<PAGE>
ANNUAL REPORT
----------------------------
DECEMBER 31, 1995
Allmerica Select Life
[ALLMERICA LOGO]
<PAGE>
ALLMERICA SELECT GIVES YOU ACCESS TO SOME OF THE
WORLD'S LEADING MONEY MANAGERS, SELECTED AND MONITORED
BY INDEPENDENT INDUSTRY EXPERTS.
IT OFFERS YOU AN ARRAY OF ADVANTAGES TYPICALLY RESERVED FOR THE
NATION'S LARGEST AND MOST SOPHISTICATED INVESTORS INCLUDING:
ACCESS TO A RANGE OF HIGHLY RESPECTED MONEY MANAGERS.
THE COMPREHENSIVE RESEARCH CAPABILITIES OF A NATIONALLY RECOGNIZED
PENSION CONSULTING FIRM, TO HELP IDENTIFY THE MOST QUALIFIED AND BEST SUITED
MONEY MANAGERS REPRESENTING A RANGE OF INVESTMENT APPROACHES.
THE OPPORTUNITY TO DIVERSIFY ACROSS ASSET CATEGORIES AND INVESTMENT
STYLES - TO BETTER MEET YOUR INVESTMENT NEEDS.
OBJECTIVE MONITORING OF THE MONEY MANAGERS' PERFORMANCE BY
ALLMERICA SELECT'S MANAGER EVALUATION COMMITTEE, MADE UP OF
HIGHLY EXPERIENCED INDUSTRY PROFESSIONALS.
PERSONALIZED PERFORMANCE REPORTS AND TIMELY MARKET UPDATES
TO HELP KEEP YOU ON TARGET.
SIGNIFICANT TAX ADVANTAGES, INCLUDING TAX-DEFERRED GROWTH AND
TAX-FREE TRANSFERS BETWEEN INVESTMENT OPTIONS.
<PAGE>
GENERAL INFORMATION
- ----------------------------------------
OFFICERS OF ALLMERICA FINANCIAL LIFE INSURANCE AND ANNUITY COMPANY
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
MONEY MARKET 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
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
Standish, Ayer & Wood, Inc.
One Financial Center
Boston, MA 02111
SELECT INCOME FUND
INVESTMENT ADVISERS
Fidelity Management & Research Company
82 Devonshire Street
Boston, MA 02108
FIDELITY VIP GROWTH PORTFOLIO
FIDELITY VIP EQUITY-INCOME PORTFOLIO
FIDELITY VIP HIGH INCOME PORTFOLIO
Rowe Price-Fleming International, Inc.
100 E. Pratt Street
Baltimore, MD 21202
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
CONTENTS
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<S> <C>
A LETTER FROM THE CHAIRMAN . . . . . . . . . . . . . . . . . . . . . . . . . . 2
PERFORMANCE SUMMARY. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
DOMESTIC & INTERNATIONAL EQUITY MARKET OVERVIEW. . . . . . . . . . . . . . . . 4
SELECT INTERNATIONAL EQUITY FUND . . . . . . . . . . . . . . . . . . . . . . . 6
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO. . . . . . . . . . . . . . . . . . 7
SELECT AGGRESSIVE GROWTH FUND. . . . . . . . . . . . . . . . . . . . . . . . . 8
SELECT CAPITAL APPRECIATION FUND . . . . . . . . . . . . . . . . . . . . . . . 9
SELECT GROWTH FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10
FIDELITY VIP GROWTH PORTFOLIO. . . . . . . . . . . . . . . . . . . . . . . . .11
SELECT GROWTH AND INCOME FUND. . . . . . . . . . . . . . . . . . . . . . . . .12
FIDELITY VIP EQUITY-INCOME PORTFOLIO . . . . . . . . . . . . . . . . . . . . .13
BOND MARKET OVERVIEW . . . . . . . . . . . . . . . . . . . . . . . . . . . . .14
FIDELITY VIP HIGH INCOME PORTFOLIO . . . . . . . . . . . . . . . . . . . . . .16
SELECT INCOME FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17
MONEY MARKET OVERVIEW. . . . . . . . . . . . . . . . . . . . . . . . . . . . .18
Money Market Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19
FINANCIALS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .20
FOR FURTHER INFORMATION, SEE THE ACCOMPANYING ANNUAL REPORTS.
</TABLE>
1
<PAGE>
A LETTER FROM THE CHAIRMAN
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
Chairman
Allmerica Financial Life Insurance and Annuity Company
________________________________________________________________________________
"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
ALLMERICA SELECT LIFE - AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/95
FOR EASY REFERENCE, THE YEAR-END RETURNS FOR THE ALLMERICA SELECT LIFE
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 6.
<TABLE>
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ONE LIFE OF
SUBACCOUNTS YEAR SUBACCT
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<S> <C> <C>
ALLMERICA INVESTMENT TRUST
Select International Equity Fund(1) N/A 12.46%
Select Aggressive Growth Fund(1) N/A 23.98%
Select Capital Appreciation Fund(1) N/A 38.56%
Select Growth Fund(1) N/A 17.32%
Select Growth & Income Fund(1) N/A 20.07%
Select Income Fund(1) N/A 9.94%
Money Market Fund(1) N/A 3.23%
ROWE PRICE-FLEMING INTERNATIONAL, INC.
T. Rowe Price International
Stock Portfolio(1) N/A 3.40%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIPF AND VIPFII)
Fidelity VIP Growth Portfolio(1) N/A 23.98%
Fidelity VIP Equity-Income Portfolio(1) N/A 19.58%
Fidelity VIP High Income Portfolio(1) N/A 10.06%
</TABLE>
ALLMERICA SELECT LIFE
Upon surrender, a policy issued to a 36 year-old male, non-smoker for
$250,000 with an $3,300 premium would be subject to a contingent deferred
sales charge representing the following percentages of cumulative premiums:
1 YEAR 2 YEARS 3 YEARS 5 YEARS 10 YEARS
- --------------------------------------------------------------------
87.4% 43.7% 25.5% 10.9% 0.0%
For the same policy described above, the cost of insurance, which assures
beneficiaries receive the full benefit payable through the policy,would
represent the following percent-age of cumulative premiums:
1 YEAR 2 YEARS 3 YEARS 5 YEARS 10 YEARS
- --------------------------------------------------------------------
12.6% 6.7% 4.7% 3.2% 2.1%
Performance figures given above are for the subaccounts of Allmerica Select
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.
1. Inception April 28, 1995
The performance figures shown do not reflect cost of insurance because the cost
can vary with an insured's age and health, among other factors. An example
showing the percentage of a premium that cost of insurance can
represent is included next to the performance chart.
All funds are not available in all states.
FOR MORE INFORMATION ABOUT THE PERFORMANCE OF THE UNDERLYING FUNDS, SEE THE
PERFORMANCE REVIEWS BEGINNING ON PAGE 6.
3
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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. While interest rates
fell, 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 tech
rally.
[GRAPHIC]
- --------------------------------------------------------------------------------
1995 JAN 95 FEB 95 MAR 95 APR 95 MAY 95
- --------------------------------------------------------------------------------
Confidence builds that Federal Reserve has succeeded in engineering a "soft
landing".
[GRAPHIC]
Technology stocks soar as demand increases for computer, networking, and
communication capabilities.
4
<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.
[GRAPHIC]
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.
[GRAPHIC]
- --------------------------------------------------------------------------------
JUNE 95 JULY 95 AUG 95 SEPT 95 NOV 95 DEC 95
- --------------------------------------------------------------------------------
[GRAPHIC]
[GRAPHIC]
Dow Jones Industrial Average tops 5000 for the first time in history.
Stock fund assets reach a record $1.24 million, up 43% for the year.
5
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management
Limited
ABOUT THE FUND:
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%
Australia
9.48%
Netherlands [PIE CHART]
10.85%
Singapore
7.76%
Malaysia
4.37%
Cash Equivalents
2.47%
Other
18.16%
THE SELECT INTERNATIONAL EQUITY FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT
TRUST.
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 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.
6
<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.
[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:
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%
[PIE CHART] Far East
11.3%
Latin
America
2.6%
United States
5.1%
Other
2.7%
7
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management
ABOUT THE FUND:
Invests in companies whose potential for rapidly growing earnings is not
fully reflected in their stock prices.
PERFORMANCE:
Net total return for the 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%
[PIE CHART]
Consumer Products
9.59%
Durable Goods
5.87%
Energy
6.86%
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 delivering 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
[CHART]
- --------------------------------------------------------------------------------
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 similar group investments: The Russell 2000 Index and the
Lipper Capital Appreciation Fund Index. Performance benchmarking allows
investor's 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.
8
<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:
The Fund seeks to construct a con-
centrated 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.
9
<PAGE>
SELECT GROWTH FUND
INVESTMENT SUB-ADVISER:
Provident Investment Counsel
ABOUT THE FUND:
Invests in companies believed to have long-term potential for strong earnings
and growth.
PERFORMANCE:
Net total return for the 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.
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.
10
<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
- --------------------------------------------------------------------------------
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:
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%
11
<PAGE>
SELECT GROWTH AND INCOME FUND
INVESTMENT SUB-ADVISER:
John A. Levin & Co., Inc.
ABOUT THE FUND:
A "value" approach to investing in high-quality stocks with a strong potential
for growth and above-average dividend yields.
PERFORMANCE:
Net total return for the 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%
Technology
7.18%
Energy
7.78%
[PIE CHART]
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 AND 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.
12
<PAGE>
FIDELITY VIP EQUITY-INCOME PORTFOLIO
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 1986
[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.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
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%
[PIE CHART]
Utilities
7.45%
Nondurables
9.11%
Finance
19.07%
Other
45.43%
13
<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, investor 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. The 30-year U.S. Treasury bond 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 higher
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 succedeed in engineering a "soft
landing."
[GRAPHIC]
14
<PAGE>
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 im-passe 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.
Federal Reserve lowers federal funds target rate for second time this year to
5.50%.
[GRAPHIC]
- --------------------------------------------------------------------------------
JULY 95 AUG 95 SEPT 95 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.
[GRAPHIC]
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.
15
<PAGE>
FIDELITY VIP HIGH INCOME PORTFOLIO
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
Seeks high income and growth of capital by investing primarily in high-yielding,
lower-rated, fixed-income securities.
PERFORMANCE:
Net total return for the 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%
[PIE CHART]
Insurance
6.7%
Communications
6.1%
Retail
5.4%
Other
50.5%
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.
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 Fidelity VIP High Income Portfolio, since its inceptionon
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.
16
<PAGE>
SELECT INCOME FUND
The Select Income Fund delivered a gain of 16.96% for 1995 - performing
virtually in line with its benchmark index, the Lehman Brothers Aggregate Bond
Index.
In general, Standish, Ayer & Wood seeks to add value through several
strategies. It seeks to: 1) moderate the Fund's sensitivity to interest rates;
2) identify which length maturities offer the best risk/return alternative; and
3) emphasize the most profitable sectors of the market. All of these areas
contributed to the Fund's performance.
As for interest rate sensitivity, the Fund matched the year's major
movements in interest rates. In the area of yield curve positioning, the Fund
was strategically concentrated in the intermediate portion of the curve - with
the majority of its maturities in the three to 12 year range. After a difficult
1994, these intermediates enjoyed a resurgence in 1995. In fact, they provided
the year's best risk/return alternative.
The Fund's sector results were mixed for the year. The real success story
was in corporate bonds. The Fund's management focused holdings in the industrial
and finance category, which fared particularly well in 1995. While the Fund's
management also made investments in the banking area, it has now eliminated the
major banks and moved toward regional issues. Given the industry's propensity
toward consolidation, the Fund's management feels these regional banks promise
the most potential.
The mortgage sector proved more challenging. During a period of declining
interest rates, homeowners often choose to refinance their mortgages, thereby
reducing the attractiveness of mortgage-backed bonds. In anticipation of a rate
stabilization in this sector, the portfolio continues to include a combination
of GNMA, FNMA, and FHLMC issues. None of the more esoteric mortgage derivatives
that have been the subject of recent negative press are represented in the Fund.
While not anticipating that 1996 will match 1995's historically strong
returns, the Fund's management maintains a positive outlook for the bond market.
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 Income Fund, since its inception on August 21,
1992, to a similar group of investments; the Lehman Brothers Aggregate Bond
Index and the Salomon Brothers Broad Market (BIG) 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. SALOMON BROTHERS BROAD MARKET (BIG) TRACKS THE
PERFORMANCE OF INVESTMENT GRADE SECURITIES TRADED 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.
INVESTMENT SUB-ADVISER:
Standish, Ayer & Wood
ABOUT THE FUND:
The Fund seeks above average income from corporate bonds, mortgages and bonds
issued by the U.S. government.
PERFORMANCE:
Net total return for the one year period ending December 31, 1995:
Select Income Fund 16.96%
Lehman Brothers
Aggregate Bond Index 18.47%
Salomon Brothers Broad
Market Index 18.55%
PORTFOLIO COMPOSITION:
As of December 31, 1995, the sector allocation of net assets was:
U.S. Government
and Agency
Obligations
57.57%
[PIE CHART]
Corporate Notes
& Bonds
36.54%
Cash Equivalents
and Other
5.89%
THE SELECT INCOME FUND IS A PORTFOLIO OF THE ALLMERICA INVESTMENT TRUST.
17
<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 stabilzed 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.
18
<PAGE>
MONEY MARKET FUND
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.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Strives to maximize current income for investors with preservation of capital
and liquidity.
PERFORMANCE:
Net total return for the 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
Bonds
44.03%
[PIE CHART]
Cash
Equivalents
2.37%
Other
12.11%
THE MONEY MARKET FUND IS A PORTFOLIO OF THE ALLMERICA 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.
19
<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.
- ------------------------------------------------------------ 20
<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.
21 -----------------------------------------------------
<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.
- ----------------------------------------------------------- 22
<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) -------------
PAR VALUE
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) -------------
SHARES
------
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.
23 -----------------------------------------------------
<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.
- ------------------------------------------------------------ 24
<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.
25 ------------------------------------------------------
<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.
- ------------------------------------------------------------ 26
<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) -------------
PAR VALUE
----------
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.
27 ------------------------------------------------------
<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.
- ------------------------------------------------------------ 28
<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) -------------
PAR VALUE
---------
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.
29 ------------------------------------------------------
<PAGE>
SELECT INCOME FUND
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 57.57%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (D) - 19.08%
$ 287,262 7.00%, 07/01/23 $ 290,140
471,101 7.50%, 07/01/23 482,728
152,024 7.50%, 07/01/23 155,776
376,595 7.50%, 09/01/23 385,890
320,174 7.00%, 12/01/23 322,774
295,500 7.00%, 01/01/24 297,900
112,749 8.50%, 02/25/24, REMIC, PIK 111,960
124,715 7.50%, 04/01/24 127,793
47,811 7.00%, 05/01/24 48,200
433,193 7.00%, 06/01/24 436,710
902,513 7.00%, 06/01/24 909,842
769,340 7.50%, 07/01/24 788,327
409,245 7.50%, 08/01/24 419,345
373,041 7.00%, 07/01/25 376,070
400,385 7.00%, 07/01/25 403,636
197,256 7.00%, 07/01/25 198,857
590,403 7.50%, 08/01/25 604,974
952,994 7.00%, 08/01/25 960,733
225,115 7.00%, 08/01/25 226,943
161,739 7.00%, 08/01/25 163,053
823,074 7.00%, 08/01/25 829,757
452,515 7.00%, 08/01/25 456,189
476,806 7.00%, 08/01/25 480,678
395,027 7.00%, 09/01/25 398,234
1,631,829 7.00%, 10/01/25 1,645,079
-------------
11,521,588
-------------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION (D) - 15.70%
58,337 9.00%, 07/15/18 62,238
17,532 9.00%, 11/15/19 18,678
63,952 7.50%, 03/15/23 65,791
317,015 7.50%, 03/15/23 326,570
246,904 7.50%, 06/15/23 254,003
174,366 7.50%, 07/15/23 179,379
919,206 7.00%, 07/15/23 931,671
702,055 7.50%, 09/15/23 722,239
385,623 7.00%, 11/15/23 390,200
185,409 7.50%, 11/15/23 190,739
221,804 7.50%, 11/15/23 228,181
206,330 7.50%, 01/15/24 212,262
435,351 7.00%, 02/15/24 440,519
392,984 7.00%, 07/15/24 397,649
1,162,810 9.00%, 08/15/24 1,231,846
198,001 9.00%, 08/15/24 209,756
293,859 9.00%, 11/15/24 314,521
326,414 9.00%, 01/15/25 345,794
431,193 9.00%, 01/15/25 456,792
141,108 9.00%, 02/15/25 149,485
247,500 7.00%, 08/15/25 250,438
2,075,000 7.00%, 01/15/26 (A) 2,098,987
-------------
9,477,738
-------------
U.S. TREASURY NOTES - 15.20%
1,000,000 6.75%, 05/31/97 (B) 1,020,620
700,000 5.63%, 01/31/98 705,796
380,000 5.13%, 04/30/98 379,229
600,000 5.38%, 05/31/98 601,968
2,050,000 5.13%, 11/30/98 2,043,276
575,000 6.75%, 06/30/99 601,232
275,000 6.88%, 07/31/99 288,750
1,250,000 6.88%, 08/31/99 1,313,675
1,225,000 7.13%, 02/29/00 1,304,049
200,000 6.38%, 08/15/02 209,718
700,000 5.75%, 08/15/03 708,421
-------------
9,176,734
-------------
FEDERAL HOME LOAN MORTGAGES - 3.43%
2,075,000 4.22%, 01/16/96 (F) 2,070,764
-------------
U.S. TREASURY BONDS - 2.64%
790,000 7.25%, 05/15/16 (B) 902,077
500,000 8.13%, 08/15/19 (B) 628,660
50,000 7.88%, 02/15/21 61,571
-------------
1,592,308
-------------
U.S. TREASURY BOND, PRINCIPAL STRIP - 0.92%
2,725,000 6.83%, 11/15/21** 555,273
-------------
U.S. AGENCY BOND - 0.60%
350,000 Federal Deposit Insurance Corp.,
Series 1994-C1, REMIC
7.85%, 09/25/25 360,661
-------------
TOTAL U.S. GOVERNMENT
AND AGENCY OBLIGATIONS 34,755,066
(Cost $33,705,980) -------------
CORPORATE NOTES AND BONDS - 36.54%
FINANCIAL - 7.34%
550,000 Banponce Corp.
6.75%, 12/15/05 556,930
500,000 Duke Realty, Ltd
7.25%, 09/22/02 516,520
400,000 ERP Operating, Ltd
Senior Note
8.50%, 05/15/99 (C) 423,972
</TABLE>
See Notes to Financial Statements.
- ------------------------------------------------------------ 30
<PAGE>
SELECT INCOME FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL (CONTINUED)
$ 200,000 Fairfax Financial Holdings, Ltd
7.75%, 12/15/03 $ 210,200
325,000 Fairfax Financial Holdings, Ltd
8.25%, 10/01/15 348,182
450,000 Finova Capital Corp.
6.45%, 06/01/00 456,278
150,000 Ford Motor Credit, MTN
4.75%, 07/12/96* 149,177
450,000 Hanson America, Inc.
2.39%, 03/01/01 (C) 374,625
500,000 Integra Financial Corp.
Subordinated Note
6.50%, 04/15/00 509,870
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 493,245
375,000 Taubman Realty Group, Ltd
8.00%, 06/15/99 392,959
-------------
4,431,958
-------------
INSURANCE - 7.20%
575,000 Equitable Life Assurance Society
Surplus Note
7.70% 12/01/15 (C) 583,746
550,000 ITT Corp.
6.75%, 11/15/05 562,715
425,000 Liberty Mutual Insurance Co.
8.20%, 05/04/07 (C) 472,137
500,000 London Insurance Group, Inc.
6.88%, 09/15/05 516,750
800,000 Markel Corp.
7.25%, 11/01/03 817,064
500,000 Minnesota Mutual Life Insurance Co.
Surplus Notes
8.25%, 09/15/25 (C) 544,925
400,000 New England Mutual Life Insurance Co.
Surplus Notes
7.88%, 02/15/24 415,020
400,000 USF & G Corp.
Senior Note
8.38%, 06/15/01 439,256
-------------
4,351,613
-------------
SECURITY BROKERS AND DEALERS - 5.16%
475,000 Bear Stearns & Cos., Inc.
Senior Note
6.75%, 08/15/00 488,485
150,000 Goldman Sachs Group, LP
6.88%, 09/15/99 (C) 154,427
575,000 Goldman Sachs Group, LP
6.38%, 06/15/00 (C) 581,779
400,000 Goldman Sachs Group, LP
6.20%, 12/15/00 402,344
400,000 Morgan Stanley Group, Inc.
8.10%, 06/24/02 440,104
75,000 Salomon, Inc., MTN
6.36%, 04/01/98 75,147
150,000 Salomon, Inc., MTN
6.13%, 05/15/98 149,550
125,000 Salomon, Inc., MTN
6.04%, 07/09/98 124,356
50,000 Salomon, Inc., MTN
5.96%, 04/05/99 47,188
175,000 Salomon, Inc., MTN
6.82%, 07/26/99 177,650
100,000 Salomon, Inc.
7.13%, 08/01/99 100,911
350,000 Smith Barney Holdings, Inc.
7.88%, 10/01/99 372,792
-------------
3,114,733
-------------
REAL ESTATE - 4.73%
500,000 Avalon Properties, Inc.
Senior Note, REIT
7.38%, 09/15/02 515,740
400,000 Franchise Finance Corp. of America
7.00%, 11/30/00 401,748
475,000 Merry Land and Investment, Inc.
7.25%, 06/15/05 491,217
500,000 Shopping Center Associates
6.75%, 01/15/04 (C) 498,760
500,000 SKW Real Estate, Ltd
7.45%, 04/15/03 (C) 501,715
450,000 Spieker Properties, LP
6.65%, 12/15/00 449,586
-------------
2,858,766
-------------
BANKS - 4.64%
275,000 Capital One Bank, MTN
8.63%, 01/15/97 282,673
1,050,000 First Union Corp.
Subordinated Notes
6.55%, 10/15/35 1,105,535
450,000 First USA Bank
5.75%, 01/15/99 448,682
400,000 St. George Bank, Ltd
6.88%, 04/01/99 (C) 408,456
425,000 St. George Bank, Ltd
Subordinated Note
7.15%, 10/15/05 (C) 439,901
100,000 United Jersey Bank Financial Corp.
Subordinated Note
8.63%, 12/10/02 113,030
-------------
2,798,277
-------------
</TABLE>
See Notes to Financial Statements.
31 ------------------------------------------------------
<PAGE>
SELECT INCOME FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
MANUFACTURING - 3.21%
$ 900,000 Georgia-Pacific Corp.
10.10%, 06/15/02 $ 1,072,044
425,000 Noranda Forest, Inc., Debenture
8.88%, 10/15/99 463,552
400,000 Scherer (R P) Corp.
Senior Note
6.75%, 02/01/04 400,600
-------------
1,936,196
-------------
PRINTING AND PUBLISHING - 2.94%
200,000 News America Holdings, Inc.
7.75%, 01/20/24 205,860
275,000 News America Holdings, Inc.
9.50%, 07/15/24 337,521
575,000 Time Warner, Inc.
9.13%, 01/15/13 647,996
515,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 584,031
-------------
1,775,408
-------------
OIL, GAS AND PETROLEUM - 0.67%
300,000 Systems Energy Resources, Inc.
6.00%, 04/01/98 300,258
100,000 Systems Energy Resources, Inc.
7.63%, 04/01/99 103,716
-------------
403,974
-------------
PROCESSED FOODS - 0.65%
350,000 Ralcorp Holdings, Inc.
8.75%, 09/15/04 392,382
-------------
TOTAL CORPORATE NOTES AND BONDS 22,063,307
(Cost $21,019,859) -------------
BRADY BONDS (E) - 2.09%
1,050,000 Province of Quebec, CDA
7.50%, 07/15/23 1,100,736
165,000 Republic of Colombia
7.25%, 02/23/04 158,275
-------------
TOTAL BRADY BONDS 1,259,011
(Cost $1,211,760) -------------
ASSET-BACKED SECURITIES - 5.14%
608,580 Advanta Mortgage Loan Trust, Series 93-4
5.50%, 02/25/09 581,194
994,314 Dr Structured Finance, Series 1994k-1
7.60%, 08/15/07 626,418
231,422 Fund America Investors Corp II, Series 1993-F
5.40%, 09/25/09 224,586
368,489 Greentree Securitized Trust Corp., Series 1994-A A
6.90%, 02/15/04 368,143
71,801 Resolution Trust Corp.
7.50%, 08/25/23 (D) 72,451
205,443 Resolution Trust Corp.
8.00%, 06/25/26 (D) 209,615
122,201 Resolution Trust Corp.
8.00%, 04/25/25 (D) 124,759
275,000 Resolution Trust Corp.
6.90%, 02/25/27 (D) 274,398
342,942 Resolution Trust Corp.
7.45%, 05/25/29 (D) 340,689
277,640 UCFC Loan Trust, Series 1994-B2
7.10%, 06/10/23 282,152
-------------
TOTAL ASSET-BACKED SECURITIES 3,104,405
(Cost $3,351,957) -------------
SHARES
------
INVESTMENT COMPANY - 0.98%
589,554 ILA Prime Obligation Portfolio Fund 589,554
-------------
TOTAL INVESTMENT COMPANY 589,554
(Cost $589,554) -------------
TOTAL INVESTMENTS - 102.32% 61,771,343
(Cost $59,879,110) -------------
NET OTHER ASSETS AND LIABILITIES - (2.32)% (1,403,249)
-------------
NET ASSETS - 100.00% $ 60,368,094
-------------
-------------
</TABLE>
- ----------------------------------------
* Interest is reset at various time intervals. The rate shown is that in
effect at December 31, 1995.
** Stripped securities represent the splitting of cash flows into
interest and principal. Holders, as indicated, are entitled to that
portion of payment representing interest only or principal only.
(A) Forward Commitments
(B) Collateral for Forward Commitments
(C) Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold, in transactions exempt
from registration, to qualified institutional buyers. At December 31,
1995, these securities amounted to $4,984,443 or 8.26% of net assets.
(D) Pass Through Certificates
(E) U.S.Currency Denominated.
(F) Effective Yield
MTN Medium Term Notes
PIK Payment-In-Kind Security
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
- ------------------------------------------------------------ 32
<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.
33 ------------------------------------------------------
<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 (E I) 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
</TABLE>
See Notes to Financial Statements.
- ------------------------------------------------------------ 34
<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 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
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
-------------
</TABLE>
See Notes to Financial Statements.
35 ------------------------------------------------------
<PAGE>
MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS, CONTINUED - DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
PAR VALUE (NOTE 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
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) -------------
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) -------------
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.
- ------------------------------------------------------------ 36
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SELECT SELECT SELECT
INTERNATIONAL AGGRESSIVE CAPITAL
EQUITY FUND GROWTH FUND APPRECIATION FUND
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost. . . . . . . . . . . . . . . $ 94,711,540 $ 201,900,142 $ 36,519,336
Net unrealized appreciation (depreciation) . . . 9,178,772 53,548,885 4,663,666
--------------- --------------- ---------------
Total investments at value . . . . . . . . . 103,890,312 255,449,027 41,183,002
Cash. . . . . . . . . . . . . . . . . . . . . . . . -- 1,917,605 81,167
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
Receivable from investment adviser (Note 4) . . . . -- -- 3,346
Interest and dividend receivables . . . . . . . . . 446,733 118,447 3,729
Deferred organizational expense (Note 2). . . . . . -- -- 5,540
Dividend reclaim receivables. . . . . . . . . . . . 57,750 -- 924
--------------- --------------- ---------------
Total Assets . . . . . . . . . . . . . . . . 105,021,752 258,212,324 41,677,161
--------------- --------------- ---------------
LIABILITIES:
Payable for investments purchased . . . . . . . . . 500,100 2,750,306 232,443
Payable for shares purchased. . . . . . . . . . . . 2,362 308,440 73
Payable to custodian. . . . . . . . . . . . . . . . 52,793 -- --
Advisory fee payable (Note 3) . . . . . . . . . . . 84,366 211,877 31,317
Accrued expenses and other payables . . . . . . . . 69,997 69,978 37,293
--------------- --------------- ---------------
Total Liabilities. . . . . . . . . . . . . . 709,618 3,340,601 301,126
--------------- --------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . $ 104,312,134 $ 254,871,723 $ 41,376,035
--------------- --------------- ---------------
--------------- --------------- ---------------
NET ASSETS CONSIST OF
Paid-in capital (Note 6). . . . . . . . . . . . . . $ 95,044,431 $ 196,589,468 $ 36,478,701
Undistributed (distribution in excess of)
net investment income. . . . . . . . . . . . . . 140,980 -- (3,304)
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold and
foreign currency transactions. . . . . . . . . . (197,338) 4,733,370 253,736
Net unrealized appreciation (depreciation) of
investments, and assets and liabilities in
foreign currency . . . . . . . . . . . . . . . . 9,324,061 53,548,885 4,646,902
--------------- --------------- ---------------
TOTAL NET ASSETS . . . . . . . . . . . . . . . . . . . $ 104,312,134 $ 254,871,723 $ 41,376,035
--------------- --------------- ---------------
--------------- --------------- ---------------
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(UNLIMITED AUTHORIZATION, NO PAR VALUE) . . . . . . 91,803,489 137,942,393 30,220,462
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) . . . . . . . . . . $ 1.136 $ 1.848 $ 1.369
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
37 -------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SELECT SELECT GROW SELECT MONEY
GROWTH AND INCOME INCOME MARKET
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost. . . . . . . . . . . . . . . $ 113,944,210 $ 168,767,406 $ 59,879,110 $ 155,156,216
Net unrealized appreciation (depreciation) . . . 29,224,942 24,102,246 1,892,233 --
--------------- --------------- --------------- ---------------
Total investments at value . . . . . . . . . 143,169,152 192,869,652 61,771,343 155,156,216
Cash. . . . . . . . . . . . . . . . . . . . . . . . -- 3,609,622 -- 34,520
Foreign currency (cost $287,912). . . . . . . . . . -- -- -- --
Net unrealized gain (loss) on forward
foreign currency contracts (Notes 2 & 11). . . . -- -- -- --
Receivable for investments sold . . . . . . . . . . 520,873 3,028,357 -- --
Receivable for shares sold. . . . . . . . . . . . . 55,031 7,159 64,024 287,045
Receivable from investment adviser (Note 4) . . . . -- -- 2,547 --
Interest and dividend receivables . . . . . . . . . 115,140 369,496 681,416 1,158,888
Deferred organizational expense (Note 2). . . . . . -- -- -- --
Dividend reclaim receivables. . . . . . . . . . . . -- -- -- --
--------------- --------------- --------------- ---------------
Total Assets . . . . . . . . . . . . . . . . 143,860,196 199,884,286 62,519,330 156,636,669
--------------- --------------- --------------- ---------------
LIABILITIES:
Payable for investments purchased . . . . . . . . . -- 8,043,243 2,066,895 --
Payable for shares purchased. . . . . . . . . . . . 21,045 36,818 54 1,335,374
Payable to custodian. . . . . . . . . . . . . . . . 526,763 -- 9,450 --
Advisory fee payable (Note 3) . . . . . . . . . . . 102,466 119,571 30,051 37,642
Accrued expenses and other payables . . . . . . . . 85,236 74,654 44,786 52,479
--------------- --------------- --------------- ---------------
Total Liabilities. . . . . . . . . . . . . . 735,510 8,274,286 2,151,236 1,425,495
--------------- --------------- --------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . $ 143,124,686 $ 191,610,000 $ 60,368,094 $ 155,211,174
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
NET ASSETS CONSIST OF
Paid-in capital (Note 6). . . . . . . . . . . . . . $ 117,839,442 $ 163,988,543 $ 59,453,594 $ 155,211,911
Undistributed (distribution in excess of)
net investment income. . . . . . . . . . . . . . 3,143 15,372 -- --
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold and
foreign currency transactions. . . . . . . . . . (3,942,841) 3,503,839 (977,733) (737)
Net unrealized appreciation (depreciation) of
investments, and assets and liabilities in
foreign currency . . . . . . . . . . . . . . . . 29,224,942 24,102,246 1,892,233 --
--------------- --------------- --------------- ---------------
TOTAL NET ASSETS . . . . . . . . . . . . . . . . . . . $ 143,124,686 $ 191,610,000 $ 60,368,094 $ 155,211,174
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
SHARES OF BENEFICIAL INTEREST OUTSTANDING
(UNLIMITED AUTHORIZATION, NO PAR VALUE) . . . . . . 104,517,970 151,079,967 58,961,060 155,211,911
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) . . . . . . . . . . $ 1.369 $ 1.268 $ 1.024 $ 1.000
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 38
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
SELECT SELECT SELECT
INTERNATIONAL AGGRESSIVE CAPITAL
EQUITY FUND GROWTH FUND APPRECIATION FUND*
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2) . . . . . . . . . . . . . . . . . $ 12,218 $ 294,930 $ 86,963
Dividends (Note 2). . . . . . . . . . . . . . . . . 2,254,342 1,678,137 61,054
Other income (Note 5) . . . . . . . . . . . . . . . 11,687 2,753 --
Less net foreign taxes withheld . . . . . . . . . . (316,808) -- (1,443)
--------------- --------------- ---------------
Total investment income. . . . . . . . . . . . . 1,961,439 1,975,820 146,574
--------------- --------------- ---------------
EXPENSES
Investment advisory fees (Notes 3 & 4). . . . . . . 672,770 1,943,953 133,723
Custodian fees. . . . . . . . . . . . . . . . . . . 110,230 7,723 8,494
Fund accounting fees (Note 3) . . . . . . . . . . . 34,297 42,326 16,986
Legal fees. . . . . . . . . . . . . . . . . . . . . 4,156 5,497 3,737
Audit fees. . . . . . . . . . . . . . . . . . . . . 2,373 7,227 4,910
Trustees' fees and expenses (Note 3). . . . . . . . 1,972 5,886 467
Reports to Shareholders . . . . . . . . . . . . . . 1,719 65,169 14,632
Registration fees . . . . . . . . . . . . . . . . . 3,331 30,923 1,171
Amortization of organization costs (Note 2) . . . . -- -- 867
Insurance . . . . . . . . . . . . . . . . . . . . . 548 1,570 1,066
Miscellaneous . . . . . . . . . . . . . . . . . . . 110 8,412 3,196
--------------- --------------- ---------------
Total expenses before reimbursement. . . . . . . 831,506 2,118,686 189,249
Less: Reimbursement (Note 4) . . . . . . . . . . -- -- (8,720)
--------------- --------------- ---------------
Total expenses net of reimbursement. . . . . . . 831,506 2,118,686 180,529
--------------- --------------- ---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . 1,129,933 (142,866) (33,955)
--------------- --------------- ---------------
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
Net realized gain (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
--------------- --------------- ---------------
NET GAIN (LOSS)ON INVESTMENTS. . . . . . . . . . . . . 10,827,848 53,495,848 5,715,139
--------------- --------------- ---------------
NET INCREASE (DECREASE)IN NET
ASSETS RESULTING FROM OPERATIONS. . . . . . . . . . $ 11,957,781 $ 53,352,982 $ 5,681,184
--------------- --------------- ---------------
--------------- --------------- ---------------
</TABLE>
__________________________________________________________________________
* The Fund commenced operations on April 28, 1995.
See Notes to Financial Statements.
39 ---------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SELECT SELECT GROW SELECT MONEY
GROWTH AND INCOME INCOME MARKET
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2) . . . . . . . . . . . . . . . . . $ 321,681 $ 614,995 $ 3,335,513 $ 7,964,553
Dividends (Note 2). . . . . . . . . . . . . . . . . 852,325 3,168,788 148,258 242,614
Other income (Note 5) . . . . . . . . . . . . . . . 11,423 24,078 2,060 --
Less net foreign taxes withheld . . . . . . . . . . -- -- -- --
--------------- --------------- --------------- ---------------
Total investment income. . . . . . . . . . . . . 1,185,429 3,807,861 3,485,831 8,207,167
--------------- --------------- --------------- ---------------
EXPENSES
Investment advisory fees (Notes 3 & 4). . . . . . . 1,017,303 1,124,323 297,434 389,542
Custodian fees. . . . . . . . . . . . . . . . . . . 9,859 12,813 14,753 10,883
Fund accounting fees (Note 3) . . . . . . . . . . . 41,841 39,384 42,677 36,500
Legal fees. . . . . . . . . . . . . . . . . . . . . 5,497 5,497 5,497 5,497
Audit fees. . . . . . . . . . . . . . . . . . . . . 7,227 7,227 10,827 9,600
Trustees' fees and expenses (Note 3). . . . . . . . 3,668 4,584 1,538 4,217
Reports to Shareholders . . . . . . . . . . . . . . 43,209 53,284 12,530 24,342
Registration fees . . . . . . . . . . . . . . . . . 13,067 19,163 7,227 1,794
Amortization of organization costs (Note 2) . . . . -- -- -- --
Insurance . . . . . . . . . . . . . . . . . . . . . 1,533 1,533 602 2,555
Miscellaneous . . . . . . . . . . . . . . . . . . . 18,186 7,859 3,385 6,837
--------------- --------------- --------------- ---------------
Total expenses before reimbursement. . . . . . . 1,161,390 1,275,667 396,470 491,767
Less: Reimbursement (Note 4) . . . . . . . . . . -- -- (2,547) --
--------------- --------------- --------------- ---------------
Total expenses net of reimbursement. . . . . . . 1,161,390 1,275,667 393,923 491,767
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . 24,039 2,532,194 3,091,908 7,715,400
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Net realized gain (loss) on investments sold. . . . (240,313) 11,310,318 296,997 (390)
Net realized gain (loss) on foreign currency transactions 20,963 -- 2,497
Net change in unrealized appreciation (depreciation)
of assets and liabilities in foreign currency. . -- -- -- --
Net change in unrealized appreciation (depreciation)
of investments . . . . . . . . . . . . . . . . . 24,384,776 25,861,731 4,278,014 --
--------------- --------------- --------------- ---------------
NET GAIN (LOSS)ON INVESTMENTS. . . . . . . . . . . . . 24,144,463 37,172,049 4,575,011 (390)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)IN NET
ASSETS RESULTING FROM OPERATIONS. . . . . . . . . . $ 24,168,502 $ 39,704,243 $ 7,666,919 $ 7,715,010
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 40
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SELECT
INTERNATIONAL SELECT AGGRESSIVE
EQUITY FUND GROWTH FUND
- ----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED PERIOD ENDED YEAR 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
realized 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.
41 ---------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
SELECT SELECT GROWTH
CAPITAL SELECT AND INCOME
APPRECIATION FUND GROWTH FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
DECEMBER 31, 1995 1994 1995 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . $ -- $ 88,263,274 $ 53,853,524 $ 110,212,501 $ 60,518,037
--------------- --------------- --------------- --------------- ---------------
INCREASE (DECREASE ) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss) . . . . (33,955) 24,039 266,298 2,532,194 2,199,418
Net realized gain (loss) on
investments sold and foreign
currency transactions. . . . . . 1,068,237 (240,313) (3,381,025) 11,310,318 2,043,101
Net change in unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign
currency . . . . . . . . . . . . 4,646,902 24,384,776 2,059,489 25,861,731 (3,847,540)
--------------- --------------- --------------- --------------- ---------------
Net increase (decrease) in net assets
resulting from operations. . . . 5,681,184 24,168,502 (1,055,238) 39,704,243 394,979
--------------- --------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income. . . . . . . . -- (20,896) (265,912) (2,516,822) (2,199,265)
Net realized gain on investments . . (783,850) -- -- (7,157,977) (1,837,958)
Distribution in excess of net
realized capital gains . . . . . -- -- -- -- (683,154)
--------------- --------------- --------------- --------------- ---------------
Total Distributions. . . . . . . (783,850) (20,896) (265,912) (9,674,799) (4,720,377)
--------------- --------------- --------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares. . 36,016,174 36,197,767 39,359,834 48,458,874 51,551,924
Issued to shareholders in
reinvestment of dividends. . . . 783,850 20,896 265,912 9,674,799 4,720,377
Cost of shares repurchased . . . . . (321,323) (5,504,857) (3,894,846) (6,765,618) (2,252,439)
--------------- --------------- --------------- --------------- ---------------
Net increase (decrease) from
capital share transactions . . . 36,478,701 30,713,806 35,730,900 51,368,055 54,019,862
--------------- --------------- --------------- --------------- ---------------
Total increase (decrease) in
net assets . . . . . . . . . . . 41,376,035 54,861,412 34,409,750 81,397,499 49,694,464
--------------- --------------- --------------- --------------- ---------------
NET ASSETS AT END OF YEAR
(INCLUDING LINE A) . . . . . . . . . $ 41,376,035 $ 143,124,686 $ 88,263,274 $ 191,610,000 $ 110,212,501
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
(A) Undistributed (distribution in
excess of) net investment income . . $ (3,304) $ 3,143 $ 386 $ 15,372 $ 308
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold . . . . . . . . . . . . . . . . 29,899,903 28,453,081 35,429,310 41,704,782 48,256,893
Issued to shareholders in
reinvestment of dividends . . . 572,571 15,263 241,958 7,745,463 4,559,518
Repurchased. . . . . . . . . . . . . (252,012) (4,239,678) (3,516,928) (5,657,491) (2,119,523)
--------------- --------------- --------------- --------------- ---------------
Net increase (decrease) in
shares outstanding . . . . . . . 30,220,462 24,228,666 32,154,340 43,792,754 50,696,888
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------- 42
<PAGE>
ALLMERICA INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SELECT INCOME MONEY MARKET
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF YEAR. . . . . . . $ 40,784,092 $ 25,302,221 $ 95,991,332 $ 71,051,834
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income . . . . . . . . . . 3,091,908 2,038,969 7,715,400 3,195,275
Net realized gain (loss) on investments
sold . . . . . . . . . . . . . . . . . 296,997 (1,207,015) (390) (347)
Net change in unrealized appreciation
(depreciation) on investments. . . . . 4,278,014 (2,340,442) -- --
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets
resulting from operations. . . . . . . 7,666,919 (1,508,488) 7,715,010 3,194,928
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income . . . . . . . . . . (3,091,908) (2,038,969) (7,715,400) (3,195,275)
Distribution in excess of net
investment income. . . . . . . . . . . (34,237) (7,554) -- --
--------------- --------------- --------------- ---------------
Total Distributions. . . . . . . . . . (3,126,145) (2,046,523) (7,715,400) (3,195,275)
--------------- --------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares . . . . 19,199,494 19,443,913 178,261,897 135,502,179
Issued to shareholders in reinvestment
of dividends . . . . . . . . . . . . . 3,126,145 2,046,523 7,715,400 3,195,275
Cost of shares repurchased . . . . . . . (7,282,411) (2,453,554) (126,757,065) (113,757,609)
--------------- --------------- --------------- ---------------
Net increase (decrease) from capital
share transactions . . . . . . . . . 15,043,228 19,036,882 59,220,232 24,939,845
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets 19,584,002 15,481,871 59,219,842 24,939,498
--------------- --------------- --------------- ---------------
NET ASSETS AT END OF YEAR (INCLUDING
LINE A) . . . . . . . . . . . . . . . . . $ 60,368,094 $ 40,784,092 $ 155,211,174 $ 95,991,332
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
(A) Undistributed (distribution in excess of)
net investment income . . . . . . . . $ -- $ -- $ -- $ --
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold. . . . . . . . . . . . . . . . . . . 19,366,727 19,802,226 178,261,897 135,502,179
Issued to shareholders in reinvestment
of dividends . . . . . . . . . . . . . 3,138,951 2,156,709 7,715,400 3,195,275
Repurchased . . . . . . . . . . . . . . . (7,409,278) (2,543,789) (126,757,065) (113,757,609)
--------------- --------------- --------------- ---------------
Net increase (decrease) in shares
outstanding. . . . . . . . . . . . . . 15,096,400 19,415,146 59,220,232 24,939,845
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
</TABLE>
See Notes to Financial Statements.
43 ---------------------------------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
--------------------------------------------------- ---------------------------------------------------------
NET REALIZED
NET AND DISTRIBUTIONS
ASSET UNREALIZED DIVIDENDS FROM NET
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET REALIZED DISTRIBUTIONS
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL IN TOTAL
DECEMBER 31, OF YEAR INCOME(2) INVESTMENTS OPERATIONS INCOME GAINS EXCESS 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)
1995 1.000 (0.001) 0.397 0.396 -- (0.027) -- (0.027)
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)
<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)
1995 0.369 1.369 39.56%** 41,376 (0.25)%* 1.35%* 1.00%* 0.93%*
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
<CAPTION>
OPERATING
EXPENSES
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)
1995 95% 1.42%*
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:
Select International Select Aggressive Select Capital Select Growth
Equity Fund Growth Fund Appreciation Fund Fund
-------------------- ----------------- ----------------- --------------
May 2, 1994 August 21, 1992 April 28, 1995 August 21, 1992
(2) 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
Select Growth Fund (1) N/A N/A 0.001 0.000
</TABLE>
44
See Notes to Financial Statements.
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
INCOME FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
--------------------------------------------------- ---------------------------------------------------------
NET REALIZED
NET AND DISTRIBUTIONS
ASSET UNREALIZED DIVIDENDS FROM NET
VALUE NET GAIN (LOSS) TOTAL FROM FROM NET REALIZED DISTRIBUTIONS
YEAR ENDED BEGINNING INVESTMENT ON INVESTMENT INVESTMENT CAPITAL IN TOTAL
DECEMBER 31, OF YEAR INCOME(2) INVESTMENTS OPERATIONS INCOME GAINS EXCESS DISTRIBUTIONS
------------ --------- ---------- ------------ ---------- ---------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SELECT GROWTH AND
INCOME FUND(1)
1995 $ 1.027 $ 0.019 $ 0.290 $ 0.309 $ (0.019) $ (0.049) $ -- $ (0.068)
1994 1.069 0.025 (0.018) 0.007 (0.025) (0.017) (0.007)(2) (0.049)
1993 0.990 0.023 0.079 0.102 (0.023) -- -- (0.023)
1992 1.000 0.008 (0.009) (0.001) (0.008) (0.001) -- (0.009)
SELECT
INCOME FUND(1)
1995 0.930 0.060 0.095 0.155 (0.060) -- (0.001)(3) (0.061)
1994 1.035 0.055 (0.105) (0.050) (0.055) -- -- (0.055)
1993 0.988 0.052 0.055 0.107 (0.052) (0.008) -- (0.060)
1992 1.000 0.018 (0.012) 0.006 (0.018) -- -- (0.018)
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
(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 GROWTH AND
INCOME FUND(1)
1995 $ 0.241 $ 1.268 30.32% $191,610 1.69% 0.85% 0.75% 0.75%
1994 (0.042) 1.027 0.73% 110,213 2.51% 0.91% 0.75% 0.75%
1993 0.079 1.069 10.37% 60,518 2.73% 0.99% 0.75% 0.71%
1992 (0.010) 0.990 (0.11)%** 7,302 3.20%* 1.10%* N/A N/A
SELECT
INCOME FUND(1)
1995 0.094 1.024 16.96% 60,368 6.24% 0.79% 0.60% 0.59%
1994 (0.105) 0.930 (4.82)% 40,784 6.07% 0.83% 0.60% 0.58%
1993 0.047 1.035 10.95% 25,302 5.91% 0.91% 0.60% 0.43%
1992 (0.012) 0.988 0.62%** 5,380 5.38%* 1.00%* N/A N/A
MONEY MARKET
FUND
1995 -- 1.000 5.84% 155,211 5.68% 0.36% 0.29% 0.29%
1994 -- 1.000 3.93% 95,991 3.94% 0.45% 0.31% 0.31%
1993 -- 1.000 3.00% 71,052 2.95% 0.42% 0.32% 0.31%
1992 -- 1.000 3.78% 64,506 3.65% 0.44% N/A N/A
1991 -- 1.000 6.22% 39,909 5.98% 0.43% N/A N/A
<CAPTION>
OPERATING
EXPENSES
PORTFOLIO EXCLUDING
YEAR ENDED TURNOVER REIMBURSEMENTS
DECEMBER 31, RATE AND REDUCTIONS
----------- --------- --------------
<S> <C> <C>
SELECT GROWTH AND
INCOME FUND(1)
1995 112% 0.85%
1994 107% 0.91%
1993 25% 1.03%
1992 4% 2.37%*
SELECT
INCOME FUND(1)
1995 131% 0.80%
1994 105% 0.85%
1993 171% 1.08%
1992 119% 1.67%*
MONEY MARKET
FUND
1995 N/A 0.36%
1994 N/A 0.45%
1993 N/A 0.43%
1992 N/A 0.44%
1991 N/A 0.43%
</TABLE>
* Annualized
** Not Annualized
(1) The Funds commenced operations on August 21, 1992.
(2) Represents distributions in excess of net realized capital gains.
(3) Represents distributions in excess of net investment income.
(4) 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 Growth and Income Fund (1) $ N/A $ N/A $ 0.023 $ 0.005
Select Income Fund (1) 0.060 0.055 0.050 0.015
Money Market Fund N/A N/A 0.030 N/A
</TABLE>
45
See Notes to Financial Statements.
<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,
Select Growth, Select Growth and Income, Select Income 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 during the day, at the mean of the
closing bid and asking 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 on 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 market 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.
FOREIGN CURRENCY TRANSLATION: Investment valuations, other assets and
liabilities initially 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.
- ---------------------------------- 46
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED
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 Select Growth and Income and Select Income Funds and annually
for the Select International Equity, Select Aggressive Growth, Select Capital
Appreciation 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 on securities and fowards,
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.
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 of the Trust 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.
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.
47 ----------------------------------
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED
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
percentages of average daily net asset value: 1.00% for the Select International
Equity, the Select Aggressive Growth and the Select Capital Appreciation Funds,
0.85% for the Select Growth Fund, 0.75% for the Select Growth and Income Fund
and 0.60% for the Select Income Fund. For the Money Market Fund, the annual fee
is 0.35% of net asset value on the first $50,000,000; 0.25% on the next
$200,000,000; and 0.20% on the remainder. 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
Select Growth Provident Investment Counsel
Select Growth and Income John A. Levin & Co., Inc.
Select Income Standish, Ayer & Wood, 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 each of the Portfolios and is entitled to
receive an administrative fee and certain out-of-pocket expenses. The Manager is
solely responsible for the payment of the administrative fee to 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 State Mutual
Life Assurance Company of America, 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:
PORTFOLIO AFFILIATED FEES
-----------------------------------------------------------------
Select International Equity $ 33,974
Select Aggressive Growth 14,011
Select Capital Appreciation 0
Select Growth 10,945
Select Growth and Income 14,192
Select Income 13,303
Money Market 13,487
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.
- -------------------------------------- 48
<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, brokerage commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select International
Equity Fund - 1.50%, Select Aggressive Growth and Select Capital Appreciation
Funds - 1.35%, Select Growth Fund - 1.20%, Select Growth and Income Fund -
1.10%, Select Income Fund - 1.00% and Money Market Fund - 0.60%), the Manager
will either 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 Manager voluntarily agreed to
reimburse the Portfolios as follows:
PORTFOLIO REIMBURSEMENT
- ------------------------------------------------------------------------
Select Capital Appreciation $ 8,720
Select Income 2,547
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
------------------------ ---------------------------
PORTFOLIO OTHER GOVERNMENT OTHER GOVERNMENT
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International $ 67,490,500 $ -- $ 15,682,191 $ --
Equity
Select Aggressive
Growth 256,229,445 -- 194,373,812
--
Select Capital
Appreciation 51,605,224 -- 19,250,170
--
Select Growth 85,159,412 -- 56,967,757
--
Select Growth
and Income 196,343,657 -- 155,281,754 --
Select Income 18,529,131 60,429,244 13,781,298 49,020,506
ALLMERICA INVESTMENT TRUST
</TABLE>
49 -----------------------------------
<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
PORTFOLIO 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
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
Select Income 2,217,252 (368,587) 1,848,665 59,922,678
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 Growth $ 7,651 $ 247,191 $ 2,115,070 $ 360,571 $ --
Select Income -- -- 934,165 -- 166,974
Money Market -- -- 347 144 --
</TABLE>
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 occuring
between November 1, 1995 and December 31, 1995 in the following amounts:
<TABLE>
<CAPTION>
PORTFOLIO CAPITAL CURRENCY
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Select International Equity $ -- $ 197,793
Select Growth 1,171,841 --
Money Market 246 --
</TABLE>
- ------------------------------ 50
<PAGE>
ALLMERICA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS, CONTINUED
10. FOREIGN SECURITIES
Each Fund, except the Money Market Fund, may purchase securities of foreign
issuers. Investing in securities of foreign issuers 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.
51 -------------------------------
<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 Fund, Select
Growth Fund, Select Growth and Income Fund, Select Income 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
- ------------------------------------ 52
<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 $235,621 for the Select International Fund and $1,825,719 for the Select
Growth and Income Fund.
53 --------------------------------
<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'sLife'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
- --------------------------------- 54
<PAGE>
- -------------------------------------------------------------------------------
ALLMERICA SELECT SEPARATE ACCOUNT II
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
MONEY SELECT SELECT
MARKET AGGRESSIVE GROWTH GROWTH
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investment in shares of Allmerica Investment Trust . . . . $ 270,088 $ 172,472 $ 98,743
Receivable from Allmerica Financial
Life Insurance and Annuity Company (Sponsor) . . . . . . -- 30,585 30,642
---------- ---------- ----------
Total assets . . . . . . . . . . . . . . . . . . . . . . 270,088 203,057 129,385
LIABILITIES:
Payable to Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . 213,964 -- --
---------- ---------- ----------
Net assets . . . . . . . . . . . . . . . . . . . . . . . $ 56,124 $ 203,057 $ 129,385
---------- ---------- ----------
---------- ---------- ----------
Net asset distribution by category:
Variable life policies. . . . . . . . . . . . . . . . . . $ 55,918 $ 202,809 $ 129,150
Value of investment by Allmerica Financial
Life Insurance and Annuity Company (Sponsor) . . . . 206 248 235
---------- ---------- ----------
$ 56,124 $ 203,057 $ 129,385
---------- ---------- ----------
---------- ---------- ----------
Units outstanding, December 31, 1995 . . . . . . . . . . . 54,369 163,789 110,282
Net asset value per unit, December 31, 1995. . . . . . . . $ 1.032288 $ 1.239750 $ 1.173218
<CAPTION>
- ----------------------------------------------------------------------------------------------------
SELECT SELECT
GROWTH AND INCOME INCOME
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investment in shares of Allmerica Investment Trust . . . . $ 147,634 $ 91,706
Receivable from Allmerica Financial
Life Insurance and Annuity Company (Sponsor) . . . . . . -- --
---------- ----------
Total assets . . . . . . . . . . . . . . . . . . . . . . 147,634 91,706
LIABILITIES:
Payable to Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . 102 54
---------- ----------
Net assets . . . . . . . . . . . . . . . . . . . . . . . $ 147,532 $ 91,652
---------- ----------
---------- ----------
Net asset distribution by category:
Variable life policies. . . . . . . . . . . . . . . . . . $ 147,292 $ 91,432
Value of investment by Allmerica Financial
Life Insurance and Annuity Company (Sponsor) . . . . 240 220
---------- ----------
$ 147,532 $ 91,652
---------- ----------
---------- ----------
Units outstanding, December 31, 1995 . . . . . . . . . . . 122,875 83,364
Net asset value per unit, December 31, 1995. . . . . . . . $ 1.200667 $ 1.099424
<CAPTION>
- --------------------------------------------------------------------------------------------------------
SELECT SELECT
INTERNATIONAL EQUITY CAPITAL APPRECIATION
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investment in shares of Allmerica Investment Trust . . . . $ 50,180 $ 56,587
Receivable from Allmerica Financial
Life Insurance and Annuity Company (Sponsor) . . . . . . -- 66,931
---------- ----------
Total assets . . . . . . . . . . . . . . . . . . . . . . 50,180 123,518
LIABILITIES:
Payable to Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . 29 --
---------- ----------
Net assets . . . . . . . . . . . . . . . . . . . . . . . $ 50,151 $ 123,518
---------- ----------
---------- ----------
Net asset distribution by category:
Variable life policies. . . . . . . . . . . . . . . . . . $ 49,926 $ 123,241
Value of investment by Allmerica Financial
Life Insurance and Annuity Company (Sponsor) . . . . 225 277
---------- ----------
$ 50,151 $ 123,518
---------- ----------
---------- ----------
Units outstanding, December 31, 1995 . . . . . . . . . . . 44,596 89,143
Net asset value per unit, December 31, 1995. . . . . . . . $ 1.124563 $ 1.385620
</TABLE>
The accompanying notes are an integral part of these financial statements.
55
<PAGE>
- -------------------------------------------------------------------------------
ALLMERICA SELECT SEPARATE ACCOUNT II
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
VIPF VIPF VIPF
HIGH INCOME EQUITY INCOME GROWTH
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investment in shares of Fidelity Variable
Insurance Products Fund . . . . . . . . . . . . . . . . . . . . $ 68,361 $ 123,025 $ 155,397
Investment in shares of T. Rowe Price International Series, Inc. . -- -- --
Receivable from Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . . . . . -- -- 60,295
---------- ---------- -----------
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . 68,361 123,025 215,692
LIABILITIES:
Payable to Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . . . . . 54 90 --
---------- ---------- ----------
Net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 68,307 $ 122,935 $ 215,692
---------- ---------- ----------
---------- ---------- ----------
Net asset distribution by category:
Variable life policies. . . . . . . . . . . . . . . . . . . . . . $ 68,087 $ 122,696 $ 215,444
Value of investment by Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . . . . 220 239 248
---------- ---------- ----------
$ 68,307 $ 122,935 $ 215,692
---------- ---------- ----------
---------- ---------- ----------
Units outstanding, December 31, 1995 . . . . . . . . . . . . . . . 62,061 102,808 173,972
Net asset value per unit, December 31, 1995. . . . . . . . . . . . $ 1.100647 $ 1.195773 $ 1.239808
<CAPTION>
- -------------------------------------------------------------------------------------------
T. ROWE
INTERNATIONAL STOCK
- -------------------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investment in shares of Fidelity Variable
Insurance Products Fund . . . . . . . . . . . . . . . . . . . . --
Investment in shares of T. Rowe Price International Series, Inc. . $ 1,473
Receivable from Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . . . . . --
----------
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . 1,473
LIABILITIES:
Payable to Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . . . . . 15
----------
Net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,458
----------
----------
Net asset distribution by category:
Variable life policies. . . . . . . . . . . . . . . . . . . . . . $ 1,458
Value of investment by Allmerica Financial
Life Insurance and Annuity Company (Sponsor). . . . . . . . . --
----------
$ 1,458
----------
----------
Units outstanding, December 31, 1995 . . . . . . . . . . . . . . . 1,410
Net asset value per unit, December 31, 1995. . . . . . . . . . . . $ 1.033962
</TABLE>
The accompanying notes are an integral part of these financial statements.
56
<PAGE>
<TABLE>
<CAPTION>
ALLMERICA SELECT SEPARATE ACCOUNT II
STATEMENTS OF OPERATIONS
- ----------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET SELECT AGGRESSIVE GROWTH SELECT GROWTH
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
5/1/95* TO 12/31/95 5/1/95* TO 12/31/95 5/1/95* TO 12/31/95
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . $ 3,310 -- $ 14
------- ------- -------
EXPENSES:
Mortality and expense risk fees. . . . . . . . . 543 $ 104 38
Administrative expense fees. . . . . . . . . . . 125 24 9
------- ------- -------
Total expenses . . . . . . . . . . . . . . . . 668 128 47
------- ------- -------
Net investment income (loss) . . . . . . . . . . 2,642 (128) (33)
------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain. . . . . . . . . . . . . . . . -- 4 11
Net unrealized gain (loss) . . . . . . . . . . . -- 417 (892)
------- ------- -------
Net realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . -- 421 (881)
------- ------- -------
Net increase (decrease) in net assets from
operations . . . . . . . . . . . . . . . . . . $ 2,642 $ 293 $ (914)
------- ------- -------
------- ------- -------
<CAPTION>
ALLMERICA SELECT SEPARATE ACCOUNT II
- ------------------------------------------------------------------------------------------------------------------------------------
SELECT GROWTH AND INCOME SELECT INCOME SELECT INTERNATIONAL EQUITY
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
5/1/95* TO 12/31/95 5/1/95* TO 12/31/95 5/1/95* TO 12/31/95
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . $ 6,087 $ 1,445 $ 621
------- ------- -------
EXPENSES:
Mortality and expense risk fees. . . . . . . . . 115 63 67
Administrative expense fees. . . . . . . . . . . 27 15 15
------- ------- -------
Total expenses . . . . . . . . . . . . . . . . 142 78 82
------- ------- -------
Net investment income (loss) . . . . . . . . . . 5,945 1,367 539
------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain. . . . . . . . . . . . . . . . 783 140 537
Net unrealized gain (loss) . . . . . . . . . . . (1,200) 187 533
------- ------- -------
Net realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . (417) 327 1,070
------- ------- -------
Net increase (decrease) in net assets
from operations. . . . . . . . . . . . . . . . $ 5,528 $ 1,694 $ 1,609
------- ------- -------
------- ------- -------
</TABLE>
* Date of initial investment
The accompanying notes are an integral part of these financial statements.
57
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION VIPF HIGH INCOME VIPF EQUITY INCOME
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
5/1/95* TO 12/31/95 5/1/95* TO 12/31/95 5/1/95* TO 12/31/95
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . $ 1,079 -- $ 638
------- ------- -------
EXPENSES:
Mortality and expense risk fees. . . . . . . . . 95 $ 58 101
Administrative expense fees. . . . . . . . . . . 22 13 23
------- ------- -------
Total expenses . . . . . . . . . . . . . . . . 117 71 124
------- ------- -------
Net investment income (loss) . . . . . . . . . . 962 (71) 514
------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) . . . . . . . . . . . . 2,120 48 453
Net unrealized gain (loss) . . . . . . . . . . . 1,002 805 5,154
------- ------- -------
Net realized and unrealized gain (loss) on
investments. . . . . . . . . . . . . . . . . . 3,122 853 5,607
------- ------- -------
Net increase (decrease) in net assets from
operations . . . . . . . . . . . . . . . . . . $ 4,084 $ 782 $ 6,121
------- ------- -------
------- ------- -------
- ------------------------------------------------------------------------------------------------------------------------------------
VIPF GROWTH T. ROWE INTERNATIONAL STOCK
FOR THE PERIOD FOR THE PERIOD
5/1/95* TO 12/31/95 8/23/95* TO 12/31/95
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Dividends. . . . . . . . . . . . . . . . . . . . -- --
------- -------
EXPENSES:
Mortality and expense risk fees. . . . . . . . . $ 146 $ 2
Administrative expense fees. . . . . . . . . . . 34 --
------- -------
Total expenses . . . . . . . . . . . . . . . . 180 2
------- -------
Net investment income (loss) . . . . . . . . . . (180) (2)
------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) . . . . . . . . . . . . (4,864) 1
Net unrealized gain (loss) . . . . . . . . . . . (5,909) 47
------- -------
Net realized and unrealized gain (loss) on
investments . . . . . . . . . . . . . . . . . (10,773) 48
------- -------
Net increase (decrease) in net assets
from operations. . . . . . . . . . . . . . . . $(10,953) $ 46
-------- -------
-------- -------
</TABLE>
* Date of initial investment
The accompanying notes are an integral part of these financial statements.
58
<PAGE>
ALLMERICA SELECT SEPARATE ACCOUNT II
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
MONEY MARKET SELECT AGGRESIVE GROWTH SELECT GROWTH
PERIOD FROM PERIOD FROM PERIOD FROM
5/1/95* to 12/31/95 5/1/95* to 12/31/95 5/1/95* to 12/31/95
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ 2,642 $ (128) $ (33)
Net realized gain from security
transactions . . . . . . . . . . . . -- 4 11
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . -- 417 (892)
--------- --------- ---------
Net increase (decrease) in net
assets from operations . . . . . . . 2,642 293 (914)
--------- --------- ---------
FROM CAPITAL TRANSACTIONS:
Net premiums . . . . . . . . . . . . . 575,190 127,557 126,681
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and
Annuity Company (Sponsor) . . . . (521,908) 75,007 3,418
Net increase in investment by
Allmerica Financial Life
Insurance and Annuity
Company (Sponsor). . . . . . . . . 200 200 200
--------- --------- ---------
Net increase in net assets
from capital transactions. . . . . 53,482 202,764 130,299
--------- --------- ---------
Net increase in net assets . . . . . 56,124 203,057 129,385
NET ASSETS:
Beginning of period. . . . . . . . . -- -- --
--------- --------- ---------
End of period. . . . . . . . . . . . $ 56,124 $ 203,057 $ 129,385
--------- --------- ---------
--------- --------- ---------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
SELECT GROWTH AND INCOME SELECT INCOME SELECT INTERNATIONAL EQUITY
PERIOD FROM PERIOD FROM PERIOD FROM
5/1/95* to 12/31/95 5/1/95* to 12/31/95 5/1/95* to 12/31/95
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ 5,945 $ 1,367 $ 539
Net realized gain from security
transactions . . . . . . . . . . . . 783 140 537
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . (1,200) 187 533
--------- --------- ---------
Net increase (decrease) in net
assets from operations . . . . . . . 5,528 1,694 1,609
--------- --------- ---------
FROM CAPITAL TRANSACTIONS:
Net premiums . . . . . . . . . . . . . 37,091 32,948 40,124
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and
Annuity Company (Sponsor) . . . . 104,713 56,810 8,218
Net increase in investment by
Allmerica Financial Life
Insurance and Annuity
Company (Sponsor). . . . . . . . . 200 200 200
--------- --------- ---------
Net increase in net assets
from capital transactions. . . . . 142,004 89,958 48,542
--------- --------- ---------
Net increase in net assets . . . . . 147,532 91,652 50,151
NET ASSETS:
Beginning of period. . . . . . . . . -- -- --
--------- --------- ---------
End of period. . . . . . . . . . . . $ 147,532 $ 91,652 $ 50,151
--------- --------- ---------
--------- --------- ---------
<CAPTION>
- --------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION
PERIOD FROM
5/1/95* to 12/31/95
- --------------------------------------------------------------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ 962
Net realized gain from security
transactions . . . . . . . . . . . . 2,120
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . 1,002
---------
Net increase (decrease) in net
assets from operations . . . . . . . 4,084
---------
FROM CAPITAL TRANSACTIONS:
Net premiums . . . . . . . . . . . . . 114,192
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and
Annuity Company (Sponsor) . . . . 5,042
Net increase in investment by
Allmerica Financial Life
Insurance and Annuity
Company (Sponsor). . . . . . . . . 200
---------
Net increase in net assets
from capital transactions. . . . . 119,434
---------
Net increase in net assets . . . . . 123,518
NET ASSETS:
Beginning of period. . . . . . . . . --
---------
End of period. . . . . . . . . . . . $ 123,518
---------
---------
</TABLE>
* Date of initial investment
The accompanying notes are an integral part of these financial statements.
59
<PAGE>
ALLMERICA SELECT SEPARATE ACCOUNT II
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
VIPF HIGH INCOME VIPP EQUITY INCOME VIPP GROWTH
PERIOD FROM PERIOD FROM PERIOD FROM
5/1/95* to 12/31/95 5/1/95* to 12/31/95 5/1/95* to 12/31/95
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ (71) $ 514 $ (180)
Net realized gain (loss) from
security transactions. . . . . . . . 48 453 (4,864)
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . 805 5,154 (5,909)
--------- --------- ---------
Net increase (decrease) in net
assets from operations . . . . . . . 782 6,121 (10,953)
--------- --------- ---------
FROM CAPITAL TRANSACTIONS:
Net premiums . . . . . . . . . . . . . 20,148 21,784 105,504
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and
Annuity Company (Sponsor). . . . 47,177 94,830 120,941
Net increase in investment by
Allmerica Financial Life
Insurance and Annuity
Company (Sponsor). . . . . . . . 200 200 200
--------- --------- ---------
Net increase in net assets
from capital transactions. . . . . 67,525 116,814 226,645
--------- --------- ---------
Net increase in net assets . . . . . 68,307 122,935 215,692
NET ASSETS:
Beginning of period. . . . . . . . . . -- -- --
End of period. . . . . . . . . . . . . $ 68,307 $ 122,935 $ 215,692
--------- --------- ---------
--------- --------- ---------
<CAPTION>
- --------------------------------------------------------------------------
T. ROWE INTERNATIONAL STOCK
PERIOD FROM
5/1/95* to 12/31/95
- --------------------------------------------------------------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) . . . . . $ (2)
Net realized gain (loss) from
security transactions. . . . . . . . 1
Net unrealized gain (loss) on
investments. . . . . . . . . . . . . 47
---------
Net increase (decrease) in net
assets from operations . . . . . . . 46
---------
FROM CAPITAL TRANSACTIONS:
Net premiums . . . . . . . . . . . . . 1,590
Other transfers from (to) the
General Account of Allmerica
Financial Life Insurance and
Annuity Company (Sponsor). . . . (178)
Net increase in investment by
Allmerica Financial Life
Insurance and Annuity
Company (Sponsor). . . . . . . . --
---------
Net increase in net assets
from capital transactions. . . . . 1,412
---------
Net increase in net assets . . . . . 1,458
NET ASSETS:
Beginning of period. . . . . . . . . . --
---------
End of period. . . . . . . . . . . . . $ 1,458
---------
---------
</TABLE>
* Date of initial investment
The accompanying notes are an integral part of these financial statements.
60
<PAGE>
ALLMERICA SELECT SEPARATE ACCOUNT II
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995
NOTE 1 - ORGANIZATION
The Allmerica Select Separate Account II (Allmerica Select II) is a separate
investment account of the Allmerica Financial Life Insurance and Annuity Company
(formerly named SMA Life Assurance Company ) (the Company), established on May
1, 1995 for the purpose of separating from the general assets of the Company
those assets used to fund the variable portion of flexible premium variable life
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 Allmerica Select II are clearly
identified and distinguished from the other assets and liabilities of the
Company. Allmerica Select II cannot be charged with liabilities arising out of
any other business of the Company.
Allmerica Select II is registered as a unit investment trust under the
Investment Company Act of 1940, as amended (the 1940 Act). Allmerica Select II
currently offers eleven Sub-Accounts. 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 or of the Variable Insurance Products Fund (VIPF),
managed by Fidelity Management & Research Company (Fidelity Management), or of
the T. Rowe Price International Series, Inc. (T. Rowe) managed by Price-Fleming.
The Trust, VIPF and T. Rowe are open-end, diversified series management
investment companies registered under the 1940 Act.
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, or T. Rowe. 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, or T. Rowe (the Funds) 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 Allmerica Select II. Therefore, no provision
for income taxes has been charged against Allmerica Select II.
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, and T. Rowe at
December 31, 1995 were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
PORTFOLIO INFORMATION
INVESTMENT NUMBER OF AGGREGATE NET ASSET
PORTFOLIO SHARES COST VALUE PER SHARE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Allmerica Investment Trust:
Money Market 270,088 $ 270,088 $ 1.000
Select Aggressive Growth 93,329 172,055 1.848
Select Growth 72,128 99,635 1.369
Select Growth and Income 116,430 148,834 1.268
Select Income 89,556 91,519 1.024
Select International Equity 44,173 49,647 1.136
Select Capital Appreciation 41,334 55,585 1.369
Fidelity Variable Insurance Products Fund:
High Income 5,673 67,555 12.050
Equity Income 6,384 117,871 19.270
Growth 5,322 161,305 29.200
T. Rowe Price International Series, Inc.:
International Stock 131 1,426 11.260
</TABLE>
61
<PAGE>
ALLMERICA SELECT SEPARATE ACCOUNT II
NOTES TO FINANCIAL STATEMENTS - DECEMBER 31, 1995, CONTINUED
NOTE 4 - RELATED PARTY TRANSACTIONS
On the date of issue and each monthly payment date
thereafter, a monthly charge is deducted from the policy value to compensate the
Company for the cost of insurance, which varies by policy and the cost of any
additional benefits provided by rider. Currently there are no monthly
administrative charges. Any future charge is guaranteed not to exceed $25 per
transaction. The policyowner may instruct the Company to deduct this monthly
charge from a specific Sub-Account, but if not so specified, it will be deducted
on a pro-rata basis of allocation which is the same proportion that the policy
value in the General Account of the Company and in each Sub-Account bear to the
total policy value. For the period ended December 31, 1995, these monthly
deductions from Sub-Account policy values amounted to $14,486.
The Company makes a charge of .65% per annum based on the average daily net
assets of each Sub-Account at each valuation date for mortality and expense
risks. The mortality and expense risks annual charge may be increased or
decreased by the Board of Directors of the Company once each year, subject to
compliance with applicable state and federal requirements, but the total charge
may not exceed .80% per annum. During the first 10 policy years, the Company
also charges each Sub-Account .15% per annum based on the average daily net
assets of each Sub-Account for administrative expenses. These charges are
deducted in the daily computation of unit values but paid to the Company on a
monthly basis.
Allmerica Investments, Inc., (Allmerica Investments), a wholly-owned
subsidiary of First Allmerica, is principal underwriter and general distributor
of Allmerica Select II, and does not receive any compensation for sales of
Allmerica Select II 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 period ended December 31, 1995, there were no
contingent deferred sales charges applicable to Allmerica Select II policies.
NOTE 5 - DIVERSIFICATION REQUIREMENTS
Under the provisions of Section 817(h) of the Internal Revenue Code, a
variable life insurance contract, other than a contract issued in connection
with certain types of employee benefit plans, will not be treated as a variable
life insurance 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 Allmerica Select II satisfies the current
requirements of the regulations, and it intends that Allmerica Select II will
continue to meet such requirements.
NOTE 6 - PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of the Trust, VIPF, and T. Rowe
shares by Allmerica Select II during the period ended December 31, 1995 were as
follows:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
INVESTMENT PORTFOLIO PURCHASES SALES
- --------------------------------------------------------------------------------
<S> <C> <C>
Allmerica Investment Trust:
Money Market . . . . . . . . . . . . . . . . . . $ 1,642,112 $ 1,372,023
Select Aggressive Growth . . . . . . . . . . . . 172,665 614
Select Growth . . . . . . . . . . . . . . . . . 100,148 524
Select Growth and Income . . . . . . . . . . . . 170,527 22,476
Select Income. . . . . . . . . . . . . . . . . . 102,566 11,187
Select International Equity. . . . . . . . . . . 66,283 17,173
Select Capital Appreciation. . . . . . . . . . . 180,169 126,705
Fidelity Variable Insurance Products Fund:
High Income. . . . . . . . . . . . . . . . . . . 78,687 11,180
Equity Income. . . . . . . . . . . . . . . . . . 128,998 11,579
Growth . . . . . . . . . . . . . . . . . . . . . 272,664 106,494
T. Rowe Price International Series, Inc.:
International Stock. . . . . . . . . . . . . . . 1,568 143
----------- -----------
Totals . . . . . . . . . . . . . . . . . . . . . $ 2,916,387 $ 1,680,098
----------- -----------
----------- -----------
</TABLE>
62
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors of Allmerica Financial
Life Insurance and Annuity Company and Policyowners
of Allmerica Select Separate Account II 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 (Money Market, Select Aggressive Growth, Select Growth, Select Growth
and Income, Select Income, Select International Equity, Select Capital
Appreciation, VIPF High Income, VIPF Equity Income, VIPF Growth, and T. Rowe
International Stock) constituting the Allmerica Select Separate Account II 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 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 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 23, 1996
63
<PAGE>
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<PAGE>
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<PAGE>
Allmerica Select Life
Allmerica Select Life is issued by Allmerica Financial Life Insurance and
Annuity Company and is distributed by Allmerica Investments, Inc.
[ALLMERICA LOGO]
ALLMERICA
FINANCIAL - Registered Trademark -
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
AS-245 [LOGO] Printed on Recycled Paper
<PAGE>
ALLMERICA SELECT LIFE
Allmerica Select Life is issued by Allmerica Financial Life Insurance and
Annuity Company and is distributed by Allmerica Investments, Inc.
[ALLMERICA LOGO]
ALLMERICA
FINANCIAL-Registered Trademark-
ALLMERICA INVESTMENTS, INC.
440 LINCOLN STREET
WORCESTER, MA 01653
AS-245 [LOGO] Printed on Recycled Paper
