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ALLMERICA SELECT
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-------------------------
SEMI-ANNUAL REPORT
June 30, 1997
Allmerica
Select
-------------------------
. Allmerica Select Resource
. Allmerica Select Resource II
. Allmerica Select Life
. Allmerica Select Inheiritage
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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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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 ACCOUNTANTS
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 /1/
Gordon Holmes /1/
John P. Kavanaugh
Bruce E. Langton /1/
Attiat F. Ott /1/
Richard M. Reilly
Ranne P. Warner /1/
/1/ Independent Trustees
INVESTMENT SUB-ADVISERS
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Money Market Fund
Bank of Ireland Asset Management
(U.S.) Limited
Two Greenwich Plaza
Greenwich, CT 06830
Select International Equity Fund
Janus Capital Corporation
100 Fillmore Street - Suite 300
Denver, CO 80206
Select Capital Appreciation Fund
John A. Levin & Co., Inc.
One Rockefeller Plaza, New York, NY 10022
Select Growth and Income Fund
Nicholas-Applegate Capital
Management, L.P.
600 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 /2/ Equity-Income Portfolio
Fidelity VIP /2/ Growth Portfolio
Fidelity VIP /2/ High Income Portfolio
Rowe Price-Fleming International, Inc.
100 E. Pratt Street, Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
/2/ VIP refers to Variable Insurance Products Fund.
<TABLE>
<CAPTION>
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CONTENTS
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<S> <C>
A LETTER FROM THE CHAIRMAN............................................ 2
FUND PERFORMANCE SUMMARY.............................................. 3
PRODUCT PERFORMANCE SUMMARIES......................................... 4
Allmerica Select Resource/Resource II Variable Annuity................ 4
Allmerica Select Life Variable Universal Life......................... 5
Allmerica Select Inheiritage (FAFLIC)
Variable Universal Survivorship Life................................ 6
Allmerica Select Inheiritage (AFLIAC)
Variable Universal Survivorship Life................................ 7
DOMESTIC & INTERNATIONAL EQUITY MARKET OVERVIEW....................... 8
Select Aggressive Growth Fund......................................... 10
Select Capital Appreciation Fund...................................... 11
T. Rowe Price International Stock Portfolio........................... 12
Select International Equity Fund...................................... 13
Fidelity VIP /2/ Growth Portfolio..................................... 14
Select Growth Fund.................................................... 15
Fidelity VIP /2/ Equity-Income Portfolio.............................. 16
Select Growth and Income Fund......................................... 17
BOND & MONEY MARKET OVERVIEW.......................................... 18
Fidelity VIP /2/ High Income Portfolio................................ 20
Select Income Fund.................................................... 21
Money Market Fund..................................................... 22
FINANCIALS............................................................ F-1
</TABLE>
For further information, see the accompanying semi-annual reports.
See Client Notices on page F-36.
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A LETTER FROM THE CHAIRMAN
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[PHOTO APPEARS HERE]
Dear Client:
The first six months of 1997 have proved once again the wisdom of staying
focused on long-term results. Although many analysts predicted a weakening
economy moving into the year, the stock market continued its historic upward
surge, rewarding those who stayed fully invested in the market.
As early as February, the Dow Jones Industrial Average had already exceeded
the 7000 mark, propelled by the nation's steady economic growth, solid corporate
earnings, and a low level of inflation. Only in April did this impressive
advance stall. When reports were released that unemployment had fallen below 5%
for the first time in more than two decades, some investors began to fear the
economy would overheat and inflation would rise. To hold off this inflationary
pressure, the Federal Reserve Board raised interest rates by one quarter of one
percentage point at the end of March. Following this rate increase, consumer
confidence waned and the stock market declined by almost 10%.
At this point, the bond market picked up some momentum and appeared to be
on track to make up for its first-quarter results. However, its surge was
short-lived, as subsequent data pointed to a slowing economy and no further
interest rate increases by the Federal Reserve Board.
However, this news did refuel activity in the stock market. In fact, the
S&P 500(R) returned 17.5% during the second quarter, the strongest second
quarter results since 1938. Small company stocks, in particular, finally
attracted buyers and international stocks bounced back, increasing returns in
each of the second quarter months.
As attractive as short-term performance results have been, we encourage our
clients to maintain a disciplined long-term investment plan. As part of this
plan, you and your financial representative may want to review your existing
asset allocation strategy and consider modifications based on recent market
changes.
To make it easier to successfully follow through on these strategies,
Allmerica offers distinct investment choices across a variety of asset classes
and investment styles. Not only do we carefully select the managers of these
portfolios for their particular expertise, we also continually monitor their
long-term performance. So clients can be assured of a wide array of quality
investment choices to help meet their financial goals -- both now and in the
future.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
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"As attractive as short-term performance results have been, we encourage our
clients to maintain a disciplined long-term investment plan."
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2
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FUND PERFORMANCE SUMMARY
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Average Annual Total Returns as of 6/30/97
For easy reference, the total returns for the Funds 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 on the following pages beginning on page 4.
<TABLE>
<CAPTION>
TEN YEARS
OR LIFE
ONE FIVE OF FUND
FUNDS YEAR YEARS (IF LESS)
-----------------------------------------------------------------------
<S> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund /2/ 10.26% N/A 19.17%
Select Capital Appreciation Fund /3/ -0.64% N/A 23.31%
Select International Equity Fund /1/ 22.49% N/A 14.30%
Select Growth Fund /2/ 28.88% N/A 15.26%
Select Growth and Income Fund /2/ 25.97% N/A 15.32%
Select Income Fund /2/ 7.85% N/A 5.86%
Money Market Fund /4/ 5.36% 4.49% 5.86%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International Stock Portfolio /5/ 17.43% N/A 12.10%
FIDELITY VARIABLE INSURANCE PRODUCTS FUND (VIP)
Fidelity VIP Growth Portfolio /6/ 17.92% 19.89% 14.33%
Fidelity VIP Equity-Income Portfolio /6/ 25.66% 20.09% 13.66%
Fidelity VIP High Income Portfolio /7/ 14.47% 13.24% 11.48%
</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 2, 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
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.
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PRODUCT PERFORMANCE SUMMARY
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ALLMERICA SELECT RESOURCE/RESOURCE II - Variable Annuity
Average Annual Total Returns as of 6/30/97
For easy reference, the total returns for the Allmerica Select Resource/
Resource II sub-accounts 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
OR LIFE OR LIFE
ONE FIVE OF FUND ONE FIVE OF FUND
SUB-ACCOUNTS YEAR YEARS (IF LESS) YEAR YEARS (IF LESS)
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<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund/2/ 8.71% N/A 17.50% 2.35% N/A 17.16%
Select Capital Appreciation Fund/3/ -2.03% N/A 21.58% -7.77% N/A 19.73%
Select International Equity Fund/1/ 20.79% N/A 12.70% 14.29% N/A 11.71%
Select Growth Fund/2/ 27.09% N/A 13.64% 20.59% N/A 13.26%
Select Growth and Income Fund/2/ 24.23% N/A 13.70% 17.73% N/A 13.32%
Select Income Fund/2/ 6.34% N/A 4.37% 0.12% N/A 3.85%
Money Market Fund/4/ 3.89% 3.02% 4.37% -2.19% 2.49% 4.37%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International Stock
Portfolio /5/ 15.80% N/A 10.53% 9.30% N/A 9.53%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIP)
Fidelity VIP Growth Portfolio/6/ 16.28% 18.21% 12.73% 9.78% 17.90% 12.73%
Fidelity VIP Equity-Income Portfolio/6/ 23.91% 18.41% 12.06% 17.41% 18.10% 12.06%
Fidelity VIP High Income Portfolio/7/ 12.88% 11.65% 9.92% 6.38% 11.26% 9.92%
</TABLE>
Performance returns given above are for the Allmerica Select Resource/Resource
II sub-accounts 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 2, 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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4
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PRODUCT PERFORMANCE SUMMARY
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ALLMERICA SELECT LIFE - Variable Universal Life
Average Annual Total Returns as of 6/30/97
For easy reference, the total returns for the Allmerica Select Life
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of 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 AND WITH SURRENDER CHARGE AND
MONTHLY POLICY CHARGES MONTHLY POLICY CHARGES
---------------------------- --------------------------
TEN YEARS TEN YEARS
OR LIFE OR LIFE
ONE FIVE OF FUND ONE FIVE OF FUND
SUB-ACCOUNTS YEAR YEARS (IF LESS) YEAR YEARS (IF LESS)
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<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund/2/ 9.37% N/A 18.21% -100.00% N/A 5.25%
Select Capital Appreciation Fund/3/ -1.44% N/A 22.32% -100.00% N/A -47.86%
Select International Equity Fund/1/ 21.51% N/A 13.38% -94.83% N/A -20.14%
Select Growth Fund/2/ 27.86% N/A 14.34% -88.96% N/A 0.52%
Select Growth and Income Fund/2/ 24.97% N/A 14.40% -91.63% N/A 0.73%
Select Income Fund/2/ 6.98% N/A 5.01% -100.00% N/A -9.85%
Money Market Fund/4/ 4.51% 3.65% 5.01% -100.00% -8.18% 0.69%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International Stock
Portfolio/5/ 16.49% N/A 11.20% -99.48% N/A -25.29%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIP)
Fidelity VIP Growth Portfolio/6/ 16.98% 18.93% 13.41% -99.03% 8.96% 9.56%
Fidelity VIP Equity-Income Portfolio/6/ 24.66% 19.13% 12.75% -91.92% 9.19% 8.84%
Fidelity VIP High Income Portfolio/7/ 13.56% 12.33% 10.59% -100.00% 1.56% 6.55%
</TABLE>
Performance returns given above are for the Allmerica Select Life sub-accounts
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 2, 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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5
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PRODUCT PERFORMANCE SUMMARY
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ALLMERICA SELECT INHEIRITAGE - Variable Universal Survivorship Life
Average Annual Total Returns as of 6/30/97
For easy reference, the total returns for the Allmerica Select Inheiritage
sub-accounts of FAFLIC are summarized below. Keep in mind that these returns are
net of 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 AND WITH SURRENDER CHARGE AND
MONTHLY POLICY CHARGES MONTHLY POLICY CHARGES
---------------------------- --------------------------
TEN YEARS TEN YEARS
OR LIFE OR LIFE
ONE FIVE OF FUND ONE FIVE OF FUND
SUB-ACCOUNTS YEAR YEARS (IF LESS) YEAR YEARS (IF LESS)
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<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund/2/ 8.99% N/A 17.80% -94.07% N/A 7.53%
Select Capital Appreciation Fund/3/ -1.79% N/A 21.89% -100.00% N/A -35.79%
Select International Equity Fund/1/ 21.09% N/A 12.98% -82.42% N/A -15.93%
Select Growth Fund/2/ 27.41% N/A 13.93% -76.33% N/A 2.91%
Select Growth and Income Fund/2/ 24.54% N/A 13.99% -79.10% N/A 2.55%
Select Income Fund/2/ 6.61% N/A 4.64% -96.36% N/A -8.71%
Money Market Fund/4/ 4.15% 3.29% 4.64% -98.73% -6.71% 2.43%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International
Stock Portfolio/5/ 16.09% N/A 10.81% -87.23% N/A -20.40%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIP)
Fidelity VIP Growth Portfolio/7/ 16.57% 18.51% 13.01% -86.77% 11.48% 11.39%
Fidelity VIP Equity-Income Portfolio/7/ 24.22% 18.71% 12.35% -79.40% 11.72% 10.66%
Fidelity VIP High Income Portfolio/6/ 13.16% 11.93% 10.19% -90.05% 3.62% 8.35%
</TABLE>
Performance returns given above are for the Allmerica Select Inheiritage
sub-accounts 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 2, 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.
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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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6
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PRODUCT PERFORMANCE SUMMARY
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ALLMERICA SELECT INHEIRITAGE - Variable Universal Survivorship Life
Average Annual Total Returns as of 6/30/97
For easy reference, the total returns for the Allmerica Select Inheiritage
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of 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 AND WITH SURRENDER CHARGE AND
MONTHLY POLICY CHARGES MONTHLY POLICY CHARGES
----------------------- -----------------------
TEN YEARS TEN YEARS
OR LIFE OR LIFE
ONE FIVE OF FUND ONE FIVE OF FUND
SUB-ACCOUNTS YEAR YEARS (IF LESS) YEAR YEARS (IF LESS)
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<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund/2/ 8.99% N/A 17.80% -95.39% N/A 6.89%
Select Capital Appreciation Fund/3/ -1.79% N/A 21.89% -100.00% N/A -37.18%
Select International Equity Fund/1/ 21.09% N/A 12.98% -83.92% N/A -16.96%
Select Growth Fund/2/ 27.41% N/A 13.93% -77.93% N/A 1.61%
Select Growth and Income Fund/2/ 24.54% N/A 13.99% -80.65% N/A 1.92%
Select Income Fund/2/ 6.61% N/A 4.64% -97.65% N/A -9.36%
Money Market Fund/4/ 4.15% 3.29% 4.64% -99.98% -7.27% 2.17%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International
Stock Portfolio/5/ 16.09% N/A 10.81% -88.66% N/A -21.45%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIP)
Fidelity VIP Growth Portfolio/7/ 16.57% 18.51% 13.01% -88.21% 10.94% 11.15%
Fidelity VIP Equity-Income Portfolio/7/ 24.22% 18.71% 12.35% -80.96% 11.18% 10.42%
Fidelity VIP High Income Portfolio/6/ 13.16% 11.93% 10.19% -91.44% 3.07% 8.11%
</TABLE>
Performance returns given above are for the Allmerica Select Inheiritage
sub-accounts 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.
<TABLE>
<S> <C>
/1/Inception May 2, 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
</TABLE>
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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7
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<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.
1997: Healthy corporate earnings, low interest rates and low unemployment propel
the stock market past the 7000 mark.
Despite widespread skepticism about an overheated U.S. economy, the stock
market continued its upward surge with only one minor setback during the first
six months of 1997.
At the year's midpoint, the Dow Jones Industrial Average had posted double
digit gains. The 10 largest stocks in the S&P 500(R) returned 28.3% while the
remaining 490 stocks rose 18.5%. Moreover, the mixture of low inflation and
double-digit profit growth continued to fuel the market's impressive results as
its chief beneficiaries remained large capitalization and blue chip stocks.
So far, this year has been marked by the continued growth of solid corporate
earnings, which has played a significant role in propelling the stock market
upward. In fact, when leading indicators pointed to steady growth and benign
inflation in February, the market soared carrying the Dow Jones Industrial
Average to the 7000 mark.
But as these same indicators showed unemployment dipping below 5% for the
first time in 24 years and first quarter Gross Domestic Product (GDP) soaring at
a 5.6% annualized rate, worries that conditions were ripe for inflation
surfaced. As concern mounted, the Federal Reserve Board announced an interest
rate hike of one quarter of one percentage point on the Federal Funds Rate in
late March to stifle these inflationary pressures.
Almost as a direct result of this rate increase, the steady advance of the
stock market stalled. As the market plunged almost 10% in April, technology
stocks, in particular, suffered as a result of a rising dollar and worries about
demand. But better-than-expected corporate earnings reports once again bolstered
investor confidence, and drove profits up 15% in the first quarter over the
previous year.
Within a few weeks of this news, the market in general regained its momentum.
This time small-cap stocks out-
[TIME LINE APPEARS HERE]
Despite widespread skepticism about an overheated U.S. economy, corporate
earnings grow.
[GRAPHIC APPEARS HERE]
The Dow Jones Industrial Average climbs to a record-breaking 7000.
[GRAPHIC APPEARS HERE]
In response to signs of rising inflation, the Federal Reserve raises the Federal
Funds Rate by 0.25%.
[GRAPHIC APPEARS HERE]
Technology stocks decline amidst worries about demand.
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8
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<PAGE>
paced the market for a brief period, for the first time in recent months. In
June, however, blue chip stocks regained the lead and proceeded to set a string
of performance records.
On the global front, U.S. investors in international equities experienced
mixed results. European stocks produced generally strong returns throughout the
first six months of 1997, although currency conversion hurt many U.S. investors.
The strong U.S. dollar eroded returns in several key markets, including
France, Germany and Sweden. Under the leadership of Tony Blair's new government,
the British economy strengthened and the pound appreciated when compared to most
major currencies.
In the Far East, fears about potentially increasing U.S interest rates and
continued outflows of cash by foreign investors continued to drive Asian stock
prices down.
Market conditions were also exacerbated by poor company results and ongoing
financial crises, specifically the 25% market decline in Thailand.
Returns from Japanese equities also proved mixed for the first half of the
year. Disappointing first quarter results were followed by very strong returns
in the second quarter as investor confidence grew over improving economic
conditions.
Looking ahead, most market analysts question how much longer -- or further
- -- the stock market is likely to go. While regarded as somewhat overvalued now,
some experts feel the market may still benefit from the combination of favorable
corporate earnings and low inflation, which appear likely to continue at least
until the fourth quarter of the year.
[TIME LINE APPEARS HERE]
The stock market plunges 9.8% in response to higher interest rates.
[GRAPHIC APPEARS HERE]
Small cap stocks outperform larger company stocks for the first time in recent
months.
[GRAPHIC APPEARS HERE]
Spain is one of the best-performing European market as Europe produces strong
returns for international equity investors.
[GRAPHIC APPEARS HERE]
Japanese equities deliver strong returns in the second quarter.
[GRAPHIC APPEARS HERE]
The consumer price index, the key inflation indicator, rises just 0.1.%
Large cap stocks regain momentum to set new performance records.
<PAGE>
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SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management, L.P.
ABOUT THE FUND:
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock price.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Durable Goods 23%
Technology 11%
Finance 11%
Electronics 10%
Consumer Products 7%
Energy 5%
Retail 9%
Health Services 5%
Cash Equivalents 1%
Other 18%
</TABLE>
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 203
capital appreciation mutual funds. The Russell 2500 and 2000 Indices are
unmanaged composites of 2,500 and 2,000 small capitalization stocks,
respectively. 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 six-month period ended June 30, 1997, the Select Aggressive Growth Fund
returned 6.74%, trailing the 11.25% return of its benchmark, the Russell 2500
Index.
The first quarter was especially hard on small and mid-sized growth
companies, which dominate this Fund. Even as companies reported strong earnings,
the P/E ratios of many stocks contracted. The result of which was a decline in
the Fund by more than 10%. With economic reports suggesting a growing, but not
overheated economy, all capitalization areas of the stock market increased
during the second quarter. In particular, investors began to recognize the value
of the stocks they had fled earlier and the Fund gained almost 21% versus 15%
for the Russell 2500 during the second quarter.
Industry sector performance for the first six months was mixed. Surprisingly,
some of the biggest gainers for the second quarter were the most notable
underperformers in the preceding quarter. Regaining momentum were stocks in the
technology, transportation, capital goods and energy sectors. Accordingly, the
Fund is now more heavily invested in some of these areas to capitalize on
positive advances.
The Fund manager's strategy of being overweighted in the technology sector
served to enhance relative performance late in the period, as this area staged
an impressive rebound in May and June. Holdings such as Cellstar Corp., Jabil
Circuit, Inc., Dell Computer Corp., Digital Microwave Corp., and Tellabs,
produced double- and triple-digit gains. Superior stock selection in the
commercial/industrial area, health care services and retail trade sectors also
resulted in strong performance. Fund holdings in these areas included: Mastec,
Inc., Medics Pharmaceutical Corp., Safeskin Corp., and Pier 1 Imports, Inc. The
Fund's limited exposure in the transportation and consumer services sectors,
however, adversely impacted performance.
The Fund's manager remains optimistic about the outlook for the remainder of
1997. The relatively stable economy combined with favorable market fundamentals
have set the stage for future positive Fund performance. Moreover, they feel the
companies represented in this Fund exhibit excellent growth and profit
characteristics.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Select Russell Russell Lipper Capital
Aggressive 2000 2500 Appreciation
Date Growth Fund Index Index Fund Average
<S> <C> <C> <C> <C>
8/92 $10,000 $10,000 $10,000 $10,000
6/97 $23,422 $22,544 $23,236 $21,134
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Select Aggressive Growth Fund 10.26% N/A 19.17%
Russell 2000 Index 16.33% N/A 18.41%
Russell 2500 Index 20.10% N/A 19.06%
Lipper Capital Appreciation Fund Average 14.44% N/A 16.33%
</TABLE>
- --
10
- --
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Select Capital Appreciation
Fund returned 3.77% versus the 10.16% return of its peer group, the Lipper
Capital Appreciation Fund Average.
A relatively strong second quarter was not enough to recoup the ground lost
in the first quarter. Overall, small-cap stocks, which are the focus of this
Fund, trailed their larger counterparts for much of the first half of the year.
But as domestic equities posted dramatic gains during the second quarter,
small-cap stocks outperformed their larger counterparts during the month of May.
This action boded well for the Fund. In fact, the shift to small-cap stocks
buoyed prices for a number of the holdings. Gaining over 35%, for example, were:
Fastenal, Papa John's, Premier Parks, and Apollo Group. While company
fundamentals did not change during the first half of 1997, the shift in market
psychology rewarded those companies with solid fundamentals and rapid earnings
growth. Particularly noteworthy was CommNet Cellular. Fueled by an acquisition
bid from Blackstone Capital, CommNet's price soared, reaffirming the Fund
managers' belief that pockets of opportunity exist in the cellular industry.
While gains from these holdings aided overall performance, some of the Fund's
perennial performers turned in disappointing results. HFS and Insignia Financial
Services Group, for example, stalled as the market grew concerned over merger
and acquisitions at both of these firms.
Positive momentum, however, was generated by research efforts, which revealed
attractive investment opportunities in media. Specifically, the Fund's managers
added Evergreen Media, Clear Channel Communications, Outdoor Systems, Heftel
Broadcasting and Univision. All of these companies operate in highly defined
markets, possess strong management and are growing.
Going forward, the Fund's managers believe sound stock market fundamentals
are intact. They will continue to search for companies that can grow earnings in
any economy.
- -----------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1995
- -----------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Select Capital S&P Mid Russell Russell Lipper Capital
Appreciation S&P 500(R) Cap 400(R) 2000 2500 Appreciation
Date Fund Index Index Index Index Fund Average
<S> <C> <C> <C> <C> <C> <C>
4/95 $10,000 $10,000 $10,000 $10,000 $10,000 $10,000
6/97 $15,757 $18,509 $15,989 $15,420 $15,957 $15,394
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -----------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year Life of Fund
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Select Capital Appreciation Fund -0.64% N/A 23.31%
S&P 500(R) Index 34.68% N/A 31.34%
S&P Mid Cap 400(R) Index 23.37% N/A 24.18%
Russell 2000 Index 16.33% N/A 22.13%
Russell 2500 Index 20.10% N/A 24.07%
Lipper Capital Appreciation Fund Average 14.44% N/A 21.66%
</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 June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Retail 17%
Business Services 8%
Food Services 5%
Finance 13%
Health Services 7%
Communications 8%
Foreign Common Stocks 12%
Building and Construction 6%
Cash Equivalents and U.S.
Government and Agency Obligations 6%
Other 18%
</TABLE>
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. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. 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. The S&P Mid
Cap 400(R) Index is a registered trademark of the Standard & Poor's Corporation.
The Russell 2500 and 2000 Indices are unmanaged composites of 2,500 and 2,000
small capitalization stocks, respectively. The Lipper Capital Appreciation Fund
Average is a non-weighted index of 203 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 June 30, 1997, the geographic allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Japan 23%
United Kingdom 16%
Netherlands 10%
France 8%
Hong Kong 4%
Switzerland 6%
Germany 4%
Brazil 4%
Malaysia 2%
Sweden 3%
Other 20%
</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 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 368 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 first half of 1997, the T. Rowe Price International Stock Portfolio
reported a return of 11.63%, edging slightly ahead of the 11.21% return of the
Morgan Stanley EAFE Index.
On a year-to-date basis, both the Portfolio's country allocations and stock
selections added value over the Index. Overweightings in the Netherlands and
Latin America were the most notable contributors in terms of country
allocations. Specific holdings in Brazil and Japan proved the most profitable.
The Portfolio has approximately half of its investments in Europe, which
produced solid returns for the first six months of 1997. Portfolio holdings in
key countries, particularly in the Netherlands and the United Kingdom, followed
a difficult first quarter with a much improved second quarter. Spain and
Switzerland had the strongest six-month returns but represent a modest 8% of the
Portfolio. Larger investments in France and the U.K. produced solid but
unspectacular returns. Across the Pacific, an underweighted position in Japan
detracted from second quarter results as Japan recouped losses it recorded
earlier in the year as investor confidence in the health of its economy
returned. Japanese stock selection was somewhat disappointing as the high-
quality, internationally competitive growth stocks that had been well rewarded
early in 1997 retraced their steps in the second quarter. Bank stocks, which are
not currently represented in the Portfolio, also led the broader market higher.
Performance from other Pacific Rim stocks was mixed, as Hong Kong delivered
strong results while markets in Malaysia and Thailand remained weak.
The Portfolio's overweighting in Latin America helped it to regain ground, as
markets there continued to make strong advances. Brazil emerged as the
outstanding performer for the period, although Chile, Mexico and Argentina were
not far behind. In terms of stock selection, the Portfolio's managers added
value over the index in both Brazil and Mexico.
Going into the second half of the year, the Portfolio remains slightly ahead
of the benchmark. Management will continue to seek long-term growth through a
highly diversified portfolio of foreign stocks.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1994
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
T. Rowe Price Lipper
International Morgan Stanley International
Date Stock Portfolio EAFE Index Fund Average
<S> <C> <C> <C>
3/94 $10,000 $10,000 $10,000
6/97 $14,492 $13,659 $13,775
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- -------------------------------------------------------------------------
<S> <C> <C> <C>
T. Rowe Price International Stock
Portfolio 17.43% N/A 12.10%
Morgan Stanley EAFE Index 12.84% N/A 10.07%
Lipper International Fund Average 16.54% N/A 10.33%
</TABLE>
- --
12
- --
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
For the first six months of 1997, the Select International Equity Fund returned
8.43%, trailing the Morgan Stanley EAFE Index of 11.21% for the same period.
While equity markets performed well worldwide during 1997, this Fund's
underperformance can be largely attributed to disappointing performance from
themes directed at the developing markets in the Far East. Fears about
increasing U.S. interest rates and continued outflows of cash by foreign
investors continued to drive Asian stock prices down. The external market
pressures have been further compounded by a variety of internal factors, ranging
from poor company results to ongoing financial crises, such as the 25% market
decline in Thailand during the second quarter.
While few other individual themes made a significant contribution to the
Fund's performance - either positive or negative - a number of good individual
stock performances did boost overall returns. In the Health Care theme, Novartis
did particularly well as its purchase of Merck's agribusiness division appeared
to fuel an 8% increase in sales, which was well-ahead of expectations. In
addition, Zeneca and Glaxo-Wellcome turned in strong results, buoyed by
optimistic sales prospects for new drugs.
Several stocks within the Positive Banking theme also added to the Fund's
value. Stocks in Lloyd TSB, ABN-Amro and National Australia Bank all reported
profit increases ranging from 14% to 52% during early 1997. This strong
performance continued into the second quarter as Banco De Santander posted
healthy returns and HSBC Holdings benefited from the strong performance of the
Hong Kong market in general.
In looking ahead, the Fund's management continues to view the low-growth,
low-inflationary global environment as a favorable backdrop for equity
investments. However, the upward movement of most markets has inflated
valuations relative to earnings, which remains a key concern.
The Fund's management will continue to maintain a selective approach to
investing in the Far East, particularly in Japan, which appears to be
overvalued. Nevertheless, the Fund's management will continue to monitor
companies in this area in search of worthwhile investment opportunities.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1994
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Select Lipper
International Morgan Stanley International
Date Equity Fund EAFE Index Fund Average
<S> <C> <C> <C>
5/94 $10,000 $10,000 $10,000
6/97 $15,265 $13,103 $13,626
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Select International Equity Fund 22.49% N/A 14.30%
Morgan Stanley EAFE Index 12.84% N/A 8.91%
Lipper International Fund Average 16.54% N/A 9.64%
</TABLE>
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management (U.S.) Limited
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 June 30, 1997, the geographic allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<CAPTION>
<S> <C>
United Kingdom 32%
Switzerland 12%
Australia 7%
Netherlands 10%
Singapore 6%
Indonesia 3%
Germany 6%
Cash Equivalents 8%
Other 16%
</TABLE>
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 368 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 June 30 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Technology 20%
Health Care 17%
Non-Durables 9%
Retail & Wholesale 9%
Finance 8%
Energy 6%
Media & Leisure 5%
Aerospace & Defense 4%
Utilities 4%
Basic Industries 3%
Other 15%
</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
Capital Appreciation Fund Average is a non-weighted index of 203 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 six-month period ended June 30, 1997, the Fidelity VIP* Growth Portfolio
posted a return of 13.83%, trailing both the 20.60% return of the S&P500(R)
Index and the 10.16% return of the Lipper Capital Appreciation Fund Average for
the same period.
In the first quarter, results from both technology and software stocks
generated mixed results for the Portfolio. Networking stocks were battered as
some companies warned of slower demand and earnings disappointments. However,
many of these stocks rebounded in the second quarter, as companies announced
positive earnings reports. In the software arena, the Portfolio's second largest
holding, Microsoft, contributed solid performance throughout the first half of
the year.
Aided by a combination of moderate economic growth and stable interest rates,
the finance sector fared well. However, the Portfolio's underweighting in this
area muted gains.
On a positive note, the telecommunications sector turned in solid results for
the Portfolio. Growing second-tier telecommunications company, Worldcom,
favorably impacted performance. Health care, specifically the pharmaceutical
area, aided performance as key holdings benefited from strong product
distribution and delivered solid earnings growth.
Declines in several individual stocks detracted from overall results. During
the first quarter, selected retail stocks such as Viking Office Products and
PetsMart hindered performance when they reported disappointing earnings. During
the second quarter, entertainment giant Disney, dragged down by its problems at
its ABC Network subsidiary, and HFS, hurt by concerns of earnings dilution,
weakened performance.
Currently, the Fidelity VIP* Growth Portfolio is overweighted in the
technology, health care and retail/wholesale sectors. It is also underweighted
in the non-durables sector relative to the S&P 500(R). The Portfolio's manager
believes this positioning will enable them to further concentrate holdings in
companies with solid earnings and growth prospects.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1987
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Fidelity VIP S&P 500(R) Lipper Capital
Date Growth Portfolio Index Appreciation
<S> <C> <C> <C>
6/87 $10,000 $10,000 $10,000
6/97 $38,153 $39,291 $31,786
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year 10 year
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* Growth Portfolio 17.92% 19.89% 14.33%
S&P 500(R) Index 34.68% 19.76% 14.63%
Lipper Capital Appreciation Fund Average 14.44% 15.94% 11.24%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
- --
14
- --
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Select Growth Fund returned
18.59%, significantly outperforming its peer group, the Lipper Growth Fund
Average which returned 14.28%. The second quarter was particularly strong as the
Fund returned 18.17% versus the S&P 500(R) Index return of 17.44%.
Fueled by falling interest rates, steady economic growth and favorable supply
and demand characteristics, U.S. stocks soared to record levels during the first
half of the year. In the first quarter, the Fund's management capitalized on
this growth with strong stock selections in the drug, banking, consumer finance,
aerospace, telecommunications, semiconductor and energy services sectors. In the
second quarter, technology holdings in the software, semiconductor and
PC-related areas boosted performance as did overweighted positions in
pharmaceutical, bank, insurance, asset management and credit card holdings.
Not every decision helped the Fund's overall returns. For example, the
Fund's performance was muted by underweighted positions in the energy sector and
the large-cap household product and soft-drink groups, all of which performed
admirably. In the first quarter, networking and software holdings were
particularly hard hit. In the second quarter, individual company earnings
surprises were responsible for lagging performance among selected Fund holdings
in the consumer, energy and aerospace sectors.
In positioning the Fund for favorable results in the future, the Fund's
managers are adjusting its exposure in several sectors. By adding positions in
the financial services, software, pharmaceuticals and energy services, they plan
to take advantage of growth opportunities in each of these areas. Likewise, the
Fund's management has trimmed back overvalued segments, such as semiconductors,
aerospace and natural gas pipelines, where the prospects for growth do not
appear to be as promising.
In looking ahead, the Fund's managers believe that short-term market
volatility may continue if earnings and interest rate expectations remain
uncertain. Therefore, they expect to achieve solid returns from a diversified
portfolio of high-quality growth stocks.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Select Growth S&P 500(R) Lipper Growth
Date Fund Index Fund Average
<S> <C> <C> <C>
8/92 $10,000 $10,000 $10,000
6/97 $19,922 $24,182 $21,216
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- --------------------------------------------------------------------------
<S> <C> <C> <C>
Select Growth Fund 28.88% N/A 15.26%
S&P 500(R) Index 34.68% N/A 20.02%
Lipper Growth Fund Average 23.96% N/A 17.22%
</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 June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Chemicals and Drugs 14%
Technology 9%
Retail 7%
Durable Goods 12%
Finance 19%
Health Services 5%
Consumer Products 9%
Energy 6%
U.S. Government Obligations
and Cash Equivalents 5%
Other 14%
</TABLE>
The Select 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 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 757 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 June 30, 1997 the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Finance 20%
Energy 13%
Non-Durables 8%
Health Care 7%
Aerospace & Defense 7%
Indust. Mach. & Equip. 7%
Basic Industries 7%
Utilities 6%
Retail & Wholesale 5%
Technology 4%
Other 16%
</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 171 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.
The Fidelity VIP* Equity-Income Portfolio achieved a total return of 16.39% for
the first half of 1997, outperforming the Lipper Equity Income Fund Average of
14.75% but trailing the S&P 500(R) return of 20.60%.
As declining interest rates and continuing consolidation benefited the
finance industry in the second quarter, the portfolio's overweighted position
enabled it to participate heavily in the sector's advance. Leading the way was
its holdings in Allstate.
The Portfolio also benefited from its positions in industrial machinery
stocks, which as a whole, performed well. The portfolio also profited from its
large holdings in GE, Westinghouse and Philip Morris. As word of an agreement
between the federal government and the tobacco companies became public,
uncertainty surrounding future litigation lessened, which investors regarded as
a positive sign.
True to the Portfolio's mandate as an equity-income portfolio, the manager
kept the portfolio relatively underweighted in the low dividend-paying
technology sector. However, this underweighting did detract from results, as the
technology sector rebounded from a disappointing first quarter to become one of
the second quarter's better performing groups. The Portfolio's overall gains
were also hampered by holdings in the poor-performing basic industries sector,
which suffered from a combination of earnings difficulties and industry-wide
overcapacity.
In keeping with the Portfolio's low annual turnover rate, the Portfolio's
manager modestly repositioned holdings during the second quarter. Commitments to
the utilities sector were increased, and given the recent strength of the
finance sector, profits were taken in some holdings and reinvested in other
promising financial companies. The Portfolio's exposure to the non-durable,
health care and technology groups was reduced by selling off certain stocks at a
profit.
In looking ahead, the Portfolio's manager will continue to seek good total
return opportunities from income-producing equity securities.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1987
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Fidelity VIP* Lipper Equity
Equity-Income S&P 500 (R) Income Fund
Date Portfolio Index Average
<S> <C> <C> <C>
6/87 $10,000 $10,000 $10,000
6/97 $35,991 $39,291 $31,849
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year 10 year
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* Equity-Income Portfolio 25.66% 20.09% 13.66%
S&P 500(R)Index 34.68% 19.76% 14.63%
Lipper Equity Income Fund Average 26.73% 16.12% 11.74%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
- --
16
- --
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Select Growth and Income Fund
returned 13.77%, lagging its peer group, the Lipper Growth & Income Fund Average
of 15.52% for the same period.
While the Fund demonstrated relative resilience on the days in which the
stock market declined during the first half of the year, it did not keep pace
during the market advance, which tended to be driven by only a handful of
stocks. The Fund was also hurt by adverse developments and overly optimistic
investment horizons in certain holdings, including: Tupperware, Pharmacia &
Upjohn, Readers' Digest, AirTouch, U.S. West Media Group and Molten Metals.
On the positive side, many holdings posted favorable performance. The ongoing
expansion of the domestic economy contributed to improved earnings in
economically sensitive companies such as General Electric, duPont, Air Products
and IBM. Shares of health care companies also gained momentum, reflecting
positive demographic trends in the United States and Europe, as well as, growing
demand from developing nations. The Fund's underweighting in utilities and
regional Bell operating companies, which experienced disappointing performance
due to regulatory uncertainty, also served to aid relative performance.
In looking ahead, the Fund's managers foresee a period of increased
volatility for the stock market, resulting in more balanced performance among
individual stocks. Gains in only a narrow part of the stock market, however,
will pose the greatest challenge to the Fund's strategy of diversification and
risk control.
Still, management believes growth opportunities exist. The best prospects for
greater-than-market potential at less-than-market risk seem to come from
companies that undertake strategic initiatives, like internal restructurings, to
improve their growth prospects and garner a higher share price.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Select Growth Lipper Growth
and Income S&P 500(R) & Income Fund
Date Fund Index Average
<S> <C> <C> <C>
8/92 $10,000 $10,000 $10,000
6/97 $19,966 $24,182 $21,305
</TABLE>
- -------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Select Growth and Income Fund 25.97% N/A 15.32%
S&P 500(R)Index 34.68% N/A 20.02%
Lipper Growth & Income Fund Average 28.07% N/A 17.53%
</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 June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Finance 11%
Durable Goods 10%
Aerospace/Aircraft 6%
Technology 8%
Energy 7%
Printing and Publishing 6%
Chemicals and Drugs 10%
Consumer Products 9%
U.S. Government
Obligations
and Cash Equivalents 6%
Other 27%
</TABLE>
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 545 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
--
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.
1997: Despite the favorable outlook for bonds, a surprisingly strong economy
kindles fears about inflationary pressures and causes the Federal Reserve to
raise interest rates 0.25%.
Moving into 1997, many analysts predicted strong returns for the U.S. bond
market. But stable interest rates, despite an expanding economy, generated
sluggish returns for the bond market.
As the first quarter progressed, strong economic data, particularly in the
retail and housing segments, revealed possible signs of an overheated economy.
In an effort to squelch any uptick in inflation, the Federal Reserve Board
raised the Federal Funds rate by one quarter of one percent in the first quarter
to 5.50% on March 25, 1997. The bond market reacted sharply as investors sold
bonds, thereby driving prices lower and yields higher. As a result, most bond
funds lost money through the first quarter. The second quarter evolved with most
indicators pointing to signs of more moderate economic growth and subdued
inflation, which reduced pressure on the Federal Reserve Board to further
increase rates.
As fears of additional interest rate hikes subsided, the bond market rallied
and produced a positive 3.67% return for the second quarter. By mid-year, the
bond market's six month total return was a modest 3.07%.
Throughout the first half of 1997, the bond market was most affected
by the fact that there was little, if any, inflation. Historically, periods of
low unemployment have spurred higher inflation. But after four years of
declining unemployment, the rate of inflation in the U.S. has remained almost
nonexistent. Economic growth remains solid but not too strong. U.S.
[TIME LINE APPEARS HERE]
Convinced domestic growth will slow from 1996 levels, investors favor bonds at
the start of the year.
[GRAPHIC APPEARS HERE]
Signs of a strong economy raise fears over increasing interest rates and the
market softens.
[GRAPHIC APPEARS HERE]
In response to signs of a strong economy the Federal Reserve raises interest
rates 0.25% to head off inflation. The bond market declines.
- --
18
- --
<PAGE>
corporations are currently spending the equivalent of nearly 11.5% of real
GDP on business investments and dedicating a significant amount to information
technology.
The predominant beneficiaries of all this solid domestic growth and increased
corporate spending were corporate bonds. As of June 30, 1997, they represented
one of the best performing segments of the bond market, along with
mortgage-backed and asset-backed securities.
In contrast, yields on U.S. Treasuries dwindled. As a result of the healthy
economy and the strong equity market, the budget deficit for the fiscal year
ending September 30, 1997, is now estimated to be less than one third of the
original $155 billion forecast. This, in turn, has significantly reduced the
need for Treasury financing in the bond market and will reduce the supply of new
Treasury bonds coming into the market. Fixed income investors are therefore
fighting not only low interest rates, but a dwindling supply of new investment
opportunities. Steady demand for good fixed income securities has caused the
spread between most sectors of the bond market and U.S. Treasuries to narrow.
Overall, this means that managers are having to work harder than ever to add
value to their portfolios.
As for shorter-term money market instruments, they've become less attractive
as investors could seek to garner higher returns -- albeit with added risk
- -- from other investments.
Looking ahead, most market analysts predict that domestic growth will
continue to strengthen before slowing sometime in the fourth quarter of 1997.
Since projections are also calling for continued subdued inflation, interest
rates are anticipated to remain in the stable-to-low range. As in the past six
months, many analysts believe that incremental return for bond investors is
likely to come from selective investments in spread assets, such as corporate
bonds and mortgage-backed securities.
[TIME LINE APPEARS HERE]
Interest rates begin to decline as slower economic growth emerges and the bond
market begins to recover.
Stable-to-declining interest rates bode well for mortgage-backed securities and
corporate bonds.
[GRAPHIC APPEARS HERE]
Reduced estimates for the budget deficit limit the need for U.S. Treasury
financing.
By mid-year, the bond market overall posted a below-average return of 3.07%
[GRAPHIC APPEARS HERE]
--
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 June 30, 1997 the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Telecommunications 20%
Cable TV 9%
Paper 7%
Hotel/Gaming 6%
Broadcasting 6%
Energy 5%
Consumer Products 4%
Aero/Elec/Computer 4%
Capital Goods 3%
Supermarkets 3%
Other 33%
</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 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 non-weighted average of 163 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.
The Fidelity VIP* High Income Portfolio returned 7.70% for the six-month
period ended June 30, 1997, outpacing its peer group the Lipper High Current
Yield Fund Average of 5.92% for the same period.
While the high-yield market in general was down late in the first quarter, it
strongly rebounded during the second quarter as a variety of factors in the
market turned positive. New economic data indicated that the economy was slowing
which helped push stock prices higher, interest rates modestly lower, and
widened the yield spread between high yield bonds and Treasuries. All of these
factors benefited the high yield market in general and the Portfolio in
particular.
Some of the biggest contributors to the Portfolio's positive performance came
from strong returns in telecommunications and cable holdings. In the first
quarter, energy stocks, in particular, Harcor Energy, contributed to positive
results. In the second quarter, paper companies, recovering from downtrodden
paper prices, contributed significantly to the Portfolio's outperformance.
In the telecommunications sector, cellular service provider, Millicom and
satellite companies, Orion and Panamsat appreciated as they restructured
operations and improved their earnings. Cable companies in general returned to
favor, as investors realized they were capable of growing earnings despite
increased competition from direct access sources.
Detracting from the Portfolio's overall performance were holdings in paging
companies, which declined due to concerns about the industry's growth and
earnings prospects. Other performance shortfalls reflected no specific themes
and were primarily attributable to the deteriorating credit of key individual
securities.
Telecommunications and cable holdings remain the Portfolio's largest
positions, although cable holdings have been reduced from earlier levels held in
the Portfolio. Issues in paper companies also represent a significant position,
as the manager believes that fundamentals in this industry are continuing to
improve.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1987
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Fidelity VIP* Lipper High
High Income Salomon Brothers Current Yield
Date Portfolio High-Yield Index Fund Average
<S> <C> <C> <C>
6/87 $10,000 $10,000 $10,000
6/97 $29,639 $29,207 $25,313
</TABLE>
- --------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year 10 year
- --------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* High Income Portfolio 14.47% 13.24% 11.48%
Salomon Brothers High-Yield Index 14.58% 11.55% 11.24%
Lipper High Current Yield Fund Average 14.77% 11.01% 9.64%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
- --
20
- --
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
For the first half of 1997, the Select Income Fund returned 2.67%, slightly
behind its peer group, the Lipper Intermediate Investment Grade Fund Average,
which posted a 2.74% return for the same period.
During the first quarter, the Fund mirrored the bond market's sluggish start
for the year, depressed by the fear of both rising interest rates and an
overheated economy. However, when the Federal Reserve's rate increase appeared
to be a one-time event and expectations for economic growth moderated, the
second quarter brought renewed vigor to the Fund.
Particularly valuable contributors to the Fund's overall performance were its
corporate bond holdings. Fifty percent of the Fund's assets are invested in this
segment of the bond market - with the majority of its holdings in A and BBB
rated categories. The Fund's managers continue to emphasize industry groups
which exhibit attractive yield spreads, which has led them to the brokerage and
real estate investment trust groups. With no recession in the near-term outlook,
corporates will most likely remain the heart of the portfolio.
The Fund is also heavily invested in government and agency mortgage
securities, which are backed by traditional residential mortgages. Comprising
more than 30% of the Fund's holdings, these issues have continued to offer value
over the last year. Believing that interest rates would remain in the 6 1/2 -7%
range, the Fund's managers decided to trim this position during the second
quarter. However, as growth slowed, mortgages continued to hold their value, and
the underweighted position caused performance to trail the index on a relative
basis.
Weaker performers in this relatively low interest rate environment have been
U.S. Treasury securities. The Fund maintains a modest 10% position here as a
defensive measure.
Going forward, the Fund's managers anticipate that interest rates will remain
steady. They believe the key to superior performance will come from investing in
corporate bonds, mortgage-backed securities and sector rotation. They plan to
continue the emphasis on corporate bonds and will hold off on any further profit
taking in mortgages.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers Lipper Intermediate
Select Income Aggregate Bond Investment Grade
Date Fund Index Fund Average
<S> <C> <C> <C>
8/92 $10,000 $10,000 $10,000
6/97 $13,183 $13,680 $13,208
</TABLE>
- ------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Select Income Fund 7.85% N/A 5.86%
Lehman Brothers Aggregate Bond Index 8.15% N/A 6.70%
Lipper Intermediate Investment Grade
Fund Average 7.54% N/A 5.95%
</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 June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Asset-Backed Securities 7%
Corporate Notes and Bonds 50%
U.S. Government and Agency Obligations 31%
Cash Equivalents and Other 12%
</TABLE>
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 183 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 June 30, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Commercial Paper 55%
U.S. Government and Agency Obligations 19%
Corporate Notes and Bonds 18%
Other Short-Term Investments 2%
Other 6%
</TABLE>
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 292 funds within the
Money Market category.
For the six-month period ended June 30, 1997, the Money Market Fund provided a
competitive return of 2.62% versus the 2.38% semi-annual return posted by its
peer group, the Lipper Money Market Fund Average.
Potential changes in monetary policy affected the entire money market sector
throughout the first half of 1997, as concerns of robust growth in the U.S.
mounted. Primarily driven by strong economic data in the retail and housing
segments, the Federal Reserve moved to raise the Federal Funds Rate by one
quarter of one percent in the first quarter to 5.50%. As the year continued,
however, all indicators pointed to signs of more moderate economic growth and
subdued inflation, which reduced pressure on the Federal Reserve to raise
interest rates further.
Despite these overall economic concerns, the managers for the Money Market
Fund remained focused on three primary goals: preservation of capital,
maintenance of liquidity and the production of maximum current income.
To garner some incremental yield, the Fund has maintained a slightly longer
average weighted maturity than its index. In addition, the portfolio has been
overweighted in top-tier commercial paper and government agency discount notes.
These moves provide incremental yield for the Fund and have capitalized on
stable-to-declining interest rates in the second quarter.
As the Fund's managers look toward the remainder of 1997, they believe
inflation will remain subdued. Therefore, they plan to adhere to their current
investment strategy as well as evaluate the value and credit worthiness of all
short-term financial products.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1987
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
6/87 6/97
------- -------
<S> <C> <C>
Money Market Fund $10,000 $17,668
IBC/Donoghue First Tier Money Market Index $10,000 $17,095
Lipper Money Market Fund Average $10,000 $16,895
</TABLE>
- -------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year 10 year
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Money Market Fund 5.36% 4.49% 5.86%
IBC/Donoghue First Tier Money Market Index 4.90% 4.11% 5.51%
Lipper Money Market Fund Average 4.82% 4.09% 5.48%
</TABLE>
- --
22
- --
<PAGE>
------------------------------
Financials
------------------------------
<PAGE>
This page intentionally left blank.
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.97%
Durable Goods - 23.36%
136,400 ADC Telecommunications, Inc.* $ 4,552,350
138,400 Apogee Enterprises, Inc. 2,975,600
162,900 Arvin Industries, Inc. 4,439,025
122,400 BMC Software, Inc.* 6,777,900
97,700 Borg-Warner Automotive, Inc. 5,281,906
45,500 Caterpillar, Inc. 4,885,563
99,100 CIBER, Inc.* 3,387,981
186,600 Compuware Corp.* 8,910,150
104,400 Comverse Technology, Inc.* 5,428,800
117,200 Cooper Cameron Corp.* 5,479,100
94,600 Dell Computer Corp.* 11,109,588
128,500 ENCAD, Inc.* 5,332,750
114,900 Jabil Circuit, Inc.* 9,637,238
229,200 MascoTech, Inc. 4,784,550
55,100 Mastec, Inc.* 2,606,919
326,700 Oak Technology, Inc.* 3,185,325
46,700 PeopleSoft, Inc.* 2,463,425
111,200 Pomeroy Computer Resources, Inc.* 2,752,200
194,800 Quantum Corp.* 3,969,050
57,700 Rowan Cos., Inc.* 1,626,419
11,000 SPX Corp. 712,938
103,400 Tellabs, Inc.* 5,777,475
132,300 U.S. Long Distance Corp.* 2,282,175
191,500 Varco International, Inc.* 6,175,875
--------------
114,534,302
--------------
Finance - 10.98%
59,000 Aegon Nv, ADR 4,133,688
117,000 Astoria Financial Corp. 5,557,500
91,670 Bear Stearns Cos., Inc. 3,133,968
94,000 Countrywide Credit Industries, Inc. 2,931,625
48,600 Green Tree Financial Corp. 1,731,375
99,900 Greenpoint Financial Corp. 6,649,594
42,700 HCC Insurance Holdings, Inc. 1,139,556
87,000 Horace Mann Educators Corp. 4,263,000
154,050 MBNA Corp. 5,642,081
206,500 North Fork Bancorp., Inc. 4,413,938
100,700 State Street Corp. 4,657,375
70,300 Torchmark Corp. 5,008,875
72,766 Travelers Group, Inc. 4,588,806
--------------
53,851,381
--------------
Technology - 10.54%
98,900 Altera Corp.* 4,994,450
56,700 Aspen Technologies, Inc.* 2,133,338
221,700 Avid Technology, Inc.* 5,847,338
194,200 Bio-Technology General Corp.* 2,621,700
57,100 Compaq Computer Corp.* 5,667,175
285,900 Creative Technology, Ltd.* 4,918,795
120,100 EMC Corp.* 4,683,900
93,812 McAfee Associates, Inc.* 5,921,883
44,500 Microsoft Corp.* 5,623,688
47,700 Seagate Technology, Inc.* 1,678,444
78,700 Sun Microsystems, Inc.* 2,929,116
144,000 Vitesse Semiconductor Corp.* 4,707,000
--------------
51,726,827
--------------
Electronics - 10.17%
145,600 American Power Conversion Corp.* 2,766,400
243,900 Cellstar Corp.* 7,469,438
133,300 Dallas Semiconductor Corp. 5,232,025
197,500 Digital Microwave Corp.* 5,925,000
104,400 Electronics For Imaging, Inc.* 4,932,900
184,900 Innovex, Inc. 5,385,213
35,900 Intel Corp. 5,091,069
150,700 Orbotech, Ltd.* 4,822,400
260,800 Western Digital Corp.* 8,247,800
--------------
49,872,245
--------------
Retail - 9.12%
28,800 Bed Bath & Beyond, Inc.* 874,800
145,100 Costco Cos., Inc.* 4,770,163
28,400 Fabri-Centers of America, Inc., Class A* 773,900
276,100 Fleming Cos., Inc. 4,969,800
118,900 Jones Apparel Group, Inc.* 5,677,475
61,400 Liz Claiborne, Inc. 2,862,775
79,100 Meyer (Fred), Inc.* 4,088,481
215,600 Michaels Stores, Inc.* 4,568,025
262,000 Ross Stores, Inc. 8,564,125
286,200 Stride Rite Corp. 3,684,825
162,500 Woolworth Corp.* 3,900,000
--------------
44,734,369
--------------
Consumer Products - 6.87%
71,000 Applied Materials, Inc.* 5,027,688
88,100 Corning, Inc. 4,900,563
62,800 Meredith Corp. 1,821,200
242,800 Pier 1 Imports, Inc. 6,434,200
175,000 Safeskin Corp.* 5,151,563
134,900 Sunbeam Corp. 5,092,475
200,400 TJX Cos., Inc. 5,285,550
--------------
33,713,239
--------------
Health Services - 4.81%
31,900 Creative Biomolecules, Inc.* 225,294
191,300 General Nutrition Cos., Inc.* 5,356,400
58,800 Guidant Corp. 4,998,000
74,400 HBO & Co. 5,124,300
33,500 Health Management Associates, Inc., Class A* 954,750
96,600 Oxford Health Plans, Inc.* 6,931,050
--------------
23,589,794
--------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-1
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Energy - 4.56%
118,400 Cliffs Drilling Co.* $ 4,321,600
238,200 Global Marine, Inc.* 5,538,150
244,700 Marine Drilling Cos., Inc.* 4,802,238
106,800 USX-Marathon Group 3,083,850
202,100 Veritas DGC, Inc.* 4,597,775
-------------
22,343,613
-------------
Chemicals and Drugs - 2.84%
152,400 Medeva Plc, ADR 2,609,850
138,900 Medicis Pharmaceutical Corp., Class A* 6,927,638
165,000 Premark International, Inc. 4,413,750
-------------
13,951,238
-------------
Aerospace-Airlines - 2.79%
126,700 Continental Airlines, Inc., Class B* 4,426,581
48,500 Delta Air Lines, Inc. 3,977,000
163,200 Gateway 2000, Inc.* 5,293,800
-------------
13,697,381
-------------
Transportation Services - 2.69%
112,700 Canadian Pacific, Ltd. 3,204,906
58,600 UAL Corp.* 4,193,563
259,900 Yellow Corp.* 5,815,263
-------------
13,213,732
-------------
Consumer Staples - 2.32%
90,900 American Standard Cos., Inc.* 4,067,775
72,300 Interstate Bakeries Corp. 4,288,282
68,100 Philip Morris Cos., Inc. 3,021,938
-------------
11,377,995
-------------
Metals and Mining - 2.25%
476,900 Bethlehem Steel Corp.* 4,977,644
192,200 Inland Steel Industries, Inc. 5,021,225
24,200 Mueller Industries, Inc.* 1,058,750
-------------
11,057,619
-------------
Paper and Forest - 1.45%
140,900 Fort Howard Corp.* 7,133,063
-------------
Consumer Cyclical - 1.17%
136,800 EVI, Inc.* 5,745,600
-------------
Broadcasting - 1.06%
161,000 Westwood One, Inc.* 5,192,250
-------------
Capital Goods - 1.00%
283,800 Navistar International Corp.* 4,895,550
-------------
Food Services - 0.82%
467,200 Ryan's Family Steak Houses, Inc.* 4,000,400
-------------
Consumer Service - 0.17%
17,400 Robert Half International, Inc.* 818,888
-------------
Total Common Stocks 485,449,486
(Cost $374,224,255) -------------
<CAPTION>
Par Value
- ---------
COMMERCIAL PAPER (A) - 1.19%
$5,849,000 Merrill Lynch & Co., Inc.
6.20%, 07/01/97 5,849,000
-------------
Total Commercial Paper 5,849,000
(Cost $5,849,000) -------------
Shares
- ------
INVESTMENT COMPANIES - 0.10%
3,661 ILA Prime Obligation Money Market Fund 3,661
492,079 ILA Prime Obligation Portfolio Fund,
Class B 492,079
-------------
Total Investment Companies 495,740
(Cost $495,740) -------------
Total Investments - 100.26% 491,794,226
(Cost $380,568,995) -------------
Net Other Assets and Liabilities - (0.26)% (1,294,341)
-------------
Net Assets - 100.00% $ 490,499,885
-------------
</TABLE>
- ----------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $380,568,995. Net unrealized appreciation (depreciation) aggregated
$111,225,231, of which $118,050,196 related to appreciated investment securities
and $(6,824,965) related to depreciated investment securities.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $6,808,097.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $285,716,915
and $233,357,025 from non-governmental issuers, respectively.
See Notes to Financial Statements.
---------------------------------------------------------
F-2
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 82.95%
Retail - 16.63%
13,400 Costco Cos., Inc.* $ 440,525
117,925 Family Golf Centers* 2,712,275
316,700 Fastenal Co. 15,518,300
19,025 Meyer (Fred), Inc.* 983,355
25,950 MSC Industrial Direct Co., Class A* 1,041,244
47,500 O'Reilly Automotive, Inc.* 1,828,750
258,183 Petco Animal Supplies, Inc.* 7,745,490
27,775 Quality Food Centers, Inc.* 1,055,450
7,800 Safeway, Inc.* 359,775
-------------
31,685,164
-------------
Finance - 12.50%
7,075 AFLAC, Inc. 334,294
12,425 Associates First Capital Corp., Class A 689,588
52,525 Credit Acceptance Corp.* 676,259
12,700 Federal Agricultural Mortgage Corp.* 460,375
2,875 FINOVA Group, Inc. 219,938
3,375 First Empire State Corp. 1,137,375
52,450 Hartford Life, Inc., Class A* 1,966,875
8,675 Healthcare Financial Partners, Inc.* 176,752
3,300 Household International, Inc. 387,544
271,150 Insignia Financial Group, Inc., Class A* 4,914,594
114,850 Medallion Financial Corp. 2,196,506
17,275 Nationwide Financial Services, Inc. 458,867
1,150 Northern Trust Corp. 55,630
21,625 Progressive Corp. 1,881,375
65,650 Protective Life Corp. 3,298,912
12,700 Regions Financial Corp. 401,637
44,075 Schwab (Charles) Corp. 1,793,302
3,900 TCF Financial Corp. 192,563
8,725 Travelers Group, Inc. 550,220
51,000 UICI* 1,504,500
19,775 Western National Corp. 530,217
-------------
23,827,323
-------------
Business Services - 7.96%
8,750 Catalina Marketing Corp.* 421,094
7,225 G&K Services Inc., Class A 269,131
121,200 HFS, Inc.* 7,029,600
67,275 Outdoor Systems, Inc.* 2,573,269
109,150 Paychex, Inc. 4,147,700
51,675 Profit Recovery Group International, Inc.* 716,991
-------------
15,157,785
-------------
Communications - 7.68%
91,400 Clear Channel Communications, Inc.* 5,626,813
9,725 CommNet Cellular, Inc.* 337,944
68,950 Evergreen Media Corp., Class A* 3,076,894
31,500 Heftel Broadcasting Corp., Class A* 1,740,375
287,307 PriCellular Corp., Class A* 2,639,633
31,075 Univision Communications, Inc., Class A* 1,215,809
-------------
14,637,468
-------------
Health Services - 7.08%
79,125 Karrington Health, Inc.* $ 1,186,875
208,350 Omnicare, Inc. 6,536,981
89,150 Teva Pharmaceutical 5,772,462
-------------
13,496,318
-------------
Building and Construction - 6.08%
142,400 Barnett, Inc.* 3,488,800
15,225 JLK Direct Distribution, Inc., Class A* 390,141
139,550 Littelfuse, Inc.* 3,942,288
10,050 Littelfuse, Inc., (Warrants), exp. 12/27/01* 227,381
74,475 Sealed Air Corp.* 3,537,563
-------------
11,586,173
-------------
Food Services - 4.88%
41,650 JP Foodservice,Inc.* 1,194,834
209,268 Papa John's International, Inc.* 7,690,599
25,950 Weider Nutrition International, Inc. 411,956
-------------
9,297,389
-------------
Medical Equipment - 4.12%
10,875 DENTSPLY International, Inc. 532,875
158,800 Sofamor Danek Group, Inc.* 7,265,100
1,200 Sybron International Corp.* 47,850
-------------
7,845,825
-------------
Consumer Services - 3.82%
123,075 Apollo Group, Inc., Class A* 4,338,394
79,050 Coinmach Laundry Corp.* 1,877,438
2,125 Robert Half International* 100,008
27,725 Sunrise Assisted Living, Inc.* 970,375
-------------
7,286,215
-------------
Leisure-Entertainment - 3.71%
70,950 Premier Parks, Inc.* 2,616,281
87,200 Regal Cinemas, Inc.* 2,877,600
45,325 Royal Caribbean 1,583,542
-------------
7,077,423
-------------
Transportation - 2.92%
23,925 Ryanair Holdings Plc, ADR* 648,966
132,125 Wisconsin Central Transport Corp.* 4,921,656
-------------
5,570,622
-------------
Chemical and Drugs - 2.78%
99,400 Culligan Water Technologies, Inc.* 4,448,150
62,025 DepoTech Corp.* 845,091
-------------
5,293,241
-------------
Publishing - 0.71%
18,925 Central Newspaper Inc., Class A 1,355,503
-------------
Technology - 0.65%
21,750 Amdahl Corp.* 190,313
52,450 Methode Electronics, Inc., Class A 1,042,444
-------------
1,232,757
-------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-3
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Energy - 0.60%
45,725 Trigen Energy Corp. $ 1,143,125
-------------
Minerals and Mining - 0.48%
24,400 Minerals Technologies, Inc. 915,000
-------------
Hotels - 0.25%
27,525 Choice Hotels International* 466,205
-------------
Utilities - 0.10%
5,800 Cincinnati Bell, Inc. 182,700
-------------
Total Common Stocks 158,056,236
-------------
(Cost $136,661,754)
FOREIGN COMMON STOCKS - 11.82%
United Kingdom
209,229 Capita Group, Plc 820,058
899,725 Pizzaexpress, Plc 9,418,727
103,617 Pizzaexpress, Restricted Shares 1,084,709
302,240 Rentokil Group, Plc 1,061,368
440,865 Wetherspoon (J.D.), Plc 9,997,097
6,604 Wetherspoon (J.D.), Restricted Shares 149,753
-------------
Total Foreign Common Stocks 22,531,712
-------------
(Cost $16,231,277)
Par Value
- --------------------------------------------------------------------------------
U.S. AGENCY OBLIGATION (A) - 2.62%
Federal Home Loan Mortgage Corporation
$5,000,000 5.40%, 07/10/97 $ 4,993,250
-------------
Total U.S. Agency Obligation 4,993,250
-------------
(Cost $4,993,250)
COMMERCIAL PAPER (A) - 3.94%
5,000,000 General Electric Capital Corp.
5.50%, 07/03/97 4,998,472
2,500,000 Prudential Funding Corp.
6.00%, 07/01/97 2,500,000
-------------
Total Commercial Paper 7,498,472
-------------
(Cost $7,498,472)
Total Investments - 101.33% 193,079,670
-------------
(Cost $165,384,753)
Net Other Assets and Liabilities - (1.33)% (2,532,908)
-------------
Net Assets - 100.00% $ 190,546,762
=============
</TABLE>
- --------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
<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>
850,000 GBP 07/18/97 $1,412,673 $ 1,417,039 $ 4,366
3,450,000 GBP 07/24/97 5,733,792 5,652,480 (81,312)
690,000 GBP 07/28/97 1,146,759 1,115,909 (30,850)
1,200,000 GBP 08/20/97 1,993,053 1,913,166 (79,887)
1,050,000 GBP 11/28/97 1,738,440 1,701,105 (37,335)
5,000 GBP 12/04/97 8,277 8,169 (108)
----------- ----------- ----------
$12,032,994 $11,807,868 $(225,126)
=========== =========== ==========
</TABLE>
- -------------------------------
GBP British Pound
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $165,384,753. Net unrealized appreciation (depreciation) aggregated
$27,694,917, of which $30,002,993 related to appreciated investment securities
and $(2,308,076) related to depreciated investment securities.
As of December 31, 1996, the portfolio had a capital loss carryforward 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 six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $116,212,010
and $77,415,620 from non-governmental issuers, respectively.
See Notes to Financial Statements.
----------------------------------------------------------
F-4
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C>
COMMON STOCKS - 91.46%
Australia - 7.20%
383,490 Broken Hill Proprietary Co. Ltd. $ 5,597,264
765,170 National Australia Bank, Ltd. 10,874,046
1,152,270 News Corp Ltd. 5,481,430
547,934 WMC Ltd. 3,427,525
-------------
25,380,265
-------------
Finland - 0.56%
2,319 Raumma Oy 53,128
83,300 UPM-Kymmene 1,924,434
-------------
1,977,562
-------------
France - 1.92%
57,180 Michelin, Class B 3,437,071
15,360 Elf Aquitaine 1,658,720
16,570 Total SA, Class B 1,676,492
-------------
6,772,283
-------------
Germany - 5.84%
11,259 Hoechst AG 4,775,098
15,237 Mannesmann AG 6,811,702
51,610 Siemens AG 3,093,578
103,970 Veba Ag 5,877,099
-------------
20,557,477
-------------
Hong Kong - 1.45%
170,200 HSBC Holdings 5,118,777
-------------
Indonesia - 3.12%
820,000 Gudang Garam 3,439,853
1,062,000 H.M. Sampoerna 4,051,017
816,000 PT Indocement Tunggal Prakarsa 1,266,872
1,374,000 Telekomunikase Indonesia 2,246,206
-------------
11,003,948
-------------
Ireland - 1.44%
270,100 Allied Irish Banks 2,066,922
1,043,350 Smurfit (Jefferson) Group 3,022,100
-------------
5,089,022
-------------
Italy - 1.40%
122,085 ENI 687,020
728,010 STET Societa Finanziaria Telefonica 4,235,850
-------------
4,922,870
-------------
Japan - 2.55%
329,000 Canon, Inc. 8,970,373
-------------
Malaysia - 3.00%
700,000 Development & Commercial
Bank Holdings, Berhad* 2,218,697
349,000 Hume Industries, Berhad 1,603,959
1,016,200 Sime-Darby, Berhad 3,381,959
467,000 United Engineers, Berhad 3,367,427
-------------
10,572,042
-------------
Mexico - 0.59%
811,700 Grupo Financiero Banamex, Series B* 2,081,670
-------------
Netherlands - 9.59%
383,512 ABN-Amro Holdings 7,163,978
19,010 Dutch State Mines 1,894,866
320,250 Elsevier, NV 5,361,140
178,793 ING Groep, NV 8,258,350
23,391 Nutricia Ver Bedrijven 3,700,877
67,160 Royal Dutch Petroleum 3,499,698
99,630 Royal PTT Nederland, ADR 3,915,390
-------------
33,794,299
-------------
Philippines - 0.56%
748,130 San Miguel, Class B 1,971,002
-------------
Singapore - 6.04%
615,000 City Developments, Ltd. 6,021,611
494,000 Development Bank of Singapore 6,218,834
391,600 Fraser and Neave, Ltd., Ord 2,793,524
309,800 Singapore Press 6,239,983
-------------
21,273,952
-------------
Spain - 1.01%
114,885 Banco De Santander 3,546,459
-------------
Sweden - 0.49%
51,300 Pharmacia & Upjohn, Inc. 1,731,589
-------------
Switzerland - 12.23%
6,644 Alusuisse Lonza Holdings, REGD 6,890,783
4,833 Nestle SA 6,384,990
10,294 Novartis AG 16,480,568
557 Roche Holdings AG 5,045,228
5,843 Schweiz Ruckverisch, REGD 8,276,431
-------------
43,078,000
-------------
Thailand - 0.70%
356,800 Bangkok Bank Public Co., Ltd. 2,451,665
-------------
United Kingdom - 31.77%
443,750 Barclays Bank, Plc 8,803,318
1,007,550 B.A.T. Industries, Plc 9,013,155
1,255,027 BTR, Plc 4,292,365
372,000 Cable & Wireless, Plc 3,420,637
503,230 Cadbury Schweppes, Plc 4,484,952
213,630 EMI Group, Plc 3,830,992
838,700 General Electric Co., Plc 5,011,097
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-5
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<S> <C>
Value
Shares (Note 2)
- -------------------------------------------------------------
United Kingdom (continued)
331,250 Glaxo-Wellcome, Plc $ 6,836,115
450,400 Granada Group, Plc 5,921,848
576,209 Grand Metropolitan, Plc 5,576,498
168,950 Kingfisher, Plc 1,917,672
587,400 Ladbroke Group, Plc 2,297,384
807,550 Lloyds TSB Group, Plc 8,279,077
279,100 Premier Farnell, Plc 2,176,212
578,450 Prudential Corp., Plc 5,598,186
686,600 Safeway, Plc 3,970,913
481,280 Scottish Power, Plc 3,131,889
924,000 Shell Transportation & Trading, Plc 6,297,347
347,300 Siebe, Plc 5,878,378
472,850 TI Group, Plc 4,119,760
795,300 Vodafone Group, Plc 3,871,583
124,900 Williams Holdings, Plc* 671,424
197,550 Zeneca Group, Plc 6,529,622
-------------
111,930,424
-------------
Total Common Stocks 322,223,679
-------------
(Cost $267,587,393)
PREFERRED STOCK - 0.17%
153,835 News Corp., Ltd. (Australia) 601,577
-------------
Total Preferred Stock 601,577
-------------
(Cost $632,568)
INVESTMENT COMPANIES - 8.20%
10,056,463 Federated Investors 10,056,463
8,849,204 ILA Prime Obligation Portfolio Fund,
Class B 8,849,204
9,958,611 State Street Bank Temp Fund 9,958,611
-------------
Total Investment Companies 28,864,278
-------------
(Cost $28,864,278)
Total Investments - 99.83% 351,689,534
-------------
(Cost $297,084,239)
Net Other Assets and Liabilities - 0.17% 609,066
-------------
Net Assets - 100.00% $ 352,298,600
=============
</TABLE>
- -----------------------------------
* Non income producing security.
ADR American Depositary Receipt
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Industry Concentration of Common and Preferred Stocks
- -----------------------------------------------------
as Percentage of Net Assets:
----------------------------
<S> <C>
Finance 25.65%
Chemicals and Drugs 12.29
Telecommunications 8.52
Durable Goods 7.39
Consumer Goods and Services 6.92
Energy 5.04
Food and Beverage 5.03
Electronics 4.83
Tobacco 4.68
Utilities 3.91
Basic Materials 3.39
Metals and Mining 0.97
Building and Construction 0.96
Paper 0.86
Leisure and Entertainment 0.65
Retail 0.54
------
Total 91.63%
======
</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>
10,277,000 CHF 07/23/97 $ 7,072,125 $ 7,162,796 $ 90,671
9,400,000 CHF 08/13/97 6,479,186 6,630,458 151,272
11,824,000 DEM 09/12/97 6,822,754 7,031,273 208,519
9,700,000 GBP 09/23/97 16,094,017 15,784,810 (309,207)
10,900,000 NLG 07/16/97 5,570,034 5,669,406 99,372
8,200,000 NLG 08/20/97 4,196,264 4,317,016 120,752
10,527,000 NLG 09/05/97 5,393,092 5,445,657 52,565
------------ ----------- ------------
$51,627,472 $52,041,416 $ 413,944
============ =========== ============
</TABLE>
- ----------------------------
CHF Swiss Franc
DEM German Mark
GBP British Pound
NLG Dutch Guilder
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-6
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $297,084,239. Net unrealized appreciation (depreciation) aggregated
$54,605,295, of which $61,406,088 related to appreciated investment securities
and $(6,800,793) related to depreciated investment securities.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $763,275.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $89,540,752
and $15,820,962 from non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-7
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C>
COMMON STOCKS - 95.20%
Finance - 19.26%
100,300 American Express Co. $ 7,472,350
35,800 American International Group, Inc. 5,347,625
70,700 Banc One Corp. 3,424,531
117,600 BankAmerica Corp. 7,592,550
3,800 BankBoston Corp. 273,838
91,600 Barnett Banks, Inc. 4,809,000
54,800 Citicorp 6,606,825
38,100 Comerica, Inc. 2,590,800
102,200 Conseco, Inc. 3,781,400
39,700 Franklin Resources, Inc. 2,880,731
143,862 MBNA Corp. 5,268,946
37,400 MGIC Investment Corp. 1,792,863
110,466 Travelers Group, Inc. 6,966,262
128,800 Washington Mutual, Inc. 7,695,800
-------------
66,503,521
-------------
Chemicals and Drugs - 13.92%
96,800 Abbott Laboratories 6,461,400
88,200 Bristol-Myers Squibb Co. 7,144,200
20,300 Clorox Co. 2,679,600
68,200 duPont (E.I.) deNemours & Co. 4,288,075
39,100 Lilly (Eli) & Co. 4,274,119
69,600 Merck & Co., Inc. 7,203,600
47,500 Pfizer, Inc. 5,676,250
85,900 Praxair, Inc. 4,810,400
55,000 Sherwin-Williams Co. 1,698,125
30,800 Warner-Lambert Co. 3,826,900
-------------
48,062,669
-------------
Durable Goods - 11.83%
77,100 BMC Software, Inc.* 4,269,413
14,100 Dell Computer Corp.* 1,655,869
160,700 General Electric Co. 10,505,763
23,000 Intel Corp. 3,261,688
78,800 Motorola, Inc. 5,988,800
86,800 PeopleSoft, Inc.* 4,578,700
48,500 Tellabs, Inc.* 2,709,938
75,800 Tyco International, Ltd. 5,272,838
112,500 Westinghouse Electric Corp. 2,601,563
-------------
40,844,572
-------------
Consumer Products - 9.46%
35,900 Applied Materials, Inc.* 2,542,169
39,200 Ascend Communications, Inc.* 1,543,500
40,000 Avon Products, Inc. 2,822,500
27,700 Carnival Corp., Class A 1,142,625
54,900 ConAgra, Inc. 3,520,463
60,100 Disney (Walt) Co. 4,823,025
57,500 Liz Claiborne, Inc. 2,680,938
54,900 Procter & Gamble Co. 7,754,625
68,900 Sara Lee Corp. 2,867,963
113,000 TJX Cos., Inc. 2,980,375
-------------
32,678,183
-------------
Technology - 9.35%
33,000 Compaq Computer Corp.* 3,275,250
89,525 Computer Associates International,
Inc 4,985,423
79,400 EMC Corp.* 3,096,600
87,400 Honeywell, Inc. 6,631,475
24,400 Lucent Technologies, Inc. 1,758,325
77,700 Microsoft Corp.* 9,819,338
63,500 Parametric Technology Corp.* 2,702,719
-------------
32,269,130
-------------
Retail - 6.84%
76,250 Consolidated Stores Corp.* 2,649,688
114,500 Costco Cos., Inc.* 3,764,188
126,801 CVS Corp. 6,498,551
78,000 Dayton-Hudson Corp. 4,148,625
68,600 Safeway, Inc.* 3,164,175
63,400 Walgreen Co. 3,399,825
-------------
23,625,052
-------------
Energy - 5.98%
39,300 Baker Hughes, Inc. 1,520,419
55,200 Exxon Corp. 3,394,800
64,900 Halliburton Co. 5,143,325
44,800 Mobil Corp. 3,130,400
41,500 Schlumberger, Ltd. 5,187,500
44,100 Sonat, Inc. 2,260,125
-------------
20,636,569
-------------
Health Services - 5.11%
69,000 Cardinal Health, Inc. 3,950,250
56,600 HBO & Co. 3,898,325
152,500 HEALTHSOUTH Corp.* 3,802,969
36,600 Oxford Health Plans, Inc.* 2,626,050
90,100 United States Surgical Corp. 3,356,225
-------------
17,633,819
-------------
Aerospace-Airlines - 3.69%
60,000 Boeing Co. 3,183,750
82,800 Textron, Inc. 5,495,850
49,100 United Technologies Corp. 4,075,300
-------------
12,754,900
-------------
Consumer Staples - 3.66%
39,500 American Standard Cos., Inc.* 1,767,625
53,300 Campbell Soup Co. 2,665,000
59,400 Coca-Cola Co. 4,009,493
44,300 Gillette Co. 4,197,425
-------------
12,639,543
-------------
Printing and Publishing - 2.20%
76,800 Gannett Co., Inc. 7,584,000
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-8
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C>
Communications - 1.81%
119,000 Sprint Corp. $ 6,262,375
-------------
Hotels-Leisure - 1.20%
67,400 Marriott International, Inc. 4,136,675
-------------
Utilities - 0.47%
67,500 Republic Industries, Inc.* 1,636,875
-------------
Consumer Service - 0.42%
44,200 Service Corp. International 1,453,075
-------------
Total Common Stocks 328,720,958
-------------
(Cost $267,352,656)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C>
U.S. GOVERNMENT OBLIGATION - 0.58%
U.S. Treasury Note
$2,000,000 5.75%, 12/31/98 1,993,750
-------------
Total U.S. Government Obligation 1,993,750
-------------
(Cost $1,996,563)
COMMERCIAL PAPER (A) - 3.15%
2,000,000 Bear Stearns Cos., Inc.
5.58%, 09/18/97 1,975,510
8,900,000 Citicorp
6.25%, 07/01/97 8,900,000
-------------
Total Commercial Paper 10,875,510
-------------
(Cost $10,875,510)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C>
CERTIFICATES OF DEPOSIT - 1.58%
$3,000,000 Bayerische Vereinsbank AG
6.30%, 11/25/98 2,986,500
2,500,000 Skandinaviska Enskilda Banken
6.54%, 06/03/98 2,488,000
-------------
Total Certificates of Deposit 5,474,500
-------------
(Cost $5,500,000)
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C>
INVESTMENT COMPANIES - 0.00%
3,923 ILA Prime Obligation Portfolio Fund,
Class B 3,923
8,698 State Street Bank Temp Fund 8,698
-------------
Total Investment Companies 12,621
-------------
(Cost $12,621)
Total Investments - 100.51% 347,077,339
-------------
(Cost $285,737,350)
Net Other Assets and Liabilities - (0.51)% (1,766,796)
-------------
Net Assets - 100.00% $ 345,310,543
=============
</TABLE>
- -----------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $285,737,350. Net unrealized appreciation (depreciation) aggregated
$61,339,989, of which $63,797,906 related to appreciated investment securities
and $(2,457,917) 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 six months ended June 30,
1997 were $2,053,805.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $184,829,483
and $125,836,649 from non-governmental issuers, and $9,525,469 and $7,502,734
from U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-9
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 89.37%
<S> <C> <C>
Finance - 10.82%
55,900 Aetna Life & Casualty, Inc. $ 5,722,763
58,000 American International Group, Inc. 8,663,750
63,000 Chase Manhattan Corp. 6,114,938
38,700 Citicorp 4,665,769
102,400 Northern Trust Corp. 4,953,600
219,000 TIG Holdings, Inc. 6,843,750
79,600 Tokio Marine & Fire Insurance Co., ADR 5,154,100
-------------
42,118,670
-------------
Chemicals and Drugs - 10.17%
85,000 Air Products & Chemicals, Inc. 6,906,250
56,500 Allegiance Corp. 1,539,625
136,000 duPont (E.I.) deNemours & Co. 8,551,000
102,600 Grace (W.R.) & Co. 5,655,825
92,000 Monsanto Co. 3,961,750
44,700 Pfizer, Inc. 5,341,650
117,400 Pharmacia & Upjohn, Inc. 4,079,650
28,600 Warner-Lambert Co. 3,553,550
-------------
39,589,300
-------------
Durable Goods - 9.87%
154,500 Corning, Inc. 8,594,063
128,900 Crown Cork & Seal Co., Inc. 6,888,094
115,200 General Electric Co. 7,531,200
15,000 Keystone Automotive Industries, Inc.* 255,000
64,900 Rockwell International Corp. 3,829,100
59,600 Texas Instruments, Inc. 5,010,125
274,200 Westinghouse Electric Corp. 6,340,875
-------------
38,448,457
-------------
Consumer Products - 8.80%
111,700 Anheuser-Busch Cos., Inc. 4,684,419
51,100 Avon Products, Inc. 3,605,744
59,100 Eastman Kodak Co. 4,535,925
83,400 Fortune Brands, Inc. 3,111,863
116,400 Heinz (H.J.) Co. 5,368,950
48,500 Kellogg Co. 4,152,813
134,200 RJR Nabisco Holdings Corp. 4,428,600
30,100 Seagram Co., Ltd. 1,211,525
87,000 Tupperware Corp. 3,175,500
-------------
34,275,339
-------------
Technology - 7.77%
209,300 AirTouch Communications, Inc.* 5,729,588
167,400 Electronic Data Systems Corp. 6,863,400
59,800 Honeywell, Inc. 4,537,325
57,400 International Business Machines Corp. 5,176,763
79,100 ITT Corp.* 4,830,044
76,500 Seagate Technology, Inc.* 2,691,844
3,000 3Dfx Interactive, Inc.* 40,125
30,000 Waterlink, Inc.* 390,000
-------------
30,259,089
-------------
Energy - 6.64%
136,900 Amerada Hess Corp. $ 7,606,506
78,600 Chevron Corp. 5,811,488
2,500 Hanover Compressor Company* 48,750
143,577 IMC Global, Inc. 5,025,195
135,000 Oryx Energy Co.* 2,851,875
60,000 Tenneco, Inc. 2,711,250
24,700 Western Atlas, Inc.* 1,809,275
-------------
25,864,339
-------------
Aerospace-Airlines - 6.37%
66,800 AMR Corp.* 6,179,000
39,092 Boeing Co. 2,074,319
80,000 Lockheed Martin Corp. 8,285,000
33,700 Northrop Grumman Corp. 2,959,281
95,200 Sundstrand Corp. 5,313,350
-------------
24,810,950
-------------
Print and Publishing - 5.55%
51,300 Reader's Digest Association, Inc., Class A 1,471,669
139,500 Time Warner, Inc. 6,730,875
198,600 Tribune Co. 9,545,213
190,400 U.S. West, Inc., Media Group* 3,855,600
-------------
21,603,357
-------------
Automotive - 3.30%
148,000 Ford Motor Co. 5,587,000
125,800 General Motors Corp., Class H 7,264,950
-------------
12,851,950
-------------
Utilities - 3.10%
88,600 Long Island Lighting Co. 2,037,800
135,200 NYNEX Corp. 7,790,900
65,300 Texas Utilities Co. 2,248,769
-------------
12,077,469
-------------
Metals and Mining - 3.01%
254,500 Allegheny Teledyne, Inc. 6,871,500
14,800 Molten Metal Technology, Inc.* 74,000
56,000 Phelps Dodge Corp. 4,770,500
-------------
11,716,000
-------------
Consumer Staples - 2.78%
152,800 Black & Decker Corp. 5,682,250
106,500 Litton Industries, Inc.* 5,145,274
-------------
10,827,524
-------------
Manufacturing - 2.28%
286,500 Owens-Illinois, Inc.* 8,881,500
-------------
Health Care Products - 2.21%
152,500 Baxter International, Inc. 7,968,125
9,800 Johnson & Johnson 630,875
-------------
8,599,000
-------------
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-10
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Retail - 2.16%
153,100 Wal-Mart Stores, Inc. $ 5,176,694
135,500 Woolworth Corp.* 3,252,000
-------------
8,428,694
-------------
Waste Disposal - 1.66%
200,968 Waste Management, Inc. 6,456,097
-------------
Health Services - 1.25%
123,600 Columbia/HCA Healthcare Corp. 4,859,025
-------------
Hotels-Leisure - 0.87%
170,300 Host Marriott Corp.* 3,033,469
22,900 Servico, Inc.* 340,638
-------------
3,374,107
-------------
Business Services - 0.76%
116,700 Ikon Office Solutions, Inc. 2,910,206
2,500 Staff Leasing, Inc.* 46,875
-------------
2,957,081
-------------
Total Common Stocks 347,997,948
-------------
(Cost $274,052,967)
PREFERRED STOCKS - 1.62%
30,100 AirTouch Communications, Inc., Class B 857,850
93,600 Globalstar Telecommunications, Ltd 5,428,800
-------------
Total Preferred Stocks 6,286,650
-------------
(Cost $5,358,131)
Par Value
- ---------
CORPORATE NOTES AND BONDS - 2.50%
$ 465,000 General Motors Acceptance Corp., MTN
7.85%, 11/17/97 468,593
2,500,000 MBNA Corp., Senior MTN
7.25%, 12/10/97 2,514,580
1,490,000 Molten Metal Technolgy, Inc.
5.50%, 05/01/06 (A) 551,300
2,500,000 Morgan Stanley Group, Inc., Series C
6.16%, 03/09/98 2,506,307
6,250,000 Roche Holdings, Inc.
6.38%, 05/06/12 (A)(C) 2,695,313
1,000,000 Xerox Credit Corp., Series D, MTN
6.84%, 06/01/00 1,000,625
-------------
Total Corporate Notes and Bonds 9,736,718
-------------
(Cost $10,463,230)
ASSET-BACKED SECURITY - 0.26%
1,000,000 Case Equipment Loan Trust, 1997-A
6.45%, 03/15/04 1,002,852
-------------
Total Asset-Backed Security 1,002,852
-------------
(Cost $999,681)
U.S. GOVERNMENT AGENCY OBLIGATION (B) - 0.75%
Federal Home Loan Bank
$3,000,000 5.50%, 11/13/97 $ 2,938,125
-------------
Total U.S. Government Agency
Obligation 2,938,125
-------------
(Cost $2,938,125)
CERTIFICATES OF DEPOSIT - 1.15%
2,000,000 Bayerische Vereinsbank AG
6.30%, 11/25/98 1,991,000
2,500,000 Skandinaviska Enskilda Banken
6.54%, 06/03/98 2,488,000
-------------
Total Certificates of Deposit 4,479,000
-------------
(Cost $4,500,000)
COMMERCIAL PAPER (B) - 3.91%
2,000,000 Bear Stearns Cos., Inc.
5.58%, 09/18/97 1,975,510
5,300,000 Citicorp
6.25%, 07/01/97 5,300,000
3,000,000 Mitsubishi Motors Credit of America, Inc.
5.64%, 08/11/97 2,980,730
2,500,000 Paine Webber Group, Inc.
5.70%, 09/18/97 2,468,729
2,500,000 Southland Corp.
5.62%, 08/07/97 2,485,560
-------------
Total Commercial Paper 15,210,529
-------------
(Cost $15,210,529)
Shares
- ------
INVESTMENT COMPANY - 0.01%
43,864 State Street Bank Temp Fund 43,864
-------------
Total Investment Company 43,864
-------------
(Cost $43,864)
Total Investments - 99.57% 387,695,686
-------------
(Cost $313,566,527)
Net Other Assets and Liabilities - 0.43% 1,693,732
-------------
Net Assets - 100.00% $ 389,389,418
-------------
</TABLE>
- -----------------------------------
* Non income producing security.
MTN Medium Term Note
ADR American Depositary Receipt
(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 June 30, 1997, these
securities amounted to $3,246,613 or 0.83% of net assets.
(B) Effective yield at time of purchase.
(C) Zero coupon bond. Rate shown reflects effective yield to maturity.
See Notes to Financial Statements.
- ---------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $313,566,527. Net unrealized appreciation (depreciation) aggregated
$74,129,159, of which $79,690,388 related to appreciated investment securities
and $(5,561,229) related to depreciated investment securities.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $2,538,690.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $110,988,570
and $70,393,352 from non-governmental issuers, respectively.
See Notes to Financial Statements.
---------------------------------------------------------
F-12
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE NOTES AND BONDS - 50.15%
Finance - 18.57%
$ 700,000 Chase Commercial Mortgage
Securities
7.37%, 05/19/07 NR $ 701,197
500,000 Duke Realty, LP
7.25%, 09/22/02 Baa 503,892
400,000 Franchise Finance Corp. of
America
7.00%, 11/30/00 Baa 400,984
600,000 General Electric Capital Corp.
6.66%, 05/01/18 Aaa 601,300
725,000 Green Tree Financial Corp.
7.54%, 04/15/28 NR 714,799
1,625,000 Green Tree Financial Corp.
7.53%, 07/15/28 NR 1,612,049
650,000 Green Tree Financial Corp.
7.24%, 11/15/28 NR 647,459
850,000 Green Tree Financial Corp.
7.22%, 02/15/29 NR 840,965
125,000 Greyhound Financial Corp.
8.50%, 02/15/99 Baa 129,006
1,100,000 Highwoods/Forsyth, LP
6.75%, 12/01/03 Baa 1,075,911
875,000 Homeside Lending, Inc., MTN
6.88%, 06/30/02 NR 871,168
500,000 Integra Financial Corp.
6.50%, 04/15/00 A 498,638
800,000 Keystone Financial Mid-Atlantic
Funding Senior Note
7.30%, 05/15/04 Baa 809,768
575,000 Mortgage Capital Funding, Inc.
7.90%, 02/15/06 NR 596,563
625,000 Sears Roebuck Acceptance Corp.,
Series II, MTN
6.69%, 04/30/01 A 622,802
600,000 Security Connecticut Corp., MTN
7.13%, 03/01/03 Baa 593,175
900,000 Susa Partnership, LP, REIT
8.20%, 06/01/17 Baa 903,370
1,575,000 The Money Store, Inc.
8.38%, 04/15/04 Ba 1,616,706
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 Baa 468,461
1,150,000 United Companies Financial Corp.
Senior Note
7.70%, 01/15/04 Ba 1,144,725
750,000 Wharf Capital International 1994, Ltd.
8.88%, 11/01/04 Baa 805,887
-------------
16,158,825
-------------
Securities Brokers and Dealers - 6.76%
190,000 Bear Stearns Cos., Inc.
Senior Note
6.75%, 08/15/00 A 190,249
1,150,000 Goldman Sachs Group, LP
7.20%, 03/01/07 A 1,147,470
1,000,000 Merrill Lynch Mortgage Investors, Inc.
6.96%, 11/21/28 NR 921,090
825,000 Merrill Lynch Mortgage Investors, Inc.
7.12%, 06/18/29 NR 812,749
575,000 Merrill Lynch & Co., Inc.
6.00%, 01/15/01 Aa 562,843
100,000 Salomon, Inc.
7.13%, 08/01/99 Baa 101,090
550,000 Salomon, Inc.
7.25%, 05/01/01 Baa 556,252
325,000 Salomon, Inc.
7.00%, 05/15/99 Baa 327,697
50,000 Salomon, Inc., Series D, Senior MTN
6.39%, 04/05/99 Baa 49,733
175,000 Salomon, Inc., Series D, MTN
6.82%, 07/26/99 Baa 176,040
250,000 Salomon, Inc., MTN
6.63%, 11/30/00 Baa 248,453
350,000 Smith Barney Holdings, Inc.
7.88%, 10/01/99 A 359,534
425,000 Smith Barney Holdings, Inc.
7.00%, 03/15/04 A 423,913
-------------
5,877,113
-------------
Real Estate - 5.46%
500,000 Avalon Properties, Inc.
Senior Note, REIT
7.38%, 09/15/02 Baa 500,121
300,000 Colonial Realty, LP, MTN
7.16%, 01/17/03 NR 299,422
400,000 ERP Operating, LP
8.50%, 05/15/99 (A) Baa 413,372
200,000 ERP Operating, LP
7.95%, 04/15/02 A 205,729
1,100,000 La Quinta Inns, Inc., MTN
7.11%, 10/17/01 Ba 1,096,619
650,000 Meditrust, REIT
7.82%, 09/10/26 Baa 674,644
500,000 Shopping Center Associates
6.75%, 01/15/04 (A) Aaa 487,655
450,000 Spieker Properties, LP
6.65%, 12/15/00 Baa 446,635
625,000 Trinet Corporate Realty Trust, Inc.
7.30%, 05/15/01 Baa 629,372
-------------
4,753,569
-------------
Banking - 3.20%
825,000 BB&T Corp.
7.25%, 06/15/07 A 827,026
275,000 Capital One Bank, MTN
8.13%, 03/01/00 Baa 284,030
450,000 First USA Bank, MTN
5.75%, 01/15/99 Baa 446,429
400,000 First USA Bank, MTN
7.00%, 08/20/01 Baa 402,565
400,000 St. George Bank, Ltd.
6.88%, 04/01/99 (A) Baa 401,988
425,000 St. George Bank, Ltd.
7.15%, 10/15/05 (A) Baa 423,364
-------------
2,785,402
-------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-13
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS CONTINUED . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Insurance - 2.98%
$ 775,000 Conseco, Inc.
8.13%, 02/15/03 Ba $ 805,736
575,000 Equitable Life Assurance Society
7.70%, 12/01/15(A) A 568,261
800,000 Markel Corp.
7.25%, 11/01/03 Baa 796,680
400,000 USF&G Corp.
Senior Note
8.38%, 06/15/01 Baa 418,795
-------------
2,589,472
-------------
Telephone and Telecommunications - 2.75%
825,000 MFS Communications Co., Inc.
0.00%, 01/15/04 (G) Ba 767,250
1,075,000 MFS Communications Co., Inc.
0.00%, 01/15/06 (G) Ba 849,250
775,000 360 Communications Co.
Senior Note
7.60%, 04/01/09 Ba 779,040
-------------
2,395,540
-------------
Industrial - 2.42%
800,000 Brascan, Ltd.
7.38%, 10/01/02 Ba 794,232
1,250,000 Cominco, Ltd.
6.88%, 02/15/06 Baa 1,184,269
300,000 Roche Holdings, Inc.
6.38%, 05/06/12 (F) Aa 129,375
-------------
2,107,876
-------------
Print and Publishing - 2.24%
275,000 News America Holdings, Inc.
9.50%, 07/15/24 Baa 313,516
200,000 News America Holdings, Inc.
7.70%, 10/30/25 Baa 188,286
575,000 Time Warner, Inc.
9.13%, 01/15/13 Ba 637,706
220,000 Time Warner, Inc.
9.15%, 02/01/23 Ba 242,807
575,000 Time Warner, Inc.
6.85%, 01/15/26 Ba 562,098
-------------
1,944,413
-------------
Manufacturing - 1.95%
775,000 Georgia-Pacific Corp.
9.95%, 06/15/02 Baa 871,684
425,000 Noranda Forest, Inc., Debenture
8.88%, 10/15/99 Baa 442,446
400,000 Scherer (R.P.) Corp.
Senior Note
6.75%, 02/01/04 Ba 383,658
-------------
1,697,788
-------------
Consumer Goods - 1.47%
1,400,000 Quantum Health Resources, Inc.
4.75%, 10/01/00 B 1,275,750
-------------
Equipment - 0.96%
850,000 Toro Co.
7.80%, 06/15/27 NR 834,505
-------------
Merchandising and Retail - 0.93%
800,000 Great Atlantic & Pacific Tea
Co., Inc.
Senior Note
7.70%, 01/15/04 Baa 808,634
-------------
Utilities - 0.46%
300,000 System Energy Resources, Inc.
6.00%, 04/01/98 Baa 298,462
100,000 System Energy Resources, Inc.
7.63%, 04/01/99 Baa 101,222
-------------
399,684
-------------
Total Corporate Notes and Bonds 43,628,571
-------------
(Cost $43,448,184)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 31.15%
Federal National Mortgage Association (B) - 12.64%
544,500 6.00%, 01/01/11, Pool # 334836 Aaa 525,296
1,000,000 6.00%, 06/01/12 (D) Aaa 963,750
255,692 7.00%, 07/01/23, Pool # 050765 Aaa 252,189
1,250,000 8.00%, 07/25/23, REMIC Aaa 1,323,015
269,350 7.00%, 12/01/23, Pool # 240476 Aaa 265,660
265,297 7.00%, 01/01/24, Pool # 261764 Aaa 261,410
40,143 7.00%, 05/01/24, Pool # 265289 Aaa 39,555
378,750 7.00%, 06/01/24, Pool # 283173 Aaa 373,201
811,828 7.00%, 06/01/24, Pool # 284717 Aaa 799,935
341,605 7.00%, 07/01/25, Pool # 307012 Aaa 335,517
302,863 7.00%, 07/01/25, Pool # 315035 Aaa 297,466
180,944 7.00%, 07/01/25, Pool # 317579 Aaa 177,719
879,005 7.00%, 08/01/25, Pool # 250345 Aaa 863,341
211,262 7.00%, 08/01/25, Pool # 318107 Aaa 207,497
148,322 7.00%, 08/01/25, Pool # 318348 Aaa 145,679
754,834 7.00%, 08/01/25, Pool # 318863 Aaa 741,383
410,591 7.00%, 08/01/25, Pool # 319485 Aaa 403,274
431,611 7.00%, 08/01/25, Pool # 320333 Aaa 423,920
289,415 7.00%, 09/01/25, Pool # 303555 Aaa 284,257
345,234 7.00%, 09/01/25, Pool # 317782 Aaa 339,082
368,051 6.50%, 01/01/26, Pool # 335089 Aaa 352,626
283,684 7.00%, 04/01/26, Pool # 303841 Aaa 278,629
1,370,109 7.00%, 09/01/26, Pool # 345859 Aaa 1,343,707
-------------
10,998,108
-------------
Federal Home Loan Mortgage Corporation - 6.22%
362,875 6.50%, 03/01/26, Pool # D69086 Aaa 348,008
542,185 6.50%, 04/01/26, Pool # D69873 Aaa 519,971
982,323 7.50%, 05/01/26, Pool # D71610 Aaa 986,772
489,667 7.50%, 07/01/26, Pool # D72669 Aaa 491,885
260,290 7.50%, 08/01/26, Pool # C00473 Aaa 261,469
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-14
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS CONTINUED . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corporation (continued)
$1,287,000 6.00%, 06/01/12, Pool # G10691 Aaa $ 1,242,727
1,625,000 6.00%, 08/01/12 (D) Aaa 1,564,063
-------------
5,414,895
-------------
U.S. Treasury Notes - 5.21%
375,000 5.13%, 02/28/98 (E) Aaa 373,477
300,000 5.38%, 05/31/98 (E) Aaa 298,875
75,000 6.25%, 07/31/98 Aaa 75,328
3,800,000 5.63%, 11/30/98 (E) Aaa 3,782,189
-------------
4,529,869
-------------
U.S. Treasury Bond - 4.65%
3,550,000 8.13%, 08/15/19 Aaa 4,048,111
-------------
Government National
Mortgage Association (B) - 2.17%
801,907 7.00%, 07/15/23 Aaa 792,252
345,824 7.00%, 11/15/23 Aaa 341,661
379,465 7.00%, 02/15/24 Aaa 374,547
384,041 7.00%, 07/15/24 Aaa 379,063
-------------
1,887,523
-------------
U.S. Agency Bond - 0.26%
223,227 Federal Deposit Insurance Corp.
Series 1994-C1, REMIC
7.85%, 09/25/25 Aaa 224,966
-------------
Total U.S. Government and Agency
Obligations 27,103,472
-------------
(Cost $26,863,958)
ASSET-BACKED SECURITIES (B) - 7.31%
388,769 Advanta Mortgage Loan Trust,
Series 93-4
5.50%, 03/25/10 Aaa 373,044
1,200,000 Contimortgage Home Equity Loan Trust,
Class A
6.88%, 01/15/28 NR 1,182,276
700,000 CS First Boston Mortgage
Securities Co.
7.59%, 07/25/26 NR 710,122
325,000 EQCC Home Equity Loan Trust,
Series 1996-1
6.19%, 12/15/10 Aaa 316,102
925,000 EQCC Home Equity Loan Trust,
Series 1996-4
6.89%, 01/15/28 NR 916,823
132,943 Fund America Investors Corp. II,
1993-F
5.40%, 09/25/09 Aaa 127,999
764,819 Housing Securities, Inc.
6.50%, 07/25/09 NR 745,630
117,065 Resolution Trust Corp.
8.00%, 04/25/25 Baa 119,589
625,000 Resolution Trust Corp.
8.00%, 06/25/26 NR 638,863
275,000 Resolution Trust Corp.
6.90%, 02/25/27 Aaa 271,733
261,002 Resolution Trust Corp.
7.45%, 05/25/29 Baa 259,370
550,000 The Money Store Home Equity Trust,
1996-D
7.00%, 04/15/28 Aaa 543,884
147,727 UCFC Home Equity Loan Trust, 1994-B2
7.10%, 06/10/23 Aaa 149,313
-------------
Total Asset-Backed Securities 6,354,748
-------------
(Cost $6,312,636)
MUNICIPAL BOND - 1.00%
4,100,000 New Jersey Economic Development
7.61%, 02/15/18 (F) NR 870,840
-------------
Total Municipal Bond 870,840
-------------
(Cost $879,450)
COMMERCIAL PAPER (C) - 8.09%
850,000 Federal Home Loan Bank
5.78%, 10/02/97 Aaa 837,747
775,000 Federal Home Loan Bank
5.58%, 10/03/97 Aaa 763,708
1,000,000 Federal Home Loan Mortgage Corp.
5.44%, 09/16/97 Aaa 988,492
2,000,000 Federal National Mortgage Association
5.52%, 09/05/97 Aaa 1,979,760
1,500,000 Federal National Mortgage Association
5.55%, 09/25/97 Aaa 1,480,283
1,000,000 World Bank
5.46%, 09/22/97 NR 987,846
-------------
Total Commercial Paper 7,037,836
-------------
(Cost $7,037,836)
</TABLE>
<TABLE>
<CAPTION>
Shares
- ------
<S> <C> <C>
INVESTMENT COMPANY - 2.25%
1,956,911 ILA Prime Obligation Portfolio Fund,
Class B 1,956,911
-------------
Total Investment Company 1,956,911
-------------
(Cost $1,956,911)
Total Investments - 99.95% 86,952,378
-------------
(Cost $86,498,975)
Net Other Assets and Liabilities - 0.05% 45,774
-------------
Net Assets - 100.00% $ 86,998,152
=============
</TABLE>
- -----------------------------
(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 June 30, 1997, these
securities amounted to $2,294,640 or 2.64% of net assets.
(B) Pass Through Certificates
(C) Effective yield at time of purchase.
(D) Forward Commitment
(E) Collateral on Forward Commitment
(F) Zero coupon bond. Rate shown reflects effective yield to maturity.
(G) Interest rate steps up periodically to maturity. The interest rate shown
reflects the rate currently in effect at June 30, 1997.
MTN Medium Term Note
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-15
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $86,498,975. Net unrealized appreciation (depreciation) aggregated $453,403,
of which $840,444 related to appreciated investment securities and $(387,041)
related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $28,832,464
and $15,921,932 from non-governmental issuers, respectively, and $16,662,076 and
$27,710,140 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
<S> <C>
Aaa 42.38%
Aa 0.81
A 5.70
Baa 20.68
Ba 11.39
B 1.50
NR (Not Rated) 17.54
-------
100.00%
=======
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-16
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
<S> <C>
U.S. AGENCY OBLIGATIONS - 18.76%
Federal Home Loan Mortgage Corporation - 9.77%
$10,000,000 5.41%, 07/15/97 $ 9,978,961
13,120,000 5.22%, 08/15/97 13,030,688
1,930,000 5.24%, 01/30/98 1,870,164
-------------
24,879,813
-------------
Federal Farm Credit Bank - 4.71%
7,500,000 5.55%, 08/01/97 7,499,233
2,625,000 5.25%, 10/31/97 2,578,629
2,000,000 5.47%, 03/23/98 1,919,469
-------------
11,997,331
-------------
Federal National Mortgage Association - 3.69%
500,000 5.64%, 09/03/97 500,158
9,000,000 5.55%, 09/25/97 8,880,675
-------------
9,380,833
-------------
Federal Home Loan Bank - 0.59%
1,500,000 5.61%, 07/07/97 1,498,598
-------------
Total U.S. Agency Obligations 47,756,575
-------------
(Cost $47,756,575)
CORPORATE NOTES AND BONDS - 18.27%
Finance - 6.81%
3,000,000 American Honda Finance Corp., MTN
5.92%, 08/15/97 (B) * 3,000,000
925,000 Beneficial Corp., Series E, MTN
6.99%, 12/11/97 928,162
255,000 Ford Capital BV, Yankee Debenture
9.13%, 05/01/98
Guaranteed: Ford Motor Co. 260,539
5,750,000 General Electric Capital Corp.,
Series A, MTN
5.36%, 01/20/98 5,730,450
1,400,000 General Motors Acceptance Corp., MTN
7.30%, 02/02/98 1,410,817
1,100,000 General Motors Acceptance Corp., MTN
6.50%, 07/25/97 1,100,579
3,000,000 General Motors Acceptance Corp., MTN
6.07%, 08/01/97 * 3,000,358
1,000,000 Southwestern Bell Capital Corp.,
Series C, MTN
7.75%, 10/30/97 1,005,801
899,000 Texaco Capital, Inc., MTN
8.65%, 07/23/97
Guaranteed: Texaco, Inc. 900,646
-------------
17,337,352
-------------
Securities Brokers and Dealers - 4.69%
3,500,000 Goldman Sachs Group, LP
Series E, Euro MTN
6.20%, 05/29/98 * 3,507,713
1,000,000 Bear Stearns Cos., Inc.,
Series B, MTN
6.07%, 02/17/98 * 1,001,180
2,500,000 Bear Stearns Cos., Inc.,
Series B, MTN
6.16%, 02/23/98 * 2,506,568
3,000,000 Bear Stearns Cos., Inc.,
Series B, MTN
5.75%, 10/08/97 * 3,000,000
1,915,000 Lehman Brothers Holdings, Inc.,
Series E, MTN
6.73%, 02/27/98 1,924,595
-------------
11,940,056
-------------
Banking - 3.55%
4,000,000 BankAmerica Corp., Series G, MTN
6.88%, 11/20/97 4,014,090
2,000,000 MBNA Corp., Senior MTN
7.25%, 12/10/97 2,011,245
3,000,000 Wells Fargo & Co., Series B, MTN
5.89%, 12/29/97 * 3,000,767
-------------
9,026,102
-------------
Utilities - 1.62%
1,000,000 Virginia Electric & Power Co.
First Mortgage, Series A
9.38%, 06/01/98 1,027,014
3,060,000 WMX Technologies, Inc.
8.13%, 02/01/98 3,099,826
-------------
4,126,840
-------------
Consumer Goods - 0.99%
2,500,000 PepsiCo, Inc.
6.13%, 01/15/98 2,504,802
-------------
Retail - 0.61%
1,525,000 Sears Roebuck & Co., Debenture
9.25%, 04/15/98 1,558,794
-------------
Total Corporate Notes and Bonds 46,493,946
-------------
(Cost $46,493,946)
MUNICIPAL BOND - 1.57%
4,000,000 Nebraska Higher Education Loan Program, Inc.
5.60%, 07/17/97 3,990,044
-------------
Total Municipal Bond 3,990,044
-------------
(Cost $3,990,044)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-17
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
<S> <C>
COMMERCIAL PAPER - 55.36%
Finance - 22.78%
$ 5,000,000 Asset Backed Capital Finance, Inc.
5.83%, 11/14/97 $ 4,999,640
9,000,000 Associates Corp. of North America
5.62%, 07/21/97 8,971,900
2,500,000 Bil North America, Inc.
5.65%, 12/10/97 2,436,438
3,000,000 Jefferson Smurfit Finance Corp.,
Series A
5.60%, 08/28/97 2,972,933
4,500,000 Jefferson Smurfit Finance Corp.,
Series A
5.60%, 09/02/97 4,455,900
3,163,000 Madison Funding, Inc.
5.70%, 08/05/97 3,145,472
600,000 National Fleet Funding Corp.
7.00%, 08/15/97 595,725
8,500,000 Norwest Financial, Inc.
5.53%, 07/28/97 8,464,746
5,000,000 Prudential Funding Corp.
5.54%, 07/14/97 4,989,997
4,200,000 Toshiba Capital Asia Corp.
5.75%, 07/22/97 4,185,913
2,500,000 Toshiba International Finance
5.70%, 08/14/97 2,482,583
5,355,000 UBS Finance, Inc.
6.20%, 07/01/97 5,355,000
5,000,000 Unifunding, Inc.
5.58%, 09/17/97 4,939,550
-------------
57,995,797
-------------
Security Brokers and Dealers - 9.89%
2,000,000 Bear Stearns Cos., Inc.
5.58%, 09/18/97 1,975,510
3,000,000 European Investment Bank
5.76%, 11/03/97 2,940,104
2,500,000 Goldman Sachs Group, LP
5.85%, 11/17/97 2,443,821
8,000,000 Merrill Lynch & Co., Inc.
5.62%, 09/18/97 7,901,338
2,500,000 Paine Webber Group, Inc.
5.45%, 08/13/97 2,483,726
4,500,000 Paine Webber Group, Inc.
5.77%, 08/22/97 4,462,495
3,000,000 Paine Webber Group, Inc.
5.70%, 09/16/97 2,963,425
-------------
25,170,419
-------------
Banking - 7.05%
5,000,000 Citicorp
6.25%, 07/01/97 4,999,997
7,000,000 Citicorp
5.72%, 07/07/97 6,993,327
1,000,000 Bank of Boston Corp.
5.70%, 10/31/97 980,683
2,000,000 Corestates Bank of North America
5.72%, 11/03/97 1,960,278
3,000,000 Societe Generale of North
America, Inc. 5.36%, 07/14/97 2,994,193
-------------
17,928,478
-------------
Automotive - 4.48%
2,500,000 Hyundai Motor Finance Co.
5.38%, 07/02/97 2,499,626
9,000,000 Mitsubishi Motors Credit of
America, Inc. 5.69%, 09/11/97 8,897,680
-------------
11,397,306
-------------
Utilities - 3.61%
2,050,000 Narragansett Electric Co.
6.25%, 07/01/97 2,050,000
7,185,000 Songs Fuel Co.
5.68%, 08/04/97 7,146,456
-------------
9,196,456
-------------
Electronics - 2.90%
4,200,000 Avnet, Inc.
6.25%, 07/01/97 4,200,000
3,200,000 Sharp Electronics Corp.
5.57%, 08/15/97 3,177,720
-------------
7,377,720
-------------
Insurance - 2.73%
7,000,000 Internationale Nederlanden
U.S. Insurance Holdings, Inc.
5.58%, 08/19/97 6,946,835
-------------
Consumer Goods - 1.44%
3,700,000 Stanley Works
5.57%, 08/19/97 3,671,899
-------------
Industrial - 0.29%
750,000 Anheuser-Busch Cos., Inc.
5.67%, 12/19/97 729,801
-------------
Energy - 0.19%
490,000 Laclede Gas Co.
5.60%, 07/18/97 488,704
-------------
Total Commercial Paper 140,903,415
-------------
(Cost $140,903,415)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-18
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ---------------------------------------------------------------
<S> <C>
CERTIFICATE OF DEPOSIT - 3.93%
$10,000,000 Skandinaviska Enskilda Banken
6.54%, 06/03/98* $ 10,000,000
-------------
Total Certificate of Deposit 10,000,000
-------------
(Cost $10,000,000)
BANKERS' ACCEPTANCE - 1.18%
3,000,000 Suntrust Bank Atlanta
5.58%, 07/08/97 2,996,745
-------------
Total Bankers' Acceptance 2,996,745
-------------
(Cost $2,996,745)
INVESTMENT COMPANY - 0.01%
26,174 State Street Bank Temp Fund 26,174
-------------
Total Investment Company 26,174
-------------
(Cost $26,174)
Total Investments - 99.08% 252,166,899
-------------
(Cost $252,166,899)
Net Other Assets and Liabilities - 0.92% 2,344,562
-------------
Net Assets - 100.00% $ 254,511,461
=============
</TABLE>
- ---------------------------------
* Interest is reset at various time intervals. The rate shown reflects the
rate currently in effect at June 30, 1997.
(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 June 30, 1997,
these securities amounted to $3,000,000 or 1.18% of net assets.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $252,166,899.
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:
<TABLE>
<CAPTION>
Moody's Ratings
<S> <C>
Aaa 100.00%
=======
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-19
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES . June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Select Select Select
Aggressive Capital International
Growth Fund Appreciation Fund Equity Fund
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost..................................... $ 380,568,995 $ 165,384,753 $ 297,084,239
Net unrealized appreciation (depreciation).............. 111,225,231 27,694,917 54,605,295
-------------- ------------- -------------
Total investments at value.............................. 491,794,226 193,079,670 351,689,534
Cash....................................................... -- -- 27
Foreign currency
(Cost $545,654 and $6,526,077 respectively)
(Notes 2 and 7)...................................... -- 545,069 6,524,929
Receivable for investments sold............................ 477,037 1,499,247 187,213
Receivable for shares sold................................. 453,962 218,230 1,600,930
Receivable for foreign currency sold....................... -- 3,786,880 --
Interest and dividend receivables.......................... 136,794 11,735 1,268,221
Deferred organizational expense (Note 2)................... -- 3,619 --
Dividend tax reclaim receivables........................... -- 10,999 298,123
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8).............. -- -- 413,944
-------------- ------------- -------------
Total Assets............................................ 492,862,019 199,155,449 361,982,921
-------------- ------------- -------------
LIABILITIES:
Payable for investments purchased.......................... 1,874,997 3,307,307 6,580,341
Payable for foreign currency purchased..................... -- 4,300,257 2,677,262
Payable for shares repurchased............................. -- -- --
Payable for variation margin............................... -- -- --
Payable to Custodian....................................... -- 608,135 --
Net unrealized depreciation on forward foreign
currency contracts (Notes 2 and 8)...................... -- 225,126 --
Advisory fee payable (Note 3).............................. 390,047 151,543 280,209
Accrued expenses and other payables........................ 97,090 16,319 146,509
-------------- ------------- -------------
Total Liabilities....................................... 2,362,134 8,608,687 9,684,321
-------------- ------------- -------------
NET ASSETS..................................................... $ 490,499,885 $ 190,546,762 $ 352,298,600
============== ============= =============
NET ASSETS consist of
Paid-in capital (Note 6)................................... $ 380,461,501 $ 173,438,158 $ 288,656,613
Undistributed (distribution in excess of)
net investment income (loss)............................ (1,234,267) (155,573) 1,519,238
Accumulated (distribution in excess of) net realized
gain (loss) on investments sold, foreign
currency transactions and futures contracts............. 47,420 (10,204,283) 7,093,747
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts.................. 111,225,231 27,468,460 55,029,002
-------------- ------------- -------------
TOTAL NET ASSETS............................................... $ 490,499,885 $ 190,546,762 $ 352,298,600
============== ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value).................... 228,820,840 123,656,178 241,468,195
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)............................ $ 2.144 $ 1.541 $ 1.459
============== ============= =============
</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................................ $ 285,737,350 $ 313,566,527 $ 86,498,975 $ 252,166,899
Net unrealized appreciation (depreciation)......... 61,339,989 74,129,159 453,403 --
------------- ------------- ------------- -------------
Total investments at value......................... 347,077,339 387,695,686 86,952,378 252,166,899
Cash.................................................. 682,567 466,438 -- 78,855
Foreign currency
(Cost $545,654 and $6,526,077 respectively)
(Notes 2 and 7)................................. -- -- -- --
Receivable for investments sold....................... 183,174 3,090,507 2,520,082 --
Receivable for shares sold............................ 494,439 492,541 106,255 1,663,347
Receivable for foreign currency sold.................. -- -- -- --
Interest and dividend receivables..................... 408,349 652,914 957,744 855,957
Deferred organizational expense (Note 2).............. -- -- -- --
Dividend tax reclaim receivables...................... -- -- -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8)......... -- -- -- --
------------- ------------- ------------- -------------
Total Assets....................................... 348,845,868 392,398,086 90,536,459 254,765,058
------------- ------------- ------------- -------------
LIABILITIES:
Payable for investments purchased..................... 3,251,031 2,713,260 2,521,465 --
Payable for foreign currency purchased................ -- -- -- --
Payable for shares repurchased........................ -- -- -- 150,915
Payable for variation margin.......................... -- -- -- --
Payable to Custodian.................................. -- -- 954,595 --
Net unrealized depreciation on forward foreign
currency contracts (Notes 2 and 8)................. -- -- -- --
Advisory fee payable (Note 3)......................... 234,148 236,161 42,373 55,208
Accrued expenses and other payables................... 50,146 59,247 19,874 47,474
------------- ------------- ------------- -------------
Total Liabilities.................................. 3,535,325 3,008,668 3,538,307 253,597
------------- ------------- ------------- -------------
NET ASSETS................................................ $ 345,310,543 $ 389,389,418 $ 86,998,152 $ 254,511,461
============= ============= ============= =============
NET ASSETS consist of
Paid-in capital (Note 6).............................. $ 270,686,168 $ 302,646,387 $ 88,129,221 $ 254,554,165
Undistributed (distribution in excess of)
net investment income (loss)....................... 809,637 (10,480) 7,010 --
Accumulated (distribution in excess of) net realized
gain (loss) on investments sold, foreign
currency transactions and futures contracts........ 12,474,749 12,624,352 (1,591,482) (42,704)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts............. 61,339,989 74,129,159 453,403 --
------------- ------------- ------------- -------------
TOTAL NET ASSETS.......................................... $ 345,310,543 $ 389,389,418 $ 86,998,152 $ 254,511,461
============= ============= ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value)............... 204,874,845 248,168,215 87,814,680 254,554,165
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)....................... $ 1.685 $ 1.569 $ 0.991 $ 1.000
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
- ----------------------------------------
F-21
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS . For six months ended June 30, 1997 (Unaudited)
===========================================================================================================================
Select Select Select
Aggressive Capital International
Growth Fund Appreciation Fund Equity Fund
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)................................... $ 267,189 $ 141,083 $ 53,611
Dividends (Note 2).................................. 823,454 535,242 5,148,556
Less net foreign taxes withheld..................... -- (9,303) (815,139)
-------------- ------------- -------------
Total investment income.......................... 1,090,643 667,022 4,387,028
-------------- ------------- -------------
EXPENSES
Investment advisory fees (Notes 3 and 4)............ 2,117,634 774,339 1,463,905
Custodian fees (Note 3)............................. 35,424 25,222 164,964
Fund accounting fees (Note 3)....................... 33,829 30,948 34,904
Legal fees.......................................... 3,071 1,670 3,087
Audit fees.......................................... 4,919 6,953 5,875
Trustees' fees and expenses (Note 3)................ 3,639 1,295 2,394
Reports to shareholders............................. 124,742 43,836 94,374
Amortization of organization costs (Note 2)......... -- 636 --
Miscellaneous....................................... 1,652 5,045 10,246
-------------- ------------- -------------
Total expenses before reductions and waiver...... 2,324,910 889,944 1,779,749
Less reductions (Note 5)......................... -- -- (19,545)
Less waiver(Note 4).............................. -- -- --
-------------- ------------- -------------
Total expenses net of reductions and waiver...... 2,324,910 889,944 1,760,204
-------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)............................ (1,234,267) (222,922) 2,626,824
-------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold........ 68,995 (7,337,113) 1,917,388
Net realized gain (loss) on futures contracts....... -- -- --
Net realized gain (loss) on foreign currency
transactions........................................ -- (127,280) 5,195,403
Net change in unrealized appreciation (depreciation)
of assets and liabilities in foreign currency....... -- 95,488 (695,267)
Net change in unrealized appreciation (depreciation)
of investments and futures contracts................ 33,058,945 16,425,492 16,789,879
-------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENTS.......................... 33,127,940 9,056,587 23,207,403
-------------- ------------- -------------
NET INCREASE(DECREASE)IN NET
ASSETS RESULTING FROM OPERATIONS.................... $ 31,893,673 $ 8,833,665 $ 25,834,227
============== ============= =============
</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)..........................................$ 351,535 $ 682,449 $ 2,802,970 $ 6,342,349
Dividends (Note 2)......................................... 1,763,469 2,941,291 40,490 145,021
Less net foreign taxes withheld............................ -- -- -- --
-------------- ------------- ------------- -------------
Total investment income 2,115,004 3,623,740 2,843,460 6,487,370
-------------- ------------- ------------- -------------
EXPENSES
Investment advisory fees (Notes 3 and 4)................... 1,194,813 1,247,523 241,424 313,851
Custodian fees (Note 3).................................... 31,219 21,090 7,668 33,265
Fund accounting fees (Note 3).............................. 29,218 39,348 31,883 28,912
Legal fees................................................. 1,927 3,755 778 2,252
Audit fees................................................. 3,606 3,480 4,347 4,325
Trustees' fees and expenses (Note 3)....................... 2,940 4,164 1,170 3,024
Reports to shareholders.................................... 74,204 58,250 12,108 47,267
Amortization of organization costs (Note 2)................ -- -- -- --
Miscellaneous.............................................. -- -- -- --
-------------- ------------- ------------- -------------
Total expenses before reductions and waiver............. 1,337,927 1,377,610 299,378 432,896
Less reductions (Note 5)................................ (32,560) (42,055) -- --
Less waiver(Note 4)..................................... -- -- -- --
-------------- ------------- ------------- -------------
Total expenses net of reductions and waiver............. 1,305,367 1,335,555 299,378 432,896
-------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)................................... 809,637 2,288,185 2,544,082 6,054,474
-------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold............... 12,551,663 12,703,699 (147,077) (6,067)
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)
of investments and futures contracts....................... 36,419,775 29,858,541 (160,767) --
-------------- ------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENTS................................. 48,971,438 42,562,240 (307,844) (6,067)
-------------- ------------- ------------- -------------
NET INCREASE(DECREASE)IN NET
ASSETS RESULTING FROM OPERATIONS...........................$ 49,781,075 $ 44,850,425 $ 2,236,238 $ 6,048,407
============== ============= ============= =============
</TABLE>
- ----------------------------------------------------------------
F-23
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Select Aggressive Select Capital
Growth Fund Appreciation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period .............................. $ 407,442,033 $ 254,871,723 $ 142,680,240 $ 41,376,035
------------- ------------- ------------- -------------
Increase (Decrease) in net assets
resulting from operations:
Net investment income (loss) ............................... (1,234,267) (1,746,724) (222,922) (285,112)
Net realized gain (loss) on investments sold and foreign
currency transactions ................................... 68,995 30,022,198 (7,464,393) (2,941,327)
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency ........................................ 33,058,945 24,617,401 16,520,980 6,300,578
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations ......................................... 31,893,673 52,892,875 8,833,665 3,074,139
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ...................................... -- -- -- --
Distribution in excess of net investment income ............ -- -- -- --
Net realized gain on investments ........................... (6,808,097) (27,969,046) -- (283,116)
Return of capital .......................................... -- -- -- (1,211)
------------- ------------- ------------- -------------
Total distributions ..................................... (6,808,097) (27,969,046) -- (284,327)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares .......................... 59,913,564 118,694,806 40,762,590 99,864,671
Issued to shareholders in reinvestment of distributions .... 6,808,097 27,969,046 -- 284,327
Cost of shares repurchased ................................. (8,749,385) (19,017,371) (1,729,733) (1,634,605)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions .......................... 57,972,276 127,646,481 39,032,857 98,514,393
------------- ------------- ------------- -------------
Total increase (decrease) in net assets ................. 83,057,852 152,570,310 47,866,522 101,304,205
------------- ------------- ------------- -------------
NETASSETS at end of period (including line A) .................. $490,499,885 $ 407,442,033 $ 190,546,762 $ 142,680,240
============= ============= ============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss) ............................ $ (1,234,267) $ -- $ (155,573) $ 67,349
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold ....................................................... 30,156,817 58,055,566 28,796,095 66,830,275
Issued to shareholders in reinvestment of distributions .... 3,175,418 13,670,395 -- 183,318
Repurchased ................................................ (4,564,866) (9,614,883) (1,246,565) (1,127,407)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding ............. 28,767,369 62,111,078 27,549,530 65,886,186
============= ============= ============= =============
</TABLE>
- --------------------------------------------------------------
See Notes to Financial Statements.
--------------------------------------------
F-24
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------
Select International Select Growth
Equity Fund Fund
-------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period .............................. $246,876,936 $104,312,134 $228,551,251 $143,124,686
------------ ------------ ------------ ------------
Increase (Decrease) in net assets
resulting from operations:
Net investment income (loss) ............................... 2,626,824 2,064,136 809,637 668,264
Net realized gain (loss) on investments sold and foreign
currency transactions ................................... 7,112,791 4,719,958 12,551,663 38,302,869
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency ........................................ 16,094,612 29,610,329 36,419,775 (4,304,728)
------------ ------------ ------------ ------------
Net increase (decrease) in net assets resulting
from operations ......................................... 25,834,227 36,394,423 49,781,075 34,666,405
------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income ...................................... (1,288,027) (2,205,116) -- (671,407)
Distribution in excess of net investment income ............ -- (2,413,338) -- --
Net realized gain on investments ........................... (1,407,289) (540,596) (2,196,148) (32,240,794)
Return of capital .......................................... -- -- -- --
------------ ------------ ------------ ------------
Total distributions ..................................... (2,695,316) (5,159,050) (2,196,148) (32,912,201)
------------ ------------ ------------ ------------
Capital share transactions:
Net proceeds from sales of shares .......................... 85,705,479 111,783,820 69,818,261 59,903,208
Issued to shareholders in reinvestment of distributions .... 2,695,316 5,159,050 2,196,148 32,912,201
Cost of shares repurchased ................................. (6,118,042) (5,613,441) (2,840,044) (9,143,048)
------------ ------------ ------------ ------------
Net increase (decrease) from
capital share transactions .......................... 82,282,753 111,329,429 69,174,365 83,672,361
------------ ------------ ------------ ------------
Total increase (decrease) in net assets ................. 105,421,664 142,564,802 116,759,292 85,426,565
------------ ------------ ------------ ------------
NET ASSETS at end of period (including line A) ................. $352,298,600 $246,876,936 $345,310,543 $ 228,551,251
============ ============ ============ =============
(A) Undistributed (distribution in excess of)
net investment income (loss) ............................ $ 1,519,238 $ 180,441 $ 809,637 $ --
============ ============ ============ ============
OTHER INFORMATION:
Share transactions:
Sold ....................................................... 61,904,034 91,002,428 45,631,948 38,406,099
Issued to shareholders in reinvestment of distributions .... 1,847,372 3,819,374 1,303,352 23,015,341
Repurchased ................................................ (4,371,563) (4,536,939) (1,870,437) (6,129,428)
------------ ------------ ------------ ------------
Net increase (decrease) in shares outstanding ............. 59,379,843 90,284,863 45,064,863 55,292,012
============ ============ ============ ============
</TABLE>
- --------------------------------------------------------------------------------
F-25
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Select Growth and Select
Income Fund Income Fund
- ---------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period............... $295,637,987 $191,610,000 $77,498,343 $ 60,368,094
------------ ------------ ----------- ------------
Increase (Decrease) in net assets resulting
from operations:
Net investment income (loss) ................ 2,288,185 3,415,490 2,544,082 4,174,976
Net realized gain (loss) on investments sold
and futures contracts..................... 12,703,699 22,150,624 (147,077) (403,808)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts ................................ 29,858,541 20,168,372 (160,767) (1,278,063)
------------ ------------ ----------- ------------
Net increase (decrease) in net assets
resulting from operations................. 44,850,425 45,734,486 2,236,238 2,493,105
------------ ------------ ----------- ------------
Distributions to shareholders from:
Net investment income........................ (2,298,665) (3,430,862) (2,587,252) (4,174,976)
Distribution in excess of net investment
income.................................... -- -- -- (12,684)
Net realized gain on investments............. (4,662,402) (21,071,408) -- --
------------ ------------ ----------- ------------
Total distributions....................... (6,961,067) (24,502,270) (2,587,252) (4,187,660)
------------ ------------ ----------- ------------
Capital share transactions:
Net proceeds from sales of shares............ 51,358,456 64,430,859 9,458,423 18,835,110
Issued to shareholders in reinvestment
of distributions............................. 6,961,067 24,502,270 2,587,252 4,187,660
Cost of shares repurchased................... (2,457,450) (6,137,358) (2,194,852) (4,197,966)
------------ ------------ ----------- ------------
Net increase (decrease) from
capital share transactions............ 55,862,073 82,795,771 9,850,823 18,824,804
------------ ------------ ----------- ------------
Total increase (decrease) in net assets... 93,751,431 104,027,987 9,499,809 17,130,249
------------ ------------ ----------- ------------
NET ASSETS at the end of period
(including line A)............................ $389,389,418 $ 295,637,987 $ 86,998,152 $ 77,498,343
============ ============ =========== ============
(A) Undistributed (distributions in excess of)
net investment income (loss).............. $ (10,480) $ -- $ 7,010 $ 50,180
============ ============ =========== ============
OTHER INFORMATION:
Share transactions:
Sold 34,840,251 46,390,568 9,523,554 18,891,416
Issued to shareholders in reinvestment of
distributions................................ 4,515,744 17,558,493 2,637,699 4,249,588
Repurchased.................................. (1,659,083) (4,557,725) (2,216,197) (4,232,440)
------------ ------------ ----------- ------------
Net increase (decrease) in shares
outstanding............................... 37,696,912 59,391,336 9,945,056 18,908,564
============ ============ =========== ============
See Notes to Financial Statements.
---------------------------------------------------------------------------------
</TABLE>
F-26
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------
Money Market
Fund
- -------------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1997 December 31,
(Unaudited) 1996
- -------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS at beginning of period............... $217,255,732 $155,211,174
------------ ------------
Increase (Decrease) in net assets resulting
from operations:
Net investment income (loss) ................ 6,054,474 9,613,835
Net realized gain (loss) on investments sold
and futures contracts..................... (6,067) (35,900)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts ................................ -- --
------------ ------------
Net increase (decrease) in net assets
resulting from operations................. 6,048,407 9,577,935
------------ ------------
Distributions to shareholders from:
Net investment income........................ (6,054,474) (9,613,835)
Distribution in excess of net investment
income.................................... -- --
Net realized gain on investments............. -- --
------------ ------------
Total distributions....................... (6,054,474) (9,613,835)
------------ ------------
Capital share transactions:
Net proceeds from sales of shares............ 105,829,327 189,973,951
Issued to shareholders in reinvestment
of distributions.......................... 6,054,474 9,613,835
Cost of shares repurchased................... (74,622,005) (137,507,328)
------------ ------------
Net increase (decrease) from
capital share transactions............ 37,261,796 62,080,458
------------ ------------
Total increase (decrease) in net assets... 37,255,729 62,044,558
------------ ------------
NET ASSETS at the end of period
(including line A)............................ $254,511,461 $217,255,732
============ ============
(A) Undistributed (distributions in excess of)
net investment income (loss).............. $ -- $ --
============ ============
OTHER INFORMATION:
Share transactions:
Sold......................................... 105,829,327 189,973,951
Issued to shareholders in reinvestment of
distributions................................ 6,054,474 9,613,835
Repurchased.................................. (74,622,005) (137,507,328)
------------ ------------
Net increase (decrease) in shares
outstanding 37,261,796 62,080,458
============ ============
</TABLE>
- ------------------------------------------------------
F-27
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
------------------------------------------------------- ------------------
Net Realized
Net and
Asset Unrealized Dividends
Value Net Gain (Loss) Total from from Net
Year Ended Beginning Investment on Investment Investment
December 31, of Period Income/(2)/ Investments Operations Income
- ------------------- --------- ------------ ----------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund(1)
1997/(E)/ $2.037 $(0.005) $ 0.142 $ 0.137 $ --
1996 1.848 (0.009) 0.351 0.342 --
1995 1.397 (0.001) 0.452 0.451 --
1994 1.431 (0.002) (0.032) (0.034) --
1993 1.197 0.001 0.234 0.235 (0.001)
1992 1.000 0.001 0.197 0.198 (0.001)
Select Capital
Appreciation Fund/(1)/
1997/(E)/ 1.485 (0.002) 0.058 0.056 --
1996 1.369 (0.003) 0.124 0.121 --
1995 1.000 (0.001) 0.397 0.396 --
Select International
Equity Fund/(1)/
1997/(E)/ 1.356 0.010 0.104 0.114 (0.005)
1996 1.136 0.011 0.238 0.249 (0.012)
1995 0.963 0.013 0.176 0.189 (0.011)
1994 1.000 0.003 (0.038) (0.035) (0.001)
Select Growth Fund/(1)/
1997/(E)/ 1.430 0.004 0.262 0.266 --
1996 1.369 0.005 0.297 0.302 (0.005)
1995 1.099 -- 0.270 0.270 --
1994 1.119 0.003 (0.020) (0.017) (0.003)
1993 1.111 0.001 0.008 0.009 (0.001)
1992 1.000 0.001 0.111 0.112 (0.001)
</TABLE>
<TABLE>
<CAPTION>
Less Distributions
-------------------------------------------
Net
Distributions Increase
from Net (Decrease)
Realized Distributions in
Year Ended Capital in Return of Total Net Asset
December 31, Gains Excess Capital Distributions Value
- ------------------- ------------- ------------- --------- ------------- ---------
<S> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997/(E)/ $ (0.030) $ -- $ -- $ (0.030) $ 0.107
1996 (0.153) -- -- (0.153) 0.189
1995 -- -- -- -- 0.451
1994 -- -- -- -- (0.034)
1993 -- -- -- (0.001) 0.234
1992 -- -- -- (0.001) 0.197
Select Capital
Appreciation Fund/(1)/
1997/(E)/ -- -- -- -- 0.056
1996 (0.005) -- -- (0.005) 0.116
1995 (0.027) -- -- (0.027) 0.369
Select International
Equity Fund/(1)/
1997/(E)/ (0.006) -- -- (0.011) 0.103
1996 (0.003) (0.014)/(3) -- (0.029) 0.220
1995 (0.005) -- -- (0.016) 0.173
1994 (0.001) -- -- (0.002) (0.037)
Select Growth Fund/(1)/
1997/(E)/ (0.011) -- -- (0.011) 0.255
1996 (0.236 -- -- (0.241) 0.061
1995 -- -- -- -- 0.270
1994 -- -- -- (0.003) (0.020)
1993 -- -- -- (0.001) 0.008
1992 -- -- -- (0.001) 0.111
</TABLE>
- ---------------------------------------
* Annualized
** Not Annualized
/(A)/ Including reimbursements, waivers, and reductions.
/(B)/ Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
/(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.
/(E)/ For the six months ended June 30, 1997. (unaudited)
/(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 Equity Fund commenced
operations on May 2, 1994. The Select Growth Fund commenced operations
on August 21, 1992 and changed Investment Sub-Adviser on July 1, 1996.
/(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; $0.010 for the six months ended June 30,
1997, $0.011 in 1996 and $0.002 in 1994 for Select International
Equity Fund; and $0.003 for the six months ended June 30, 1997, $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.
- --------------------------------------------------------------------------------
52
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
-------------------------------------------------------------
Ratios To Average Net Assets
------------------------------------------------------------
Net Asset Net Assets
Value End of Net
Year Ended End of Total Period Investment Operating Expenses
December 31, Period Return (000's) Income (A) (B) (C)
- ------------------- ------- -------- --------- ----------- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997/(E)/ $ 2.144 6.74%** $ 490,500 (0.58)%* 1.10%* 1.10%* 1.10%*
1996 2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08%
1995 1.848 32.28% 254,872 (0.07)% 1.09% -- 1.09%
1994 1.397 (2.31)% 136,573 (0.21)% 1.16% -- 1.16%
1993 1.431 19.51% 66,251 0.10% 1.19% -- 1.23%
1992 1.197 19.85%** 9,270 0.34%* 1.35%* -- 1.88%*
Select Capital
Appreciation Fund/(1)/
1997/(E)/ 1.541 3.77%** 190,547 (0.29)%* 1.15%* 1.15%* 1.15%*
1996 1.485 8.80% 142,680 (0.32)% 1.13% 1.13% 1.13%
1995 1.369 39.56%** 41,376 (0.25)%* 1.35%* -- 1.42%*
Select International
Equity Fund/(1)/
1997/(E)/ 1.459 8.43%** 352,299 1.79%* 1.20%* 1.22%* 1.22%*
1996 1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23%
1995 1.136 19.63% 104,312 1.68% 1.24% -- 1.24%
1994 0.963 (3.49)%** 40,498 0.87%* 1.50%* -- 1.78%*
Select Growth Fund/(1)/
1997/(E)/ 1.685 18.59%** 345,311 0.58%* 0.93%* 0.95%* 0.95%*
1996 1.430 22.02% 228,551 0.38% 0.92% 0.93% 0.93%
1995 1.369 24.59% 143,125 0.02% 0.97% -- 0.97%
1994 1.099 (1.49)% 88,263 0.37% 1.03% -- 1.03%
1993 1.119 0.84% 53,854 0.15% 1.05% -- 1.08%
1992 1.111 11.25%** 9,308 0.40%* 1.20%* -- 1.72%*
</TABLE>
<TABLE>
<CAPTION>
Ratios/Supplemental Data
-----------------------------------
Ratios To Average Net Assets
-----------------------------
Portfolio Average
Year Ended Management Fee Turnover Commissions
December 31, Gross Net Rate Rate(D)
- ------------------- ----- ----- --------- ----------
<S> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997/(E)/ 1.00%* 1.00%* 55% $ 0.0595
1996 1.00% 1.00% 113% 0.0597
1995 1.00% 1.00% 104% --
1994 1.00% 1.00% 100% --
1993 1.00% 0.96% 76% --
1992 N/A N/A 33% --
Select Capital
Appreciation Fund/(1)/
1997/(E)/ 1.00%* 1.00%* 55% 0.0452
1996 1.00% 1.00% 98% 0.0414
1995 1.00%* 0.93%* 95% --
Select International
Equity Fund/(1)/
1997/(E)/ 1.00%* 1.00%* 6% 0.0260
1996 1.00% 1.00% 18% 0.0248
1995 1.00% 1.00% 24% --
1994 1.00%* 0.72%* 19% --
Select Growth Fund/(1)/
1997/(E)/ 0.85%* 0.85%* 49% 0.0450
1996 0.85% 0.85% 159% 0.0457
1995 0.85% 0.85% 51% --
1994 0.85% 0.85% 55% --
1993 0.85% 0.82% 65% --
1992 N/A N/A 3% --
</TABLE>
53
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- ---------------------------------------------------------------------------------------------------------------------------
Income from Investment Operations Less Distributions
--------------------------------------------- ------------------------------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net Distri- (Decrease)
Value Net Gain (Loss) Total from from Net Realized butions Total in
Year Ended Beginning Investment on Investment Investment Capital in Return of Distri- Net Asset
December 31, of Period Income/(2)/ Investments Operations Income Gains Excess Capital butions Value
------------ --------- ---------- ----------- ---------- ---------- ------- ------ --------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund/(1)/
1997/(E)/ $ 1.405 $ 0.010 $ 0.183 $ 0.193 $ (0.010) $ (0.019) $ -- $ -- $ (0.029) $ 0.164
1996 1.268 0.020 0.246 0.266 (0.020) (0.109) -- -- (0.129) 0.137
1995 1.027 0.019 0.290 0.309 (0.019) (0.049) -- -- (0.068) 0.241
1994 1.069 0.025 (0.018) 0.007 (0.025) (0.017) (0.007)/(3)/ -- (0.049) (0.042)
1993 0.990 0.023 0.079 0.102 (0.023) -- -- -- (0.023) 0.079
1992 1.000 0.008 (0.009) (0.001) (0.008) (0.001) -- -- (0.009) (0.010)
Select Income Fund/(1)/
1997/(E)/ 0.995 0.030 (0.003) 0.027 (0.031) -- -- -- (0.031) (0.004)
1996 1.024 0.061 (0.029) 0.032 (0.061) -- -- -- (0.061) (0.029)
1995 0.930 0.060 0.095 0.155 (0.060) -- (0.001)/(4)/ -- (0.061) 0.094
1994 1.035 0.055 (0.105) (0.050) (0.055) -- -- -- (0.055) (0.105)
1993 0.988 0.052 0.055 0.107 (0.052) (0.008) -- -- (0.060) 0.047
1992 1.000 0.018 (0.012) 0.006 (0.018) -- -- -- (0.018) (0.012)
Money Market
Fund
1997/(E)/ 1.000 0.026 -- 0.026 (0.026) -- -- -- (0.026) --
1996 1.000 0.052 -- 0.052 (0.052) -- -- -- (0.052) --
1995 1.000 0.057 -- 0.057 (0.057) -- -- -- (0.057) --
1994 1.000 0.039 -- 0.039 (0.039) -- -- -- (0.039) --
1993 1.000 0.030 -- 0.030 (0.030) -- -- -- (0.030) --
1992 1.000 0.037 -- 0.037 (0.037) -- -- -- (0.037) --
1991 1.000 0.060 -- 0.060 (0.060) -- -- -- (0.060) --
1990 1.000 0.078 -- 0.078 (0.078) -- -- -- (0.078) --
1989 1.000 0.086 -- 0.086 (0.086) -- -- -- (0.086) --
1988 1.000 0.071 -- 0.071 (0.071) -- -- -- (0.071) --
1987 1.000 0.061 -- 0.061 (0.061) -- -- -- (0.061) --
- ---------------------------------------------------------------------------------------------------------------------------
</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.
/(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.
/(E)/ For the six months ended June 30 ,1997. (unaudited)
/(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 $0.010
for the six months ended June 30, 1997, $0.019 in 1996, $0.023 in 1993
and $0.005 in 1992 for Select Growth and Income Fund; $0.060 in 1995,
$0.055 in 1994, $0.050 in 1993, and $0.015 in 1992 for Select Income
Fund; and $0.030 in 1993, $0.084/(5)/ in 1988, and $0.076/(5)/ in 1987
for Money Market Fund..
/(3)/ Distributions in excess of net realized capital gains.
/(4)/ Distributions in excess of net investment income.
/(5)/ Unaudited.
See Notes to Financial Statements.
---------------------------------------------------------
F-30
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
-----------------------------------------------------------------------------
Ratios To Average Net Assets
----------------------------------------------------
Net Asset Net Assets
Value End of Net
Year Ended End of Total Period Investment Operating Expenses
December 31, Period Return (000's) Income (A) (B) (C)
----------------- ---------- ------ ---------- ---------- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund/(1)/
1997/(E)/ $ 1.569 13.77%** $ 389,389 1.38%* 0.80%* 0.83%* 0.83%*
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)/
1997/(E)/ 0.991 2.67%** 86,998 6.32%* 0.74%* 0.74%* 0.74%*
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
1997/(E)/ 1.000 2.62%** 254,511 5.24%* 0.37%* 0.37%* 0.37%*
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%
1991 1.000 6.22% 39,909 5.98% 0.43% -- 0.43%
1990 1.000 8.17% 28,330 8.22% 0.42% -- 0.42%
1989 1.000 9.07% 12,060 8.62% 0.58% -- 0.58%
1988 1.000 7.30%/(5)/ 7,156 7.13% 0.60% -- 0.71%
1987 1.000 6.20%/(5)/ 4,726 6.14% 0.60% -- 0.75%
<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)/
1997/(E)/ 0.75%* 0.75%* 23% $ 0.0565
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)/
1997/(E)/ 0.60%* 0.60%* 58% --
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
1997/(E)/ 0.27%* 0.27%* N/A --
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 --
1991 N/A N/A N/A --
1990 N/A N/A N/A --
1989 N/A N/A N/A --
1988 N/A N/A N/A --
1987 N/A N/A N/A --
</TABLE>
- ----------------------------------------------------
F-31
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
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 and 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 Statements 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 the 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.
-----------------------------------
F-32
<PAGE>
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ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis and consists of interest accrued and, if applicable, discounts
earned on original issue discount bonds, zero coupon bonds, stepped-coupon
bonds and payment in kind bonds, which 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 Statements 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, except the Money Market Fund, 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.
- -----------------------------------
F-33
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
Forward Commitments: The Select Capital Appreciation Fund and Select Income Fund
may enter into contracts to purchase securities for a fixed price at a specified
future date beyond customary settlement time ("forward commitments"). If the
Funds do so, they will maintain cash or other liquid obligations having a value
in an amount at all times sufficient to meet the purchase price. Forward
commitments involve a risk of loss if the value of the security to be purchased
declines prior to the settlement date. Although the Funds generally will enter
into forward commitments with the intention of acquiring securities for their
portfolio, they may dispose of a commitment prior to settlement if their
Sub-Adviser deems it appropriate to do so.
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 schedules:
<TABLE>
<CAPTION>
Percentage of Average Daily Net Asset Value
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- -------------------------------------------------------------------------------------------------------
<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>
At a meeting held on May 13, 1997, the Trustees of the Trust approved amendments
to the management agreement, which will go into effect if approved by the
shareholders at a meeting that will be held on August 15, 1997, as follows:
<TABLE>
First Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $500,000,000
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85%
Select Capital Appreciation 1.00% 0.90% 0.85% 0.85%
Select International Equity 1.00% 0.90% 0.85% 0.85%
Select Growth and Income 0.75% 0.70% 0.65% 0.65%
First Next Next Over
Portfolio $50,000,000 $50,000,000 $150,000,000 $250,000,000
- ---------------------------------------------------------------------------------------------------------------------------
Select Income 0.60% 0.55% 0.45% 0.45%
</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, L.P.
Select Capital Appreciation Janus Capital Corporation
Select International Equity Bank of Ireland Asset Management (U.S.) Limited
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.
-----------------------------------
F-34
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
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 AND WAIVER OF FEES
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 at any time after a Portfolio's first fiscal year of
operations without prior notice to existing Shareholders. The Manager will
voluntarily reimburse its fees and any expenses in excess of the expense
limitations.
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 may purchase securities of foreign issuers. Money Market Fund may
invest in only U.S. dollar denominated foreign securities. Investing in foreign
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
contracts involves risk other than that reflected in the Statements 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 contracts, and changes in the value of foreign
currency relative to the U.S. dollar. The Select International Equity Fund and
the Select Capital Appreciation Fund enter into these contracts primarily to
protect the Portfolio from adverse currency movement.
- -----------------------------------
F-35
<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 are 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, Variable Insurance Products
Fund II, Delaware Group Premium Fund International Equity Series, and T. Rowe
Price International Stock Portfolio, which include important information related
to charges and expenses.
CLIENT NOTICES
- --------------------------------------------------------------------------------
This semi-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.
-----------------------------------
F-36
<PAGE>
Allmerica Financial
A new name for an old company.
Allmerica Select products are offered through Allmerica Financial Life Insurance
and Annuity Company. Our parent company, First Allmerica Financial, is the
nation's fifth oldest life insurance company. Founded in 1844, First Allmerica
Financial has been serving the financial needs of its policyholders for more
than 150 years.
Allmerica Select brings together the experience and financial strength of
Allmerica Financial Life with the talent of some of the world's leading money
managers. It's a powerful combination that can help achieve your financial
goals.
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.
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