . 36,016,174 18,929,818 30,878,413
Issued to shareholders in reinvestment of
dividends . . . . . . . . . . . . . . . . . 783,850 2,153,841 181,634
Cost of shares repurchased. . . . . . . . . . . (321,323) (4,435,969) (339,413)
------------- ------------- -------------
Net increase (decrease) from capital share
transactions. . . . . . . . . . . . . . . . 36,478,701 16,647,690 30,720,634
------------- ------------- -------------
Total increase (decrease) in net assets . . . . 41,376,035 23,233,050 28,610,952
------------- ------------- -------------
NET ASSETS AT END OF YEAR (INCLUDING LINE A) . . . $ 41,376,035 $ 64,574,553 $ 41,341,503
------------- ------------- -------------
------------- ------------- -------------
(A) Undistributed (distribution in excess of)
net investment income . . . . . . . . . . . $ (3,304) $ 1,061 $ --
------------- ------------- -------------
------------- ------------- -------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold. . . . . . . . . . . . . . . . . . . . . . 29,899,903 16,206,081 27,225,300
Issued to shareholders in reinvestment of
dividends . . . . . . . . . . . . . . . . . 572,571 1,739,775 166,790
Repurchased . . . . . . . . . . . . . . . . . . (252,012) (3,757,744) (303,464)
------------- ------------- -------------
Net increase (decrease) in shares outstanding . 30,220,462 14,188,112 27,088,626
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
GROWTH SELECT
FUND GROWTH FUND
---------------------------------------------------------------------
YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31,
1995 1994 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . . . . . . $ 335,713,593 $ 338,545,370 $ 88,263,274 $ 53,853,524
------------- ------------- ------------- -------------
INCREASE (DECREASE ) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss). . . . . . . . . . 9,171,079 7,552,976 24,039 266,298
Net realized gain (loss) on investments
sold and foreign currency transactions . . . 34,330,359 20,083,968 (240,313) (3,381,025)
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency.. . . . 66,369,242 (27,175,747) 24,384,776 2,059,489
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . 109,870,680 461,197 24,168,502 (1,055,238)
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . (9,094,592) (7,552,408) (20,896) (265,912)
Net realized gain on investments. . . . . . . . (33,688,107) (14,798,129) -- --
Distribution in excess of net capital gains . . -- -- -- --
------------- ------------- ------------- -------------
Total distributions . . . . . . . . . . . . (42,782,699) (22,350,537) (20,896) (265,912)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares . . . . . . . 37,306,107 48,153,532 36,197,767 39,359,834
Issued to shareholders in reinvestment of
dividends . . . . . . . . . . . . . . . . . 42,782,699 22,350,537 20,896 265,912
Cost of shares repurchased. . . . . . . . . . . (38,019,427) (51,446,506) (5,504,857) (3,894,846)
------------- ------------- ------------- -------------
Net increase (decrease) from capital share
transactions. . . . . . . . . . . . . . . . 42,069,379 19,057,563 30,713,806 35,730,900
------------- ------------- ------------- -------------
Total increase (decrease) in net assets . . . . 109,157,360 (2,831,777) 54,861,412 34,409,750
------------- ------------- ------------- -------------
NET ASSETS AT END OF YEAR (INCLUDING LINE A) . . . $ 444,870,953 $ 335,713,593 $ 143,124,686 $ 88,263,274
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
(A) Undistributed (distribution in excess of)
net investment income . . . . . . . . . . . $ 45,614 $ 568 $ 3,143 $ 386
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold. . . . . . . . . . . . . . . . . . . . . . 17,727,581 25,103,242 28,453,081 35,429,310
Issued to shareholders in reinvestment of
dividends . . . . . . . . . . . . . . . . . 19,780,330 12,224,920 15,263 241,958
Repurchased . . . . . . . . . . . . . . . . . . (18,183,452) (26,815,831) (4,239,678) (3,516,928)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding . 19,324,459 10,512,331 24,228,666 32,154,340
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 65
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
SELECT GROWTH EQUITY INDEX
AND INCOME FUND FUND
- -------------------------------------------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31,
1995 1994 1995 1994
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . . . . . . $ 110,212,501 $ 60,518,037 $ 52,245,669 $ 42,841,722
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . 2,532,194 2,199,418 1,369,327 1,084,250
Net realized gain (loss) on investments sold. . 11,310,318 2,043,101 1,875,586 642,239
Net change in unrealized appreciation
(depreciation) of investments . . . . . . . 25,861,731 (3,847,540) 17,718,754 (1,184,242)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . 39,704,243 394,979 20,963,667 542,247
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . (2,516,822) (2,199,265) (1,369,327) (1,100,368)
Distributions in excess of net investment
income. . . . . . . . . . . . . . . . . . . -- -- -- --
Net realized gain on investments. . . . . . . . (7,157,977) (1,837,958) (1,848,982) (655,350)
Distribution in excess of net realized
capital gains . . . . . . . . . . . . . . . -- (683,154) (69,205) --
Return of capital . . . . . . . . . . . . . . . -- -- (2,614,356) --
------------- ------------- ------------- -------------
Total distributions . . . . . . . . . . . . (9,674,799) (4,720,377) (5,901,870) (1,755,718)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares . . . . . . . 48,458,874 51,551,924 19,845,741 11,343,518
Issued to shareholders in reinvestment
of dividend . . . . . . . . . . . . . . . . 9,674,799 4,720,377 5,901,870 1,755,718
Cost of shares repurchased. . . . . . . . . . . (6,765,618) (2,252,439) (2,166,361) (2,481,818)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions. . . . . . . . . 51,368,055 54,019,862 23,581,250 10,617,418
------------- ------------- ------------- -------------
Total increase (decrease) in net assets . . 81,397,499 49,694,464 38,643,047 9,403,947
------------- ------------- ------------- -------------
NET ASSETS AT END OF YEAR (INCLUDING LINE A) . . . $ 191,610,000 $ 110,212,501 $ 90,888,716 $ 52,245,669
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
(A) Undistributed (distributions in excess of)
net investment income . . . . . . . . . . . $ 15,372 $ 308 $ -- $ --
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold. . . . . . . . . . . . . . . . . . . . . . 41,704,782 48,256,893 11,793,073 7,589,119
Issued to shareholders in reinvestment
of dividends. . . . . . . . . . . . . . . . 7,745,463 4,559,518 3,680,017 1,199,589
Repurchased . . . . . . . . . . . . . . . . . . (5,657,491) (2,119,523) (1,326,802) (1,665,704)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding . 43,792,754 50,696,888 14,146,288 7,123,004
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
66 ---------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT GRADE GOVERNMENT
INCOME FUND BOND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31,
1995 1994 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . . . . . . $ 109,971,914 $ 107,123,848 $ 42,078,279 $ 77,105,113
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . 8,314,663 6,869,069 2,436,231 3,322,013
Net realized gain (loss) on investments sold. . 1,260,297 (3,140,594) (120,017) (1,847,471)
Net change in unrealized appreciation
(depreciation) of investments . . . . . . . 10,604,245 (7,095,992) 2,762,902 (2,221,909)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . 20,179,205 (3,367,517) 5,079,116 (747,367)
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . (8,314,663) (6,869,299) (2,436,231) (3,323,245)
Distributions in excess of net investment
income. . . . . . . . . . . . . . . . . . . (60,477) (24,128) (30,980) (8,606)
Net realized gain on investments. . . . . . . . -- -- -- --
Distribution in excess of net realized
capital gains . . . . . . . . . . . . . . . -- (14,248) -- (3,450)
Return of capital . . . . . . . . . . . . . . . -- -- -- --
------------- ------------- ------------- -------------
Total distributions . . . . . . . . . . . . (8,375,140) (6,907,675) (2,467,211) (3,335,301)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares . . . . . . . 22,835,470 22,620,108 10,666,760 11,772,816
Issued to shareholders in reinvestment
of dividend . . . . . . . . . . . . . . . . 8,375,140 6,907,675 2,467,211 3,335,301
Cost of shares repurchased. . . . . . . . . . . (11,361,209) (16,404,525) (12,046,031) (46,052,283)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions. . . . . . . . . 19,849,401 13,123,258 1,087,940 (30,944,166)
------------- ------------- ------------- -------------
Total increase (decrease) in net assets . . 31,653,466 2,848,066 3,699,845 (35,026,834)
------------- ------------- ------------- -------------
NET ASSETS AT END OF YEAR (INCLUDING LINE A) . . . $ 141,625,380 $ 109,971,914 $ 45,778,124 $ 42,078,279
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
(A) Undistributed (distributions in excess of)
net investment income . . . . . . . . . . . $ -- $ -- $ -- $ --
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold. . . . . . . . . . . . . . . . . . . . . . 21,051,754 21,039,347 10,156,583 11,192,730
Issued to shareholders in reinvestment
of dividends. . . . . . . . . . . . . . . . 7,702,823 6,680,741 2,365,698 3,266,791
Repurchased . . . . . . . . . . . . . . . . . . (10,574,133) (15,461,822) (11,623,145) (44,309,624)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding . 18,180,444 12,258,266 899,136 (29,850,103)
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
- --------------------------------------------------------
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
MONEY MARKET
FUND
- ------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
1995 1994
- ------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . . . . . . $ 95,991,332 $ 71,051,834
------------- -------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income . . . . . . . . . . . . . 7,715,400 3,195,275
Net realized gain (loss) on investments sold. . (390) (347)
Net change in unrealized appreciation
(depreciation) of investments . . . . . . . -- --
------------- -------------
Net increase (decrease) in net assets
resulting from operations . . . . . . . . . 7,715,010 3,194,928
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income . . . . . . . . . . . . . (7,715,400) (3,195,275)
Distributions in excess of net investment
income. . . . . . . . . . . . . . . . . . . -- --
Net realized gain on investments. . . . . . . . -- --
Distribution in excess of net realized
capital gains . . . . . . . . . . . . . . . -- --
Return of capital . . . . . . . . . . . . . . . -- --
------------- -------------
Total distributions . . . . . . . . . . . . (7,715,400) (3,195,275)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares . . . . . . . 178,261,897 135,502,179
Issued to shareholders in reinvestment
of dividend . . . . . . . . . . . . . . . . 7,715,400 3,195,275
Cost of shares repurchased. . . . . . . . . . . (126,757,065) (113,757,609)
------------- -------------
Net increase (decrease) from
capital share transactions. . . . . . . . . 59,220,232 24,939,845
------------- -------------
Total increase (decrease) in net assets . . 59,219,842 24,939,498
------------- -------------
NET ASSETS AT END OF YEAR (INCLUDING LINE A) . . . $ 155,211,174 $ 95,991,332
------------- -------------
------------- -------------
(A) Undistributed (distributions in excess of)
net investment income . . . . . . . . . . . $ -- $ --
------------- -------------
------------- -------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold. . . . . . . . . . . . . . . . . . . . . . 178,261,897 135,502,179
Issued to shareholders in reinvestment
of dividends. . . . . . . . . . . . . . . . 7,715,400 3,195,275
Repurchased . . . . . . . . . . . . . . . . . . (126,757,065) (113,757,609)
------------- -------------
Net increase (decrease) in shares outstanding . 59,220,232 24,939,845
------------- -------------
------------- -------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 67
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
--------------------------------------------------- ---------------------------------------------------------
NET REALIZED DISTRIBUTION
NET AND DISTRIBUTIONS IN EXCESS
ASSET UNREALIZED DIVIDENDS FROM NET OF NET
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET REALIZED REALIZED
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL CAPITAL TOTAL
DECEMBER 31, OF YEAR INCOME(2) INVESTMENTS OPERATIONS INCOME GAINS GAINS DISTRIBUTIONS
------------ --------- ---------- ------------ ---------- ---------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SELECT
INTERNATIONAL
EQUITY FUND(1)
1995 $ 0.963 $ 0.013 $ 0.176 $ 0.189 $ (0.011) $ (0.005) $ -- $ (0.016)
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) -- (0.002)
SELECT AGGRESSIVE
GROWTH FUND(1)
1995 1.397 (0.001) 0.452 0.451 -- -- -- --
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
December 31, 1995 1.000 (0.001) 0.397 0.396 -- (0.027) -- (0.027)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
--------------------------------------------------------
NET
INCREASE OPERATING
(DECREASE) NET ASSET EXPENSES
IN VALUE NET ASSETS NET INCLUDING GROSS NET
YEAR ENDED NET ASSET END OF TOTAL END OF INVESTMENT REIMBURSEMENTS MANAGEMENT MANAGEMENT
DECEMBER 31, VALUE YEAR RETURN YEAR INCOME (2) AND REDUCTIONS FEE FEE
------------ ---------- --------- ------ ---------- ---------- -------------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SELECT
INTERNATIONAL
EQUITY FUND(1)
1995 $ 0.173 $ 1.136 19.63% $104,312 1.68% 1.24% 1.00% 1.00%
1994 (0.037) 0.963 (3.49)%** 40,498 0.87%* 1.50%* 1.00%* 0.72%*
SELECT AGGRESSIVE
GROWTH FUND(1)
1995 0.451 1.848 32.28% 254,872 (0.07)% 1.09% 1.00% 1.00%
1994 (0.034) 1.397 (2.31)% 136,573 (0.21)% 1.16% 1.00% 1.00%
1993 0.234 1.431 19.51% 66,251 0.10% 1.19% 1.00% 0.96%
1992 0.197 1.197 19.85%** 9,270 0.34%* 1.35%* N/A N/A
SELECT CAPITAL
APPRECIATION FUND(1)
Period Ended
December 31, 1995 0.369 1.369 39.56%** 41,376 (0.25)%* 1.35%* 1.00%* 0.93%*
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
OPERATING
PORTFOLIO EXCLUDING
YEAR ENDED TURNOVER REIMBURSEMENTS
DECEMBER 31, RATE AND REDUCTIONS
------------ --------- --------------
<S> <C> <C>
SELECT
INTERNATIONAL
EQUITY FUND(1)
1995 24% 1.24%
1994 19% 1.78%*
SELECT AGGRESSIVE
GROWTH FUND(1)
1995 104% 1.09%
1994 100% 1.16%
1993 76% 1.23%
1992 33% 1.88%*
SELECT CAPITAL
APPRECIATION FUND(1)
Period Ended
December 31, 1995 95% 1.42%*
</TABLE>
- --------------------------------------------------------------------------------
* Annualized
** Not Annualized
(1) The Funds commenced operations as follows:
<TABLE>
<CAPTION>
Select International Select Aggressive Select Capital
Equity Fund Growth Fund Appreciation Fund
-------------------- ----------------- -----------------
<S> <C> <C>
May 2, 1994 August 21, 1992 April 28, 1995
</TABLE>
(2) Net investment income per share before reimbursement (as applicable) of
fees by the investment adviser were as follows:
<TABLE>
<CAPTION>
Years Ended December 31,
---------------------------------------
1995 1994 1993 1992
--------- ------- -------- ---------
<S> <C> <C> <C> <C>
Select International Equity Fund (1) $ N/A $ 0.002 $ N/A $ N/A
Select Aggressive Growth Fund (1) N/A N/A 0.000 (0.001)
Select Capital Appreciation Fund (1) (0.001) N/A N/A N/A
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
---------------------------------- ----------------------------------------------------------------------
NET REALIZED DISTRIBUTIONS
NET AND DISTRIBUTIONS IN EXCESS
ASSET UNREALIZED DIVIDENDS FROM NET OF NET
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET REALIZED REALIZED RETURN
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL CAPITAL OF TOTAL
DECEMBER 31, OF YEAR INCOME(2) INVESTMENTS OPERATIONS INCOME GAINS GAINS CAPITAL DISTRIBUTIONS
- ------------ --------- ---------- ------------ ---------- ---------- ------------ ------------- ------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
SMALL
CAP
VALUE
FUND(1)
1995 $1.089 $ 0.009 $ 0.183 $ 0.192 $ (0.009) $ (0.033) $ (0.001) $ -- $ (0.043)
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
1995 1.814 0.049 0.539 0.588 (0.049) (0.177) -- -- (0.226)
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)
SELECT
GROWTH
FUND(1)
1995 1.099 -- 0.270 0.270 -- -- -- -- --
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)
</TABLE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
-------------------------------------------------------
NET
INCREASE OPERATING
(DECREASE) NET ASSET EXPENSES
IN VALUE NET ASSETS NET INCLUDING GROSS NET
YEAR ENDED NET ASSET END OF TOTAL END OF INVESTMENT REIMBURSEMENTS MANAGEMENT MANAGEMENT
DECEMBER 31, VALUE YEAR RETURN YEAR INCOME (2) AND REDUCTIONS FEE FEE
- ------------ ---------- --------- ------ ---------- ---------- -------------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SMALL
CAP
VALUE
FUND(1)
1995 $ 0.149 $ 1.238 17.60% $ 64,575 0.86% 1.01% 0.85% 0.85%
1994 (0.081) 1.089 (6.51)% 41,342 0.64% 1.08% 0.85% 0.84%
1993 0.170 1.170 17.74%** 12,731 0.52%* 1.22%* 0.85%* 0.04%*
GROWTH
FUND
1995 0.362 2.176 32.80% 444,871 2.34% 0.54% 0.46% 0.46%
1994 (0.125) 1.814 0.16% 335,714 2.25% 0.56% 0.48% 0.48%
1993 (0.095) 1.939 6.66% 338,545 1.92% 0.54% 0.49% 0.48%
1992 0.058 2.034 7.11% 270,828 1.85% 0.58% N/A N/A
1991 0.505 1.976 40.44% 182,965 2.26% 0.57% N/A N/A
SELECT
GROWTH
FUND(1)
1995 0.270 1.369 24.59% 143,125 0.02% 0.97% 0.85% 0.85%
1994 (0.020) 1.099 (1.49)% 88,263 0.37% 1.03% 0.85% 0.85%
1993 0.008 1.119 0.84% 53,854 0.15% 1.05% 0.85% 0.82%
1992 0.111 1.111 11.25%** 9,308 0.40%* 1.20%* N/A N/A
</TABLE>
<TABLE>
<CAPTION>
OPERATING
EXPENSES
PORTFOLIO EXCLUDING
YEAR ENDED TURNOVER REIMBURSEMENTS
DECEMBER 31, RATE AND REDUCTIONS
- ------------ --------- --------------
<S> <C> <C>
SMALL
CAP
VALUE
FUND(1)
1995 17% 1.01%
1994 4% 1.09%
1993 6% 2.03%
GROWTH
FUND
1995 64% 0.54%
1994 46% 0.56%
1993 42% 0.55%
1992 19% 0.58%
1991 24% 0.57%
SELECT
GROWTH
FUND(1)
1995 51% 0.97%
1994 55% 1.03%
1993 65% 1.08%
1992 3% 1.72%*
</TABLE>
* Annualized
** Not Annualized
(1) The Funds commenced operations as follows:
Small Cap Select Growth
Value Fund Fund
---------- -------------
April 30, 1993 August 21, 1992
(2) Net investment income per share before reimbursement (as applicable) of
fees by the investment adviser were as follows:
Years Ended December 31,
----------------------------------
1994 1993 1992
--------- --------- ---------
Small Cap Value Fund(1) $ 0.005 $ (0.001) $ N/A
Growth Fund N/A 0.038 N/A
Select Growth Fund (1) N/A 0.001 0.000
See Notes to Financial Statements.
69
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE YEAR
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS
-------------------------------------------------
NET REALIZED
NET AND
ASSET UNREALIZED DIVIDENDS
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT
DECEMBER 31, OF YEAR INCOME (2) INVESTMENTS OPERATIONS INCOME
------------ --------- ---------- ------------ ---------- ----------
<S> <C> <C> <C> <C> <C>
SELECT GROWTH AND
INCOME FUND(1)
1995 $ 1.027 $ 0.019 $ 0.290 $ 0.309 $ (0.019)
1994 1.069 0.025 (0.018) 0.007 (0.025)
1993 0.990 0.023 0.079 0.102 (0.023)
1992 1.000 0.008 (0.009) (0.001) (0.008)
EQUITY INDEX
FUND
1995 1.468 0.035 0.474 0.509 (0.035)
1994 1.505 0.033 (0.018) 0.015 (0.033)
1993 1.409 0.032 0.102 0.134 (0.031)
1992 1.354 0.030 0.066 0.096 (0.031)
1991 1.080 0.032 0.279 0.311 (0.032)
INVESTMENT GRADE
INCOME FUND
1995 1.012 0.071 0.106 0.177 (0.071)
1994 1.111 0.066 (0.099) (0.033) (0.066)
1993 1.074 0.065 0.049 0.114 (0.065)
1992 1.085 0.075 0.013 0.088 (0.075)
1991 1.004 0.080 0.081 0.161 (0.080)
<CAPTION>
LESS DISTRIBUTIONS
----------------------------------------------------------
NET
DISTRIBUTIONS INCREASE
FROM NET DISTRIBUTIONS (DECREASE) NET ASSET
REALIZED IN RETURN IN VALUE NET ASSETS
YEAR ENDED CAPITAL EXCESS OF TOTAL NET ASSET END OF TOTAL END OF
DECEMBER 31, GAINS OF CAPITAL DISTRIBUTIONS VALUE YEAR RETURN YEAR
------------ ------------ ------------ ------- ------------- --------- -------- ------ ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SELECT GROWTH AND
INCOME FUND(1)
1995 $ (0.049) $ -- $ -- $ (0.068) $ 0.241 $ 1.268 30.32% $191,610
1994 (0.017) (0.007)(3) -- (0.049) (0.042) 1.027 0.73% 110,213
1993 -- -- -- (0.023) 0.079 1.069 10.37% 60,518
1992 (0.001) -- -- (0.009) (0.010) 0.990 (0.11)%** 7,302
EQUITY INDEX
FUND
1995 (0.047) (0.002)(3) (0.066) (0.150) 0.359 1.827 36.18% 90,889
1994 (0.019) -- -- (0.052) (0.037) 1.468 1.06% 52,246
1993 (0.007) -- -- (0.038) 0.096 1.505 9.53% 42,842
1992 (0.010) -- -- (0.041) 0.055 1.409 7.25% 22,393
1991 (0.005) -- -- (0.037) 0.274 1.354 29.16% 9,700
INVESTMENT GRADE
INCOME FUND
1995 -- (0.001)(4) -- (0.072) 0.105 1.117 17.84% 141,625
1994 -- -- -- (0.066) (0.099) 1.012 (2.96)% 109,972
1993 (0.012) -- -- (0.077) 0.037 1.111 10.80% 107,124
1992 (0.024) -- -- (0.099) (0.011) 1.074 8.33% 52,874
1991 -- -- -- (0.080) 0.081 1.085 16.75% 29,018
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
-------------------------------------------------
OPERATING OPERATING
EXPENSES EXPENSES
NET INCLUDING GROSS NET PORTFOLIO EXCLUDING
YEAR ENDED INVESTMENT REIMBURSEMENTS MANAGEMENT MANAGEMENT TURNOVER REIMBURSEMENTS
DECEMBER 31, INCOME (2) AND REDUCTIONS FEE FEE RATE AND REDUCTIONS
------------ ---------- -------------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C>
SELECT GROWTH AND
INCOME FUND(1)
1995 1.69% 0.85% 0.75% 0.75% 112% 0.85%
1994 2.51% 0.91% 0.75% 0.75% 107% 0.91%
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
1995 1.96% 0.55% 0.34% 0.34% 8% 0.55%
1994 2.25% 0.57% 0.35% 0.35% 7% 0.57%
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%
INVESTMENT GRADE
INCOME FUND
1995 6.66% 0.53% 0.41% 0.41% 126% 0.53%
1994 6.25% 0.58% 0.42% 0.42% 129% 0.58%
1993 6.16% 0.54% 0.45% 0.44% 55% 0.55%
1992 7.25% 0.59% N/A N/A 71% 0.59%
1991 8.10% 0.60% N/A N/A 52% 0.60%
</TABLE>
* Annualized
** Not Annualized
(1) The Funds commenced operations as follows:
Select Growth and
Income Fund
----------------
August 21, 1992
(2) Net investment income per share before reimbursement (as applicable) of
fees by the investment adviser were as follows:
<TABLE>
<CAPTION>
Years Ended December 31,
----------------------------
1993 1992 1991
------- ------- -------
<S> <C> <C> <C>
Select Growth and Income Fund (1) $ 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>
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
70 --------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<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 NET RETURN
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL INVESTMENT OF TOTAL
DECEMBER 31, OF YEAR INCOME (2) INVESTMENTS OPERATIONS INCOME GAINS INCOME CAPITAL DISTRIBUTIONS
- ------------ --------- ---------- ------------ ------------ --------- ------------- ------------ ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GOVERNMENT
BOND FUND(1)
1995 $ 0.997 $ 0.062 $ 0.066 $ 0.128 $ (0.062) $ -- $ (0.001) $ -- $ (0.063)
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
1995 1.000 0.057 -- 0.057 (0.057) -- -- -- (0.057)
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)
<CAPTION>
RATIOS TO AVERAGE NET ASSETS
-------------------------------------------------
NET
INCREASE OPERATING OPERATING
(DECREASE) NET ASSET EXPENSES EXPENSES
IN VALUE NET ASSETS NET INCLUDING GROSS NET PORTFOLIO EXCLUDING
YEAR ENDED NET ASSET END OF TOTAL END OF INVESTMENT REIMBURSEMENTS MANAGEMENT MANAGEMENT TURNOVER REIMBURSEMENTS
DECEMBER 31, VALUE YEAR RETURN YEAR INCOME (2) AND REDUCTIONS FEE FEE RATE AND REDUCTIONS
- ------------ ---------- -------- ------ --------- ---------- -------------- ---------- ---------- --------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GOVERNMENT
BOND FUND(1)
1995 $ 0.065 $ 1.062 13.06% $ 45,778 5.91% 0.69% 0.50% 0.50% 180% 0.69%
1994 (0.073) 0.997 (0.88)% 42,078 5.60% 0.70% 0.50% 0.50% 106% 0.70%
1993 0.019 1.070 7.51% 77,105 5.51% 0.61% 0.50% 0.49% 35% 0.62%
1992 0.004 1.051 6.59% 33,689 6.13% 0.68% N/A N/A 67% 0.69%
1991 0.047 1.047 7.60%** 7,591 5.55%* 0.54%* N/A N/A 65% 0.54%*
MONEY MARKET
FUND
1995 -- 1.000 5.84% 155,211 5.68% 0.36% 0.29% 0.29% N/A 0.36%
1994 -- 1.000 3.93% 95,991 3.94% 0.45% 0.31% 0.31% N/A 0.45%
1993 -- 1.000 3.00% 71,052 2.95% 0.42% 0.32% 0.31% N/A 0.43%
1992 -- 1.000 3.78% 64,506 3.65% 0.44% N/A N/A N/A 0.44%
1991 -- 1.000 6.22% 39,909 5.98% 0.43% N/A N/A N/A 0.43%
</TABLE>
- --------------------------------------------------------------------------------
* Annualized
** Not Annualized
(1) The Government Bond Fund commenced operations on August 26, 1991.
(2) Net investment income per share before reimbursement (as applicable) of
fees by the investment adviser were as follows:
<TABLE>
<CAPTION>
Years Ended December 31,
------------------------
1993 1992
---- ----
<S> <C> <C>
Government Bond Fund (1) $ 0.055 $ 0.056
Money Market Fund 0.030 N/A
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS- DECEMBER 31, 1995
1. ORGANIZATION
Allmerica Investment Trust (the "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 Allmerica Financial Life Insurance and Annuity Company, a wholly-
owned subsidiary of First Allmerica Financial Life Insurance Company ("First
Allmerica"), formerly State Mutual Life Assurance Company of America or other
affiliated insurance companies (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") only.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates. 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 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 have entered 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 with
any fluctuations recorded as unrealized gains or losses. Purchases and sales of
forward foreign currency contracts having the same settlement date and
counterparty 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 and losses are recognized on settlement
date.
72 ----------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, Continued
FOREIGN CURRENCY TRANSLATION: Investment valuations, other assets and
liabilities denominated in 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.
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 all net realized capital gains, if
any, at least annually. The distributions are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing book and tax treatments in the
timing of the recognition of gains or losses and forwards, including "Post
October Losses" (Note 9) and permanent differences due to differing treatments
for paydown gains/losses on certain securities, foreign currency transactions,
market discount, non-taxable dividends and losses deferred due to wash sales.
Any taxable income or gain remaining at fiscal year end is distributed in the
following year.
Distributions of $2,614,356 on the Equity Index Portfolio, originally designated
as paid from net investment income and net realized gains, have been
reclassified as return of capital distributions in the financial statements.
Current year permanent book-tax differences, if any, are not included in ending
undistributed net investment income for the purpose of calculating net
investment income per share in the Financial Highlights.
FEDERAL INCOME TAXES: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio intends to continue to qualify 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.
Paid-in capital, undistributed net investment income and accumulated net
realized gain (loss) have been adjusted for permanent book-tax differences
for all Portfolios with the exception of the Money Market Portfolio.
REPURCHASE AGREEMENTS: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Trust's Investment Adviser has
determined are creditworthy pursuant to guidelines established by the Trust's
Board of Trustees. Each repurchase agreement transaction is recorded at cost.
Each Portfolio requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian in a manner that is intended
to enable the Portfolio to obtain those securities in the event of a
counterparty default. The Investment Adviser monitors the value of the
securities, including accrued interest, daily to ensure that the value of the
collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or retrictions upon
the Portfolio's ability to dispose of the underlying securities, and a possible
decline in the value of the underlying securities during the period while the
Portfolio seeks to assert its rights.
- ---------------------------------------- 73
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, Continued
INDEXED SECURITIES: Certain Portfolios invest in indexed securities whose values
are linked either directly or inversely to changes in foreign currencies,
interest rates, commodities, indices, or other underlying instruments. The
Portfolios use these securities to increase or decrease its exposure to
different underlying instruments and to gain exposure to markets that might be
difficult to invest in through conventional securities. Indexed securities may
be more volatile than their underlying instruments, but any loss is limited to
the amount of the original investment.
ORGANIZATION COSTS: Each Portfolio bears all costs in connection with its
organization, including the fees and expenses of registering and qualifying its
shares for distribution under Federal and state securities regulations. All
such costs are being amortized using the straight-line method over a period of
five years beginning with the commencement of the Portfolio's operation. The
Investment Adviser incurred all start up costs of the Portfolios except for
Select Capital Appreciation.
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
a 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.
3. INVESTMENT ADVISORY, ADMINISTRATION
AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Investment Management Company, Inc. (the "Manager"), a wholly-owned
subsidiary of First Allmerica, 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>
74 ----------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, Continued
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, LLP
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.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("FDISG"), formerly The Shareholder Services
Group, Inc., a wholly-owned subsidiary of First Data Corporation, whereby FDISG
performs administrative services for the Portfolios and is entitled to receive
an administrative fee and certain out-of-pocket expenses. The Manager is solely
reponsible for the payment of the administration fee to FDISG. In a separate
agreement, FDISG receives separate fees from the Portfolios for certain fund
accounting services provided in its capacity as pricing and bookkeeping agent.
Prior to March 31, 1995, fund accounting services were provided by 440 Financial
Group of Worcester, Inc., a wholly-owned subsidiary of First Allmerica, under
the same fee structure. On that date, FDISG acquired substantially all of the
assets of 440 Financial Group of Worcester, Inc. 440 Financial, an affiliate of
First Allmerica, received the following fees for fund accounting, and
other services for the period January 1 through March 31, 1995:
<TABLE>
<CAPTION>
PORTFOLIO AFFILIATED FEES
-------------------------------------------------------------------------------
<S> <C>
Select International Equity $ 33,974
Select Aggressive Growth 14,011
Select Capital Appreciation 0
Small Cap Value 9,232
Growth 21,200
Select Growth 10,945
Select Growth and Income 14,192
Equity Index 18,449
Investment Grade Income 9,103
Government Bond 10,669
Money Market 13,487
</TABLE>
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.
- ---------------------------------------- 75
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, Continued
4. REIMBURSEMENT OF EXPENSES
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 year ended December 31, 1995, the Investment Adviser voluntarily agreed
to reimburse the Select Capital Appreciation Portfolio in the amount of $8,720.
5. BROKERAGE CREDITS
Some Portfolios have entered into an agreement with certain brokers whereby the
brokers will rebate a portion of commissions. Such amounts earned by the
Portfolio during 1995, under such agreements, are presented as other income in
the Statement of Operations.
6. 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.
7. PURCHASES AND SALES OF SECURITIES
The cost of purchases and proceeds from sales of investment securities,
excluding short-term investments, for the year ended December 31, 1995 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
OTHER GOVERNMENT OTHER GOVERNMENT
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International Equity $ 67,490,500 $ -- $15,682,191 $ --
Select Aggressive Growth 256,229,445 -- 194,373,812 --
Select Capital Appreciation 51,605,224 -- 19,250,170 --
Small Cap Value 19,765,303 -- 8,333,638 --
Growth 242,782,457 -- 229,171,513 --
Select Growth 85,159,412 -- 56,967,757 --
Select Growth and Income 196,343,657 -- 155,281,754 --
Equity Index 24,139,718 -- 5,541,943 --
Investment Grade Income 33,742,955 143,530,967 24,142,850 121,198,252
Government Bond 6,271,538 65,085,787 2,710,521 66,856,700
</TABLE>
76 ----------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, Continued
At December 31, 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 $ 11,430,254 $ (2,255,095) $ 9,175,159 $ 94,715,153
Select Aggressive Growth 61,602,888 (8,054,003) 53,548,885 201,900,142
Select Capital Appreciation 5,020,883 (386,597) 4,634,286 36,548,716
Small Cap Value 10,110,122 (4,469,077) 5,641,045 58,976,293
Growth 87,385,143 (6,094,469) 81,290,674 364,640,987
Select Growth 33,034,039 (3,849,614) 29,184,425 113,984,727
Select Growth and Income 25,451,725 (1,431,923) 24,019,802 168,849,850
Equity Index 22,904,755 (1,647,069) 21,257,686 69,498,605
Investment Grade Income 5,479,268 (205,356) 5,273,912 134,504,893
Government Bond 851,803 (14,592) 837,211 43,612,243
Money Market -- -- -- 155,156,216
</TABLE>
8. CAPITAL LOSS CARRYFORWARD
For the year ended December 31, 1995, certain Portfolios had capital loss
carryforwards which expire or were utilized as follows:
<TABLE>
<CAPTION>
DECEMBER 31,
PORTFOLIO 2000 2001 2002 2003 UTILIZED
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Select Aggressive Growth $ -- $ -- $ -- $ -- $9,229,596
Small Cap Value -- -- -- -- 36,886
Select Growth 7,651 247,191 2,115,070 360,571 --
Investment Grade Income -- -- 1,731,938 -- 645,835
Government Bond -- -- 1,544,794 515,322 --
Money Market -- -- 347 144 --
</TABLE>
- ---------------------------------------- 77
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, Continued
9. POST OCTOBER LOSSES
Under current tax law, certain capital and net foreign exchange losses realized
after October 31 may be deferred and treated as occurring on the first day of
the following fiscal year. For the fiscal year ended December 31, 1995,the
following Portfolios have elected to defer losses occurring between November 1,
1995 and December 31, 1995 in the following amounts:
<TABLE>
<CAPTION>
FOREIGN
PORTFOLIO CAPITAL LOSS CURRENCY
- --------------------------------------------------------------------------------
<S> <C> <C>
Select International Equity $ -- $ 197,793
Small Cap Value 27,870 --
Select Growth 1,171,841 --
Investment Grade Income 216,244 --
Government Bond 2,109 --
Money Market 246 --
</TABLE>
10. FOREIGN SECURITIES
Each Fund, except the Money Market Fund, may purchase 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.
11.FINANCIAL INSTRUMENTS
Investing in certain financial instruments including forward foreign currency
contracts involves risk other than that reflected in the Statement of Assets and
Liabilities. Risks associated with these instruments include the potential for
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 foreign currency
relative to the U.S. dollar. The Select International Equity Fund and the Select
Capital Appreciation Fund enter into these contracts primarily to protect the
Portfolio from adverse currency movement.
78
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders
of the Allmerica Investment Trust
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Select International Equity
Fund, Select Aggressive Growth Fund, Select Capital Appreciation, Small Cap
Value Fund, Growth Fund, Select Growth Fund, Select Growth and Income Fund,
Equity Index Fund, Investment Grade Income Fund, Government Bond Fund, and Money
Market Fund (each a portfolio series of the Allmerica Investment Trust,
hereafter referred to as the "Trust") at December 31, 1995, and the results of
each of their operations, the changes in each of their net assets, and the
financial highlights for the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1995 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provide
a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 8, 1996
79
<PAGE>
ALLMERICA INVESTMENT TRUST
OTHER INFORMATION
FEDERAL INCOME TAX INFORMATION (Unaudited):
Distributions from long-term capital gains for the year ended December 31, 1995,
were as follows:
<TABLE>
<CAPTION>
LONG-TERM
PORTFOLIO CAPITAL GAIN
- --------------------------------------------------------------------------------
<S> <C>
Select International Equity $ 235,621
Small Cap Value 1,455,546
Growth 23,175,403
Select Growth and Income 1,825,719
Equity Index 1,793,511
</TABLE>
SHAREHOLDER VOTING RESULTS (UNAUDITED):
At the Meeting of Shareholders of the Small Cap Value Fund, held on June 27,
1995, shareholders approved the new and the existing Sub-Adviser agreements
between the Manager and David L. Babson and Co., Inc. with respect to the Fund.
The results were as follows:
<TABLE>
<CAPTION>
SHARES FOR SHARES WITHHELD AGREEMENT % OF SHS VOTED
---------- --------------- --------- --------------
<S> <C> <C> <C>
39,090,623 3,793,768 New Agreement 91.15%
38,872,534 4,011,857 Existing Agreement 90.65%
</TABLE>
At the Meeting of Shareholders of Growth Fund held on October 18, 1995,
shareholders approved the new Sub-Adviser Agreement between the Manager and
Miller Andersen & Sherrerd, LLP with respect to the Growth Fund. The results
were as follows:
<TABLE>
<CAPTION>
SHARES FOR SHARES WITHHELD % OF SHS VOTED
---------- --------------- --------------
<S> <C> <C>
172,590,332 14,230,265 92.4%
</TABLE>
80
<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 Allmerica Financial Life Insurance and Annuity Company's Life Variable
Annuity products unless accompanied or preceded by effective prospectuses of the
Allmerica Financial Life Insurance and Annuity Company's Life Variable Annuity
and Allmerica Investment Trust; or to prospective purchasers of Allmerica
Financial Life Insurance and Annuity Company Life's or First Allmerica's
ExecAnnuity Plus unless accompanied or preceded by effective prospectuses for
Allmerica Financial Life Insurance and Annuity Company's Life's or First
Allmerica'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
81
<PAGE>
VARIABLE ANNUITY SEPARATE ACCOUNTS
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995
NOTE 1 - ORGANIZATION
Separate Accounts VA-A, VA-B, VA-C, VA-G, and VA-H (the Separate Accounts)
are separate investment accounts of Allmerica Financial Life Insurance and
Annuity Company (formerly named SMA Life Assurance Company) (the Company),
established for the purpose of separating from the general assets of the Company
those assets used to fund the variable portion of certain variable annuity
policies issued by the Company. Effective October 16, 1995, concurrent with the
demutualization, State Mutual Life Assurance Company of America changed their
name to First Allmerica Financial Life Insurance Company (First Allmerica). The
Company is a wholly-owned subsidiary of First Allmerica. Under applicable
insurance law, the assets and liabilities of the Separate Accounts are clearly
identified and distinguished from the assets and liabilities of the Company. The
Separate Accounts cannot be charged with liabilities arising out of any other
business of the Company.
The Separate Accounts are registered individually as unit investment trusts
under the Investment Company Act of 1940, as amended (the 1940 Act). Each
Separate Account invests exclusively in a corresponding investment portfolio of
the Allmerica Investment Trust (the Trust) managed by Allmerica Investment
Management Company, Inc., a wholly-owned subsidiary of First Allmerica. The
Trust is an open-end, diversified series management investment company
registered under the 1940 Act.
The Separate Accounts have two types of variable annuity policies,
"qualified" policies and "non-qualified" policies. A qualified policy is one
that is purchased in connection with a retirement plan which meets the
requirements of Section 401, 403, 408, or 457 of the Internal Revenue Code,
while a non-qualified policy is one that is not purchased in connection with one
of the indicated retirement plans. The tax treatment for certain partial
redemptions or surrenders will vary according to whether they are made from a
qualified policy or a non-qualified policy.
NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES
Investments - Security transactions are recorded on the trade date.
Investments in shares of the Trust are stated at the net asset value per share
of the respective investment portfolio of the Trust. Net realized gains and
losses on securities sold are determined on the average cost method. Dividends
and capital gain distributions are recorded on the ex-dividend date and are
reinvested in additional shares of the respective investment portfolio of the
Trust at net asset value.
Federal Income Taxes - The Company is taxed as a "life insurance company"
under Subchapter L of the Internal Revenue Code and files a consolidated federal
income tax return with First Allmerica. The Company anticipates no tax liability
resulting from the operations of the Separate Accounts. Therefore, no provision
for income taxes has been charged against the Separate Accounts.
NOTE 3 - INVESTMENTS
The number of shares owned, aggregate cost, and net asset value per share of
each Separate Accounts investment in the Trust at December 31, 1995 were as
follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
PORTFOLIO INFORMATION
SEPARATE INVESTMENT NUMBER OF AGGREGATE NET ASSET
ACCOUNT PORTFOLIO SHARES COST VALUE PER SHARE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
VA-A Growth 97,487,361 $ 167,197,946 $ 2.176
VA-B}
VA-C} Investment Grade Income 25,778,018 27,504,617 1.117
VA-G}
VA-H} Money Market 6,644,562 6,644,562 1.000
</TABLE>
82
<PAGE>
VARIABLE ANNUITY SEPARATE ACCOUNTS
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995, CONTINUED
NOTE 4 - RELATED PARTY TRANSACTIONS
The Company makes a charge of 1.25% per annum based on the average daily
net assets of each Separate Account at each valuation date for mortality
and expense risks. This charge is deducted in the daily computation of unit
values but is paid to the Company on a monthly basis. The total annual
charge may be increased or decreased by the Board of Directors of the
Company once each year but the total charge may not exceed 1.275% per
annum. On February 15, 1991, the Board of Directors of the Company
increased the charge from .90% to 1.25% on policies issued in the 1974 and
later series. The total charge on policies issued prior to 1974 will remain
at .90% per annum due to a contract fee limit. Net purchase payments
represent gross purchase payments less applicable premium taxes.
Allmerica Investments, Inc., (Allmerica Investments), a wholly-owned
subsidiary of First Allmerica, is principal underwriter and general
distributor of the Separate Accounts, and does not receive any compensation
for sales of the Variable Annuity policies. Commissions are paid to
registered representatives of Allmerica Investments by the Company. As the
current series of policies have a contingent deferred sales charge, no
deduction is made for sales charges at the time of the sale. For the year
ended December 31, 1995, the Company received $182,881, $6,508,
$33,678, $4,994, and $16,931 for contingent deferred sales charges
applicable to Separate Accounts VA-A, VA-B,
VA-C, VA-G and VA-H, respectively.
NOTE 5 - POLICYOWNERS AND SPONSOR TRANSACTIONS
Transactions from policyowners and sponsor were as follows:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
1995 1994
---- ----
UNITS AMOUNT UNITS AMOUNT
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Separate Account VA-A - Growth
Qualified
Issuance of units 2,446,022 $ 13,708,847 3,217,242 $ 18,088,383
Redemption of units (4,800,730) (29,131,802) (8,895,152) (49,863,496)
-------------- -------------- --------------
Net decrease (2,354,708) $ (15,422,955) (5,677,910) $ (31,775,113)
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Non-Qualified
Issuance of units 381,215 $ 2,366,959 724,261 $ 4,025,736
Redemption of units (1,346,936) (8,360,915) (2,396,939) (12,976,089)
-------------- -------------- --------------
Net decrease (965,721) $ (5,993,956) (1,672,678) $ (8,950,353)
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Separate Account VA-B - Investment Grade Income
Issuance of units 152,455 $ 526,670 219,814 $ 728,534
Redemption of units (663,641) (2,292,608) (696,519) (2,288,091)
-------------- --------------
Net decrease (511,186) $ (1,765,938) (476,705) $ (1,559,557)
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Separate Account VA-C - Investment Grade Income
Issuance of units 545,307 $ 1,941,190 866,192 $ 2,892,853
Redemption of units (1,532,585) (5,429,871) (2,359,679) (7,798,916)
--------------
Net decrease (987,278) $ (3,488,681) (1,493,487) $ (4,906,063)
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Separate Account VA-G - Money Market
Issuance of units 924,240 $ 1,607,507 663,363 $ 1,116,875
Redemption of units (1,321,725) (2,303,652 (1,428,113) (2,409,943)
--------------
Net decrease (397,485) (696,145) (764,750) $ (1,293,068)
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Separate Account VA-H- Money Market
Issuance of units 1,993,328 $ 3,534,916 1,591,663 $ 2,706,234
Redemption of units (2,299,109) (4,083,067) (3,389,635) (5,758,706)
--------------
Net decrease (305,781) $ (548,151) (1,797,972) $ (3,052,472)
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
83
<PAGE>
VARIABLE ANNUITY SEPARATE ACCOUNTS
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995, CONTINUED
NOTE6 - DIVERSIFICATION REQUIREMENTS
Under the provisions of Section 817(h) of the Internal Revenue Code, a
variable annuity contract, other than a contract issued in connection with
certain types of employee benefit plans, will not be treated as an annuity
contract for federal income tax purposes for any period for which the
investments of the segregated asset account on which the contract is based are
not adequately diversified. The Code provides that the "adequately diversified"
requirement may be met if the underlying investments satisfy either a statutory
safe harbor test or diversification requirements set forth in regulations
issued by the Secretary of Treasury.
The Internal Revenue Service has issued regulations under Section 817(h) of
the Code. The Company believes that the Separate Accounts satisfy the current
requirements of the regulations, and it intends that the Separate Accounts will
continue to meet such requirements.
NOTE 7 - PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of the Trust shares by the
Separate Accounts during the year ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
SEPARATE
ACCOUNT INVESTMENT PORTFOLIO PURCHASES SALES
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
VA-A Growth $ 24,080,609 $ 27,155,722
VA-B}
VA-C} Investment Grade Income 3,149,925 6,919,770
VA-G}
VA-H} Money Market 4,117,548 5,040,212
------------ ------------
Totals $ 31,348,082 $ 39,115,704
------------ ------------
------------ ------------
</TABLE>
84
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors of Allmerica
Financial Life Insurance and Annuity
Company and Policyowners
of Separate Accounts VA-A, VA-B, VA-C,
VA-G, and VA-H of Allmerica Financial Life
Insurance and Annuity Company
In our opinion, the accompanying statements of assets and liabilities and
the related statements of operations and of changes in net assets present
fairly, in all material respects, the financial position of Separate Accounts
VA-A, VA-B, VA-C, VA-G, and VA-H of Allmerica Financial Life Insurance and
Annuity Company at December 31, 1995, the results of each of their operations
for the year then ended and the changes in each of their net assets for each of
the two years in the period then ended, in conformity with generally accepted
accounting principles. These financial statements are the responsibility of
Allmerica Financial Life Insurance and Annuity Company's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audits to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
investments owned at December 31, 1995 by correspondence with the Trust,
provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
February 16, 1996
85
<PAGE>
THIS PAGE LEFT BLANK INTENTIONALLY.
86
<PAGE>
- -------------------------------------------------------------------------------
VARIABLE ANNUITY SEPARATE ACCOUNTS
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
GROWTH INVESTMENT GRADE INCOME MONEY MARKET
SEPARATE ACCOUNT SEPARATE ACCOUNT SEPARATE ACCOUNT
VA-A VA-B VA-C VA-G VA-H
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment in shares of Allmerica
Investment Trust . . . . . . . . . . . . . . . . $ 212,132,498 $ 7,923,356 $ 20,870,690 $ 1,185,296 $ 5,459,266
Receivable from Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . -- 10,221 -- -- 19,382
-------------- ----------- ------------ ----------- -----------
Total assets. . . . . . . . . . . . . . . . . 212,132,498 7,933,577 20,870,690 1,185,296 5,478,648
LIABILITIES:
Payable to Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . . . . . . . 511,251 -- 26,281 38,713 --
-------------- ----------- ------------ ----------- -----------
Net assets . . . . . . . . . . . . . . . . . . . . $ 211,621,247 $ 7,933,577 $ 20,844,409 $ 1,146,583 $ 5,478,648
------------- ----------- ------------ ----------- -----------
------------- ----------- ------------ ----------- -----------
Net asset distribution by category:
Qualified variable annuity policies. . . . . . . $ 166,239,911 -- $ 20,844,409 -- $ 5,478,648
Non-qualified variable annuity policies. . . . . 45,381,336 $ 7,933,577 -- $ 1,146,583 --
------------- ----------- ------------ ----------- -----------
$ 211,621,247 $ 7,933,577 $ 20,844,409 $ 1,146,583 $ 5,478,648
------------- ----------- ------------ ----------- -----------
------------- ----------- ------------ ----------- -----------
Units outstanding and net asset value per unit:
Post-1974 Series:
Qualified units outstanding,
December 31, 1995. . . . . . . . . . . . . . . . 22,038,924 -- 5,488,771 -- 3,029,681
Net asset value per qualified unit,
December 31, 1995. . . . . . . . . . . . . . . . $ 7.327159 -- $ 3.797646 -- $ 1.808325
Non-qualified units outstanding,
December 31, 1995. . . . . . . . . . . . . . . . 6,073,471 2,107,392 -- 639,321 --
Net asset value per non-qualified unit,
December 31, 1995. . . . . . . . . . . . . . . . $ 6.984326 $ 3.764642 -- $ 1.793440 --
Pre-1974 Series:
Qualified units outstanding,
December 31, 1995 . . . . . . . . . . . . . . . 638,576 -- -- -- --
Net asset value per qualified unit,
December 31, 1995. . . . . . . . . . . . . . . . $ 7.449724 -- -- -- --
Non-qualified units outstanding,
December 31, 1995. . . . . . . . . . . . . . . . 417,148 -- -- -- --
Net asset value per non-qualified unit,
December 31, 1995. . . . . . . . . . . . . . . . $ 7.101169 -- -- -- --
</TABLE>
- -------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
GROWTH INVESTMENT GRADE INCOME MONEY MARKET
SEPARATE ACCOUNT SEPARATE ACCOUNT SEPARATE ACCOUNT
VA-A VA-B VA-C VA-G VA-H
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . . $ 20,691,251 $523,375 $ 1,370,910 $ 81,788 $ 328,593
EXPENSES:
Mortality and expense risk fee . . . . . . . . . . 2,216,795 91,842 240,377 16,439 66,092
Administrative expenses . . . . . . . . . . . . . 192,764 7,986 20,903 1,429 5,747
------------- ----------- ------------ ----------- -----------
Total expenses . . . . . . . . . . . . . . . . . 2,409,559 99,828 261,280 17,868 71,839
------------- ----------- ------------ ----------- -----------
Net investment income . . . . . . . . . . . . . . 18,281,692 423,547 1,109,630 63,920 256,754
------------- ----------- ------------ ----------- -----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain . . . . . . . . . . . . . . . . 5,514,889 11,339 58,373 -- --
Net unrealized . . . . . . . . . . . . . . . . . . 29,631,205 795,662 2,036,801 -- --
------------- ----------- ------------ ----------- -----------
Net realized and unrealized
gain on investments . . . . . . . . . . . . . . . 35,146,094 807,001 2,095,174 -- --
------------- ----------- ------------ ----------- -----------
Net increase in net assets
from operations. . . . . . . . . . . . . . . . . $ 53,427,786 $ 1,230,548 $ 3,204,804 $ 63,920 $ 256,754
------------- ----------- ------------ ----------- -----------
------------- ----------- ------------ ----------- -----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
82
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
VARIABLE ANNUITY SEPARATE ACCOUNTS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
GROWTH INVESTMENT GRADE INCOME
SEPARATE ACCOUNT VA-A SEPARATE ACCOUNT VA-B
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 18,281,692 $ 9,845,607 $ 423,547 $ 448,045
Net realized gain (loss) from security transactions. . . . 5,514,889 6,548,274 11,339 (1,349)
Net unrealized gain (loss) on investments. . . . . . . . . 29,631,205 (18,669,593) 795,662 (862,779)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets from operations. . . 53,427,786 (2,275,712) 1,230,548 (416,083)
------------- ------------- ------------- -------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments . . . . . . . . . . . . . . . . . . . 8,793,945 10,489,533 169,420 159,236
Terminations . . . . . . . . . . . . . . . . . . . . . . . (13,131,309) (14,302,061) (367,424) (579,689)
Annuity benefits . . . . . . . . . . . . . . . . . . . . . (728,749) (1,828,037) (23,752) (6,040)
Other transfers from (to) the General Account of
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . . . . . . . . . . . . (16,350,798) (35,084,901) (1,544,182) (1,133,064)
------------- ------------- ------------- -------------
Net decrease in net assets from capital transactions. . . . (21,416,911) (40,725,466) (1,765,938) (1,559,557)
------------- ------------- ------------- -------------
Net increase(decrease) in net assets. . . . . . . . . . . . 32,010,875 (43,001,178) (535,390) (1,975,640)
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . 179,610,372 222,611,550 8,468,967 10,444,607
------------- ------------- ------------- -------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . $ 211,621,247 $ 179,610,372 $ 7,933,577 $ 8,468,967
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
INVESTMENT GRADE INCOME MONEY MARKET
SEPARATE ACCOUNT VA-C SEPARATE ACCOUNT VA-G
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 1,109,630 $ 1,155,100 $ 63,920 $ 60,833
Net realized gain (loss) from security transactions. . . . 58,373 (35,786) -- --
Net unrealized gain (loss) on investments. . . . . . . . . 2,036,801 (2,212,717) -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net assets from operations. . . 3,204,804 (1,093,403) 63,920 60,833
------------- ------------- ------------- -------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments . . . . . . . . . . . . . . . . . . . 929,097 1,374,331 293,603 245,690
Terminations . . . . . . . . . . . . . . . . . . . . . . . (1,808,663) (2,222,511) (164,851) (256,150)
Annuity benefits . . . . . . . . . . . . . . . . . . . . . (39,575) (53,233) -- (115)
Other transfers from (to) the General Account of
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . . . . . . . . . . . . (2,569,540) (4,004,650) (824,897) (1,282,493)
------------- ------------- ------------- -------------
Net decrease in net assets from capital transactions. . . . (3,488,681) (4,906,063) (696,145) (1,293,068)
------------- ------------- ------------- -------------
Net increase(decrease) in net assets. . . . . . . . . . . . (283,877) (5,999,466) (632,225) (1,232,235)
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . 21,128,286 27,127,752 1,778,808 3,011,043
End of year . . . . . . . . . . . . . . . . . . . . . . . . $ 20,844,409 $ 21,128,286 $ 1,146,583 $ 1,778,808
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
<CAPTION>
- --------------------------------------------------------------------------------------------
MONEY MARKET
SEPARATE ACCOUNT VA-H
YEAR ENDED DECEMBER 31,
1995 1994
- --------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . . . . . . . $ 256,754 $ 171,346
Net realized gain (loss) from security transactions. . . . -- --
Net unrealized gain (loss) on investments. . . . . . . . . -- --
------------- -------------
Net increase (decrease) in net assets from operations. . . 256,754 171,346
------------- -------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments . . . . . . . . . . . . . . . . . . . 936,057 2,636,131
Terminations . . . . . . . . . . . . . . . . . . . . . . . (919,556) (1,537,902)
Annuity benefits . . . . . . . . . . . . . . . . . . . . . (51,143) (14,100)
Other transfers from (to) the General Account of
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . . . . . . . . . . . . (513,509) (4,136,601)
------------- -------------
Net decrease in net assets from capital transactions. . . . (548,151) (3,052,472)
------------- -------------
Net increase(decrease) in net assets. . . . . . . . . . . . (291,397) (2,881,126)
NET ASSETS:
Beginning of year . . . . . . . . . . . . . . . . . . . . . 5,770,045 8,651,171
------------- -------------
End of year . . . . . . . . . . . . . . . . . . . . . . . . $ 5,478,648 $ 5,770,045
------------- -------------
------------- -------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
88
<PAGE>
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH INVESTMENT GRADE INCOME MONEY MARKET
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
1 2 3
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investment in shares of Allmerica Investment Trust . . . . . . . . . . $ 185,529,526 $ 96,120,240 $ 79,118,471
Receivable from Allmerica Financial Life Insurance and
Annuity Company (Sponsor) . . . . . . . . . . . . . . . . . . . . . . -- 10,438 --
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185,529,526 96,130,678 79,118,471
------------- ------------- -------------
LIABILITIES:
Payable to Allmerica Financial Life Insurance and
Annuity Company (Sponsor) . . . . . . . . . . . . . . . . . . . . . . 57,572 -- 1,187,055
------------- ------------- -------------
Net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 185,471,954 $ 96,130,678 $ 77,931,416
------------- ------------- -------------
------------- ------------- -------------
Net asset distribution by category:
Qualified variable annuity policies . . . . . . . . . . . . . . . . . $ 128,119,949 $ 64,085,136 $ 55,044,982
Non-qualified variable annuity policies . . . . . . . . . . . . . . . 57,352,005 32,045,542 22,886,434
Value of investment by Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . . . . . . . . . . . . . . . . . -- -- --
------------- ------------- -------------
$ 185,471,954 $ 96,130,678 $ 77,931,416
------------- ------------- -------------
------------- ------------- -------------
Qualified units outstanding, December 31, 1995 80,135,470 46,110,850 48,956,506
Net asset value per qualified unit, December 31, 1995. . . . . . . . . $ 1.598792 $ 1.389806 $ 1.124365
Non-qualified units outstanding, December 31, 1995 . . . . . . . . . . 35,872,087 23,057,565 20,354,986
Net asset value per non-qualified unit, December 31, 1995. . . . . . . $ 1.598792 $ 1.389806 $ 1.124365
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX GOVERNMENT BOND SELECT AGGRESSIVE GROWTH SELECT GROWTH SELECT GROWTH AND INCOME
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
4 5 6 7 8
- -----------------------------------------------------------------------------------------------------------------------------------
<S>
ASSETS:
Investment in shares of Allmerica
Investment Trust . . . . . . $ 64,827,764 $ 40,152,592 $118,879,604 $ 59,259,322 $ 87,553,216
Receivable from Allmerica Financial
Life Insurance and Annuity Company
(Sponsor) . . . . . . . . . 24,497 584,923 -- -- --
------------ ------------ ------------ ------------ ------------
Total assets . . . . . . 64,852,261 40,737,515 118,879,604 59,259,322 87,553,216
LIABILITIES:
Payable to Allmerica Financial Life
Insurance and Annuity Company
(Sponsor). . . . . . . . . -- -- 260,564 460 64,843
------------ ------------ ------------ ------------ ------------
Net assets . . . . . . . . . $ 64,852,261 $ 40,737,515 $118,619,040 $ 59,258,862 $ 87,488,373
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
Net asset distribution by category:
Qualified variable annuity
policies . . . . . . . . . .
Non-qualified variable annuity
policies . . . . . . . . . $ 44,765,267 $ 25,774,623 $ 82,433,324 $ 42,755,375 $ 59,090,713
Value of investment by Allmerica
Financial Life Insurance and 20,086,994 14,962,892 36,185,716 16,503,487 28,397,660
Annuity Company (Sponsor). .
-- -- -- -- --
------------ ------------ ------------ ------------ ------------
$ 64,852,261 $ 40,737,515 $118,619,040 $ 59,258,862 $ 87,488,373
Qualified units outstanding,
December 31, 1995 ------------ ------------ ------------ ------------ ------------
Net asset value per qualified unit,
December 31, 1995. . . . . . . ------------ ------------ ------------ ------------ ------------
Non-qualified units outstanding,
December 31, 1995 . . . . . . 27,289,222 20,062,912 48,888,111 33,967,155 43,119,003
Net asset value per non-qualified
unit, December 31, 1995. . . . $ 1.640401 $ 1.284690 $ 1.686163 $ 1.258727 $ 1.370410
12,245,173 11,647,084 21,460,390 13,111,252 20,722,018
$ 1.640401 $ 1.284690 $ 1.686163 $ 1.258727 $ 1.370410
</TABLE>
89
<PAGE>
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
SELECT SELECT DGPF
SMALL INTERNATIONAL CAPITAL INTERNATIONAL
CAP VALUE EQUITY APPRECIATION EQUITY
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
9 11 12 20
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in shares of Allmerica Investment Trust . . . . . . $ 54,226,245 $ 42,401,781 $ 22,131,196 --
Investment in shares of Fidelity Variable
Insurance Products Fund . . . . . . . . . . . . . . . . . . -- -- -- --
Investment in shares of T. Rowe Price International Series, Inc. -- -- --
Investment in shares of Delaware Group Premium Fund, Inc. -- -- -- $ 44,527,422
Receivable from Allmerica Financial Life Insurance and
Annuity Company (Sponsor) . . . . . . . . . . . . . . . . . -- 80,770 122,386 5,738
------------ ------------
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . 54,226,245 42,482,551 22,253,582 44,533,160
LIABILITIES:
Payable to Allmerica Financial Life Insurance and
Annuity Company (Sponsor) . . . . . . . . . . . . . . . . . 43,073 -- -- --
------------
Net assets . . . . . . . . . . . . . . . . . . . . . . . . . . $ 54,183,172 $ 42,482,551 $ 22,253,582 $ 44,533,160
------------ ------------
Net asset distribution by category:
Qualified variable annuity policies . . . . . . . . . . . . . $ 38,499,980 $ 30,168,425 $ 15,271,152 $ 30,480,131
Non-qualified variable annuity policies . . . . . . . . . . . 15,683,192 12,314,013 6,982,154 14,053,029
------------ ------------ ------------
Value of investment by Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . . . . . . . . . . . -- 113 276 --
$ 54,183,172 $ 42,482,551 $ 22,253,582 $ 44,533,160
Qualified units outstanding, December 31, 1995 . . . . . . . . 30,861,312 26,758,271 11,046,041 23,744,726
Net asset value per qualified unit, December 31, 1995. . . . . $ 1.247516 $ 1.127443 $ 1.382500 $ 1.283659
Non-qualified units outstanding, December 31, 1995 . . . . . . 12,571,536 10,922,071 5,050,383 10,947,634
Net asset value per non-qualified unit, December 31, 1995. . . $ 1.247516 $ 1.127443 $ 1.382500 $ 1.283659
The accompanying notes are an integral part of these financial statements.
- -----------------------------------------------------------------------------------------------------------------------------------
VIPF VIPF VIPF VIPF VIPF II T. ROWE
HIGH INCOME EQUITY INCOME GROWTH OVERSEAS ASSET MANAGER INTERNATIONAL STOCK
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
102 103 104 105 106 150
- -----------------------------------------------------------------------------------------------------------------------------------
<S>
ASSETS:
Investment in shares of Allmerica
Investment Trust . . . . . . . -- -- -- -- -- --
Investment in shares of Fidelity Variable
Insurance Products Fund . . . . $ 66,256,618 $ 276,683,707 $ 220,673,065 $ 86,933,851 $ 37,696,177 --
Investment in shares of T. Rowe Price
International Series, Inc -- -- -- -- -- $ 11,511,619
Investment in shares of Delaware Group
Premium Fund, Inc. -- -- -- -- -- --
Receivable from Allmerica Financial
Life Insurance and Annuity Company
(Sponsor) . . . . . . . . . . 37,021 -- 87,335 -- -- 69,199
------------- ------------- ------------- ------------- -------------- ------------
Total assets . . . . . . . . . . . ------------- ------------- ------------- ------------- -------------- ------------
LIABILITIES: 66,293,639 276,683,707 220,760,400 86,933,851 37,696,177 11,580,818
Payable to Allmerica Financial Life
Insurance and
Annuity Company (Sponsor) . . . -- 451,532 -- 122,273 16,579 --
Net assets . . . . . . . . . . . . $ 66,293,639 $ 276,232,175 $ 220,760,400 $ 86,811,578 $ 37,679,598 $ 11,580,818
------------- ------------- ------------- ------------- -------------- ------------
------------- ------------- ------------- ------------- -------------- ------------
Net asset distribution by category:
Qualified variable annuity policies $ 44,554,065 $ 184,544,018 $ 152,309,663 $ 60,816,339 $ 26,238,321 $ 8,011,983
Non-qualified variable annuity
policies . . . . . . . . . . . 21,739,574 91,688,157 68,450,737 25,995,239 11,441,277 3,568,623
Value of investment by Allmerica
Financial Life Insurance and -- -- -- -- -- 212
Annuity Company (Sponsor) . $ 66,293,639 $ 276,232,175 $ 220,760,400 $ 86,811,578 $ 37,679,598 $ 11,580,818
Qualified units outstanding,
December 31, 1995 . . . . . . ------------- ------------- ------------- ------------- -------------- ------------
Net asset value per qualified unit,
December 31, 1995. . . . . . . ------------- ------------- ------------- ------------- -------------- ------------
Non-qualified units outstanding,
December 31, 1995 . . . . . .
Net asset value per non-qualified unit,
December 31, 1995. . . . . . 25,567,023 92,959,210 80,366,774 45,715,709 23,288,733 7,528,467
$ 1.742638 $ 1.985215 $ 1.895182 $ 1.330316 $ 1.126653 $ 1.064225
12,475,095 46,185,505 36,118,292 19,540,650 10,155,103 3,353,260
$ 1.742638 $ 1.985215 $ 1.895182 $ 1.330316 $ 1.126653 $ 1.064225
</TABLE>
90
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
GROWTH INVESTMENT GRADE INCOME MONEY MARKET
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
1 2 3
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . $ 17,601,664 $ 5,519,525 $ 3,977,199
EXPENSES:
Mortality and expense risk fees. . . . . . . . . . . . . 1,929,527 1,005,147 862,914
Administrative expense charges . . . . . . . . . . . . . 308,724 160,824 138,066
------------ ------------ ------------
Total expenses . . . . . . . . . . . . . . . . . . . . 2,238,251 1,165,971 1,000,980
------------ ------------ ------------
Net investment income (loss) . . . . . . . . . . . . . . 15,363,413 4,353,554 2,976,219
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss). . . . . . . . . . . . . . . 471,117 (102,223) --
Net unrealized gain . . . . . . . . . . . . . . . . . 25,008,311 7,745,991 --
------------ ------------ ------------
Net realized and unrealized gain on investments . . . 25,479,428 7,643,768 --
------------ ------------ ------------
Net increase in net assets from operations. . . . . . $ 40,842,841 $ 11,997,322 $ 2,976,219
------------ ------------ ------------
------------ ------------ ------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
SELECT
EQUITY INDEX GOVERNMENT BOND AGGRESSIVE GROWTH
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
4 5 6
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . $ 4,092,591 $ 2,191,167 --
EXPENSES:
Mortality and expense risk fees. . . . . . . . . . . . . 600,071 451,822 $ 1,158,141
Administrative expense charges . . . . . . . . . . . . . 96,011 72,292 185,302
------------ ------------ ------------
Total expenses . . . . . . . . . . . . . . . . . . . . 696,082 524,114 1,343,443
------------ ------------ ------------
Net investment income (loss) . . . . . . . . . . . . . . 3,396,509 1,667,053 (1,343,443)
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss). . . . . . . . . . . . . . . 131,325 (277,027) 407,947
Net unrealized gain . . . . . . . . . . . . . . . . . 10,323,131 2,609,018 25,617,337
------------ ------------ ------------
Net realized and unrealized gain on investments . . . 10,454,456 2,331,991 26,025,284
------------ ------------ ------------
Net increase in net assets from operations. . . . . . $ 13,850,965 $ 3,999,044 $ 24,681,841
------------ ------------ ------------
------------ ------------ ------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
SELECT SMALL CAP
SELECT GROWTH GROWTH AND INCOME VALUE
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
7 8 9
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . . . . . $ 8,656 $ 4,446,299 $ 1,807,965
EXPENSES:
Mortality and expense risk fees. . . . . . . . . . . . . 621,128 887,117 557,120
Administrative expense charges . . . . . . . . . . . . . 99,380 141,939 89,139
------------ ------------ ------------
Total expenses . . . . . . . . . . . . . . . . . . . . 720,508 1,029,056 646,259
------------ ------------ ------------
Net investment income (loss) . . . . . . . . . . . . . . (711,852) 3,417,243 1,161,706
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss). . . . . . . . . . . . . . . 366,903 179,764 172,520
Net unrealized gain . . . . . . . . . . . . . . . . . 9,903,003 14,000,181 5,419,123
------------ ------------ ------------
Net realized and unrealized gain on investments . . . 10,269,906 14,179,945 5,591,643
------------ ------------ ------------
Net increase in net assets from operations. . . . . . $ 9,558,054 $ 17,597,188 $ 6,753,349
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
91
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
SELECT SELECT DGPF
INTERNATIONAL EQUITY CAPITAL APPRECIATION INTERNATIONAL EQUITY
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
11 12 (a) 20
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . . $ 562,531 $ 421,819 $ 884,413
EXPENSES:
Mortality and expense risk fees. . . . . . . . . . 308,549 78,904 466,796
Administrative expense charges . . . . . . . . . . 49,368 12,625 74,688
----------- ------------ ------------
Total expenses. . . . . . . . . . . . . . . . 357,917 91,529 541,484
----------- ------------ ------------
Net investment income (loss) . . . . . . . . . . . 204,614 330,290 342,929
----------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) . . . . . . . . . . . . . 9,938 (25) 94,997
Net unrealized gain . . . . . . . . . . . . . . . 3,850,684 2,095,451 4,026,445
----------- ------------ ------------
Net realized and unrealized gain on investments. . 3,860,622 2,095,426 4,121,442
----------- ------------ ------------
Net increase in net assets from operations . . . . $ 4,065,236 $ 2,425,716 $ 4,464,371
----------- ------------ ------------
----------- ------------ ------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
VIPF VIPF VIPF
HIGH INCOME EQUITY INCOME GROWTH
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
102 103 104
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . . $ 2,946,791 $ 13,215,481 $ 729,257
EXPENSES:
Mortality and expense risk fees. . . . . . . . . . 633,884 2,625,621 2,212,142
Administrative expense charges . . . . . . . . . . 101,421 420,099 353,943
----------- ------------ ------------
Total expenses. . . . . . . . . . . . . . . . 735,305 3,045,720 2,566,085
----------- ------------ ------------
Net investment income (loss) . . . . . . . . . . . 2,211,486 10,169,761 (1,836,828)
----------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) . . . . . . . . . . . . . (20,657) 70,339 326,751
Net unrealized gain . . . . . . . . . . . . . . . 6,271,173 49,887,571 48,672,346
----------- ------------ ------------
Net realized and unrealized gain on investments. . 6,250,516 49,957,910 48,999,097
----------- ------------ ------------
Net increase in net assets from operations . . . . $ 8,462,002 $ 60,127,671 $ 47,162,269
----------- ------------ ------------
----------- ------------ ------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
VIPF VIPF II T. ROWE
OVERSEAS ASSET MANAGER INTERNATIONAL STOCK
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
105 106 150 (b)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . . $ 577,802 $ 484,216 --
EXPENSES:
Mortality and expense risk fees. . . . . . . . . . 998,452 379,978 $ 42,407
Administrative expense charges . . . . . . . . . . 159,753 60,796 6,785
------------ ------------ ------------
Total expenses. . . . . . . . . . . . . . . . 1,158,205 440,774 49,192
------------ ------------ ------------
Net investment income (loss) . . . . . . . . . . . (580,403) 43,442 (49,192)
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) . . . . . . . . . . . . . 425,086 97,545 949
Net unrealized gain . . . . . . . . . . . . . . . 6,735,500 4,455,138 400,200
------------ ------------ ------------
Net realized and unrealized gain on investments. . 7,160,586 4,552,683 401,149
------------ ------------ ------------
Net increase in net assets from operations . . . . $ 6,580,183 $ 4,596,125 $ 351,957
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
(a) For the period April 28, 1995 (date of initial investment) to
December 31, 1995.
(b) For the period May 1, 1995 (date of initial investment) to
December 31, 1995.
The accompanying notes are an integral part of these financial statements.
92
<PAGE>
- -------------------------------------------------------------------------------
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
GROWTH INVESTMENT GRADE INCOME
SUB-ACCOUNT 1 SUB-ACCOUNT 2
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . . . . $ 15,363,413 $ 6,532,105 $ 4,353,554 $ 3,276,375
Net realized gain (loss) from
security transactions . . . . . . . . . . . . 471,117 (77,605) (102,223) (302,026)
Net unrealized gain (loss) on
investments . . . . . . . . . . . . . . . . . 25,008,311 (7,654,867) 7,745,991 (5,876,366)
----------- ------------ ----------- -----------
Net increase (decrease) in net
assets from operations . . . . . . . . . . . 40,842,841 (1,200,367) 11,997,322 (2,902,017)
----------- ------------ ----------- -----------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . . . . . 13,742,118 13,685,616 9,491,335 11,144,255
Terminations . . . . . . . . . . . . . . . . (4,542,987) (2,871,353) (3,235,445) (2,017,720)
Annuity benefits . . . . . . . . . . . . . . (1,243,289) (713,084) (579,139) (181,865)
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and Annuity
Company (Sponsor). . . . . . . . . . . . . . 11,635,582 26,340,545 9,729,761 2,053,302
Net increase (decrease) in investment by
Allmerica Financial Life
Insurance and Annuity Company (Sponsor). . . -- -- -- --
----------- ------------ ----------- -----------
Net increase (decrease) in net assets
from capital transactions. . . . . . . . . . 19,591,424 36,441,724 15,406,512 10,997,972
----------- ------------ ----------- -----------
Net increase (decrease) in net assets. . . . . . 60,434,265 35,241,357 27,403,834 8,095,955
NET ASSETS:
Beginning of year. . . . . . . . . . . . . . . . 125,037,689 89,796,332 68,726,844 60,630,889
----------- ------------ ----------- -----------
End of year. . . . . . . . . . . . . . . . . . . $185,471,954 $125,037,689 $96,130,678 $68,726,844
----------- ------------ ----------- -----------
----------- ------------ ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
MONEY MARKET EQUITY INDEX
SUB-ACCOUNT 3 SUB-ACCOUNT 4
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . . $ 2,976,219 $ 913,719 $ 3,396,509 727,096
Net realized gain (loss) from
security transactions . . . . . . . . . -- -- 131,325 50,049
Net unrealized gain (loss) on
investments . . . . . . . . . . . . . . -- -- 10,323,131 (875,249)
------------- ------------- ------------ -----------
Net increase (decrease) in net
assets from operations . . . . . . . . 2,976,219 913,719 13,850,965 (98,104)
------------- ------------- ------------ -----------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . . 201,473,549 131,434,295 4,829,857 4,219,396
Terminations . . . . . . . . . . . . . . (4,345,244) (3,415,762) (1,667,459) (839,746)
Annuity benefits . . . . . . . . . . . . (610,861) (163,546) (489,017) (288,980)
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and Annuity
Company (Sponsor). . . . . . . . . . . (162,154,545) (120,587,957) 12,683,245 5,098,512
Net increase (decrease) in investment by
Allmerica Financial Life
Insurance and Annuity Company (Sponsor). -- -- -- --
------------- ------------- ------------ -----------
Net increase (decrease) in net assets
from capital transactions. . . . . . . . 34,362,899 7,267,030 15,356,626 8,189,182
------------- ------------- ------------ -----------
Net increase (decrease) in net assets. . . 37,339,118 8,180,749 29,207,591 8,091,078
NET ASSETS:
Beginning of year. . . . . . . . . . . . . 40,592,298 32,411,549 35,644,670 27,553,592
------------- ------------- ------------ -----------
End of year. . . . . . . . . . . . . . . . $ 77,931,416 $ 40,592,298 $ 64,852,261 $35,644,670
------------- ------------- ------------ -----------
------------- ------------- ------------ -----------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
GOVERNMENT BOND
SUB-ACCOUNT 5
YEAR ENDED DECEMBER 31,
1995 1994
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income. . . . . . . . . $ 1,667,053 $ 2,237,684
Net realized gain (loss) from security
transactions . . . . . . . . . . (277,027) (1,184,661)
Net unrealized gain (loss) on investments 2,609,018 (2,499,037)
----------- ------------
Net increase (decrease) in net
assets from operations . . . . . . . 3,999,044 (1,446,014)
----------- ------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . . 5,523,208 15,611,540
Terminations . . . . . . . . . . . (1,890,896) (2,251,338)
Annuity benefits . . . . . . . . . . . (181,706) (260,130)
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and Annuity
Company (Sponsor) . . . . . . . . . . (4,192,092) (45,260,308)
Net increase (decrease) in investment by
Allmerica Financial Life Insurance and
Annuity Company (Sponsor) . . . . . . . . -- --
----------- ------------
Net increase (decrease) in net assets. . (741,486) (32,160,236)
----------- ------------
Net increase (decrease) in net assets. . 3,257,558 (33,606,250)
NET ASSETS:
Beginning of year . . . . . . . . . . . 37,479,957 71,086,207
----------- ------------
End of year . . . . . . . . . . . $40,737,515 $ 37,479,957
----------- ------------
----------- ------------
</TABLE>
93
<PAGE>
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH SELECT GROWTH
SUB-ACCOUNT 6 SUB-ACCOUNT 7
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ (1,343,443) $ (744,163) $ (711,852) $ (367,563)
Net realized gain (loss) from security
transactions . . . . . . . . . . . . . 407,947 16,407 366,903 31,408
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . 25,617,337 (1,367,963) 9,903,003 (643,425)
------------- ---------- ----------- -----------
Net increase (decrease) in net assets from
operations . . . . . . . . . . . . . 24,681,841 (2,095,719) 9,558,054 (979,580)
------------- ---------- ----------- ----------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . 11,583,326 13,822,023 4,331,083 5,402,873
Terminations . . . . . . . . . . . . . (2,739,644) (1,250,083) (1,431,104) (930,447)
Annuity benefits . . . . . . . . . . . (539,012) (122,670) (176,573) (62,781)
Other transfers from the General Account of
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . 15,452,200 24,712,223 7,611,742 8,431,181
Net increase (decrease) in investment by
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . -- -- -- --
------------- ---------- ----------- -----------
Net increase in net assets from capital
transactions. . . . . . . . . . . . 23,756,870 37,161,493 10,335,148 12,840,826
------------- ---------- ----------- -----------
Net increase in net assets . . . . . . 48,438,711 35,065,774 19,893,202 11,861,246
NET ASSETS:
Beginning of year. . . . . . . . . . . 70,180,329 35,114,555 39,365,660 27,504,414
------------- ---------- ----------- -----------
End of year. . . . . . . . . . . . . . $ 118,619,040 $ 70,180,329 $ 59,258,862 $ 39,365,660
------------- ---------- ----------- -----------
------------- ---------- ----------- -----------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
SELECT GROWTH AND INCOME SMALL CAP VALUE
SUB-ACCOUNT 8 SUB-ACCOUNT 9
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ 3,417,243 $ 1,732,268 $1,161,706 $ (205,085)
Net realized gain (loss) from security
transactions . . . . . . . . . . . . . 179,764 12,425 172,520 734
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . 14,000,181 (2,133,455) 5,419,123 (1,850,142)
------------ ------------ ------------ -------------
Net increase (decrease) in net assets from
operations . . . . . . . . . . . . . 17,597,188 (388,762) 6,753,349 (2,054,493)
------------ ------------ ------------ -------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . 6,393,379 7,596,689 5,284,030 7,025,166
Terminations . . . . . . . . . . . . . (1,945,264) (1,342,773) (984,390) (367,595)
Annuity benefits . . . . . . . . . . . (686,151) (186,271) (205,991) (48,695)
Other transfers from the General Account of
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . 11,633,921 14,600,125 10,049,138 19,442,674
Net increase (decrease) in investment by
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . -- -- (2,271,360) --
------------ ------------ ------------ -------------
Net increase in net assets from capital
transactions. . . . . . . . . . . . 15,395,885 20,667,770 11,871,427 26,051,550
------------ ------------ ------------ -------------
Net increase in net assets . . . . . . 32,993,073 20,279,008 18,624,776 23,997,057
NET ASSETS:
Beginning of year. . . . . . . . . . . 54,495,300 34,216,292 35,558,396 11,561,339
------------ ------------ ------------ -------------
End of year. . . . . . . . . . . . . . $ 87,488,373 $ 54,495,300 $ 54,183,172 $ 35,558,396
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Select International Equity Select Capital Appreciation
Sub-Account 11 Sub Account 12 (a)
Year Ended Period from Period from
12/31/95 5/5/94* to 12/31/94 4/28/95* to 12/31/95
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ 204,614 $ (14,836) $ 330,290
Net realized gain (loss) from security
transactions . . . . . . . . . . . . . 9,938 12 (25)
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . 3,850,684 (376,972) 2,095,451
----------- ------------ -----------
Net increase (decrease) in net assets from
operations . . . . . . . . . . . . . 4,065,236 (391,796) 2,425,716
----------- ------------ -----------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . 5,626,878 2,273,069 2,923,430
Terminations . . . . . . . . . . . . . (568,996) (49,517) (73,682)
Annuity benefits . . . . . . . . . . . (114,312) -- (16,743)
Other transfers from the General Account of
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . 21,496,077 10,145,812 16,994,661
Net increase (decrease) in investment by
Allmerica Financial Life Insurance and
Annuity Company (Sponsor). . . . . . -- 100 200
----------- ------------ -----------
Net increase in net assets from capital
transactions. . . . . . . . . . . . 26,439,647 12,369,464 19,827,866
----------- ------------ -----------
Net increase in net assets . . . . . . 30,504,883 11,977,668 22,253,582
NET ASSETS:
Beginning of year. . . . . . . . . . . 11,977,668 -- --
----------- ------------ -----------
End of year. . . . . . . . . . . . . . $42,482,551 $ 11,977,668 $ 22,253,582
----------- ------------ -----------
----------- ------------ -----------
</TABLE>
* DATE OF INITIAL INVESTMENT.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
94
<PAGE>
- -------------------------------------------------------------------------------
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
STATEMENTS OF CHANGES IN NET ASSETS, Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
DGPF INTERNATIONAL EQUITY VIPF HIGH INCOME
SUB-ACCOUNT 20 SUB-ACCOUNT 102
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . . . . . . $ 342,929 $ (232,128) $ 2,211,486 $ 1,678,573
Net realized gain (loss) from
security transactions. . . . . . . . . . . . . . 94,997 9,950 (20,657) (21,988)
Net unrealized gain (loss) on investments. . . . 4,026,445 (105,524) 6,271,173 (2,819,325)
----------- ----------- ------------- ------------
Net increase (decrease) in net assets
from operations. . . . . . . . . . . . . . . . . 4,464,371 (327,702) 8,462,002 (1,162,740)
----------- ----------- ------------- ------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . . . . . . 3,724,846 5,570,896 8,175,783 8,308,614
Terminations . . . . . . . . . . . . . . . . . (1,170,699) (372,420) (1,842,667) (983,151)
Annuity benefits . . . . . . . . . . . . . . . (253,818) (40,673) (244,876) (159,685)
Other transfers from (to) the General
Account of Allmerica
Life Insurance and Annuity Company
(Sponsor) . . . . . . . . . . . . . . . . . . . 6,984,991 17,275,101 12,112,647 13,115,151
----------- ----------- ------------- ------------
Net increase in net assets from
capital transactions . . . . . . . . . . . . . . 9,285,320 22,432,904 18,200,887 20,280,929
----------- ----------- ------------- ------------
Net increase in net assets . . . . . . . . . . . 13,749,691 22,105,202 26,662,889 19,118,189
NET ASSETS:
Beginning of year. . . . . . . . . . . . . . . . 30,783,469 8,678,267 39,630,750 20,512,561
----------- ----------- ------------- ------------
End of year. . . . . . . . . . . . . . . . . . . $ 44,533,160 $ 30,783,469 $ 66,293,639 $ 39,630,750
----------- ----------- ------------- ------------
----------- ----------- ------------- ------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
VIPF EQUITY INCOME VIPF GROWTH
SUB-ACCOUNT 103 SUB-ACCOUNT 104
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . . . . . . $ 10,169,761 $ 6,042,379 $ (1,836,828) $ 3,143,427
Net realized gain (loss) from
security transactions. . . . . . . . . . . . . 70,339 9,016 326,751 1,795
Net unrealized gain (loss) on investments. . . 49,887,571 361,647 48,672,346 (3,302,501)
-------------- ------------- -------------- -----------
Net increase (decrease) in net assets
from operations. . . . . . . . . . . . . . . . 60,127,671 6,413,042 47,162,269 (157,279)
-------------- ------------- -------------- -----------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . . . . . 24,781,019 24,027,022 20,641,427 22,593,395
Terminations . . . . . . . . . . . . . . . . . . (5,939,348) (2,638,047) (5,159,445) (2,346,385)
Annuity benefits . . . . . . . . . . . . . . (1,107,657) (363,485) (877,038) (351,166)
Other transfers from (to) the General
Account of Allmerica Life Insurance and Annuity Company
(Sponsor) . . . . . . . . . . . . . . . . . . 42,833,647 41,585,953 30,177,077 38,287,326
-------------- ------------- -------------- -----------
Net increase in net assets from
capital transactions . . . . . . . . . . . . . . 60,567,661 62,611,443 44,782,021 58,183,170
-------------- ------------- -------------- -----------
Net increase in net assets . . . . . . . . . . 120,695,332 69,024,485 91,944,290 58,025,891
NET ASSETS:
Beginning of year. . . . . . . . . . . . . . . 155,536,843 86,512,358 128,816,110 70,790,219
-------------- ------------- -------------- -----------
End of year. . . . . . . . . . . . . . . . . . $ 276,232,175 $ 155,536,843 $ 220,760,400 $ 128,816,110
-------------- ------------- -------------- -----------
-------------- ------------- -------------- -----------
<CAPTION>
- --------------------------------------------------------------------------------------
VIPF OVERSEAS
SUB-ACCOUNT 105
YEAR ENDED DECEMBER 31,
1995 1994
- --------------------------------------------------------------------------------------
<S> <C> <C>
Net investment income (loss) . . . . . . . . . . . $ (580,403) $ (635,040)
Net realized gain (loss) from
security transactions. . . . . . . . . . . . . . 425,086 22,313
Net unrealized gain (loss) on investments. . . . 6,735,500 (642,765)
---------- -------------
Net increase (decrease) in net assets
from operations. . . . . . . . . . . . . . . . 6,580,183 (1,255,492)
---------- -------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . . . . . . 8,126,741 13,636,170
Terminations . . . . . . . . . . . . . . . . . . (2,796,746) (1,254,517)
Annuity benefits . . . . . . . . . . . . . . . (459,579) (223,156)
Other transfers from (to) the General
Account of Allmerica Life Insurance and Annuity Company
(Sponsor) . . . . . . . . . . . . . . . . . 1,817,312 31,481,584
---------- -------------
Net increase in net assets from
capital transactions . . . . . . . . . . . . . . 6,687,728 43,640,081
---------- -------------
Net increase in net assets . . . . . . . . . . . 13,267,911 42,384,589
NET ASSETS:
Beginning of year. . . . . . . . . . . . . . . . 73,543,667 31,159,078
---------- -------------
End of year. . . . . . . . . . . . . . . . . . . $ 86,811,578 $ 73,543,667
---------- -------------
---------- -------------
</TABLE>
95
<PAGE>
- -------------------------------------------------------------------------------
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
VIPF II ASSET MANAGER T. ROWE INTERNATIONAL STOCK
SUB-ACCOUNT 106 SUB-ACCOUNT 150
YEAR ENDED PERIOD FROM PERIOD FROM
12/31/95 5/3/94* TO 12/31/94 5/1/95* TO 12/31/95
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . . . . . $ 43,442 $ (86,968) $ (49,192)
Net realized gain (loss) from security
transactions. . . . . . . . . . . . . . . . . 97,545 (3,667) 949
Net unrealized gain (loss) on investments. . . 4,455,138 (494,758) 400,200
------------- ------------ ------------
Net increase (decrease) in net assets from operations 4,596,125 (585,393) 351,957
------------- ------------ ------------
FROM CAPITAL TRANSACTIONS:
Net purchase payments. . . . . . . . . . . . . 5,020,963 5,109,950 1,443,988
Terminations . . . . . . . . . . . . . . . . . (1,077,562) (154,999) (52,127)
Annuity benefits . . . . . . . . . . . . . . . (88,135) -- --
Other transfers from (to) the General Account of
Allmerica Life Insurance and Annuity
Company (Sponsor). . . . . . . . . . . . . . . 8,982,562 15,876,087 9,836,800
Net increase in investment by Allmerica
Financial Life Insurance and Annuity
Company (Sponsor). . . . . . . . . . . . . . . -- -- 200
------------- ------------ ------------
Net increase in net assets from capital
transactions. . . . . . . . . . . . . . . . 12,837,828 20,831,038 11,228,861
------------- ------------ ------------
Net increase in net assets . . . . . . . . . . 17,433,953 20,245,645 11,580,818
NET ASSETS:
Beginning of year. . . . . . . . . . . . . . 20,245,645 -- --
------------- ------------ ------------
End of year. . . . . . . . . . . . . . . . . $ 37,679,598 $ 20,245,645 $ 11,580,818
------------- ------------ ------------
------------- ------------ ------------
</TABLE>
* DATE OF INITIAL INVESTMENT.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
96
<PAGE>
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
NOTES TO FINANCIAL STATEMENTS - December 31, 1995
NOTE 1 - ORGANIZATION
Separate Account VA-K - ExecAnnuity Plus (VA-K) is a separate investment
account of Allmerica Financial Life Insurance and Annuity Company (formerly
named SMA Life Assurance Company) (the Company), established on November 1, 1990
for the purpose of separating from the general assets of the Company those
assets used to fund certain variable annuity policies issued by the Company.
Effective October 16, 1995, concurrent with the demutualization, State Mutual
Life Assurance Company of America changed their name to First Allmerica
Financial Life Insurance Company (First Allmerica). The Company is a wholly-
owned subsidiary of First Allmerica. Under applicable insurance law, the assets
and liabilities of VA-K are clearly identified and distinguished from the other
assets and liabilities of the Company. VA-K cannot be charged with liabilities
arising out of any other business of the Company.
VA-K is registered as a unit investment trust under the Investment Company
Act of 1940, as amended (the 1940 Act). VA-K currently offers eighteen Sub-
Accounts under the ExecAnnuity Plus policies. Each Sub-Account invests
exclusively in a corresponding investment portfolio of the Allmerica Investment
Trust (the Trust) managed by Allmerica Investment Management Company, Inc., a
wholly-owned subsidiary of First Allmerica, of the Variable Insurance Products
Fund (VIPF) or the Variable Insurance Products Fund II (VIPF II) managed by
Fidelity Management & Research Company (Fidelity Management), of T. Rowe Price
International Series, Inc. (T. Rowe) managed by Price-Fleming, or of the
Delaware Group Premium Fund, Inc. (DGPF) managed by Delaware International
Advisors, LTD. The Trust, VIPF, VIPFII, T. Rowe, and DGPF (the Funds) are
open-end, diversified series management investment companies registered under
the 1940 Act.
Separate Account VA-K has two types of variable annuity policies, "qualified"
policies and "non-qualified" policies. A qualified policy is one that is
purchased in connection with a retirement plan which meets the requirements of
Section 401, 403, 408, or 457 of the Internal Revenue Code, while a non-
qualified policy is one that is not purchased in connection with one of the
indicated retirement plans. The tax treatment for certain partial redemptions or
surrenders will vary according to whether they are made from a qualified policy
or a non-qualified policy.
NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES
Investments - Security transactions are recorded on the trade date.
Investments held by the Sub-Accounts are stated at the net asset value per share
of the respective investment portfolio of the Trust, VIPF, VIPF II, T. Rowe, or
DGPF. Net realized gains and losses on securities sold are determined on the
average cost method. Dividends and capital gain distributions are recorded on
the ex-dividend date and are reinvested in additional shares of the respective
investment portfolio of the Trust, VIPF, VIPF II, T. Rowe, or DGPF at net
asset value.
FEDERAL INCOME TAXES - The Company is taxed as a "life insurance company"
under Subchapter L of the Internal Revenue Code and files a consolidated federal
income tax return with First Allmerica. The Company anticipates no tax liability
resulting from the operations of VA-K. Therefore, no provision for income taxes
has been charged against VA-K.
97
<PAGE>
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995, CONTINUED
NOTE 3 - INVESTMENTS
The number of shares owned, aggregate cost, and net asset value per share of
each Sub-Account's investment in the Trust, VIPF, VIPF II, T. Rowe, and DGPF
at December 31, 1995 were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO INFORMATION
SUB- INVESTMENT NUMBER OF AGGREGATE NET ASSET
ACCOUNT PORTFOLIO SHARES COST VALUE PER SHARE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Allmerica Investment Trust:
1 Growth. . . . . . . . . . . . . . . . . 85,261,731 $ 170,556,594 $ 2.176
2 Investment Grade Income . . . . . . . . 86,052,139 94,825,304 1.117
3 Money Market. . . . . . . . . . . . . . 79,118,471 79,118,471 1.000
4 Equity Index. . . . . . . . . . . . . . 35,483,177 53,855,973 1.827
5 Government Bond . . . . . . . . . . . . 37,808,467 40,189,247 1.062
6 Select Aggressive Growth. . . . . . . . 64,328,790 91,759,321 1.848
7 Select Growth . . . . . . . . . . . . . 43,286,576 49,089,951 1.369
8 Select Growth and Income. . . . . . . . 69,048,278 74,519,840 1.268
9 Small Cap Value . . . . . . . . . . . . 43,801,490 49,611,334 1.238
11 Select International Equity . . . . . . 37,325,511 38,928,070 1.136
12 Select Capital Appreciation . . . . . . 16,165,958 20,035,745 1.369
Delaware Group Premium Fund:
20 International Equity. . . . . . . . . . 3,396,447 40,039,109 13.110
Fidelity Variable Insurance Products Fund:
102 High Income . . . . . . . . . . . . . . 5,498,475 61,208,355 12.050
103 Equity Income . . . . . . . . . . . . . 14,358,262 219,529,491 19.270
104 Growth. . . . . . . . . . . . . . . . . 7,557,297 166,964,305 29.200
105 Overseas. . . . . . . . . . . . . . . . 5,098,760 77,484,802 17.050
Fidelity Variable Insurance Products Fund II:
106 Asset Manager . . . . . . . . . . . . . 2,387,345 33,735,796 15.790
T. Rowe Price International Series, Inc.:
150 International Stock . . . . . . . . . . 1,022,346 11,111,419 11.260
</TABLE>
NOTE 4 - RELATED PARTY TRANSACTIONS
The Company makes a charge of 1.25% per annum based on the average daily net
assets of each Sub-Account at each valuation date for mortality and expense
risks. The Company also charges each Sub-Account .20% per annum based on the
average daily net assets of each Sub-Account for administrative expenses. These
charges are deducted from the daily value of each Sub-Account but are paid to
the Company on a monthly basis. Net purchase payments represent gross purchase
payments less applicable premium taxes.
A policy fee is currently deducted on the policy anniversary date and upon
full surrender of the policy when the accumulated value is $50,000 or less. The
policy fee is the lesser of $30 or 3% of the Accumulated Value under the Policy
on the policy anniversary or full surrender date. The policy fee is waived for
policies originally issued as part of a 401(k) plan. For the year ended December
31, 1995, policy fees deducted from accumulated value in VA-K amounted to
$755,283.
Allmerica Investments, Inc. (Allmerica Investments), a wholly-owned
subsidiary of First Allmerica, is principal underwriter and general distributor
of VA-K, and does not receive any compensation for sales of the VA-K -
ExecAnnuity Plus policies. Commissions are paid to registered representatives
of Allmerica Investments by the Company. As the current series of policies have
a contingent deferred sales charge, no deduction is made for sales charges at
the time of the sale. For the year ended December 31, 1995, the Company
received $1,224,187 for contingent deferred sales charges applicable to VA-K.
98
<PAGE>
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995, CONTINUED
NOTE 5 - POLICYOWNERS AND SPONSOR TRANSACTIONS
Transactions from policyowners and sponsor were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
1995 1994
---- ----
UNITS AMOUNT UNITS AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sub-Account 1 - Growth
Issuance of units. . . . . . . . . . . 35,304,977 $ 51,743,998 46,063,704 $ 56,411,913
Redemption of units. . . . . . . . . . (21,696,178) (32,152,574) (16,274,755) (19,970,189)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 13,608,799 $ 19,591,424 29,788,949 $ 36,441,724
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 2 - Investment Grade Income
Issuance of units. . . . . . . . . . . 22,251,158 $ 29,805,978 28,436,274 $ 34,607,095
Redemption of units. . . . . . . . . . (10,536,284) (14,399,466) (19,471,269) (23,609,123)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 11,714,874 $ 15,406,512 8,965,005 $ 10,997,972
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 3 - Money Market
Issuance of units . . . . . . . . . . 282,297,450 $ 311,415,988 212,264,596 $ 225,211,406
Redemption of units. . . . . . . . . . (250,653,905) (277,053,089) (205,412,111) (217,944,376)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 31,643,545 $ 34,362,899 6,852,485 $ 7,267,030
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 4 - Equity Index
Issuance of units. . . . . . . . . . . 15,684,631 $ 23,678,043 12,155,970 $ 14,784,662
Redemption of units. . . . . . . . . . (5,326,619) (8,321,417) (5,446,364) (6,595,480)
-------------- -------------- -------------- --------------
Net increase.. . . . . . . . . . . . . 10,358,012 $ 15,356,626 6,709,606 $ 8,189,182
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 5 - Government Bond
Issuance of units . . . . . . . . . . 14,112,537 $ 17,853,327 31,608,706 $ 36,579,014
Redemption of units. . . . . . . . . . (14,921,644) (18,594,813) (59,356,156) (68,739,250)
-------------- -------------- -------------- --------------
Net decrease . . . . . . . . . . . . . (809,107) $ (741,486) (27,747,450) $ (32,160,236)
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 6 - Select Aggressive Growth
Issuance of units . . . . . . . . . . 27,081,256 $ 41,466,865 34,959,973 $ 46,070,940
Redemption of units. . . . . . . . . . (11,020,255) (17,709,995) (6,831,859) (8,909,447)
-------------- -------------- -------------- --------------
Net Increase.. . . . . . . . . . . . . 16,061,001 $ 23,756,870 28,128,114 $ 37,161,493
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 7 - Select Growth
Issuance of units. . . . . . . . . . . 17,304,437 $ 21,604,967 19,383,925 $ 20,134,410
Redemption of units. . . . . . . . . . (8,640,922) (11,269,819) (7,033,935) (7,293,584)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 8,663,515 $ 10,335,148 12,349,990 $ 12,840,826
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 8 - Select Growth and Income
Issuance of units. . . . . . . . . . . 21,862,840 $ 27,624,594 26,341,980 $ 28,018,303
Redemption of units. . . . . . . . . . (9,119,386) (12,228,709) (7,101,289) (7,350,533)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 12,743,454 $ 15,395,885 19,240,691 $ 20,667,770
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 9 - Small Cap Value
Issuance of units. . . . . . . . . . . 17,986,247 $ 23,543,827 26,332,033 $ 29,543,920
Redemption of units. . . . . . . . . . (7,602,047) (11,672,400) (3,186,200) (3,492,370)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 10,384,200 $ 11,871,427 23,145,833 $ 26,051,550
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 11- Select International Equity
Issuance of units. . . . . . . . . . . 29,103,854 $ 31,035,726 12,980,066 $ 12,813,208
Redemption of units. . . . . . . . . . (3,953,031) (4,596,079) (450,647) (443,744)
-------------- -------------- -------------- --------------
Net increase.. . . . . . . . . . . . . 25,150,823 $ 26,439,647 12,529,419 $ 12,369,464
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 12 - Select Capital Appreciation
Issuance of units. . . . . . . . . . . 17,501,060 $ 21,615,995 -- --
Redemption of units. . . . . . . . . . (1,404,636) (1,788,329) -- --
-------------- -------------- -------------- --------------
Net increase.. . . . . . . . . . . . . 16,096,424 $ 19,827,666 -- --
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
99
<PAGE>
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995, CONTINUED
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
1995 1994
---- ----
UNITS AMOUNT UNITS AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sub-Account 20 - DGPF International Equity
Issuance of units. . . . . . . . . . . 14,117,462 $ 18,997,169 21,740,902 $ 25,341,308
Redemption of units. . . . . . . . . . (6,349,120) (9,711,849) (2,498,472) (2,908,404)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 7,768,342 $ 9,285,320 19,242,430 $ 22,432,904
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 102 - VIPFHigh Income
Issuance of units. . . . . . . . . . . 16,043,384 $ 26,770,767 18,018,437 $ 27,053,209
Redemption of units. . . . . . . . . . (5,042,507) (8,569,880) (4,561,134) (6,772,280)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 11,000,877 $ 18,200,887 13,457,303 $ 20,280,929
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 103 - VIPF Equity Income
Issuance of units. . . . . . . . . . . 47,872,325 $ 85,011,509 53,572,519 $ 77,790,347
Redemption of units. . . . . . . . . . (13,083,657) (24,443,848) (10,481,162) (15,178,904)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 34,788,668 $ 60,567,661 43,091,357 $ 62,611,443
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 104 - VIPF Growth
Issuance of units. . . . . . . . . . . 41,188,868 $ 73,809,217 50,517,101 $ 70,547,270
Redemption of units. . . . . . . . . . (15,420,587) (29,027,196) (8,937,909) (12,364,100)
-------------- -------------- -------------- --------------
Net increase. . . . . . . . . . . . . 25,768,281 $ 44,782,021 41,579,192 $ 58,183,170
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 105 - VIPFOverseas
Issuance of units. . . . . . . . . . . 28,543,819 $ 30,215,321 40,661,583 $ 51,583,751
Redemption of units. . . . . . . . . . (23,061,224) (23,527,593) (6,284,286) (7,943,670)
-------------- -------------- -------------- --------------
Net increase.. . . . . . . . . . . . . 5,482,595 $ 6,687,728 34,377,297 $ 43,640,081
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 106 - VIPFII Asset Manager
Issuance of units. . . . . . . . . . . 22,403,083 $ 21,445,027 22,347,557 $ 22,432,857
Redemption of units. . . . . . . . . . (9,679,616) (8,607,199) (1,627,188) (1,601,819)
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 12,723,467 $ 12,837,828 20,720,369 $ 20,831,038
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
Sub-Account 150 - T. Rowe International Stock
Issuance of units. . . . . . . . . . . 12,128,241 $ 12,563,739 -- --
Redemption of units. . . . . . . . . . (1,246,514) (1,334,878) -- --
-------------- -------------- -------------- --------------
Net increase . . . . . . . . . . . . . 10,881,727 $ 11,228,861 -- --
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
NOTE 6 - DIVERSIFICATION REQUIREMENTS
Under the provisions of Section 817(h) of the Internal Revenue Code, a
variable annuity contract, other than a contract issued in connection with
certain types of employee benefit plans, will not be treated as an annuity
contract for federal income tax purposes for any period for which the
investments of the segregated asset account on which the contract is based are
not adequately diversified. The Code provides that the "adequately diversified"
requirement may be met if the underlying investments satisfy either a statutory
safe harbor test or diversification requirements set forth in regulations issued
by the Secretary of Treasury.
The Internal Revenue Service has issued regulations under Section 817(h) of
the Code. The Company believes that VA-K satisfies the current requirements of
the regulations, and it intends that VA-K will continue to meet such
requirements.
100
<PAGE>
SEPARATE ACCOUNT VA-K - EXECANNUITY PLUS
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995, CONTINUED
NOTE 7 - PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of the Trust, VIPF, VIPF II, T.
Rowe, and DGPF shares by VA-K during the year ended December 31, 1995 were as
follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SUB-
ACCOUNT INVESTMENT PORTFOLIO PURCHASES SALES
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Allmerica Investment Trust:
1 Growth . . . . . . . . . . . . . . . . . $ 43,951,425 $ 9,126,107
2 Investment Grade Income. . . . . . . . . 23,186,150 3,443,996
3 Money Market . . . . . . . . . . . . . . 92,621,336 53,873,486
4 Equity Index . . . . . . . . . . . . . . 20,263,802 1,410,507
5 Government Bond. . . . . . . . . . . . . 9,905,747 9,798,315
6 Select Aggressive Growth . . . . . . . . 24,916,807 2,250,996
7 Select Growth. . . . . . . . . . . . . . 12,190,468 2,529,777
8 Select Growth and Income . . . . . . . . 20,392,724 1,494,645
9 Small Cap Value. . . . . . . . . . . . . 16,636,974 3,498,008
11 Select International Equity. . . . . . . 26,840,513 258,426
12 Select Capital Appreciation. . . . . . . 20,053,397 17,627
Delaware Group Premium Fund:
20 International Equity . . . . . . . . . . 11,404,144 1,746,815
Fidelity Variable Insurance Products Fund:
102 High Income. . . . . . . . . . . . . . . 21,792,864 1,486,246
103 Equity Income. . . . . . . . . . . . . . 72,193,198 931,463
104 Growth . . . . . . . . . . . . . . . . . 44,410,759 1,508,735
105 Overseas.. . . . . . . . . . . . . . . . 12,887,085 6,634,337
Fidelity Variable Insurance Products Fund II:
106 Asset Manager. . . . . . . . . . . . . . 15,013,168 2,033,181
T. Rowe Price International Series Inc.:
150 International Stock. . . . . . . . . . . 11,328,381 217,911
-------------- --------------
Totals . . . . . . . . . . . . . . . . . $499,988,942 $102,260,578
-------------- --------------
-------------- --------------
</TABLE>
101
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors of Allmerica Financial Life Insurance
and Annuity Company and Policyowners of Separate Account
VA-K - ExecAnnuity Plus of Allmerica Financial Life Insurance
and Annuity Company
In our opinion, the accompanying statements of assets and liabilities and the
related statements of operations and of changes in net assets present fairly, in
all material respects, the financial position of each of the Sub-Accounts (1, 2,
3, 4, 5, 6, 7, 8, 9, 11, 12, 20, 102, 103, 104, 105, 106 and 150) constituting
the Separate Account VA-K - ExecAnnuity Plus of Allmerica Financial Life
Insurance and Annuity Company at December 31, 1995, the results of each of their
operations and the changes in each of their net assets for the periods
indicated, in conformity with generally accepted accounting principles. These
financial statements are the responsibility of Allmerica Financial Life
Insurance and Annuity Company's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments owned at December 31, 1995 by
correspondence with the Funds, provide a reasonable basis for the opinion
expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
February 16, 1996
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VARIABLE ANNUITY & EXECANNUITY PLUS
Allmerica Financial Life Individual Variable Annuity & ExecAnnuity Plus are
issued by Allmerica Financial Life Insurance and Annuity Company and are
distributed by Allmerica Investments, Inc.
[LOGO]
ALLMERICA
FINANCIAL-Registered Trademark-
First Allmerica Financial Life Insurance Company - Allmerica Financial Life
Insurance and Annuity Company (licensed) in all states except NY & HI)
Allmerica Trust Company, N.A. - Allmerica Investments, Inc.
- - Allmerica Investment Management Company, Inc. Allmerica Asset management, 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
AFSEAANN [LOGO]PRINTED ON RECYCLED PAPER
