<PAGE>
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- - Allmerica Select -
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--------------------------------
--------------------------------
Annual Report
--------------------------------
December 31, 1996
Allmerica
Select
--------------------------------
. Allmerica Select
Resource
. Allmerica Select Resource II
. Allmerica Select Life
. Allmerica Select
Inheiritage
<PAGE>
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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 INVESTMENT 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.
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<PAGE>
GENERAL INFORMATION
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OFFICERS OF FIRST ALLMERICA FINANCIAL LIFE INSURANCE COMPANY AND ALLMERICA
FINANCIAL LIFE INSURANCE AND ANNUITY COMPANY
John F. O'Brien, President, CEO (FAFLIC)
and Chairman of the Board (AFLIAC)
Richard M. Reilly, President and CEO (AFLIAC)
Edward J. Parry, III, Vice President,
CFO and Treasurer
Abigail M. Armstrong, Secretary and Counsel
INVESTMENT MANAGER
Allmerica Investment
Management Company, 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, Westborough, MA 01581
OFFICERS OF ALLMERICA
INVESTMENT TRUST (AIT)
Richard M. Reilly, President
Thomas P. Cunningham, Treasurer
BOARD OF TRUSTEES OF AIT
John F. O'Brien, Chairman
Russell E. Fuller
Gordon Holmes
John P. Kavanaugh
Bruce E. Langton
Attiat F. Ott
Richard M. Reilly
Ranne P. Warner
INVESTMENT SUB-ADVISERS
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Money Market Fund
Bank of Ireland Asset Management
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 and Income Fund
Nicholas-Applegate Capital Management
501 West Broadway - Suite 2000
San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.
One Post Office Square, Boston, MA 02109
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* Equity-Income Portfolio
Fidelity VIP* Growth 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
PRODUCT PERFORMANCE SUMMARIES .................................................3
Select Resource/Resource II
Variable Annuity ............................................................3
Select Life Variable Universal Life ...........................................4
Select Inheiritage Variable Universal
Survivorship Life (FAFLIC) ..................................................5
Select Inheiritage Variable Universal
Survivorship Life (AFLIAC) ..................................................6
FUND PERFORMANCE SUMMARY ......................................................7
DOMESTIC & INTERNATIONAL EQUITY MARKET OVERVIEW .............................8-9
Select Aggressive Growth Fund ................................................10
Select Capital Appreciation Fund .............................................11
T. Rowe Price International Stock Portfolio ..................................12
Select International Equity Fund .............................................13
Fidelity VIP* Growth Portfolio ...............................................14
Select Growth Fund ...........................................................15
Fidelity VIP* Equity-Income Portfolio ........................................16
Select Growth and Income Fund ................................................17
BOND AND MONEY
MARKET OVERVIEW ...........................................................18-19
Fidelity VIP* High Income Portfolio ..........................................20
Select Income Fund ...........................................................21
Money Market Fund ............................................................22
FINANCIALS ..................................................................F-1
</TABLE>
For further information, see the accompanying annual reports.
For information on ordering additional copies of this report or a copy of the
separate account annual report, see Client Notices on page F-37.
*VIP refers to Variable Insurance Products Fund.
1
<PAGE>
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A Letter From the Chairman
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[PHOTO OF JOHN F. O'BRIEN APPEARS HERE]
Dear Client:
The U.S. stock market turned in yet another outstanding year, marking a record
sixth straight year of positive returns for the Dow Jones Industrial Average.
For the year, the Dow rose 28% on top of a 37% increase in 1995. The combined
two year return of 75% was the strongest in 40 years!
Many international markets were also up considerably. Sweden, Finland,
Ireland, Spain, Portugal and Hong Kong all had returns greater than 30% in 1996.
And these returns paled in comparison to many emerging markets like Poland's
which experienced an annual return of 87%. A notable exception to these positive
returns was Japan, which declined 15.4% as measured by Morgan Stanley's Country
Index.
The bond market fluctuated as investors' expectations changed throughout the
year. The net effect was a modest annual increase of 3.61% for the Lehman
Brothers Aggregate Bond Index, a widely used performance benchmark. Even
conservative money market accounts, with annual returns in excess of 5%, managed
to outperform the bond index.
Where will the best returns come from in 1997? Obviously, no one knows. What
we do know is that helping people to plan and strive towards meeting his or her
saving and retirement goals is a business we take very seriously. That's why we
focus our efforts on what we can control; building a comprehensive investment
program, hiring disciplined investment managers and constantly evaluating their
performance. On a continuing basis, our Manager Evaluation Committee rigorously
monitors our sub-advisers to ensure the consistency that our clients expect.
Based on their work, we made a significant change on July 1, 1996, when we named
Putnam Investment Management, Inc. to take over as sub-adviser for the Select
Growth Fund. This change reflects our ongoing commitment to bringing you a
diversified array of complementary investment options and outstanding money
managers.
We all welcome the recent short-term returns in the stock market, but perhaps
now may be a good time for investors to review their individual asset allocation
strategies. If you haven't "rebalanced" your portfolio to account for
performance differentials, this may be an appropriate time to do so. At
Allmerica, we offer distinct investment choices across a variety of asset
classes, investment strategies and styles. We encourage our clients to develop
and implement a disciplined investment program that includes diversification,
ongoing contributions in both up and down markets, and utilization of tax
deferred savings vehicles whenever possible and appropriate. We also encourage
you to periodically review your financial goals and risk tolerance, to ensure
that your investments are right for you.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
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...helping people to plan and strive towards meeting his or her saving and
retirement goals is a business we take very seriously.
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2
<PAGE>
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PRODUCT PERFORMANCE SUMMARY
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ALLMERICA SELECT RESOURCE/RESOURCE II - Variable Annuity
Average Annual Total Returns as of 12/31/96
For easy reference, the total returns for the Allmerica Select
Resource/Resource II subaccounts of FAFLIC and AFLIAC are summarized below. Keep
in mind that these returns are net of all product charges except for the annual
contract fee. For returns that do not reflect the deduction of product charges,
please refer to the individual Portfolio Reviews beginning on page 10.
<TABLE>
<CAPTION>
WITHOUT SURRENDER CHARGE WITH SURRENDER CHARGE
------------------------ ---------------------
Ten Years Ten Years
One Five or Life One Five or Life
Subaccounts Year Years of Fund Year Years of Fund
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Aggressive Growth Fund /2/ 16.89% N/A 18.09% 10.39% N/A 17.69%
Select Capital Appreciation Fund /3/ 7.28% N/A 26.54% 1.00% N/A 23.47%
Select International Equity Fund /1/ 20.24% N/A 12.08% 13.74% N/A 10.52%
Select Growth Fund /2/ 20.31% N/A 11.07% 13.81% N/A 10.58%
Select Growth and Income Fund /2/ 19.57% N/A 12.18% 13.07% N/A 11.71%
Select Income Fund /2/ 1.86% N/A 4.42% -4.10% N/A 3.82%
Money Market Fund /4/ 3.87% 2.91% 4.41% -2.20% 2.37% 4.38%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio /5/ 13.03% N/A 8.40% 6.53% N/A 6.80%
Fidelity Variable Insurance
Products Fund (VIPF)
Fidelity VIP Growth Portfolio /6/ 13.10% 13.54% 13.53% 6.60% 13.18% 13.53%
Fidelity VIP Equity-Income Portfolio /6/ 12.68% 16.32% 12.14% 6.18% 15.99% 12.14%
Fidelity VIP High Income Portfolio /7/ 12.44% 13.35% 9.56% 5.94% 12.98% 9.56%
</TABLE>
Performance returns given above are for the Allmerica Select Resource/Resource
II subaccounts of FAFLIC and AFLIAC and assume an investment in the underlying
funds listed on the date of inception of each Fund. All full surrenders or
withdrawals in excess of the free amount may be subject to a declining sales
charge. The maximum contingent deferred sales charge is 6.5%.
/1/ Inception May 1, 1994
/2/ Inception August 21, 1992
/3/ Inception April 28, 1995
/4/ Inception April 29, 1985
/5/ Inception March 31, 1994
/6/ Inception October 9, 1986
/7/ Inception September 19, 1985
Performance returns in this report are historical 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.
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For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 10.
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3
<PAGE>
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Product Performance Summary
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ALLMERICA SELECT LIFE - Variable Universal Life
Average Annual Total Returns as of 12/31/96
For easy reference, the total returns for the Allmerica Select Life subaccounts
of AFLIAC 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 10.
<TABLE>
<CAPTION>
Without Surrender Charge With Surrender Charge
------------------------- ---------------------
Ten Years Ten Years
One Five or Life One Five or Life
Subaccounts Year Years of Fund Year Years of Fund
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund /2/ 17.61% N/A 18.81% -98.32% N/A 5.85%
Select Capital Appreciation Fund /3/ 7.94% N/A 27.31% -100.00% N/A -42.87%
Select International Equity Fund /1/ 20.98% N/A 12.77% -95.32% N/A -20.75%
Select Growth Fund /2/ 21.05% N/A 11.75% -95.26% N/A -2.07%
Select Growth and Income Fund /2/ 20.30% N/A 12.87% -95.93% N/A -0.80%
Select Income Fund /2/ 2.49% N/A 5.06% -100.00% N/A -9.80%
Money Market Fund /4/ 4.51% 3.54% 5.02% -100.00% -8.30% 0.68%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International Stock Portfolio /5/ 12.82% N/A 9.06% -100.00% N/A -27.43%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIPF)
Fidelity VIP Growth Portfolio /6/ 13.79% 14.24% 14.23% -100.00% 3.76% 10.38%
Fidelity VIP Equity-Income Portfolio /6/ 13.37% 17.03% 12.83% -100.00% 6.83 8.92%
Fidelity VIP High Income Portfolio /7/ 13.13% 14.04% 10.23% -100.00% 3.54% 6.19%
</TABLE>
Performance returns given above are for the Allmerica Select Life subaccounts of
AFLIAC and are net of all product charges (including surrender charges) for a
representative policy. In addition, the returns assume an investment in the
underlying funds listed on the date of inception of each Fund. All full
surrenders or withdrawals in excess of the free amount may be subject to a
declining surrender charge.
/1/ Inception May 1, 1994
/2/ Inception August 21, 1992
/3/ Inception April 28, 1995
/4/ Inception April 29, 1985
/5/ Inception March 31, 1994
/6/ Inception October 9, 1986
/7/ Inception September 19, 1985
Performance returns in this report are historical 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.
- --------------------------------------------------------------------------------
For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 10.
- --------------------------------------------------------------------------------
4
<PAGE>
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PRODUCT PERFORMANCE SUMMARY
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ALLMERICA SELECT INHEIRITAGE - Variable Universal Survivorship Life
Average Annual Total Returns as of 12/31/96
For easy reference, the total returns for the Allmerica Select Inheiritage
subaccounts of FAFLIC 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 10.
<TABLE>
<CAPTION>
Without Surrender Charge With Surrender Charge
------------------------ ---------------------
Ten Years Ten Years
One Five or Life One Five or Life
Subaccounts Year Years of Fund Year Years of Fund
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund /2/ 17.19% N/A 18.39% -86.16% N/A 8.12%
Select Capital Appreciation Fund /3/ 7.55% N/A 26.86% -95.42% N/A -30.82%
Select International Equity Fund /1/ 20.55% N/A 12.37% -82.93% N/A -16.54%
Select Growth Fund /2/ 20.62% N/A 11.35% -82.87% N/A -0.33%
Select Growth and Income Fund /2/ 19.87% N/A 12.47% -83.59% N/A 1.03%
Select Income Fund /2/ 2.13% N/A 4.69% -100.00% N/A -8.66%
Money Market Fund /4/ 4.14% 3.18% 4.65% -98.69% -6.84% 2.44%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International Stock Portfolio /5/ 13.23% N/A 8.67% -89.96% N/A -22.54%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIPF)
Fidelity VIP Growth Portfolio /7/ 13.39% 13.83% 13.82% -89.81% 5.99% 12.20%
Fidelity VIP Equity-Income Portfolio /7/ 12.97% 16.62% 12.43% -90.21% 9.22% 10.74%
Fidelity VIP High Income Portfolio /6/ 12.72% 13.63% 9.84% -90.45% 5.75% 8.00%
</TABLE>
Performance returns given above are for the Allmerica Select Inheiritage
subaccounts of FAFLIC and are net of all product charges (including surrender
charges) for a representative policy. In addition, the returns assume an
investment in the underlying funds listed above on the date of inception of each
Fund. All full surrenders or withdrawals in excess of the free amount may be
subject to a declining surrender charge.
/1/ Inception May 1, 1994
/2/ Inception August 21, 1992
/3/ Inception April 28, 1995
/4/ Inception April 29, 1985
/5/ Inception March 31, 1994
/6/ Inception September 19, 1985
/7/ Inception October 9, 1986
Performance returns in this report are historical 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.
- --------------------------------------------------------------------------------
For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 10.
- --------------------------------------------------------------------------------
5
<PAGE>
- --------------------------------------------------------------------------------
PRODUCT PERFORMANCE SUMMARY
- --------------------------------------------------------------------------------
ALLMERICA SELECT INHEIRITAGE - Variable Universal Survivorship Life
Average Annual Total Returns as of 12/31/96
For easy reference, the total returns for the Allmerica Select Inheiritage
subaccounts of AFLIAC 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 10.
<TABLE>
<CAPTION>
WITHOUT SURRENDER CHARGE WITH SURRENDER CHARGE
----------------------------------- --------------------------------
Ten Years Ten Years
One Five or Life One Five or Life
Subaccounts Year Years of Fund Year Years of Fund
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Aggressive Growth Fund/2/ 17.19% N/A 18.39% -87.62% N/A 7.48%
Select Capital Appreciation Fund/3/ 7.55% N/A 26.86% -96.76% N/A -32.21%
Select International Equity Fund/1/ 20.55% N/A 12.37% -84.44% N/A -17.57%
Select Growth Fund/2/ 20.62% N/A 11.35% -84.37% N/A -0.97%
Select Growth and Income Fund/2/ 19.87% N/A 12.47% -85.08% N/A 0.40%
Select Income Fund/2/ 2.13% N/A 4.69% -100.00% N/A -9.31%
Money Market Fund/4/ 4.14% 3.18% 4.65% -99.99% -7.40% 2.18%
T. Rowe Price International Series, Inc.
T. Rowe Price International
Stock Portfolio/5/ 13.23% N/A 8.67% -91.38% N/A -23.59%
Fidelity Variable Insurance
Products Fund (VIPF)
Fidelity VIP Growth Portfolio/7/ 13.39% 13.83% 13.82% -91.23% 5.45% 11.96%
Fidelity VIP Equity-Income Portfolio/7/ 12.97% 16.62% 12.43% -91.62% 8.68% 10.50%
Fidelity VIP High Income Portfolio/6/ 12.72% 13.63% 9.84% -91.86% 5.21% 7.76%
</TABLE>
Performance returns given above are for the Allmerica Select Inheiritage
subaccounts of AFLIAC and are net of all product charges (including surrender
charges) for a representative policy. In addition, the returns assume an
investment in the underlying funds listed above on the date of inception of each
Fund. All full surrenders or withdrawals in excess of the free amount may be
subject to a declining surrender charge.
/1/Inception May 1, 1994 /5/Inception March 31, 1994
/2/Inception August 21, 1992 /6/Inception September 19, 1985
/3/Inception April 28, 1995 /7/Inception October 9, 1986
/4/Inception April 29, 1985
Performance returns in this report are historical 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.
- ------------------------------------------------------------------------------
For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 10.
- ------------------------------------------------------------------------------
6
<PAGE>
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Fund Performance Summary
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 12/31/96
For easy reference, the total returns for the Fund are summarized below.
Keep in mind that these returns are net of all Fund charges. For returns that
reflect the deduction of product charges, please refer to the Product
Performance Summaries beginning on page 3.
<TABLE>
<CAPTION>
Ten Years
One Five or Life
Funds Year Years of Fund
-------------------------------------------------------------------------
<S> <C> <C> <C>
Allmerica Investment Trust
Select Aggressive Growth Fund/2/ 18.55% N/A 19.77%
Select Capital Appreciation Fund/3/ 8.80% N/A 28.34%
Select International Equity Fund/1/ 21.94% N/A 13.68%
Select Growth Fund/2/ 22.02% N/A 12.65%
Select Growth and Income Fund/2/ 21.26% N/A 13.78%
Select Income Fund/2/ 3.32% N/A 5.91%
Money Market Fund/4/ 5.36% 4.38% 5.87%
T. Rowe Price International Series, Inc.
T. Rowe Price International
Stock Portfolio/5/ 14.70% N/A 9.94%
Fidelity Variable Insurance
Products Fund (VIPF)
Fidelity VIP Growth Portfolio/6/ 14.71% 15.16% 15.15%
Fidelity VIP Equity-Income Portfolio/6/ 14.28% 17.98% 13.74%
Fidelity VIP High Income Portfolio/7/ 14.03% 14.96% 11.12%
</TABLE>
Fund performance returns given above reflect an investment in the underlying
funds listed on the date of inception of each Fund.
/1/Inception May 1, 1994 /5/Inception March 31, 1994
/2/Inception August 21, 1992 /6/Inception October 9, 1986
/3/Inception April 28,1995 /7/Inception September 19, 1985
/4/Inception April 29, 1985
Fund performance returns in this report are historical 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.
7
<PAGE>
DOMESTIC & INTERNATIONAL EQUITY MARKET OVERVIEW
1990-1991: Economic recession in the United States. A deep depression affects
much of the former Soviet bloc countries.
1992: U.S. economy continues its slow recovery. Larger companies downsize while
smaller firms thrive.
1993: A year of low interest rates and strong growth in the emerging markets.
1994: Federal Reserve Board raises interest rates six times stalling equity
markets even while corporate earnings continued to grow.
1995: Favorable economic conditions result in tremendous gains for the U.S.
equity markets. Europe turns in strongest performance of international equity
markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
Sustained growth and increasing volatility characterized the domestic equity
market for 1996.
Strong company fundamentals and corporate profits propelled the stock market
upward throughout the year. Further support came from an increased demand for
equities, driven by corporate share repurchase programs, merger and acquisition
activity and huge cash flows into equity mutual funds. As a result, the Dow
turned in its sixth consecutive year of positive returns and stocks of companies
of all sizes delivered solid returns.
Little seemed to disrupt this year's stock market for long. Even a 7% plunge
during a two-week period in July, which was attributed to corporate earnings
disappointments and fears that a stronger economy might lead to higher interest
rates, was reversed within months. By early October, the Dow Jones Industrial
Average had climbed above the 6000 mark and set a string of new records
throughout November, culminating in the year's high of 6547.79.
Overall, the Dow gained 28% in 1996. While this lagged the remarkable 37%
return posted in 1995, it still exceeded most analysts' expectations of a 10%
return for stocks in 1996. Trading volume soared. The average number of shares
changing hands daily on the New York Stock Exchange alone hit a record 412
million shares, compared with the previous record of 346.1 million in 1995.
While demand remained steady, individual stocks and industries went in and out
of favor as investors struggled to predict which way interest rates would move -
and consequently which market segments would benefit from that shift. As of the
end of 1996, the chief beneficiaries continued to be large-capitalization and
blue-chip stocks. Energy, banks and semiconductors, three of 1995's best
performing sectors,
[TIMELINE APPEARS HERE]
A cold winter and rising oil prices stimulate energy stocks.
[GRAPHIC APPEARS HERE]
Economic data shows economy growing at a much faster rate than anticipated.
[GRAPHIC APPEARS HERE]
After a disappointing 1995, retail stocks recover, most notably in the footwear
industry, along with consumer confidence.
[GRAPHIC APPEARS HERE]
The strongest returns for international equity investors come from Europe and
selected parts of Asia.
[GRAPHIC APPEARS HERE]
8
<PAGE>
again turned in shining performances in 1996 as the fundamentals of each of
these industries continued to improve.
Footwear companies and securities brokers were also winning sectors. Oil
drilling, which was the single-best performing sector of the stock market, more
than doubled its return over 1995.
Strong investment returns also fueled new issue offerings. The two largest
markets in the United States, the New York Stock Exchange (NYSE) and the
National Association of Securities Dealers Automated Quotations (NASDAQ), had a
bumper crop of new companies listing with them for the first time. The roaring
bull market also enticed scores of foreign companies to U.S. markets.
On the global front, U.S. investors in international equities experienced the
most attractive results from European markets. On average, European stocks rose
20% last year, below the performance of U.S. stocks, but far better than
Japanese stocks. Based on Morgan Stanley's country indices, returns ranged as
high as 41% in Spain and 27% in the United Kingdom to 18% in Australia. German
stocks also delivered solid returns for the year.
In general, the best-performing sectors internationally included chemicals,
metals, oils, telecommunications and some consumer stocks, such as home
furnishings and retailers.
In the Far East, significant increases were found in several key markets. In
China, the stock market was favorably impacted from an easing of monetary policy
along with lower inflation. Hong Kong and Taiwan, China's neighbors, both had
stellar-performing stock markets in which each soared by over 30%. But in Japan,
stock market returns were disappointing, as its economic recovery sputtered and
never really regained speed.
In Australia, equities were affected by low economic growth, yet benefited
from a strengthening Australian dollar. As a result, the market produced modest
returns in 1996 and is expected to do better during the coming year. Closer to
home, the Canadian equity market accelerated, responding to a series of interest
rate cuts which were instituted to stimulate the economy and respond to lower
rates in the U.S.
Looking ahead, modest inflation, lower corporate earnings and much smaller
gains in stock prices are predicted for 1997. A slower growth in profits,
combined with disappointing corporate earnings, have typically deflated not just
the stock of the reporting company, but that of companies in the same industry.
In the case of a bellwether stock, its disappointing returns can depress the
market as a whole. These predictions could combine to increase volatility in the
market this year, as investors continue to worry about valuation levels and the
economy.
[TIMELINE APPEARS HERE]
Stock market plunges 7% in response to investor fears that a strong economy
might lead to higher interest rates.
[GRAPHIC APPEARS HERE]
Market rebounds as it becomes apparent President Clinton will win the upcoming
election, with few changes in the House and Senate.
[GRAPHIC APPEARS HERE]
The Dow Jones Industrial Average climbs to a record-breaking 6547.
[GRAPHIC APPEARS HERE]
The Dow gained 28% in 1996, fueled by blue-chip and large-cap performance. The
best-performing sectors were energy, banks and technology.
[GRAPHIC APPEARS HERE]
9
<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 price.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Durable Goods 22.39%
Technology 12.38%
Finance 10.46%
Energy 9.64%
Consumer Products 8.94%
Electronics 8.68%
Retail 6.20%
Chemicals and Drugs 5.53%
Health Services 4.60%
Cash Equivalents 2.95%
Other 8.23%
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. 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.
The Lipper Capital Appreciation Fund Average is a non-weighted index of 193
capital appreciation mutual funds. The Russell 2500 and 2000 Indices are
unmanaged composites of 2,500 and 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.
For the one-year period ending December 31, 1996, the Select Aggressive Growth
Fund posted a return of 18.55%, only narrowly underperforming its benchmark -
the Russell 2500 Index.
In general, returns for smaller capitalization stocks were mixed in 1996. For
the first half of the year, small company stocks with high growth rates were
among the equity market's best performers, benefiting from stronger-than-
expected economic growth. However, during the second half of the year, small
caps stumbled. Earnings disappointments, coupled with a much anticipated market
correction in July, increased volatility and renewed inflationary fears. As a
result, investors sought a greater degree of safety and liquidity from large-cap
stocks. This "flight to liquidity" left both small- and mid-cap stocks behind in
the fourth quarter.
Despite this shift in market sentiment, the Fund produced respectable overall
returns for the year. Specifically, sound stock selections within the retail
trade, technology and energy sectors significantly enhanced the Fund's
performance. Among the Fund's top-performing holdings were:
. Ross Stores, Inc. which operates a discounted-price, brand-name apparel
chain;
. McAffe Associates, Inc., a designer of computer software; and
. Reading & Bates Corp., a worldwide provider of off-shore drilling services.
Because of the considerable appreciation in the price of many large-cap
stocks, the most attractive relative values today appear to be in small- and
mid-cap stocks. Management also believes that other factors are converging to
create an appealing environment for smaller cap growth investors, including
lackluster profit growth for large companies, favorable interest rates, and
continued cash flows into mutual funds.
As the Fund's management looks forward to 1997, its outlook for small-cap
technology stocks is particularly bright. Less than 10% of these companies have
had major earnings estimate decreases over the past month. In fact, the average
estimate change has been positive. Management, therefore, believes that this
group has the potential to surprise investors on the upside during the coming
year.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
8/92 12/96
------------------
<S> <C> <C>
Select Aggressive Growth Fund 10,000 21,944
Russell 2000 Index 10,000 20,457
Russell 2500 Index 10,000 20,886
Lipper Capital Appreciation Fund Average 10,000 19,119
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year Life of Fund
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Select Aggressive Growth Fund 18.55% N/A 19.77%
Russell 2000 Index 16.49% 15.65% 18.07%
Russell 2500 Index 19.03% 16.00% 18.53%
Lipper Capital Appreciation Fund Average 16.31% 13.02% 15.90%
</TABLE>
10
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
For the year ended December 31, 1996, the Select Capital Appreciation Fund
returned 8.80%, well below the Russell 2500 Index return of 19.03%.
Although the Fund turned in impressive results at the mid-year point, its
disappointing year-end results stemmed from two late developments: the general
market's move to large capitalization stocks and disappointing returns from
several top holdings.
In general, small- to mid-cap stocks, where the Fund's holdings are
concentrated, lagged their larger counterparts, especially after July's market
decline. After this slide, investors sought safety and tended to flock toward
larger, highly liquid, well-established stocks because of their perceived
earnings predictability.
Pricing pressure also depressed returns, particularly as it affected
several of the Fund's leading positions. For example, HFS, a hotel franchiser,
was off from its recent peaks as the market grew concerned about the general
pace of its acquisitions.
Another top holding, Fastenal, a nuts and bolts manufacturer, experienced
pricing pressure after missing earnings estimates. Fortunately, this stock has
rebounded from its lows and remains a top performer. Paging Network, another one
of the Fund's major holdings, generated disappointing results throughout most of
the year. However, management is optimistic about the stock's potential, given
the company's plans to roll out a new portable voice messaging system.
On the positive side, the Fund had a number of very strong performers.
Among them were Rentokil (a pest control and offices services company), J.D.
Wetherspoon (a pub operator), and PizzaExpress -all British-based companies
which offer significant advantages over competitors in their respective
industries.
In looking ahead, Janus remains positive about the earnings potential for
the Fund's current holdings. They will continue to seek low-risk companies with
dominant market positions, specifically those that are under followed by the
market and believed to offer exceptional prospects for growth.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1995
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
4/95 12/96
------------------
<S> <C> <C>
Select Capital Appreciation Fund 10,000 15,184
S&P 500 (R) Index 10,000 14,974
S&P Mid Cap 400 (R) Index 10,000 14,111
Russell 2000 Index 10,000 13,993
Russell 2500 Index 10,000 14,343
Lipper Capital Appreciation Fund Average 10,000 14,272
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year Life of Fund
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Select Capital Appreciation Fund 8.80% N/A 28.34%
S&P 500(R)Index 22.96% 15.22% 27.39%
S&P Mid Cap 400(R)Index 19.20% 13.92% 23.12%
Russell 2000 Index 16.49% 15.65% 22.33%
Russell 2500 Index 19.03% 16.00% 24.16%
Lipper Capital Appreciation Fund Average 16.31% 13.02% 23.32%
</TABLE>
INVESTMENT SUB-ADVISER:
Janus Capital Corporation
ABOUT THE FUND:
The Fund seeks to construct a concentrated portfolio of rapidly growing
reasonably valued stocks.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Retail 20.95%
Business Services 12.17%
Food Services 4.64%
Finance 8.95%
Health Services 4.43%
Communications 5.95%
Consumer Services 5.89%
Building & Construction 3.82%
Cash Equivalents and U.S. Government and Agency Obligations 14.76%
Other 18.44%
The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. 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.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks.The S&P Mid Cap
400(R) Index is an unmanaged index consisting of 400 domestic stocks chosen for
market size, liquidity and industry group representation. S&P 500(R) Index and
the S&P Mid Cap 400(R) Index are registered trademarks of the Standard & Poor's
Corporation.
The Russell 2500 and 2000 Indices are unmanaged composites of 2,500 and 2,000
small capitalization stocks. The Lipper Capital Appreciation Fund Average is a
non-weighted index of 193 funds within the capital appreciation investment
objective. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
11
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Rowe Price-Fleming International, Inc.
ABOUT THE FUND:
The Portfolio seeks long-term growth through a highly diversified portfolio of
foreign stocks.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the geographic distribution of net assets was:
[PIE CHART APPEARS HERE]
Japan 20.1%
United Kingdom 16.2%
Netherlands 9.9%
France 8.5%
Hong Kong 4.6%
Switzerland 4.2% [GRAPH APPEARS HERE]
Germany 3.6%
Brazil 3.1%
Malaysia 3.0%
Sweden 2.6%
Other 24.2%
Past performance is no guarantee of future results. 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.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian
& Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 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.
For the one-year period ended December 31, 1996, the T. Rowe Price
International Stock Portfolio posted a healthy return of 14.70%, more than
doubling the return for its benchmark, the Morgan Stanley EAFE Index.
The Portfolio's strong performance throughout the year can be attributed
equally to strategic country allocations and sound stock selections, both of
which outpaced the indices.
Regarding country allocation, the portfolio remained biased toward the
fast-growing economies of the Pacific and Latin America. But the single largest
source of value was the Portfolio's limited exposure in Japan, versus the EAFE
Index, where the anticipated economic recovery sputtered but never really gained
speed.
Solid returns from the Portfolio's European holdings also contributed to
its outperformance of the benchmark. The Portfolio was overweighted in several
top-performing European countries, including the Netherlands, France and Norway.
Success in these regions more than offset the negative impact of the Portfolio's
limited exposure in the United Kingdom, which enjoyed a particularly strong
fourth quarter.
Successful stock selections, especially among the Portfolio's Pacific Rim
issues in Malaysia, Hong Kong and Singapore, also added significant value. Even
though the Portfolio was underweighted in Japan, its limited stock selections in
this area still proved astute. Management avoided Japan's fragile banking sector
and focused instead on Japanese manufacturers that export their products
overseas, since these companies benefited from the yen's weakness. Specific
issues from Latin America and Europe also positively influenced the year's
returns.
In 1997, the Portfolio's management expects that steady growth in the
international markets will finally outpace the aging U.S. bull market. If
corporate earnings remain strong, management believes a number of equity markets
worldwide may experience positive earnings surprises. In general, Rowe Price-
Fleming International will continue to target selected investment opportunities
in both Europe and Japan as well as in the smaller markets of Asia and Latin
America.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1994
- --------------------------------------------------------------------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
3/94 12/96
------------------
<S> <C> <C>
T.Rowe Price International Stock Portfolio $10,000 $12,982
Morgan Stanley EAFE Index $10,000 $12,381
Lipper International Fund Average $10,000 $11,617
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year Life of Fund
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
T. Rowe Price International Stock Portfolio 14.70% N/A 9.94%
Morgan Stanley EAFE Index 6.36% 8.49% 7.76%
Lipper International Fund Average 11.75% 10.09% 7.66%
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
For 1996, the Select International Equity Fund delivered an impressive return of
21.94%, significantly outperforming the Morgan Stanley EAFE Index return of
6.36%.
The Fund's outstanding performance can be attributed to the success of
several key portfolio themes as well as to individual stock selections within
those themes. For the year, the "positive banking environment" proved to be the
best-performing theme, as strong corporate cashflows increased dividend yields
and funded further acquisitions. In particular, Spain's Banco De Santander,
which announced its acquisition of a Latin American bank, added significant
value.
Other contributors to the Fund's strong performance were within the
"telecom-munications" theme. The shining star here was STET, as it announced
plans to merge into Telecom Italia and to sell SEAT, the Italian yellow pages.
The "restructuring opportunities" theme also uncovered impressive
opportunities. One such find was Royal Dutch Petroleum, which announced a joint
venture with Texaco covering their respective U.S. refining operations. Given
the increased market share and cost-savings this venture pro-mises, these
holdings should continue to deliver solid returns.
The "leisure activities" theme contributed to the Fund's overall
performance. For example, Ladbrooke Group continued to deliver strong returns,
following its acquisition of Hilton's international operations.
From a geographic perspective, equities based in Australia produced only
modest returns as they suffered from low growth in the economy but benefitted
from a strengthening Australian dollar. Even more disappointing were the Fund's
holdings in Indonesia and Thailand, both victims of some political difficulties.
In looking ahead, the Fund's management will continue a fully invested
posture, concentrating its holdings in the United Kingdom, the core continental
European markets and the Pacific Basin, except Japan.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
5/94 12/96
------------------
<S> <C> <C>
Select International Equity Fund 10,000 14,078
Morgan Stanley EAFE Index 10,000 11,782
Lipper International Fund 10,000 12,108
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year Life of Fund
- --------------------------------------------------------------------
<S> <C> <C> <C>
Select International Equity Fund 21.94% N/A 13.68%
Morgan Stanley EAFE Index 6.36% 8.49% 6.34%
Lipper International Fund Average 11.75% 10.09% 6.75%
</TABLE>
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management
ABOUT THE FUND:
Seeks maximum long-term total return by investing in established non-U.S.
companies based on fundamental value and strong opportunities for growth.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the geographic distribution of net assets was:
[PIE CHART APPEARS HERE]
United Kingdom 30.90%
Switzerland 8.55%
Australia 7.23%
Netherlands 10.51%
Singapore 7.25%
Malaysia 4.58%
Germany 5.58%
Indonesia 4.37%
Cash Equivalents 4.45%
Other 16.58%
The Select International Equity Fund is a portfolio of the Allmerica
Investment Trust.
Past performance is no guarantee of future results. 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.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian
& Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 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.
13
<PAGE>
- --------------------------------------------------------------------------------
Fidelity VIP* Growth Portfolio
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
The Portfolio seeks long-term capital appreciation by investing principally in
common stocks with above-average growth prospects.
PORTFOLIO COMPOSITION:
As of November 30 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Technology 26.83%
Health Care 10.18%
Retail and Wholesale 9.56%
Utilities 4.98%
Media & Leisure 6.65%
Durables 4.12%
Finance 7.37%
Energy 5.20%
Industrial Machinery and Equipment 3.92%
Non-Durables 3.26%
Other 17.93%
Past performance is no guarantee of future results. 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.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Capital Appreciation Fund Average is a non-weighted index of 193 capital
appreciation mutual funds. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
For the year ended December 31, 1996, the Fidelity VIP* Growth Portfolio
returned 14.71%, trailing both the S&P 500 Index of 22.96% and the Lipper
Capital Appreciation Fund Average of 16.31%.
Concern over slowing corporate earnings growth led to a relatively high
cash position, averaging 15% throughout 1996, more than double that of the
average U.S. equity fund level of approximately 6%. In an environment of
advancing equity prices, this high cash position negatively impacted results as
the Portfolio was not positioned to fully participate in market gains.
On the positive side, the Portfolio benefited from its position in
technology stocks. Sector positioning was concentrated in computer service,
systems, networking and semiconductor stocks - due to perceived strength in
earnings growth. Strong stock selection in the health care sector, i.e. drug
stocks, added value as investors anticipated potentially strong future earnings
from promising products. The Portfolio's media and leisure stocks, mostly gaming
companies, spurred results in the first half of the year, as strong consumer
spending boosted earnings. This same position, however, hurt performance during
the second half of 1996, as consumer spending slowed and investors feared too
many casinos were being opened.
Throughout 1996, a significant position in retail and wholesale stocks
produced mixed results for the Portfolio. For the first half of the year,
healthy consumer spending and benefits from cost-cutting produced above-average
returns for this sector. Unfortunately, a slowdown in consumer activity produced
below-market returns for the entire year.
Entering 1997, the Portfolio's management increased its commitment to
finance and energy stocks, believing earnings prospects for these sectors are
improving. The Portfolio remains overweighted in technology, media and leisure
stocks, forecasting potentially strong earnings growth. However, concerns over
weak holiday sales prompted management to reduce the Portfolio's position in
retail stocks. Management will continue to search for quality companies with
solid earnings growth prospects.
Growth of a $10,000 Investment Since 1986
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
12/86 12/96
------------------
<S> <C> <C>
Fidelity VIP* Growth Portfolio 10,000 40,998
S&P 500* Index 10,000 41,492
Lipper Capital Appreciation
Fund Average 10,000 35,362
</TABLE>
Average Annual Total Returns
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year 10 year
- ---------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* Growth Portfolio 14.71% 15.16% 15.15%
S&P 500(R)Index 22.96% 15.22% 15.29%
Lipper Capital Appreciation
Fund Average 16.31% 13.02% 12.48%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
14
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
For the year ended December 31, 1996, the Select Growth Fund returned 22.02%,
nearly mirroring the S&P 500(R) Index return of 22.96% and outpacing the 19.22%
return of the Lipper Growth Fund Average.
In the first half of the year, success in targeting the right sectors - as
well as the right stocks within those sectors - was largely responsible for the
Fund's success. It was strategically underweighted in several underperforming
sectors, including the telephone services and utilities industries.
In the second quarter, the Fund's management increased the portfolio's
exposure to energy stocks. The move was based on a belief that this particular
sector was attractively valued as it entered its seasonally strongest
performance period.
In the second half of the year, overweighted positions in retail and energy
detracted from results, particularly in the third quarter. In the fourth
quarter, the Fund limited its exposure in the finance and energy sectors, which
detracted from relative performance as these were two strong-performing
industries. Year-end profit-taking also impacted some of the Fund's leading
stocks.
On the brighter side, the Fund's allocation in technology added significant
value to the portfolio. Bolstered by its strong stock selection, including
holdings in Intel and Microsoft, the Fund now remains overweighted in software,
networking and systems outsourcing segments. Stock selection also played a major
role in other market sectors. Specifically, individual financial services and
health care holdings, such as Merck & Co., boosted overall returns.
While the Fund's management continues to be optimistic about the equity
market in general, they expect slow to moderate economic growth combined with
low inflation in 1997. If, however, a softer economy develops, large-cap growth
companies could benefit from the resulting profit growth and increased earnings
disappointments.
In looking ahead, the Fund's management is bullish on growth companies that
show strong potential for increasing profits and revenues.
Growth of a $10,000 Investment Since 1992
[LINE CHART APPEARS HERE]
<TABLE>
<CAPTION>
8/92 12/96
Inception Date
----------------------
<S> <C> <C>
Select Growth Fund $10,000 $16,799
S&P 500(R) Index $10,000 $20,051
Lipper Growth Fund Average $10,000 $18,520
</TABLE>
Average Annual Total Returns
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year Life of Fund
- --------------------------------------------------------------------
<S> <C> <C> <C>
Select Growth Fund 22.02% N/A 12.65%
S&P 500(R) Index 22.96% 15.22% 17.39%
Lipper Growth Fund Average 19.22% 13.03% 15.64%
</TABLE>
INVESTMENT SUB-ADVISER:
Putnam Investment Management, Inc.*
ABOUT THE FUND:
Seeks long-term growth of capital by investing in stocks of companies believed
to have significant potential for capital appreciation.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Chemicals and Drugs 15.74%
Technology 12.04%
Retail 7.70%
Durable Goods 9.30%
Finance 13.48%
Health Services 6.90%
Consumer Products 7.62%
Energy 7.08%
Aerospace-Aircraft 4.70%
Cash Equivalents 8.27%
Other 7.17%
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
*As of July 1, 1996, Putnam Investment Management, Inc. assumed sub-advisory
responsibilities for the Select Growth Fund.
Past performance is no guarantee of future results. 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.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 677 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
15
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP* EQUITY-INCOME PORTFOLIO
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
Seeks reasonable income by investing primarily in income-producing equity
securities.
PORTFOLIO COMPOSITION:
As of November 30, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Industrial Machinery & Equipment 4.76%
Finance 18.36%
Health Care 13.89%
Media & Leisure 4.98%
Retail & Wholesale 5.51%
Non-Durables 8.01%
Basic Industries 3.42%
Energy 14.09%
Technology 7.73%
Aerospace or Defense 4.38%
Other 14.87%
</TABLE>
Past performance is no guarantee of future results. 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.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Equity Income Fund Average is a non-weighted average of 164 funds seeking high
current income and growth of income by investing more than 60% of its portfolio
in equities. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
For 1996, the Fidelity VIP* Equity-Income Portfolio generated a total
return of 14.28%, versus 22.96% for the S&P 500(R) and 18.88% for the Lipper
Equity Income Fund Average.
The Portfolio emphasized the finance sector throughout the year, which
outperformed the S&P 500 for 1996. Within this sector, the Portfolio's
management concentrated on companies with large, fee-based revenue streams and
companies involved in cost-cutting and restructuring. Holdings ranged from non-
interest sensitive financials such as American Express and insurance companies
like Aetna to money center banks like Chase Manhattan.
The energy sector was another area of emphasis for the Portfolio during
1996. Management held a significant position in British Petroleum throughout the
year and added to its position in Royal Dutch Petroleum as the year progressed.
Because each of these stocks outperformed the S&P 500 for the year, the
Portfolio benefited from an emphasis on this group.
Certain technology issues also aided the Portfolio's performance,
especially IBM. Given the Portfolio's objective, it is not surprising that it
had a limited exposure to the technology sector. But since this area turned out
to be one of the best-performing groups of the year, the limited position
restrained performance.
Three other sector weightings also adversely affected performance. The
Portfolio's media and leisure stocks did not perform as expected, especially
Viacom Class B shares which was one of the Portfolio's larger holdings
throughout much of the year. Retail holdings also underperformed as a group and
the basic industry sector turned in disappointing results.
As of January 1997, the Portfolio will have a new manager. The new manager
is a veteran in the equity-income discipline and has built an excellent track
record. The Portfolio is likely to take on more of a value-oriented approach to
stock selection - looking for stocks that are out of favor and buying them when
the manager believes the stocks are attractively priced. In addition, stocks
offering above-market yields will be an important part of this new criteria of
stock selection.
------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1986
------------------------------------------------------------
[LINE CHART APPEARS HERE]
<TABLE>
<CAPTION>
6/86 12/96
------------------
<S> <C> <C>
Fidelity VIP* Equity-Income Portfolio $10,000 $36,228
S&P 500(R) Index 10,000 41,492
Lipper Equity Income Fund Average 10,000 31,537
</TABLE>
------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year 10 year
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* Equity-Income Portfolio 14.28% 17.98% 13.74%
S&P 500(R) Index 22.96% 15.22% 15.29%
Lipper Equity Income Fund Average 18.88% 13.56% 11.63%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
16
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
For the year ended December 31, 1996, the Select Growth and Income Fund
posted a solid net total return of 21.26%, slightly underperforming its
benchmark, the S&P 500(R) return of 22.96%.
Throughout the year, many of the Fund's holdings benefited from the
increasing global demand for American goods and services. In particular, its
positions in such multinational companies as Tupperware, General Electric,
Eastman Kodak and Avon bolstered overall performance.
Strong earnings from financial services stocks also added to the Fund's
value. A combination of favorable interest rates and ongoing consolidations
buoyed prices in several key holdings, including Chase Manhattan, Citicorp,
American Express and TIG Holdings. While high personal debt adversely affected
consumer spending, as demonstrated by lackluster Christmas sales, the Fund
benefited by avoiding stocks that are highly dependent on consumer sales.
Relative to the S&P 500, the Fund remained underweighted in technology
issues. This position reflects management's cautious view of the sector's
potential in light of its rising stock prices, intensifying competition, and
lengthy growth cycle. While this lack of exposure restrained overall
performance, fourth quarter results were enhanced by the Fund's position in IBM,
whose stock price rose in response to robust mainframe sales, internal
reorganizations, and its share repurchase program.
Also faring well were holdings in several companies such as Aetna, Lockheed
Martin, Allegheny Teledyne and Crown Cork & Seal that are aggressively reducing
expenses following large mergers. The Fund's management has also identified
several companies it believes will benefit from spinning off valuable divisions
or divesting underperforming operations. Such finds include W.R. Grace, Baxter,
Corning and Westinghouse.
Management has built a diversified portfolio of stocks emphasizing special
factors, and avoiding industry and sector overweighting. This portfolio has
strong defensive characteristics which management believes will allow the Fund
to progress in a more challenging environment.
Growth of a $10,000 Investment Since 1992
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
8/92 12/96
--------------------
<S> <C> <C>
Select Growth and Income Fund $10,000 $17,550
S&P 500(R) Index $10,000 $20,051
Lipper Growth & Income Fund Average $10,000 $18,426
</TABLE>
Average Annual Total Returns
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year 10 year
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Select Growth and Income Fund 21.26% N/A 13.78%
S&P 500(R) Index 22.96% 15.22% 17.39%
Lipper Growth & Income Fund Average 20.77% 13.84% 15.73%
</TABLE>
INVESTMENT SUB-ADVISER:
John A. Levin & Co., Inc.
ABOUT THE FUND:
Seeks a combination of long-term growth of capital and current income by
investing primarily in dividend-paying stocks and convertible securities.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Finance 11.17%
Durable Goods 12.71%
Aerospace-Aircraft 6.20%
Technology 7.33%
Energy 7.31%
Printing and Publishing 6.29%
Chemicals and Drugs 11.33%
Consumer Products 9.64%
Cash Equivalents 4.75%
Other 23.27%
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. 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.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Fund Average is a non-weighted index of 527 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.
17
<PAGE>
Bond & Money 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, sending bond prices sharply lower.
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.
1996: Outlook for Federal Reserve policy affects U.S. bond market. Long-
predicted interest rate cuts, which would have fueled this market, never occur.
After experiencing the euphoria of double-digit returns in 1995, investors
entered 1996 with expectations of strong performance. Poised for positive
results, investors expected a series of short-term interest rate reductions.
Recessionary fears dominated the outlook for the economy and forced the Federal
Reserve to lower interest rates by one-fourth of a percentage point early in the
first quarter.
While most market experts predicted further interest rate reductions, those
cuts never materialized. In fact, economic data showed the economy was growing
at a much faster rate than expected, as evidenced by the February Employment
Report which showed a 705,000 increase in jobs.
From that point on, investors and analysts alike worried which way interest
rates would move, leaving the fixed income market extremely vulnerable to sudden
shifts. Just as one economic indicator would point toward a reviving economy,
another one would show signs of slowing growth.
By the end of June, several signs of moderating growth seemed to calm
investor concerns that the economy was overheated. Prices of most commodities as
well as consumer goods remained subdued. The consumer, hampered by existing high
debt burdens, showed little inclination to go on a spending spree. And the
manufacturing sector, outside of autos, exhibited only modest signs of
improvement.
In the fall, the market settled down as it became apparent President
Clinton would be re-elected and the Republicans would control the House and
Senate.
Consequently, the bond market performed well, especially in October and
November, as yields on the 30-year Treasury bond fell to about 6.3%.
Unfortunately, year-end investor anxiety ultimately limited market gains.
[TIME LINE APPEARS HERE]
Investors worry all year about which way interest rates will move, leaving the
bond market vulnerable to sudden shift [GRAPHIC APPEARS HERE]
Anticipating a recession, Federal Reserve lowers target rate for Federal Funds
by 0.25% [GRAPHIC APPEARS HERE]
Economic data shows economy growing at a much faster rate than expected, bad
news for bond investors [GRAPHIC APPEARS HERE]
High yield bonds prove to be high-est performing sector of fixed income market.
18
<PAGE>
Overall, results were varied for different fixed income sectors. The effect
of the market's volatility was reflected in 30-year U.S. Treasury yields, as
their yield fluctuated from a low of 5.95% in January to a July high of 7.2%.
The Lehman Brothers Aggregate Bond Index, an industry benchmark, produced a
total return of 3.61% as of December 31, 1996, which was down from 1995's
spectacular 18.47% results.
Investing in corporate bonds in 1996, on the other hand, proved to be a
particularly sound strategy, as this segment of the bond market was one of the
year's best performers. Strong credit fundamentals, ongoing demand and a
moderate level of supply all contributed to its success. Among the top-returning
corporate sectors were energy, driven by stabilizing oil prices and airlines,
benefiting from the first industry profits since 1979.
Another truly bright spot in the fixed income securities market was high-
yield bonds, which returned approximately 13.5% for the year. Their relatively
strong performance can be attributed to two key factors. First, high-yield bonds
are less sensitive to changes in interest rates than other types of bonds.
Secondly, the strong U.S. economy allayed investors' concerns about credit risk
over the near-term. So even though the supply of new high-yield issues increased
during the second quarter of 1996, heavy demand sustained prices, because
investors sought higher yields.
In addition, mortgage-backed securities performed admirably for the year.
This sector of the fixed income market outperformed comparable Treasuries by
nearly one percentage point.
In the money markets, yields on bank certificates of deposits ended the
year just slightly higher than where they began the year. A one-year certificate
of deposit, for example, yielded approximately 4.95% - almost 1995's year-end
yield. As a result, the total return for Money Market funds closely approximated
their end of the year yield. The average seven-day compound yield on a taxable
money fund hovered around 4.85% for most of the year, while the yield on tax-
free funds fell to 2.98%.
For 1997, fixed income market analysts predict a sluggish global economy,
little inflation and robust employment and consumer confidence levels. These
factors seem to indicate that bond yields should remain fairly steady and total
returns for bond investors are likely to approximate their current yield.
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
|Markets rebound as
|it becomes apparent
|Corporate bonds |President Clinton will [PICTURE OF TOP
|outpace Treasury [PICTURE OF |win upcoming elec- OF CAPITAL
|bonds, driven by CITY BRIDGE |tion with few changes BUILDING APPEARS
|improving outlook APPEARS HERE] |in the House and HERE]
|and strong demand. |Senate.
| |
- ------------------------------------------------------------------------------------------------------------------------------------
JULY 96 AUG 96 SEPT 96 OCT 96 NOV 96 DEC 96
====================================================================================================================================
| | |
|Market volatility [PICTURE OF |Mortgage-backed [PICTURE OF |Fears persist that
|affects U.S. Treasury SUBURBAN HOUSE |securities outper- FRONT OF |Federal Reserve
|bonds, as they fluc- APPEARS HERE] |form comparable FEDERAL RESERVE |may again raise
|tuate from 5.95% to |Treasuries by nearly BUILDING APPEARS |rates to tighten
|a July high of 7.2%. |a percentage point. HERE] |money supply.
</TABLE>
19
<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.
PORTFOLIO COMPOSITION:
As of November 30, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Media 14.1%
Communications 16.7%
Leisure & Lodging 11.0%
Energy/Oil Gas 4.9%
Government Securities 3.6%
Retail Sales/ Merchandise 2.9%
Foods 3.2%
Finance/Banking 3.1%
Paper and Related 2.9%
Other 37.6%
Past performance is no guarantee of future results. 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.
The Salomon Brothers High-Yield Index tracks the performance of high yield
securities trades in the U.S. Bond Market. The Lipper High Current Yield Fund
Average is a nonweighted average of 148 funds that seek high current yield from
fixed income securities. 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.
During 1996, the Fidelity VIP* High Income Portfolio returned 14.03%,
outperforming the Lipper High Current Yield Fund Average which delivered 13.67%.
By far, the most positive influence on the Portfolio's performance was its
investment in the direct broadcast satellite company, Panamsat. Because Panamsat
provides an alternative to traditional wire-based cable services and offers
viewers in remote areas the opportunity to receive television programming, it
represented strong revenue and earnings growth. Panamsat bonds were further
boosted late in the year when the company received a takeover offer from GM
Hughes.
Several other holdings performed exceptionally well. Apparel Retailers Inc.
and energy companies, Flores & Rucks and Harcor Energy, enhanced portfolio
results as they successfully completed equity offerings and used the proceeds to
retire outstanding debt. The Portfolio's Time Warner holdings also appreciated
after the FCC approved its merger with Turner Broadcasting.
On the other hand, the Portfolio's cash position held back performance as
the high yield market continued to rally, fueled by strong inflows from mutual
and pension funds. The Portfolio's wireless cable company holdings also declined
in value, primarily because transitioning to newer digital technology is taking
longer than expected. Investors were also disappointed that the alliances
between regional bell companies and the cable companies failed to materialize.
Credit deterioration in holdings of Marvel Entertainment and Grand Casinos also
hurt results.
Overall, the high yield sector produced impressive returns this year. Given
the strong rally in the high yield bond market, the manager has positioned the
portfolio defensively for 1997. Over 11% of the Portfolio's assets are currently
in cash and nearly 4% are invested in government/ agency bonds. The Portfolio's
management plans to remain focused on shorter maturity securities, concentrating
on companies with improving balance sheets. It will also continue to look for
opportunities in telecommunication and cable companies as well as hotel and
gaming.
Growth of a $10,000 Investment Since 1986
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
6/86 12/96
------------------
<S> <C> <C>
Fidelity VIP* High Income Portfolio 10,000 28,610
Solomon Brothers High-Yield Index 10,000 29,130
Lipper High Current Yield Fund Average 10,000 25,072
</TABLE>
Average Annual Total Returns
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year 10 year
- --------------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* High Income Portfolio 14.03% 14.96% 11.12%
Solomon Brothers High-Yield Index 11.29% 12.72% 11.24%
Lipper High Current Yield Fund Average 13.67% 12.10% 9.38%
</TABLE>
*VIP refers to Variable Insurance Producers Fund.
20
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
The Select Income Fund wrapped up 1996 with a total return of 3.32%,
slightly underperforming its benchmark, the Lehman Brothers Aggregate Bond Index
return of 3.61%.
A surprisingly strong economy, rising interest rates and inflationary fears
all combined to depress this year's bond market as a whole. In this environment,
the Select Income Fund benefited from identifying attractive sectors and
selecting solid-performing issues - particularly in the areas of mortgage-backed
securities and corporate bonds.
Slightly reducing this advantage was the Fund's management of bond
durations. As is characteristic, the Fund's holdings remained concentrated in 3-
12 year maturities - slightly longer than its benchmark's position. While longer
duration bonds tend to fare better in declining interest rate markets, this
position detracted somewhat from overall results as interest rates unexpectedly
rose.
The Fund's management was particularly well rewarded in 1996 for assuming
some additional credit risk. While investing only in investment-grade issues,
they took advantage of the higher rates earned on lower rated issues within the
category. Value came mainly from the industrial and finance sectors - the prime
beneficiaries of the current economic recovery.
In the area of mortgage-backed securities, holdings were concentrated in
current coupon GNMA and FNMA securities, both of which enhanced the Fund's
returns throughout the year. In selecting specific issues of mortgage-backed
securities and corporate bonds, the Fund's management sought the most attractive
total return candidates, and successfully avoided any downgrades and defaults.
Looking ahead, Standish, Ayer & Wood anticipates sustainable, non-
inflationary levels of growth. Predicting that the Federal Reserve Board will
not rush to adjust rates in either direction, they expect the bond market to
trade in a relatively narrow range over the coming year. As a result, the Fund's
management believes the most attractive returns will come from the corporate and
mortgage categories. Thus it plans to seek attractive yield spreads primarily
from non-Treasury purchases, especially in the cyclical sectors.
Growth of a $10,000 Investment Since 1992
[LINE CHART APPEARS HERE]
<TABLE>
<CAPTION>
8/92 12/96
Inception Date
-------------------------
<S> <C> <C>
Select Income Fund $10,000 $13,294
Lehman Brothers Aggregate Bond Index $10,000 $13,270
Lipper Intermediate Investment Grade Fund Average $10,000 $12,703
</TABLE>
Average Annual Total Returns
<TABLE>
<CAPTION>
Life of
Years ended December 31, 1996 1 year 5 year Fund
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Select Income Fund 3.32% N/A 5.91%
Lehman Brothers Aggregate Bond Index 3.61% 7.03% 6.75%
Lipper Intermediate Investment Grade Fund Average 3.12% 6.51% 5.98%
</TABLE>
INVESTMENT SUB-ADVISER:
Standish, Ayer & Wood, Inc.
ABOUT THE FUND:
The Fund seeks above-average income from corporate bonds, mortgages and bonds
issued by the U.S. Government.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
U.S. Government and Agency Obligations 46.09%
Corporate Notes & Bonds 41.04%
Asset-Backed Securities 8.11%
Cash Equivalents and Other 4.76%
The Select Income Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. 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.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of average yield
U.S. investment grade bonds. Lipper Intermediate Investment Grade Fund Average
tracks the performance of 139 funds investing in intermediate-term corporate and
government debt securities. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
21
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Strives to maximize current income for investors with preservation of capital
and liquidity.
PORTFOLIO COMPOSITION:
As of December 31, 1996, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Commercial Paper 62.50%
U.S. Government and Agency Obligations 16.33%
Corporate Notes and Bonds 13.41%
Other Short-Term Investments 5.52%
Other 2.24%
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
The Fund is neither insured nor guaranteed by the U.S. government. There can be
no assurance that the Fund will be able to maintain its net asset value of $1.00
per share.
Past performance is no guarantee of future results. 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.
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 Fund Average is an unmanaged index of 290 funds within the
Money Market category.
While short-term interest rates and yields were both lackluster for the
year, the Money Market Fund delivered an impressive 5.36% return in 1996,
outperforming its benchmark, the IBC/Donoghue First Tier Money Market Index.
Throughout the year, investors and analysts alike worried which way
interest rates would move, leaving the fixed income market extremely vulnerable
to sudden shifts. Just as one economic indicator would point toward a reviving
economy, another one would show signs of slowing growth. The effect of all this
activity on the 30-year U.S. Treasury bond was evident, as its yield fluctuated
from a low of 5.95% on January 1 to its July high of 7.19%.
Despite these fluctuations, short-term interest rates remained relatively
stable and the Money Market Fund was able to deliver a surprisingly strong
performance relative to its benchmark. Not only was it able to preserve capital
and maintain liquidity, it generated attractive current income - largely because
it maintained a modestly longer average weighted maturity than the benchmark. As
a result, the Fund was rated one of the top-performing First Tier Taxable Funds
in IBC/Donoghue's Money Fund Report.
Against the backdrop of continually fluctuating economic growth, the Fund's
management focused on securities which tend to appreciate quickly during a
rising interest rate environment. Over the year, its holdings remained
concentrated in top-tier commercial paper and government agency discount notes.
Going forward, the Fund's management expects that inflation will remain in
check, under the watchful eye of the Federal Reserve and deterred by the ongoing
sluggishness of worldwide economies. Therefore, management plans to maintain a
longer average weighted maturity than its index, believing that this strategy
will help maximize income while minimizing risk.
Growth of a $10,000 Investment Since 1986
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
12/86 12/96
--------------------
<S> <C> <C>
Money Market Fund $10,000 $18,475
IBC/Donaghue First Tier Money Market Index $10,000 $17,147
Lipper Money Market Fund Average $10,000 $17,113
</TABLE>
Average Annual Total Returns
<TABLE>
<CAPTION>
Years ended December 31, 1996 1 year 5 year 10 year
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Money Market Fund 5.36% 4.38% 5.87%
IBC/Donoghue First Tier Money Market Index 4.88% 3.99% 5.54%
Lipper Money Market Fund Average 4.80% 3.96% 5.52%
</TABLE>
22
<PAGE>
-------------------------
Financials
-------------------------
[ART WORK APPEARS HERE]
<PAGE>
This page intentionally left blank.
<PAGE>
- --------------------------------------------------------------------------------
Select Aggressive Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.16%
Durable Goods - 22.39%
97,100 Apogee Enterprises, Inc. $ 3,859,725
23,200 Aspect Telecommunications Corp.* 1,473,200
104,300 Black Box Corp.* 4,302,375
122,400 BMC Software, Inc.* 5,064,300
121,800 Chrysler Corp. 4,019,400
99,100 CIBER, Inc.* 2,973,000
208,900 CompUSA, Inc.* 4,308,563
93,300 Compuware Corp.* 4,676,663
103,100 Comverse Technology, Inc.* 3,898,469
94,600 Dell Computer Corp.* 5,025,625
147,200 DSP Communications, Inc.* 2,852,000
88,200 Dynatech Corp.* 3,902,850
128,500 ENCAD, Inc.* 5,300,625
111,700 Fleetwood Enterprises, Inc. 3,071,750
92,800 Jabil Circuit, Inc.* 3,712,000
182,700 JLG Industries, Inc. 2,923,200
83,800 PeopleSoft, Inc.* 4,017,163
193,400 Rowan Cos., Inc.* 4,375,675
11,000 SPX Corp. 426,250
93,300 Storage Technology Corp.* 4,443,413
98,600 Tellabs, Inc.* 3,709,825
191,500 Varco International, Inc.* 4,428,438
99,400 Wind River Systems, Inc.* 4,709,075
103,700 Zoltek Cos., Inc.* 3,772,088
---------------
91,245,672
---------------
Technology - 12.38%
61,400 Aspen Technologies, Inc.* 4,927,350
76,400 Cisco Systems, Inc.* 4,860,950
54,600 Compaq Computer Corp.* 4,054,050
94,950 Computer Associates International, Inc. 4,723,763
66,500 Gartner Group, Inc., Class A* 2,589,344
81,600 Gateway 2000, Inc.* 4,370,700
31,700 Henry (Jack) & Associates, Inc. 1,133,275
85,312 McAfee Associates, Inc.* 3,753,728
71,700 Neurogen Corp.* 1,380,225
83,800 Ortel Corp.* 2,011,200
126,200 PairGain Technologies, Inc.* 3,841,213
81,100 Parametric Technology Corp.* 4,166,513
104,600 Sun Microsystems, Inc.* 2,686,913
119,600 Veritas Software Corp.* 5,950,100
---------------
50,449,324
---------------
Finance - 10.46%
106,500 Aames Financial Corp. 3,820,688
87,305 Bear Stearns Cos., Inc. 2,433,627
143,400 Countrywide Credit Industries, Inc. 4,104,825
92,800 Green Tree Financial Corp. 3,584,400
99,900 Greenpoint Financial Corp. 4,720,275
42,700 HCC Insurance Holdings, Inc. 1,024,800
154,600 Imperial Credit Industries, Inc.* 3,246,600
102,700 MBNA Corp. 4,262,050
39,300 Money Store, Inc. 1,085,663
22,000 Morgan Stanley Group, Inc. 1,256,750
80,700 Providian Corp. 4,145,963
72,400 Standard Federal Bancorp. 4,117,750
7,800 TCF Financial Corp. 339,300
99,066 Travelers Group, Inc. 4,495,120
---------------
42,637,811
---------------
Energy - 9.64%
96,450 Chesapeake Energy Corp.* 5,365,031
156,800 Global Industries, Ltd.* 2,920,400
238,200 Global Marine, Inc.* 4,912,875
244,700 Marine Drilling Cos., Inc.* 4,817,531
224,100 Noble Drilling Corp.* 4,453,988
74,000 Nuevo Energy Co.* 3,848,000
87,800 Parker & Parsley Petroleum Co. 3,226,650
196,000 Reading & Bates Corp.* 5,194,000
88,000 United Meridian Corp.* 4,554,000
---------------
39,292,475
---------------
Consumer Products - 8.94%
105,500 Ascend Communications, Inc.* 6,554,188
97,800 Blyth Industries, Inc.* 4,462,125
131,900 Harland (John H.) Co. 4,352,700
118,900 Jones Apparel Group, Inc.* 4,443,888
94,600 Liz Claiborne, Inc. 3,653,925
74,600 Meredith Corp. 3,935,150
87,500 Safeskin Corp.* 4,265,625
100,200 TJX Cos., Inc. 4,746,975
---------------
36,414,576
---------------
Electronics - 8.68%
184,900 Ancor Communications, Inc.* 2,588,600
69,400 Cascade Communications Corp.* 3,825,675
197,500 Digital Microwave Corp.* 5,505,313
10,500 Dionex Corp.* 367,500
52,200 Electronics for Imaging, Inc.* 4,293,450
160,000 GenRad, Inc.* 3,720,000
35,900 Intel Corp. 4,700,656
167,900 PMT Services, Inc.* 2,938,250
130,400 Western Digital Corp.* 7,416,500
---------------
35,355,944
---------------
Retail - 6.20%
28,800 Bed Bath & Beyond, Inc.* 698,400
247,500 Claire's Stores, Inc. 3,217,500
69,900 Gap, Inc. 2,105,738
102,300 Proffitts, Inc.* 3,772,313
131,000 Ross Stores, Inc. 6,550,000
89,500 Vons Cos., Inc.* 5,358,813
162,500 Woolworth Corp.* 3,554,688
---------------
25,257,452
---------------
Chemicals and Drugs - 5.53%
93,200 Dura Pharmaceuticals, Inc.* 4,450,300
117,450 Jones Medical Industries, Inc. 4,301,606
152,400 Medeva Plc, ADR 2,571,750
92,600 Medicis Pharmaceutical Corp., Class A* 4,074,400
165,000 Premark International, Inc. 3,671,250
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-1
<PAGE>
- --------------------------------------------------------------------------------
Select Aggressive Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Chemicals and Drugs (continued)
52,200 Quintiles Transnational Corp.* $ 3,458,250
--------------
22,527,556
--------------
Health Services - 4.60%
83,800 Guidant Corp. 4,776,600
74,400 HBO & Co. 4,417,500
33,500 Health Management Associates, Inc.,
Class A* 753,750
78,000 Medic Computer Systems, Inc.* 3,144,375
96,600 Oxford Health Plans, Inc.* 5,657,138
--------------
18,749,363
--------------
Recreational Equipment - 1.46%
57,300 Anchor Gaming* 2,306,325
63,000 Fila Holding Spa, ADR 3,661,875
--------------
5,968,200
--------------
Building and Construction - 1.44%
47,400 Loews Corp. 4,467,450
59,100 Shaw Group, Inc.* 1,381,463
--------------
5,848,913
--------------
Consumer Staples - 1.15%
72,300 Interstate Bakeries Corp. 3,551,725
10,000 Philip Morris Cos., Inc. 1,126,250
--------------
4,677,975
--------------
Metals and Mining - 1.05%
24,200 Mueller Industries, Inc.* 931,700
103,300 Oregon Metallurgical Corp.* 3,331,425
--------------
4,263,125
--------------
Pollution Control - 0.99%
127,400 U.S. Filter Corp.* 4,044,950
--------------
Business Services - 0.96%
65,500 HFS, Inc.* 3,913,625
--------------
Paper and Forest - 0.95%
139,500 Fort Howard Corp.* 3,862,406
--------------
Hotels-Leisure - 0.90%
140,300 Hilton Hotels Corp. 3,665,338
--------------
Broadcasting - 0.29%
36,300 Emmis Broadcasting Corp., Class A* 1,188,825
--------------
Consumer Service - 0.15%
17,400 Robert Half International, Inc.* 598,125
--------------
Total Common Stocks 399,961,655
(Cost $321,795,369) --------------
Par Value
---------
COMMERCIAL PAPER (A) - 2.92%
$11,910,000 Merrill Lynch & Co., Inc.
6.50% 01/02/97 11,907,850
--------------
Total Commercial Paper 11,907,850
(Cost $11,907,850) --------------
Shares
------
INVESTMENT COMPANIES - 0.03%
3,707 ILA Prime Obligation Money
Market Fund 3,707
90,491 ILA Prime Obligation Portfolio
Fund, Class B 90,491
--------------
Total Investment Companies 94,198
(Cost $94,198) --------------
Total Investments - 101.11% 411,963,703
(Cost $333,797,417) --------------
Net Other Assets and Liabilities - (1.11)% (4,521,670)
--------------
Net Assets - 100.00% $ 407,442,033
==============
</TABLE>
- ---------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1996, the aggregate cost of investment securities for tax
purposes was $333,797,417. Net unrealized appreciation (depreciation) aggregated
$78,166,286, of which $88,115,042 related to appreciated investment securities
and $(9,948,756) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1996
were $27,969,046. (Unaudited)
OTHER INFORMATION
For the year ended December 31, 1996, the aggregated cost of purchases and
the proceeds of sales, other than from short-term investments, included
$462,960,615 and $366,911,676 from non-governmental issuers, respectively.
See Notes to Financial Statements.
---------------------------------------------------------
F-2
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 79.50%
Retail - 20.95%
104,100 Family Golf Centers, Inc.* $ 3,136,012
218,250 Fastenal Co. 9,984,937
154,425 Global Directmail Corp.* 6,736,790
27,975 MSC Industrial Direct Co., Class A* 1,035,075
31,825 O'Reilly Automotive, Inc.* 1,018,400
153,550 Petco Animal Supplies, Inc.* 3,186,163
159,775 Pet Food Warehouse, Inc.* 669,058
154,700 Viking Office Products, Inc.* 4,128,556
----------------
29,894,991
----------------
Business Services - 12.17%
114,025 HFS, Inc.* 6,812,994
429,175 Paging Network, Inc.* 6,544,919
24,600 Paychex Inc. 1,265,362
44,925 Profit Recovery Group International, Inc.* 718,800
77,700 Teletech Holdings, Inc.* 2,020,200
----------------
17,362,275
----------------
Finance - 8.95%
35,800 Associates First Capital Corp., Class A 1,579,675
250 First Empire State 72,000
10,600 Fifth Third Bancorp 665,812
35,500 First USA Payment, Inc.* 1,202,562
240,575 Insignia Financial Group, Inc., Class A* 5,412,937
4,500 Medallion Financial Corp. 68,625
53,525 Protective Life Corp. 2,134,309
50,925 Schwab (Charles) Corp. 1,629,600
----------------
12,765,520
----------------
Communications - 5.95%
63,750 CommNet Cellular, Inc.* 1,777,031
47,450 Millicom International Cellular SA* 1,524,331
118,525 Omnipoint Corp.* 2,281,606
152,357 PriCellular Corp., Class A* 1,752,106
31,075 Univision Communications, Inc., Class A* 1,149,775
----------------
8,484,849
----------------
Consumer Services - 5.89%
8,975 Apollo Group, Inc., Class A* 300,101
189,375 Coinmach Laundry Corp.* 3,408,750
152,075 CUC International, Inc.* 3,611,781
31,600 Robert Half International* 1,086,250
----------------
8,406,882
----------------
Food Services - 4.64%
45,400 JP Foodservice, Inc.* 1,265,525
138,818 Papa John's International, Inc.* 4,685,108
33,975 Planet Hollywood, Inc., Class A* 671,006
----------------
6,621,639
----------------
Health Services - 4.43%
23,825 Boston Scientific Corp.* 1,429,500
38,250 Fresenius Medical Care, ADR* 1,075,781
82,100 Karrington Health, Inc.* 1,026,250
42,675 Omnicare Inc. 1,370,934
28,350 Teva Pharmaceutical 1,424,588
----------------
6,327,053
----------------
Building and Construction - 3.82%
35,550 Barnett, Inc.* 968,738
41,025 Dayton Superior Corp., Class A* 538,453
19,800 Littelfuse, Inc.* 960,300
5,025 Littelfuse, Inc., (Warrants), exp. 12/27/01* 198,488
66,950 Sealed Air Corp.* 2,786,794
----------------
5,452,773
----------------
Transportation - 3.67%
132,025 Wisconsin Central Transport Corp.* 5,231,491
----------------
Chemical and Drugs - 3.29%
79,825 Culligan Water Technologies, Inc.* 3,232,913
45,125 Depotech Corp.* 738,922
22,200 Forest Laboratories, Inc.* 727,050
----------------
4,698,885
----------------
Hotels -1.99%
83,825 Choice Hotels International* 1,477,416
30,400 Doubletree Corp.* 1,368,000
----------------
2,845,416
----------------
Computers - 1.49%
36,300 Concord EFS, Inc.* 1,025,475
34,275 Safeguard Scientific, Inc.* 1,088,231
1,513 Sanchez Computer Associates, Inc.* 11,915
----------------
2,125,621
----------------
Energy - 0.92%
45,725 Trigen Energy Corp. 1,314,594
----------------
Utilities - 0.52%
11,950 Cincinnati Bell, Inc. 736,419
----------------
Automotive Parts - 0.49%
44,925 APS Holding Corp.* 696,338
----------------
Minerals and Mining - 0.33%
11,325 Minerals Technologies, Inc. 464,325
----------------
Total Common Stocks 113,429,071
----------------
(Cost $107,425,973)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-3
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS - 13.51%
<S> <C> <C>
United Kingdom - 12.83%
556,706 Pizzaexpress, Plc $ 5,025,446
103,617 Pizzaexpress, Restricted Shares* 935,362
713,614 Rentokil Group, Plc 5,361,102
349,088 Wetherspoon (J.D.), Plc 6,989,514
----------------
18,311,424
----------------
France - 0.68%
5,954 Grand Optical 963,179
----------------
Total Foreign Common Stocks 19,274,603
----------------
(Cost $14,008,276)
Par Value
---------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 8.73%
Federal Home Loan Mortgage Corporation - 8.38%
$ 5,000,000 5.42%, 01/22/97 4,984,192
5,000,000 5.18%, 01/24/97 4,983,453
2,000,000 5.24%, 02/06/97 1,989,520
----------------
11,957,165
----------------
U.S. Treasury Bill - 0.35%
$ 500,000 5.19%, 01/09/97
$ 499,423
----------------
Total U.S. Government and
Agency Obligations 12,456,588
----------------
(Cost $12,456,588)
COMMERCIAL PAPER (A) - 6.03%
3,600,000 American Express Credit Corp.
6.55%, 01/02/97 3,599,345
5,000,000 General Electric Capital Corp.
5.90%, 01/02/97 4,999,181
----------------
Total Commercial Paper 8,598,526
----------------
(Cost $8,598,526)
Total Investments - 107.77% 153,758,788
----------------
(Cost $142,489,363)
Net Other Assets and Liabilities - (7.77)% (11,078,548)
----------------
Net Assets - 100.00% $ 142,680,240
================
</TABLE>
- ------------------------------------------
* Non income producing security.
ADR American Depositary Receipt
(A) Effective yield at time of purchase.
- ------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value For U.S. $ (Depreciation)
--------- ------------ ---------- ------------ ----------- --------------
<S> <C> <C> <C> <C> <C>
850,000 GBP 01/16/97 $ 1,452,556 $ 1,326,000 $ (126,556)
1,000,000 GBP 01/24/97 1,708,890 1,550,300 (158,590)
1,050,000 GBP 05/27/97 1,794,334 1,763,790 (30,544)
5,000 GBP 06/04/97 8,545 8,352 (193)
----------- ----------- -----------
$ 4,964,325 $ 4,648,442 $ (315,883)
=========== =========== ===========
</TABLE>
- ------------------------------------
GBP British Pound
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1996, the aggregate cost of investment securities for tax
purposes was $142,573,388. Net unrealized appreciation (depreciation) aggregated
$11,185,400, of which $18,060,303 related to appreciated investment securities
and $(6,874,903) related to depreciated investment securities.
As of December 31, 1996, the portfolio had capital loss carryforwards of
$2,360,458 which expires in 2004.
For the year ended December 31, 1996, the Portfolio has elected to defer
$295,407 of capital losses and $248,534 in currency losses attributable to
Post-October Losses.
OTHER INFORMATION
For the year ended December 31, 1996, the aggregated cost of purchases and
the proceeds of sales, other than from short-term investments, included
$173,016,119 and $82,286,672 from non-governmental issuers, respectively.
See Notes to Financial Statements.
----------------------------------------------------------
F-4
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 93.05%
<S> <C> <C>
Australia - 7.23%
270,340 Broken Hill Proprietary Co., Ltd. $ 3,847,762
656,720 National Australia Bank, Ltd. 7,719,723
711,270 News Corp Ltd. 3,751,132
402,900 WMC Ltd. 2,537,641
-----------
17,856,258
-----------
Finland - 0.71%
83,300 UPM-Kymmene* 1,744,073
-----------
France - 1.35%
31,000 Michelin, Class B 1,670,233
18,330 Elf Aquitaine 1,665,262
-----------
3,335,495
-----------
Germany - 5.58%
95,970 Hoechst AG 4,440,089
10,395 Mannesmann AG 4,466,633
44,060 Siemens AG 2,041,884
49,100 Veba AG 2,819,625
-----------
13,768,231
-----------
Hong Kong - 1.15%
132,600 HSBC Holdings 2,837,144
-----------
Indonesia - 4.37%
735,000 Gudang Garam 3,173,333
800,000 PT Hanjaya Mandala Sampoerna 4,266,666
263,000 Hero Supermarkets 194,815
767,000 Mayora Indah 357,122
716,000 PT Indocement Tunggal Prakarsa 1,091,047
986,000 Telekomunikasi Indonesia 1,700,719
-----------
10,783,702
-----------
Ireland - 1.54%
162,000 Allied Irish Banks 1,074,814
923,350 Smurfit (Jefferson) Group 2,719,243
-----------
3,794,057
-----------
Italy - 1.12%
608,010 STET Societa Finanziaria Telefonica 2,759,138
-----------
Japan - 2.09%
234,000 Canon, Inc. 5,161,023
-----------
Malaysia - 4.58%
483,000 Development &
Commercial Bank Holdings, Berhad 1,654,302
349,000 Hume Industries, Berhad 2,197,223
955,200 Sime-Darby, Berhad 3,763,301
409,000 United Engineers, Berhad 3,692,409
-----------
11,307,235
-----------
Mexico - 0.59%
691,700 Grupo Financiero Banamex, Series B 1,460,368
-----------
Netherlands - 10.51%
80,588 ABN-Amro Holdings 5,236,687
16,010 Dutch State Mines 1,577,179
320,250 Elsevier, NV 5,406,198
126,693 ING Groep, NV 4,555,782
25,931 Nutricia Ver Bedrijven 3,935,215
13,270 Royal Dutch Petroleum 2,323,754
76,655 Royal PTT Nederland, ADR 2,920,423
-----------
25,955,238
-----------
Philippines - 0.82%
460,300 San Miguel, Class B 2,030,221
-----------
Singapore - 7.25%
500,000 City Developments, Ltd. 4,503,799
361,000 Development Bank of Singapore 4,877,615
335,600 Fraser and Neave, Ltd., Ord 3,454,800
256,800 Singapore Press 5,066,903
-----------
17,903,117
-----------
Spain - 1.80%
29,465 Banco De Santander 1,882,407
154,300 Iberdrola SA 2,182,679
10,000 Repsol 382,856
-----------
4,447,942
-----------
Sweden - 0.92%
43,100 Pharmacia & Upjohn, Inc. 1,764,266
37,700 Stora Kopparbergs Bergslags Aktiebolag, Series A 519,008
-----------
2,283,274
-----------
Switzerland - 8.55%
5,024 Alusuisse Lonza Holdings, REGD 3,992,347
7,877 Novartis AG* 8,993,638
447 Roche Holdings AG 3,467,217
4,371 Schweiz Ruckverisch, REGD 4,651,867
-----------
21,105,069
-----------
Thailand - 1.99%
314,800 Bangkok Bank Public Co., Ltd. 3,044,863
297,800 Thai Farmers Bank Public Co., Ltd. 1,858,344
26,100 Thai Farmers Bank Public Co., Ltd.
(Warrants), exp. 09/15/02* 0
-----------
4,903,207
-----------
United Kingdom - 30.90%
271,350 Barclays Bank, Plc 4,645,933
749,750 B.A.T. Industries, Plc 6,216,364
553,577 BTR, Plc 2,690,436
196,000 Cable & Wireless, Plc 1,628,439
381,530 Cadbury Schweppes, Plc 3,215,593
187,350 Chubb Security, Plc 1,046,799
171,630 EMI Group, Plc 4,053,204
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-5
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
United Kingdom (continued)
24,000 General Accident, Plc $ 314,811
333,700 General Electric Co., Plc 2,181,453
185,300 Glaxo Wellcome, Plc 3,006,145
293,100 Granada Group, Plc 4,322,533
263,409 Grand Metropolitan, Plc 2,069,043
499,800 Ladbroke Group, Plc 1,975,761
594,550 Lloyds TSB Group, Plc 4,380,138
245,000 Medeva, Plc 1,071,231
279,100 Premier Farnell, Plc 3,586,955
503,750 Prudential Corp., Plc 4,237,062
400,300 Safeway, Plc 2,767,535
406,280 Scottish Power, Plc 2,447,340
191,000 Shell Transportation & Trading, Plc 3,306,172
308,600 Siebe Plc 5,714,120
472,850 TI Group, Plc 4,709,476
433,300 Vodafone Group, Plc 1,827,813
172,550 Zeneca Group, Plc 4,864,818
--------------
76,279,174
--------------
Total Common Stocks 229,713,966
(Cost $191,950,213) --------------
PREFERRED STOCK - 0.28%
153,835 News Corp., Ltd. (Australia) $ 684,231
--------------
Total Preferred Stock 684,231
(Cost $632,568) --------------
INVESMENT COMPANIES - 4.45%
5,049,038 ILA Prime Obligation Portfolio Fund, Class B 5,049,038
5,942,252 Lehman Brothers Prime Fund, Class A 5,942,252
--------------
Total Investment Companies 10,991,290
(Cost $10,991,290) --------------
Total Investments - 97.78% 241,389,487
--------------
(Cost $203,574,071)
Net Other Assets and Liabilities - 2.22% 5,487,449
--------------
Net Assets - 100.00% $ 246,876,936
==============
</TABLE>
- --------------------------------------------------------------------------------
* Non income producing security.
ADR American Depositary Receipt
<TABLE>
<CAPTION>
Industry Concerntration of Common and Preferred Stocks as Percentage
- --------------------------------------------------------------------
of Total Value of Investments:
- ------------------------------
<S> <C>
Finance 24.00%
Chemicals and Drugs 11.82
Telecommunications 7.58
Durable Goods 7.33
Consumer Goods and Services 6.75
Electronics 6.52
Tobacco 5.53
Food and Beverage 4.94
Utilities 4.52
Energy 3.99
Building and Construction 3.32
Basic Materials 3.18
Paper 2.02
Metals and Mining 1.03
Leisure and Entertainment 0.80
-------
Total 93.33%
=======
</TABLE>
<TABLE>
<CAPTION>
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
- ---------- ------------ ---------- ------------ ------------- --------------
<S> <C> <C> <C> <C> <C>
7,519,000 CHF 01/17/97 $ 5,617,697 $ 6,004,392 $ 386,695
13,552,000 CHF 02/19/97 10,169,256 10,754,702 585,446
10,523,000 DEM 02/27/97 6,861,226 6,989,380 128,154
5,331,000 DEM 02/03/97 3,470,733 3,485,680 14,947
9,875,000 NLG 01/16/97 5,727,161 5,790,091 62,930
8,553,000 NLG 03/05/97 4,971,049 4,902,135 (68,914)
10,670,000 NLG 03/17/97 6,206,731 6,202,226 (4,505)
----------- ----------- -----------
$43,023,853 $44,128,606 $ 1,104,753
=========== =========== ===========
</TABLE>
- ----------------------------
CHF Swiss Francs
DEM Deutsche Marks
NLG Dutch Guilders
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-6
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued - December 31, 1996
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1996, the aggregate cost of investment securities for tax
purposes was $203,574,128. Net unrealized appreciation (depreciation) aggregated
$37,815,359, of which $45,043,514 related to appreciated investment securities
and $(7,228,155) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December
31,1996 were $93,489. (Unaudited)
OTHER INFORMATION
For the year ended December 31, 1996, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $128,393,104
and $30,071,184 from non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-7
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS of December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------------------------
COMMON STOCKS - 96.57%
<S> <C> <C>
Chemicals and Drugs - 15.74%
79,500 Abbott Laboratories $ 4,034,625
23,500 Clorox Co. 2,358,812
43,000 duPont (E.I.) deNemours & Co. 4,058,125
31,600 Lilly (Eli) & Co. 2,306,800
63,100 Merck & Co., Inc. 5,000,675
106,500 Monsanto Co. 4,140,187
58,100 Pfizer, Inc. 4,815,037
75,100 Praxair, Inc. 3,463,987
32,900 Sherwin-Williams Co. 1,842,400
52,800 Warner-Lambert Co. 3,960,000
-----------
35,980,648
-----------
Finance - 13.48%
44,300 American Express Co. 2,502,950
38,500 Bank of Boston Corp. 2,473,625
42,100 BankAmerica Corp. 4,199,475
66,200 Barnett Banks, Inc. 2,722,475
25,700 Chase Manhattan Corp. 2,293,725
46,200 Citicorp 4,758,600
58,400 Federal National Mortgage Association 2,175,400
27,600 Franklin Resources, Inc. 1,887,150
20,200 Household International, Inc. 1,863,450
64,975 MBNA Corp. 2,696,462
71,166 Travelers Group, Inc. 3,229,157
-----------
30,802,469
-----------
Technology - 12.04%
62,100 Cisco Systems, Inc.* 3,951,113
32,600 Compaq Computer Corp.* 2,420,550
74,725 Computer Associates International, Inc 3,717,569
28,100 Computer Sciences Corp.* 2,307,713
63,400 EMC Corp.* 2,100,125
66,200 Honeywell, Inc. 4,352,650
64,000 Microsoft Corp.* 5,288,000
31,000 Parametric Technology Corp.* 1,592,625
24,300 3Com Corp.* 1,783,013
-----------
27,513,358
-----------
Durable Goods - 9.30%
27,900 Cascade Communications Corp.* 1,537,987
34,300 Case Corp. 1,869,350
53,300 CompUSA, Inc.* 1,099,313
59,600 General Electric Co. 5,892,950
37,300 Intel Corp. 4,883,969
44,000 PeopleSoft, Inc.* 2,109,250
38,000 Tellabs, Inc.* 1,429,750
38,100 Texas Instruments, Inc. 2,428,875
-----------
21,251,444
-----------
Retail - 7.70%
58,600 CVS Corp. 2,424,575
64,700 Dayton-Hudson Corp. 2,539,475
55,800 Federated Department Stores, Inc.* 1,904,175
44,400 Harcourt General, Inc. 2,047,950
44,600 Safeway, Inc.* 1,906,650
102,600 Sears Roebuck & Co. 4,732,425
51,200 Walgreen Co. 2,048,000
-----------
17,603,250
-----------
Consumer Products - 7.62%
47,800 Avon Products, Inc. 2,730,575
57,300 Eastman Kodak Co. 4,598,325
46,600 Liz Claiborne, Inc. 1,799,925
61,300 Nike, Inc., Class B 3,662,675
74,400 RJR Nabisco Holdings Corp. 2,529,600
44,200 TJX Cos., Inc. 2,093,975
-----------
17,415,075
-----------
Energy - 7.08%
57,500 Baker Hughes, Inc. 1,983,750
23,300 British Petroleum Co. Plc, ADR 3,294,038
56,600 Enron Corp. 2,440,875
41,000 Halliburton Co. 2,470,250
28,800 Schlumberger, Ltd. 2,876,400
60,400 Sonat, Inc. 3,110,600
-----------
16,175,913
-----------
Health Services - 6.90%
44,200 Cardinal Health, Inc. 2,574,650
43,800 HBO & Co. 2,600,625
49,800 HEALTHSOUTH Corp.* 1,923,525
55,500 Johnson & Johnson 2,761,125
31,200 Medtronic, Inc. 2,121,600
27,900 Oxford Health Plans, Inc.* 1,633,894
54,900 United States Surgical Corp. 2,161,687
-----------
15,777,106
-----------
Aerospace-Aircraft - 4.70%
43,100 Boeing Co. 4,584,763
29,700 Textron, Inc. 2,799,225
50,900 United Technologies Corp. 3,359,400
-----------
10,743,388
-----------
Consumer Staples - 2.61%
76,600 Gillette Co. 5,955,650
-----------
Printing and Publishing - 1.99%
31,400 Gannett Co., Inc. 2,351,075
27,700 Tribune Co. 2,184,838
-----------
4,535,913
-----------
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-8
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued - December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Communications - 1.68%
15,800 Cincinnati Bell, Inc. $ 973,675
72,100 Sprint Corp. 2,874,988
------------
3,848,663
Business Services - 1.63%
60,354 First Data Corp. 2,202,921
25,400 HFS, Inc.* 1,517,650
------------
3,720,571
------------
Hotels-Leisure - 1.11%
45,900 Marriott International, Inc. 2,535,975
------------
Food and Beverage - 1.09%
31,100 Campbell Soup Co. 2,495,775
------------
Building and Construction - 1.01%
19,900 Armstrong World Industries, Inc. 1,383,050
26,000 Lowe's Cos., Inc. 923,000
------------
2,306,050
------------
Consumer Service - 0.89%
72,900 Service Corp. International 2,041,200
------------
Total Common Stocks 220,702,448
(Cost $195,782,234) ------------
<CAPTION>
- --------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------
CERTIFICATE OF DEPOSIT - 1.31%
<S> <C> <C>
$3,000,000 Bayerische Vereinsbank AG
6.30%, 11/25/98 $ 3,000,000
------------
Total Certificate of Deposit 3,000,000
(Cost $3,000,000) ------------
COMMERCIAL PAPER (A) - 6.96%
2,500,000 Federal Home Loan Bank
5.61%, 06/12/97 2,441,162
3,000,000 Federal National Mortgage Association
5.34%, 03/17/97 2,966,625
10,500,000 Rohm & Haas Co.
6.75%, 01/02/97 10,498,031
------------
Total Commercial Paper 15,905,818
Cost ($15,905,818) ------------
Shares
------
INVESTMENT COMPANY - 0.00%
3,821 lLA Prime Obligation Portfolio
Fund, Class B 3,821
------------
Total Investment Company 3,821
(Cost $3,821) ------------
Total Investments - 104.84% 239,612,087
(Cost $214,691,873) ------------
Net Other Assets and Liabilities - (4.84)% (11,060,836)
------------
Net Assets -100.00% $228,551,251
============
</TABLE>
- -----------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1996, the aggregate cost of investment securities for tax
purposes was $214,739,419. Net unrealized appreciation (depreciation) aggregated
$24,872,668, of which $28,302,023 related to appreciated investment securities
and $(3,429,355) related to depreciated investment securities.
As of December 31, 1996, the portfolio had no capital loss carryforwards. During
1996, the fund utilized $2,730,483 of its capital loss carryforwards.
Distributions from long-term capital gains for the year ended December 31,1996
were $32,238,283. (Unaudited)
OTHER INFORMATION
For the year ended December 31, 1996, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $325,085,392
and $265,819,880 from non-governmental issuers , respectively.
See Notes to Financial Statements.
- --------------------------------------------------------
F-9
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 88.93%
Durable Goods - 12.71%
154,600 Corning, Inc. $ 7,150,250
106,200 Crown Cork & Seal Co., Inc. 5,774,625
64,000 General Electric Co. 6,328,000
314,500 Hanson Plc, ADR 2,122,875
92,500 McDermott International, Inc. 1,537,813
20,600 Rockwell International Corp.* 1,254,025
58,300 Texas Instruments, Inc. 3,716,625
313,000 Westinghouse Electric Corp. 6,220,875
65,700 Xerox Corp. 3,457,463
-------------
37,562,551
-------------
Chemicals and Drugs - 11.33%
87,800 Air Products & Chemicals, Inc. 6,069,175
82,800 Allegiance Corp. 2,287,350
63,000 duPont (E.I.) deNemours & Co. 5,945,625
104,200 Grace (W.R.) & Co. 5,392,350
36,400 Merck & Co., Inc. 2,884,700
92,000 Monsanto Co. 3,576,500
131,300 Pharmacia & Upjohn, Inc. 5,202,763
28,600 Warner-Lambert Co. 2,145,000
-------------
33,503,463
-------------
Finance - 11.17%
89,000 Aetna Life & Casualty Co. 7,120,000
58,900 Ahmanson (H.F.) & Co. 1,914,250
43,500 American Express Co. 2,457,750
70,000 Chase Manhattan Corp. 6,247,500
38,700 Citicorp 3,986,100
106,800 Northern Trust Corp. 3,871,500
219,000 TIG Holdings, Inc. 7,418,625
-------------
33,015,725
-------------
Consumer Products - 9.64%
123,700 Anheuser-Busch Cos., Inc. 4,948,000
51,100 Avon Products, Inc. 2,919,088
50,200 Eastman Kodak Co. 4,028,550
19,000 Kellogg Co. 1,246,875
77,500 Nabisco Holdings Corp., Class A 3,012,813
34,200 RJR Nabisco Holdings Corp. 1,162,800
30,100 Seagram Co., Ltd. 1,166,375
120,500 Tupperware Corp. 6,461,813
70,300 Varian Associates, Inc. 3,576,513
-------------
28,522,827
-------------
Technology - 7.33%
186,500 AirTouch Communications, Inc.* 4,709,125
116,400 Electronic Data Systems Corp. 5,034,300
61,100 Honeywell, Inc. 4,017,325
36,600 International Business Machines Corp. 5,526,600
54,700 ITT Corp.* 2,372,613
-------------
21,659,963
-------------
Energy - 7.31%
100,000 Amerada Hess Corp. 5,787,500
36,500 Amoco Corp. 2,938,250
43,400 Chevron Corp. 2,821,000
87,877 IMC Global, Inc. 3,438,188
86,400 Oryx Energy Co.* 2,138,400
60,000 Tenneco, Inc. 2,707,500
60,387 Union Pacific Resources Co. 1,766,320
-------------
21,597,158
-------------
Printing and Publishing - 6.29%
68,400 Reader's Digest Association, Inc.,
Class A 2,753,100
123,800 Time Warner, Inc. 4,642,500
92,400 Tribune Co. 7,288,050
211,100 U.S. West, Inc., Media Group* 3,905,350
-------------
18,589,000
-------------
Aerospace-Aircraft - 6.20%
44,500 AMR Corp. 3,921,563
19,546 Boeing Co. 2,079,206
60,000 Lockheed Martin Corp. 5,490,000
33,700 Northrop Grumman Corp. 2,788,675
95,200 Sundstrand Corp. 4,046,000
-------------
18,325,444
-------------
Metals and Mining - 2.88%
198,100 Allegheny Teledyne, Inc. 4,556,300
14,800 Molten Metal Technology, Inc.* 173,900
56,000 Phelps Dodge Corp. 3,780,000
-------------
8,510,200
-------------
Utilities - 2.74%
53,400 NYNEX Corp. 2,569,875
170,000 WMX Technologies, Inc. 5,546,250
-------------
8,116,125
-------------
Consumer Staples - 2.40%
105,300 Black & Decker Corp. 3,172,163
68,000 Litton Industries, Inc.* 3,238,492
6,100 Philip Morris Cos., Inc. 687,013
-------------
7,097,668
-------------
Health Services - 2.38%
160,000 Baxter International, Inc. 6,560,000
9,800 Johnson & Johnson 487,550
-------------
7,047,550
-------------
Retail - 2.12%
144,800 Wal-Mart Stores, Inc. 3,312,300
135,500 Woolworth Corp.* 2,964,064
-------------
6,276,364
-------------
Automotive - 1.92%
110,000 Ford Motor Co. 3,506,250
38,500 General Motors Corp., Class H 2,165,625
-------------
5,671,875
-------------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------
F-10
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Manufacturing - 1.18%
152,800 Owens-Illinois, Inc.* $ 3,476,200
-------------
Hotels-Leisure - 1.33%
246,000 Host Marriott Corp.* 3,936,000
-------------
Total Common Stocks 262,908,113
(Cost $219,239,811) -------------
PREFERRED STOCKS - 3.23%
30,100 AirTouch Communications, Inc., Class B 820,225
93,600 Globalstar Telecommunications, Ltd. 4,960,800
42,700 Microsoft Corp., Series A* 3,762,938
-------------
Total Preferred Stocks 9,543,963
(Cost $8,768,793) -------------
<CAPTION>
Par Value
- ---------
<S> <C> <C>
CORPORATE NOTES AND BONDS - 1.46%
$ 1,000,000 Ford Motor Credit Co., MTN
7.75%, 04/29/97 1,006,450
465,000 General Motors Acceptance Corp., MTN
7.85%, 11/17/97 472,928
1,490,000 Molten Metal Technology, Inc.
5.50%, 05/01/06 (A) 1,005,750
1,500,000 Platinum Technology, Inc.
6.75%, 11/15/01 1,826,250
-------------
Total Corporate Notes and Bonds 4,311,378
(Cost $4,484,232) -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 3.17%
Federal National Mortgage Association - 2.34%
7,000,000 5.34%, 03/17/97 6,922,125
-------------
Federal Home Loan Bank - 0.83%
2,500,000 5.61%, 06/12/97 2,441,163
-------------
Total U.S. Government Agency Obligations 9,363,288
(Cost $9,363,288) -------------
CERTIFICATE OF DEPOSIT - 0.67%
$ 2,000,000 Bayerische Vereinsbank AG
6.30%, 11/25/98 $ 2,000,000
-------------
Total Certificate of Deposit 2,000,000
(Cost $2,000,000) -------------
COMMERCIAL PAPER (B) - 4.05%
1,000,000 Cofco Capital Corp.
5.55%, 02/19/97 992,446
4,000,000 Receivables Capital Corp.
5.57%, 01/28/97 3,983,290
7,000,000 Rohm & Haas Co.
6.75%, 01/02/97 6,998,688
-------------
Total Commercial Paper 11,974,424
(Cost $11,974,424) -------------
<CAPTION>
Shares
- ------
<S> <C> <C>
INVESTMENT COMPANY - 0.03%
98,994 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 98,994
-------------
Total Investment Company 98,994
(Cost $98,994) -------------
Total Investments - 101.54% 300,200,160
(Cost $255,929,542)
Net Other Assets and Liabilities - (1.54)% (4,562,173)
-------------
Net Assets - 100.00% $295,637,987
=============
</TABLE>
- -----------------------------------
* Non income producing security.
MTN Medium Term Note
ADR American Depositary Receipt
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At December 31, 1996, this
security amounted to $1,005,750 or 0.34% of net assets.
(B) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1996, the aggregate cost of investment securities for tax
purposes was $255,929,724. Net unrealized appreciation (depredation) aggregated
$44,270,436, of which $49,153,318 related to appreciated investment securities
and $(4,882,882) related to depreciated investment securities.
Distributions form long-term capital gains for the year ended December 31, 1996
were $9,132,496. (Unaudited)
OTHER INFORMATION
For the year ended December 31, 1996, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $209,852,284
and $152,654,285 from non-governmental issuers, and $20,096,631 and $20,107,344
from U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (Unaudited) (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 46.09%
<C> <S> <C> <C>
Federal National Mortgage Association (B) - 14.60%
$ 265,694 7.00%, 07/01/23, Pool # 050765 Aaa $ 261,295
1,250,000 8.00%, 07/25/23, REMIC Aaa 1,326,563
272,433 7.00%, 12/01/23, Pool # 240476 Aaa 267,494
268,064 7.00%, 01/01/24, Pool # 261764 Aaa 263,204
42,536 7.00%, 05/01/24, Pool # 265289 Aaa 41,765
391,073 7.00%, 06/01/24, Pool # 283173 Aaa 383,983
877,601 7.00%, 06/01/24, Pool # 284717 Aaa 861,690
355,112 7.00%, 07/01/25, Pool # 307012 Aaa 347,453
304,344 7.00%, 07/01/25, Pool # 315035 Aaa 297,779
195,361 7.00%, 07/01/25, Pool # 317579 Aaa 191,147
906,184 7.00%, 08/01/25, Pool # 250345 Aaa 886,638
215,510 7.00%, 08/01/25, Pool # 318107 Aaa 210,861
151,829 7.00%, 08/01/25, Pool # 318348 Aaa 148,554
780,949 7.00%, 08/01/25, Pool # 318863 Aaa 764,104
425,405 7.00%, 08/01/25, Pool # 319485 Aaa 416,229
450,101 7.00%, 08/01/25, Pool # 320333 Aaa 440,392
298,775 7.00%, 09/01/25, Pool # 303555 Aaa 292,330
350,381 7.00%, 09/01/25, Pool # 317782 Aaa 342,824
376,104 6.50%, 01/01/26, Pool # 335089 Aaa 359,180
243,703 6.50%, 03/01/26, Pool # 340878 Aaa 232,432
292,435 7.00%, 04/01/26, Pool # 303841 Aaa 286,303
626,602 6.50%, 04/01/26, Pool # 344046 Aaa 598,060
774,785 6.50%, 05/01/26, Pool # 338413 Aaa 738,951
1,384,660 7.00%, 09/01/26, Pool # 345859 Aaa 1,355,180
-----------
11,314,411
-----------
Government National Mortgage Association (B) - 7.83%
139,408 9.00%, 05/15/16, Pool # 160578 Aaa 149,476
219,363 9.00%, 07/15/16, Pool # 162910 Aaa 235,332
538,553 9.00%, 10/15/16, Pool # 188832 Aaa 577,760
202,885 9.00%, 08/15/17, Pool # 231937 Aaa 217,233
400,726 9.00%, 12/15/17, Pool # 780201 Aaa 431,903
48,879 9.00%, 07/15/18, Pool # 257346 Aaa 52,336
16,135 9.00%, 11/15/19, Pool # 281963 Aaa 17,209
34,417 7.50%, 03/15/23, Pool # 342553 Aaa 34,578
845,688 7.00%, 07/15/23, Pool # 326534 Aaa 831,683
356,208 7.00%, 11/15/23, Pool # 370890 Aaa 349,974
395,881 7.00%, 02/15/24, Pool # 376403 Aaa 388,953
387,066 7.00%, 07/15/24, Pool # 352919 Aaa 380,292
139,027 9.00%, 08/15/24, Pool # 352129 Aaa 146,846
844,228 9.00%, 08/15/24, Pool # 403934 Aaa 891,708
235,057 9.00%, 11/15/24, Pool # 780029 Aaa 251,729
204,577 9.00%, 01/15/25, Pool # 403688 Aaa 215,637
288,494 7.00%, 07/15/25, Pool # 780204 Aaa 283,446
75,528 9.00%, 10/15/25, Pool # 380235 Aaa 79,775
503,885 9.00%, 08/15/26, Pool # 431960 Aaa 530,948
-----------
6,066,818
-----------
U.S. Treasury Bond - 8.38%
4,000,000 8.13%, 08/15/19 Aaa 4,626,880
1,650,000 7.88%, 02/15/21 Aaa 1,865,000
-----------
6,491,880
-----------
U.S. Treasury Notes - 7.12%
1,000,000 6.75%, 05/31/97 Aaa 1,005,160
375,000 5.13%, 02/28/98 Aaa 372,596
300,000 5.38%, 05/31/98 Aaa 298,452
450,000 6.25%, 07/31/98 Aaa 452,885
2,000,000 5.13%, 11/30/98 Aaa 1,973,440
300,000 6.88%, 07/31/99 Aaa 306,093
225,000 7.13%, 02/29/00 Aaa 231,644
675,000 6.13%, 07/31/00 Aaa 675,000
200,000 6.38%, 08/15/02 Aaa 201,312
-----------
5,516,582
-----------
Federal Home Loan Mortgages - 6.30%
369,771 6.50%, 03/01/26, Pool # D69086 Aaa 353,941
550,166 6.50%, 04/01/26, Pool # D69873 Aaa 526,140
987,517 7.50%, 05/01/26, Pool # D71610 Aaa 989,018
492,985 7.50%, 07/01/26, Pool # D72669 Aaa 493,734
663,472 7.50%, 08/01/26, Pool # C00473 Aaa 664,481
195,281 7.50%, 08/01/26, Pool # D73511 Aaa 195,578
197,332 7.50%, 08/01/26, Pool # D73883 Aaa 197,632
493,987 7.50%, 09/01/26, Pool # D74184 Aaa 494,738
966,567 7.50%, 09/01/26, Pool # D74568 Aaa 968,036
-----------
4,883,298
-----------
U.S. Treasury Bond, Interest Strip - 1.46%
1,300,000 4.30%, 08/15/08* Aaa 607,880
825,000 3.44%, 05/15/18* Aaa 192,027
1,525,000 3.35%, 02/15/19* Aaa 335,759
-----------
1,135,666
-----------
U.S. Agency Bond - 0.40%
304,807 Federal Deposit Insurance Corp.
Series 1994-C1, REMIC
7.85%, 09/25/25 Aaa 308,712
-----------
Total U.S. Government
and Agency Obligations 35,717,367
-----------
(Cost $35,409,385)
CORPORATE NOTES AND BONDS - 41.04%
Finance - 14.18%
600,000 Advanta Corp., Series B, MTN
7.00%, 05/01/01 Baa 601,272
550,000 BHP Finance USA, Ltd.
6.42%, 03/01/26 A 544,451
618,421 Chase Commercial Mortgage
Securities
7.60%, 12/18/05 NR 637,555
500,000 Duke Realty, LP
7.25%, 09/22/02 Baa 496,945
450,000 Finova Capital Corp.
6.45%, 06/01/00 Baa 448,430
275,000 Ford Motor Credit Co.
6.85%, 08/15/00 A 277,527
325,000 Ford Motor Credit Co.
5.75%, 01/25/01 A 314,620
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------
F-12
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (Unaudited) (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Finance (continued)
$ 400,000 Franchise Finance Corp. of America
7.00%, 11/30/00 Baa $ 400,116
600,000 General Electric Capital Corp.
6.66%, 05/01/18 Aaa 603,756
550,000 General Motors Acceptance Corp., MTN
6.70%, 04/30/01 A 551,535
650,000 Green Tree Financial Corp.
7.24%, 11/15/28 NR 638,014
125,000 Greyhound Financial Corp.
8.50%, 02/15/99 Baa 130,196
1,100,000 Highwoods/Forsyth, LP
6.75%, 12/01/03 Baa 1,079,177
500,000 Integra Financial Corp.
Subordinate Note
6.50%, 04/15/00 A 497,275
1,000,000 Merrill Lynch Mortgage Investors, Inc.
6.96%, 12/21/28 NR 929,380
625,000 Sears Roebuck Acceptance Corp., MTN
6.69%, 04/30/01 A 626,725
600,000 Security Connecticut Corp., MTN
7.13%, 03/01/03 Baa 588,408
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 Baa 475,187
1,150,000 United Companies Financial Corp.
7.70%, 01/15/04 Ba 1,150,000
-----------
10,990,569
-----------
Banking - 5.67%
275,000 Capital One Bank, MTN
8.13%, 03/01/00 Baa 285,791
325,000 Capital One Bank, MTN
5.95%, 02/15/01 Baa 313,957
550,000 Chase Manhattan Corp.
9.38%, 07/01/01 A 606,617
1,050,000 First Union Corp.
Subordinated Notes
6.55%, 10/15/35 A 1,021,797
450,000 First USA Bank, MTN
5.75%, 01/15/99 Baa 443,970
900,000 First USA Bank, MTN
7.00%, 08/20/01 Baa 900,252
400,000 St. George Bank, Ltd.
6.88%, 04/01/99 (A) Baa 400,632
425,000 St. George Bank, Ltd.
Subordinated Notes
7.15%, 10/15/05 (A) Baa 424,329
-----------
4,397,345
-----------
Securities Brokers and Dealers - 5.31%
190,000 Bear Stearns Cos., Inc.
Senior Note
6.75%, 08/15/00 A 191,138
150,000 Goldman Sachs Group, LP
6.88%, 09/15/99 (A) A 151,869
575,000 Goldman Sachs Group, LP
6.38%, 06/15/00 (A) A 571,332
400,000 Goldman Sachs Group, LP
6.20%, 12/15/00 A 391,352
575,000 Merrill Lynch & Co., Inc.
6.00%, 01/15/01 AA 563,937
400,000 Morgan Stanley Group, Inc.
8.10%, 06/24/02 A 422,076
50,000 Salomon, Inc., MTN
6.40%, 04/05/99 Baa 49,699
325,000 Salomon, Inc.
7.00%, 05/15/99 Baa 327,568
175,000 Salomon, Inc., MTN
6.82%, 07/26/99 Baa 176,155
100,000 Salomon, Inc.
7.13%, 08/01/99 Baa 101,122
250,000 Salomon, Inc., MTN
6.63%, 11/30/00 Baa 247,818
550,000 Salomon, Inc.
7.25%, 05/01/01 Baa 555,203
350,000 Smith Barney Holdings, Inc.
7.88%, 10/01/99 A 362,530
-----------
4,111,799
-----------
Real Estate - 4.33%
500,000 Avalon Properties, Inc.
Senior Note, REIT
7.38%, 09/15/02 Baa 504,425
400,000 ERP Operating, LP
8.50%, 05/15/99 (A) Baa 414,236
200,000 ERP Operating, LP
7.95%, 04/15/02 Baa 207,418
650,000 Meditrust, REIT
7.82%, 09/10/26 Baa 668,889
500,000 Shopping Center Associates
6.75%, 01/15/04 (A) A 486,025
450,000 Spieker Properties, LP
6.65%, 12/15/00 Baa 443,922
625,000 Trinet Corporate Realty Trust, Inc.
7.30%, 05/15/01 Baa 631,625
-----------
3,356,540
-----------
Industrial - 3.37%
1,200,000 Comdisco, Inc.
5.75%, 02/15/01 Baa 1,161,588
1,250,000 Cominco, Ltd.
6.88%, 02/15/06 Baa 1,193,263
250,000 Falconbridge, Ltd.
7.35%, 11/01/06 Baa 252,533
-----------
2,607,384
-----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-13
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (Unaudited) (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Print and Publishing - 2.49%
$ 275,000 News America Holdings, Inc.
9.50%, 07/15/24 Baa $ 312,048
200,000 News America Holdings, Inc.
7.70%, 10/30/25 Baa 189,328
575,000 Time Warner, Inc.
9.13%, 01/15/13 Ba 627,728
220,000 Time Warner, Inc.
9.15%, 02/01/23 Ba 238,478
575,000 Time Warner, Inc.
6.85%, 01/15/26 Ba 560,642
-----------
1,928,224
-----------
Insurance - 2.31%
575,000 Equitable Life Assurance Society
7.70%, 12/01/15 (A) A 574,759
800,000 Markel Corp.
7.25%, 11/01/03 Ba 792,408
400,000 USF & G Corp.
Senior Note
8.38%, 06/15/01 Baa 424,833
-----------
1,792,000
-----------
Oil, Gas, and Petroleum - 2.31%
1,350,000 Methanex Corp.
7.75%, 08/15/05 Baa 1,387,125
300,000 System Energy Resources, Inc.
6.00%, 04/01/98 Baa 298,050
100,000 System Energy Resources, Inc.
7.63%, 04/01/99 Baa 101,869
-----------
1,787,044
-----------
Manufacturing - 1.07%
425,000 Noranda Forest, Inc., Debenture
8.88%, 10/15/99 Baa 446,603
400,000 Scherer (R.P.) Corp.
Senior Note
6.75%, 02/01/04 Ba 385,124
-----------
831,727
-----------
Total Corporate Notes and Bonds 31,802,632
-----------
(Cost $32,145,791)
ASSET-BACKED SECURITIES - 8.11%
441,720 Advanta Mortgage Loan Trust, Series 93-4
5.50%, 03/25/10 Aaa 422,063
1,200,000 Contimortgage Home Equity Loan Trust,
Class A
6.88%, 01/15/28 Aaa 1,183,500
325,000 EQCC Home Equity Loan Trust, Series 1996-1
6.19%, 12/15/10 Aaa 314,454
925,000 EQCC Home Equity Loan Trust, Series 1996-4
6.89%, 10/15/11 Aaa 923,270
159,856 Fund America Investors Corp. II, 1993-F
5.40%, 09/25/09 Aaa 153,462
550,000 The Money Store Home Equity Trust, 1996-D
7.00%, 01/15/14 Aaa 547,080
625,000 The Money Store Home Equity Trust, 1996-B
7.18%, 02/15/15 Aaa 632,425
575,000 Mortgage Capital Funding, Inc., Series
96-MC-1
7.90%, 02/15/06 NR 609,500
118,419 Resolution Trust Corp.
8.00%, 04/25/25 Baa 120,750
275,000 Resolution Trust Corp.
6.90%, 06/01/25 A 270,188
285,312 Resolution Trust Corp.
7.45%, 09/15/25 Baa 284,242
625,000 Resolution Trust Corp.
8.00%, 06/25/26 NR 640,431
181,622 UCFC Home Equity Loan Trust, 1994-B2
7.10%, 03/10/23 Aaa 182,871
-----------
Total Asset-Backed Securities 6,284,236
-----------
Cost ($5,634,889)
COMMERCIAL PAPER (C) - 2.19%
1,700,000 Federal National Mortgage Association
5.52%, 01/16/97 Aaa 1,696,276
-----------
Total Commercial Paper 1,696,276
-----------
(Cost $1,696,276)
<CAPTION>
Shares
------
<S> <C> <C>
INVESTMENT COMPANY - 1.44%
1,118,722 ILA Prime Obligation Portfolio Fund, Class B 1,118,722
-----------
Total Investment Company 1,118,722
-----------
(Cost $1,118,722)
Total Investments - 98.87% 76,619,233
-----------
(Cost $76,005,063)
Net Other Assets and Liabilities - 1.13% 879,110
-----------
Net Assets - 100.00% $77,498,343
===========
</TABLE>
- --------------------------
* 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) 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, 1996,
these securities amounted to $3,023,182 or 3.90% of net assets.
(B) Pass Through Certificates
(C) Effective yield at time of purchase.
MTN Medium Term Note
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
--------------------------------------------------------
F-14
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1996, the aggregate cost of investment securities for tax
purposes was $76,015,026. Net unrealized appreciation (depreciation) aggregated
$604,207, of which $1,047,795 related to appreciated investment securities and
$(443,588) related to depreciated investment securities.
As of December 31, 1996, the portfolio had capital loss carryforwards which
expire as follows: $934,165 in 2002; and $500,277 in 2004.
OTHER INFORMATION
For the year ended December 31, 1996, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $29,126,201
and $16,858,910 from non-governmental issuers, respectively, and $59,448,370 and
$53,460,429 from U.S. Government and Agency issuers, respectively.
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings (Unaudited)
<S> <C>
Aaa 56.13%
Aa 0.75
A 10.41
Baa 23.16
Ba 4.97
NR (Not Rated) 4.58
-------
100.00%
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-15
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE NOTES AND BONDS - 13.41%
Automotive - 4.97%
$ 3,000,000 American Honda Finance Corp., MTN
5.62%, 08/15/97* (B) $ 3,000,000
1,000,000 Ford Motor Credit Co., MTN
5.49%, 05/05/97* 999,851
200,000 General Motors Acceptance Corp., MTN
7.00%, 05/19/97 200,863
2,500,000 General Motors Acceptance Corp., MTN
5.46%, 06/04/97* 2,498,382
1,100,000 General Motors Acceptance Corp., MTN
6.50%, 07/25/97 1,104,943
3,000,000 General Motors Acceptance Corp., MTN
5.72%, 08/01/97* 3,002,449
-----------
10,806,488
-----------
Security Brokers, Dealers and Exchanges - 3.46%
3,000,000 Bear Stearns Cos., Inc., MTN
5.60%, 10/08/97* 3,000,000
2,500,000 Morgan Stanley Group, Inc., MTN
5.79%, 02/14/97* 2,500,527
2,000,000 Paine Webber Group, Inc., MTN
Senior Note
8.63%, 03/03/97 2,010,047
-----------
7,510,574
-----------
Finance - 2.30%
1,000,000 Associates Corp. of North America
Senior Note
6.88%, 01/15/97 1,000,410
1,000,000 NBD Bank of North America, MTN
4.60%, 02/03/97 998,956
500,000 NBD Bank of North America, MTN
6.50%, 05/27/97 501,127
2,500,000 PNC Bank, MTN
5.32%, 03/24/97* 2,499,512
-----------
5,000,005
-----------
Food and Beverage - 1.15%
2,500,000 PepsiCo, Inc.
6.13%, 01/15/98 2,509,191
-----------
Utilities - 0.93%
1,000,000 Potomac Electric Power Co., MTN
6.70%, 05/28/97 1,002,687
1,000,000 Southwestern Bell Capital Corp., MTN
7.75%, 10/30/97 1,014,477
-----------
2,017,164
-----------
Retail - 0.60%
1,300,000 Sears Roebuck & Co., MTN
5.22%, 02/24/97 1,298,322
-----------
Total Corporate Notes and Bonds 29,141,744
-----------
(Cost $29,141,744)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 16.33%
Federal Home Loan Bank (A) - 6.90%
770,000 5.24%, 02/19/97 764,508
3,000,000 5.22%, 03/07/97 2,971,725
7,000,000 5.25%, 05/02/97 6,876,479
1,500,000 5.17%, 06/23/97 1,462,733
1,500,000 5.61%, 07/07/97 1,456,289
1,500,000 5.22%, 08/15/97 1,450,845
-----------
14,982,579
-----------
Federal Farm Credit Bank (A) - 5.53%
5,000,000 5.19%, 05/28/97 4,894,038
335,000 5.19%, 05/29/97 327,852
1,000,000 5.27%, 06/18/97 975,407
2,625,000 5.25%, 10/31/97 2,509,833
3,500,000 5.28%, 12/18/97 3,319,991
-----------
12,027,121
-----------
U.S. Treasury Notes - 2.30%
2,000,000 5.50%, 07/31/97 1,996,406
3,000,000 6.00%, 08/31/97 3,005,118
-----------
5,001,524
-----------
Federal National Mortgage Association (A) - 1.60%
3,500,000 5.47%, 02/27/97 3,469,521
-----------
Total U.S. Government
and Agency Obligations 35,480,745
-----------
(Cost $ 35,480,745)
MUNICIPAL BOND - 1.15%
2,500,000 De Kalb County, Georgia
Development Authority Revenue
5.55%, 02/04/97 2,500,000
-----------
Total Municipal Bond 2,500,000
-----------
(Cost $2,500,000)
</TABLE>
See Notes to Financial Statements.
-----------------------------------------
F-16
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (A) - 62.50%
<S> <C> <C>
Finance - 22.41%
$3,520,000 Asset Backed Capital Finance, Inc.
5.51%, 03/17/97* $ 3,480,267
1,000,000 Asset Backed Capital Finance, Inc.
5.45%, 05/12/97 980,168
5,000,000 Asset Backed Capital Finance, Inc.
5.53%, 11/14/97* 4,999,160
5,000,000 Clipper Receivables Corp.
5.45%, 01/16/97 4,988,646
2,000,000 Cofco Capital Corp.
5.40%, 02/14/97 1,986,800
2,000,000 Cofco Capital Corp.
5.55%, 02/19/97 1,984,892
2,400,000 Finance One Funding Corp.
5.45%, 02/13/97 2,384,377
3,000,000 Galacia Funding Corp.
5.67%, 03/05/97 2,970,233
2,000,000 Pegasus Two, Ltd.
5.55%, 02/21/97 1,984,275
3,000,000 Pegasus Two, Ltd.
5.42%, 03/10/97 2,969,287
4,000,000 Receivables Capital Corp.
5.48%, 01/17/97 3,990,258
5,493,000 Receivables Capital Corp.
5.30%, 02/07/97 5,462,740
5,000,000 Standard Credit Card Master Trust I
5.52%, 01/14/97 4,990,033
1,200,000 Toshiba International Finance
5.55%, 01/24/97 1,195,745
2,400,000 Toshiba International Finance
5.35%, 04/15/97 2,362,907
2,000,000 Toshiba International Finance
5.42%, 06/09/97 1,952,123
--------------
48,681,911
--------------
Consumer Goods - 6.47%
5,000,000 Den Danske Corp.
5.37%, 01/09/97 4,994,033
3,000,000 Den Danske Corp.
5.34%, 02/10/97 2,982,200
1,000,000 Duracell Inc.
6.00%, 01/02/97 999,833
2,500,000 Penney (J.C.) Funding Corp.
5.39%, 03/19/97 2,471,178
630,000 Sharp Electronics Corp.
5.34%, 02/14/97 625,888
2,000,000 Sharp Electronics Corp.
5.33%, 02/21/97 1,984,898
--------------
14,058,030
--------------
Other- 5.49%
4,000,000 Massachusetts Educational Finance Authority
6.10%, 01/02/97 3,999,322
8,000,000 Nebhelp Capital Services, Inc.
5.34%, 02/24/97 7,935,920
--------------
11,935,242
--------------
Banking - 5.41%
5,000,000 Banco Bradesco SA Grand Cayman
5.30%, 04/28/97 4,913,875
3,000,000 Banco De Credito Nacional SA
5.65%, 06/06/97 2,926,550
4,000,000 Unifunding, Inc.
5.32%, 05/12/97 3,922,564
--------------
11,762,989
--------------
Security Brokers, Dealers and Exchanges - 5.23%
3,000,000 CS First Boston, Inc.,
5.29%, 04/02/97 2,959,884
2,500,000 Merrill Lynch & Co., Inc.
5.36%, 04/23/97 2,458,311
3,000,000 Paine Webber Group, Inc.
5.55%, 01/10/97 2,995,838
3,000,000 Paine Webber Group, Inc.
5.35%, 05/12/97 2,941,596
--------------
11,355,629
--------------
Automotive Financing- 4.32%
2,500,000 General Motors Acceptance Corp.
5.72%, 02/14/97 2,482,522
925,000 General Motors Acceptance Corp.
5.37%, 05/01/97 908,443
6,000,000 Mitsubishi Motors Credit Of America
5.97%, 01/15/97 5,987,330
--------------
9,378,295
--------------
Utilities - 3.55%
1,200,000 Electricite De France
6.00%, 01/02/97 1,199,800
800,000 Laclede Gas Co.
5.65%, 01/21/97 797,489
3,000,000 Northern Indiana Public Service Co.
5.40%, 02/03/97 2,985,150
2,750,000 Northern Indiana Public Service Co.
5.41%, 02/07/97 2,734,709
--------------
7,717,148
--------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-17
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Industrial - 3.45%
$5,000,000 Cargill
5.90%, 01/06/97 $ 4,995,904
2,500,000 Corporate Receivables Corp.
5.42%, 01/13/97 2,495,483
--------------
7,491,387
--------------
Transportation - 3.44%
2,500,000 Cooperative Association of Tractor Dealers
5.60%, 01/21/97 2,492,222
1,000,000 Cooperative Association of Tractor Dealers
5.33%, 02/03/97 995,114
2,500,000 Cooperative Association of Tractor Dealers
5.40%, 02/04/97 2,487,250
1,500,000 Daimler-Benz North America Corp.
5.40%, 02/12/97 1,490,550
--------------
7,465,136
--------------
Paper - 2.73%
6,000,000 Jefferson Smurfit Finance Corp.
5.40%, 03/18/97 5,931,600
--------------
Total Commercial Paper 135,777,367
(Cost $135,777,367) --------------
BANKERS' ACCEPTANCE - 4.07%
1,157,242 Bank of Boston
5.50%, 02/24/97 1,147,695
1,900,000 Chase Manhattan Bank
5.45%, 03/04/97 1,882,166
2,000,000 Corestates Capital Corp.
5.43%, 01/23/97 1,993,363
1,419,450 European Investment Bank
5.50%, 03/24/97 1,401,667
1,308,708 European Investment Bank
5.35%, 04/28/97 1,285,953
1,150,000 Republic National Bank of New York
5.45%, 03/14/97 1,137,465
------------
Total Bankers' Acceptance 8,848,309
(Cost $8,848,309) ------------
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-18
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANY - 0.30%
<S> <C> <C>
642,025 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund $ 642,025
---------------
Total Investment Company 642,025
(Cost $642,025) ---------------
Total Investments - 97.76% 212,390,190
(Cost $212,390,190) ---------------
Net Other Assets and Liabilities - 2.24% 4,865,542
---------------
Net Assets - 100.00% $ 217,255,732
===============
</TABLE>
- ------------------------------
* Interest is reset at various time intervals. The rate shown is that in
effect at December 31, 1996.
(A) Effective yield at time of purchase.
(B) Securities exempt from registration under rule 144A of the Securities Act of
1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. As of December 31, 1996,
these securities amounted to $3,000,000 or 1.38% of net assets.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1996, the aggregate cost of investment securities for tax
purposes was $212,390,359.
As of December 31, 1996, the portfolio had capital loss carryforwards which
expire as follows: $347 in 2002; $144 in 2003; and $35,977 in 2004.
OTHER INFORMATION
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
Moody's Ratings (Unaudited)
Aaa 100.00%
See Notes to Financial Statements.
- --------------------------------------------------------
F-19
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES . December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select
Aggressive Capital International
Growth Fund Appreciation Fund Equity Fund
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost .............................. $ 333,797,417 $ 142,489,363 $ 203,574,071
Net unrealized appreciation (depreciation)........ 78,166,286 11,269,425 37,815,416
--------------- --------------- ---------------
Total investments at value....................... 411,963,703 153,758,788 241,389,487
Cash................................................... 4,298 279,617 529,722
Foreign currency
(Cost $840,658 and $3,984,676, respectively)
(Notes 2 and 7)................................... -- 848,168 3,984,446
Receivable for investments sold........................ -- 558,307 --
Receivable for shares sold............................. 129,681 11,880 --
Receivable for foreign currency sold................... -- 40,847 --
Interest and dividend receivables...................... 128,368 1,557 531,820
Deferred organizational expense (Note 2)............... -- 4,255 --
Dividend tax reclaim receivables....................... -- 11,627 132,914
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8)............ -- -- 1,104,753
--------------- --------------- ---------------
Total Assets...................................... 412,226,050 155,515,046 247,673,142
--------------- --------------- ---------------
LIABILITIES:
Net unrealized depreciation on forward foreign
currency contracts (Notes 2 and 8).................. -- 315,883 --
Payable for investments purchased...................... 3,870,522 11,473,685 --
Payable for foreign currency purchased................. -- 875,457 --
Payable for shares repurchased......................... 516,901 51,027 570,617
Payable for variation margin........................... -- -- --
Advisory fee payable (Note 3).......................... 342,467 115,732 199,888
Accrued expenses and other payables.................... 54,127 3,022 25,701
--------------- --------------- ---------------
Total Liabilities................................. 4,784,017 12,834,806 796,206
--------------- --------------- ---------------
NET ASSETS........................................ $ 407,442,033 $ 142,680,240 $ 246,876,936
=============== =============== ===============
NET ASSETS consist of
Paid-in capital (Note 6)............................... $ 322,489,225 $ 134,405,301 $ 206,373,860
Undistributed (distribution in excess of)
net investment income (loss)........................ -- 67,349 180,441
Accumulated (distribution in excess of ) net realized
gain (loss) on investments sold, foreign
currency transactions and futures contracts......... 6,786,522 (2,739,890) 1,388,245
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency.................................... 78,166,286 10,947,480 38,934,390
--------------- --------------- ---------------
TOTAL NET ASSETS........................................ $ 407,442,033 $ 142,680,240 $ 246,876,936
=============== =============== ===============
Shares of beneficial interest outstanding
(unlimited authorization, no par value).............. 200,053,471 96,106,648 182,088,352
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ....................... $ 2.037 $ 1.485 $ 1.356
=============== =============== ==============
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-20
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Select Select Growth Select Money
Growth and Income Income Market
Fund Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost .............................. $ 214,691,873 $ 255,929,542 $ 76,005,063 $ 212,390,190
Net unrealized appreciation (depreciation)........ 24,920,214 44,270,618 614,170 --
--------------- --------------- ---------------- ---------------
Total investments at value....................... 239,612,087 300,200,160 76,619,233 212,390,190
Cash................................................... 8,960 1,605 4,592 104,813
Foreign currency
(Cost $840,658 and $3,984,676, respectively)
(Notes 2 and 7)................................... -- -- -- --
Receivable for investments sold........................ -- 2,014,713 -- --
Receivable for shares sold............................. 3,378 -- -- 4,222,021
Receivable for foreign currency sold................... -- -- -- --
Interest and dividend receivables...................... 276,248 445,853 972,869 603,717
Deferred organizational expense (Note 2)............... -- -- -- --
Dividend tax reclaim receivables....................... -- -- -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8)............ -- -- -- --
--------------- --------------- ---------------- ---------------
Total Assets...................................... 239,900,673 302,662,331 77,596,694 217,320,741
--------------- --------------- ---------------- ---------------
LIABILITIES:
Net unrealized depreciation on forward foreign
currency contracts (Notes 2 and 8).................. -- -- -- --
Payable for investments purchased...................... 11,016,153 6,608,923 -- --
Payable for foreign currency purchased................. -- -- -- --
Payable for shares repurchased......................... 141,040 194,237 37,600 --
Payable for variation margin........................... -- -- -- --
Advisory fee payable (Note 3).......................... 161,597 183,314 38,946 49,517
Accrued expenses and other payables.................... 30,632 37,870 21,805 15,492
--------------- --------------- ---------------- ---------------
Total Liabilities................................. 11,349,422 7,024,344 98,351 65,009
--------------- --------------- ---------------- ---------------
NET ASSETS........................................ $ 228,551,251 $ 295,637,987 $ 77,498,343 $ 217,255,732
=============== =============== ================ ===============
NET ASSETS consist of
Paid-in capital (Note 6)............................... $ 201,511,803 $ 246,784,314 $ 78,278,398 $ 217,292,369
Undistributed (distribution in excess of)
net investment income (loss)........................ -- -- 50,180 --
Accumulated (distribution in excess of ) net realized
gain (loss) on investments sold, foreign
currency transactions and futures contracts......... 2,119,234 4,583,055 (1,444,405) (36,637)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency.................................... 24,920,214 44,270,618 614,170 --
--------------- --------------- ---------------- ---------------
TOTAL NET ASSETS........................................ $ 228,551,251 $ 295,637,987 $ 77,498,343 $ 217,255,732
=============== =============== ================ ===============
Shares of beneficial interest outstanding
(unlimited authorization, no par value).............. 159,809,982 210,471,303 77,869,624 217,292,369
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ....................... $ 1.430 $ 1.405 $ 0.995 $ 1.000
=============== =============== ================ ===============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-21
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS . For Year Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select
Aggressive Capital International
Growth Fund Appreciation Fund Equity Fund
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)......................................... $ 459,478 $ 445,106 $ 87,896
Dividends (Note 2)........................................ 1,370,432 315,593 4,831,333
Less net foreign taxes withheld........................... -- (30,298) (810,066)
-------------- -------------- --------------
Total investment income................................ 1,829,910 730,401 4,109,163
-------------- -------------- --------------
EXPENSES
Investment advisory fees (Note 3 and 4)................... 3,302,349 902,600 1,701,942
Custodian fees (Note 3)................................... 21,136 54,261 285,944
Fund accounting fees (Note 3)............................. 57,435 29,338 55,391
Legal fees................................................ 1,575 1,576 2,997
Audit fees................................................ 7,843 7,843 7,502
Trustees' fees and expenses (Note 3)...................... 12,799 1,215 1,464
Reports to shareholders................................... 164,543 17,093 40,019
Amortization of organization costs (Note 2)............... -- 1,285 --
Insurance................................................. 1,376 245 243
Miscellaneous............................................. 7,578 57 2,523
-------------- -------------- --------------
Total expenses before reductions....................... 3,576,634 1,015,513 2,098,025
Less reductions (Note 5)............................... -- -- (52,998)
-------------- -------------- --------------
Total expenses net of reductions....................... 3,576,634 1,015,513 2,045,027
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)................................. (1,746,724) (285,112) 2,064,136
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (NOTE 2):
Net realized gain (loss) on investments sold.............. 30,022,198 (2,715,466) 2,126,179
Net realized gain (loss) on futures contracts............. -- 4,956 --
Net realized gain (loss) on foreign currency transactions. -- (230,817) 2,593,779
Net change in unrealized appreciation (depreciation)
of assets and liabilities in foreign currency............. -- (305,181) 973,685
Net change in unrealized appreciation (depreciation)
of investments............................................ 24,617,401 6,605,759 28,636,644
-------------- -------------- --------------
NET GAIN (LOSS) ON INVESTMENTS............................... 54,639,599 3,359,251 34,330,287
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS.......................... $ 52,892,875 $ $3,074,139 $ 36,394,423
============== ============== ==============
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-22
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Select Select Growth Select Money
Growth and Income Income Market
Fund Fund Fund Fund
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)......................................... $ 533,857 $ 1,187,447 $ 4,595,732 $ 10,087,550
Dividends (Note 2)........................................ 1,770,392 4,118,306 72,869 156,281
Less net foreign taxes withheld........................... -- -- -- --
--------------- -------------- -------------- --------------
Total investment income................................ 2,304,249 5,305,753 4,668,601 10,243,831
--------------- -------------- -------------- --------------
EXPENSES 1,508,861 1,778,832 398,522 510,258
Investment advisory fees (Note 3 and 4)................... 12,029 19,183 20,407 20,630
Custodian fees (Note 3)................................... 37,918 40,585 48,337 36,779
Fund accounting fees (Note 3)............................. 858 1,575 974 1,349
Legal fees................................................ 7,843 7,568 8,260 7,800
Audit fees................................................ 3,906 4,747 1,608 5,109
Trustees' fees and expenses (Note 3)...................... 69,766 82,238 12,919 40,748
Reports to shareholders................................... -- -- -- --
Amortization of organization costs (Note 2)............... 1,009 1,222 480 1,311
Insurance................................................. 4,200 31,836 2,118 6,012
Miscellaneous............................................. --------------- -------------- -------------- --------------
1,646,390 1,967,786 493,625 629,996
Total expenses before reductions....................... (10,405) (77,523) -- --
Less reductions (Note 5)............................... --------------- -------------- -------------- --------------
1,635,985 1,890,263 493,625 629,996
Total expenses net of reductions....................... --------------- -------------- -------------- --------------
668,264 3,415,490 4,174,976 9,613,835
NET INVESTMENT INCOME (LOSS)................................. --------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (NOTE 2): 38,302,869 22,150,624 (403,808) (35,900)
Net realized gain (loss) on investments sold.............. -- -- -- --
Net realized gain (loss) on futures contracts............. -- -- -- --
Net realized gain (loss) on foreign currency transactions.
Net change in unrealized appreciation (depreciation) -- -- -- --
of assets and liabilities in foreign currency.............
Net change in unrealized appreciation (depreciation) (4,304,728) 20,168,372 (1,278,063) --
of investments............................................ --------------- -------------- -------------- --------------
33,998,141 42,318,996 (1,681,871) (35,900)
NET GAIN (LOSS) ON INVESTMENTS............................... --------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET $ 34,666,405 $ 45,734,486 $ 2,493,105 $ 9,577,935
ASSETS RESULTING FROM OPERATIONS.......................... =============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-23
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Aggressive Select Capital
Growth Fund Appreciation Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Years Ended December 31, Year Ended Period Ended
1996 1995 December 31,1996 December 31, 1995*
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of year .......................... $254,871,723 $136,573,109 $ 41,376,035 $ --
------------ ------------ ------------ -----------
Increase (Decrease) in net assets
resulting from operations:
Net investment income (loss) ............................ (1,746,724) (142,866) (285,112) (33,955)
Net realized gain (loss) on investments sold, foreign
currency transactions and futures contracts ............ 30,022,198 16,028,765 (2,941,327) 1,068,237
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency. ...................................... 24,617,401 37,467,083 6,300,578 4,646,902
------------ ------------ ------------ -----------
Net increase (decrease) in net assets resulting
from operations ........................................ 52,892,875 53,352,982 3,074,139 5,681,184
------------ ------------ ------------ -----------
Distributions to shareholders from:
Net investment income ................................... -- -- -- --
Distribution in excess of net investment income ......... -- -- -- --
Net realized gain on investments ........................ (27,969,046) -- (283,116) (783,850)
Distribution in excess of net realized capital gains .... -- -- -- --
Return of capital ....................................... -- -- (1,211) --
------------ ------------ ------------ -----------
Total Distributions .................................... (27,969,046) -- (284,327) (783,850)
------------ ------------ ------------ -----------
Capital share transactions:
Net proceeds from sales of shares ....................... 118,694,806 74,888,511 99,864,671 36,016,174
Issued to shareholders in reinvestment of distributions . 27,969,046 -- 284,327 783,850
Cost of shares repurchased .............................. (19,017,371) (9,942,879) (1,634,605) (321,323)
------------ ------------ ------------ -----------
Net increase (decrease) from
capital share transactions ............................ 127,646,481 64,945,632 98,514,393 36,478,701
------------ ------------ ------------ -----------
Total increase (decrease) in net assets ................ 152,570,310 118,298,614 101,304,205 41,376,035
------------ ------------ ------------ -----------
NET ASSETS at end of year (including line A) ............. $407,442,033 $254,871,723 $142,680,240 $41,376,035
============ ============ ============ ===========
(A) Undistributed (distribution in excess of)
net investment income (loss) ........................ $ -- $ -- $ 67,349 $ (3,304)
============ ============ ============ ===========
OTHER INFORMATION:
Share transactions:
Sold .................................................... 58,055,566 46,078,409 66,830,275 29,899,903
Issued to shareholders in reinvestment of distributions . 13,670,395 -- 183,318 572,571
Repurchased ............................................. (9,614,883) (5,889,973) (1,127,407) (252,012)
----------- ------------ ----------- -----------
Net increase (decrease) in shares outstanding .......... 62,111,078 40,188,436 65,886,186 30,220,462
=========== ============ =========== ===========
</TABLE>
- --------------------------------------------------------
* The Fund commenced operations on April 28, 1995.
See Notes to Financial Statements.
--------------------------------------------------------
F-24
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Select International Select Growth
Equity Fund Fund
- --------------------------------------------------------------------------------
Years Ended December 31, Years Ended December 31,
1996 1995 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
$104,312,134 $ 40,497,806 $ 143,124,686 $ 88,263,274
------------ ------------ ------------ ------------
2,064,136 1,129,933 668,264 24,039
4,719,958 60,433 38,302,869 (240,313)
29,610,329 10,767,415 (4,304,728) 24,384,776
------------ ------------ ------------ ------------
36,394,423 11,957,781 34,666,405 24,168,502
------------ ------------ ------------ ------------
(2,205,116) (996,037) (671,407) (20,896)
(2,413,338) -- -- --
(540,596) (396,021) (32,240,794) --
-- -- -- --
-- -- -- --
------------ ------------ ------------ ------------
(5,159,050) (1,392,058) (32,912,201) (20,896)
------------ ------------ ------------ ------------
111,783,820 58,476,233 59,903,208 36,197,767
5,159,050 1,392,058 32,912,201 20,896
(5,613,441) (6,619,686) (9,143,048) (5,504,857)
------------ ------------ ------------ ------------
111,329,429 53,248,605 83,672,361 30,713,806
------------ ------------ ------------ ------------
142,564,802 63,814,328 85,426,565 54,861,412
------------ ------------ ------------ ------------
$246,876,936 $104,312,134 $228,551,251 $143,124,686
============ ============ ============ ============
$ 180,441 $ 140,980 $ -- $ 3,143
============ ============ ============ ============
91,002,428 54,922,638 38,406,099 28,453,081
3,819,374 1,229,509 23,015,341 15,263
(4,536,939) (6,387,844) (6,129,428) (4,239,678)
------------ ------------ ------------ ------------
90,284,863 49,764,303 55,292,012 24,228,666
============ ============ ============ ============
</TABLE>
- --------------------------------------------------------
F-25
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Select Growth and Select
Income Fund Income Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Years Ended December 31, Year Ended in December 31,
1996 1995 1996 1995
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of year.............................. $191,610,000 $110,212,501 $ 60,368,094 $ 40,784,092
------------ ------------ ------------ ------------
Increase (Decrease) in net assets
resulting from operations:
Net investment income (loss)................................ 3,415,490 2,532,194 4,174,976 3,091,908
Net realized gain (loss) on investments sold................ 22,150,624 11,310,318 (403,808) 296,997
Net change in unrealized appreciation
(depreciation) of investments.............................. 20,168,372 25,861,731 (1,278,063) 4,278,014
------------ ------------ ------------ ------------
Net increase (decrease) in net assets resulting
from operations............................................ 45,734,486 39,704,243 2,493,105 7,666,919
------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income....................................... (3,430,862) (2,516,822) (4,174,976) (3,091,908)
Distribution in excess of net investment income............. -- -- (12,684) (34,237)
Net realized gain on investments............................ (21,071,408) (7,157,977) -- --
Distribution in excess of net realized capital gains........ -- -- -- --
Return of capital........................................... -- -- -- --
------------ ------------ ------------ ------------
Total distributions........................................ (24,502,270) (9,674,799) (4,187,660) (3,126,145)
Capital share transactions:
Net proceeds from sales of shares........................... 64,430,859 48,458,874 18,835,110 19,199,494
Issued to shareholders in reinvestment of distributions..... 24,502,270 9,674,799 4,187,660 3,126,145
Cost of shares repurchased.................................. (6,137,358) (6,765,618) (4,197,966) (7,282,411)
------------ ------------ ------------ ------------
Net increase (decrease) from
capital share transactions................................ 82,795,771 51,368,055 18,824,804 15,043,228
Total increase (decrease) in net assets.................... 104,027,987 81,397,499 17,130,249 19,584,002
------------ ------------ ------------ ------------
NET ASSETS at the end of year (including line A)............. $295,637,987 $191,610,000 $ 77,498,343 $ 60,368,094
============ ============ ============ ============
(A) Undistributed (distributions in excess of)
net investment income (loss)............................ $ -- $ 15,372 $ 50,180 $ --
============ ============ ============ ============
OTHER INFORMATION:
Share transactions:
Sold........................................................ 46,390,568 41,704,782 18,891,416 19,366,727
Issued to shareholders in reinvestment of distributions..... 17,558,493 7,745,463 4,249,588 3,138,951
Repurchased................................................. (4,557,725) (5,657,491) (4,232,440) (7,409,278)
------------ ------------ ------------ ------------
Net increase (decrease) in shares outstanding.............. 59,391,336 43,792,754 18,908,564 15,096,400
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------
F-26
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Money Market
Fund
- --------------------------------------------------------------------------------
Years Ended December 31,
1996 1995
- --------------------------------------------------------------------------------
<S> <C>
$155,211,174 $ 95,991,332
------------ ------------
9,613,835 7,715,400
(35,900) (390)
-- --
------------ ------------
9,577,935 7,715,010
------------ ------------
(9,613,835) (7,715,400)
-- --
-- --
-- --
-- --
------------ ------------
(9,613,835) (7,715,400)
------------ ------------
189,973,951 178,261,897
9,613,835 7,715,400
(137,507,328) (126,757,065)
------------ ------------
62,080,458 59,220,232
------------ ------------
62,044,558 59,219,842
------------ ------------
$217,255,732 $155,211,174
============ ============
$ -- $ --
============ ============
189,973,951 178,261,897
9,613,835 7,715,400
(137,507,328) (126,757,065)
------------ ------------
62,080,458 59,220,232
============ ============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-27
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS . For a Share Outstanding Throughout Each Year
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
--------------------------------- ------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net (Decrease)
Value Net Gain (Loss) Total from from Net Realized Distributions in
Year Ended Beginning Investment on Investment Investment Capital in Return of Total Net Asset
December 31, of Year Income(2) Investments Operations Income Gains Excess Capital Distributions Value
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund(1)
1996 $ 1.848 $(0.009) $ 0.351 $ 0.342 $ -- $(0.153) $ -- $ -- $(0.153) $ 0.189
1995 1.397 (0.001) 0.452 0.451 -- -- -- -- -- 0.451
1994 1.431 (0.002) (0.032) (0.034) -- -- -- -- -- (0.034)
1993 1.197 0.001 0.234 0.235 (0.001) -- -- -- (0.001) 0.234
1992 1.000 0.001 0.197 0.198 (0.001) -- -- -- (0.001) 0.197
Select Capital
Appreciation Fund(1)
1996 1.369 (0.003) 0.124 0.121 -- (0.005) -- -- (0.005) 0.116
1995 1.000 (0.001) 0.397 0.396 -- (0.027) -- -- (0.027) 0.369
Select International
Equity Fund(1)
1996 1.136 0.011 0.238 0.249 (0.012) (0.003) (0.014)(3) -- (0.029) 0.220
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) -- -- (0.016) 0.173
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) -- -- (0.002) (0.037)
Select Growth Fund(1)
1996 1.369 0.005 0.297 0.302 (0.005) (0.236) -- -- (0.241) 0.061
1995 1.099 -- 0.270 0.270 -- -- -- -- -- 0.270
1994 1.119 0.003 (0.020) (0.017) (0.003) -- -- -- (0.003) (0.020)
1993 1.111 0.001 0.008 0.009 (0.001) -- -- -- (0.001) 0.008
1992 1.000 0.001 0.111 0.112 (0.001) -- -- -- (0.001) 0.111
</TABLE>
- ------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's expenses
(see Note 5 of Notes to Financial Statements).
(C) Excluding reimbursements and reductions.
(D) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades for
which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs, or spreads on shares traded on a principal basis.
(1) The Select Aggressive Growth Fund commenced operations on August 21, 1992.
The Select Capital Appreciation Fund commenced operations on April 28,
1995. The Select International Fund commenced operations on May 2, 1994.
The Select Growth Fund commenced operations on August 21, 1992. See Note 3
for information on change in Investment Sub-Adviser.
(2) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.000 in 1993 and $(0.001) in 1992
for Select Aggressive Growth Fund; $(0.001) in 1995 for Select Capital
Appreciation Fund; $0.011 in 1996 and $0.002 in 1994 for Select
International Equity Fund; and $0.005 in 1996, $0.001 in 1993 and $0.000 in
1992 for Select Growth Fund.
(3) Distributions in Excess of Net Investment Income.
See Notes to Financial Statements.
--------------------------------------------------------
F-28
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
- --------------------------------------------------------------------------------
Ratios To Average Net Assets
------------------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net
Year Ended End of Total Year Investment
December 31, Year Return (000's) Income
- --------------------- --------- ------ ---------- ----------
<S> <C> <C> <C> <C>
Select Aggressive
Growth Fund(1)
1996 $2.037 18.55% $407,442 (0.53)%
1995 1.848 32.28% 254,872 (0.07)%
1994 1.397 (2.31)% 136,573 (0.21)%
1993 1.431 19.51% 66,251 0.10%
1992 1.197 19.85%** 9,270 0.34%*
Select Capital
Appreciation Fund(1)
1996 1.485 8.80% 142,680 (0.32)%
1995 1.369 39.56%** 41,376 (0.25)%*
Select International
Equity Fund(1)
1996 1.356 21.94% 246,877 1.22%
1995 1.136 19.63% 104,312 1.68%
1994 0.963 (3.49)%** 40,498 0.87%*
Select Growth Fund(1)
1996 1.430 22.02% 228,551 0.38%
1995 1.369 24.59% 143,125 0.02%
1994 1.099 (1.49)% 88,263 0.37%
1993 1.119 0.84% 53,854 0.15%
1992 1.111 11.25% 9,308 0.40%*
<CAPTION>
Portfolio Average
Operating Expenses Management Fee Turnover Commissions
December 31, (A) (B) (C) Gross Net Rate Rate(D)
- --------------------- ----- ----- ----- ----- ----- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund(1)
1996 1.08% 1.08% 1.08% 1.00% 1.00% 113% $ 0.0597
1995 1.09% -- 1.09% 1.00% 1.00% 104% --
1994 1.16% -- 1.16% 1.00% 1.00% 100% --
1993 1.19% -- 1.23% 1.00% 0.96% 76% --
1992 1.35%* -- 1.88%* N/A N/A 33% --
Select Capital
Appreciation Fund(1)
1996 1.13% 1.13% 1.13% 1.00% 1.00% 98% 0.0414
1995 1.35%* -- 1.42%* 1.00%* 0.93%* 95% --
Select International
Equity Fund(1)
1996 1.20% 1.23% 1.23% 1.00% 1.00% 18% 0.0248
1995 1.24% -- 1.24% 1.00% 1.00% 24% --
1994 1.50%* -- 1.78%* 1.00%* 0.72%* 19% --
Select Growth Fund(1)
1996 0.92% 0.93% 0.93% 0.85% 0.85% 159% 0.0457
1995 0.97% -- 0.97% 0.85% 0.85% 51% --
1994 1.03% -- 1.03% 0.85% 0.85% 55% --
1993 1.05% -- 1.08% 0.85% 0.82% 65% --
1992 1.20%* -- 1.72%* N/A N/A 3% --
</TABLE>
- --------------------------------------------------------
F-29
<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
Year Ended Beginning Investment on Investment Investment Capital Distributions Return of
December 31, of Year Income/(2)/ Investments Operations Income Gains in Excess Capital
- ------------ ----------- ------------- ------------- -------------- ----------- ------------ --------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund/(1)/
1996 $ 1.268 $ 0.020 $ 0.246 $ 0.266 $ (0.020) $ (0.109) $ -- $ --
1995 1.027 0.019 0.290 0.309 (0.019) (0.049) -- --
1994 1.069 0.025 (0.018) 0.007 (0.025) (0.017) (0.007)/(3)/ --
1993 0.990 0.023 0.079 0.102 (0.023) -- -- --
1992 1.000 0.008 (0.009) (0.001) (0.008) (0.001) -- --
Select
Income Fund/(1)/
1996 1.024 0.061 (0.029) 0.032 (0.061) -- -- --
1995 0.930 0.060 0.095 0.155 (0.060) -- (0.001)/(4)/ --
1994 1.035 0.055 (0.105) (0.050) (0.055) -- -- --
1993 0.988 0.052 0.055 0.107 (0.052) (0.008) -- --
1992 1.000 0.018 (0.012) 0.006 (0.018) -- -- --
Money Market
Fund
1996 1.000 0.052 -- 0.052 (0.052) -- -- --
1995 1.000 0.057 -- 0.057 (0.057) -- -- --
1994 1.000 0.039 -- 0.039 (0.039) -- -- --
1993 1.000 0.030 -- 0.030 (0.030) -- -- --
1992 1.000 0.037 -- 0.037 (0.037) -- -- --
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
- ------------ -------------- ----------
<S> <C> <C>
Select Growth and
Income Fund/(1)/
1996 $ (0.129) $ 0.137
1995 (0.068) 0.241
1994 (0.049) (0.042)
1993 (0.023) 0.079
1992 (0.009) (0.010)
Select
Income Fund/(1)/
1996 (0.061) (0.029)
1995 (0.061) 0.094
1994 (0.055) (0.105)
1993 (0.060) 0.047
1992 (0.018) (0.012)
Money Market
Fund
1996 (0.052) --
1995 (0.057) --
1994 (0.039) --
1993 (0.030) --
1992 (0.037) --
</TABLE>
- -----------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses (see Note 5 of Notes to Financial Statements).
(C) Excluding reimbursements and reductions.
(D) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades
for which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs, or spreads on shares traded on a principal basis.
(1) The Select Growth and Income Fund and Select Income Fund commenced
operations on August 21, 1992.
(2) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were; $0.019 in 1996, $0.023 in 1993 and
$0.005 in 1992 for Select Growth and Income Fund; and $0.060 in 1995, $0.055
in 1994, $0.050 in 1993; $0.015 in 1992 for Select Income Fund; and $0.030
in 1993 for Money Market Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
--------------------------------------------------------
F-30
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
- --------------------------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net
Year Ended End of Total Year Investment Operating Expenses
December 31, Year Return (000's) Income (A) (B) (C)
- ------------ --------- ------ ---------- ---------- --- --- ---
<S> <S> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund(1)
1996 $ 1.405 21.26% $ 295,638 1.44% 0.80% 0.83% 0.83%
1995 1.268 30.32% 191,610 1.69% 0.85% -- 0.85%
1994 1.027 0.73% 110,213 2.51% 0.91% -- 0.91%
1993 1.069 10.37% 60,518 2.73% 0.99% -- 1.03%
1992 0.990 (0.11)%** 7,302 3.20%* 1.10%* -- 2.37%*
Select
Income Fund(1)
1996 0.995 3.32% 77,498 6.29% 0.74% 0.74% 0.74%
1995 1.024 16.96% 60,368 6.24% 0.79% -- 0.80%
1994 0.930 (4.82%) 40,784 6.07% 0.83% -- 0.85%
1993 1.035 10.95% 25,302 5.91% 0.91% -- 1.08%
1992 0.988 0.62%** 5,380 5.38%* 1.00%* -- 1.67*
Money Market
Fund
1996 1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34%
1995 1.000 5.84% 155,211 5.68% 0.36% -- 0.36%
1994 1.000 3.93% 95,991 3.94% 0.45% -- 0.45%
1993 1.000 3.00% 71,052 2.95% 0.42% -- 0.43%
1992 1.000 3.78% 64,506 3.65% 0.44% -- 0.44%
<CAPTION>
Portfolio Average
Year Ended Management Fee Turnover Commissions
December 31, Gross Net Rate Rate(D)
- ------------ ----- --- -------- -----------
<S> <C> <C> <C> <C>
Select Growth and
Income Fund(1)
1996 0.75% 0.75% 78% $ 0.0563
1995 0.75% 0.75% 112% --
1994 0.75% 0.75% 107% --
1993 0.75% 0.71% 25% --
1992 N/A N/A 4% --
Select
Income Fund(1)
1996 0.60% 0.60% 108% --
1995 0.60% 0.59% 131% --
1994 0.60% 0.58% 105% --
1993 0.60% 0.43% 171% --
1992 N/A N/A 119% --
Money Market
Fund
1996 0.28% 0.28% N/A --
1995 0.29% 0.29% N/A --
1994 0.31% 0.31% N/A --
1993 0.32% 0.31% N/A --
1992 N/A N/A N/A --
</TABLE>
F-31
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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") or other affiliated insurance 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 Aggressive Growth, Select Capital Appreciation, Select International
Equity, 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 estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies which are in conformity with generally accepted accounting
principles consistently followed by the Trust in the preparation of its
financial statements.
Security Valuation: Securities which are traded on a recognized exchange
(including securities traded through the National Market System) are valued at
the last sale price on the securities exchange on which such securities are
primarily traded or, if there were no sales that day, at the mean of the closing
bid and asked price. Over-the-counter securities that are not traded through the
National Market System are valued on the basis of the bid price at the close of
business each day. Short-term investments that mature in 60 days or less are
valued at amortized cost. Corporate debt securities and debt securities of the
U.S. Government and its agencies (other than short-term investments) are valued
by an independent pricing service approved by the Board of Trustees which
utilizes market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. If not valued by a pricing
service, such securities are valued at prices obtained from independent brokers.
Investments with prices that cannot be readily obtained are carried at fair
value as determined in good faith under consistently applied procedures
established by and under the supervision of the Board of Trustees. The
investments of the Money Market Fund are valued utilizing the amortized cost
valuation method permitted in accordance with Rule 2a-7 under the Investment
Company Act of 1940. This method involves valuing a portfolio security initially
at its cost and thereafter assuming a constant amortization to maturity of any
discount or premium.
Forward Foreign Currency Contracts: The Select International Equity and Select
Capital Appreciation Funds may enter into forward foreign currency contracts
whereby the Portfolios agree to sell a specific currency at a specific price at
a future date in an attempt to hedge against fluctuations in the value of the
underlying currency of certain portfolio instruments. Forward foreign currency
contracts are valued at the daily exchange rate of the underlying currency with
any fluctuations recorded as unrealized gains or losses. Purchases and sales of
forward foreign currency contracts 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 denominated in foreign currencies are converted each business day
into U.S. dollars based upon current exchange rates. Purchases and sales of
foreign investments and income and expenses are converted into U.S. dollars
based upon exchange rates prevailing on the respective dates of such
transactions. That portion of unrealized gains or losses on investments due to
fluctuations in foreign currency exchange rates is not separately disclosed.
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
--------------------------------------------------------
F-32
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
accrual basis and consists of interest accrued and, if applicable, discounts
earned on original issue discount bonds, zero coupon bonds, stepped-coupon bonds
and payment in kind bonds, are accreted. Dividend income is recorded on the
ex-dividend date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio intends to continue to qualify as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains for the tax year ending December 31. In addition, by
distributing during each calendar year substantially all of its net investment
income, capital gains and certain other amounts, if any, each Portfolio will not
be subject to Federal excise tax. Therefore, no Federal income tax provision is
required. Withholding taxes on foreign dividend income and gains have been paid
or provided for in accordance with the applicable country's tax rules and rates.
Paid-in capital, undistributed net investment income and accumulated net
realized gain (loss) have been adjusted in
the Statement of Assets and Liabilities for permanent book-tax differences for
all Portfolios with the exception of the Money Market Portfolio for the year
ended December 31, 1996.
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 declare and distribute all
net realized capital gains, if any, at least annually. The distributions are
recorded on the ex-dividend date. Income and capital gain distributions are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles. These differences are primarily due to
differing book and tax treatments in the timing of the recognition of gains or
losses and forwards, including "Post October Losses" 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.
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.
Futures Contracts: All Portfolios may enter into futures contracts for the
delayed delivery of securities at a fixed price at some future date or the
change in value of a specified financial index over a predetermined time period.
Cash or securities are deposited with brokers in order to establish and maintain
a position. Subsequent payments made or received by the Fund based on the daily
change in the market value of the position are recorded as unrealized gain or
loss until the contract is closed out, at which time the gain or loss is
realized.
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 except the Money Market Fund 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.
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F-33
<PAGE>
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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 and Administrator to
the Trust. Under the terms of the management agreement, the Portfolios pay a
management fee, calculated daily and payable monthly, at an annual rate based
upon the following fee schedule:
Percentage of Average Daily Net Asset Value
<TABLE>
<CAPTION>
First Next On the
Portfolio $50,000,000 $200,000,000 Remainder
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Select Aggressive Growth 1.00% 1.00% 1.00%
Select Capital Appreciation 1.00% 1.00% 1.00%
Select International Equity 1.00% 1.00% 1.00%
Select Growth 0.85% 0.85% 0.85%
Select Growth and Income 0.75% 0.75% 0.75%
Select Income 0.60% 0.60% 0.60%
Money Market 0.35% 0.25% 0.20%
</TABLE>
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers. The Sub-Advisers for each of the
Portfolios are as follows:
Select Aggressive Growth Nicholas-Applegate Capital Management
Select Capital Appreciation Janus Capital Corporation
Select International Equity Bank of Ireland Asset Management
Select Growth Putnam Investment Management, Inc.
Select Growth and Income John A. Levin & Co., Inc.
Select Income Standish, Ayer & Wood, Inc.
Money Market Allmerica Asset Management, Inc.
Effective July 1, 1996, Putnam Investment Management, Inc. replaced Provident
Investment Counsel as Sub-Adviser for the Select Growth Fund.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("FDISG"), a wholly-owned subsidiary of First
Data Corporation, whereby FDISG performs administrative services for the
Portfolios and is entitled to receive an administrative fee and certain
out-of-pocket expenses. The Manager is solely responsible for the payment of the
administration fee to FDISG. In a separate agreement, FDISG receives separate
fees from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
The Trust pays no salaries or compensation to any of its officers. Trustees who
are not directors, officers, or employees of the Trust or any investment adviser
are reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such amounts
are paid by the Trust.
4. REIMBURSEMENT OF EXPENSES
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, broker commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select International
Equity Fund - 1.50%, Select Aggressive Growth Fund - 1.35%, Select Capital
Appreciation Fund - 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 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 will voluntarily reimburse its fees and any expenses in excess of the
expense limitations.
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F-34
<PAGE>
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Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of commissions. Such amounts earned by the Portfolios,
under such agreements, are presented as a reduction of expenses in the
Statements 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. FOREIGN SECURITIES
Each Portfolio, except Money Market Fund, may purchase securities of foreign
issuers. Investing in such securities involves special risks not typically
associated with investing in securities of U.S. issuers. The risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign issuers and their markets may
be less liquid and their prices more volatile than those of securities of
comparable U.S. issuers.
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including forward foreign currency
and futures 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.
- --------------------------------------------------------
F-35
<PAGE>
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Allmerica Investment Trust
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS: (Unaudited)
At the Meeting of Shareholders of the Select Growth and Income Fund, held on
April 2, 1996, shareholders approved the new Sub-Adviser agreement between the
Manager and John A. Levin and Co., Inc. with respect to the Portfolio. The
results were as follows:
<TABLE>
<CAPTION>
Shares For Shares Against Shares Abstaining % of Shares Voted
----------- -------------- ----------------- -----------------
<S> <C> <C> <C>
147,754,887 2,650,753 3,350,343 100.00%
</TABLE>
At the Meeting of Shareholders of the Select Growth Fund, held on September 18,
1996, shareholders approved the new Sub-Adviser agreement between the Manager
and Putnam Investment Management, Inc. with respect to the Portfolio. The
results were as follows:
<TABLE>
<CAPTION>
Shares For Shares Against Shares Abstaining % of Shares Voted
----------- -------------- ----------------- -----------------
<S> <C> <C> <C>
108,701,037 1,469,598 4,284,038 100.00%
</TABLE>
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F-36
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------
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, and there can be no assurance that the Portfolio will be able
to maintain a stable net asset value of $1.00 per share.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Funds and is not authorized for
distribution to prospective investors in the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company unless accompanied
or preceded by effective prospectuses for the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company, Allmerica
Investment Trust, Variable Insurance Products Fund, and T. Rowe Price
International Stock Portfolio, which include important information related to
charges and expenses.
CLIENT NOTICES
- --------------------------------------------------------------------------------
This annual report includes financial statements for Allmerica Investment Trust.
It does not include financial statements for the separate accounts that
correspond to the Allmerica Select Resource, Allmerica Select Resource II,
Allmerica Select Life and Allmerica Select Inheiritage contracts. Separate
account financial statements will no longer be provided in the annual report. If
you would like to receive separate account financial statements as of December
31, 1996, they may be obtained from Allmerica Investments, Inc., 440 Lincoln
Street, Worcester, MA 01653, 1-800-828-0540, extension 201.
- --------------------------------------------------------
F-37
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTS
- --------------------------------------------------------------------------------
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 (except for Moody's Ratings), 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 Aggressive Growth Fund, Select Capital Appreciation Fund, Select
International Equity 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, 1996, 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, 1996 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 14, 1997
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F-38
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<PAGE>
Allmerica Select
Allmerica Select Variable Products are issued by First Allmerica Financial Life
Insurance Company and Allmerica Financial Life Insurance and Annuity Company and
are distributed by Allmerica Investments, Inc. To be preceded or accompanied by
the current Allmerica Select Product prospectus. Read it carefully before
investing.
[LOGO OF ALLMERICA FINANCIAL]
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
AS-337 (12/96) [LOGO OF PRINTED ON RECYCLED PAPER APPEARS HERE]
