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ALLMERICA S E L E C T
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A Higher Standard
[ARTWORK APPEARS HERE]
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Semi-Annual Report
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June 30, 1998
. Allmerica Select Resource
. Allmerica Select Resource II
. Allmerica Select Life
. Allmerica Select Inheiritage
1998
[LOGO OF ALLMERICA FINANCIAL APPEARS HERE]
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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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Table of Contents
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General Information ....................................................... 2
A Letter from the Chairman ................................................ 3
Fund Performance Summary .................................................. 4
Product Performance Summaries ............................................. 5
Allmerica Select Resource/Resource II Variable Annuity .................... 6
Allmerica Select Life Variable Universal Life ............................. 7
Allmerica Select Inheiritage (FAFLIC)
Variable Universal Survivorship Life ................................... 8
Allmerica Select Inheiritage (AFLIAC)
Variable Universal Survivorship Life ................................... 9
Domestic & International Equity Market Overview ........................... 10
Select Emerging Markets Fund .............................................. 12
Select Aggressive Growth Fund ............................................. 13
Select Capital Appreciation Fund .......................................... 14
T. Rowe Price International Stock Portfolio ............................... 15
Select International Equity Fund .......................................... 16
Fidelity VIP/1/ Growth Portfolio .......................................... 17
Select Growth Fund ........................................................ 18
Select Strategic Growth Fund .............................................. 19
Fidelity VIP/1/ Equity-Income Portfolio ................................... 20
Select Growth and Income Fund ............................................. 21
Bond & Money Market Overview .............................................. 22
Fidelity VIP/1/ High Income Portfolio ..................................... 24
Select Income Fund ........................................................ 25
Money Market Fund ......................................................... 26
Financials ................................................................ F-1
For further information, see the accompanying semi-annual reports.
See Client Notes on Page F-48.
/1/ VIP Prefers to Variable Insurance Products Fund.
1
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General Information
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Officers of First Allmerica Financial Life Insurance
Company (FAFLIC) and Allmerica Financial Life
Insurance and Annuity Company (AFLIAC)
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 Counse/l/
Investment Manager
Allmerica Financial Investment Management Services, Inc.
440 Lincoln Street, Worcester, MA 016531
General Distributor
Allmerica Investments, Inc.
440 Lincoln Street, Worcester, MA 01653
Independent Accountants
PricewaterhouseCoopers 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
George M. Boyd, Secretary
Board of Trustees of AIT
John F. O'Brien, Chairman
P. Kevin Condron/2/
Cynthia A. Hargadon/2/
Gordon Holmes/2/
John P. Kavanaugh
Bruce E. Langton/2/
Attiat F. Ott/2/
Richard M. Reilly
Ranne P. Warner/2/
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Money Market Fund
Bank of Ireland Asset Management (U.S.) Limited
U.S. Offices: 20 Horseneck Lane, Greenwich, CT 06830
Main Offices: 26 Fitzwilliam Place, Dublin 2, Ireland
Select International Equity Fund
Cambiar Investors, Inc.
8400 East Prentice Avenue, Suite 460, Englewood, CO 80111
Select Strategic Growth Fund
John A. Levin & Co., Inc.
One Rockefeller Plaza, 25th Floor, New York, NY 10020
Select Growth and Income Fund
Nicholas-Applegate Capital Management, L.P.
600 West Broadway - Suite 2900, San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.
One Post Office Square, Boston, MA 02109
Select Growth Fund
Schroder Capital Management International Inc.
787 Seventh Avenue, New York, NY 10019
Select Emerging Markets Fund
Standish, Ayer & Wood, Inc.
One Financial Center, Boston, MA 02111
Select Income Fund
T. Rowe Price Associates, Inc.
100 East Pratt Street, Baltimore, MD 21202
Select Capital Appreciation Fund/3/
Investment Advisers
Fidelity Management & Research Company
82 Devonshire Street, Boston, MA 02108
Fidelity VIP/4/ Equity-Income Portfolio
Fidelity VIP/4/ Growth Portfolio
Fidelity VIP/4/ High Income Portfolio
Rowe Price-Fleming International, Inc.
100 East Pratt Street, Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
/1/ Replaced Allmerica Investment Management Company, Inc. as Investment
Manager effective April 16, 1998.
/2/ Independent Trustees
/3/ T. Rowe Price Associates, Inc. replaced Janus Capital Corporation as
Investment Sub-Adviser, effective April 1, 1998.
/4/ VIP refers to Variable Insurance Products Fund.
2
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A Letter from the Chairman
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[PHOTO OF JOHN F. O'BRIEN APPEARS HERE]
Dear Client:
The first half of 1998 was marked by considerable divergence in the investment
world. European stock markets produced strong investment returns while Japan
struggled and the emerging markets declined precipitously. The U.S. exhibited
very strong economic growth in the first quarter which led to a continued rise
in our stock market. As signs of slower economic growth developed in the second
quarter, the bond market rallied and long term interest rates dropped to their
lowest level in almost 30 years.
Even as the market continues to advance, many of our fund managers have noted
that it is being carried by relatively few stocks. For example, during the
second quarter, 14 of the largest stocks increased over 20% while the remaining
486 stocks in the S&P 500(R) actually declined almost 2%. These 14 stocks have
an average P/E ratio of over 42x trailing earnings and are thought to be highly
overvalued by some managers. This helps explain the apparent poor performance of
many small- and mid-cap managers as well as those who pursue a value style of
investing.
As investment professionals, we know that markets do not increase forever and
that different investment styles go in and out of favor. That is why we offer a
broad range of investment options and urge you to maintain a widely diversified
portfolio. With this in mind, we continue to look at ways to enhance our manager
line-up while still offering distinct investment options.
In February of this year we introduced three new funds. The Select Emerging
Markets Fund invests in certain developing countries around the world. While
this has obviously been an underperforming sector of the market over the last
six months, we believe it will be an important longer term addition to the
diversity of our overall portfolio. The Select Value Opportunity Fund invests in
small- to mid-capitalization sized companies using a value style of investing.
The Select Strategic Growth Fund invests in stocks of financially strong
companies which have been out of favor but now show signs of strong growth
potential. With the help of BARRA RogersCasey, we now also offer a Manager
Allocation Program (MAP) to help you allocate funds between different managers
within a particular investment category. For more information on these and all
of our funds, please read the market overviews and managers' commentaries found
later in this report.
The Investment Operations Committee continues to conduct its disciplined
quarterly evaluation process. In February 1998, they presented your Board with
an alternative investment manager for the Select Capital Appreciation Fund.
Effective April 1, 1998, T. Rowe Price Associates assumed sub-advisory
responsibility for this fund. This firm brings an outstanding track record of
producing superior returns with relatively low volatility by following a highly
diversified mid-cap growth investment strategy. While replacing a manager is
never easy, the Committee and The Trustees of Allmerica Investment Trust
continue to demonstrate that they will make the necessary changes as we seek to
offer you an array of superior investment managers.
Thank you for your business. We will continue to work hard to earn your trust.
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
3
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Fund Performance Summary
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Average Annual Total Returns as of 6/30/98
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 6.
<TABLE>
<CAPTION>
10 Years
Fund or Life
Inception 1 5 of Fund
Funds Date Year Years (if less)
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<S> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 N/A N/A -15.70%
Select Aggressive Growth Fund 8/21/92 29.31% 18.49% 20.85%
Select Capital Appreciation Fund 4/28/95 20.37% N/A 22.38%
Select Value Opportunity Fund 4/30/93 16.42% 16.25% 16.36%
Select International Equity Fund 5/2/94 14.30% N/A 14.30%
Select Growth Fund 8/21/92 38.92% 20.89% 19.00%
Select Strategic Growth Fund 2/20/98 N/A N/A 0.20%
Select Growth and Income Fund 8/21/92 20.21% 17.95% 16.14%
Select Income Fund 8/21/92 10.23% 5.97% 6.59%
Money Market Fund 4/29/85 5.57% 4.97% 5.74%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 5.04% N/A 10.39%
Fidelity Variable Insurance Products
Fund (VIP)
Fidelity VIP Growth Portfolio 10/9/86 29.23% 19.56% 17.56%
Fidelity VIP Equity-Income Portfolio 10/9/86 21.65% 20.01% 15.74%
Fidelity VIP High Income Portfolio 9/19/85 14.49% 12.42% 12.42%
</TABLE>
Fund performance returns given above reflect an investment in the underlying
funds listed on the date of inception of each Fund.
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.
4
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Performance
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Product Performance Summary
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Allmerica Select Resource/Resource II Variable Annuity
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Average Annual Total Returns as of 6/30/98
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 12.
<TABLE>
<CAPTION>
Without Surrender Charge With Surrender Charge
10 Years 10 Years
Fund or Life or Life
Inception 1 5 of Fund 1 5 of Fund
Sub-Accounts Date Year Years (if less) Year Years (if less)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 N/A N/A -16.12% N/A N/A -21.03%
Select Aggressive Growth Fund 8/21/92 27.53% 16.86% 19.15% 21.03% 16.54% 19.01%
Select Capital Appreciation Fund 4/28/95 18.72% N/A 20.66% 12.22% N/A 19.82%
Select Value Opportunity Fund 4/30/93 14.79% 14.62% 14.73% 8.29% 14.27% 14.51%
Select International Equity Fund 5/2/94 12.73% N/A 12.70% 6.23% N/A 12.20%
Select Strategic Growth Fund 2/20/98 N/A N/A -0.30% N/A N/A -6.13%
Select Growth Fund 8/21/92 37.00% 19.22% 17.33% 30.50% 18.92% 17.17%
Select Growth and Income Fund 8/21/92 18.55% 16.32% 14.51% 12.05% 15.99% 14.33%
Select Income Fund 8/21/92 8.71% 4.50% 5.09% 2.35% 3.99% 4.82%
Money Market Fund 4/29/85 4.13% 3.52% 4.26% -1.97% 2.99% 4.26%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 3.59% N/A 8.84% -2.47% N/A 8.30%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Growth Portfolio 10/9/86 27.45% 17.88% 15.91% 20.95% 17.57% 15.91%
Fidelity VIP Equity-Income Portfolio 10/9/86 19.98% 18.33% 14.12% 13.48% 18.02% 14.12%
Fidelity VIP High Income Portfolio 9/19/85 12.92% 10.84% 10.84% 6.42% 10.44% 10.84%
</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%.
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.
6
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Product Performance Summary
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Allmerica Select Life Variable Universal Life
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Average Annual Total Returns as of 6/30/98
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 all
product charges. For returns that do not reflect the deduction of product
charges, please refer to the individual Portfolio Reviews beginning on page 12.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
and Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Fund or Life or Life
Inception 1 5 of Fund 1 5 of Fund
Sub-Accounts Date Year Years (if less) Year Years (if less)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 N/A N/A -15.94% N/A N/A -100.00%
Select Aggressive Growth Fund 8/21/92 28.29% 17.54% 19.88% -88.81% 7.39% 10.85%
Select Capital Appreciation Fund 4/28/95 19.42% N/A 21.40% -96.71% N/A -10.15%
Select Value Opportunity Fund 4/30/93 15.49% 15.32% 15.43% -100.00% 4.95% 3.55%
Select International Equity Fund 5/2/94 13.39% N/A 13.38% -100.00% N/A -5.20%
Select Growth Fund 8/21/92 37.81% 19.92% 18.05% -80.32% 9.98% 8.87%
Select Strategic Growth Fund 2/20/98 N/A N/A -0.08% N/A N/A -100.00%
Select Growth and Income Fund 8/21/92 19.25% 17.00% 15.21% -96.86% 6.80% 5.79%
Select Income Fund 8/21/92 9.35% 5.12% 5.74% -100.00% -6.48% -4.73%
Money Market Fund 4/29/85 4.74% 4.13% 4.89% -100.00% -7.62% 0.54%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 4.20% N/A 9.50% -100.00% N/A -8.86%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Growth Portfolio 10/9/86 28.20% 18.60% 16.62% -88.89% 8.55% 12.87%
Fidelity VIP Equity-Income Portfolio 10/9/86 20.69% 19.05% 14.81% -95.58% 9.04% 10.99%
Fidelity VIP High Income Portfolio 9/19/85 13.58% 11.52% 11.52% -100.00% 0.75% 7.55%
</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.
Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
7
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Product Performance Summary
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Allmerica Select Inheiritage (FAFLIC) Variable Universal Survivorship Life
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Average Annual Total Returns as of 6/30/98
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 all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 12.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
and Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Fund or Life or Life
Inception 1 5 of Fund 1 5 of Fund
Sub-Accounts Date Year Years (if less) Year Years (if less)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 N/A N/A -16.06% N/A N/A -100.00%
Select Aggressive Growth Fund 8/21/92 27.85% 17.12% 19.46% -73.80% 9.91% 13.46%
Select Capital Appreciation Fund 4/28/95 19.02% N/A 20.97% -82.28% N/A -4.91%
Select Value Opportunity Fund 4/30/93 15.10% 14.91% 15.02% -86.05% 7.37% 5.87%
Select International Equity Fund 5/2/94 13.01% N/A 12.98% -88.05% N/A -3.54%
Select Growth Fund 8/21/92 37.35% 19.50% 17.63% -64.67% 12.62% 11.40%
Select Strategic Growth Fund 2/20/98 N/A N/A -0.19% N/A N/A -100.00%
Select Growth and Income Fund 8/21/92 18.84% 16.59% 14.80% -82.45% 9.30% 8.19%
Select Income Fund 8/21/92 8.98% 4.75% 5.36% -91.92% -4.72% -2.88%
Money Market Fund 4/29/85 4.39% 3.76% 4.52% -96.33% -5.94% 2.31%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 3.85% N/A 9.12% -96.85% N/A -7.48%
Fidelity Variable Insurance Products
Fund (VIP and VIP II
Fidelity VIP Growth Portfolio 10/9/86 27.77% 18.18% 16.20% -73.88% 11.12% 14.69%
Fidelity VIP Equity-Income Portfolio 10/9/86 20.28% 18.63% 14.41% -81.07% 11.63% 12.82%
Fidelity VIP High Income Portfolio 9/19/85 13.20% 11.12% 11.12% -87.87% 2.94% 9.37%
</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.
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.
8
<PAGE>
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Product Performance Summary
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Allmerica Select Inheiritage (AFLIAC) Variable Universal Survivorship Life
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Average Annual Total Returns as of 6/30/98
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 all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 12.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Fund or Life or Life
Inception 1 5 of Fund 1 5 of Fund
Sub-Accounts Date Year Years (if less) Year Years (if less)
- ---------------------------------------------------------------------------------------------------------------------------
Allmerica Investment Trust
<S> <C> <C> <C> <C> <C> <C> <C>
Select Emerging Markets Fund 2/20/98 N/A N/A -16.06% N/A N/A -100.00%
Select Aggressive Growth Fund 8/21/92 27.85% 17.12% 19.46% -75.64% 9.25% 12.86%
Select Capital Appreciation Fund 4/28/95 19.02% N/A 20.97% -84.01% N/A -6.27%
Select Value Opportunity Fund 4/30/93 15.10% 14.91% 15.02% -87.73% 6.70% 5.11%
Select International Equity Fund 5/2/94 13.01% N/A 12.98% -89.71% N/A -4.66%
Select Growth Fund 8/21/92 37.35% 19.50% 17.63% -66.64% 11.97% 10.80%
Select Strategic Growth Fund 2/20/98 N/A N/A -0.19% N/A N/A -100.00%
Select Growth and Income Fund 8/21/92 18.84% 16.59% 14.80% -84.18% 8.64% 7.58%
Select Income Fund 8/21/92 8.98% 4.75% 5.36% -93.53% -5.46% -3.54%
Money Market Fund 4/29/85 4.39% 3.76% 4.52% -97.88% -6.69% 2.03%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 3.85% N/A 9.12% -98.39% N/A -8.58%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Growth Portfolio 10/9/86 27.77% 18.18% 16.20% -75.72% 10.47% 14.44%
Fidelity VIP Equity-Income Portfolio 10/9/86 20.28% 18.63% 14.41% -82.82% 10.98% 12.57%
Fidelity VIP High Income Portfolio 9/19/85 13.20% 11.12% 11.12% -89.53% 2.25% 9.11%
</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.
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.
9
<PAGE>
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Domestic & International Equity Market Overview
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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 large 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: Robust economic growth, declining interest rates and low unemployment
produce a third consecutive year of unprecedented gains for the
U.S. stock market.
1998: Economic problems throughout Asia have drastically different effects on
both U.S. and international equity markets for the first half of 1998.
Entering 1998, a steady U.S. economy marked by low-to-declining interest rates,
little inflation and strong economic growth boded well for stocks overall.
However, economic problems throughout Asia had drastically different effects on
the market and now Asian markets are beginning to exert a restraining influence
on the U.S. and Europe as well.
During the first six months of 1998, the Asian crisis precipitated a flight to
quality as investors sought safety in big U.S. stocks. While this flight to
quality produced strong returns, especially for those companies with excellent
earnings and very little exposure to Asia, it also caused the market's
performance to become extremely tiered. Only a small number of stocks actually
earned sizable returns while most were relatively flat or posted losses. In
fact, during the second quarter, only a handful of stocks accounted for 100% of
the gain in S&P 500(R) Index.
The flight to quality also caused large-cap stocks to clearly beat out their
small- and mid-cap counterparts as investors sought out consistent earnings and
highly liquid stocks. Curiously, investors held fast to their large-cap bias
even in the face of rising valuations, as the average stock price rose to nearly
30 times company earnings.
But not all large caps stocks benefited. Performance was specifically
concentrated in the growth-oriented arena as different indices produced vastly
different results. The Russell 1000 Growth Index, for example, outperformed the
Russell 1000 Value Index 20.4% to 12.2%, respectively.
Sector performance was also mixed for the first part of 1998. Motor Vehicles was
a top performer as U.S. auto sales sped to record highs. Auto stocks also
benefited from corporate restructuring initiatives as Ford Motor Company,
spun-off Associates First Capital Corp., and Chrysler agreed
<TABLE>
<S> <C> <C> <C> <C> <C>
Declining commodity
A steady economy marked prices in oil, copper
by low interest rates and and coffee cause [GRAPHIC
strong economic growth emerging markets of APPEARS
bodes well for stocks. Latin America to suffer. HERE]
- ---------------------------------------------------------------------------------------------------------------
1998 JAN FEB MAR
===============================================================================================================
[GRAPHIC Uncertain about the U.S. manufacturing
APPEARS effects of the Asian suffers due to
HERE] crisis, the Federal decreased demand
Reserve adopts a wait from Asia.
and see approach to
interest rates.
</TABLE>
10
<PAGE>
- ------------------------------------------------------
Domestic & International Equity Market Overview
- ------------------------------------------------------
to merge with Daimler Benz. PC manufacturers also benefited as corporate
spending both in the U.S. and Europe appeared to be on the rise.
But the economic turmoil in Asia also decreased the overall demand for U.S.
goods and services. This lower demand seemed to cause other sectors of the
market, particularly manufacturing, to suffer as the National Association of
Purchasing Management Index fell below 50 for the first time since 1996.
Separately, Energy Services, which was hurt by a drop in oil prices, also lost
ground.
International equity markets produced divergent results with developed markets
faring better than emerging markets. Europe, for instance, remained fairly
immune from the Asia crisis as it moved closer to monetary union. With key
European economies adopting stronger fiscal measures and companies embracing
U.S.-style efficiencies, a bull market is developing in many countries.
The Mediterranean region in particular generated strong results, although some
investors avoided Italy and Portugal where concerns about local inflation
surfaced. Overall, Germany and France led the pack in Europe as they both showed
signs of continued economic recovery. And the U.K. stock market performed well
as steady growth continued -- in the absence of inflation.
In contrast, the markets of Asia continued to struggle for the first six months
of the year. In Japan, a range of problems plagued the economy. While the stock
market started the year optimistically, decreasing demand for Japanese exports
from Pacific Basin countries, rising unemployment, growing corporate
bankruptcies and worsening banking problems, all drove the market lower by the
end of the second quarter.
But while the financial problems in this corner of the world were certainly
damaging, not all economies were affected equally. China, for example,
experienced a slowdown, but its currency along with the Hong Kong dollar
remained stable during the first half of the year.
Simultaneously with Asia's problems, Latin America had a rough time as well. Not
only has this part of the world felt the effects of the flight to quality by
foreign investors, but declining commodity prices in oil, coffee and copper have
particularly hurt the economies of Mexico, Brazil, Columbia and Chile.
Heading into the second half of 1998, low inflation, low interest rates and
generally sound economies bode well for U.S. and European equity markets.
At the same time, investors are worried about slower earnings growth in the U.S.
and the effects the financial turmoil in the Far East will have throughout the
world.
<TABLE>
<S> <C> <C> <C> <C>
Many European Auto stocks fare
stock markets [GRAPHIC well from corporate
benefit from a APPEARS restructuring.
developing bull HERE]
market.
- -------------------------------------------------------------------------------------------------------------------
1998 APR MAY JUN
===================================================================================================================
[GRAPHIC Large-cap U.S. growth Investors remain
APPEARS stocks benefit from [GRAPHIC cautious about the
HERE] the flight to quality due APPEARS effect the financial
to renewed concerns HERE] turmoil in Asia will have
in Asian markets. throughout the world.
</TABLE>
11
<PAGE>
- ------------------------------------------
Select Emerging Markets Fund
- ------------------------------------------
Since inception on February 20, 1998, the Select Emerging Markets Fund posted a
return of -15.70% versus the -17.59% return of the MSCI Emerging Markets Free
Index for the comparable period.
During the second quarter, continuing financial turmoil in Asia caused emerging
markets to suffer, not only in Asia, but throughout the world. Against this
backdrop, the Fund managers remained relatively defensive and looked for signs
of a turnaround in emerging markets.
Because the managers believe Korea offers the best potential for recovery, they
continued to heavily weight holdings from this market. The government's
commitment to labor reforms, ongoing financial restructuring and its
internationally competitive companies all represent favorable signs for a
turnaround in their market.
India remains the Fund's largest position in Asia. Although management has
reduced holdings there, they still believe that the Indian market offers quality
companies at attractive values, despite a poor economic outlook and an uncertain
political situation.
Latin America is also expected to continue to feel the effects of the Asian
crisis. While interest rates have been raised to slow economic growth, the Fund
managers remain cautious about investing here as the situation is unlikely to
reverse itself over the next few months.
The Fund managers' preferred area of investment continues to be Europe, the
Middle East and Africa. The managers particularly favor Greece, which is
benefiting from its efforts to join the European Monetary Union. They also like
Israel, which despite persistent political problems, is at a point in the
economic cycle when growth should accelerate.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Schroder Capital Management
International Inc.
About the Fund
Seeks long-term growth by investing
in the world's emerging markets.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the country
allocation of net assets was:
[GRAPH APPEARS HERE]
Brazil 13%
Mexico 11%
South Africa 7%
India 7%
Portugal 4%
Hungary 4%
Israel 4%
South Korea 4%
Argentina 4%
U.S. Agency Obligations 7%
Other 35%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Period ended June 30, 1998 Life of Fund
Select Emerging Markets Fund -15.70%
MSCI Emerging Markets Free Index -17.59%
Lipper Emerging Markets Fund Average -15.28%
Fund Inception Date
February 20, 1998
(No growth of $10,000 chart is provided)
The Select Emerging Markets Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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 MSCI Emerging Markets Free Index is an unmanaged index of 26 emerging
markets. The Lipper Emerging Markets Fund Average is a non-weighted index of 179
funds within the emerging markets investment objective. Performance numbers are
net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
12
<PAGE>
- ----------------------------------------
Select Aggressive Growth Fund
- ----------------------------------------
Posting a return of 16.27% for the six-month period ended June 30, 1998, the
Select Aggressive Growth Fund outperformed the 5.66% return of the Russell 2500
Index for the same period.
Superior stock selection in the financial services and technology sectors
boosted Fund results during the first half of the year. Finance companies, in
particular, benefited from credit-quality stabilization, a direct result of
slower bankruptcy rates.
Holdings within the technology sector, specifically PC manufacturers, started to
benefit from corporate spending primarily in the U.S. and Europe. The focus on
building information technology infrastructure to maintain and enhance global
competitiveness in general spurred growth.
The Fund's exposure to stocks within the health care services, consumer services
and insurance services sectors also benefited overall performance. Holdings
within these sectors that exhibited strong performance included HBO & Co. and
Equitable Companies, Inc.
The Fund is currently overweighted in four sectors: consumer non-durables
(apparel), consumer durables (home furnishings), retail (clothing chains) and
technology (software and telecommunications).
For the remainder of the year, the managers' outlook is quite optimistic. While
the Asian financial crisis will be a source of ongoing negative earnings
surprises, U.S. economic fundamentals remain strong. Low inflation, moderate
growth and high employment rates continue to provide a favorable backdrop -- and
bode well for stocks of those companies which can produce consistent earnings
results.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 29.31% 18.49% 20.85%
Russell 2500 Index 18.10% 17.31% 18.90%
Lipper Capital Appreciation Fund Average 22.12% 16.02% 17.22%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE CHART APPEARS HERE]
Inception Select Aggresive Russell
Date Growth Fund 500 Index
---------------------------------------------
8/92 $10,000 $10,000
8/98 $30,288 $27,532
- --------------------------------------------------------------------------------
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, 1998, the sector
allocation of net assets was:
[GRAPH APPEARS HERE]
Computers and Software 17%
Technology 12%
Consumer Products 10%
Retail 9%
Finance 8%
Durable Goods 8%
Capital Goods 6%
Health Services 4%
Consumer Service 4%
Other 22%
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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 Russell 2500 Index is an unmanaged composite of 2,500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Fund Average is a
non-weighted index of 263 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.
13
<PAGE>
- --------------------------------------------
Select International Equity Fund
- --------------------------------------------
For the six-month period ended June 30, 1998, the Select Growth Fund posted a
total return of 22.88% and outpaced the total return of the S&P 500(R) Index of
17.72% for the same period.
Contributing to the Fund's outperformance was the positive effect of
overweighting the portfolio's assets in such favorable market sectors as
finance, consumer cyclicals and health care. Likewise, underweighting assets in
the energy and basic industry sectors also proved to be a positive move -- as
sluggish earnings growth caused both of these areas to lag.
Specifically, the portfolio's holdings in the retail, cable and cellular
industries served the Fund well. In the health care sector, performance was
generated by good stock selection and an overweighted exposure among major
pharmaceutical stocks. And the manager's decision to emphasize software and
telecommunications equipment manufacturers in the technology sector, while
de-emphasizing holdings in semi-conductors, also benefited mid-year results.
Detracting from performance were holdings in the commercial services and oil
services industries as both of these sectors suffered from weakening stock
prices.
Going forward, low inflation, low interest rates and generally stable earnings
growth bodes well for the U.S. equity market. However, the impact of the Asian
crisis may widen. Given this backdrop, the Fund's managers remain focused on
following a disciplined and systematic stock selection strategy. They will
continue to seek high-quality growth stocks and rigorously manage risk in the
Fund using both qualitative analysis and fundamental research.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the country
allocation of net assets was:
United Kingdom 29%
Switzerland 13%
Japan 13%
Netherlands 10%
Germany 9%
France 6%
Australia 5%
Cash Equivalents 6%
Other 9%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select International Equity Fund 14.30% NA 14.30%
Morgan Stanley EAFE Index 6.38% 10.34% 8.50%
Lipper International Fund Average 8.19% 12.22% 9.36%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1994
- --------------------------------------------------------------------------------
[LINE CHART APPEARS HERE]
Select International Morgan Stanley
Date Equity Fund EAFE Index
----------------------------------------------------
5/94 $10,000 $10,000
6/98 $17,448 $14,048
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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 576 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.
14
<PAGE>
Select Value Opportunity Fund
The Select Value Opportunity Fund returned 5.36% for the six-month period ended
June 30, 1998, slightly less than the 5.66% return of the Russell 2500 Index for
the same period.
During the first half of this year, the small- and mid-cap sectors of the equity
market underwent a downturn as investors fled smaller companies in favor of
their larger counterparts. However, the Fund managers adhered to their value-
oriented investment strategy of seeking companies that are undergoing a change,
are misunderstood or not widely followed and are, therefore, undervalued.
A clear example of this strategy was the addition of Ashland, Inc. shares to the
portfolio. A new CEO has made a series of changes at this company, selling off
its oil and gas assets, merging Ashland Coal into a separate public company and
forming a joint venture with USX-Marathon for its refining and marketing
operations. Because these moves confused industry analysts, the stock is selling
at a level that the Fund's management believes does not reflect its true
potential.
The Fund managers also maintained ample diversification among the major economic
sectors, making stock selection within these sectors a priority. In fact,
several of the Fund's holdings outperformed the mid-cap benchmarks, including
Owens-Illinois, Fred Meyer, Coastal Corporation and Wellpoint Health Networks.
Other issues, however, hindered performance. Detractors included Raychem
Corporation, which suffered because of its exposure to Asia, and Cincinnati
Bell, which also declined as investors grew unsure of its ability to compete in
its market.
The Fund managers believe their value-style of investing will provide solid
returns over the long term.
Investment Sub-Adviser
Cramer Rosenthal McGlynn, LLC
About the Fund
Invests in attractively valued small-to mid-sized companies believed to have
above-average potential for capital appreciation.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
Years ended June 30, 1998 1 Year 5 Years Life of Fund
<S> <C> <C> <C>
Select Value Opportunity Fund 16.42% 16.25% 16.36%
Russell 2500 Index 18.10% 17.31% 17.83%
Lipper Small Company Growth Fund Average 17.65% 16.76% 17.44%
</TABLE>
Growth of a $10,000 Investment Since 1993
[GRAPH APPEARS HERE]
The Select Value Opportunity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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 Russell 2500 Index is an unmanaged composite of 2,500 small- to mid-
capitalization stocks. The Lipper Small Company Growth Fund Average is a non-
weighted index of 643 small company growth funds. Performance numbers are net of
all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
Portfolio Composition
As of June 30, 1998, the sector allocation of net assets was:
Durable Goods 22%
Energy 17%
Finance 10%
Consumer Products 8%
Commerical Paper 7%
Utilities 6%
Building and Construction 5%
Retail 5%
Health Care 5%
Other 15%
14A
<PAGE>
- --------------------------------------------------
T. Rowe Price International Stock Portfolio
- --------------------------------------------------
With a 13.74% total return for the six-month period ended June 30, 1998, the T.
Rowe Price International Stock Portfolio trailed the 16.08% return of the Morgan
Stanley EAFE Index for the same period.
During the first half of 1998, international markets turned in sharply divergent
performances. European markets rose, due to improving economic factors and
buoyant fund flows along with a great deal of merger and acquisitions activity.
Although Germany and France fared quite well, the Portfolio's underweighting,
specifically in Germany, subtracted value.
Emerging markets throughout the world had a difficult time, particularly during
the second quarter. A growing realization that Asia's economic problems will not
be resolved rapidly led to sharp declines across this part of the world -- and
elsewhere -- as Latin American markets also felt the effects of this continuing
malaise. Nonetheless, the managers were able to add value by maintaining a low
exposure to Japan, Malaysia and Singapore in the Portfolio.
Stock selection also proved to be a small positive for the Portfolio. The Fund
managers increased European holdings with purchases in the French and German
banking sectors such as CCF, Societe Generale and Dresdner Bank. Japanese and
Hong Kong holdings were reduced. In Japan, blue chip exporters, Canon and
Pioneer were cut back and Hong Kong holdings of New World and Swire Pacific,
both real estate developers, were sold.
Currently, over 70% of the assets are invested in European issues. The Fund
managers believe that supportive economic fundamentals and a sharpened focus on
shareholder value will enable these markets to rise further.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
T. Rowe Price International Stock Portfolio 5.04% NA 10.39%
Morgan Stanley EAFE Index 6.38% 10.34% 9.44%
Lipper International Fund Average 8.19% 12.22% 9.51%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1994
- --------------------------------------------------------------------------------
[LINE CHART APPEARS HERE]
T. Rowe Price
International Morgan Stanley
Date Stock Portfolio EAFE Index
------------------------------------------------------
3/94 $10,000 $10,000
6/98 $15,223 $14,625
- --------------------------------------------------------------------------------
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, 1998, the country
allocation of net assets was:
[GRAPH APPEARS HERE]
United Kingdom 19%
Japan 15%
Netherlands 11%
France 10%
Germany 8%
Switzerland 7%
Italy 5%
Sweden 4%
Other 21%
Portfolio composition will vary over time.
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 576 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.
15
<PAGE>
- ------------------------------------
Select Capital Appreciation Fund
- ------------------------------------
Under new management since April 1, 1998, the Select Capital Appreciation Fund
returned 9.30% for the six-month period ended June 30, 1998. This result
compared to the 5.66% return of the Russell 2500 Index and the 12.85% return of
the Lipper Capital Appreciation Fund Average for the same period.
The Fund experienced heavy turnover in April as the new manager recast the
portfolio to match their investment discipline. The portfolio is now broadly
diversified across 70-100 securities in all industries. The portfolio focuses on
domestic mid-cap growth stocks and rarely allocates more than 3% to any one
security.
The Fund's managers added to the portfolio's positions in the health care and
financial sectors during the second quarter. Stable-to-declining interest rates
also continued to benefit the financial sector and the Fund participated with an
outstanding gain in Capital One Financial. In the technology sector, Synopsis
added results, as it also was a top performer for the Fund.
With holdings such as Affiliated Computer, Outdoor Systems and U.S. Foodservice,
the Fund's managers also maintained the weighting in business services, the
Fund's largest sector.
In looking toward the remainder of 1998, the Fund managers will continue to
manage the portfolio based on solid fundamental research and carefully selected
stock picks which they believe will produce solid returns within a reasonable
time.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
T. Rowe Price Associates, Inc.*
About the Fund
The Fund seeks to construct a diversified portfolio of mid-cap growth stocks
selling at a reasonable price.
*T. Rowe Price Associates, Inc. replaced Janus Capital Corporation as Investment
Sub-Adviser, effective April 1, 1998.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEAR HERE]
Retail 13%
Finance 10%
Business Services 10%
Computers and Software 8%
Communications 8%
Electronics 8%
Chemicals and Drugs 7%
Health Services 7%
Leisure/Entertainment 5%
Other 24%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Capital Appreciation Fund 20.37% N/A 22.38%
Russell 2500 Index 18.10% 17.31% 22.51%
Lipper Capital Appreciation Fund Average 22.12% 16.02% 22.04%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1995
- --------------------------------------------------------------------------------
[LINE CHART APPEARS HERE]
Inception Select Capital Russell
Date Appreciation Fund 2500 Index
--------------------------------------------------
4/95 $10,000 $10,000
6/96 $18,967 $19,043
The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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 Russell 2500 Index is an unmanaged composite of 2500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Fund Average is a
non-weighted index of 263 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.
16
<PAGE>
- ---------------------------------------
Fidelity VIP Growth Portfolio
- ---------------------------------------
With a total return of 19.13% for the six-month period ended June 30, 1998, the
Fidelity VIP* Growth Portfolio surpassed the 17.72% return of the S&P 500(R)
Index for the same period.
As investors sought safety and liquidity in big names during the first half of
the year, large stocks outperformed smaller issues and growth funds in general
performed well. Since the managers of this Portfolio follow a large-cap growth
investment style, both of these factors contributed to its results.
Overweighting assets in strong-performing sectors like technology, health and
retail propelled returns for the Portfolio. Although stock selection proved to
be mixed for these sectors, Microsoft, the fourth best performing asset by
mid-year, boosted performance significantly. Also contributing favorably to
mid-year performance were the Portfolio's investments in Merck and Wal-Mart.
Underweighting the weak-performing utilities sector also helped results. Top
ten holding, WorldCom, accounted for the strong stock selection within this
sector.
Several factors detracted from performance. The Fund managers overweighted the
services sector, which turned in disappointing results. They also underweighted
assets in the durables sector, which was a strong performer, further detracting
from results. Poor stock selection in the nondurables sector dragged down
performance as number two holding Philip Morris posted dismal results in light
of continuing litigation. Finally, poor performance by top ten holding, AT&T and
excess cash holdings also detracted from fund performance.
The Fund managers continue to seek a large-cap growth strategy of long-term
capital appreciation with common stocks through above-average growth prospects.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Fidelity VIP* Growth Portfolio 29.23% 19.56% 17.56%
S&P 500(R)Index 30.17% 23.06% 18.54%
Lipper Capital Appreciation Fund Average 22.12% 16.02% 14.15%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Fidelity VIP* S&P
Date Growth Portfolio 500(R) Index
----------------------------------------------------
6/88 $10,000 $10,000
6/98 $50,428 $54,791
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
[CHART APPEARS HERE]
Technology 26%
Health 18%
Retail & Wholesale 11%
Media & Leisure 10%
Finance 10%
Utilities 7%
Non-Durables 6%
Indust. Mach. & Equip. 3%
Other 9%
* VIP refers to Variable Insurance Products Fund.
Portfolio composition will vary over time.
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) is
a registered trademark of the Standard & Poor's Corporation.The Lipper Capital
Appreciation Fund Average is a non-weighted index of 263 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.
17
<PAGE>
- ---------------------------------
Select Growth Fund
- ---------------------------------
For the six-month period ended June 30, 1998, the Select Growth Fund posted a
total return of 22.88% and outpaced the total return of the S&P 500(R) Index of
17.72% for the same period.
Contributing to the Fund's outperformance was the positive effect of
overweighting the portfolio's assets in such favorable market sectors as
finance, consumer cyclicals and health care. Likewise, underweighting assets in
the energy and basic industry sectors also proved to be a positive move -- as
sluggish earnings growth caused both of these areas to lag.
Specifically, the portfolio's holdings in the retail, cable and cellular
industries served the Fund well. In the health care sector, performance was
generated by good stock selection and an overweighted exposure among major
pharmaceutical stocks. And the manager's decision to emphasize software and
telecommunications equipment manufacturers in the technology sector, while
de-emphasizing holdings in semi-conductors, also benefited mid-year results.
Detracting from performance were holdings in the commercial services and oil
services industries as both of these sectors suffered from weakening stock
prices.
Going forward, low inflation, low interest rates and generally stable earnings
growth bodes well for the U.S. equity market. However, the impact of the Asian
crisis may widen. Given this backdrop, the Fund's managers remain focused on
following a disciplined and systematic stock selection strategy. They will
continue to seek high-quality growth stocks and rigorously manage risk in the
Fund using both qualitative analysis and fundamental research.
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
[CHART APPEARS HERE]
Finance 19%
Durable Goods 13%
Retail 13%
Chemicals and Drugs 12%
Technology 12%
Communications 8%
Consumer Products 5%
Health Services 3%
Other 15%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Growth Fund 38.92% 20.89% 19.00%
S&P 500(R)Index 30.17% 23.06% 21.70%
Lipper Growth Fund Average 25.39% 18.91% 18.65%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE CHART APPEARS HERE]
Date Select Growth Fund S&P 500(R) Index
---------------------------------------------------
8/92 $10,000 $10,000
6/98 $27,675 $31,449
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 1068 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.
18
<PAGE>
- -----------------------------------
Select Strategic Growth Fund
- -----------------------------------
Since inception on February 20, 1998, the Select Strategic Growth Fund has
provided a total return of 0.20% versus the 10.21% return of the S&P(R) 500 over
the comparable period.
The Fund's investments in out-of-favor mid-cap value stocks did not fare well in
a market that sought out ultra-large cap growth stocks. Nonetheless, the Fund's
managers continue to look for companies with excellent long-term prospects whose
stocks are currently selling at discount prices.
Two of this Fund's top five holdings demonstrate both the managers' conservative
approach to investing along with their current struggles. Electronic Data
Systems (EDS), a co-leader in the information services technology industry has
had a notable track record. Although its price has been stymied as revenue
bookings and earnings growth have been off since 1996, it remains an attractive
holding due to its double digit earnings growth, history of innovation, strong
cash flow and relatively low stock valuation.
Likewise, the Fund's position in Transocean Offshore also provides a strong
example. Because it specializes in oil drilling in extremely deep waters and in
harsh weather, Transocean has benefited from technological advances which have
made these operations less expensive and less risky. As a result, demand for
their drilling rigs has risen dramatically. Normally a signal for increasing
prices, this news was tempered by the recent short-term decline in oil prices.
Although it had virtually no effect on the company's activities, the decline
caused a 25% drop in Transocean's stock.
While the current market has been frustrating, the managers believe their
investment style will continue to be successful over the long term.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Period ended June 30, 1998 Life of Fund
Select Strategic Growth Fund 0.20%
S&P 500(R) Index 10.21%
Lipper Growth Fund Average 9.14%
Fund Inception Date
February 20, 1998
(No growth of $10,000 chart is provided)
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Cambiar Investors, Inc.
About the Fund
Seeks long-term growth of capital by investing primarily in common stocks of
established companies.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[CHART APPEARS HERE]
Consumer Products 13%
Durable Goods 12%
Business Services 12%
Energy 11%
Technology 10%
Finance 8%
Retail 8%
Chemicals and Drugs 5%
U.S. Government and
Agency Obligations 8%
Other 13%
The Select Strategic Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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 composite of 500 of the 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 1068 funds within the
growth fund average 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.
19
<PAGE>
- -----------------------------------------
Fidelity VIP Equity-Income Portfolio
- -----------------------------------------
For the six-month period ended June 30, 1998, the Fidelity VIP* Equity-Income
Portfolio turned in a 10.53% total return. Although this result outperformed the
9.13% return of the Lipper Equity Income Fund Average, it underperformed the
17.72% return of the S&P 500(R) Index for the same period.
For the first half of 1998, the most positive factor for the Portfolio's
performance was its large-cap investment focus. Seeking a safe haven from the
market volatility caused by the Asian financial crisis, investors flocked to
large-cap issues with predictable earnings. Favorites included issues of General
Electric, Wal-Mart and American Home Products which were included in the
Portfolio.
Takeover activity in the finance sector, the Portfolio's largest position,
boosted returns as well. BankAmerica and Citicorp, for example, announced plans
to merge with other major companies. Takeovers completed by industrial machinery
firms also contributed positively to first half performance.
The value orientation and dividend focus of the Fund restrained returns relative
to the overall market. In following its value orientation and dividend focus,
the Fund underweighted the technology and health care sectors, both of which
were among the top performers during the first six months.
The fund's sector focus is essentially unchanged from March 31 with finance
remaining the top sector. Energy is also overweighted as the manager seeks out
companies with restructuring opportunities.
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
[CHART APPEARS HERE]
Finance 25%
Energy 11%
Utilities 9%
Health 7%
Indust. Mach. & Equip. 7%
Basic Industries 7%
Non-Durables 6%
Aerospace & Defense 5%
Other 23%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Fidelity VIP* Equity-Income Fund 21.65% 20.01% 15.74%
S&P 500(R)Index 30.17% 23.06% 18.54%
Lipper Equity Income Fund Average 20.94% 17.52% 14.56%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE CHART APPEARS HERE]
Fidelity VIP*
Date Equity-Income Portfolio S&P 500(R) Index
-------------------------------------------------------------
6/88 $10,000 $10,000
6/98 $43,143 $54,791
*VIP refers to Variable Insurance Products Fund.
Portfolio composition will vary over time.
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&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Equity Income Fund Average is a non-weighted index of 230 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.
20
<PAGE>
- ----------------------------------
Select Growth and Income Fund
- ----------------------------------
For the first six months of 1998, the Select Growth and Income Fund posted a
return of 11.63% trailing the 17.72% return of the S&P 500(R) Index for the same
period. The Fund also underperformed the 12.11% return of the Lipper Growth and
Income Fund Average.
For the first half of 1998, results from a number of the Fund's holdings were
mixed as some performed particularly well while others languished. MediaOne, for
example, increased 52% during the period. This increase was due to its
international assets, its relatively low leverage as well as the strong
performance of cable stocks in general. Black & Decker was also a top-performer.
Reflecting the success of its corporate restructuring plan, it appreciated 56%.
Wal-Mart Stores also increased 54%, reflecting strong sales growth, successful
inventory control, increases in gross margins and improvement in its
international business.
On the other hand, three positions in the Fund's portfolio experienced setbacks
which negatively impacted the Fund's overall results. Lowered earnings
expectations caused both Ikon Office Systems and Sealed Air shares to plummet.
And Marketspan's shares declined when the market reacted to controversy over the
CEO's severance package.
Going forward, the Fund's managers believe more risk control is justified for
the Fund's portfolio given current market dynamics. With many holdings now
offering high yields and value, they believe the portfolio is poised to offer
excellent relative value with a significant degree of downside protection.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Growth and Income Fund 20.21% 17.95% 16.14%
S&P 500(R)Index 30.17% 23.06% 21.70%
Lipper Growth & Income Fund Average 22.87% 18.93% 18.54%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE CHART APPEARS HERE]
Select Growth
Date and Income Fund S&P 500(R) Index
------------------------------------------------
8/92 $10,000 $10,000
6/98 $24,001 $31,449
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
[CHART APPEARS HERE]
Finance 16%
Technology 10%
Aerospace/Airlines 9%
Energy 9%
Chemicals and Drugs 8%
Consumer Products 7%
Consumer Staples 7%
Utilities 5%
Corporate Notes and Bonds 3%
Other 26%
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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 792 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.
21
<PAGE>
- ----------------------------------
Bond & Money Market Overview
- ----------------------------------
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: Low inflation and declining interest rates fuel the bond market, which
enjoys its best returns since 1995.
1998: Performance of the U.S. bond market is significantly affected by the
turmoil in Asia for the first half of 1998.
In much the same fashion as the equity market, the performance of the U.S. bond
market was significantly affected by the turmoil in Asia during the first half
of 1998. Given this backdrop, some sectors of the market fared well, while
others struggled.
Starting off on a positive note, the U.S. economy appeared strong with Gross
Domestic Product (GDP) rising nearly 5.4% in the first quarter. Low inflation,
favorable credit conditions and higher equity valuations all drove this strong
economic growth and price stability. As growth continued, fixed income investors
grew nervous and anticipated that the Federal Reserve would raise interest rates
to ward off inflation.
But, as Asia's markets grew weaker, growth in the U.S. slowed. So, the Federal
Reserve adopted a "wait and see" approach regarding any moves toward tightening
or relaxing monetary policy.
Bond investors, on the other hand, quickly reacted to these developments.
Initially content, they worried that the economy was growing too fast only to
gain comfort from the slowing effect of the Asian crisis. Their concerns drove
interest rates which rose during the first quarter only to fall to new lows
during the second quarter.
Corporate credit issues also went on a roller coaster ride. The volatility in
foreign exchanges and global markets, caused a flight to quality preference for
U.S. Treasuries. Coupled with concerns about future growth of the U.S. economy
and the expected level of corporate profits, corporate bond spreads widened
causing investment grade corporates to lag comparable duration Treasuries by 24
basis points for the first six months of the year. Although spreads initially
narrowed from their levels in January, they reversed course again in June,
<TABLE>
<S> <C> <C> <C> <C> <C>
Ongoing financial crisis Long-term U.S.
in Asia causes a flight to [GRAPHIC Treasuries deliver their
quality for both stock and APPEARS best performance in
bond investors. HERE] years as investors favor
their inherent safety.
- -----------------------------------------------------------------------------------------------------
1998 JAN FEB MAR
=====================================================================================================
Uncertain about the
[GRAPHIC potential effects of
APPEARS the Asian crisis on
HERE] the U.S., the Federal
Reserve adopts a
wait and see a
pproach to changing
interest rates.
</TABLE>
22
<PAGE>
- ------------------------------------
Bond & Money Market Overview
- ------------------------------------
widening to levels not seen in six years. Surprisingly, the actual credit
quality of U.S. issuers remained at its best level in years, as ratings upgrades
outpaced downgrades in the market, unlike previous periods of under-performance
in this sector.
The yield on the 30-year bond fell to 5.62%, its lowest level in decades. But it
fell only modestly for shorter term issues. Overall, Treasuries outperformed
selected fixed income instruments and contributed to the overall 3.93% gain in
the market as measured by the Lehman Aggregate Bond Index.
Despite a poor showing in the second quarter, the high yield market remained the
best-performing fixed income sector for the first half of 1998. As with
investment grade corporate bonds, high yield issues suffered during the second
quarter in part from the renewed uncertainty surrounding emerging markets as
well as from the diminished flows of cash into high yield bond funds.
The significant declines in long-term interest rates had a major impact on the
mortgage market. With some of the lowest rates in years, homeowners refinanced
in record numbers, causing prepayments on mortgage-backed securities to
increase, adversely affecting their returns.
Entering the second half of 1998, solid fundamentals remain firmly in place for
the U.S. bond market. As investors continue to watch for signs of recovery in
Asia, the Federal Reserve is likely to maintain its neutral monetary policy.
Given this scenario, the outlook for Treasuries and highly rated corporates
should remain particularly favorable.
<TABLE>
<S> <C> <C> <C> <C> <C>
Mortgage-backed Investors continue to
[GRAPHIC securities lose ground [GRAPHIC watch for signs of recovery
APPEARS amid record mortgage APPEARS in Asia, causing the outlook
HERE] refinancing. HERE] for U.S. Treasuries to
remain favorable.
- -------------------------------------------------------------------------------------------------------------------------
1998 APR MAY JUN
=========================================================================================================================
Investors flight to High-yield issues suffer
quality benefits [GRAPHIC due to renewed uncertainty
highly rated APPEARS in the emerging
corporate bonds. HERE] markets.
</TABLE>
23
<PAGE>
- --------------------------------------
Fidelity VIP* High Income Portfolio
- --------------------------------------
With a total return of 4.80% for the six-month period ended June 30, 1998, the
Fidelity VIP* High Income Portfolio beat the 4.51% return of the Merrill Lynch
High Yield Master for the same period.
During the first half of 1998, there were several significant factors which
affected the high yield market, including strong new issue volume, low interest
rates and solid economic growth. The managers' decision to heavily weight the
Portfolio's assets in certain sectors of the market which performed well under
these market conditions boosted results.
Specifically, the Portfolio's holdings were concentrated in telecommunications,
cable TV and media issuers during the period, as these sectors continued to
benefit from healthy U.S. consumer spending. While a significant portion of the
Portfolio's holdings are currently in these particular sectors, the assets cover
a wide range of sub-sectors, including cable TV, media conglomerates and
competitive local exchange carriers (CLECS).
The managers ability to select from a wide range of an issuer's securities,
including both preferred and common stock, was also a positive influence on
results.
At mid-year, securities of telecommunications and media companies accounted for
47% of the fund's holdings. Going forward, the managers plan to continue to
maintain a meaningful percentage of noncash securities and common equities in
the Portfolio to capture superior risk-adjusted returns.
- --------------------------------------------------------------------------------
Investment Adviser
Fidelity Management & Research
Company
About the Fund
Seeks high income and growth of
capital by investing in high-yielding,
lower-rated, fixed-income securities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector
allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Telecommunications 30%
Cable TV 12%
Specialty Retailing 4%
Broadcasting 4%
Healthcare 3%
Energy 3%
Publishing-Printing 3%
Aero/Elec/Computer 3%
Other 38%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Fidelity VIP* High Income Portfolio 14.49% 12.42% 12.42%
Merrill Lynch High Yield Master 11.41% 10.49% 11.70%
Salomon Brothers High-Yield Index 12.31% 10.67% 11.59%
Lipper High Current Yield Fund Average 11.45% 9.90% 10.23%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Fidelity VIP* Merrill Lynch Soloman Brothers
Date High Income Portfolio High Yield Master High-Yield Index
-----------------------------------------------------------------------------
6/88 $10,000 $10,000 $10,000
6/98 $32,235 $30,244 $29,939
*VIP refers to Variable Insurance Products Fund.
Portfolio composition will vary over time.
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 index of 263 funds that seek high current yield from
fixed income securities. The Merrill Lynch High Yield Master is a market
capitalization weighted index of all domestic and yankee high-yield bonds.
Performance numbers are net of all fund operating expenses, but do not include
insurance charges. If performance information included the effect of these
additional charges, it would have been lower.
24
<PAGE>
- -------------------------
Select Income Fund
- -------------------------
With a total return of 3.66% for the six-month period ended June 30, 1998, the
Select Income Fund essentially paralleled the return of the Lehman Brothers
Aggregate Bond Index of 3.92% for the same period.
Overall, the Select Income Fund, like other bond funds, benefited from several
key economic factors. Declining interest rates, particularly in the second
quarter, boosted bond returns. The continuing problems in Asia precipitated a
flight to quality, which also enhanced the fund's performance.
To keep pace with market activity, the managers marginally shifted the Fund's
holdings during the first half of the year. A significant percentage of assets
were allocated to Treasuries and Federal Agency Discount Notes. However, later
in the period, some of these assets were re-allocated to mortgage-backed
securities and other investments to gain a yield spread advantage.
The portfolio also maintained its position in corporates although industrial and
bank bonds increased while finance issues were reduced.
The Fund managers' outlook for the remainder of the year remains relatively
positive. They expect to benefit from the moderating economic growth supported
by stable-to-declining interest rates.
To provide added returns for the Fund, the managers have stepped up their search
for Treasury-alternative investments, like collateralized mortgage obligations
and asset-backed securities. While they suspect bonds will continue to provide
excellent absolute and real rates of return, it's still early to predict how
bonds will fare relative to other asset classes, such as common stocks.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Income Fund 10.23% 5.97% 6.59%
Lehman Brothers Aggregate Bond Index 10.54% 6.88% 7.35%
Lipper Intermediate Investment
Grade Fund Average 9.42% 6.12% 6.66%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Lehman
Select Brothers/Aggregate
Date Income Fund Bond Index
------------------------------------------------------
8/92 $10,000 $10,000
6/98 $14,531 $15,125
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Standish, Ayer & Wood, Inc.
About the Fund
The Fund seeks above-average
income from corporate bonds,
mortgages and securities issued by
the U.S. Government.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector
allocation of net assets was:
[BAR CHART APPEARS HERE]
U.S. Government and
Agency Obligations 46%
Corporate Notes
and Bonds 35%
Asset-Backed Securities 17%
Other 2%
The Select Income Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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 all fixed rate
debt issues with an investment grade rating at least one year to maturity and an
outstanding par value of at least $100 million. The Lipper Intermediate
Investment Grade Fund Average tracks the performance of 239 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.
25
<PAGE>
- ------------------------
Money Market Fund
- ------------------------
The Money Market Fund reported a total return of 2.74% for the six-month period
ended June 30, 1998. That compared to the 2.48% return of the IBC/Donoghue First
Tier Money Market Index for the same period.
As 1998 began, concerns surfaced that an overheating economy could prompt the
Federal Reserve to raise interest rates. But as the Asian currency crisis spread
and foreign demand slowed, a decline in both durable goods orders and the
National Association of Purchasing Managers Index, indicated that inflationary
pressure remained subdued -- and no action was taken by the Fed.
Given this economic environment, the Money Market Fund continued to focus on its
three primary objectives of preserving capital, maintaining liquidity and
earning attractive current income during the first half of this year. The
managers overweighted the Fund's allocation to commercial paper and were
successful in identifying a number of attractively valued securities.
Entering the second half of 1998, the Fund managers anticipate that the Federal
Reserve will maintain its neutral monetary policy.
Given this scenario, they will continue to emphasize commercial paper holdings
and short-medium term notes in the portfolio as corporate fundamentals remain
positive. They also plan to gain maximum liquidity by using a combination of
agency securities and repurchase agreements without sacrificing yield for the
Fund.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Strives to maximize current income
for investors while preserving
capital and liquidity.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector
allocation of net assets was:
[BAR CHART APPEARS HERE]
Corporate Notes and Bonds 32%
Commercial Paper 48%
Cash Equivalents 17%
Other 3%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Money Market Fund 5.57% 4.97% 5.74%
IBC/Donoghue First Tier
Money Market Index 5.07% 4.57% 5.36%
Lipper Money Market Fund Average 4.96% 4.54% 5.34%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Money IBC/Donoghue First Tier
Date Market Fund Money Market Index
--------------------------------------------------------
6/89 $10,000 $10,000
6/98 $17,477 $16,862
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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 the average investment performance of 310
funds within the Money Market 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.
26
<PAGE>
--------------
Financials
--------------
<PAGE>
This page intentionally left blank.
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 89.24%
Argentina - 4.13%
3,200 Banco Galicia Y Bueno Aires, ADR $ 58,400
1,400 Disco S.A., Sponsored ADR* 44,800
11,300 Inversions Y Representaciones S.A. 33,227
18,000 Perez Companc S.A., Class B 90,373
9,900 Telefonos de Argentina, Sponsored ADR 321,131
7,900 YPF S.A., Sponsored ADR 237,494
-----------
785,425
-----------
Botswana - 0.33%
47,000 Sechaba Breweries, Ltd. 62,293
-----------
Brazil - 13.01%
3,500 Brasil Distr Pao Acu, Sponsored ADR 79,188
4,773 CEMIG S.A., Sponsored ADR 145,571
23,200 Centrais Electricas Brasileiras Sponsored ADR 342,200
1,472,200 Cia Paulista de Forca E Luz* 150,217
8,000 Cia Cervejaria Brahma, Sponsored ADR 100,000
450,000 Cia Cimento Portland Itav* 79,802
12,800 Cia Paranaense Enernergia-Copel, Sponsored ADR 118,400
9,400 Compania Vale Do Rio Doce, Sponsored ADR 189,222
87,000 Light Servicos De Eletrcidade S.A. 26,704
14,900 Petroleo Brasileiro S.A., Sponsored ADR 276,988
6,400 Telebras, Sponsored ADR 698,800
31,254 Telec De Sao Paulo S.A., Rights* 500
6,000 Unibanco, GDR 177,000
17,800 Usinas Sider Minas Gerais 90,804
-----------
2,475,396
-----------
Chile - 3.66%
7,900 Banco de A. Edwards, Sponsored ADR 112,081
6,500 Chilectra S.A., ADR 137,322
3,200 Compania Cerveceri AS Unibas S.A., ADR 67,600
449 Cia Telecom Chile Rights* 0
7,100 Cia Telecom Chile, Sponsored ADR 144,219
6,500 Distribucion Y Servicio, ADR 97,500
2,000 Gener S.A., Sponsored ADR 36,500
11,300 Quinenco S.A., ADR 101,700
-----------
696,922
-----------
China - 0.46%
6,500 Huaneng Power International, Sponsored ADR* 87,344
-----------
Czech Republic - 0.78%
10,800 SPT Telecom As* 149,374
-----------
Greece - 4.08%
1,660 Alpha Credit Bank 134,586
1,660 Alpha Credit Bank, Rights* 2,828
2,200 Delta Informatics S.A. 129,771
6,370 Hellenic Bottling Co.* 196,825
8,988 Hellenic Telecommunication Organization 230,446
636 National Bank of Greece S.A. 81,512
-----------
775,968
-----------
Hong Kong - 2.78%
171,000 Anhui Expressway Co., Ltd. 17,216
148,000 Beijing Datang Power Generation Co. 41,546
28,000 Cheung Kong Infrastructure Holdings 52,943
142,000 China Resources Beijing Land 45,818
50,000 China Telecom Ltd.* 86,797
26,000 Cosco Pacific, Ltd. 9,312
96,800 Founder Hong Kong, Ltd. 41,229
34,000 Guangnan Holdings 11,409
42,000 Guangong Kelon Electric Holdings Co. 33,067
25,000 Guangshen Railway Co., Ltd. 3,323
48,000 Legend Holdings, Ltd. 14,404
37,000 New World Infrastructure, Ltd.* 42,501
32,000 Ng Fung Hong, Ltd. 22,096
89,000 Qingling Motors Co. 24,697
342,000 Yanzhou Coal Mining Co.* 65,327
102,000 Zhehuang Expressway Co., Ltd. 17,114
-----------
528,799
-----------
Hungary - 4.37%
2,750 Gedeon Richter, GDR 219,313
5,000 Matav Rt. 147,188
5,750 MOL Magyar Olaj, GDR 154,963
6,350 OTP Bank Rt., GDR 311,150
-----------
832,614
-----------
India - 6.82%
6,000 Great Eastern Shipping Co., GDR 23,550
9,200 ITC Limited, Sponsored GDR 162,150
29,600 Mahanagar Telephone Nigam Ltd., GDR* 301,920
43,000 Mahindra & Mahindra Ltd., GDR 185,975
23,000 Reliance Industries Ltd., GDR 151,800
24,400 State Bank of India, GDR 287,920
400 Tata Electric Co., Sponsored GDR 96,000
8,500 Videsh Sanchar Nigam Ltd., GDR* 87,974
-----------
1,297,289
-----------
Indonesia - 0.47%
2,800 Gulf Indonesia Resources, Ltd.* 32,200
19,000 PT Gudang Garam 11,283
22,500 PT Indosat 26,416
67,000 PT Telekomunikasi 19,094
-----------
88,993
-----------
See Notes to Financial Statements.
F-1
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Israel - 4.35%
33,690 Bank Hapoalim $ 101,921
92,000 Bank Leumi Le-Israel 183,544
13,000 Blue Square-Israel, Ltd., ADR* 200,688
4,400 NICE-Systems, Ltd., ADR* 165,000
5,000 Teva Pharmaceutical Industries, ADR 175,938
-----------
827,091
-----------
Luxembourg - 0.24%
4,600 Quilmes Industrial, ADR 44,850
-----------
Malaysia - 0.31%
1,500 Berjaya Sports Toto Berhad 2,223
3,000 Magnum Corporation Berhad 1,113
20,000 Resorts World Berhad 21,975
8,000 Tanjong Plc 11,084
18,000 Tenaga Nasional Berhad 21,685
-----------
58,080
-----------
Mauritius - 0.30%
85,000 State Bank of Mauritius, Ltd. 56,784
-----------
Mexico - 10.86%
92,700 Cemex S.A. CPO 347,670
172,000 Cifra S.A. De C.V., Series C* 238,892
79,400 Controladora Comercial Mexicana S.A. 65,567
7,000 Corporacion Geo S.A.* 38,874
7,000 Fomento Economico Mexicano S.A. 218,129
28,500 Grupo Carso S.A., Series A1 117,197
31,900 Grupo Financiero Banamex, Series B* 62,128
71,000 Grupo Industrial Bimbo, Series A 143,809
23,000 Grupo Industrial Saltillo, Class B 76,790
4,800 Grupo Vista S.A., Sponsored GDR* 180,600
26,000 Kimberley-Clark De Mexico, Series A 91,870
8,500 Telefonos de Mexico, Sponsored ADR 408,531
2,500 Tubos de Acero de Mexico S.A. 31,996
4,200 TV Azteca S.A., Sponsored ADR 45,411
-----------
2,067,464
-----------
Pakistan - 0.10%
3,200 Hub Power Co., ADR 19,657
-----------
Peru - 1.42%
13,200 Telefonica de Peru, Sponsored ADR 269,775
-----------
Phillipines - 1.77%
364,000 Ayala Land, Inc. 104,748
877,000 Digital Telecom* 27,341
26,050 Manila Electric Co., Class B 68,717
6,000 Phillipine Long Distance Telephone Co. 136,691
-----------
337,497
-----------
Poland - 3.98%
26,600 Bank Handlowy W Warszawie, GDR 508,060
600 Bank of Przemyslowo-Handlowy SA 43,017
17,700 Exbud S.A., GDR* 205,763
-----------
756,840
-----------
Portugal - 4.40%
4,068 Banco Espirito Santo 122,238
3,390 Banco Espirito Santo Rights* 2,403
4,760 Cimpor-Cimentos De Portugal S.A. 167,348
4,110 Jeronimo Martins 197,574
3,750 Mundial Confianca* 99,743
4,670 Portugal Telecom S.A. 247,667
-----------
836,973
-----------
Russia - 1.51%
12,080 Gazprom, ADR 134,994
3,450 LUKoil Holding, Sponsored ADR 117,300
2,750 Unified Energy Systems, GDR 36,094
-----------
288,388
-----------
South Africa - 7.46%
8,600 ABSA Group, Ltd. 53,659
2,800 Anglo America Corporation of South Africa 94,435
2,000 Anglo American Industrial Corp., Ltd. 33,390
30,247 Barlow, Ltd. 159,396
6,200 Dimension Data Holdings, Ltd.* 33,457
9,000 Ellerine Holdings, Ltd. 49,325
9,000 Fedsure Holdings, Ltd. 109,275
148,500 FirstRand, Ltd. 227,884
23,000 Ingwe Coal Corp., Ltd. 65,936
20,100 LA Retail Stores, Ltd. 37,116
58,000 Malbak, Ltd. 39,123
27,000 Nampak, Ltd. 63,744
17,100 Rembrandt Group, Ltd. 106,695
23,000 Sasol, Ltd. 133,229
6,600 South African Breweries, Ltd. 158,415
11,900 South African Druggists, Ltd. 55,386
-----------
1,420,465
-----------
South Korea - 4.13%
20,000 Daewood Heavy Industries 60,889
14,875 Kookmin Bank 55,253
20,008 Kookmin Bank, Sponsored GDR (B) 78,530
5,000 Korea Electric Power Corp. 53,350
17,000 LG Electronics 139,294
800 Pohang Iron & Steel Co. 22,607
1,600 Samsung Display Devices Co. 43,700
7,000 Samsung Electronics Co. 216,679
6,000 Samsung Heavy Industries* 29,934
12,000 Shinhan Bank 39,854
150 SK Telecom Co., Ltd. 46,759
-----------
786,849
-----------
See Notes to Financial Statements.
F-2
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Taiwan - 4.11%
8,000 Acer Inc., GDR* $ 46,400
14,900 Asustek Computer, Inc., GDR* 119,386
5,000 Fubon Insurance Co., GDR* 86,875
23,100 R.O.C Taiwan Fund 155,925
9,600 Siliconware Precision Industries Co., GDR* 77,520
7,000 Taiwan Fund Inc. 94,063
10,450 Taiwan Semiconductor Manufacturing Co., ADR* 176,343
3,000 Teco Electric & Machinery, GDR 25,305
-----------
781,817
-----------
Thailand - 0.57%
4,000 Advanced Info Service Public Co., Ltd. 17,062
21,000 Electricity Generating Public Co., Ltd.* 32,595
5,000 PTT Exploration & Production Public Co., Ltd.* 37,915
23,000 Thai Farmers Bank Public Co.* 20,302
-----------
107,874
-----------
Turkey - 2.19%
892,242 Akbank Non Tradable Receipts* 22,918
1,586,208 Akbank T.A.S. 51,226
132,160 Migros Turk T.A.S. 129,033
17,700 Turkiye Is Bankasi, Series C 715
8,374,730 Yapi Ve Kredi Bankasi 213,850
-----------
417,742
-----------
Venezuela - 0.39%
3,000 Compania Anonima Telefonos De Venezula, ADR 75,000
-----------
Zimbabwe - 0.26%
65,000 NMBZ Holdings, Ltd.* 50,375
-----------
Total Common Stocks 16,983,938
(Cost $20,083,398) -----------
PREFERRED STOCKS - 2.57%
Brazil -2.57%
2,320 Centrais Geradoras DO ADR, Series B* 15,950
315,000 Petroleo Brasileiro S.A., ADR 58,558
665,000 Telec De Sao Paulo S.A. 156,396
252,000 Telepar 63,188
665,000 Telesp Celular S.A. Series B 55,199
26,700 Usinas Siderurgicas, Sponsored ADR 140,174
-----------
Total Preferred Stocks 489,465
(Cost $582,351) -----------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATION (A) - 6.56%
Federal National Mortgage Association
$1,250,000 5.44%, 07/06/98 $ 1,249,056
------------
Total U.S. Government Agency Obligation 1,249,056
(Cost $1,249,056) ------------
COMMERCIAL PAPER (A) - 0.36%
825,000,000 Sertifikat Bank of Indonesia/(1)/
4.87%, 07/03/98 68,107
------------
Total Commercial Paper 68,107
(Cost $68,107) ------------
Total Investments - 98.73% 18,790,566
(Cost $21,982,912) ------------
Net Other Assets and Liabilities - 1.27% 241,258
------------
Net Assets - 100.00% $ 19,031,824
============
- --------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
(B) Security exempt from registration under rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1998, this
security amounted to $78,530 or 0.41% of net assets.
/(1)/Par Value denominated in Indonesia Rupiahs. Market Value denominated in
U.S. dollars.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
GDR Global Depositary Receipt. A negotiable certificate held in the bank of one
country representing a specific number of shares of a stock traded on an
exchange of another country.
See Notes to Financial Statements.
F-3
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Industry Concentration of Common and Preferred Stocks
-----------------------------------------------------
as Percentage of Net Assets:
----------------------------
Finance 18.39%
Utilities 14.63
Food and Beverage 9.45
Telecommunications 7.94
Electronics 6.96
Building and Construction 6.06
Retail 5.38
Energy 5.24
Basic Materials 5.17
Diversified Operations 3.72
Chemicals and Drugs 2.37
Computers and Technology 2.26
Transportation 1.25
Business Services 1.24
Tobacco 0.91
Closed End Funds 0.82
Leisure and Entertainment 0.02
------
Total 91.81%
======
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $21,982,912. Net unrealized appreciation (depreciation) aggregated
$(3,192,346) of which $616,811 related to appreciated investment securities and
$(3,809,157) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $24,815,380
and $3,813,198 of non-governmental issuers, respectively.
See Notes to Financial Statements.
F-4
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 98.43%
Computers and Software - 16.79%
267,900 Apple Computer, Inc.* $ 7,685,381
176,800 Autodesk Inc. 6,828,900
244,800 BMC Software, Inc.* 12,714,300
253,600 Cadence Design Systems, Inc.* 7,925,000
168,800 Citrix Systems, Inc.* 11,541,700
178,900 Computer Task Group 5,993,150
162,100 Compuware Corp. 8,287,363
104,400 Comverse Technology, Inc.* 5,415,750
154,100 Dell Computer Corp.* 14,302,406
181,100 Information Management Resources 6,123,444
267,000 Learning Company, Inc.* 7,909,875
205,100 Paychex Inc. 8,345,006
212,000 PeopleSoft, Inc.* 9,964,000
118,300 Pomeroy Computer Resources, Inc. 3,083,194
290,478 Siebel Systems, Inc.* 9,367,916
-----------
125,487,385
-----------
Technology - 11.77%
169,800 Applied Power, Inc. 5,836,875
182,200 Avid Technology, Inc.* 6,103,700
445,200 DSP Communications* 6,121,500
164,400 EMC Corp.* 7,367,175
87,500 Microsoft Corp.* 9,482,813
177,336 Network Associates, Inc.* 8,489,961
298,000 Premisys Communications, Inc.* 7,412,750
351,200 Unisys Corp.* 9,921,400
202,100 Veritas DGC, Inc.* 7,788,550
130,900 VISX Inc.* 10,092,369
59,300 Yahoo!, Inc.* 9,339,750
-----------
87,956,843
-----------
Consumer Products - 10.29%
199,350 American Eagle Outfitters* 7,687,434
442,600 Burlington Industries, Inc.* 6,224,063
468,200 Best Buy Co., Inc.* 16,913,725
250,100 Intimate Brands, Inc. 6,893,381
139,800 Maytag Corp. 6,902,625
219,900 Nautica Enterprises, Inc.* 5,896,069
350,000 Safeskin Corp.* 14,393,750
90,800 Timberland Co. Class A* 6,531,925
249,700 Wolverline Worldwide Inc. 5,415,369
-----------
76,858,341
-----------
Retail - 8.83%
170,500 Costco Cos., Inc.* 10,752,156
290,700 Fingerhut Cos., Inc. 9,593,100
167,100 Fleming Cos., Inc. 2,934,694
248,200 Jones Apparel Group, Inc.* 9,074,813
113,300 Michaels Stores, Inc.* 3,997,366
364,200 Pier 1 Imports, Inc. 8,695,275
262,000 Ross Stores, Inc. 11,266,000
400,800 TJX Cos., Inc. 9,669,300
-----------
65,982,704
-----------
Finance - 8.43%
228,600 AmeriCredit Corp. $ 8,158,163
141,370 Bear Stearns Cos., Inc. 8,040,419
135,100 Capital One Financial Corp. 16,777,731
106,300 Equitable Cos., Inc. 7,965,856
132,900 Financial Security Assurance 7,807,875
219,300 Fidelity National Financial, Inc. 8,730,881
150,900 Mutual Risk Management, Ltd.* 5,498,419
-----------
62,979,344
-----------
Durable Goods - 8.36%
100,300 Arvin Industries, Inc. 3,642,144
137,700 Caterpillar, Inc. 7,280,888
282,000 CIBER, Inc.* 10,716,000
131,300 Dana Corp. 7,024,550
64,600 Federal-Mogul Corp. 4,360,500
152,700 Ingersoll-Rand Co. 6,728,344
40,900 Johnson Controls, Inc. 2,333,856
130,200 Ladd Furniture, Inc. 3,906,000
123,700 Tellabs, Inc.* 8,860,013
383,000 Varco International, Inc.* 7,588,188
-----------
62,440,483
-----------
Capital Goods - 5.57%
183,700 Fleetwood Enterprises 7,348,000
103,700 Manitowoc Inc. 4,186,888
190,400 McDermott International, Inc. 6,556,900
54,400 NACCO Industries, Inc., Class A 7,031,200
283,800 Navistar International Corp.* 8,194,725
82,500 Precision Castparts, Inc. 4,403,438
94,800 Trinity Industries, Inc. 3,934,200
-----------
41,655,351
-----------
Health Services - 4.45%
150,200 Allegiance Corp. 7,697,750
226,800 General Nutrition Cos., Inc.* 7,059,150
319,000 HBO & Co. 11,244,750
192,600 Integrated Health Services, Inc. 7,222,500
-----------
33,224,150
-----------
Consumer Service - 3.71%
218,100 AccuStaff, Inc.* 6,815,625
268,500 ACNielson Corp.* 6,779,625
268,600 FileNet Corp.* 7,755,825
192,000 Harte-Hanks, Inc. 4,956,000
26,100 Robert Half International, Inc.* 1,458,338
-----------
27,765,413
-----------
Chemicals and Drugs - 3.52%
129,200 Cooper Cos., Inc.* 4,707,724
247,300 Lyondell Petrochemical Co. 7,527,193
154,900 Medicis Pharmaceutical Corp., Class A* 5,653,850
171,200 Quintiles Transnational Corp.* 8,420,900
-----------
26,309,667
-----------
See Notes to Financial Statements.
F-5
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Electronics - 3.33%
300,700 Inter-Tel Inc. $ 4,811,200
58,100 Linear Technology Corp. 3,504,156
86,400 Sanmina Corp.* 3,747,600
80,000 Thomas & Betts Corp. 3,940,000
288,000 Vitesse Semiconductor Corp.* 8,892,000
-------------
24,894,956
-------------
Transportation Services - 2.29%
241,200 Airborne Freight Corp. 8,426,925
244,000 Hunt (J.B.) Transport Services, Inc. 8,692,500
-------------
17,119,425
-------------
Real Estate - 2.23%
284,000 Lennar Corp. 8,378,000
276,000 Pulte Corp. 8,245,500
-------------
16,623,500
-------------
Metals and Mining - 2.15%
613,300 Bethlehem Steel Corp.* 7,627,919
165,900 Fluor Corp. 8,460,900
-------------
16,088,819
-------------
Consumer Staples - 2.08%
209,800 Danaher Corp.* 7,697,037
235,500 Interstate Bakeries Corp. 7,815,655
-------------
15,512,692
-------------
Aerospace-Airlines - 1.94%
59,000 Continental Airlines, Inc., Class B* 3,591,624
85,300 Northwest Airlines Corp., Class A* 3,289,381
82,000 United Technologies Corp. 7,585,000
-------------
14,466,005
-------------
Food Services - 1.87%
355,500 Brinker International, Inc. 6,843,374
454,500 Buffets, Inc. 7,129,968
-------------
13,973,342
-------------
Recreational Equipment - 0.82%
78,500 Anchor Gaming* 6,093,563
-------------
Total Common Stocks 735,431,983
(Cost $563,594,887) -------------
Par Value
- ---------
COMMERCIAL PAPER (A) - 2.00%
$14,929,000 Merrill Lynch, Pierce, Fenner and Smith
6.10%, 07/01/98 14,929,000
-------------
Total Commercial Paper 14,929,000
Cost ($14,929,000) -------------
Shares
------
INVESTMENT COMPANIES - 0.07%
3,953 ILA Prime Obligation Money Market Fund 3,953
550,870 ILA Prime Obligation Portfolio Fund, Class B 550,870
-------------
Total Investment Companies 554,823
(Cost $554,823) -------------
Total Investments - 100.50% 750,915,806
-------------
(Cost $579,078,710)
Net Other Assets and Liabilities - (0.50)% (3,728,569)
-------------
Net Assets - 100.00% $747,187,237
=============
- ---------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $579,078,710. Net unrealized appreciation (depreciation) aggregated
$171,837,096 of which $196,225,708 related to appreciated investment securities
and $(24,388,612) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $397,042,028
and $361,074,789 of non-governmental issuers, respectively.
At June 30, 1998, the value of the securities loaned and the value of collateral
amounted to $109,045,807 and $109,199,150, respectively.
See Notes to Financial Statements.
F-6
<PAGE>
- -------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- -------------------------------------------------------------------------------
Value
Shares (Note 2)
- -------------------------------------------------------------------------------
COMMON STOCKS - 95.69%
Retail - 13.38%
119,000 AutoZone, Inc. $ 3,800,563
84,000 BJ's Wholesale Club, Inc. 3,412,500
92,000 Circuit City Stores Co. 4,312,500
277,000 Corporate Express, Inc. 3,514,438
55,000 Costco Cos., Inc. 3,468,438
89,000 General Nutrition Cos., Inc. 2,770,125
74,500 Gymboree Corp. 1,129,141
69,500 Henry Schein, Inc. 3,205,688
57,800 Kohl's Corp. 2,998,375
70,000 Meyer (Fred), Inc. 2,975,000
102,250 MSC Industrial Co., Class A 2,914,125
80,800 Shopko Stores, Inc. 2,747,200
--------------
37,248,093
--------------
Finance - 10.45%
70,000 ACE, Ltd. 2,730,000
87,000 AMRESCO, Inc. 2,533,875
43,400 Capital One Financial Corp. 5,389,738
59,000 Finova Group, Inc. 3,340,875
14,000 Heller Financial, Inc. 420,000
67,000 PartnerRe, Ltd. 3,417,000
79,000 Protective Life Corp. 2,898,313
108,000 Security Capital Group, Inc. 2,875,500
113,000 Waddell & Reed Financial, Inc., Class A 2,704,938
51,500 Franklin Resources, Inc. 2,781,000
--------------
29,091,239
--------------
Business Services - 10.21%
8,800 AccuStaff, Inc. 275,000
26,000 Acxiom Corp. 648,375
20,300 ADVO, Inc. 572,206
44,800 Catalina Marketing Corp. 2,326,800
38,500 Cendant Corp. 803,688
70,000 Checkfree Holdings Corp. 2,060,625
86,000 Corrections Corp. of America 2,021,000
117,000 Iterim Services Co. 3,758,625
72,600 National Data Corp. 3,176,250
75,800 NOVA Corp. 2,709,850
185,775 Outdoor Systems, Inc. 5,201,700
47,900 Romac International, Inc. 1,454,963
70,000 Sterling Commerce Corp. 3,395,000
--------------
28,404,082
--------------
Computers and Software - 8.30%
143,000 Affiliated Computer Services Corp., Class A 5,505,500
49,600 BMC Software, Inc 2,576,100
68,000 DST Systems, Inc. 3,808,000
29,400 Learning Company, Inc. 870,976
57,150 Networks Associates, Inc. 2,736,056
118,000 Renaissance Worldwide, Inc. 2,566,500
70,000 Security Dynamics Technology, Inc. 1,295,000
97,000 Sungard Data Systems, Inc. 3,722,375
--------------
23,080,507
--------------
Communications - 7.80%
75,800 Comcast Corp., Class A 3,077,006
59,000 Cox Communications Corp., Class A 2,857,813
47,000 Jacor Communications, Inc. 2,773,000
134,000 Omnipoint Corp. 3,073,625
232,000 Paging Network, Inc. 3,248,000
35,500 Vanguard Cellular Systems, Inc. 670,063
190,000 Western Wireless Corp Cia 3,788,125
59,200 Univision Communications, Inc. 2,205,200
--------------
21,692,832
--------------
Electronics - 7.77%
112,000 Analog Devices, Inc. 2,751,000
73,000 Anixter International, Inc. 1,391,563
123,000 Berg Electronics Corp. 2,406,188
85,500 Maxim Integrated Products, Inc. 2,709,281
70,000 Microchip Technology, Inc. 1,828,750
46,200 PMC Sierra, Inc. 2,165,625
73,000 Synopsys, Inc. 3,339,750
75,000 Teleflex, Inc. 2,850,000
64,000 Xilinx, Inc. 2,176,000
--------------
21,618,157
--------------
Chemicals and Drugs - 7.02%
32,400 Agouron Pharmaceuticals, Inc. 982,125
69,300 ALZA Corp. 2,997,225
75,000 Centocor, Inc. 2,718,750
154,000 Covance, Inc. 3,599,750
118,000 Dura Pharmaceuticals, Inc. 2,640,250
58,800 Great Lakes Chemical Corp. 2,318,925
28,000 Medimmune, Inc. 1,746,500
72,000 Teva Pharmaceutical Industries, Inc., ADR 2,533,500
--------------
19,537,025
--------------
Health Services - 6.92%
101,000 Biogen, Inc. 4,949,000
84,000 Gilead Sciences, Inc. 2,693,250
83,000 Omnicare, Inc. 3,164,375
119,000 Quorum Health Group, Inc. 3,153,500
23,000 Scherer (R.P.) Corp. 2,038,375
94,000 Total Renal Care Holdings, Inc. 3,243,000
--------------
19,241,500
--------------
Leisure-Entertainment - 5.33%
123,600 Galileo International, Inc. 5,569,725
62,000 Premier Parks, Inc. 4,107,500
64,815 Royal Caribbean Cruises, Ltd. 5,152,793
--------------
14,830,018
--------------
Food Services - 3.74%
59,000 Sodexho Mariott Services, Inc. 1,711,000
65,000 Suiza Foods Corp. 3,879,688
137,000 U.S. Foodservice, Inc. 4,803,563
--------------
10,394,251
--------------
See Notes to Financial Statements. F-7
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- -----------------------------------------------------------------------
Energy - 3.58%
48,000 Camco International, Inc. $ 3,738,000
31,800 Cooper Cameron Corp. 1,621,800
121,000 Ocean Energy, Inc. 2,367,063
64,000 Smith International, Inc. 2,228,000
------------
9,954,863
------------
Textiles - 2.39%
157,000 Warnaco Group, Inc., Class A 6,662,687
------------
Medical Equipment - 1.93%
120,000 Sybron International Corp. 3,030,000
51,000 U.S. Surgical Corp. 2,326,874
------------
5,356,874
------------
Consumer Staples - 1.45%
109,600 Danaher Corp. 4,020,950
------------
Aerospace - 1.33%
127,000 BE Aerospace, Inc. 3,698,875
------------
Metals/Mining - 1.22%
294,400 Battle Mountain Gold Co. 1,748,000
118,000 Cambior, Inc. 693,250
311,700 TVX Gold, Inc. 954,580
------------
3,395,830
------------
Restaurants - 1.12%
80,000 Outback Steakhouse, Inc. 3,120,000
------------
Utilities - 0.92%
51,800 USA Waste Services, Inc. 2,557,625
------------
Real Estate - 0.83%
102,000 Indymac Mortgage Holdings, Inc., REIT 2,320,500
------------
Total Common Stocks 266,225,908
(Cost $258,415,333) ------------
FOREIGN COMMON STOCK - 1.22%
Canada
8,700 Fairfax Financial Holdings, Ltd. 3,393,565
------------
Total Foreign Common Stock 3,393,565
(Cost $3,010,437) ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) - 3.19%
Federal Home Loan
Mortgage Corporation - 2.66%
$7,402,000 5.46%, 07/14/98 7,387,406
------------
Federal National
Mortgage Association - 0.53%
1,484,000 5.45%, 08/10/98 1,475,004
------------
Total U.S. Government Agency Obligations 8,862,410
(Cost $8,862,410) ------------
Total Investments - 100.10% 278,481,883
------------
(Cost $270,288,180)
Net Other Assets and Liabilities - (0.10)% (274,295)
------------
Net Assets - 100.00% $278,207,588
============
- --------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
REIT Real Estate Investment Trust.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $270,288,180. Net unrealized appreciation (depreciation) aggregated
$8,193,703, of which $23,942,507 related to appreciated investment securities
and $(15,748,804) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had a capital loss carryforward of
$1,543,496 which expires in 2004.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $308,449,637
and $293,832,402 of non-governmental issuers, respectively.
F-8 See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
SELECT VALUE OPPORTUNITY FUND
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- -------------------------------------------------------------------------------
Value
Shares (Note 2)
- ---------------------------------------------------------------------
COMMON STOCKS - 85.38%
Durable Goods - 21.70%
235,333 CommScope, Inc.* $ 3,809,452
180,200 Comsat Corp. 5,101,913
125,100 GTECH Holdings Corp.* 4,214,306
226,700 Hussmann International, Inc. 4,250,625
60,000 Kaydon Corp. 2,118,750
712,600 Laidlaw Environmental Services* 2,583,175
170,000 MascoTech, Inc. 4,080,000
90,000 Perkin-Elmer Corp. 5,596,875
253,700 Raychem Corp. 7,500,006
94,100 Thomas & Betts Corp. 4,634,425
151,800 UCAR International, Inc.* 4,430,663
129,000 Unifi, Inc. 4,418,250
------------
52,738,440
------------
Energy - 16.93%
75,000 Amerada Hess Corp. 4,073,437
73,500 Ashland, Inc. 3,794,438
115,000 Coastal Corp. 8,028,438
91,200 Columbia Energy Group 5,073,000
275,600 EEX Corp.* 2,583,750
264,000 MarketSpan Corp.* 7,903,500
233,606 Ocean Energy, Inc.* 4,569,917
184,216 Sempra Energy* 5,111,980
------------
41,138,460
------------
Finance - 9.83%
176,300 Golden State Bancorp, Inc. 5,244,925
161,300 Golden State Bancorp, Inc., Warrants* 856,905
13,500 Jefferson-Pilot Corp. 782,156
178,280 Sovereign Bancorp, Inc. 2,913,764
140,400 Torchmark Corp. 6,423,300
221,800 TrizecHahn Corp. 4,754,838
49,386 Union Planters Corp. 2,904,514
------------
23,880,402
------------
Consumer Products - 8.12%
229,200 Owens-Illinois, Inc.* 10,256,700
143,600 Snap-On, Inc. 5,205,500
122,100 World Color Press, Inc.* 4,273,500
------------
19,735,700
------------
Utilities - 5.58%
309,000 Cincinnati Bell, Inc. 8,845,125
135,900 Montana Power Co. 4,722,525
------------
13,567,650
------------
Building and Construction - 5.48%
134,600 Applied Power, Inc. 4,626,875
96,600 Dal-Tile International, Inc.* 947,888
121,100 Ingersoll-Rand, Co. 5,335,969
127,500 Walter Industries, Inc.* 2,414,531
------------
13,325,263
------------
Retail - 5.29%
214,500 Meyer (Fred), Inc. 9,116,250
110,200 Shopko Stores, Inc.* 3,746,800
------------
12,863,050
------------
Health Care - 5.27%
125,000 Allergan, Inc. 5,796,875
81,100 Vencor, Inc.* 587,975
86,900 Wellpoint Health Networks, Inc., Class A* 6,430,600
------------
12,815,450
------------
Technology - 4.17%
209,300 General Instrument Corp.* 5,690,344
336,200 National Semiconductor Corp.* 4,433,637
------------
10,123,981
------------
Consumer Staples - 2.08%
220,000 Whitman Corp. 5,046,250
------------
Metals and Mining - 0.93%
213,400 MacMillan Bloedel, Ltd. 2,267,375
------------
Total Common Stocks 207,502,021
------------
(Cost $187,944,152)
Par Value
- ---------
COMMERCIAL PAPER (A) - 6.98%
$1,000,000 Alliance & Leicester, Plc
5.95%, 07/06/98 999,174
500,000 Banc One Funding Corp.
5.48%, 07/06/98 499,619
2,500,000 Cargill Financial Services Corp.
5.65%, 07/07/98 2,497,646
3,000,000 Distribution Funding Corp.
5.80%, 07/08/98 2,996,617
2,000,000 Ford Motor Credit Corp.
5.64%, 07/01/98 2,000,000
2,000,000 International Business Machines Corp.
5.62%, 07/01/98 2,000,000
500,000 Merrill Lynch & Co., Inc.
5.50%, 09/08/98 494,630
500,000 Merrill Lynch & Co., Inc.
5.50%, 10/01/98 492,884
See Notes to Financial Statements. F-9
<PAGE>
- -------------------------------------------------------------------------------
SELECT VALUE OPPORTUNITY FUND
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- -------------------------------------------------------------------------------
Value
Par Value (Note 2)
- -----------------------------------------------------------------------
COMMERCIAL PAPER (continued)
$ 500,000 Merrill Lynch & Co., Inc.
5.50%, 01/04/99 $ 485,722
2,000,000 OGE Energy Corp.
5.70%, 07/02/98 1,999,683
2,500,000 Oyster Creek Fuel Corp.
5.75%, 07/06/98 2,498,003
--------------
Total Commercial Paper 16,963,978
--------------
(Cost $16,964,188)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 3.29%
U.S. Treasury Bills - 1.65%
2,000,000 4.70%, 07/02/98 1,999,739
2,000,000 4.74%, 07/09/98 1,997,893
--------------
3,997,632
--------------
Federal Home Loan
Mortgage Corporation - 1.64%
1,000,000 5.35%, 07/01/98 1,000,000
3,000,000 5.41%, 07/07/98 2,997,300
--------------
3,997,300
--------------
Total U.S. Government and
Agency Obligations 7,994,932
--------------
(Cost $7,994,932)
INVESTMENT COMPANIES - 4.43%
1,015,158 ILA Prime Obligation Money Market Fund 1,015,158
1,015,126 ILA Prime Obligation Portfolio Fund, Class B 1,015,126
402,500 John Hancock Bank and Thrift Opportunity Fund 4,804,844
391,600 Pilgrim America Prime Rate Trust 3,916,000
--------------
Total Investment Companies 10,751,128
--------------
(Cost $9,314,752)
Total Investments - 100.08% 243,212,059
--------------
(Cost $222,218,024)
Net Other Assets and Liabilities - (0.08)% (185,702)
--------------
Net Assets - 100.00% $ 243,026,357
==============
- -------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $222,218,024. Net unrealized appreciation (depreciation) aggregated
$20,994,035 of which $31,545,887 related to appreciated investment securities
and $(10,551,852) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $594,977.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $110,131,642
and $88,524,545 of non-governmental issuers, respectively.
F-10 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 93.74%
Australia - 4.58%
656,320 National Australia Bank, Ltd. $ 8,677,849
1,373,000 News Corp., Ltd. 11,233,182
1,062,800 Telstra Corp. 2,731,296
-------------
22,642,327
-------------
Canada - 0.52%
42,550 Royal Bank of Canada 2,558,985
-------------
Denmark - 0.46%
23,770 Tele Danmark 2,283,747
-------------
France - 6.13%
29,211 Alcatel Alsthom 5,947,820
44,240 Axa 4,975,966
57,180 Michelin, Class B 4,061,670
16,570 Total SA, Class B 9,159,188
28,845 Vivendi 6,159,567
-------------
30,304,211
-------------
Germany - 8.91%
2,799 Bayerische Motoren Werke (BMW) AG 2,826,787
63,580 Bayerische Motoren Werke (BMW) AG (New) 835,032
63,580 Bayerische Vereinsbank AG 5,412,639
124,595 Hoechst AG 6,225,949
183,650 Mannesmann AG 18,649,168
99,220 Veba AG 6,768,377
4,873 Viag AG 3,297,133
-------------
44,015,085
-------------
Hong Kong - 1.04%
210,600 HSBC Holdings 5,150,839
-------------
Ireland - 0.13%
218,900 Smurfit (Jefferson) Group 651,268
-------------
Italy - 2.00%
365,835 ENI 2,398,750
1,015,900 Telecom Italia 7,481,667
-------------
9,880,417
-------------
Japan - 12.77%
523,000 Canon, Inc. 11,914,733
233,000 Dai Nippon Printing Co., Ltd. 3,732,516
202,000 Honda Motor Co., Ltd. 7,216,894
281,000 Kao Corp. 4,349,027
22,700 Keyence Corp. 2,478,990
107,000 Murata Manufacturing Co., Ltd. 3,482,317
44,000 Rohm Co., Ltd. 4,534,606
264,000 Shiseido Co., Ltd. 3,009,069
146,200 Sony Corp. 12,635,351
365,000 Takeda Chemical Industries, Ltd. 9,740,725
-------------
63,094,228
-------------
Malaysia - 0.22%
349,000 Hume Industries, Berhad 262,365
1,181,200 Sime-Darby, Berhad 813,983
-------------
1,076,348
-------------
Mexico - 0.31%
811,700 Grupo Financiero Banamex, Series B* 1,537,492
-------------
Netherlands - 9.60%
181,762 ABN-Amro Holdings 4,256,449
283,495 Elsevier, NV 4,281,749
314,292 ING Groep, NV 20,595,624
91,525 Kloninklijke Ahold NV 2,940,291
129,160 Kloninklijke KPN NV 4,975,391
69,650 Kloninklijke Numico NV 2,182,720
88,380 Royal Dutch Petroleum 4,904,565
129,160 TNT Post Group NV* 3,304,219
-------------
47,441,008
-------------
Philippines - 0.20%
748,130 San Miguel, Class B 986,742
-------------
Portugal - 0.31%
64,542 Electricidade De Portugal 1,501,318
-------------
Singapore - 2.04%
673,000 City Developments, Ltd. 1,885,199
822,900 Development Bank of Singapore 4,566,240
436,600 Fraser and Neave, Ltd., Ord 1,176,358
367,233 Singapore Press 2,462,748
-------------
10,090,545
-------------
Spain - 1.80%
315,620 Banco De Santander 8,078,308
17,350 Telefonica 802,162
-------------
8,880,470
-------------
Switzerland - 13.04%
3,772 Alusuisse Lonza Holdings, REGD 4,792,530
6,849 Nestle SA 14,681,275
8,971 Novartis AG 14,952,654
656 Roche Holdings AG 6,452,566
5,779 Schweiz Ruckverisch, REGD 14,639,268
23,860 UBS AG, REGD 8,886,641
-------------
64,404,934
-------------
Thailand - 0.29%
1,155,000 Bangkok Bank Public Co., Ltd. 1,423,223
-------------
United Kingdom - 29.39%
471,050 Barclays Bank, Plc 13,590,930
1,285,150 B.A.T. Industries, Plc 12,874,889
517,000 Cable & Wireless, Plc 6,284,350
360,030 Cadbury Schweppes, Plc 5,575,593
666,040 Diageo, Plc 7,895,817
381,050 Glaxo Wellcome, Plc 11,445,943
See Notes to Financial Statements.
F-11
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
United Kingdom (continued)
541,850 Granada Group, Plc $ 9,970,091
209,360 Kingfisher, Plc 3,373,335
821,650 Ladbroke Group, Plc 4,513,581
728,650 Lloyds TSB Group, Plc 10,201,416
124,460 National Westminster, Plc 2,225,654
753,900 Prudential Corp., Plc 9,938,122
588,300 Safeway, Plc 3,855,467
212,900 Scottish Power, Plc 1,866,265
1,128,550 Shell Transportation & Trading, Plc 7,951,914
379,700 Siebe, Plc 7,588,801
545,750 TI Group, Plc 4,146,136
905,650 Vodafone Group, Plc 11,500,005
242,650 Zeneca Group Ord 10,420,527
-------------
145,218,836
-------------
Total Common Stocks 463,142,023
(Cost $367,118,184) -------------
PREFERRED STOCK - 0.22%
153,835 News Corp., Ltd. (Australia) 1,092,441
-------------
Total Preferred Stock 1,092,441
(Cost $632,568) -------------
INVESTMENT COMPANIES - 6.22%
7,499,118 Federated Investors 7,499,118
10,217,477 ILA Prime Obligation Portfolio Fund, Class B 10,217,477
13,015,168 SSgA Prime Money Market Fund 13,015,168
-------------
Total Investment Companies 30,731,763
(Cost $30,731,763) -------------
Total Investments - 100.18% 494,966,227
(Cost $398,482,515) -------------
Net Other Assets and Liabilities - (0.18)% (887,549)
-------------
Net Assets - 100.00% $ 494,078,678
=============
- -------------------------------------------------
* Non income producing security.
- --------------------------------------------------------------------------------
Industry Concentration of Common and Preferred Stocks
- -----------------------------------------------------
as Percentage of Net Assets:
---------------------------
Finance 16.54%
Chemicals and Drugs 14.96
Banking 9.10
Telecommunications 8.24
Durable Goods 7.34
Electronics 5.05
Consumer Goods and Services 4.98
Energy 4.66
Food and Beverage 4.39
Business Services 3.02
Transportation 2.97
Utilities 2.80
Tobacco 2.61
Publishing 2.12
Basic Materials 1.98
Retail 1.28
Agriculture 1.01
Leisure and Entertainment 0.91
-------
Total 93.96%
=======
See Notes to Financial Statements.
F-12
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
- ----------- ------------ ---------- ------------ ------------ --------------
<C> <S> <C> <C> <C> <C>
20,142,000 CHF 07/07/98 $ 13,308,614 $ 13,290,883 $ (17,731)
7,542,000 CHF 07/31/98 4,996,569 5,114,607 118,038
7,208,000 CHF 08/13/98 4,781,425 4,935,296 153,871
10,865,000 DEM 07/17/98 6,031,886 6,065,427 33,541
7,690,000 DEM 09/25/98 4,287,217 4,315,085 27,868
3,594,000 GBP 07/27/98 5,991,917 5,968,376 (23,541)
697,645,000 JPY 07/13/98 5,054,751 5,432,103 377,352
669,603,000 JPY 08/18/98 4,878,569 5,049,796 171,227
647,730,000 JPY 08/28/98 4,725,985 4,765,524 39,539
665,622,000 JPY 09/16/98 4,869,934 4,671,033 (198,901)
------------ ------------ -------------
$ 58,926,867 $ 59,608,130 $ 681,263
============ ============ =============
</TABLE>
- --------------------------------
CHF Swiss Francs
DEM Deutsche Marks
GBP British Pounds
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $398,482,515. Net unrealized appreciation (depreciation) aggregated
$96,483,712, of which $126,550,124 related to appreciated investment securities
and $(30,066,412) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $78,209,900
and $64,956,814 of non-governmental issuers, respectively.
At June 30, 1998, the value of the securities loaned and the value of collateral
amounted to $31,307,212 and $32,910,960, respectively.
See Notes to Financial Statements.
F-13
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 97.09%
Finance - 19.24%
123,000 American Express Co. $ 14,022,000
75,350 American International Group, Inc. 11,001,100
42,700 Associates First Capital Corp. 3,282,563
172,700 BankAmerica Corp. 14,927,756
67,400 Chase Manhattan Corp. 5,088,700
94,350 Comerica, Inc. 6,250,688
123,600 Conseco, Inc. 5,778,300
92,000 Equitable Cos. 6,894,250
166,000 Federal Home Loan Mortgage Corp. 7,812,375
76,500 Fifth Third Bancorp 4,819,500
226,600 MBNA Corp. 7,477,800
21,300 Morgan (JP) & Co. 2,494,763
100,700 Morgan Stanley, Dean Winer, Discover and Co. 9,201,463
79,900 Norwest Corp. 2,986,263
48,450 SouthTrust Corp. 2,107,575
100,000 SunAmerica, Inc. 5,743,750
310,800 Travelers Group, Inc. 18,842,250
------------
128,731,096
------------
Durable Goods - 13.14%
214,300 BMC Software, Inc.* 11,130,206
314,900 CBS Corp. 9,998,075
48,100 Cooper Cameron Corp.* 2,453,100
211,900 General Electric Co. 19,282,900
178,600 Ingersoll-Rand Co. 7,869,563
92,600 Office Depot, Inc.* 2,922,688
103,400 PeopleSoft, Inc.* 4,859,800
97,300 Tellabs, Inc.* 6,969,112
356,100 Tyco International, Ltd. 22,434,300
------------
87,919,744
------------
Retail - 12.75%
198,800 Costco Cos., Inc.* 12,536,825
361,700 CVS Corp. 14,083,693
201,400 Dayton-Hudson Corp. 9,767,900
91,800 Home Depot, Inc. 7,625,138
53,900 Meyer (Fred), Inc.* 2,290,750
171,900 Safeway, Inc. * 6,994,181
330,800 TJX Cos., Inc. 7,980,550
186,800 Walgreen Co. 7,717,175
268,800 Wal-Mart Stores, Inc. 16,329,600
------------
85,325,812
------------
Technology - 12.20%
93,800 Cisco Systems* 8,635,462
162,300 Computer Associates International, Inc 9,017,794
106,900 Compuware Corp.* 5,465,263
41,900 Dell Computer Corp.* 3,888,844
175,500 EMC Corp.* 7,864,593
176,600 Lucent Technologies, Inc. 14,690,913
177,300 Microsoft Corp.* 19,214,888
150,400 Parametric Technology Corp.* 4,079,600
116,300 Pitney Bowes, Inc.* 5,596,937
37,000 Western Atlas, Inc. 3,140,375
------------
81,594,669
------------
Chemicals and Drugs - 11.77%
115,300 Bristol-Myers Squibb Co. 13,252,293
37,400 Clorox Co. 3,567,024
124,100 Lilly (Eli) & Co. 8,198,356
51,500 Merck & Co., Inc. 6,888,125
129,800 Pfizer, Inc. 14,107,638
67,100 Quintiles Transnational Corp.* 3,300,481
133,700 Schering-Plough Corp. 12,250,262
247,200 Warner-Lambert Co. 17,149,500
------------
78,713,679
------------
Communications - 7.80%
39,800 AON Inc. 4,218,800
96,600 Airtouch Communications, Inc.* 5,645,063
153,900 AT&T Corp. 8,791,538
73,100 Northern Telecom Ltd. 4,148,425
126,100 Sprint Corp. 8,890,050
302,500 Tele-Communications, Inc., TCI Venture* 6,068,906
203,400 Tele-Communications, Inc. Class A, Liberty Media* 7,818,187
135,700 WorldCom, Inc. 6,572,969
------------
52,153,938
------------
Consumer Products - 4.50%
75,600 Colgate-Palmolive Co. 6,652,800
108,600 Jones Apparel Group, Inc.* 3,970,687
76,200 Lauder (Estee) Cos., Inc., Class A 5,310,188
22,100 McKesson Corp. 1,795,625
72,600 Owens Illinois Inc.* 3,248,850
100,000 Procter & Gamble Co. 9,106,250
------------
30,084,400
------------
Health Services - 3.26%
60,500 Cardinal Health, Inc. 5,671,875
293,000 HBO & Co. 10,328,250
218,800 HEALTHSOUTH Corp.* 5,839,225
------------
21,839,350
------------
Printing and Publishing - 3.04%
195,900 Gannett Co., Inc. 13,921,145
75,400 Time Warner, Inc. 6,441,988
------------
20,363,133
------------
Business Services - 2.10%
394,500 Cendant Corp.* 8,235,187
95,900 Interpublic Group of Companies, Inc. 5,819,931
------------
14,055,118
------------
See Notes to Financial Statements.
F-14
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Food and Beverage - 1.83%
198,100 Coca-Cola Enterprises, Inc. $ 7,775,425
80,200 Sara Lee Corp. 4,486,187
------------
12,261,612
------------
Hotels-Leisure - 1.77%
211,800 Carnival Corp., Class A 8,392,574
106,100 Marriott International, Inc., Class A 3,434,988
------------
11,827,562
------------
Energy - 1.13%
106,000 Exxon Corp. 7,559,125
------------
Building and Construction - 0.92%
101,900 Masco Corp. 6,164,950
------------
Aerospace/Airlines - 0.82%
66,100 AMR* 5,502,825
------------
Utilities - 0.82%
111,100 USA Waste Services, Inc.* 5,485,563
------------
Total Common Stocks 649,582,576
------------
Cost ($464,531,741)
Par Value
- ---------
U.S. GOVERNMENT OBLIGATIONS - 0.60%
U.S. Treasury Notes - 0.60%
$2,000,000 6.75%, 05/31/99 2,021,250
1,000,000 6.88%, 07/31/99 1,013,750
1,000,000 5.63%, 12/31/99 1,001,250
------------
Total U.S. Government Obligations 4,036,250
------------
Cost ($4,043,906)
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CORPORATE BOND - 0.15%
$1,000,000 Associates Corp. of North America
6.38%, 08/15/99 $ 1,003,724
------------
Total Corporate Bond 1,003,724
------------
Cost ($1,006,090)
COMMERCIAL PAPER (A) - 0.93%
3,200,000 BBL North America, Inc.
6.32%, 07/01/98 3,200,000
3,000,000 Republic Industrial Funding
5.58%, 07/13/98 2,994,420
------------
Total Commerical Paper 6,194,420
Cost ($6,194,420) ------------
Shares
- ------
INVESTMENT COMPANIES - 1.00%
4,145 ILA Prime Obligation Portfolio Fund, Class B 4,145
6,712,003 SSgA Prime Money Market Fund 6,712,003
------------
Total Investment Companies 6,716,148
------------
Cost ($6,716,148)
Total Investments - 99.77% 667,533,118
Cost ($482,492,305) ------------
Net Assets and Other Liabilities - 0.23% 1,538,727
------------
Net Assets - 100.00% $669,071,845
============
- ------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $482,492,305. Net unrealized appreciation (depreciation) aggregated
$185,040,813 of which $194,269,716 related to appreciated investment securities
and $(9,228,903) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $5,885,274.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $271,699,399
and $211,241,951 of non-governmental issuers, respectively, and $20,352,537 and
$8,100,508 of U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
F-15
<PAGE>
- --------------------------------------------------------------------------------
SELECT STRATEGIC GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 90.79%
Consumer Products - 12.78%
9,200 Budget Group, Inc., Class A* $ 293,825
2,600 Bandag, Inc. 101,400
6,100 Crown Cork & Seal, Inc. 289,750
3,800 Office Depot, Inc.* 119,938
6,000 Philip Morris Cos., Inc. 236,250
3,400 Warnaco Group, Class A 144,288
------------
1,185,451
------------
Durable Goods - 12.01%
4,600 Adobe Systems, Inc. 195,213
2,800 Cooper Industries, Inc. 153,825
3,000 Lear Corp.* 153,938
4,700 Millipore Corp. 128,075
7,500 Raychem Corp. Del 221,719
6,300 Trinity Industries, Inc. 261,450
------------
1,114,220
------------
Business Services - 11.93%
7,700 Electronic Data Systems Co. 308,000
6,000 Equifax, Inc. 217,875
3,000 Reuters Group Plc, Sponsored ADR 205,500
6,300 Sabre Group Holding, Inc. 239,400
5,700 Wallace Computer Services, Inc. 135,375
------------
1,106,150
------------
Energy - 10.85%
3,400 Barrett Resources Corp.* 127,288
4,200 Camco International, Inc. 327,075
11,000 R & B Falcon Corp.* 248,875
6,800 Transocean Offshore, Inc. 302,600
------------
1,005,838
------------
Technology - 10.05%
7,600 Communications Satellite Corp. 215,175
18,500 Novell, Inc.* 235,875
6,000 Sun Microsystems, Inc.* 260,625
12,290 Vishay International, Inc.* 220,452
------------
932,127
------------
Finance - 7.64%
6,800 Everest Reinsurance Holdings, Inc. 261,375
10,400 HCC Insurance Holdings, Inc. 228,800
9,100 Pacific Century Financial Corp. 218,400
------------
708,575
------------
Retail - 7.50%
76 Abercrombie & Fitch Co.* 3,344
12,500 Eagle Hardware & Garden, Inc.* 289,062
5,600 Limited, Inc. 185,500
5,000 Neiman Marcus Group* 217,187
------------
695,093
------------
Chemicals and Drugs - 5.29%
8,600 Mallinckrodt, Inc. $ 255,313
6,400 St. Jude Medical, Inc.* 235,600
------------
490,913
------------
Healthcare - 3.25%
11,800 Genzyme Corp. 301,637
------------
Metal and Mining - 2.89%
15,300 De Beers Consolidated Mines, ADR 267,750
------------
Building and Construction - 2.20%
5,000 Owens Corning 204,062
------------
Utilities - 1.97%
12,500 Western Gas Resources, Inc. 182,812
------------
Food Services - 1.61%
9,400 Darden Restaurants, Inc. 149,224
------------
Industrial Services - 0.82%
18,400 Philip Services Corp.* 75,900
------------
Total Common Stocks 8,419,752
(Cost $8,507,800) ------------
Par Value
- ---------
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) - 8.08%
Federal National Mortgage Association - 8.08%
$ 750,000 5.44%, 07/06/98 749,433
------------
Total U.S. Government
Agency Obligations 749,433
(Cost $749,433) ------------
Total Investment - 98.87% 9,169,185
------------
(Cost $9,257,233)
Net Other Assets and Liabilities - 1.13% 104,777
------------
Net Assets - 100.00% $ 9,273,962
============
- -------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held
in U.S. banks entitling the shareholder to all dividends and capital
gains.
See Notes to Financial Statements.
F-16
<PAGE>
- --------------------------------------------------------------------------------
SELECT STRATEGIC GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $9,257,233. Net unrealized appreciation (depreciation) aggregated $(88,048)
of which $603,899 related to appreciated investment securities and $(691,947)
related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $8,940,757
and $383,871 of non-governmental issuers, respectively.
See Notes to Financial Statements.
F-17
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 92.01%
Finance - 15.95%
404,700 ACE, Ltd. $15,783,300
227,300 Aetna Life & Casualty Co. 17,303,213
99,400 Bank of New York Co., Inc. 6,032,337
32,900 Citicorp 4,910,325
157,100 EXEL, Ltd. 12,224,343
164,100 First Union Corp 9,558,825
119,600 NationsBank Corp. 9,149,400
136,900 PartnerRE, Ltd. 6,981,900
291,700 TIG Holdings, Inc. 6,709,100
79,600 Tokio Marine & Fire
Insurance Co., Sponsored ADR 4,049,650
-----------
92,702,393
-----------
Technology - 10.34%
96,800 AirTouch Communications, Inc.* 5,656,750
311,938 Globalstar Telecommunications, Ltd. 8,422,326
123,500 Hewlett-Packard Co. 7,394,563
126,900 International Business Machines Corp. 14,569,706
302,800 Loral Space & Communications, Ltd. 8,554,100
60,500 Philips Electronics 5,142,500
177,100 Texas Instruments, Inc. 10,327,144
-----------
60,067,089
-----------
Aerospace-Airlines - 9.10%
116,400 AMR Corp.* 9,690,300
84,500 Lockheed Martin Corp. 8,946,438
104,700 Northrop Corp. 10,797,188
179,400 Sundstrand Corp. 10,270,650
142,400 United Technologies Corp. 13,172,000
-----------
52,876,576
-----------
Energy - 8.94%
90,300 Amerada Hess Corp. 4,904,419
102,400 Chevron Corp. 8,505,600
567,248 MarketSpan Corp. 16,981,987
309,310 Sempra Energy 8,583,345
362,800 Unocal Corp. 12,970,100
-----------
51,945,451
-----------
Chemicals and Drugs - 8.35%
24,000 Air Products & Chemicals, Inc. 960,000
119,200 duPont (E.I.) deNemours & Co. 8,895,300
104,300 Genentech, Inc.* 7,079,363
183,100 Lilly Eli & Co. 12,096,043
133,800 Monsanto Co. 7,476,075
106,700 Pfizer, Inc. 11,596,956
72,000 Rhone-Poulenc SA, Sponsored ADR
(Warrants), exp. 11/05/01 459,000
-----------
48,562,737
-----------
Consumer Products - 7.05%
138,000 Anheuser-Busch Cos., Inc. $ 6,511,875
127,100 General Mills, Inc. 8,690,463
329,700 Ikon Office Solutions, Inc. 4,801,256
176,200 Kimberly-Clark Corp. 8,083,175
178,600 Philip Morris Cos., Inc. 7,032,375
142,700 Seagram Co., Ltd. 5,841,781
-----------
40,960,925
-----------
Consumer Staples - 6.80%
250,600 Black & Decker Corp. 15,286,600
260,500 Fortune Brands, Inc. 10,012,969
173,300 Minnesota Mining & Manufacturing Co. 14,243,094
-----------
39,542,663
-----------
Utilities - 4.54%
191,360 Bell Atlantic Corp. 8,730,800
58,800 Consolidated Edison Co. of New York 2,708,475
218,900 Potomac Electric Power 5,486,181
227,500 Texas Utilities Co. 9,469,688
-----------
26,395,144
-----------
Manufacturing - 2.97%
19,300 FMC, Corp.* 1,316,019
356,300 Owens-Illinois, Inc.* 15,944,425
-----------
17,260,444
-----------
Entertainment - 2.92%
231,500 MediaOne Group, Inc. 10,171,531
102,500 Premier Parks, Inc.* 6,790,625
-----------
16,962,156
-----------
Durable Goods - 2.71%
115,200 General Electric Co. 10,483,200
109,300 Rockwell International Corp. 5,253,231
-----------
15,736,431
-----------
Metals and Mining - 2.70%
259,100 Allegheny Teledyne, Inc. 5,926,913
179,300 Getchell Gold Corp.* 2,689,500
251,000 Inland Steel Industries, Inc. 7,075,063
-----------
15,691,476
-----------
Printing and Publishing - 2.62%
221,500 Tribune Co. 15,241,980
-----------
Business Services - 2.53%
440,800 First Data Corp. 14,684,150
-----------
Automotive - 1.61%
1 Meritor Automotive 24
171,300 TRW, Inc. 9,357,263
-----------
9,357,287
-----------
See Notes to Financial Statements.
F-18
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Retail - 1.15%
110,500 Wal-Mart Stores, Inc. $ 6,712,875
------------
Packaging - 1.14%
180,138 Sealed Air Corp.* 6,620,056
------------
Paper and Forest - 0.47%
258,800 MacMillan Bloedel, Ltd. 2,749,750
------------
Health Services - 0.12%
9,800 Johnson & Johnson 722,750
------------
Total Common Stocks 534,792,333
(Cost $455,103,950) ------------
Par Value
- ---------
CORPORATE NOTES AND BONDS - 3.12%
$2,000,000 Associates Corp. of North America
6.38%, 08/15/99 2,007,448
1,000,000 Ford Motor Credit Corp., MTN
7.47%, 07/29/99 1,014,576
10,700,000 Hewlett-Packard Co., Convertible
3.39%, 10/14/17 (A) (B) 5,711,125
2,292,000 National Semiconductor Corp.
6.50%, 10/01/02 (A) 2,091,450
6,250,000 Roche Holdings, Inc.
5.43%, 05/06/12 (B) 2,988,311
5,150,000 Security CAP US Realty, Convertible
2.00%, 05/22/03 (A) 4,316,344
------------
Total Corporate Notes and Bonds 18,129,254
(Cost $18,120,959) ------------
Shares
------
PREFERRED STOCKS - 1.71%
30,100 AirTouch Communications, Inc., Class B* 1,452,325
43,400 Owens-Illinois, Inc.* 2,262,225
32,823 Sealed Air Corp. 1,378,545
105,200 Union Pacific Capital Trust 4,826,050
------------
Total Preferred Stocks 9,919,145
(Cost $9,575,982) ------------
Par Value
- ---------
U.S. GOVERNMENT OBLIGATIONS - 0.87%
U.S. Treasury Notes - 0.87%
$3,000,000 6.88%, 07/31/99 3,041,250
2,000,000 5.63%, 12/31/99 2,002,500
------------
Total U.S. Government Obligations 5,043,750
(Cost $5,045,547) ------------
ASSET-BACKED SECURITY - 0.04%
$ 220,089 Green Tree Lease Finance
5.91%, 01/20/99 $ 220,252
------------
Total Asset-Backed Security 220,252
(Cost $220,089) ------------
CERTIFICATE OF DEPOSIT (C) - 0.17%
1,000,000 National Bank of Canada
5.73%, 06/07/99 999,000
------------
Total Certificate of Deposit 999,000
(Cost $999,422) ------------
COMMERCIAL PAPER - 0.85%
3,000,000 Paine Webber Group
5.62%, 08/18/98 2,977,520
2,000,000 Republic Industries Funding Corp.
5.58%, 07/13/98 1,996,280
------------
Total Commercial Paper 4,973,800
(Cost $4,973,800) ------------
Shares
------
INVESTMENT COMPANY - 0.06%
340,574 SSgA Prime Money Market Fund 340,574
------------
Total Investment Company 340,574
(Cost $340,574) ------------
Total Investments - 98.83% 574,418,108
(Cost $494,380,323) ------------
Net Other Assets and Liabilities - 1.17% 6,776,344
------------
Net Assets - 100.00% $581,194,452
============
- ------------------------------------
* Non income producing security.
(A) Security 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, 1998, these
securities amounted to $12,118,919 or 2.09% of net assets.
(B) Zero coupon bond. Rate shown reflects effective yield to maturity.
(C) Effective Yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
MTN Medium Term Note
See Notes to Financial Statements.
F-19
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $494,380,323. Net unrealized appreciation (depreciation) aggregated
$80,037,785, of which $98,386,668 related to appreciated investment securities
and $(18,348,883) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $1,176,558.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $390,862,037
and $344,099,055 of non-governmental issuers, respectively, and $15,100,547 and
$12,083,672 of U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
F-20
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 46.01%
Government National
Mortgage Association (B) - 15.01%
$ 968,053 8.00%, 07/15/17 Aaa $ 1,017,980
96,826 8.00%, 11/15/17, # 780263 Aaa 101,864
710,152 7.00%, 07/15/23, # 326534 Aaa 723,077
294,708 7.00%, 11/15/23, # 370890 Aaa 300,072
324,873 7.00%, 02/15/24, # 366855 Aaa 330,870
338,054 7.00%, 07/15/24, # 352919 Aaa 344,295
290,765 8.00%, 11/15/25, # 419283 Aaa 301,529
106,296 7.50%, 02/15/26, # 420512 Aaa 109,252
277,296 8.00%, 05/15/26, # 421245 Aaa 287,345
193,905 8.00%, 07/15/26, # 436213 Aaa 200,932
267,059 8.00%, 08/15/26, # 432017 Aaa 276,737
95,353 7.50%, 06/15/27, # 447298 Aaa 97,996
1,962,098 8.00%, 07/15/27, # 447790 Aaa 2,033,302
615,780 8.00%, 09/15/27, # 448981 Aaa 638,127
265,116 8.00%, 09/15/27, # 449475 Aaa 274,737
874,392 7.50%, 10/15/27, # 430267 Aaa 898,621
340,291 8.00%, 10/15/27, # 430270 Aaa 352,640
678,020 8.00%, 10/15/27, # 430274 Aaa 702,626
126,612 7.50%, 10/15/27, # 460921 Aaa 130,120
869,203 7.50%, 11/15/27, # 448876 Aaa 893,288
4,800,000 7.00%, 07/15/28 (D) Aaa 4,876,463
4,775,000 8.00%, 07/15/28 (D) Aaa 4,945,109
-----------
19,836,982
-----------
Federal Home Loan
Mortgage Corporation (B) - 10.68%
4,775,000 5.46%, 07/20/98 (C) (E) Aaa 4,761,240
2,000,000 5.42%, 09/08/98 (C) Aaa 1,979,146
3,030,000 5.43%, 09/25/98 (C) Aaa 2,990,622
557,189 6.00%, 12/01/10, # E00411 Aaa 552,247
886,199 6.00%, 03/01/11, # E20228 Aaa 878,091
1,176,778 6.00%, 05/01/12, # G10691 Aaa 1,166,011
808,354 6.50%, 03/01/28, # D87134 Aaa 805,937
988,429 6.50%, 03/01/28, # D88041 Aaa 985,108
-----------
14,118,402
-----------
U.S. Treasury Bond (E) - 10.28%
7,750,000 8.13%, 08/15/19 Aaa 10,002,344
3,175,000 6.63%, 02/15/27 Aaa 3,586,759
-----------
13,589,103
-----------
Federal National
Mortgage Association (B) - 9.64%
3,300,000 5.43%, 09/28/98 (C) Aaa 3,255,618
187,048 6.00%, 03/01/03, # 303790 Aaa 186,596
516,992 6.00%, 01/01/11, # 334836 Aaa 511,780
873,472 6.00%, 03/01/11, # 303779 Aaa 864,781
223,904 7.00%, 07/01/23, # 50765 Aaa 227,471
1,250,000 8.00%, 07/25/23, REMIC Aaa 1,387,071
261,945 7.00%, 12/01/23, # 240476 Aaa 266,118
235,317 7.00%, 01/01/24, # 261764 Aaa 238,907
39,488 7.00%, 05/01/24, # 265289 Aaa 40,090
330,478 7.00%, 06/01/24, # 283173 Aaa 335,521
797,162 7.00%, 06/01/24, # 284717 Aaa 809,327
955,718 6.50%, 10/01/27, # 400976 Aaa 952,172
983,588 6.50%, 02/01/28, # 408825 Aaa 979,358
332,221 6.50%, 02/01/28, # 415390 Aaa 330,988
588,376 6.50%, 03/01/28, # 419506 Aaa 585,846
664,057 6.50%, 03/01/28, # 419932 Aaa 661,202
334,911 6.50%, 04/01/28, # 420881 Aaa 333,471
74,039 6.50%, 04/01/28, # 398335 Aaa 73,721
688,181 6.50%, 04/01/28, # 251697 Aaa 685,221
17,126 7.50%, 05/01/28, # G10691 Aaa 17,569
-----------
12,742,828
-----------
U.S. Treasury Strip - 0.40%,
975,000 4.21%, 08/15/09 (C) Aaa 523,458
-----------
Total U.S. Government and
Agency Obligations 60,810,773
-----------
(Cost $59,860,532)
CORPORATE NOTES AND BONDS - 35.08%
Finance - 8.70%
400,000 American Annuity Group
6.88%, 06/01/08 Baa 399,256
400,000 Franchise Finance Corp. of America
7.00%, 11/30/00 Baa 404,332
600,000 General Electric Capital Corp.
6.66%, 05/01/18 Aaa 608,414
725,000 Green Tree Financial Corp.
7.54%, 04/15/28 Aa 759,982
1,625,000 Green Tree Financial Corp.
7.53%, 07/15/28 Aa 1,719,520
650,000 Green Tree Financial Corp.
7.24%, 11/15/28 (F) AA- 676,767
850,000 Green Tree Financial Corp.
7.22%, 02/15/29 Aa 893,255
850,000 Green Tree Financial Corp.
6.95%, 05/15/29 Aa 871,862
125,000 Greyhound Financial Corp.
8.50%, 02/15/99 Baa 126,846
875,000 Homeside Lending, Inc., MTN
6.88%, 06/30/02 Baa 895,295
500,000 Integra Financial Corp.
6.50%, 04/15/00 A 504,998
800,000 Keystone Financial Mid-Atlantic
Funding Senior Note
7.30%, 05/15/04 Baa 840,351
625,000 Sears Roebuck Acceptance Corp.
Series II, MTN
6.69%, 04/30/01 A 634,941
See Notes to Financial Statements.
F-21
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Finance (continued)
$ 900,000 Susa Partnership, LP
8.20%, 06/01/17 Baa $ 1,009,921
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 Baa 486,240
750,000 Wharf Capital International, Ltd.
8.88%, 11/01/04 Baa 668,266
-----------
11,500,246
-----------
Real Estate - 5.65%
275,000 Avalon Properties, Inc.
Senior Note
7.38%, 09/15/02 Baa 285,805
300,000 Colonial Realty, LP, MTN
7.16%, 01/17/03 Baa 308,038
750,000 Colonial Realty, LP, MTN
6.96%, 07/26/04 Baa 764,599
400,000 ERP Operating, LP
8.50%, 05/15/99 (A) A 407,298
750,000 IRT Property Co.
7.25%, 08/15/07 Baa 775,133
900,000 JDN Realty Corp.
6.80%, 08/01/04 Baa 902,288
500,000 La Quinta Inns, Inc., MTN
7.11%, 10/17/01 Baa 510,756
650,000 Meditrust, REIT
7.82%, 09/10/26 Baa 675,285
450,000 Security Capital Industrial Trust
7.6250%, 07/01/17 Baa 483,238
500,000 Shopping Center Associates
6.75%, 01/15/04 (A) A 499,305
450,000 Spieker Properties, LP
6.65%, 12/15/00 Baa 454,061
750,000 Summit Properties, Inc.
7.20%, 08/15/07 Baa 769,257
625,000 Trinet Corporate Realty Trust, Inc.
7.30%, 05/15/01 Baa 639,728
-----------
7,474,791
-----------
Industrial - 4.74%
425,000 Abitibi-Consolidated,Yankee Debenture
7.40%, 04/01/18 Baa 438,760
650,000 Abitibi-Consolidated,Yankee Debenture
7.50%, 04/01/28 Baa 674,879
1,250,000 Blount, Inc.
7.00%, 06/15/05 Ba 1,230,463
1,500,000 Brascan Corp.
7.38%, 10/01/02 Baa 1,579,378
1,250,000 Cominco, Ltd.
6.88%, 02/15/06 Baa 1,270,931
1,075,000 Idex Corp., Senior Note
6.88%, 02/15/08 Ba 1,074,527
-----------
6,268,938
-----------
Banking - 4.31%
$ 375,000 BankBoston, Corp., MTN
6.37%, 04/15/08 A 375,804
1,350,000 BB&T Corp.
6.37%, 06/30/25 A 1,346,598
450,000 First USA Bank, MTN
5.75%, 01/15/99 Aa 449,842
400,000 First USA Bank, MTN
7.00%, 08/20/01 Aa 412,574
575,000 Key Bank, MTN
6.50%, 10/15/27 Baa 581,164
1,165,000 National Westminster Bank
7.48%, 04/29/49 Aa 1,255,841
400,000 St. George Bank, Ltd.
6.88%, 04/01/99 (A) A 402,664
875,000 Union Planters
6.50%, 03/15/18 Baa 877,389
-----------
5,701,876
-----------
Security Broker and Dealers - 2.21%
190,000 Bear Stearns Cos., Inc.
6.75%, 08/15/00 A 192,945
1,150,000 Goldman Sachs Group, LP
7.20%, 03/01/07 (A) A 1,213,391
575,000 Merrill Lynch & Co., Inc.
6.00%, 01/15/01 Aa 576,215
50,000 Salomon, Inc.
5.58%, 04/05/99 A 49,863
100,000 Salomon, Inc.
7.12%, 08/01/99 A 101,083
250,000 Salomon, Inc.
6.62%, 11/30/00 A 253,723
175,000 Salomon, Inc., Series D, MTN
6.82%, 07/26/99 A 176,483
350,000 Smith Barney Holdings, Inc.
7.87%, 10/01/99 A 357,512
-----------
2,921,215
-----------
Communications - 1.99%
625,000 Clear Channel Communications, Inc.
6.87%, 06/15/18 Baa 621,281
730,000 MCI Communications Corp., MTN
6.13%, 04/15/12 Baa 731,497
200,000 TCI Communications, Inc.
7.88%, 02/15/26 Baa 224,594
1,000,000 Tele-Communications, Inc.
7.13%, 02/15/28 Baa 1,051,823
-----------
2,629,195
-----------
See Notes to Financial Statements.
F-22
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Manufacturing - 1.52%
$ 775,000 Georgia-Pacific Corp.
9.95%, 06/15/02 Baa $ 790,237
375,000 Georgia-Pacific Corp.
7.25%, 06/01/28 Baa 379,263
425,000 Noranda Forest, Inc., Debenture
8.87%, 10/15/99 Baa 437,240
400,000 Scherer (R.P.) Corp., Senior Note
6.75%, 02/01/04 Ba 402,053
------------
2,008,793
------------
Insurance - 1.41%
600,000 Conseco, Inc.
6.80%, 06/15/05 Baa 600,660
800,000 Markel Corp.
7.25%, 11/01/03 Baa 835,961
400,000 USF&G Corp.
8.38%, 06/15/01 A 424,016
------------
1,860,637
------------
Business Services - 0.99%
1,400,000 Olsten Corp.
4.75%, 10/01/00 Ba 1,309,000
------------
Transportation - 0.76%
1,000,000 Wisconsin Central Transportation
6.63%, 04/15/08 Baa 1,001,674
------------
Energy - 0.73%
925,000 Canadian Occidental Petroleum
Yankee Bond
7.40%, 05/01/28 Baa 964,960
------------
Equipment - 0.67%
850,000 Toro Co.
7.80%, 06/15/27 Baa 890,003
------------
Merchandising and Retail - 0.62%
800,000 Great Atlantic & Pacific Tea Co., Inc.
7.70%, 01/15/04 Baa 815,985
------------
Entertainment/Leisure - 0.36%
450,000 Royal Caribbean Cruises, Ltd.
7.50%, 10/15/27 Baa 474,872
------------
Technology - 0.34%
450,000 Tyco International Group, Inc.
6.38%, 06/15/05 Baa 450,850
------------
Utilities - 0.08%
100,000 System Energy Resources, Inc.
7.63%, 04/01/99 Baa 100,886
------------
Total Corporate Notes and Bonds 46,373,921
------------
(Cost $46,292,961)
ASSET-BACKED SECURITIES - 16.87%
$ 325,287 Advanta Mortgage Loan Trust, Series 93-4
5.50%, 03/25/10 Aaa $ 318,343
1,200,000 AMRESCO Residential Mortgage Securities
6.45%, 03/25/27 Baa 1,227,840
1,270,566 Bear Stearns Mortgage Securities
6.75%, 04/30/30 Aa 1,271,240
1,000,000 Chase Commercial Mortgage Securities
7.60%, 06/18/06 (F) BBB- 1,020,940
700,000 Chase Commercial Mortgage Securities
7.37%, 05/19/27 (F) BBB 722,071
1,123,991 Citicorp Mortgage Securities
7.50%, 11/25/25 Baa 1,150,762
1,200,000 Contimortgage Home Equity Loan Trust
Class A 6.88%, 01/15/28 Aaa 1,229,208
925,000 EQCC Home Equity Loan Trust, Series 1996-4
6.89%, 01/15/28 Aaa 953,135
100,103 Fund America Investors Corp. II, 1993-F
5.40%, 09/25/09 Aaa 98,416
900,000 GMAC Commercial Mortgage Securities
7.09%, 11/15/10 Baa 915,471
637,460 Housing Securities, Inc.
6.50%, 07/25/09 (F) AAA 640,743
1,000,000 Merrill Lynch Mortgage Investors, Inc.
6.96%, 11/21/28 Aa 981,720
825,000 Merrill Lynch Mortgage Investors, Inc.
7.12%, 06/18/29 Aa 837,119
575,000 Mortgage Capital Funding, Inc.
7.90%, 02/15/06 (F) AAA 616,331
1,033,199 Norwest Asset Securities Corp.
6.75%, 02/25/13 Aaa 1,044,182
2,521,280 Norwest Asset Securities Corp.
6.50%, 04/25/13 Aaa 2,534,013
1,000,000 Oakwood Mortgage Investors, Inc.
7.33%, 02/15/28 Baa 1,013,280
700,000 Preferred Credit Corp.
7.59%, 07/25/26 Aaa 737,586
2,100,000 Residential Funding Mortgage Securities
6.50%, 02/25/13 (F) AAA 2,117,598
115,737 Resolution Trust Corp.
8.00%, 04/25/25 Baa 118,725
625,000 Resolution Trust Corp.
8.00%, 06/25/26 (F) A 637,306
275,000 Resolution Trust Corp.
6.90%, 02/25/27 A 274,486
234,398 Resolution Trust Corp.
7.45% 05/25/29 Baa 237,964
1,550,000 The Money Store Home Equity Trust, 1996-D
7.00%, 04/15/28 Aaa 1,595,600
12,154 UCFC Home Equity Loan Trust, 1994-B2
7.10%, 06/10/23 Aaa 12,396
------------
Total Asset-Backed Securities 22,306,475
------------
(Cost $20,843,142)
See Notes to Financial Statements.
- ------------------------------------------------------------
F-23
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares Moody's Ratings (Note 2)
- -------------------------------------------------------------------------------
INVESTMENT COMPANY - 4.20%
5,551,277 ILA Prime Obligation Portfolio Fund Class B Aaa $ 5,551,277
--------------
Total Investment Company 5,551,277
--------------
(Cost $5,551,277)
Par Value
- ---------
COMMERCIAL PAPER (C) - 1.51%
$1,000,000 General Electric Capital Corp.
5.50%, 07/29/98 (E) Aaa 995,722
1,000,000 J.P. Morgan & Co.
5.51%, 07/27/98 (F) A 996,021
--------------
Total Commercial Paper 1,991,743
--------------
(Cost $1,991,743)
Total Investments - 103.67% 137,034,189
--------------
(Cost $134,539,655)
Net Other Assets and Liabilities - (3.67)% (4,852,945)
--------------
Net Assets - 100.00% $ 132,181,244
==============
- ------------------------------------------------
(A) Security exempt form registration under rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt form
registration, to qualified institutional buyers. At June 30, 1998, these
securities amounted to $2,522,658 or 1.91% of net assets.
(B) Pass Through Certificates
(C) Effective yield at time of purchase.
(D) Forward Commitment
(E) Designated as Collateral on Forward Commitment
(F) Standard & Poor's ("S&P") credit ratings are used in the absence of a
rating by Moody's Investors, Inc.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $134,539,655. Net unrealized appreciation (depreciation) aggregated
$2,494,534, of which $2,769,471 related to appreciated investment securities and
$(274,937) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had capital loss carryforwards which
expire as follows: $570,218 in 2002; and $500,277 in 2004.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $26,481,698
and $15,084,312 from non-governmental issuers, respectively, and $71,679,901 and
$60,199,780 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:
Moody's Ratings S&P Ratings
Aaa 55.37% AAA 2.46%
Aa 7.32 AA 0.49
A 5.27 A 1.17
Baa 23.72 BBB 1.27
Ba 2.93
------ ------
94.61% 5.39%
====== ======
See Notes to Financial Statements.
F-24
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 32.13%
Finance - 16.81%
$3,165,000 Abbey National Treasury Services, Plc
6.50%, 12/21/98 $ 3,171,659
5,000,000 American Honda Finance Corp., MTN
5.66%, 10/23/98 (B) 5,000,172
2,000,000 Asset-Backed Capital Finance, Inc.
5.68%, 09/23/98 (B) * 2,000,000
1,000,000 Associates Corp.of North America
6.75%, 06/28/99 1,007,609
2,500,000 Avco Financial Service, Inc., MTN
5.63%, 11/17/98 * 2,500,000
3,000,000 Bell Atlantic Financial Services, MTN
5.30%, 09/01/98 2,997,548
3,500,000 CIT Group Holdings, Inc., Senior MTN
5.57%, 01/27/99 * 3,499,023
2,500,000 CIT Group Holdings, Inc., Senior MTN
6.20%, 06/17/99 2,510,370
1,000,000 Compass Auto Receivables Trust
5.66%, 07/15/99 1,000,000
700,000 Ford Motor Credit Co., MTN
8.21%, 03/16/99 711,722
4,000,000 General Motors Acceptance Corp., MTN
5.56%, 09/21/98 * 3,999,378
3,650,000 General Motors Acceptance Corp., MTN
5.70%, 02/09/99 3,647,458
1,500,000 Household Financial Corp., Ltd., Senior Note
7.13%, 04/30/99 1,515,319
2,500,000 New England Loan Marketing Corp., MTN
5.85%, 07/17/98 * 2,500,210
6,000,000 New England Loan Marketing Corp., MTN
5.83%, 09/18/98 * 6,002,431
1,000,000 PACCAR Financial Corp., MTN
6.46%, 05/19/99 1,005,662
2,250,000 Sears Roebuck Acceptance Corp., MTN
6.54%, 05/06/99 2,263,760
--------------
45,332,321
--------------
Security Brokers and Dealers - 7.67%
5,000,000 Bear Stearns Cos., Inc., Series B, MTN
5.66%, 08/25/98 * 5,000,000
2,000,000 Lehman Brothers Holdings, Inc., MTN
6.65%, 07/14/98 2,000,553
5,500,000 Paine Webber Group, Inc., MTN
5.75%, 11/04/98 * 5,500,000
1,000,000 Paine Webber Group, Inc., MTN
8.45%, 12/16/98 1,011,264
5,000,000 Paine Webber Group, Inc., MTN
5.75%, 03/10/99 * 5,000,000
1,164,000 Salomon-Smith Barney Holdings
5.50%, 01/15/99 1,161,979
1,000,000 Shearson-Lehman Holdings, Inc., MTN
6.08%, 07/08/98 1,000,054
--------------
20,673,850
--------------
Commercial Banks - 4.29%
$2,000,000 First Chicago Corp.
9.00%, 06/15/99 2,058,609
1,000,000 First Interstate Bancorp, Senior Subordinated Note
8.63%, 04/01/99 1,020,314
3,500,000 First Union National Bank, MTN
5.79%, 04/30/99 * 3,500,000
3,000,000 Key Bank N.A., MTN
5.76%, 01/14/99 * 2,999,563
1,000,000 Norwest Corp., Series G, MTN
6.00%, 10/13/98 1,000,116
1,000,000 Wells Fargo & Co., Euro-Dollar
5.81%, 07/31/98 * 1,000,070
--------------
11,578,672
--------------
Communication - 1.89%
2,000,000 MCI Communications Corp.
5.88%, 03/16/99 * 2,001,935
3,100,000 Nippon Telegraph & Telephone Corp.
9.50%, 07/27/98 3,107,607
--------------
5,109,542
--------------
Insurance - 0.90%
2,400,000 SunAmerica, Inc.
9.00%, 01/15/99 2,438,323
--------------
Utilities - 0.38%
1,000,000 Virginia Electric & Power Co., MTN, Series C
9.30%, 06/09/99 1,032,435
--------------
Retail - 0.19%
500,000 Sears Roebuck Co., Debenture
8.20%, 04/15/99 * 508,866
--------------
Total Corporate Notes and Bonds 86,674,009
--------------
(Cost $86,677,025)
U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.55%
Federal Home Loan Bank - 0.81%
2,200,000 5.78%, 05/14/99 2,198,806
--------------
Federal Farm Credit Bank (A) - 0.74%
2,000,000 5.50%, 08/12/98 1,987,167
--------------
Total U.S. Government
Agency Obligations 4,185,973
--------------
(Cost $4,185,973)
See Notes to Financial Statements.
F-25
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER - 48.17%
Finance - 23.56%
$ 6,500,000 Asset-Backed Capital Finance, Inc.
5.54%, 11/16/98 (C) $ 6,361,962
1,450,000 Budget Funding Corp.
5.57%, 07/09/98 (A) 1,448,194
2,250,000 China Merchants (Cayman), Inc.
5.55%, 08/26/98 (A) 2,230,575
3,000,000 Den Norske Stats Oljeselska
5.52%, 08/27/98 (A) 2,973,780
4,000,000 Harley-Davidson Dealer Funding Corp.
5.55%, 07/08/98 (A) 3,995,683
2,300,000 Harley-Davidson Dealer Funding Corp.
5.55%, 07/22/98 (A) 2,292,554
400,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 07/06/98 (A) 399,692
618,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 07/28/98 (A) 615,428
4,397,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 08/11/98 (A) 4,369,223
1,300,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 08/18/98 (A) 1,290,380
1,672,000 Jefferson Smurfit Finance Corp., Series B
5.54%, 08/25/98 (A) 1,657,848
5,000,000 Mitsubishi Motors Credit of America, Inc.
5.65%, 09/11/98 (A) 4,943,500
2,000,000 Pegasus Two, Ltd.
5.57%, 07/29/98 (C) 1,991,336
3,000,000 Pegasus Two, Ltd.
5.62%, 09/09/98 (C) 2,967,625
2,000,000 Prudential Funding Corp.
5.44%, 09/16/98 (A) 1,976,729
5,000,000 Republic Industrial Funding Corp.
5.54%, 07/22/98 (A) 4,983,842
3,000,000 Standard Credit Card Master Trust
5.53%, 07/14/98 (C) 2,994,009
1,700,000 Toshiba Capital (Asia) Corp.
5.77%, 08/14/98 (A) 1,688,011
1,000,000 Toshiba Capital (Asia) Corp.
5.75%, 09/01/98 (A) 990,097
1,500,000 Toshiba Capital (Asia) Corp.
5.77%, 10/06/98 (A) 1,476,680
3,000,000 Trident Capital Finance, Inc.
5.54%, 07/07/98 (C) 2,997,230
8,000,000 Westways Funding I, Ltd.
5.55%, 08/28/98 (C) 7,928,467
1,000,000 Westways Funding II, Ltd.
5.55%, 09/16/98 (C) 988,129
--------------
63,560,974
--------------
Banking- 8.19%
$ 1,225,743 BankBoston
5.41%, 07/20/98 (A) $ 1,222,244
1,500,000 Corestates Bank
5.45%, 09/08/98 (A) 1,484,331
3,000,000 Den Norske Bank
5.47%, 08/10/98 (A) 2,981,767
6,000,000 Den Norske Bank
5.51%, 08/18/98 (A) 5,955,920
1,087,872 European American Bank
5.51%, 07/15/98 (A) 1,085,583
6,500,000 Household International, Inc.
5.58%, 07/15/98 (C) 6,485,895
3,000,000 UniBanco - Grand Cayman
5.49%, 04/15/99 (A) 2,868,240
--------------
22,083,980
--------------
Securities Brokers and Dealers - 7.67%
2,000,000 Bear Stearns Co., Inc.
5.52%, 07/22/98 (A) 1,993,560
3,000,000 Bear Stearns Co., Inc.
5.51%, 11/24/98 (A) 2,932,962
6,000,000 BT Alex Brown, Inc.
5.47%, 12/16/98 (A) 5,846,560
1,500,000 Donaldson Lufkin & Jenrette, Inc.
5.75%, 07/27/98 (A) 1,493,771
5,000,000 Donaldson Lufkin & Jenrette, Inc.
5.67%, 08/12/98 (A) 4,966,983
3,500,000 Donaldson Lufkin & Jenrette, Inc.
5.66%, 09/23/98 (A) 3,453,777
--------------
20,687,613
--------------
Utilities - 4.05%
11,000,000 Electricity Corp. of New Zealand
5.62%, 08/11/98 (A) 10,929,617
--------------
Energy - 3.33%
9,000,000 Texaco, Inc.
5.46%, 07/16/98 (A) 8,979,525
--------------
Industry - 1.37%
3,765,000 Monsanto Co.
5.52%, 10/15/98 (C) 3,703,806
--------------
Total Commercial Paper 129,945,515
(Cost $129,945,515) --------------
See Notes to Financial Statements.
F-26
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 13.53%
$2,500,000 Bankers Trust Co.
5.92%, 07/17/98 $ 2,499,969
7,000,000 Barclays Bank Plc
5.67%, 12/16/98 6,999,765
3,000,000 Deutsche Bank Financial
5.95%, 10/26/98 2,999,541
5,000,000 First Tennessee Bank
5.75%, 01/22/99 5,000,000
4,500,000 National Bank of Canada
5.73%, 06/07/99 4,497,585
5,000,000 Sanwa Bank, Ltd., New York
5.97%, 09/30/98 5,000,124
6,500,000 Societe Generale, New York
5.77%, 09/11/98 6,499,836
3,000,000 Societe Generale, New York
5.97%, 09/15/98 3,000,060
------------
Total Certificates of Deposit 36,496,880
------------
(Cost $36,496,880)
REPURCHASE AGREEMENT - 3.71%
10,000,000 First Union Repurchase Agreement
6.65%, 7/1/98, Dated 6/30/98
Repurchase Price $10,001,847
(Collateralized by First Alliance
Mortgage Loan Trust
7.20%, Due 6/20/28,
Total Par $14,237,000;
Market Value $14,418,237) NR 10,000,000
------------
Total Repurchase Agreement 10,000,000
------------
(Cost $10,000,000)
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANY - 0.20%
525,796 SSgA Prime Money Market $ 525,796
------------
Total Investment Company 525,796
------------
(Cost $525,796)
Total Investments - 99.29% 267,828,173
------------
(Cost $267,828,173)
Net Other Assets and Liabilities - 0.71% 1,914,613
------------
Net Assets - 100.00% $269,742,786
============
- --------------------------------------------------------------------------------
* Variable rate security. The rate shown reflects rate in effect at
June 30, 1998.
(A) Effective yield at time of purchase.
(B) Security exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold, in transactions exempt from
registration, to qualified, institutional buyers. At June 30, 1998,
these securities amounted to $7,000,172 or 2.60% of net assets.
(C) Security exempt from registration under section 4(2) of the Securities
Act of 1933, as amended. This security may be resold to qualified
institutional buyers. At June 30, 1998, these securities amounted to
$36,418,459 or 13.50% of net assets.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $267,831,189.
As of December 31, 1997, the Portfolio had a capital loss carryforwards which
expire as follows: $347 in 2002, $144 in 2003, $35,977 in 2004; and $8,154 in
2005.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $95,752,178
and $56,496,506 of non-governmental issuers, respectively.
Moody's Ratings
Aaa 96.09%
NR (Not Rated) 3.91
------
100.00%
======
See Notes to Financial Statements.
- --------------------------------------------------------
F-27
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (in 000's). June 30, 1998 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Select Select Select Select Select
Emerging Aggressive Capital Value Opportunity International
Markets Fund Growth Fund Appreciation Fund Fund Equity Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost......................... $ 21,983 $ 579,079 $ 270,288 $ 222,218 $ 398,483
Repurchase agreements at cost............... -- -- -- -- --
Net unrealized appreciation (depreciation).. (3,192) 171,837 8,194 20,994 96,483
----------- ----------- ----------- ----------- -----------
Total investments at value................ 18,791 750,916 278,482 243,212 494,966
Cash ........................................ 233 -- 1,442 15 3,934
Foreign currency
(Cost $259 and $4,825 respectively)
(Notes 2 and 7)............................. 256 -- -- -- 6,958
Short-term investments held as collateral
for securities loaned (Note 2).............. -- 109,199 -- -- 32,911
Receivable for investments sold................ 46 -- 2,155 1,712 30,505
Receivable for shares sold .................... 51 637 356 409 93
Receivable for foreign currency sold........... 46 -- -- -- 4,576
Interest and dividend receivables.............. 105 141 55 108 3,977
Receivable from investment adviser (Note 4).... -- -- -- -- --
Deferred organizational expense (Note 2)....... -- -- 2 -- --
Dividend tax reclaim receivables............... -- -- -- -- 742
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8).. -- -- -- -- 681
----------- ----------- ----------- ----------- -----------
Total Assets.............................. 19,528 860,893 282,492 245,456 579,343
----------- ----------- ----------- ----------- -----------
LIABILITIES:
Payable for investments purchased.............. 195 3,794 1,900 2,200 36,330
Foreign currency (Cost $1,614)................. -- -- 2,031 -- --
Payable for foreign currency purchased......... 192 -- -- -- 14,749
Payable for shares repurchased................. -- -- -- 3 737
Payable to custodian........................... -- 23 -- -- --
Collateral for securities loaned............... -- 109,199 -- -- 32,911
Advisory fee payable (Note 3).................. 31 515 203 177 352
Trustees' fees and expenses payable............ -- 6 2 2 4
Accrued expenses and other payables ........... 78 169 148 48 181
----------- ----------- ----------- ----------- -----------
Total Liabilities......................... 496 113,706 4,284 2,430 85,264
----------- ----------- ----------- ----------- -----------
NET ASSETS..................................... $ 19,032 $ 747,187 $ 278,208 $ 243,026 $ 494,079
=========== =========== =========== =========== ===========
NET ASSETS consist of
Paid-in capital (Note 6)....................... $ 22,486 $ 520,767 $ 216,513 $ 205,596 $ 392,951
Undistributed (distribution in excess of)
net investment income (loss) ............... 75 (1,233) (611) 519 2,593
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold,
foreign currency transactions and futures
contracts................................... (337) 55,816 54,530 15,917 (1,210)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts...... (3,192) 171,837 7,776 20,994 99,745
----------- ----------- ----------- ----------- -----------
TOTAL NET ASSETS .............................. $ 19,032 $ 747,187 $ 278,208 $ 243,026 $ 494,079
=========== =========== =========== =========== ===========
Shares of beneficial interest outstanding
(unlimited authorization, no par value)........ 22,616 288,798 149,981 142,405 313,385
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)................ $ 0.842 $ 2.587 $ 1.855 $ 1.707 $ 1.577
=========== =========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-28
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (in 000's). June 30, 1998 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
Select Select Select Growth Select Money
Growth Strategic and Income Income Market
Fund Growth Fund Fund Fund Fund
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost......................... $ 482,492 $ 9,257 $ 494,380 $ 134,540 $ 257,828
Repurchase agreements at cost............... -- -- -- -- 10,000
Net unrealized appreciation (depreciation).. 185,041 (88) 80,038 2,494 --
Total investments at value................ ----------- ----------- ----------- ----------- ------------
Cash ........................................ 667,533 9,169 574,418 137,034 267,828
Foreign currency 32 82 -- -- 26
(Cost $259 and $4,825 respectively)
(Notes 2 and 7).............................
Short-term investments held as collateral -- -- -- -- --
for securities loaned (Note 2)..............
Receivable for investments sold................ -- -- -- -- --
Receivable for shares sold .................... 948 -- 7,367 4,932 350
Receivable for foreign currency sold........... 736 37 408 348 --
Interest and dividend receivables.............. -- -- -- -- --
Receivable from investment adviser (Note 4).... 460 3 617 1,271 1,655
Deferred organizational expense (Note 2)....... -- 24 -- -- --
Dividend tax reclaim receivables............... -- -- -- -- --
Net unrealized appreciation on -- -- -- -- --
forward currency contracts (Notes 2 and 8)..
-- -- -- -- --
Total Assets.............................. ----------- ----------- ----------- ----------- ------------
669,709 9,315 582,810 143,585 269,859
LIABILITIES: ----------- ----------- ----------- ----------- ------------
Payable for investments purchased..............
Foreign currency (Cost $1,614)................. 86 -- 937 9,840 --
Payable for foreign currency purchased......... -- -- -- -- --
Payable for shares repurchased................. -- -- -- -- --
Payable to custodian........................... -- -- -- -- --
Collateral for securities loaned............... -- -- 241 1,472 --
Advisory fee payable (Note 3).................. -- -- -- -- --
Trustees' fees and expenses payable............ 420 19 320 58 59
Accrued expenses and other payables ........... 5 -- 5 1 2
126 22 113 33 55
Total Liabilities......................... ----------- ----------- ----------- ----------- ------------
637 41 1,616 11,404 116
NET ASSETS..................................... ----------- ----------- ----------- ----------- ------------
$ 669,072 $ 9,274 $ 581,194 $ 132,181 $ 269,743
NET ASSETS consist of =========== =========== =========== =========== ============
Paid-in capital (Note 6).......................
Undistributed (distribution in excess of) $ 460,466 $ 9,398 $ 451,143 $ 129,629 $ 269,806
net investment income (loss) ...............
Accumulated (distribution in excess of) net 219 13 3 22 --
realized gain (loss) on investments sold,
foreign currency transactions and futures
contracts................................... 23,346 (49) 50,010 35 (63)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts...... 185,041 (88) 80,038 2,495 --
----------- ----------- ----------- ----------- ------------
TOTAL NET ASSETS .............................. $ 669,072 $ 9,274 $ 581,194 $ 132,181 $ 269,743
=========== =========== =========== =========== ============
Shares of beneficial interest outstanding
(unlimited authorization, no par value)........
NET ASSET VALUE, 303,519 9,271 338,414 128,271 269,806
Offering and redemption price per share
(Net Assets/Shares Outstanding)................ $ 2.204 $ 1.000 $ 1.717 $ 1.030 $ 1.000
=========== =========== =========== =========== ============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-29
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (in 000's) . For the period ended
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Select Select Select Select Select
Emerging Aggressive Capital Value Opportunity International
Markets Fund* Growth Fund Appreciation Fund Fund Equity Fund
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)............................ $ 65 $ 410 $ 419 $ 338 $ 356
Dividends (Note 2)........................... 198 1,429 326 1,235 6,585
Securities lending income (Note 2)........... -- 117 -- -- 59
Less net foreign taxes withheld.............. (4) -- (12) -- (719)
----------- ----------- ----------- ----------- -----------
Total investment income.................... 259 1,956 733 1,573 6,281
----------- ----------- ----------- ----------- -----------
EXPENSES
Investment advisory fees (Notes 3 and 4)..... 100 3,026 1,186 1,033 2,000
Custodian and securities lending fees
(Note 3).................................... 54 45 19 13 180
Fund accounting fees (Note 3)................ 15 45 27 25 32
Legal fees................................... -- 8 6 3 5
Audit fees................................... 19 6 5 5 6
Trustees' fees and expenses (Note 3)......... -- 14 5 5 9
Reports to shareholders...................... 12 64 86 27 46
Amortization of organization costs
(Note 2).................................... -- -- 1 -- --
Insurance.................................... -- 1 -- -- --
Miscellaneous................................ 11 2 4 -- --
----------- ----------- ----------- ----------- -----------
Total expenses before reductions and
waiver.................................... 211 3,211 1,339 1,111 2,278
Less reductions (Note 5)................... (1) (22) (5) (42) (25)
Less reimbursement/waiver
(Notes 3 and 4)........................... (26) -- -- (18) --
----------- ----------- ----------- ----------- -----------
Total expenses net of reductions and
waiver.................................... 184 3,189 1,334 1,051 2,253
----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME (LOSS).................... 75 (1,233) (601) 522 4,028
----------- ----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments
sold........................................ (337) 57,740 56,653 15,974 (2,795)
Net realized gain on futures contracts....... -- -- 336 -- --
Net realized gain (loss) on foreign currency
transactions................................ -- -- (615) -- 5,149
Net change in unrealized appreciation
(depreciation) of assets and liabilities in
foreign currency........................... (3) -- (428) -- 1,657
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts.................................. (3,189) 44,512 (33,082) (6,048) 65,658
----------- ----------- ----------- ----------- -----------
NET GAIN (LOSS) ON INVESTMENTS.................. (3,529) 102,252 22,864 9,926 69,669
----------- ----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS............. $ (3,454) $ 101,019 $ 22,263 $ 10,448 $ 73,697
=========== =========== =========== =========== ===========
</TABLE>
- --------------------------------------------------------------------------------
* The Select Emerging Markets Fund and Select Strategic Growth Fund commenced
operations on February 20, 1998.
See Notes to Financial Statements.
----------------------------------------------------------
F-30
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (in 000's) . For the period ended June 30, 1998
(Unaudited)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Select Select Select Growth Select Money
Growth Strategic and Income Income Market
Fund Growth Fund* Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)............................ $ 450 $ 14 $ 1,135 $ 3,785 $ 7,184
Dividends (Note 2)........................... 2,222 24 3,775 65 74
Securities lending income (Note 2)........... -- -- -- -- --
Less net foreign taxes withheld.............. -- -- -- -- --
----------- ----------- ----------- ----------- -----------
Total investment income.................... 2,672 38 4,910 3,850 7,258
----------- ----------- ----------- ----------- -----------
EXPENSES
Investment advisory fees (Notes 3 and 4)...... 2,356 20 1,826 322 337
Custodian and securities lending fees
(Note 3).................................... 16 5 15 9 14
Fund accounting fees (Note 3)................ 42 11 42 25 26
Legal fees................................... 6 -- 6 1 3
Audit fees................................... 5 6 5 5 5
Trustees' fees and expenses (Note 3)......... 12 -- 11 2 6
Reports to shareholders...................... 48 9 40 8 13
Amortization of organization costs
(Note 2).................................... -- -- -- -- --
Insurance.................................... 1 -- 1 -- --
Miscellaneous................................ 1 2 2 -- 9
----------- ----------- ----------- ----------- -----------
Total expenses before reductions and
waiver.................................... 2,487 53 1,948 372 413
Less reductions (Note 5)................... (53) (4) (75) -- --
Less reimbursement/waiver
(Notes 3 and 4)........................... -- (24) -- -- --
----------- ----------- ----------- ----------- -----------
Total expenses net of reductions and
waiver.................................... 2,434 25 1,873 372 413
----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME (LOSS).................... 238 13 3,037 3,478 6,845
----------- ----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments
sold........................................ 23,530 (49) 50,660 1,105 (18)
Net realized gain 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.................................. 91,850 (88) 2,355 (318) --
----------- ----------- ----------- ----------- -----------
NET GAIN (LOSS) ON INVESTMENTS.................. 115,380 (137) 53,015 787 (18)
----------- ----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS............. $ 115,618 $ (124) $ 56,052 $ 4,265 $ 6,827
=========== =========== =========== =========== ===========
----------------------------------------------------------------------------------
</TABLE>
F-31
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
Select Emerging Select Aggressive Select Capital
Markets Fund* Growth Fund Appreciation Fund
- -------------------------------------------------------------------------------------------------------------------------------
Period Ended Six Months Ended Year Ended Six Months Ended Year Ended,
June 30, 1998 June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) (Unaudited) 1997 (Unaudited) 1997
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSETS at beginning of period............... $ 20,010(B) $ 604,123 $ 407,442 $ 240,526 $ 142,680
----------- ----------- ----------- ----------- -----------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss)................ 75 (1,233) (2,312) (601) (704)
Net realized gain (loss) on investments sold
and foreign currency transactions........ (337) 57,740 38,455 56,374 244
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency...... (3,192) 44,512 49,159 (33,510) 30,339
------------- ----------- ----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations................ (3,454) 101,019 85,302 22,263 29,879
------------- ----------- ----------- ----------- -----------
Distributions to shareholders from:
Net investment income....................... -- -- -- -- --
Distribution in excess of net investment
income.................................... -- -- -- -- --
Net realized gain on investments............ -- -- (45,242) -- --
Distribution in excess of net realized gain
on investments........................... -- -- (1,941) -- --
------------- ----------- ----------- ----------- -----------
Total distributions...................... -- -- (47,183) -- --
------------- ----------- ----------- ----------- -----------
Capital share transactions:
Net proceeds from sales of shares........... 2,482 50,188 125,270 29,095 72,527
Issued to shareholders in reinvestment of
distributions............................ -- -- 47,183 -- --
Cost of shares repurchased.................. (6) (8,143) (13,891) (13,676) (4,560)
------------- ----------- ----------- ----------- -----------
Net increase from
capital share transactions........... 2,476 42,045 158,562 15,419 67,967
------------- ----------- ----------- ----------- -----------
Total increase (decrease) in net assets.. (978) 143,064 196,681 37,682 97,846
------------- ----------- ----------- ----------- -----------
NET ASSETS at end of period (including line A).. $ 19,032 $ 747,187 $ 604,123 $ 278,208 $ 240,526
============= =========== =========== =========== ===========
(A) Undistributed (distribution in excess of)
net investment income (loss)............. $ 75 $ (1,233) $ -- $ (611) $ (11)
============= =========== =========== =========== ===========
OTHER INFORMATION:
Share transactions:
Sold........................................ 2,612 22,230 56,853 17,274 48,567
Issued to shareholders in reinvestment of
distributions............................ -- -- 21,321 -- --
Repurchased................................. (6) (4,993) (6,666) (8,972) (2,995)
------------- ----------- ----------- ----------- -----------
Net increase in shares outstanding....... 2,606 17,237 71,508 8,302 45,572
============= =========== =========== =========== ===========
- --------------------------------------------------------------------------------
</TABLE>
* The Select Emerging Markets Fund and the Select Strategic Growth Fund
commenced operations on February 20, 1998.
(B) Represents initial seed money and shares. Original shares were priced at
$1.00.
See Notes to Financial Statements.
--------------------------------------------------------
F-32
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Select Value Select International
Opportunity Fund Equity Fund
- -----------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period............... $ 202,139 $ 113,969 $ 397,915 $ 246,877
----------- ----------- ----------- -----------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss)................ 522 1,135 4,028 3,941
Net realized gain (loss) on investments sold
and foreign currency transactions........ 15,974 26,736 2,354 14,653
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency...... (6,048) 6,770 67,315 (6,505)
----------- ----------- ----------- ------------
Net increase (decrease) in net assets
resulting from operations................ 10,448 34,641 73,697 12,089
----------- ----------- ----------- ------------
Distributions to shareholders from:
Net investment income....................... (29) (1,109) (3,490) (5,222)
Distribution in excess of net investment
income.................................... -- -- -- (3,846)
Net realized gain on investments............ (836) (26,701) -- (12,588)
Distribution in excess of net realized gain -- -- -- --
on investments........................... ----------- ----------- ----------- ------------
(865) (27,810) (3,490) (21,656)
Total distributions...................... ----------- ----------- ----------- ------------
Capital share transactions:
Net proceeds from sales of shares........... 31,074 54,787 52,789 156,121
Issued to shareholders in reinvestment of
distributions............................ 864 27,810 3,490 21,656
Cost of shares repurchased.................. (634) (1,258) (30,322) (17,172)
----------- ----------- ----------- ------------
Net increase from
capital share transactions........... 31,304 81,339 25,957 160,605
----------- ----------- ----------- ------------
Total increase (decrease) in net assets.. 40,887 88,170 96,164 151,038
----------- ----------- ----------- ------------
NET ASSETS at end of period (including line A).. $ 243,026 $ 202,139 $ 494,079 $ 397,915
=========== =========== =========== ============
(A) Undistributed (distribution in excess of)
net investment income (loss)............. $ 519 $ 26 $ 2,593 $ 2,056
=========== =========== =========== ============
OTHER INFORMATION:
Share transactions:
Sold........................................ 17,924 32,573 33,836 110,808
Issued to shareholders in reinvestment of
distributions............................ 506 17,084 2,096 15,986
Repurchased................................. (376) (754) (19,263) (12,167)
----------- ----------- ----------- ------------
Net increase in shares outstanding....... 18,054 48,903 16,669 114,627
=========== =========== =========== ============
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Select Growth Select Strategic
Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Period Ended
June 30, 1998 December 31, June 30, 1998
(Unaudited) 1997 (Unaudited)
------------------------------------------------
<S> <C> <C> <C>
NET ASSETS at beginning of period............... $ 470,356 $ 228,551 $ 5,010(B)
----------- ----------- -----------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss)................ 238 1,457 13
Net realized gain (loss) on investments sold
and foreign currency transactions........ 23,530 27,996 (49)
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency...... 91,850 68,271 (88)
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations................ 115,618 97,724 (124)
----------- ----------- -----------
Distributions to shareholders from:
Net investment income....................... (120) (1,356) --
Distribution in excess of net investment
income.................................... -- -- --
Net realized gain on investments............ (6,306) (23,994) --
Distribution in excess of net realized gain
on investments........................... -- -- --
----------- ----------- -----------
Total distributions...................... (6,426) (25,350) --
----------- ----------- -----------
Capital share transactions:
Net proceeds from sales of shares........... 86,248 148,448 4,397
Issued to shareholders in reinvestment of
distributions............................ 6,426 25,350 --
Cost of shares repurchased.................. (3,150) (4,367) (9)
----------- ----------- -----------
Net increase from
capital share transactions........... 89,524 169,431 4,388
----------- ----------- -----------
Total increase (decrease) in net assets.. 198,716 241,805 4,264
----------- ----------- -----------
NET ASSETS at end of period (including line A).. $ 669,072 $ 470,356 $ 9,274
=========== =========== ===========
(A) Undistributed (distribution in excess of)
net investment income (loss)............. $ 219 $ 101 $ 13
=========== =========== ===========
OTHER INFORMATION:
Share transactions:
Sold........................................
Issued to shareholders in reinvestment of 42,469 88,503 4,269
distributions............................ 2,915 14,089 --
Repurchased................................. (1,557) (2,711) (8)
----------- ----------- -----------
Net increase in shares outstanding....... 43,827 99,881 4,261
=========== =========== ===========
</TABLE>
The Select Emerging Markets Fund and the Select Strategic Growth Fund
commenced operations on February 20, 1998.
(B) Represents initial seed money and shares. Original shares were priced at
$1.00.
See Notes to Financial Statements.
----------------------------------------------------------
F-33
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (in 000's) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Select Growth and Select Money Market
Income Fund Income Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997 (Unaudited) 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning of period........ $ 473,552 $ 295,638 $ 104,253 $ 77,498 $ 260,620 $ 217,256
----------- ----------- ------------ ----------- ----------- -----------
Increase in net assets
resulting from operations:
Net investment income................. 3,037 5,190 3,478 5,435 6,845 12,775
Net realized gain (loss) on
investments sold and futures
contracts........................... 50,660 37,150 1,105 418 (18) (8)
Net change in unrealized appreciation
(depreciation) of investments and
futures contracts................... 2,355 33,412 (318) 2,198 -- --
----------- ----------- ------------ ----------- ----------- -----------
Net increase in net assets resulting
from operations..................... 56,052 75,752 4,265 8,051 6,827 12,767
----------- ----------- ------------ ----------- ----------- -----------
Distributions to shareholders from:
Net investment income................. (3,100) (5,133) (3,457) (5,484) (6,845) (12,775)
Distribution in excess of net
investment income -- -- -- (43) -- --
Net realized gain on investments...... (2,017) (40,366) -- -- -- --
----------- ----------- ------------ ----------- ----------- -----------
Total distributions................. (5,117) (45,499) (3,457) (5,527) (6,845) (12,775)
----------- ----------- ------------ ----------- ----------- -----------
Capital share transactions:
Net proceeds from sales of shares..... 52,684 106,418 25,375 23,119 119,084 198,111
Issued to shareholders in
reinvestment of distributions....... 5,117 45,498 3,457 5,528 6,845 12,775
Cost of shares repurchased............ (1,094) (4,255) (1,712) (4,416) (116,788) (167,514)
----------- ----------- ------------ ----------- ----------- -----------
Net increase from
capital share transactions........ 56,707 147,661 27,120 24,231 9,141 43,372
----------- ----------- ------------ ----------- ----------- -----------
Total increase in net assets........ 107,642 177,914 27,928 26,755 9,123 43,364
----------- ----------- ------------ ----------- ----------- -----------
NET ASSETS at end of period (including
line A)............................... $ 581,194 $ 473,552 $ 132,181 $ 104,253 $ 269,743 $ 260,620
=========== =========== ============ =========== =========== ===========
(A) Undistributed net investment income.. $ 3 $ 66 $ 22 $ 1 $ -- $ --
=========== =========== ============ =========== =========== ===========
OTHER INFORMATION:
Share transactions:
Sold.................................. 30,963 68,177 25,159 22,957 119,085 198,111
Issued to shareholders in
reinvestment of distributions....... 2,967 29,288 3,057 5,531 6,845 12,775
Repurchased........................... (695) (2,757) (1,920) (4,382) (116,788) (167,514)
----------- ----------- ------------ ----------- ----------- -----------
Net increase in shares outstanding.. 33,235 94,708 26,296 24,106 9,142 43,372
=========== =========== ============ =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
F-34
<PAGE>
This page intentionally left blank.
F-35
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
--------------------------------------------------------
Net Realized
Net and
Asset Net Unrealized
Value Investment Gain (Loss) Total from
Year Ended Beginning Income on Investment
December 31, of Period (Loss)(2) Investments Operations
-------------- --------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
Select Emerging
Markets Fund/(1)/
1998/(E)/ $ 1.000 $ 0.003 $ (0.161) $ (0.158)
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 2.225 (0.004) 0.366 0.362
1997 2.037 (0.009) 0.387 0.378
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
1992 1.000 0.001 0.197 0.198
Select Capital
Appreciation Fund/(1)/
1998/(D)/ 1.698 (0.004) 0.161 0.157
1997 1.485 (0.005) 0.218 0.213
1996 1.369 (0.003) 0.124 0.121
1995 1.000 (0.001) 0.397 0.396
Select Value
Opportunity Fund/(1)/
1998/(D)/ 1.626 0.004 0.083 0.087
1997 1.511 0.010 0.364 0.374
1996 1.238 0.011 0.342 0.353
1995 1.089 0.009 0.183 0.192
1994 1.170 0.005 (0.081) (0.076)
1993 1.000 0.002 0.176 0.178
Select International
Equity Fund/(1)/
1998/(D)/ 1.341 0.012 0.235 0.247
1997 1.356 0.015 0.049 0.064
1996 1.136 0.011 0.238 0.249
1995 0.963 0.013 0.176 0.189
1994 1.000 0.003 (0.038) (0.035)
</TABLE>
<TABLE>
<CAPTION>
Less Distributions
---------------------------------------------------------------------
Net
Distributions Increase
Dividends from Net (Decrease)
from Net Realized Distributions in
Year Ended Investment Capital in Return of Total Net Asset
December 31, Income Gains Excess Capital Distributions Value
-------------- ------------ ------------- ------------- --------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Select Emerging
Markets Fund/(1)/
1998/(E)/ $ -- $ -- $ -- $ -- $ -- $ (0.158)
Select Aggressive
Growth Fund/(1)/
1998/(D)/ -- -- -- -- -- 0.362
1997 -- (0.182) (0.008)/(3)/ -- (0.190) 0.188
1996 -- (0.153) -- -- (0.153) 0.189
1995 -- -- -- -- -- 0.451
1994 -- -- -- -- -- (0.034)
1993 (0.001) -- -- -- (0.001) 0.234
1992 (0.001) -- -- -- (0.001) 0.197
Select Capital
Appreciation Fund/(1)/
1998/(D)/ -- -- -- -- -- 0.157
1997 -- -- -- -- -- 0.213
1996 -- (0.005) -- -- (0.005) 0.116
1995 -- (0.027) -- -- (0.027) 0.369
Select Value
Opportunity Fund/(1)/
1998/(D)/ -- (0.006) -- -- (0.006) 0.081
1997 (0.010) (0.249) -- -- (0.259) 0.115
1996 (0.011) (0.069) -- -- (0.080) 0.273
1995 (0.009) (0.033) (0.001)/(3)/ -- (0.043) 0.149
1994 (0.005) -- -- -- (0.005) (0.081)
1993 (0.002) (0.006) -- -- (0.008) 0.170
Select International
Equity Fund/(1)/
1998/(D)/ (0.011) -- -- -- (0.011) 0.236
1997 (0.019) (0.046) (0.014)/(4)/ -- (0.079) (0.015)
1996 (0.012) (0.003) (0.014)/(4)/ -- (0.029) 0.220
1995 (0.011) (0.005) -- -- (0.016) 0.173
1994 (0.001) (0.001) -- -- (0.002) (0.037)
</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 six months ended June 30, 1998 (Unaudited)
(E) For period ended June 30, 1998 (Unaudited)
(1) The Select Emerging Markets Fund commenced operations on February 20, 1998.
The Select Aggressive Growth Fund commenced operations on August 21, 1992.
The Select Capital Appreciation Fund commenced operations on April 28, 1995
and changed sub-advisers on April 1, 1998. The Select Value Opportunity
Fund commenced operations on April 30, 1993 and changed sub-advisers on
January 1, 1997. The Select International Equity Fund commenced operations
on May 2, 1994.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $0.002 for the period ended June 30,
1998 for Select Emerging Markets Fund; ($0.004) for the six months ended
June 30, 1998, $(0.010) in 1997, $0.000 in 1993 and $(0.001) in 1992 for
Select Aggressive Growth Fund; $(0.004) for the six months ended June 30,
1998, $(0.001) in 1995 for Select Capital Appreciation Fund; $0.003 for the
six months ended June 30, 1998, $0.009 in 1997, $0.010 in 1996, $0.005 in
1994 and $(0.001) in 1993 for Select Value Opportunity Fund; and $0.012 for
the six months ended June 30, 1998, $0.015 in 1997, $0.011 in 1996 and
$0.002 in 1994 for Select International Equity Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
F-36
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net
Year Ended End of Total Period Investment
December 31, Period Return (000's) Income (Loss)
-------------- -------- -------- --------- -------------
<S> <C> <C> <C> <C>
Select Emerging
Markets Fund/(1)/
1998/(E)/ $ 0.842 (15.70)%** $ 19,032 1.01%*
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 2.587 16.27%** 747,187 (0.36)%*
1997 2.225 18.71% 604,123 (0.45)%
1996 2.037 18.55% 407,442 (0.53)%
1995 1.848 32.28% 254,872 (0.07)%
1994 1.397 (2.31)% 136,573 (0.21)%
1993 1.431 19.51% 66,251 0.10%
1992 1.197 19.85%** 9,270 0.34%*
Select Capital
Appreciation Fund/(1)/
1998/(D)/ 1.855 9.30%** 278,208 (0.47)%*
1997 1.698 14.28% 240,526 (0.38)%
1996 1.485 8.80% 142,680 (0.32)%
1995 1.369 39.56%** 41,376 (0.25)%*
Select Value
Opportunity Fund/(1)/
1998/(D)/ 1.707 5.36%** 243,026 0.46%*
1997 1.626 24.85% 202,139 0.73%
1996 1.511 28.53% 113,969 0.91%
1995 1.238 17.60% 64,575 0.86%
1994 1.089 (6.51)% 41,342 0.64%
1993 1.170 17.74%** 12,731 0.52%*
Select International
Equity Fund/(1)/
1998/(D)/ 1.577 18.43%** 494,079 1.81%*
1997 1.341 4.65% 397,915 1.17%
1996 1.356 21.94% 246,877 1.22%
1995 1.136 19.63% 104,312 1.68%
1994 0.963 (3.49)%** 40,498 0.87%*
</TABLE>
<TABLE>
<CAPTION>
Portfolio
Year Ended Operating Expenses Management Fee Turnover
December 31, (A) (B) (C) Gross Net Rate
-------------- ------- ------- ------- ------ ------- ------------
<S> <C> <C> <C> <C> <C> <C>
Select Emerging
Markets Fund/(1)/
1998/(E)/ 2.50%* 2.51%* 2.86%* 1.35%* 1.00%* 26%
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 0.93%* 0.94%* 0.94%* 0.88%* 0.88%* 53%
1997 0.99% 1.04% 1.04% 0.95% 0.95% 95%
1996 1.08% 1.08% 1.08% 1.00% 1.00% 113%
1995 1.09% -- 1.09% 1.00% 1.00% 104%
1994 1.16% -- 1.16% 1.00% 1.00% 100%
1993 1.19% -- 1.23% 1.00% 0.96% 76%
1992 1.35%* -- 1.88%* N/A N/A 33%
Select Capital
Appreciation Fund/(1)/
1998/(D)/ 1.06%* 1.06%* 1.06%* 0.94%* 0.94%* 121%
1997 1.13% 1.13% 1.13% 0.98% 0.98% 133%
1996 1.13% 1.13% 1.13% 1.00% 1.00% 98%
1995 1.35%* -- 1.42%* 1.00%* 0.93%* 95%
Select Value
Opportunity Fund/(1)/
1998/(D)/ 0.93%* 0.95%* 0.99%* 0.92%* 0.90%* 42%
1997 0.98% 1.04% 1.06% 0.92% 0.90% 110%
1996 0.95% 0.97% 0.97% 0.85% 0.85% 20%
1995 1.01% -- 1.01% 0.85% 0.85% 17%
1994 1.08% -- 1.09% 0.85% 0.84% 4%
1993 1.22%* -- 2.03%* 0.85%* 0.04%* 8%
Select International
Equity Fund/(1)/
1998/(D)/ 1.07%* 1.08%* 1.08%* 0.90%* 0.90%* 15%
1997 1.15% 1.17% 1.17% 0.97% 0.97% 20%
1996 1.20% 1.23% 1.23% 1.00% 1.00% 18%
1995 1.24% -- 1.24% 1.00% 1.00% 24%
1994 1.50%* -- 1.78%* 1.00%* 0.72%* 19%
</TABLE>
- ---------------------------------------------
F-37
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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 Fund/(1)/
1998(D) $ 1.811 $ 0.001 $ 0.413 $ 0.414 $ -- $ (0.021) $ -- $ -- $ (0.021)$ 0.393
1997 1.430 0.006 0.480 0.486 (0.006) (0.099) -- -- (0.105) 0.381
1996 1.369 0.005 0.297 0.302 (0.005) (0.236) -- -- (0.241) 0.061
1995 1.099 -- 0.270 0.270 -- -- -- -- -- 0.270
1994 1.119 0.003 (0.020) (0.017) (0.003) -- -- -- (0.003) (0.020)
1993 1.111 0.001 0.008 0.009 (0.001) -- -- -- (0.001) 0.008
1992 1.000 0.001 0.111 0.112 (0.001) -- -- -- (0.001) 0.111
Select Strategic
Growth Fund/(1)/
1998(E) 1.000 0.001 (0.001) -- -- -- -- -- -- --
Select Growth and
Income Fund/(1)/
1998/(D)/ 1.552 0.010 0.171 0.181 (0.010) (0.006) -- -- (0.016) 0.165
1997 1.405 0.020 0.293 0.313 (0.020) (0.146) -- -- (0.166) 0.147
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)/
1998/(D)/ 1.022 0.029 0.008 0.037 (0.029) -- -- -- (0.029) 0.008
1997 0.995 0.060 0.028 0.088 (0.061) -- -- -- (0.061) 0.027
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)
</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 six months ended June 30, 1998 (Unaudited)
(E) For period ended June 30, 1998 (Unaudited)
(1) The Select Growth Fund commenced operations on August 21, 1992 and changed
sub-advisers on July 1, 1996. The Select Strategic Growth Fund commenced
operations on February 20, 1998. The Select Growth and Income Fund and
Select Income Fund commenced operations on August 21, 1992.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $0.011 for the six months ended June
30, 1998, $0.006 in 1997, $0.005 in 1996, $0.001 in 1993 and $0.000 in 1992
for Select Growth Fund; $(0.001) for the period ended June 30, 1998 for
Select Strategic Growth Fund; $0.010 for the six months ended June 30,
1998, $0.019 in 1997, $0.019 in 1996, $0.023 in 1993 and $0.005 in 1992 for
Select Growth and Income Fund; and $0.060 in 1995, $0.055 in 1994, $0.050
in 1993, and $0.015 in 1992 for Select Income Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment Income.
See Notes to Financial Statements.
---------------------------------------------------------
F-38
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
- --------------------------------------------------------------------------------
Ratios To Average Net Assets
------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net
End of Total Period Investment
Period Return (000's) Income (Loss)
-------- -------- --------- -------------
<S> <C> <C> <C> <C>
Select Growth Fund/(1)/
1998(D) $ 2.204 22.88%** $ 669,072 0.09%*
1997 1.811 34.06% 470,356 0.42%
1996 1.430 22.02% 228,551 0.38%
1995 1.369 24.59% 143,125 0.02%
1994 1.099 (1.49)% 88,263 0.37%
1993 1.119 0.84% 53,854 0.15%
1992 1.111 11.25%** 9,308 0.40%*
Select Strategic
Growth Fund/(1)/
1998(E) 1.000 0.20%** 9,274 0.54%*
Select Growth and
Income Fund/(1)/
1998/(D)/ 1.717 11.63%** 581,194 1.14%*
1997 1.552 22.51% 473,552 1.34%
1996 1.405 21.26% 295,638 1.44%
1995 1.268 30.32% 191,610 1.69%
1994 1.027 0.73% 110,213 2.51%
1993 1.069 10.37% 60,518 2.73%
1992 0.990 (0.11)%** 7,302 3.20%*
Select Income Fund/(1)/
1998/(D)/ 1.030 3.66%** 132,181 6.02%*
1997 1.022 9.17% 104,253 6.12%
1996 0.995 3.32% 77,498 6.29%
1995 1.024 16.96% 60,368 6.24%
1994 0.930 (4.82)% 40,784 6.07%
1993 1.035 10.95% 25,302 5.91%
1992 0.988 0.62%** 5,380 5.38%*
<CAPTION>
Portfolio
Operating Expenses Management Fee Turnover
(A) (B) (C) Gross Net Rate
------- ------- ------- ------ ------- ------------
<S> <C> <C> <C> <C> <C> <C>
Select Growth Fund/(1)/
1998(D) 0.87%* 0.89%* 0.89%* 0.84%* 0.84%* 39%
1997 0.91% 0.93% 0.93% 0.85% 0.85% 75%
1996 0.92% 0.93% 0.93% 0.85% 0.85% 159%
1995 0.97% -- 0.97% 0.85% 0.85% 51%
1994 1.03% -- 1.03% 0.85% 0.85% 55%
1993 1.05% -- 1.08% 0.85% 0.82% 65%
1992 1.20%* -- 1.72%* N/A N/A 3%
Select Strategic
Growth Fund/(1)/
1998(E) 1.05%* 1.20%* 2.19%* 0.85%* 0.85%* 6%
Select Growth and
Income Fund/(1)/
1998/(D)/ 0.70%* 0.73%* 0.73%* 0.68%* 0.68%* 65%
1997 0.77% 0.80% 0.80% 0.73% 0.73% 71%
1996 0.80% 0.83% 0.83% 0.75% 0.75% 78%
1995 0.85% -- 0.85% 0.75% 0.75% 112%
1994 0.91% -- 0.91% 0.75% 0.75% 107%
1993 0.99% -- 1.03% 0.75% 0.71% 25%
1992 1.10%* -- 2.37%* N/A N/A 4%
Select Income Fund/(1)/
1998/(D)/ 0.64%* 0.64%* 0.64%* 0.56%* 0.56%* 71%
1997 0.72% 0.72% 0.72% 0.59% 0.59% 79%
1996 0.74% 0.74% 0.74% 0.60% 0.60% 108%
1995 0.79% -- 0.80% 0.60% 0.59% 131%
1994 0.83% -- 0.85% 0.60% 0.58% 105%
1993 0.91% -- 1.08% 0.60% 0.43% 171%
1992 1.00%* -- 1.67%* N/A N/A 119%
</TABLE>
F-39
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
-------------------------------------------- -----------------------------------------------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net (Decrease)
Value Net Gain (Loss) Total from from Net Realized Distributions in
Year Ended Beginning Investment on Investment Investment Capital in Return of Total Net Asset
December 31, of Period Income/(1)/ Investments Operations Income Gains Excess Capital Distributions Value
------------ --------- ---------- ----------- ---------- ---------- ----------- ------------ --------- ------------- ---------
Money Market
Fund
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998/(D)/ $ 1.000 $ 0.026 $ -- $ 0.026 $ (0.026) $ -- $ -- $ -- $ (0.026) $ --
1997 1.000 0.053 -- 0.053 (0.053) -- -- -- (0.053) --
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) --
</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 six months ended June 30, 1998 (Unaudited).
(1) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.030 in 1993 and $0.084 in 1988 for
the Money Market Fund.
(2) Unaudited
See Notes to Financial Statements.
---------------------------------------------------------
F-40
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
Year Ended End of Total Period Investment Operating Expenses Management Fee Turnover
December 31, Period Return (000's) Income (A) (B) (C) Gross Net Rate
- ------------ -------- -------- ---------- ----------- ------- ------- ------- ------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Money Market
Fund
1998/(D)/ $ 1.000 2.74%** $ 269,743 5.45%* 0.33%* 0.33%* 0.33%* 0.27%* 0.27%* N/A
1997 1.000 5.47% 260,620 5.33% 0.35% 0.35% 0.35% 0.27% 0.27% N/A
1996 1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34% 0.28% 0.28% N/A
1995 1.000 5.84% 155,211 5.68% 0.36% -- 0.36% 0.29% 0.29% N/A
1994 1.000 3.93% 95,991 3.94% 0.45% -- 0.45% 0.31% 0.31% N/A
1993 1.000 3.00% 71,052 2.95% 0.42% -- 0.43% 0.32% 0.31% N/A
1992 1.000 3.78% 64,506 3.65% 0.44% -- 0.44% N/A N/A N/A
1991 1.000 6.67% 39,909 5.98% 0.43% -- 0.43% N/A N/A N/A
1990 1.000 8.63% 28,330 8.22% 0.42% -- 0.42% N/A N/A N/A
1989 1.000 9.69% 12,060 8.62% 0.58% -- 0.58% N/A N/A N/A
1988 1.000 7.30%/(2)/ 7,156 7.13% 0.60% -- 0.71% N/A N/A N/A
- -----------------------------------------------------------------------------------
</TABLE>
F-41
<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
("Allmerica Financial"), 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 fourteen managed
investment portfolios. The accompanying financial statements and financial
highlights are those of the Select Emerging Markets, Select Aggressive Growth,
Select Capital Appreciation, Select Value Opportunity, Select International
Equity, Select Growth, Select Strategic Growth, Select Growth and Income, Select
Income and Money Market Funds (individually, a "Portfolio," collectively, the
"Portfolios").
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 Emerging Markets, Select Capital
Appreciation, Select International Equity, and Select Income 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. Receivables and payables of forward foreign currency
contracts are 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-42
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis and consists of interest accrued and, if applicable, discounts
earned on original issue discount bonds, zero coupton 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 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.
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 Emerging Markets, Select Aggressive Growth, Select Capital
Appreciation, Select Value Opportunity, Select International Equity, Select
Growth, and Select Strategic 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 Portfolio 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 records as expenses 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. For the Select Capital Appreciation Fund all such costs were
capitalized and are being amortized using the straight-line method over a period
of five years beginning with the commencement of the Portfolio's operation.
Securities Lending: Each Portfolio, using Bankers Trust Company ("Bankers
Trust") as their agent, may loan securities to brokers who pay the Portfolio
negotiated lenders' fees. These fees are disclosed as "securities lending
income" on the Statements of Operations. Each applicable Portfolio receives
obligations of the U.S. government and its agencies, cash and /or cash
equivalents as collateral against the loaned securities, in an amount at least
equal to 102% of the market value of the loaned securities at the inception of
each loan. This collateral must be maintained at not less than 100% of the
market value of the loaned securities during the period of the loan. Information
regarding the value of the securities loaned and the value of collateral at
period end is included under the caption "Other Information" at the end of each
applicable Portfolio's schedule of investments.
F-43
<PAGE>
-------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
-------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
Each Portfolio pays Bankers Trust fees for its services equal to 25% of net
income from the securities lending program. For the period end, the Select
Aggressive Growth Fund and Select International Equity Fund paid Bankers Trust
$29,309 and $14,626, respectively.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: The Select Capital Appreciation Fund, Select Income Fund
and Money Market 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 Portfolios 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 Portfolios 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.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Sub-Adviser has determined are
creditworthy pursuant to guidelines established by the Trust's Board of
Trustees. Each repurchase agreement transaction is recorded at cost. Each
Portfolio requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian in a manner that is intended
to enable the Portfolio to obtain those securities in the event of a
counterparty default. The Investment Adviser monitors the value of the
securities, including accrued interest, daily to ensure that the value of the
collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon the Portfolio's ability to dispose of the underlying securities, and a
possible decline in the value of the underlying securities during the period
while the Portfolio seeks to assert its rights.
3. INVESTMENT ADVISORY, ADMINISTRATION
AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Financial Investment Management Services, Inc. (the "Manager"), a
wholly-owned subsidiary of First Allmerica, serves as Investment Adviser and
Administrator to the Trust. The Manager succeeded Allmerica Investment
Management Company, Inc. as manager of the Trust on April 16, 1998. 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 Assets
First Next Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $750,000,000
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Select Emerging Markets 1.35% 1.35% 1.35% 1.35% 1.35%
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85% 0.85%
Select Capital Appreciation 1.00% 0.90% 0.85% 0.85% 0.85%
Select Value Opportunity 1.00% 0.85% 0.80% 0.75% 0.70%
Select International Equity 1.00% 0.90% 0.85% 0.85% 0.85%
Select Growth * 0.85% 0.85% 0.80% 0.75% 0.75%
Select Strategic Growth 0.85% 0.85% 0.85% 0.85% 0.85%
Select Growth and Income 0.75% 0.70% 0.65% 0.65% 0.65%
</TABLE>
F-44
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C>
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- ---------------------------------------------------------------------------------------------------------------------------
Money Market 0.35% 0.25% 0.20%
First Next Over
Portfolio $50,000,000 $50,000,000 $100,000,000
- ---------------------------------------------------------------------------------------------------------------------------
Select Income 0.60% 0.55% 0.45%
</TABLE>
*Prior to June 1, 1998, the Select Growth Fund paid a management fee, calculated
daily and payable monthly, at an annual rate of 0.85%.
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:
<TABLE>
<S> <C>
Select Emerging Markets Schroder Capital Management International Inc. ("SCMI")
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Select Capital Appreciation T. Rowe Price Associates, Inc.
Select Value Opportunity Cramer Rosenthal McGlynn, LLC
Select International Equity Bank of Ireland Asset Management (U.S.) Limited
Select Growth Putnam Investment Management, Inc.
Select Strategic Growth Cambiar Investors, Inc.
Select Growth and Income John A. Levin & Co., Inc.
Select Income Standish, Ayer & Wood, Inc.
Money Market Allmerica Asset Management, Inc.
</TABLE>
Effective January 2, 1998, Cramer Rosenthal McGlynn, LLC assumed sub-adviser
responsibilities from CRM Advisors, LLC for the Select Value Opportunity Fund.
Effective April 1, 1998, T.Rowe Price Associates, Inc. assumed sub-adviser
responsibilities from Janus Capital Corporation for the Select Capital
Appreciation Fund. The Sub-Adviser Agreement with T. Rowe Price Associates, Inc.
was approved by shareholders at a meeting held on June 3, 1998. T. Rowe Price
International Series, Inc., an investment company managed by an affiliate of T.
Rowe Price Associates, Inc., is currently used as an investment vehicle for
certain insurance products sponsored by Allmerica Financial and First Allmerica.
In addition, the same affiliate currently serves as investment adviser to a
corporate investment account of Allmerica Financial Corporation ("AFC").
Standish, Ayer & Wood, Inc. also currently serves as investment adviser to an
institutional account sponsored by First Allmerica.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("Investor Services Group"), a wholly-owned
subsidiary of First Data Corporation, whereby Investor Services Group performs
certain 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 Investor Services
Group. In a separate agreement, Investor Services Group receives separate fees
from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
F-45
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
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, except for the Select
Emerging Markets Fund, excluding taxes, interest, broker commissions and
extraordinary expenses, but including the advisory fee, exceed certain voluntary
expense limitations (Select Aggressive Growth Fund - 1.35%, Select Capital
Appreciation Fund - 1.35%, Select Value Opportunity Fund - 1.25%, Select
International Equity Fund - 1.50%, Select Growth Fund - 1.20%, Select Strategic
Growth - 1.20%, Select Growth and Income Fund - 1.10%, Select Income Fund -
1.00% and Money Market Fund - 0.60%), the Manager will voluntarily reimburse
fees and any expenses in excess of the 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. For the period ended
June 30, 1998, the operating expenses of the Select Strategic Growth Fund
exceeded the amount of its expense limitations by $24,100.
The Manager voluntarily has agreed until further notice to waive its management
fee in the event that expenses of the Select Emerging Markets Fund exceed 2.00%
of the Fund's average daily net assets. The amount of such waiver will be
limited to the net amount of management fees earned by the Manager from the Fund
after subtracting the fees paid by the Manager to SCMI for sub-advisory
services. The Manager has also voluntarily agreed to limit its management fee
from the Select Value Oppportunity Fund to an annual rate of 0.90% of average
daily net assets. For the period ended June 30, 1998, management fees waived
with respect to the Select Emerging Markets and the Select Value Opportunity
Funds amounted to $25,799 and $17,994, respectively.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of brokerage 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. At June 30, 1998, First Allmerica owned 20,010,000 shares of Select
Emerging Markets and 5,010,000 of Select Strategic Growth. During the six months
ended June 30, 1998, First Allmerica redeemed 5,112,597 shares of Select Capital
Appreciation and 5,231,487 shares of Select International Equity.
7. FOREIGN SECURITIES AND EMERGING MARKETS
All Portfolios may purchase securities of foreign issuers. The 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.
Investing in emerging markets may involve special risks and considerations not
typically associated with investing in the United States. These risks include
revaluation of currencies, high rates of inflation, repatriation restrictions on
income and capital, and future adverse political and economic developments.
Moreover, securities issued in these markets may be less liquid, subject to
government ownership controls, subject to delayed settlements, and their prices
more volatile than those of comparable securities in the United States.
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ALLMERICA INVESTMENT TRUST
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NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
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8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options
transactions, and 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 Emerging Markets Fund, the Select International Equity Fund,
the Select Income Fund and the Select Capital Appreciation Fund may enter into
these forward contracts primarily to protect the Portfolio from adverse currency
movement.
OTHER INFORMATION
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SHAREHOLDER VOTING RESULTS: (Unaudited)
At a special meeting of the shareholders of the Select Capital Appreciation Fund
held on June 3, 1998, shareholders approved the proposed Sub-Adviser Agreement
with T. Rowe Price Associates, Inc. The voting results were as follows:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
------------- ------------ ----------------- ------------------
137,219,092 2,053,458 4,249,555 100.00%
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ALLMERICA INVESTMENT TRUST
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REGULATORY DISCLOSURES
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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 Portfolios 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
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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 are not provided.
F-48
<PAGE>
Allmerica Select
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.
Allmerica Select is a division of the issuing companies. To be preceded or
accompanied by the current Allmerica Select Product prospectus. Read it
carefully before investing.
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INSURANCE
MARKETPLACE
STANDARDS
ASSOCIATION
MEMBERSHIP
PROMOTES
ETHICAL MARKET
CONDUCT FOR
INDIVIDUAL LIFE
INSURANCE AND
ANNUITIES
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ALLMERICA INVESTMENTS, INC.
440 Lincoln Street, Worcester, Massachusetts 01653
