SEPARATE ACCOUNT I OF 1ST ALLMERICA FINANCIAL LIFE INS CO
N-30D, 1996-09-04
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<PAGE>
 
                                                            SEMI-ANNUAL REPORT

                                                            June 30, 1996

                                                            Allmerica 
                                                            Choice & 
                                                            Allmerica
                                                            Advantage 
                                                            Retirement 
                                                            Choice



                             [GRAPHIC APPEARS HERE]


                                                                 [LOGO OF
                                                                 ALLMERICA
                                                                 FINANCIAL
                                                                 APPEARS HERE]
<PAGE>
 
GENERAL INFORMATION
- -------------------------------------------------------------------------------

OFFICERS OF FIRST ALLMERICA 
FINANCIAL LIFE INSURANCE COMPANY
John F. O'Brien, President and CEO
Eric A. Simonsen, Vice President and CFO
Richard J. Baker, Vice President and Secretary

INVESTMENT MANAGER
Allmerica Investment
  Management Co., Inc.
440 Lincoln Street
Worcester, MA 01653

GENERAL DISTRIBUTOR
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653

INDEPENDENT ACCOUNTANT
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110

CUSTODIAN
Bankers Trust Company
16 Wall Street
New York, NY 10005

LEGAL COUNSEL
Ropes & Gray
One International Place
Boston, MA02110

ADMINISTRATOR
First Data Investor Services Group
4400 Computer Drive
P.O. Box 5108
Westboro, MA 01581

OFFICERS OF ALLMERICA
Investment Trust (AIT)
Richard M. Reilly, President
Thomas P. Cunningham, Treasurer

BOARD OF TRUSTEES OF AIT
John F. O'Brien, Chairman
Russell E. Fuller
Gordon Holmes
John Kavanaugh
Bruce E. Langton
Attiat F. Ott
Richard M. Reilly
Ranne P. Warner
Thomas S. Zocco

Investment Sub-Advisers
Bank of Ireland Asset Management
2 Greenwich Plaza
Greenwich, CT 06830
  Select International Equity Fund

Janus Capital Corporation
100 Fillimore Street - Suite 300
Denver, CO 80206
  Select Capital Appreciation Fund

Nicholas-Applegate Capital Management
501 West Broadway - Suite 2000
San Diego, CA 92101
  Select Aggressive Growth Fund

Putnam Investment Management, Inc.*
One Post Office Square
Boston, MA 02109
  Select Growth Fund

Standish, Ayer & Wood, Inc.
One Financial Center
Boston, MA 02111
  Select Income Fund

INVESTMENT ADVISERS
Rowe Price-Fleming International, Inc.
100 E. Pratt Street
Baltimore, MD 21202
  T. Rowe Price International Stock Portfolio

<TABLE> 
<CAPTION> 
- ------------------------------------
CONTENTS
- ------------------------------------
<S>                              <C>        
A LETTER FROM THE PRESIDENT......  2

PERFORMANCE SUMMARY..............  3

DOMESTIC & INTERNATIONAL EQUITY 
MARKET OVERVIEW................. 4-5
Select International Equity Fund.  6
T. Rowe Price International 
Stock Portfolio..................  7
Select Aggressive Growth Fund....  8
Select Capital Appreciation Fund.  9
Select Growth Fund............... 10

BOND MARKET OVERVIEW.......... 11-12
Select Income Fund............... 13

FINANCIALS...................... F-1 

</TABLE> 
For further information, see the 
accompanying semi-annual reports.

*As of July 1, 1996 Putnam Investment 
Management, Inc. assumed sub-advisory
responsibilities of the Select Growth Fund.


                                                                               1
<PAGE>
 
- -------------------------------------------------------------------------------
                          A LETTER FROM THE PRESIDENT
- -------------------------------------------------------------------------------

[PHOTO OF JOHN F. O'BRIEN APPEARS HERE]

Dear Client:
   Entering 1996, many analysts were forecasting that the economy would grow
modestly, inflation would remain level, interest rates would decline slightly
and the bond and stock markets would return to more "normal" annual returns.
   However, the first six months have produced quite different results.
Following a stream of economic reports showing that the economy was far stronger
than had been anticipated, investors became concerned early in the year about
the potential for rising inflation. In response, interest rates rose 
significantly. The bond market declined -1.21% as measured by the Lehman
Brothers Aggregate Bond Index. And the 30-year U.S. Treasury bonds declined an
even greater -9.35%.
   In contrast, stock market investors ignored the concerns of the bond market
and focused instead on strong corporate earnings. That drove the stock market up
10.10% for the period, as measured by the Standard and Poor's 500 Stock Index.
In fact, this six-month return matched the market's average 12-month rate of
return for the past two decades.
   Both the stock market and the bond market returns for early 1996 reinforce
just how unpredictable the markets can be. Consequently Allmerica remains
focused on providing you with quality products and investment options that can
help you reach your long-term financial goals - regardless of what happens in
the short term.
   As part of that commitment, Allmerica continues to offer you access to a
broad array of money managers with complementary investment strategies. Our
Manager Evaluation Committee, in conjunction with a leading pension consultant,
has carefully selected some of the best money managers available in a spectrum
of investment categories. This Committee meets quarterly to monitor each
managers' performance and recommend any changes which may be appropriate. Such
was the case recently. We are pleased to announce that effective July 1, 1996
Putnam Investment Management, Inc. will assume sub-advisory responsibility of
the Select Growth Fund.
   This change reflects our commitment to carefully selecting each of our money
managers, ensuring they continue to earn their place on Allmerica's elite
roster.

On behalf of the Board of Directors,

/s/ John F. O'Brien

John F. O'Brien
President and CEO
First Allmerica Financial Life Insurance Company


                                         -------------------------------------  
                                         ...Allmerica remains focused on        
                                         providing you with quality products    
                                         and investment options that can help   
                                         you reach your long-term financial     
                                         goals - regardless of what happens in  
                                         the short term.                        
                                         -------------------------------------  



2
<PAGE>
 
Total returns for fund options included in this report do not reflect fees 
charged on the separate account level. Refer to the disclosure of the specific 
insurance product for such information.


                                                              For more 
                                                              information 
                                                              about the 
                                                              performance 
                                                              of the underlying
                                                              funds, see the 
                                                              Performance 
                                                              Reviews 
                                                              beginning 
                                                              on page 6.

                                                                               3
<PAGE>
 
DOMESTIC & 
INTERNATIONAL 
EQUITY MARKET 
OVERVIEW

1990-1991: Economic recession in the United States. A deep depression affects
much of the former Soviet bloc countries.

1992: U.S. economy continues its slow recovery. Larger companies downsize while
smaller firms thrive.

1993: A year of low interest rates and strong growth in the emerging markets.

1994: Federal Reserve Board raises interest rates six times stalling equity
markets.

1995: Favorable economic conditions result in tremendous gains for the U.S.
equity markets. Europe turns in strongest performance of international equity
markets.


   Sustained growth and renewed volatility characterized the domestic equity
market for the six months ending June 30, 1996.
   Surprisingly strong company fundamentals and corporate profits propelled the
stock market upward throughout the period. In fact, stocks of companies of all
sizes delivered solid returns.
   Continued demand for equities has played a major role in sustaining the
current bull market. This demand has been bolstered by corporate share
repurchase programs and merger/acquisition activities as well as by huge cash
inflows into equity mutual funds. During the first six months of 1996, over $99
billion streamed into equity mutual funds, nearly matching the $128 billion
record for all of 1995. So far, this demand has more than offset the supply
coming into the stock market.
   While demand has remained steady through this six-month period, individual
stocks and industries have gone in and out of favor. Investors have struggled to
predict which way interest rates would move - and consequently which segments of
the market would benefit from that shift.
   As in many first quarters, investors favored commodity stocks. A cold winter
and rising oil prices stimulated the energy group, which was led by drilling and
oil equipment suppliers.
   In 1996, many retail stocks recovered from a disappointing 1995. In the
second quarter in particular, footwear and apparel industries rebounded, posting
returns of 25% and 19%, respectively. Tobacco stocks also shook off their
critics, jumping 17% as a group. As a whole, technology stocks continued to
produce impressive double-digit

                  A cold winter                           Economic data
                  and rising oil                          shows economy
                  prices stimu-  [PICTURE APPEARS         growing at a
                  lates energy          HERE]             much faster rate
                  stocks.                                 than anticipated.
===============================================================================
                    JAN 96                      FEB 96
===============================================================================
                                      [PICTURE APPEARS  Strong company   
                                            HERE]       fundamentals  
                                                        and corporate 
                                                        profits sustain
                                                        current bull  
                                                        market   


4                                                       
<PAGE>
 
returns for the period, although not without significant volatility from
month to month. During June, many technology companies "pre-announced" news of
disappointing returns before the close of the quarter. Characteristically, many
market participants responded by selling off the entire sector.
   Moving into the second half of the year, the domestic stock market appears to
be maintaining its bullish outlook. In general, many analysts expect fair
valuations and continued investment inflows to facilitate an upward trend in the
market. However, short-term volatility is also likely to continue, as investors
continue to try to predict how specific sectors will be affected by various
economic signals.
   On the global scene, U.S. investors in international equities experienced
mixed results. Overall, solid gains in many foreign markets were offset by the
U.S. dollar's appreciation over the local currency. For example, the 7.56%
advance of Japan's Nikkei Index was reduced to a 2.39% gain when converted from
yen to U.S. dollars. And the 10.79% return of the German DAX was reduced to a
4.50% gain.
   To date, the most promising results for international investors have been in
Europe, where the establishment of the European Monetary Union (EMU) by 1999 now
seems likely. Numerous European countries exceeded the Morgan Stanley Europe,
Australia and the Far East (EAFE) Index for the first six months of 1996,
including France, Italy, Sweden, and the Netherlands.
   Following a decisive election victory by a coalition center-left party, Italy
turned out to be Europe's star performer in the second quarter, delivering a
13.62% gain in U.S. dollar terms. Conversely, Switzerland turned in a -2.40%
return, largely due to the weakness of the Swiss Franc against the U.S. dollar.
   Throughout the period, the performance of the United Kingdom market remained
lackluster. News of the country's political uncertainty, exacerbated by the beef
crisis, tended to drown out reports of strong company earnings and increased
takeover activity.
   While the Japanese economy has exhibited signs of recovery in the first six
months of the year, some portfolio managers caution that this growth may be
temporary.
   In Far Eastern markets, the increases in share values, anticipated since
early 1996, have not yet materialized. However, given the rate of economic
growth, some analysts continue to believe these markets offer attractively
valued opportunities.

<TABLE> 
<CAPTION> 
<S>                  <C>                <C>                 <C>                <C> 
After a disa-
pointing 1995,
retail stocks        [PICTURE OF        Europe delivers     
rebound, partic-      RETAIL TAGS       the strongest       [PICTURE OF        The U.S. dollar's
ularly in the         APPEARS           returns for inter-   MOUNTAINS         appreciation over
footware              HERE]             national equity      APPEARS HERE]     the local currency
and apparel                             investors.                             offsets solid gains
industries                                                                     in any foreign markets.
- -------------------------------------------------------------------------------------------------------
MAR 96                       APR 96                      MAY 96                JUNE 96
- -------------------------------------------------------------------------------------------------------
         [PICTURE OF    Although increasingly                   In just the first
          A PC APPEARS  volattle, technology                    six months of
          HERE]         stocks continue to                      the year, a       [PICTURE OF MONEY
                        produce impressive                      record $99         GOING THROUGH A
                        double-digit returns.                   billion streams    FUNNEL APPEARS
                                                                into equity        HERE]
                                                                mutual funds
</TABLE> 
                                                                                
                                                                               5
<PAGE>
 
- -------------------------------------------------------------------------------
                        SELECT INTERNATIONAL EQUITY FUND
- -------------------------------------------------------------------------------

INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management

ABOUT THE FUND:
Seeks maximum long-term total return 
by investing in established non-US com-
panies. based on fundamental value and 
strong opportunities for growth.

PERFORMANCE:
Net total return for the six-month period 
ending June 30, 1996:

<TABLE>
<S>                                  <C>
Select International Equity Fund     7.95%
Morgan Stanley EAFE Index            4.67%
Lipper International
  Fund Average                       8.02%
</TABLE>

PORTFOLIO COMPOSITION:
As of June 30, 1996, the geographic
distribution of net assets was:

[PIE CHART APPEARS HERE]

United Kingdom      29.79%
Indonesia            5.55%
Switzerland          9.56%
Australia            9.21%
Netherlands         10.79%
Singapore            7.85%
Germany              4.79%
Cash Equivalents     6.40%
Other               16.06%

The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.

Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.

Total returns for fund options shown in this report do not reflect fees charged
on the separate account level. Refer to the disclosure of the specific 
insurance product for such fee information.

In the first half of 1996, the Select International Equity Fund returned a solid
7.95%, outpacing the Morgan Stanley EAFE Index by more than three percentage
points and nearly matching the 8.02% return of the Lipper International Fund
Average.
   Much of this success can be attributed to the performance of individual
stocks within the Fund. Strong company earnings, ahead of expectations in many
cases, propelled the upward momentum.
   Takeover and merger activity was againa major factor in the markets. This
activity helped the performance of a number of individual stocks, primarily in
the healthcare and financial sectors.
   The Cyclical Recovery in Paper/Print Industries Theme rallied following a
disappointing performance in 1995. Other cyclical companies within the Global
Cyclical Recovery Theme recovered over the period but to a lesser extent than
the paper/print companies. Themes directed at growth in the Far East were mixed.
Financial companies within the Expanding Financial Services in Developing
Markets Theme performed strongly on the back of increased lending growth and
expansion margins.
   Moving into the third quarter, Bank of Ireland Asset Management expects
inflation to remain subdued. However, it cautions that European markets may
continue to be influenced by the direction of interest rates in the United
States and that political concerns in the United Kingdom will continue to
complicate matters. On a more positive note, the weakness of the core currencies
has benefited exports, since weaker currencies have made European products less
expensive in foreign markets.
   While the Japanese economy is showing signs of recovery, the Fund's
management remains cautious about its prospects. In contrast, Bank of Ireland
Asset Management believes the Far East will provide attractive investment
opportunities. We have not seen the kind of liquidity surge (and resulting
increase in share values) that has been expected since early 1996. As a result,
valuation levels are not excessive, given the rate of economic growth. They
continue to target those opportunities selectively.

- -------------------------------------------------------------------------------
                   GROWTH OF A $10,000 INVESTMENT SINCE 1994
- -------------------------------------------------------------------------------

                           [LINE GRAPH APPEARS HERE]

                                            5/94                6/96
Select International Equity Fund           $10,000            $12,463
Morgan Stanley EAFE Index                  $10,000            $11,669
Lipper International Fund Average          $10,000            $11,823

   -----------------------------------------------------------------------------
   A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
   $10,000 investment in the Select International Equity Fund, since its
   inception on May 2, 1994, to a similar group of investments: the Morgan
   Stanley EAFE Index and the Lipper International Fund Average. Performance
   benchmarking allows investors to objectively measure their fund's
   performance.
   -----------------------------------------------------------------------------
   The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
   Far East stocks. The Lipper International Fund Average is a non-weighted
   index of 336 funds within the International Fund category. Performance
   numbers are net of all fund operating expenses, but do not include insurance
   charges. If performance information included the effect of these additional
   charges, it would have been lower.


6
<PAGE>
 
- -------------------------------------------------------------------------------
                  T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
- -------------------------------------------------------------------------------

   As of June 30, 1996, the T. Rowe Price International Stock Portfolio
delivered a total return of 9.04%, significantly outperforming the Morgan
Stanley EAFE Index of 4.67%.
   Overall, the Portfolio's country allocation contributed positively to total
returns. Value was added in Europe, thanks to the Portfolio's overweighting in
the Netherlands and its underweighting in Switzerland. In Latin America, the
Portfolio's exposure to the Brazilian stock market also proved beneficial.
   Detracting from the Portfolio's successful country selection was its
overweighting in Korea and Singapore, whose performance negatively impacted
overall return.
   A number of strategic stock selections contributed to the Portfolio's
positive performance. The most value was added in Europe, where French and
German stocks proved particularly strong. Individual stock selections in Japan
and Brazil also enhanced performance. Stock picks in the Pacific Rim countries
other than Japan slightly subtracted from overall returns.
   In the second quarter of 1996, Rowe Price-Fleming International gradually
increased the Portfolio's exposure to the Japanese market, mainly through an
increase in the size of existing holdings. Concurrently, it took profits in the
Netherlands and Switzerland, channeling those profits into additional holdings
in Hong Kong and Brazil. The Portfolio's management also reduced the Portfolio's
exposure to Mexico and Singapore.
   Relative to the index, the Portfolio's emphasis remains away from Japan and
towards faster growing economies in the Pacific and Latin America. European
exposure remains neutral, although this masks overweightings in the Netherlands,
France and Norway which are balanced by underweightings in the United Kingdom,
Germany and Switzerland.
   Moving into the third quarter, the Portfolio's management looks forward to
strong international markets. Certain individual stocks look attractive in Japan
and Europe. In addition, Management also expects the smaller markets of Asia and
Latin America to continue to advance during 1996.

- -------------------------------------------------------------------------------
                   GROWTH OF A $10,000 INVESTMENT SINCE 1994
- -------------------------------------------------------------------------------

                           [LINE GRAPH APPEARS HERE]
                                                 3/94           6/96
T. Rowe Price International Stock Portfolio    $10,000        $12,341
Morgan Stanley EAFE Index                      $10,000        $12,048
Lipper International Fund Average              $10,000        $11,823

- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in T. Rowe Price International Stock Portfolio, since its inception
on March 31, 1994, to a similar group of investments: the Morgan Stanley EAFE
Index and the Lipper International Fund Average. Performance benchmarking allows
investors to objectively measure their portfolio's performance.
- --------------------------------------------------------------------------------
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.

INVESTMENT ADVISER:
Rowe Price-Fleming International, Inc.

ABOUT THE FUND:
The Portfolio seeks long-term growth through a highly diversified portfolio of
foreign stocks.

PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:

<TABLE>
<S>                                  <C>
T. Rowe Price International
 Stock Portfolio                     9.04%
Morgan Stanley EAFE Index            4.67%
Lipper International
 Fund Average                        8.02%
</TABLE>

PORTFOLIO COMPOSITION:
As of June 30, 1996, the geographic distribution of net assets was:

[PIE CHART APPEARS HERE]

Europe 49.8%
Japan 23.6%
Far East 12.4%
Latin America 6.2%
United States 5.6%
Other 2.4%

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.

Total returns for fund options shown in this report do not reflect fees charged
on the separate account level. Refer to the disclosure of the specific insurance
product for such fee information.


                                                                               7
<PAGE>
 
- -------------------------------------------------------------------------------
                         SELECT AGGRESSIVE GROWTH FUND
- -------------------------------------------------------------------------------

INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management

ABOUT THE FUND:
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock price.

PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:

<TABLE>
<S>                                  <C>
Select Aggressive Growth Fund        14.76%
Russell 2000 Index                   10.36%
Lipper Capital Appreciation
 Fund Average                        11.50%
</TABLE>

PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector allocation of net assets was:

[PIE CHART APPEARS HERE]

Technology 17.79%
Financial 10.32%
Chemicals & Drugs 5.03%
Health Products and Care 7.57%
Consumer Products 6.56%
Energy 9.40%
Durable Goods 16.94%
Cash Equivalents 3.01%
Other 23.38%

The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.

Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.

Total returns for fund options shown in this report do not reflect fees charged
on the separate account level. Refer to the disclosure of the specific 
insurance product for such fee information.

For the first six months of 1996, the Select Aggressive Growth Fund delivered a
14.76% return, significantly outperforming the 10.36% return of the Russell 2000
Index as well as the 11.50% of the Lipper Capital Appreciation Fund Average.
   Driving the Fund's outperformance of its benchmarks was its solid stock
selection - particularly in the financial service, energy, utility,
manufacturing, technology, and health care sectors. An overweighting in the
technology and health care sectors, which performed well throughout most of the
period, also contributed to the Fund's double-digit gains.
   In the technology sector, which represented nearly 18% of the portfolio's
holdings, the Fund's management concentrated on four key areas: 1) semi-
conductors and electronic components, 2) telecommunications equipment, 
3) computers and office automation, and 4) software. As a whole, these holdings
produced excellent gains for the overall period but increased volatility for
specific months.
   In the health care sector, the Fund management's focus was on
pharmaceuticals, biotechnology, medical supplies, managed health care and health
services.
   Because of the outperformance of large capitalization stocks since 1994, the
Fund's management believes that small and mid cap stocks now offer attractive
values. The Fund's assets will remain invested in those companies that the
manager believes to be fundamentally strong and that exhibit the fastest growth
potential. Presently, the average growth rate for stocks held in the Fund is
33% - which is significantly higher than both the S&P 500 and the Russell 2000
Indices.
   Beside the fundamentals of the companies themselves, the Fund's management
believes that the direction of interest rates will be the major factor
influencing stock prices for the remainder of the year. The Fund's management
believes that an increase in interest rates could depress growth stocks more
than value stocks. While the long-term prospects for growth companies should
remain strong, management cautions that aggressive growth stocks may be
particularly sensitive to short-term economic events.

- -------------------------------------------------------------------------------
                   GROWTH OF A $10,000 INVESTMENT SINCE 1992
- -------------------------------------------------------------------------------

                           [LINE GRAPH APPEARS HERE]

                                              8/92             6/96
Select Aggressive Growth Fund               $10,000          $21,243
Russell 2000 Index                          $10,000          $18,885
Lipper Capital Appreciation Fund Average    $10,000          $18,998

- -----------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Select Aggressive Growth Fund, since its inception
on August 21, 1992, to a similar group of investments: The Russell 2000 Index
and the Lipper Capital Appreciation Fund Average. Performance benchmarking
allows investors to objectively measure their fund's performance.
- -----------------------------------------------------------------------------
The Lipper Capital Appreciation Fund Average is a non-weighted index of 193
capital appreciation mutual funds. The Russell 2000 Index is an unmanaged
composite of 2,000 small capitalization stocks. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.


8
<PAGE>
 
- -------------------------------------------------------------------------------
                        SELECT CAPITAL APPRECIATION FUND
- -------------------------------------------------------------------------------

For the first six months of 1996, the Select Capital Appreciation Fund
significantly outperformed its benchmark by over three percentage points,
delivering an impressive 13.64% return.
   Throughout this period of uncertainty, the Fund's management remained focused
on companies with exceptional growth potential that can be consistently realized
regardless of economic conditions. Stock selections have included: 

   . HFS, a hotel franchisor that has developed a number of successful cross-
     selling strategies in lodging and real estate;
   . CUC International, an operator of membership discount clubs; and
   . Global DirectMail, a catalogue retailer of computer peripherals and office
     products.
   Other strong performers for the Fund in the second quarter were Culligan, the
maker of water purification products, and Millicom International, which is
expanding its cellular services into emerging economies.
   In the second quarter, the Fund's management took profits in a number of the
holdings. Prominent in this group were Medaphis, a provider of accounting
services to physicians' groups, auto parts distributor AutoZone, and long-time
holding Lone Star Steakhouse.
   On the minus side, the Fund's management liquidated its position in General
Nutrition Centers at a loss, after General Nutrition's sluggish sales weighed
heavily on its stock price. Despite disappointing second quarter results from
one of the Fund's major positions, Paging Network, the Fund's management is
holding the stock in anticipation of stronger results.
   During this period, two key positions were added to the Fund: Matrix
Pharmaceutical - a drug delivery company pioneering innovative delivery systems
for cancer drugs; and Fastenal - a nuts and bolts manufacturer with an
exceptional corporate culture dedicated to sales and customer service.
   Overall, the Fund's management is optimistic about the earnings potential of
current holdings, but concerned about the persistence of higher interest rates.
Rather than trying to time the market, Janus Capital will remain focused on
strong individual stock selection.

- -------------------------------------------------------------------------------
                   GROWTH OF A $10,000 INVESTMENT SINCE 1995
- -------------------------------------------------------------------------------

                           [LINE GRAPH APPEARS HERE]

                                               4/95               6/96
Select Capital Appreciation Fund             $10,000            $15,859
S&P 500 Index                                $10,000            $13,334
S&P Mid Cap 400 Index                        $10,000            $13,231
Russell 2000 Index                           $10,000            $13,551
Lipper Capital Appreciation Fund Average     $10,000            $14,489

- -----------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Select Capital Appreciation Fund, since its
inception on April 28, 1995, to a similar group of investments: the S&P
500(R) Index, the Russell 2000 Index and the Lipper Capital Appreciation Fund
Average, and effective with this report the S&P Mid Cap 400(R) Index to more
accurately reflect the actual portfolio composition. Performance benchmarking
allows investors to objectively measure their fund's performance.
- -----------------------------------------------------------------------------
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index and the S&P Mid Cap 400(R) Index are registered trademark of the
Standard & Poor's Corporation. The S&P Mid Cap 400(R) Index is an unmanaged
index consisting of 400 domestic stocks chosen for market size, liquidity and
industry group representation. The Russell 2000 Index is an unmanaged
composite of 2,000 small capitalization stocks. The Lipper Capital
Appreciation Fund Average is a non-weighted index 193 funds in the capital
appreciation investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have
been lower.

INVESTMENT SUB-ADVISER:
Janus Capital Corporation

ABOUT THE FUND:
The Fund seeks to construct a concentrated portfolio of rapidly growing 
reasonably valued stocks.

PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:

<TABLE>
<S>                                <C>
Select Capital
 Appreciation Fund                 13.64%
S&P 500(R) Index                   10.10%
S&P Mid Cap 400(R) Index            9.21%
Russell 2000 Index                 10.36%
Lipper Capital Appreciation
 Fund Average                      11.50%
</TABLE>

PORTFOLIO COMPOSITION: 
As of June 30, 1996, the sector allocation of net assets was:

[PIE CHART APPEARS HERE]

Business Services         18.43%
Transportation             4.08%
Financial                  6.92%
Chemicals & Drugs          5.88%
Telecommunications        15.69%
Consumer Staples           4.05%
Retail                     8.46%
Building & Construction    4.05%
Cash & Equivalents         4.24%
Other                     28.20%

The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.

Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.

Total returns for fund options shown in this report do not reflect fees charged
on the separate account level. Refer to the disclosure of the specific insurance
product for such fee information.


                                                                               9
<PAGE>
 
- -------------------------------------------------------------------------------
                               SELECT GROWTH FUND
- -------------------------------------------------------------------------------

INVESTMENT SUB-ADVISER:
Provident Investment Counsel*

ABOUT THE FUND:
Seeks long-term growth of capital by investing in stocks of companies believed
to have significant potential for capital appreciation.

PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:

                                    
Select Growth Fund                 12.27%
S&P 500(R) Index                   10.10%
Lipper Growth Fund Average         10.08%

PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector allocation of net assets was:

[PIE CHART APPEARS HERE]

Technology             13.62%
Electronics             9.05%
Financial              11.86%
Health Services         7.20%
Consumer Products       3.69%
Business Services       9.08%
Chemicals & Drugs      12.44%
Telecommunications      5.36%
Cash Equivalents       10.45%
Other                  17.25%

The Select Growth Fund is a portfolio of the Allmerica Investment Trust.

*As of July 1, 1996, Putnam Investment Management, Inc. assumed sub-advisory
responsibilities for the Select Growth Fund.

Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.

Total returns for fund options shown in this report do not reflect fees charged
on the separate account level. Refer to the disclosure of the specific insurance
product for such fee information.

During the first six months of 1996, the Select Growth Fund successfully
capitalized on the continuing stock market rally, turning in an impressive
mid-year return of 12.27%. This return surpassed both the 10.10% return of the
S&P 500(R) Index as well as the 10.08% return of the Lipper Growth Fund Average.
   The Fund's outperformance of its benchmarks can be largely attributed to its
strong stock selection success. In the entertainment and leisure area, the
Fund's management invested in HFS Inc. - which returned 44% during the second
quarter alone. Encouraged by strengthening fundamentals in the gaming industry,
the Fund's management also invested in Mirage and Circus Circus - both of which
appreciated 22% during the second quarter.
   In the technology sector, the Fund maintained positions in Oracle and
Microsoft, which continued to dominate their respective product categories. The
Fund's holdings in both Andrew Corp. and U.S. Robotics gained a phenomenal 100%
during the first six months of 1996.
   The Fund's management continues to be optimistic about the prospects for the
equity market in general - given the fact that corporate profits have been
growing two to four times faster than the underlying economy during the last
four years.
   Specifically, the Fund's management is bullish on growth companies that have
been able to increase both revenues and profits. Management believes that
economically sensitive companies, having improved operating efficiencies to
increase profits, will have a difficult time growing their earnings without
revenue growth.
   Given this outlook, continued success in the equity markets during 1996 will
likely depend on careful individual stock selection rather than on "buying the
market."

- -------------------------------------------------------------------------------
                   GROWTH OF A $10,000 INVESTMENT SINCE 1992
- -------------------------------------------------------------------------------

                           [LINE GRAPH APPEARS HERE]

                                  8/92                 6/96
Select Growth Fund              $10,000              $15,458
S&P 500 Index                   $10,000              $17,645
Lipper Growth Fund Average      $10,000              $18,776

- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select Growth Fund, since its inception on August 21, 1992, to
a similar group of investments: the S&P 500(R) Index and the Lipper Growth Fund
Average. Performance benchmarking allows investors to objectively measure their
fund's performance.
- --------------------------------------------------------------------------------
   The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
   Index is a registered trademark of the Standard & Poor's Corporation. The
   Lipper Growth Fund Average is a non-weighted index of 677 funds within the
   growth investment objective. Performance numbers are net of all fund
   operating expenses, but do not include insurance charges. If performance
   information included the effect of these additional charges, it would have
   been lower.


10
<PAGE>
<TABLE> 
<S>                                            <C>                                    <C> 
BOND MARKET OVERVIEW                                The first six months of           than had been expected. Such good     
                                               this year have proven to be            news usually means bad news for
1992: Government and corporate                 particularly trying for bond           bond investors - and 1996 has        
bonds outperformed the stock market.           investors. After experiencing          been no exception. As interest       
                                               the  euphoria of double-digit          rates climbed rapidly from            
1993: U.S. economy gains momentum.             returns in 1995,  investors            February to June, bond prices         
Consumer spending and installment debt         entered 1996 with expect-              fell. In response, investors sold     
increase.                                      ations  of a strong performance        fixed income securities across the    
                                               or at least positive results.          maturity spectrum.                     
1994: Federal Reserve Board raises             However, as of June 30, 1996,             During the second quarter of       
interest rates six times in an effort          the fixed income market posted a       the year, continued  signs of           
to slow down the economy and keep              negative return    of -1.21%, as       economic strength further depres-        
inflation in check, sending bond               measured by the Lehman Brothers        sed bond prices. The yield curve        
prices sharply lower.                          Aggregate Bond Index.                  steepened as yields of intermed-        
                                                  Entering the year, many anal-       iate and long-term maturities           
1995: U.S. bond market enjoys its third        ysts anticipated that a balanced       rose more than short-term matur-       
best performance in 30 years, thanks to        budget agreement, additional rate      ities.                                    
strong total returns from 30-year U.S.         cuts by  the Federal Reserve,             Ironically, the poorest perfor-      
Treasuries and corporate issues.               and restrained economic growth         mance to date has been from those          
                                               would sustain the performance of       bonds many believe to be  the            
                                               the bond market. Some econo-           least "risky". As of June 30,           
                                               mists were even predicting the         1996, 30-Year Treasury bonds           
                                               economy would slip into reces-         have lost about 9.35%  since           
                                               sion. While preliminary economic       the first of the year.                  
                                               data did prompt the Federal               The only truly bright spot in     
                                               Reserve to cut interest rates by       the fixed income securities mar-     
                                               0.25% in late January, this trend      kets this year has been high         
                                               did not last long.                     yield bonds. In fact, the high       
                                                  Beginning in February, a stream     yield sector, up over 3%, was        
                                               of positive economic reports re-       virtually the only sector of the      
                                               vealed a much healthier economy        fixed income market to post posi-    
                                                                                      tive returns during the first        
                                                                                      half of 1996.                         
</TABLE> 
<TABLE>
<S>                 <C>                 <C>                                           <C>                <C>
                    Investors lose                                                                       shows economy     
                    confidence that       [LOGO OF CAPITOL BUILD-                     [LOGO OF CHART     growing at a      
                    the debate over        ING APPEARS HERE]                           APPEARS HERE]     much faster rate  
                    the  federal                                                                         than expected,    
                    budget deficit                                                                       bad news for      
                    will be resolved.                                                                    bond investors.    
1996                                     JAN 96                                             FEB 96
- -----------------------------------------------------------------------------------------------------------------------
                                            Federal Reserve  
                                            cuts target rate    [LOGO OF DOLLAR    
                                            for Federal          SIGN APPEARS HERE] 
                                            Funds another    
                                            0.25%.           
                    
</TABLE> 
                    

                                      11

<PAGE>
 
BOND MARKET OVERVIEW (cont.)

   The relatively strong performance of high yield bonds can be attributed to
two key factors. High yield bonds are less sensitive to changes in interest
rates than other types of bonds, and the strong U.S. economy has reduced
investors' concerns about credit risk over the near term. Even though the supply
of new high yield issues increased during the second quarter of 1996, heavy
demand sustained their prices. This demand was fueled by large cash inflows from
investors now comfortable with assuming higher risk in hopes of higher yields.
   To date, corporate bonds have also benefited from the positive economic news.
On a duration-adjusted basis, corporate bonds outpaced U.S. Treasury bonds. An
improving economic outlook, solid credit fundamentals, limited new issues, and
strong investor demand all combined to boost the performance of most sectors of
the industrial market.
   Changes in interest rates had a somewhat positive effect on mortgage-backed
securities. As interest rates stabilized around 7% in the second quarter,
investors began to believe that their fears of refinancings were no longer
founded. Given that homeowners were shying away from any remortgaging activity,
mortgage yield spreads tightened and mortgage-backed securities outperformed the
bond market in general.
   By the end of June, several key signs of moderating growth began to calm
investor concerns that the economy was overheated. Prices of most commodities as
well as consumer goods have remained subdued. The consumer, hampered by existing
high debt burdens, has shown little inclination to go on a spending spree. And
the manufacturing sector outside of autos is exhibiting only modest signs of
improvement.
   Despite these trends, fears linger that the Federal Reserve will move to slow
growth by increasing interest rates and tightening the money supply. These fears
were reflected in the increasing yield differential between three-month U.S.
Treasury bills and two-year U.S. Treasury notes. In January, the yield for
two-year Treasuries exceeded three-month Treasuries by only one-tenth of one
point. By June, this differential had increased to almost a full percentage
point.
   Going forward, many fixed income managers expect the U.S. economy to weaken
in the second half of 1996. If so, and the Federal Reserve refrains from raising
rates, bonds may recover in the second half of the year. If the Federal Reserve
does raise rates, bond prices could fall further. Either way, fixed income
securities may be headed for continued volatility, as analysts struggle to
predict the short-term direction of interest rates.

[PICTURE        Corporate bonds      [PICTURE               Rising interest    
 APPEARS        outpace Treasury      APPEARS               rates relieve fears 
 HERE]          bonds, driven by      HERE]                 of refinancing     
                improving outlook                           activity, boosting 
                and strong demand.                          mortgage-backed    
                                                            issues.             
- -------------------------------------------------------------------------------
MAR 96              APR 96        MAY 96              JUNE 96
- -------------------------------------------------------------------------------
Interest rates       High yield bonds    [PICTURE    Yields of inter-
begin to rise, a     prove to be high-    APPEARS    mediate maturi- 
trend that contin-   est performing       HERE]      ties rise more  
ued through          sector of fixed                 than either     
remainder or         income market.                  short or long-  
period.                                              term securities. 

Fears persist that 
Federal reserve 
may again raise 
rates to lighten 
money supply.

12
<PAGE>
 
- -------------------------------------------------------------------------------
                               SELECT INCOME FUND
- -------------------------------------------------------------------------------

In the first six months of 1996, a surprisingly strong economy, rising interest
rates, and inflationary fears combined to depress the entire bond market.
Reflecting this turbulent mood, the Select Income Fund delivered a total return
of -1.65% as of June 30, 1996. This performance only slightly trailed the -1.21%
return of the Fund's benchmark, the Lehman Brothers Aggregate Bond Index.
   The bond market entered 1996 by continuing the bull market of 1995. In this
environment, the Select Income Fund benefited from its overweighting in
mortgage-backed securities as well as its slightly longer duration position
relative to the benchmark. However, the positive news ended abruptly as interest
rates rose during February and March. At the end of the first quarter, the
Select Income Fund was down -1.98%, compared to -1.79% for its benchmark.
   In the second quarter of the year, the Fund's management modified the asset
mix slightly to better accommodate a strengthening economy. To boost overall
returns, the management took profits in some of its mortgage-backed securities.
These profits were primarily channeled into U.S. Treasuries and corporate bonds
issued by financial and industrial companies. This repositioning can be credited
with the Fund's outperformance of its benchmark in the latter part of the second
quarter.
   Going forward, the Fund's management anticipates that economic growth will
moderate and inflationary pressures will subside. Over time, the higher yields
from corporate bonds and mortgage-backed securities are expected to enhance the
Fund's return relative to the benchmark which is heavily weighted in U.S.
Treasuries.
   The Fund's management continues to believe that 7% represents excellent value
in the bond market. The portfolio is therefore positioned with a slightly longer
duration position. As for yield curve positioning, the majority of the Fund's
bonds will remain in the intermediate range, with maturities from 3 to 14 years.

- -------------------------------------------------------------------------------
                   GROWTH OF A $10,000 INVESTMENT SINCE 1992
- -------------------------------------------------------------------------------
                           [LINE GRAPH APPEARS HERE]

                                            8/92             6/96
Select Income Fund                         $10,000         $12,224
Lehman Brothers Aggregate Bond Index       $10,000         $12,479
Salomon Brothers Broad Market Index        $10,000         $12,617
   -----------------------------------------------------------------------------
   A GUIDE TO REVIEWING PERFORMANCE  The chart above compares the value
   of a $10,000 investment in the Select Income Fund, since its inception on
   August 21, 1992, to a similar group of investments; the Lehman Brothers
   Aggregate Bond Index and the Salomon Brothers Broad Market Index. Performance
   benchmarking allows investors to objectively measure their fund's
   performance.
   -----------------------------------------------------------------------------
   The Lehman Brothers Aggregate Bond Index is an unmanaged index of average
   yield U.S. investment grade bonds. Salomon Brothers Broad Market Index tracks
   the performance of investment grade securities traded in the U.S. Bond
   Market. Performance numbers are net of all fund operating expenses, but do
   not include insurance charges. If performance information included the effect
   of these additional charges, it would have been lower.

INVESTMENT SUB-ADVISER:
Standish, Ayer & Wood, Inc.

ABOUT THE FUND:
The Fund seeks above average income from corporate bonds, mortgages and bonds
issued by the U.S. Government.

PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:

<TABLE>
<S>                                <C>
Select Income Fund                 -1.65%
Lehman Brothers
 Aggregate Bond Index              -1.21%
Salomon Brothers Broad
 Market Index                      -1.26%
</TABLE>

PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector allocation of net assets was:

[PIE CHART APPEARS HERE]

U.S. Government and Agency Obligations    46.96%
Corporate Notes & Bonds                   47.03%
Cash Equivalents and Other                 6.01%

The Select Income Fund is a portfolio of the Allmerica Investment Trust.

Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.

Total returns for fund options shown in this report do not reflect fees charged
on the separate account level. Refer to the disclosure of the specific insurance
product for such fee information.


                                                                              13
<PAGE>
 
                                                                 Financials
<PAGE>
 
                      This page intentionally left blank.
<PAGE>
 
- --------------------------------------------------------------------------------
                        SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
              PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                    Value
   Shares                                         (Note 2)
- ---------------------------------------------------------------
COMMON STOCKS - 95.83%
  <S>      <C>                                    <C>
           Australia - 9.01%
  257,340  Broken Hill Proprietary Co., Ltd.    $   3,558,633
  364,575  MIM Holdings                               470,581
  522,720  National Australia Bank, Ltd.            4,834,050
  711,270  News Corp.                               4,036,211
  373,500  WMC, Ltd.                                2,675,076
                                                -------------
                                                   15,574,551
                                                -------------

           Finland - 1.00%
   83,300  UPM-Kymmene*                             1,723,053
                                                -------------

           France - 1.57%
   19,930  Elf Aquitaine                            1,465,689
   25,700  Michelin                                 1,256,023
                                                -------------
                                                    2,721,712
                                                -------------

           Germany - 4.79%
   87,020  Hoechst AG                               2,938,515
    7,120  Mannesmann AG                            2,451,077
   31,760  Siemens AG                               1,702,197
   22,400  Veba AG                                  1,190,535
                                                -------------
                                                    8,282,324
                                                -------------

           Indonesia - 5.55%
  528,000  Gudang Garam                             2,262,930
  263,000  Hero Supermarkets                          259,901
  379,000  Ilanj Mandela Sempoerna                  4,315,284
  358,000  Indocement Tunggal Perkasa               1,230,544
  135,000  Kalbe Farma                                301,621
  767,000  Mayora Indah                               428,413
  534,000  Telekomunikasi                             808,769
                                                -------------
                                                    9,607,462
                                                -------------

           Ireland - 1.92%
  162,000  Allied Irish Banks                         841,123
  923,350  Smurfit(Jefferson) Group                 2,478,202
                                                -------------
                                                    3,319,325
                                                -------------

           Italy - 1.19%
  608,010  STET Societa Finanziaria Telefonica      2,054,529
                                                -------------

           Japan - 1.95%
  162,000  Canon, Inc.                              3,367,569
                                                -------------

           Malaysia - 3.88%
  483,000  Development & Commercial
           Bank Holdings, Berhad                    1,655,013
  304,000  Hume Industries Berhad                   1,486,352
  701,200  Sime-Darby Berhad                        1,939,006
  236,000  United Engineers                         1,636,237
                                                -------------
                                                    6,716,608
                                                -------------

           Mexico - 0.85%
  691,700  Grupo Financiero Banmex, Series B        1,441,851
   10,491  Grupo Financiero Banmex, Series L*          19,931
                                                -------------
                                                    1,461,782
                                                -------------

           Netherlands - 10.79%
   66,028  ABN-Amro Holdings                        3,543,230
   13,310  DSM NV                                   1,321,662
  274,400  Elsevier, NV                             4,163,480
   96,498  ING Groep, NV                            2,877,482
   16,661  Nutricia Ver Bedrijven                   1,761,795
   61,800  Philips Electronics                      2,009,343
   10,710  Royal Dutch Petroleum                    1,653,893
   34,955  Royal PTT Nederland, ADR                 1,322,891
                                                -------------
                                                   18,653,776
                                                -------------

           Philippines - 0.20%
   99,000  San Miguel, Class B                        342,096
                                                -------------

           Singapore - 7.85%
  373,000  City Developments                        2,906,954
  307,000  Development Bank of Singapore            3,828,139
  252,600  Fraser and Neave, Ltd., Ord              2,612,900
  215,800  Singapore Press                          4,235,141
                                                -------------
                                                   13,583,134
                                                -------------

           Spain - 2.37%
   24,595  Banco de Santander                       1,147,158
  123,300  Iberdrola I                              1,264,631
   48,750  Repsol                                   1,693,937
                                                -------------
                                                    4,105,726
                                                -------------

           Sweden - 0.70%
   36,900  Assi Doman AB                              859,178
   26,000  Stora Kopparbergs Bergslags
           Aktiebolag, Series A                       342,854
                                                -------------
                                                    1,202,032
                                                -------------

           Switzerland - 9.56%
    4,042  Alusuisse Lonza Holdings, Regd           3,335,929
    4,972  Ciba-Geigy AG, Regd                      6,057,887
      354  Roche Holdings AG                        2,699,600
    1,615  Sandoz                                   1,846,428
    2,535  Schweiz Ruckverisch                      2,602,563
                                                -------------
                                                   16,542,407
                                                -------------
</TABLE>


                       See Notes to Financial Statements.
- ---------------------------------------------------------

                                                                             F-1
<PAGE>
 
- --------------------------------------------------------------------------------
                         SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
         PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                    Value
   Shares                                         (Note 2)
  -----------------------------------------------------------
  <S>      <C>                                    <C>
           Thailand - 2.86%
  205,800  Bangkok Bank Public Co., Ltd         $   2,787,299
  197,800  Thai Farmers Bank Public Co., Ltd        2,164,965
                                                -------------
                                                    4,952,264
                                                -------------

           United Kingdom - 29.79%
  325,300  Argyll Group, Plc                        1,753,917
  327,350  Barclays Bank, Ord                       3,931,763
  605,750  B.A.T Industries, Ord                    4,715,488
  513,577  BTR, Plc, Ord                            2,022,921
  196,000  Cable & Wireless                         1,297,362
  352,930  Cadbury Schweppes                        2,791,270
  187,350  Chubb Security, Plc, Ord                   940,268
  254,000  Coats Viyella, Plc, Ord                    678,825
  188,050  General Accident, Plc, Ord               1,908,016
  333,700  General Electric Co., Ord                1,799,207
  182,450  Granada Group, Plc                       2,443,693
  263,409  Grand Metropolitan, Plc, Ord             1,747,648
  368,300  Ladbroke Group, Plc                      1,030,077
  503,550  Lloyds TSB Group, Plc                    2,464,612
  245,000  Medeva, Plc, Ord                           955,510
  212,450  Premier Farnell                          2,224,908
  333,750  Prudential Corp.,Plc, Ord                2,105,440
  306,280  Scottish Power, Plc                      1,446,730
  164,000  Shell T&T                                2,402,985
  276,550  Siebe Plc, Ord                           3,927,492
  117,830  Thorn EMI, Plc                           3,284,534
  231,500  TI Group                                 1,935,213
  297,700  Vodafone Group, Plc                      1,107,847
  118,250  Zeneca Group, Plc, Ord                   2,614,576
                                                -------------
                                                   51,530,302
                                                -------------
           Total Common Stocks                    165,740,652
                                                -------------
           (Cost $150,706,732)


<CAPTION>

PREFERRED STOCK - 0.20%
<S>        <C>                                   <C>
   69,985  News Corp., Ltd. (Australia)         $     341,508
                                                -------------
           Total Preferred Stock                      341,508
                                                -------------
           (Cost $278,776)


INVESTMENT COMPANIES - 6.40%

4,229,791  ILA Prime Obligation Portfolio Fund, 
           Class B                                  4,229,791
6,851,727  Lehman Brothers Prime Fund, Class A      6,851,727
                                                -------------
           Total Investment Companies              11,081,518
                                                -------------
           (Cost $11,081,518)

Total Investments - 102.43%                       177,163,678
                                                -------------
(Cost $162,067,026)
Net Other Assets and Liabilities - (2.43)%         (4,210,797)
                                                -------------
Net Assets - 100.00%                             $172,952,881
                                                -------------
                                                -------------
</TABLE> 
- --------------------------------------------------------------
*     Non income producing security.
ADR   American Depositary Receipt



FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
                                                                            Unrealized  
  Currency     Contracts To  Settlement   Contracts At    In Exchange      Appreciation 
    Value         Deliver       Dates         Value       for U.S. $      (Depreciation)
 ----------    ------------  ----------   ------------   -------------    --------------
 <S>           <C>           <C>          <C>            <C>              <C>           
  9,300,000        CHF        08/19/96    $  7,479,102   $   7,413,017    $     (66,085)
  7,581,000        DEM        08/27/96       5,006,090       4,966,751          (39,339)
 27,642,000        NLG        09/16/96      16,249,298      16,232,786          (16,512)
 27,227,000        NLG        07/01/96      16,005,341      15,781,480         (223,861)
                                          ------------   -------------    --------------
                                          $ 44,739,831   $  44,394,034    $    (345,797)
                                          ------------   -------------    --------------
                                          ------------   -------------    --------------
</TABLE>


- ----------------------------
CHF  Swiss Francs
DEM  Deutsche Marks
NLG  Dutch Guilders


                       See Notes to Financial Statements.
                       ---------------------------------------------------------


F-2
<PAGE>
 
                         SELECT AGGRESSIVE GROWTH FUND

              PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                    Value
   Shares                                         (Note 2)
  ----------------------------------------------------------
COMMON STOCKS - 95.47%
  <S>      <C>                                   <C>
           Technology - 17.79%
   37,000  Adaptec, Inc.*                        $ 1,752,875
  144,400  Atmel Corp.*                            4,350,050
   73,200  C-Cube Microsystems, Inc.*              2,415,600
   76,400  CISCO Systems, Inc.*                    4,326,150
   63,300  Computer Associates International, Inc. 4,510,125
   66,500  Gartner Group, Inc., Class A*           2,435,563
  209,400  Global Village Communication, Inc.*     1,727,550
   56,400  Henry (Jack) & Associates, Inc.         1,917,600
  170,700  Iomega Corp.*                           4,950,300
  100,800  Komag, Inc.*                            2,658,600
   25,700  Madge Networks N.V.*                      372,650
  106,875  McAfee Associates, Inc.*                5,236,875
  118,400  Neurogen Corp.*                         3,048,800
  148,900  Ortel Corp.*                            3,648,050
   59,000  PairGain Technologies, Inc.*            3,658,000
   81,100  Parametric Technology Corp.*            3,517,713
   92,000  Sun Microsystems, Inc.*                 5,416,500
   95,400  Veritas Software Corp.*                 4,102,200
                                                 -----------
                                                  60,045,201
                                                 -----------

           Durable Goods - 16.94%
   86,700  Aetrium, Inc.*                          1,560,600
   51,800  America Online, Inc.*                   2,266,250
   53,000  Ancor Communications, Inc.*               886,531
   69,900  Aspect Telecommunications Corp.*        3,460,050
   54,700  BMC Software, Inc.*                     3,268,325
   69,400  Cascade Communications Corp.*           4,719,200
   53,600  Chrysler Corp.                          3,323,200
   89,800  CompUSA, Inc.*                          3,064,425
   86,600  Compuware Corp.*                        3,420,700
   35,000  Dionex Corp.*                           1,128,750
  160,000  GenRad, Inc.*                           2,640,000
   87,400  Helix Technology Corp.                  3,386,750
   72,300  In Focus Systems, Inc.*                 1,753,275
   88,600  JLG Industries, Inc.                    6,578,550
   11,000  SPX Corp.                                 269,500
  147,000  Staples, Inc.*                          2,866,500
   67,200  U.S. Robotics Corp.*                    5,745,600
  130,400  Western Digital Corp.*                  3,406,700
   60,200  Zygo Corporation*                       2,633,750
   42,900  Zytec Corp.*                              777,563
                                                 -----------
                                                  57,156,219
                                                 -----------

           Financial - 10.32%
  106,500  Aames Financial Corp.                   3,820,688
   43,900  ALLIED Group, Inc.                      1,909,650
  111,905  Bear Stearns Cos., Inc.                 2,643,756
   92,800  Green Tree Financial Corp.              2,900,000
  109,000  HCC Insurance Holdings, Inc.*           2,452,500
  118,000  Imperial Credit Industries, Inc.        3,569,500
   76,800  Lehman Brothers Holdings, Inc.          1,900,800
   96,500  MBNA Corp.                              2,750,250
   58,600  Money Store, Inc.                       1,296,525
   70,000  Morgan Stanley Group, Inc.              3,438,750
   57,700  PennCorp Financial Group, Inc.          1,831,975
   31,100  Primark Corp.*                          1,014,647
   85,400  Salomon, Inc.                           3,757,600
   46,800  TCF Financial Corp.                     1,556,100
                                                 -----------
                                                  34,842,741
                                                 -----------

           Energy - 9.40%
   64,300  Chesapeake Energy Corp.*                5,778,963
  117,000  Global Industries, Ltd.*                3,480,750
  298,000  NorAm Energy Corp.                      3,240,750
  131,000  Parker & Parsley Petroleum Co.          3,635,250
  212,300  Pride Petroleum Services, Inc.*         3,025,275
  196,000  Reading & Bates Corp.*                  4,336,500
   75,200  Sonat Offshore Drilling, Inc.           3,797,600
   60,100  Valero Energy Corp.                     1,502,500
   58,900  Williams Cos., Inc.                     2,915,550
                                                 -----------
                                                  31,713,138
                                                 -----------

           Health Products and Care - 7.57%
   61,400  Access Health, Inc.*                    2,901,150
   69,400  HBO & Co.                               4,701,850
  100,200  Health Management Associates, Inc., 
           Class A*                                2,029,050
   49,700  Medtronic, Inc.                         2,783,200
   18,800  Mentor Corp.                              479,400
   23,000  Omnicare, Inc.                            609,500
  390,600  Orthologic Corp.*                       4,980,150
   83,000  Oxford Health Plans, Inc.*              3,413,375
  115,700  PHP Healthcare Corp.*                   3,644,550
                                                 -----------
                                                  25,542,225
                                                 -----------

           Consumer Products - 6.56%
  105,500  Ascend Communications, Inc.*            5,934,375
    5,800  King World Productions, Inc.*             210,975
   94,600  Liz Claiborne, Inc.                     3,275,525
   44,700  Luxottica Group, ADR                    3,279,865
   30,300  Meredith Corp.                          1,265,025
   79,300  Regal Cinemas, Inc.*                    3,627,975
  131,000  Ross Stores, Inc.                       4,552,250
                                                 -----------
                                                  22,145,990
                                                 -----------
           Chemical and Drugs - 5.03%
  117,450  Jones Medical Industries, Inc.          3,905,213
  152,100  Liposome Co., Inc.*                     2,851,875
  152,400  Medeva Plc, ADR                         2,362,200
   39,000  Medic Computer Systems, Inc.*           3,163,875
    6,500  Prime Medical Services, Inc.*             112,938
   52,200  Quintiles Transnational Corp.*          3,432,150
   30,500  Watson Pharmaceuticals, Inc.*           1,155,188
                                                 -----------
                                                  16,983,439
                                                 -----------
</TABLE>


                       See Notes to Financial Statements.
- ---------------------------------------------------------


                                                                             F-3
<PAGE>
 
                         SELECT AGGRESSIVE GROWTH FUND

         PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                    Value
   Shares                                         (Note 2)
  ----------------------------------------------------------
  <S>      <C>                                  <C>
           Electronics - 4.18%
   87,300  Electroglas, Inc.*                   $  1,244,025
  102,200  Electronics for Imaging, Inc.*          7,090,125
   28,000  Kent Electronics Corp.*                   875,000
   37,400  Maxim Integrated Products, Inc.*        1,021,488
  162,600  Ultratech Stepper, Inc.*                3,048,750
   24,900  Wyle Electronics Laboratories, Inc.       824,813
                                                ------------
                                                  14,104,201
                                                ------------

           Aerospace - Airlines - 4.01%
  165,300  America West Airlines, Inc., Class B*   3,636,600
   37,700  AMR Corp.*                              3,430,700
   74,000  Continental Airlines, Inc., Class B*    4,569,500
   47,800  Northwest Airlines Corp., Class A*      1,888,100
                                                ------------
                                                  13,524,900
                                                ------------

           Retail - 3.26%
  115,200  Bed Bath & Beyond, Inc.*                3,081,600
  165,000  Claire's Stores, Inc.                   4,558,125
  104,100  Gap, Inc.                               3,344,213
                                                ------------
                                                  10,983,938
                                                ------------

           Business Services - 2.77%
   45,400  ABR Information Services, Inc.*         2,281,350
   63,400  HFS, Inc.*                              4,438,000
  148,800  National Media Corp.*                   2,622,600
                                                ------------
                                                   9,341,950
                                                ------------

           Consumer Staples - 2.11%
   32,800  Philip Morris Cos., Inc.                3,411,192
   51,000  Tiffany & Co.                           3,723,000
                                                ------------
                                                   7,134,192
                                                ------------

           Building and Construction - 1.82%
   63,100  Corrections Corp. of America*           4,417,000
   24,650  Granite Construction, Inc.                566,950
   33,900  NCI Building Systems, Inc.*             1,144,125
                                                ------------
                                                   6,128,075
                                                ------------

           Hotels-Leisure - 1.71%
   94,800  Grand Casinos, Inc.*                    2,441,100
   29,600  Hilton Hotels Corp.                     3,330,000
                                                ------------
                                                   5,771,100
                                                ------------

           Telephone - 1.38%
  131,100  U.S. Long Distance Corp.*               4,654,050
                                                ------------

           Consumer Service - 0.32%
   39,200  Robert Half International, Inc.*        1,092,700
                                                ------------

           Metals and Mining - 0.30%
   24,200  Mueller Industries, Inc.*               1,004,300
                                                ------------
           Total Common Stocks                   322,168,359
                                                ------------
           (Cost $250,410,559)

Par Value
- ---------
COMMERCIAL PAPER (A) - 3.00%

$  10,109,000 UBS
           5.58%, 07/01/96                        10,109,000
                                                ------------
           Total Commercial Paper                 10,109,000
                                                ------------
           (Cost $10,109,000)

Shares
- ------
INVESTMENT COMPANIES - 0.01%

    3,475  ILA Prime Obligation Money Market Fund      3,475
   26,895  ILA Prime Obligation Portfolio Fund, 
           Class B                                    26,895
                                                ------------
           Total Investment Companies                 30,370
                                                ------------
           (Cost $30,370)

Total Investments - 98.48%                       332,307,729
                                                ------------
(Cost $260,549,929)
Net Other Assets and Liabilities - 1.52%           5,132,277
                                                ------------
 Net Assets - 100.00%                           $337,440,006
                                                ------------
                                                ------------
</TABLE>


- -----------------------------------------
*    Non income producing securities.    
(A)  Effective yield at time of purchase.
ADR  American Depositary Receipt         



                       See Notes to Financial Statements.
                       ---------------------------------------------------------


F-4
<PAGE>
 
                        SELECT CAPITAL APPRECIATION FUND

              PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------


<TABLE>
<CAPTION>
                                                               Value
    Shares                                                    (Note 2)
- ----------------------------------------------------------------------
COMMON STOCKS - 79.07%
  <S>      <C>                                            <C>
           Business Services - 18.43%          
   31,425  First Data Corp.                               $  2,502,216
   98,550  HFS, Inc.*                                        6,898,500
  278,075  Paging Network Inc.*                              6,673,800
   48,325  Profit Recovery Group International*                978,581
   18,700  York Group Inc.                                     322,575
                                                          ------------
                                                            17,375,672
                                                          ------------
                                               
           Telecommunications - 15.69%         
   39,575  Arch Communications Group, Inc.*                    737,084
   60,300  Black Box Corp.*                                  1,432,125
   65,975  CommNet Cellular, Inc.*                           1,979,250
   51,925  Millicom International Cellular SA*               2,472,928
   94,100  Omnipoint Corp.*                                  2,452,481
   91,856  PriCellular Corp., Class A*                       1,113,754
  144,300  360 Communications Co.*                           3,463,200
   53,625  Western Wireless, Corp., Class A*                 1,146,234
                                                          ------------
                                                            14,797,056
                                                          ------------
                                               
           Retail - 8.46%                      
   25,850  AutoZone, Inc.*                                     898,287
   50,275  Family Golf Centers, Inc.*                        1,263,159
   51,450  Fastenal Co.                                      2,238,075
   55,650  Global DirectMail Corp.*                          2,198,175
   11,875  MSC Industrialdirect Co. - A*                       382,968
    7,275  O'Reilly Automotive, Inc.*                          263,718
   30,250  Sunglass Hut International, Inc.*                   737,343
                                                          ------------
                                                             7,981,725
                                                          ------------
                                               
           Financial - 6.92%                   
   13,025  Associates First Capital Corp.*                     490,065
   99,050  Insignia Financial, Class A*                      2,699,127
   53,450  Medaphis Corp.*                                   2,124,637
   34,600  Protective Life Corp.                             1,215,325
                                                          ------------
                                                             6,529,154
                                                          ------------
                                               
           Chemical and Drugs - 5.88%          
   38,875  ARV Assisted Living, Inc.*                          602,562
   29,425  Culligan Water Technologies, Inc.*                1,118,150
   55,950  DepoTech Corp.*                                   1,412,737
   20,925  Gulf South Medical Supply, Inc.*                    816,075
   88,550  Matrix Pharmaceutical, Inc.*                      1,593,900
                                                          ------------
                                                             5,543,424
                                                          ------------
                                               
           Transportation - 4.08%              
  118,375  Wisconsin Central Transportation Corp.*           3,847,187
                                                          ------------
                                               
           Consumer Staples - 4.05%            
  125,000  Petco Animal Supplies, Inc.*                      3,593,750
    7,300  Viking Office Products, Inc.*                       229,037
                                                          ------------
                                                             3,822,787
                                                          ------------

           Building and Construction - 4.05%   
   21,150  Barnett Inc.*                                       608,062
   79,550  Dayton Superior Corp.*                            1,044,093
   10,675  Hughes Supply Inc.                                  370,956
   19,800  Littelfuse Inc.*                                    742,500
    5,025  Littelfuse Inc. Warrants*                           146,353
   26,975  Sealed Air Corp.*                                   907,034
                                                          ------------
                                                             3,818,998
                                                          ------------
                                               
           Health Services - 3.32%             
   54,100  Exogen,Inc.*                                        459,850
    8,700  HEALTHSOUTH Corp.*                                  313,200
   11,450  Omnicare, Inc.                                      303,425
    9,375  Oxford Health Plans, Inc.*                          385,546
   15,000  Respironics, Inc.*                                  277,500
   72,100  TheraTech, Inc.*                                  1,387,925
                                                          ------------
                                                             3,127,446
                                                          ------------
                                               
           Food Services - 2.73%               
    8,950  JP Foodservice, Inc.*                               223,750
   10,550  Lone Star Steakhouse & Saloon*                      398,263
   40,037  Papa John's International, Inc.*                  1,951,803
                                                          ------------
                                                             2,573,816
                                                          ------------
                                               
           Consumer Services - 2.65%           
   70,425  CUC International, Inc.*                          2,500,087
                                                          ------------
                                               
           Computers - 1.51%                   
   28,550  American Business Information, Inc.*                521,037
   14,350  Ciber, Inc.*                                        315,700
    6,550  QuickResponse Services, Inc.*                       188,312
   11,550  Technology Solutions Co.*                           399,918
                                                          ------------
                                                             1,424,967
                                                          ------------
                                               
           Energy - 0.89%                      
   44,475  Trigen Energy Corp.                                 839,465
                                                          ------------
                                               
           Metals and Mining - 0.41%           
   11,325  Minerals Technologies, Inc.                         387,881
                                                          ------------
           Total Common Stocks                              74,569,665
                                                          ------------
           (Cost $65,476,636)
</TABLE>


                       See Notes to Financial Statements.
- ---------------------------------------------------------



                                                                             F-5
<PAGE>
 
                        SELECT CAPITAL APPRECIATION FUND

         PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                                                    Value
   Shares                                         (Note 2)
  ----------------------------------------------------------

FOREIGN COMMON STOCKS - 13.56%
  <S>      <C>                                  <C>
           United Kingdom - 9.78%
  279,525  Pizzaexpress  Plc                    $  1,598,320
  626,368  Rentokil Group Plc                      3,980,598
  233,200  Wetherspoon (J.D) Plc                   3,641,581
                                                ------------
                                                   9,220,499
                                                ------------

           Switzerland - 2.15%
    4,891  Fotolabo                                2,028,080
                                                ------------

           France - 1.63%
   11,952  Grand Optical                           1,539,246
                                                ------------
           Total Foreign Common Stocks            12,787,825
           (Cost $11,414,500)                   ------------
                             

Par Value
- ---------
U.S. GOVERNMENT AGENCY OBLIGATION (A) - 4.23%

$4,000,000 Federal National Mortgage Association
           5.27%, 07/29/96                         3,983,604
                                                ------------
           Total U.S. Government
           Agency Obligation                       3,983,604
           (Cost $3,983,604 )                   ------------
                             

COMMERCIAL PAPER (A) - 4.24%

 4,000,000 Household Finance Corp.
           5.50%, 07/01/96                         4,000,000
                                                ------------
           Total Commercial Paper                  4,000,000
           (Cost $4,000,000)                    ------------
                             
                                                ------------
Total Investments - 101.10%                       95,341,094
                                                ------------
(Cost $84,874,740)
Net Other Assets and Liabilities - (1.10)%        (1,033,900)
                                                ------------
Net Assets - 100.00%                            $ 94,307,194
                                                ============
</TABLE>

- -------------------------------------------
*      Non income producing security.
(A)    Effective yield at time of purchase.


FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
                                                                                Unrealized
  Currency     Contracts To      Settlement   Contracts At     In Exchange     Appreciation
   Value          Deliver          Dates         Value         For U.S. $     (Depreciation)
 ----------    ------------      ----------   ------------   -------------    --------------
 <S>           <C>               <C>          <C>            <C>              <C>
   850,000         GBP            10/01/96    $  1,319,263   $   1,292,935    $      (26,328)
 1,050,000         GBP            11/25/96       1,629,678       1,584,555           (45,123)
     5,000         GBP            12/04/96           7,760           7,705               (55)
                                              ------------   -------------    --------------
                                              $  2,956,701   $   2,885,195    $      (71,506)
                                              ============   =============    ============== 
</TABLE>

- ----------------------
GBP   British Pound


                       See Notes to Financial Statements.
                       ---------------------------------------------------------


F-6
<PAGE>
 
                               SELECT GROWTH FUND

              PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
                                                    Value
   Shares                                         (Note 2)
  ----------------------------------------------------------
<TABLE>
<CAPTION>
COMMON STOCKS - 89.59%
   <S>     <C>                                  <C>
           Technology - 13.62%
   23,200  Automatic Data Processing, Inc.      $    896,100
   23,200  Ceridian Corp.*                         1,171,600
   74,600  CISCO Systems, Inc.*                    4,224,225
   68,050  Computer Associates International, Inc. 4,848,563
   37,000  Computer Sciences Corp.*                2,765,750
    5,500  Informix Corp.*                           123,742
   98,750  Oracle Corp.*                           3,894,453
   44,800  U.S. Robotics Corp.*                    3,830,400
   48,000  3COM Corp.*                             2,196,000
                                                ------------
                                                  23,950,833
                                                ------------

           Chemical and Drugs - 12.44%
   54,500  Amgen, Inc.*                            2,943,000
   22,600  Elan Corp. Plc, ADR*                    1,291,025
    9,000  Lauder (Estee) Cos., Inc., Class A        380,250
   26,200  Lilly (Eli) & Co.                       1,703,000
   80,200  Medtronic, Inc.                         4,491,200
   47,700  Merck & Co., Inc.                       3,082,613
   48,000  Monsanto Co.                            1,560,000
   90,100  Pfizer, Inc.                            6,430,888
                                                ------------
                                                  21,881,976
                                                ------------

           Financial - 11.86%
   27,500  American International Group, Inc.      2,712,188
   10,700  Associates First Capital Corp.*           402,588
   21,300  Federal Home Loan Mortgage Corp.        1,821,150
  198,800  Federal National Mortgage Association   6,659,800
    3,600  FINOVA Group, Inc.                        175,500
   41,900  First USA, Inc.                         2,304,500
  139,575  MBNA Corp.                              3,977,888
   45,300  Mercury Finance Co.                       577,575
   36,300  MGIC Investment Corp.                   2,037,338
    8,250  Synovus Financial Corp.                   178,406
                                                ------------
                                                  20,846,933
                                                ------------

           Business Services - 9.08%
   29,300  AccuStaff, Inc.*                          798,425
   90,027  First Data Corp.                        7,168,400
   88,400  HFS, Inc.*                              6,188,000
   37,800  Paychex, Inc.                           1,819,125
                                                ------------
                                                  15,973,950
                                                ------------

           Electronics - 9.05%
   50,500  Analog Devices, Inc.*                   1,287,750
   36,300  Electronic Data Systems Corp.           1,951,125
   25,500  Hewlett-Packard Co.                     2,540,438
   67,300  Microsoft Corp.*                        8,084,413
   49,050  Thermo Electron Corp.*                  2,041,706
                                                ------------
                                                  15,905,432
                                                ------------

           Health Services - 7.20%
   28,500  Boston Scientific Corp.*                1,282,500
   25,100  Cardinal Health, Inc.                   1,810,338
   18,600  Columbia/HCA Healthcare Corp.             992,775
   68,600  HEALTHSOUTH Corp.*                      2,469,600
   75,100  Oxford Health Plans, Inc.*              3,088,488
    7,800  Shared Medical Systems Corp.              501,150
   49,700  United Healthcare Corp.                 2,509,850
                                                ------------
                                                  12,654,701
                                                ------------

           Telecommunications - 5.36%
   19,200  ADC Telecommunications, Inc.*             864,000
  168,600  Ericsson L.M. Telephone Co.             3,624,900
   79,000  Frontier Corp.                          2,419,375
   15,850  Glenayre Technologies, Inc.*              792,500
   31,200  Worldcom, Inc.*                         1,727,700
                                                ------------
                                                   9,428,475
                                                ------------

           Consumer Products - 3.69%
   22,000  Alco Standard Corp.                       995,500
   32,725  Andrew Corp.*                           1,758,969
   58,900  British Sky Broadcasting Group Plc, ADR 2,392,813
    7,600  Gucci Group N.V.*                         490,200
   15,900  Home Depot, Inc.                          858,600
                                                ------------
                                                   6,496,082
                                                ------------

           Retail - 3.27%
   72,700  AutoZone, Inc.*                         2,526,325
   42,500  Kohls Corp.*                            1,556,563
   31,200  Tommy Hilfiger Corp.*                   1,673,100
                                                ------------
                                                   5,755,988
                                                ------------

           Consumer Services - 2.93%
   57,100  CUC International, Inc.*                2,027,050
   29,700  Service Corp. International             1,707,750
   34,900  Tyco International, Ltd.                1,422,175
                                                ------------
                                                   5,156,975
                                                ------------

           Hotels/Leisure - 2.25%
   28,600  Circus Circus Enterprises, Inc.*        1,172,600
   51,500  Mirage Resorts, Inc.*                   2,781,000
                                                ------------
                                                   3,953,600
                                                ------------
</TABLE>


                       See Notes to Financial Statements.
- ---------------------------------------------------------
                                                                             F-7
<PAGE>
 
                               SELECT GROWTH FUND

         PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------



<TABLE>
<CAPTION>
                                                    Value
   Shares                                         (Note 2)
  ----------------------------------------------------------
   <S>     <C>                                  <C>
           Amusement/Entertainment - 2.14%
   47,297  Disney (Walt) Co.                    $  2,973,799
   20,100  Viacom, Inc., Class B*                    781,388
                                                ------------
                                                   3,755,187
                                                ------------

           Electrical, Gas and Sanitary - 2.10%
   31,500  Enron Corp.                             1,287,563
   82,400  Republic Industries, Inc.*              2,399,900
                                                ------------
                                                   3,687,463
                                                ------------

           Office Equipment and Supplies - 1.90%
   56,700  Danka Business Systems Plc, ADR         1,658,475
   86,000  Staples, Inc.*                          1,677,000
                                                ------------
                                                   3,335,475
                                                ------------

           Consumer Staples - 1.79%
   50,500  Gillette Co.                            3,149,939
                                                ------------

           Food and Beverage - 0.53%
   20,100  McDonald's Corp.                          939,675
                                                ------------

           Transportation - 0.38%
   20,700  Fritz Cos., Inc.*                         667,575
                                                ------------
           Total Common Stocks                   157,540,259
                                                ------------
           (Cost $118,160,826)

Par Value
- ---------
COMMERCIAL PAPER (A) - 8.70%

$8,800,000 American Express Credit Corp.
           5.26%, 07/03/96                         8,800,000
 6,500,000 Associates Corp. of North America
           5.38%, 07/25/96                         6,500,000
                                                ------------
           Total Commercial Paper                 15,300,000
                                                ------------
           (Cost $15,300,000)

Shares
- ------
INVESTMENT COMPANY - 1.75%

 3,086,685 ILA Prime Obligation Portfolio Fund, 
           Class B                                 3,086,685
                                                ------------
           Total Investment Company                3,086,685
                                                ------------
           (Cost $3,086,685)

Total Investments - 100.04%                      175,926,944
                                                ------------
(Cost $136,547,511)
Net Other Assets and Liabilities - (0.04)%           (75,530)
                                                ------------
Net Assets - 100.00%                            $175,851,414
                                                ------------
                                                ------------
</TABLE>

- -------------------------------------------
*     Non income producing security.
(A)   Effective yield at time of purchase.
ADR   American Depositary Receipt


                       See Notes to Financial Statements.
                       ---------------------------------------------------------

F-8
<PAGE>
 
- --------------------------------------------------------------------------------
                               SELECT INCOME FUND
- --------------------------------------------------------------------------------
              PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------


<TABLE>
<CAPTION>
                                                    Value
Par Value                                          (Note 2)
- ------------------------------------------------------------
CORPORATE NOTES AND BONDS - 47.03%
<S>        <C>                                  <C>
           Financial - 17.74%
$ 600,000  Advanta Corp., MTN
           7.00%, 05/01/01                      $    594,264
  550,000  Banponce Corp.
           6.75%, 12/15/05                           516,461
  550,000  BHP Finance USA, Ltd.
           6.42%, 03/01/26                           531,724
  625,000  Chase Comm Part Certified
           7.60%, 06/30/28                           632,144
  500,000  Duke Realty, Ltd.
           7.25%, 09/22/02                           489,290
  400,000  ERP Operating, Ltd.
           Senior Note
           8.50%, 05/15/99 (A)                       413,260
  200,000  ERP Operating, LP
           7.95%, 04/15/02                           202,592
  125,000  Finova Financial Corp.
           8.50%, 02/15/99                           130,308
  450,000  Finova Capital Corp.
           6.45%, 06/01/00                           442,971
  625,000  Fletcher Challenge Capital
           7.75%, 06/20/06                           634,488
  275,000  Ford Motor Credit Co.
           6.85%, 08/15/00                           273,683
  500,000  Ford Motor Credit Co.
           5.75%, 01/25/01                           477,270
  600,000  General Electric Capital Corp.
           6.66%, 05/01/18                           597,528
1,225,000  General Motors Acceptance Corp.
           6.70%, 04/30/01                         1,213,142
  300,000  Green Tree Financial Corp.
           10.25%, 06/01/02                          343,365
  297,395  GS Mortgage Securities Corp. II
           7.02%, 02/15/27                           295,349
  450,000  Hanson America, Inc.
           2.39%, 03/01/01 (A)                       382,500
  125,000  Hanson America, Inc.
           2.39%, 03/01/01 (A)                       106,250
  625,000  Household Finance Corp., MTN
           7.15%, 06/15/00                           632,356
  500,000  Integra Financial Corp.
           Subordinate Note
           6.50%, 04/15/00                           491,275
  575,000  Mortgage Cap Funding 96 MC1 ERISA
           7.90%, 07/15/28                           575,000
  625,000  Sears Roebuck Acceptance Corp., MTN
           6.69%, 04/30/01                           619,244
  600,000  Security Connecticut Corp.
           7.13%, 03/01/03                           576,738
  450,000  TIG Holdings, Inc.
           8.13%, 04/15/05                           457,434
                                                ------------
                                                  11,628,636
                                                ------------
           Security Brokers and Dealers - 5.82%
$ 190,000  Bear Stearns Cos., Inc.
           Senior Note
           6.75%, 08/15/00                      $    189,118
  150,000  Goldman Sachs Group, LP
           6.88%, 09/15/99 (A)                       150,297
  575,000  Goldman Sachs Group, LP
           6.38%, 06/15/00(A)                        560,269
  400,000  Goldman Sachs Group, LP
           6.20%, 12/15/00                           386,552
  575,000  Merrill Lynch & Co., Inc.
           6.00%, 01/15/01                           554,634
  400,000  Morgan Stanley Group, Inc.
           8.10%, 06/24/02                           417,980
  125,000  Salomon, Inc., MTN
           6.04%, 07/09/98                           122,925
   50,000  Salomon, Inc., MTN
           5.37%, 04/05/99 *                          49,300
  200,000  Salomon, Inc.
           7.00%, 05/15/99                           200,102
  175,000  Salomon, Inc., MTN
           6.82%, 07/26/99                           173,366
  100,000  Salomon, Inc.
           7.13%, 08/01/99                           100,123
  550,000  Salomon, Inc.
           7.25%, 05/01/01                           548,636
  350,000  Smith Barney Holdings, Inc.
           7.88%, 10/01/99                           361,081
                                                ------------
                                                   3,814,383
                                                ------------

           Banking - 5.75%
  275,000  Capital One Bank, MTN
           8.13%, 03/01/00                           284,193
  325,000  Capital One Bank, MTN
           5.95%, 02/15/01                           309,085
  550,000  Chase Manhattan Corp.
           9.38%, 07/01/01                           603,174
1,050,000  First Union Corp.
           Subordinated Notes
           6.55%, 10/15/35                         1,000,272
  450,000  First USA Bank
           5.75%, 01/15/99                           438,800
  400,000  St. George Bank, Ltd.
           6.88%, 04/01/99(A)                        397,352
  425,000  St. George Bank, Ltd.
           Subordinated Notes
           7.15%, 10/15/05 (A)                       411,043
  300,000  Summit Bancorp
           8.63%, 02/10/02                           321,831
                                                ------------
                                                   3,765,750
                                                ------------
</TABLE>


                       See Notes to Financial Statements.
- ---------------------------------------------------------


                                                                             F-9
<PAGE>
 
                               SELECT INCOME FUND

         PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------


<TABLE>
<CAPTION>
                                                      Value
Par Value                                            (Note 2)
- ------------------------------------------------------------
<S>        <C>                                  <C>
           Real Estate - 4.44%
$ 500,000  Avalon Properties, Inc.
           Senior Note, REIT
           7.38%, 09/15/02                      $    492,355
  400,000  Franchise Finance Corp. of America
           7.00%, 11/30/00                           388,624
  500,000  Shopping Center Associates
           6.75%, 01/15/04 (A)                       471,300
  500,000  SKW Real Estate, LP
           7.45%, 04/15/03 (A)                       500,310
  450,000  Spieker Properties, LP
           6.65%, 12/15/00                           437,251
  625,000  Trinet Corp. Realty Trust, Inc.
           7.30%, 05/15/01                           624,938
                                                ------------
                                                   2,914,778
                                                ------------

           Insurance - 3.27%
  575,000  Equitable Life Assurance Society
           Surplus Note
           7.70%, 12/01/15 (A)                       555,968
  800,000  Markel Corp.
           7.25%, 11/01/03                           778,480
  400,000  New England Mutual Life Insurance Co.
           7.88%, 02/15/24                           385,388
  400,000  USF & G Corp.
           Senior Note
           8.38%, 06/15/01                           420,508
                                                ------------
                                                   2,140,344
                                                ------------

           Manufacturing - 2.81% 
  900,000  Georgia-Pacific Corp.
           9.95%, 06/15/02                         1,019,808
  425,000  Noranda Forest, Inc., Debenture
           8.88%, 10/15/99                           445,579
  400,000  Scherer (R P) Corp.
           Senior Note
           6.75%, 02/01/04                           375,884
                                                ------------
                                                   1,841,271
                                                ------------

           Print and Publishing - 2.50%
  275,000  News America Holdings, Inc.
           9.50%, 07/15/24                           302,979
  200,000  News America Holdings, Inc.
           7.70%, 10/30/25                           184,038
  575,000  Time Warner, Inc.
           9.13%, 01/15/13                           600,519
  575,000  Time Warner, Inc.
           6.85%, 01/15/26                           550,775
                                                ------------
                                                   1,638,311
                                                ------------

           Equipment - 1.75% 
 1,200,000 Comdisco, Inc.
           5.75%, 02/15/01                         1,145,688
                                                ------------

           Industrial - 1.35% 
  950,000  Cominco, Ltd.
           6.88%, 02/15/06                           882,246
                                                ------------

           Oil, Gas, and Petroleum - 0.60%
  300,000  System Energy Resources, Inc.
           6.00%, 04/01/98                           296,052
  100,000  System Energy Resources, Inc.
           7.63%, 04/01/99                           100,670
                                                ------------
                                                     396,722
                                                ------------

           Processed Foods - 0.55%
  350,000  Ralcorp Holdings, Inc.
           8.75%, 09/15/04                           359,832
                                                ------------

           Automotive - 0.45% 
  315,000  Hertz Corp.
           6.00%, 01/15/03                           296,947
                                                ------------
           Total Corporate Notes and Bonds        30,824,908
                                                ------------
           (Cost $32,171,969)
</TABLE>



<TABLE>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 46.96%

           Federal National Mortgage Association (B) - 14.54%
  <S>      <C>    <C>                                <C>
  480,520  7.00%, 12/01/99                           479,016
  600,000  6.18%, 03/15/01                           589,140
    2,396  6.50%, 04/01/11                             2,317
  276,291  7.00%, 07/01/23                           266,792
  297,084  7.00%, 12/01/23                           286,315
  269,649  7.00%, 01/01/24                           259,874
   46,209  7.00%, 05/01/24                            44,534
  399,012  7.00%, 06/01/24                           384,548
  896,147  7.00%, 06/01/24                           863,661
  364,616  7.00%, 07/01/25                           350,713
  358,648  7.00%, 07/01/25                           344,972
  196,342  7.00%, 07/01/25                           188,855
  222,491  7.00%, 08/01/25                           214,008
  929,969  7.00%, 08/01/25                           894,509
  158,704  7.00%, 08/01/25                           152,652
  784,868  7.00%, 08/01/25                           754,941
  438,740  7.00%, 08/01/25                           422,011
  467,071  7.00%, 08/01/25                           449,262
  392,999  7.00%, 09/01/25                           378,014
  307,193  7.00%, 09/01/25                           295,480
  378,386  6.50%, 01/01/26                           353,908
  252,278  6.50%, 03/01/26                           235,958
  630,301  6.50%, 04/01/26                           589,332
  781,756  6.50%, 05/01/26                           731,184
                                                ------------
                                                   9,531,996
                                                ------------
</TABLE>


                       See Notes to Financial Statements.
                       ---------------------------------------------------------

F-10
<PAGE>
 
                               SELECT INCOME FUND

         PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                                                      Value
Par Value                                            (Note 2)
- ------------------------------------------------------------
<S>        <C>                                  <C>
           Government National
           Mortgage Association (B) - 12.67%
$ 151,238  9.00%, 05/15/16                      $    159,981
  222,525  9.00%, 07/15/16                           235,389
  544,365  9.00%, 10/15/16                           575,835
  226,953  9.00%, 08/15/17                           239,883
  437,583  9.00%, 12/15/17                           465,068
   49,322  9.00%, 07/15/18                            52,091
   16,249  9.00%, 11/15/19                            17,128
   60,089  7.50%, 03/15/23                            59,489
  300,906  7.50%, 03/15/23                           297,897
  218,899  7.50%, 06/15/23                           216,710
  163,021  7.50%, 07/15/23                           161,391
  892,799  7.00%, 07/15/23                           860,435
  666,767  7.50%, 09/15/23                           660,100
  377,037  7.00%, 11/15/23                           363,370
  213,587  7.50%, 11/15/23                           211,184
  156,173  7.50%, 11/15/23                           154,416
  205,258  7.50%, 01/15/24                           202,949
  407,856  7.00%, 02/15/24                           392,688
  390,020  7.00%, 07/15/24                           375,882
  154,052  9.00%, 08/15/24                           161,225
1,015,609  9.00%, 08/15/24                         1,062,896
  257,323  9.00%, 11/15/24                           272,520
  205,297  9.00%, 01/15/25                           214,856
  300,442  7.00%, 07/15/25                           289,268
  575,000  9.00%, 08/15/26                           601,772
                                                ------------
                                                   8,304,423
                                                ------------

           U.S. Treasury Notes - 9.54%
1,000,000  6.75%, 05/31/97 (B)                     1,008,440
  850,000  5.63%, 01/31/98                           844,824
  100,000  6.88%, 03/31/00                           101,453
1,225,000  6.25%, 04/30/01                         1,213,133
  200,000  6.38%, 08/15/02                           198,406
  425,000  6.25%, 02/15/03                           417,495
1,925,000  5.88%, 02/15/04                         1,839,877
  600,000  7.50%, 02/15/05                           631,218
                                                ------------
                                                   6,254,846
                                                ------------
           U.S. Treasury Bonds - 5.28%
  790,000  7.25%, 05/15/16 (B)                       808,518
  750,000  8.13%, 08/15/19 (B)                       841,864
1,650,000  7.88%, 02/15/21                         1,810,100
                                                ------------
                                                   3,460,482
                                                ------------

           U.S. Treasury Bond, Principal Strip - 3.06%
$1,750,000 5.15%, 05/15/05**                         962,745
 1,300,000 4.30%, 08/15/08**                         565,513
   825,000 3.44%, 05/15/18**                         174,314
 1,525,000 3.35%, 02/15/19**                         305,473
                                                ------------
                                                   2,008,045
                                                ------------

           Federal Home Loan Mortgages - 1.34%
    3,269  6.50%, 03/01/11                             3,162
  377,308  6.50%, 03/01/26                           353,372
  553,998  6.50%, 04/01/26                           518,853
                                                ------------
                                                     875,387
                                                ------------

           U.S. Agency Bond - 0.53%
  343,874  Federal Deposit Insurance Corp.
           Series 1994-C1, REMIC
           7.85%, 09/25/25                           347,041
                                                ------------
           Total U.S. Government
           and Agency Obligations                 30,782,220
                                                ------------
           (Cost $30,985,516)


ASSET-BACKED SECURITIES - 4.98%

  507,345  Advanta Mortgage Loan Trust, Series 93-4
           5.50%, 03/25/10                           465,753
  775,000  Citibank Credit Card Master Trust I, Class A
           5.86%, 02/07/03                           567,928
  190,109  Fund America Investors Corp. II, Class A
           5.40%, 09/25/09                           180,128
  327,146  Green Tree Securitized Net Interest Margin
           Series 1994-A
           6.90%, 02/15/04                           324,016
  625,000  The Money Store Home Equity, 1996-B
           7.18%, 02/15/15                           627,731
  199,635  Resolution Trust Corp.
           8.00%, 06/25/26(B)                        197,202
  120,116  Resolution Trust Corp.
           8.00%, 04/25/25(B)                        119,065
  275,000  Resolution Trust Corp.
           6.90%, 06/01/25 (B)                       256,438
  310,816  Resolution Trust Corp.
           7.45%, 09/15/25 (B)                       301,734
  223,331  UCFC Home Equity Loan Trust, Series 1994-B2
           7.10%, 06/10/23                           223,889
                                                ------------
           Total Asset-Backed Securities           3,263,884
                                                ------------
           (Cost $2,159,992)
</TABLE>


                       See Notes to Financial Statements.
- ---------------------------------------------------------


                                                                            F-11
<PAGE>
 
                               SELECT INCOME FUND

         PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                                                   Value
    Shares                                       (Note 2)
- ------------------------------------------------------------
<S>        <C>                                  <C>
INVESTMENT COMPANY - 1.75%

1,146,244  ILA Prime Obligation Portfolio Fund  $  1,146,244
                                                ------------
           Total Investment Company                1,146,244
                                                ------------
           (Cost $1,146,244)

Total Investments - 100.72%                       66,017,256
                                                ------------
(Cost $66,463,721)
Net Other Assets and Liabilities - (0.72)%          (472,329)
                                                ------------
Net Assets - 100.00%                            $ 65,544,927
                                                ------------
                                                ------------
</TABLE>

- --------------------------------------
  *    Interest is reset at various time intervals. The rate shown is that in
       effect at June 30, 1996.
 **    Stripped securities represent the splitting of cash flows into interest
       and principal. Holders, as indicated, are entitled to that portion of
       payment representing interest only or principal only.
(A)    Securities exempt from registration under rule 144A of the Securities Act
       of 1933. These securities may be resold, in transactions exempt from
       registration, to qualified institutional buyers. At June 30, 1996, these
       securities amounted to $3,948,549 or 6.02% of net assets.
(B)    Pass Through Certificates
MTN    Medium Term Note
REIT   Real Estate Investment Trust
REMIC  Real Estate Mortgage Investment Conduit


                       See Notes to Financial Statements.
                       ---------------------------------------------------------



F-12
<PAGE>
 
                       This page left blank intentionally.


                                                                            F-13
<PAGE>
- --------------------------------------------------------------------------------
                           ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
        STATEMENTS OF ASSETS AND LIABILITIES . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                                                    Select                    Select                     Select
                                                 International              Aggressive                   Capital
                                                  Equity Fund               Growth Fund             Appreciation Fund
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>                                          <C>                        <C>                       <C>
ASSETS:
    Investments (Note 2):
       Investments at cost....................   $ 162,067,026              $260,549,929              $  84,874,740
       Net unrealized appreciation 
       (depreciation).........................      15,096,652                71,757,800                 10,466,354
                                                 -------------              ------------              -------------
         Total investments at value ..........     177,163,678               332,307,729                 95,341,094
    Cash......................................              --                    83,281                      3,156
    Foreign currency
       (Cost $18,930,213 and $440,937, 
          respectively).......................      18,991,932                        --                    444,816
    Receivable for investments sold...........              --                 7,635,279                  1,485,731
    Receivable for shares sold................         191,290                    88,728                    128,651
    Receivable from investment adviser 
          (Note 4)............................              --                        --                      3,346
    Interest and dividend receivables.........         537,770                   109,786                     37,668
    Deferred organizational expense (Note 2)..              --                        --                      4,901
    Dividend tax reclaim receivables..........         133,215                        --                         --
                                                 -------------              ------------              -------------
         Total Assets.........................     197,017,885               340,224,803                 97,449,363
                                                 -------------              ------------              -------------

LIABILITIES:
    Payable for investments purchased.........       7,147,777                 2,369,045                  2,437,533
    Payable for foreign currency purchased....      16,242,711                        --                    520,726
    Payable for shares repurchased............           2,922                    46,552                         --
    Payable to custodian......................         101,711                        --                         --
    Advisory fee payable (Note 3).............         137,749                   281,156                     84,420
    Accrued expenses and other payables.......          86,337                    88,044                     27,984
    Net unrealized gain (loss) on forward
       foreign currency contracts 
       (Notes 2 and 11).......................         345,797                        --                     71,506
                                                 -------------              ------------              -------------
         Total Liabilities....................      24,065,004                 2,784,797                  3,142,169
                                                 -------------              ------------              -------------
NET ASSETS....................................   $ 172,952,881              $337,440,006              $  94,307,194
                                                 -------------              ------------              -------------
                                                 -------------              ------------              -------------

NET ASSETS consist of
    Paid-in capital (Note 6)..................   $ 154,282,498              $244,153,702              $  82,376,644
    Undistributed (distribution in excess of)
       net investment income (loss)...........       1,149,194                  (681,460)                  (143,614)
    Accumulated (distribution in excess of) 
       net realized gain (loss) on investments 
       sold and foreign currency transactions.       2,726,267                22,209,964                  1,678,872
    Net unrealized appreciation (depreciation) 
       of investments, and assets and 
       liabilities in foreign currency........      14,794,922                71,757,800                 10,395,292
                                                 -------------              ------------              -------------
TOTAL NET ASSETS..............................   $ 172,952,881              $337,440,006              $  94,307,194
                                                 -------------              ------------              -------------
                                                 -------------              ------------              -------------

Shares of beneficial interest outstanding
    (unlimited authorization, no par value)...     141,196,537               161,402,817                 60,761,468

NET ASSET VALUE,
    Offering and redemption price per share
    (Net Assets/Shares Outstanding)...........   $       1.225              $      2.091              $       1.552
                                                 -------------              ------------              -------------
                                                 -------------              ------------              -------------



                                                                           See Notes to Financial Statements.
                                                                           ----------------------------------------

</TABLE>

F-14
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
                 Select                    Select
                 Growth                    Income
                  Fund                      Fund
- --------------------------------------------------------------------------------
              <S>                       <C>
              $ 136,547,511             $  66,463,721
                 39,379,433                  (446,465)
              -------------             -------------
                175,926,944                66,017,256
                      7,454                     1,233

                         --                        --
                         --                 1,843,435
                        465                     4,688
                         --                     2,547
                    107,969                   829,223
                         --                        --
                         --                        --
              -------------             -------------
                176,042,832                68,698,382
              -------------             -------------


                         --                 3,055,849
                         --                        --
                     13,249                    22,817
                         --                        --
                    121,900                    31,390
                     56,269                    43,399

                         --                        --
              -------------             -------------
                    191,418                 3,153,455
              -------------             -------------
              $ 175,851,414             $  65,544,927
              -------------             -------------
              -------------             -------------


              $ 132,298,388             $  67,533,924

                    119,515                    31,430


                  4,054,078                (1,573,962)


                 39,379,433                  (446,465)
              -------------             -------------
              $ 175,851,414             $  65,544,927
              -------------             -------------
              -------------             -------------


                114,395,694                67,100,218



              $       1.537             $       0.977
              -------------             -------------
              -------------             -------------
</TABLE>


- ---------------------------------------------------------


                                                                            F-15
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

  STATEMENTS OF OPERATIONS . For the Six Months Ended June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
                                                       Select                  Select                    Select
                                                   International             Aggressive                  Capital
                                                    Equity Fund              Growth Fund            Appreciation Fund
- ---------------------------------------------------------------------------------------------------------------------
<S> <C>                                           <C>                       <C>                     <C>
INVESTMENT INCOME
    Interest (Note 2).........................    $      33,533             $    192,815              $     148,904
    Dividends (Note 2)........................        2,411,733                  698,491                     71,252
    Less net foreign taxes withheld...........         (468,600)                      --                     (3,067)
                                                  -------------             ------------              -------------
       Total investment income................        1,976,666                  891,306                    217,089
                                                  -------------             ------------              -------------

EXPENSES
    Investment advisory fees (Notes 3 and 4)..          690,551                1,487,187                    324,808
    Custodian fees (Note 3)...................           93,841                    9,050                     13,847
    Fund accounting fees (Note 3).............           24,361                   24,610                     11,550
    Legal fees................................            2,570                    1,148                        965
    Audit fees................................            3,256                    3,845                      3,230
    Trustees' fees and expenses (Note 3)......              728                    2,826                        753
    Reports to shareholders...................            3,036                   40,303                      1,353
    Amortization of organization costs (Note 2)              --                      --                         639
    Insurance.................................              149                      703                        206
    Miscellaneous.............................              965                    3,094                         48
                                                  -------------             ------------              -------------
       Total expenses before reductions.......          819,457                1,572,766                    357,399
       Less: reductions (Note 5)..............          (34,162)                      --                         --
                                                  -------------             ------------              -------------
       Total expenses net of reductions.......          785,295                1,572,766                    357,399
                                                  -------------             ------------              -------------
NET INVESTMENT INCOME (LOSS)..................        1,191,371                 (681,460)                  (140,310)
                                                  -------------             ------------              -------------

NET REALIZED AND UNREALIZED
    GAIN (LOSS) ON INVESTMENTS (Note 2):
    Net realized gain (loss) on investments sold        711,011               22,218,221                  1,724,871
    Net realized gain (loss) on foreign 
       currency transactions..................        2,216,662                       --                    (15,408)
    Net change in unrealized appreciation 
       (depreciation) of assets and liabilities in 
       foreign currency.......................         (447,019)                      --                    (54,299)
    Net change in unrealized appreciation 
    (depreciation) of investments.............        5,917,880               18,208,915                  5,802,689
                                                  -------------             ------------              -------------

NET GAIN (LOSS)ON INVESTMENTS.................        8,398,534               40,427,136                  7,457,853
                                                  -------------             ------------              -------------

NET INCREASE(DECREASE)IN NET
    ASSETS RESULTING FROM OPERATIONS..........    $   9,589,905             $ 39,745,676              $   7,317,543
                                                  -------------             ------------              -------------
                                                  -------------             ------------              -------------
</TABLE>


                       See Notes to Financial Statements.
                       ---------------------------------------------------------


F-16
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
                 Select                    Select
                 Growth                    Income
                  Fund                      Fund
- --------------------------------------------------------------------------------
              <S>                       <C>
              $     261,444             $   2,141,486
                    528,631                    34,000
                         --                        --
              -------------             -------------
                    790,075                 2,175,486
              -------------             -------------


                    675,330                   185,589
                      1,136                     7,188
                      4,077                    17,863
                        185                       899
                        825                     3,142
                        428                       660
                      3,231                     2,899
                         --                        --
                        118                       196
                        371                        --
              -------------             -------------
                    685,701                   218,436
                    (11,998)                       --
              -------------             -------------
                    673,703                   218,436
              -------------             -------------
                    116,372                 1,957,050
              -------------             -------------



                  7,996,919                  (596,229)
                         --                        --
                         --                        --
                 10,154,491                (2,338,698)
              -------------             -------------

                 18,151,410                (2,934,927)
              -------------             -------------


              $  18,267,782             $    (977,877)
              -------------             -------------
              -------------             -------------
</TABLE>


- -------------------------------------------------------

                                                                            F-17
<PAGE>

- -------------------------------------------------------------------------------
                           ALLMERICA INVESTMENT TRUST
- -------------------------------------------------------------------------------

                       STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                                                              Select
                                                           International                    Select Aggressive
                                                            Equity Fund                        Growth Fund
- -----------------------------------------------------------------------------------------------------------------------

                                                Six Months Ended                    Six Months Ended
                                                  June 30, 1996      Year Ended       June 30, 1996     Year Ended
                                                   (Unaudited)    December 31, 1995    (Unaudited)   December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------
<S>                                             <C>               <C>               <C>              <C>         
NET ASSETS at beginning of period...............  $ 104,312,134     $ 40,497,806     $ 254,871,723     $136,573,109
                                                  -------------     ------------     -------------     ------------

Increase (Decrease) in net assets
resulting from operations:
    Net investment income (loss)................     1,191,371         1,129,933         (681,460)         (142,866)
    Net realized gain (loss) on investments sold 
       and foreign currency transactions........     2,927,673            60,433       22,218,221        16,028,765
    Net change in unrealized appreciation 
       (depreciation) of investments and assets 
       and liabilities in foreign currency......     5,470,861        10,767,415       18,208,915        37,467,083
                                                  ------------      ------------     ------------      ------------
    Net increase (decrease) in net assets 
       resulting from operations................     9,589,905        11,957,781       39,745,676        53,352,982
                                                  ------------      ------------     ------------      ------------

Distributions to shareholders from:
    Net investment income.......................      (183,157)         (996,037)              --                --
    Net realized gain on investments............        (4,068)         (396,021)      (4,741,627)               --
    Distribution in excess of net investment 
       income...................................            --               --                --                --
                                                  ------------      ------------     ------------      ------------
       Total Distributions......................      (187,225)       (1,392,058)      (4,741,627)               --
                                                  ------------      ------------     ------------      ------------

Capital share transactions:
    Net proceeds from sales of shares...........    60,688,252        58,476,233       53,541,347        74,888,511
    Issued to shareholders in reinvestment 
       of distributions                                187,225         1,392,058        4,741,627               --
    Cost of shares repurchased..................    (1,637,410)       (6,619,686)     (10,718,740)       (9,942,879)
                                                  ------------      ------------     ------------      ------------
       Net increase (decrease) from
         capital share transactions.............    59,238,067        53,248,605       47,564,234        64,945,632
                                                  ------------      ------------     ------------      ------------
       Total increase (decrease) in net assets..    68,640,747        63,814,328       82,568,283       118,298,614
                                                  ------------      ------------     ------------      ------------

NET ASSETS at end of period (including line A)..  $172,952,881      $104,312,134     $337,440,006      $254,871,723
                                                  ============      ============     ============      ============

(A) Undistributed (distribution in excess of)
       net investment income (loss).............  $  1,149,194      $    140,980      $  (681,460)     $         --
                                                  ============      ============      ===========      ============

OTHER INFORMATION:
Share transactions:
    Sold........................................    50,623,993        54,922,638       26,639,313        46,078,409
    Issued to shareholders in reinvestment 
       of distributions                                152,837         1,229,509        2,267,636                --
    Repurchased.................................    (1,383,782)       (6,387,844)      (5,446,525)       (5,889,973)
                                                  ------------      ------------      -----------      ------------
       Net increase (decrease) in shares 
           outstanding..........................    49,393,048        49,764,303       23,460,424        40,188,436
                                                  ============      ============      ===========      ============
</TABLE>


- ---------------------------------------------------------------
*   The Fund commenced operations on April 28, 1995.


                       See Notes to Financial Statements.
                       ---------------------------------------------------------

F-18
<PAGE>
- --------------------------------------------------------------------------------
                           ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
                    Select
                    Capital                                     Select                              Select Income
               Appreciation Fund                              Growth Fund                               Fund
- ---------------------------------------------------------------------------------------------------------------------------------
     Six Months Ended                            Six Months Ended                         Six Months Ended
       June 30, 1996       Period Ended            June 30, 1996     Year Ended             June 30, 1996          Year Ended
        (Unaudited)     December 31, 1995*          (Unaudited)   December 31, 1995          (Unaudited)        December 31, 1995
- ---------------------------------------------------------------------------------------------------------------------------------
      <S>               <C>                     <C>               <C>                     <C>                   <C>         
      $  41,376,035      $           --         $ 143,124,686       $  88,263,274           $  60,368,094         $  40,784,092
      -------------      --------------         -------------       -------------           -------------         -------------



           (140,310)            (33,955)              116,372              24,039               1,957,050             3,091,908

          1,709,463           1,068,237             7,996,919            (240,313)               (596,229)              296,997


          5,748,390           4,646,902            10,154,491          24,384,776              (2,338,698)            4,278,014
      -------------      --------------         -------------       -------------           -------------         -------------

          7,317,543           5,681,184            18,267,782          24,168,502                (977,877)            7,666,919
      -------------      --------------         -------------       -------------           -------------         -------------


                 --                  --                    --             (20,896)             (1,925,620)           (3,091,908)
           (284,327)           (783,850)                   --                  --                      --                    --
                 --                  --                    --                  --                      --               (34,237)
      -------------      --------------         -------------       -------------           -------------         -------------
           (284,327)           (783,850)                   --             (20,896)             (1,925,620)           (3,126,145)
      -------------      --------------         -------------       -------------           -------------         -------------


         46,003,201          36,016,174            18,750,757          36,197,767               8,051,490            19,199,494
            284,327             783,850                    --              20,896               1,925,620             3,126,145
           (389,585)           (321,323)           (4,291,811)         (5,504,857)             (1,896,780)           (7,282,411)
      -------------      --------------         -------------       -------------           -------------         -------------

         45,897,943          36,478,701            14,458,946          30,713,806               8,080,330            15,043,228
      -------------      --------------         -------------       -------------           -------------         -------------
         52,931,159          41,376,035            32,726,728          54,861,412               5,176,833            19,584,002
      -------------      --------------         -------------       -------------           -------------         -------------

      $  94,307,194      $   41,376,035         $ 175,851,414       $ 143,124,686           $  65,544,927         $  60,368,094
      =============      ==============         =============       =============           =============         =============


      $    (143,614)     $       (3,304)        $     119,515       $       3,143           $      31,430         $          --
      =============      ==============         =============       =============           =============         =============



         30,650,160          29,899,903            12,837,251          28,453,081               8,073,744            19,366,727
            183,318             572,571                    --              15,263               1,959,675             3,138,951
           (292,472)           (252,012)           (2,959,527)         (4,239,678)             (1,894,261)           (7,409,278)
      -------------      --------------         -------------       -------------           -------------         -------------
         30,541,006          30,220,462             9,877,724          24,228,666               8,139,158            15,096,400
      =============      ==============         =============       =============           =============         =============
</TABLE>

- ----------------------------------------------------

                                                                            F-19
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

      FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                     Income from Investment Operations                             Less Distributions
              -----------------------------------------------  ---------------------------------------------------------

                                      Net Realized                                      Distribution                          Net
                 Net                      and                              Distributions  in Excess                        Increase
                Asset                 Unrealized                Dividends    from Net      of Net                         (Decrease)
                Value        Net      Gain (Loss)  Total from   from Net     Realized     Realized               Total        in
Year Ended    Beginning   Investment       on      Investment  Investment    Capital      Capital   Return of   Distri-    Net Asset
December 31,  of Period   Income(2)   Investments  Operations    Income       Gains        Gains     Capital    butions      Value
- ------------  ---------   ----------  -----------  ----------  ----------  ------------ -----------  --------  ---------   ---------

<S>           <C>         <C>         <C>          <C>         <C>         <C>           <C>         <C>       <C>         <C>
Select International
Equity Fund/(1)/

 1996/(D)/    $   1.136   $    0.008  $     0.082  $    0.090  $   (0.001) $         --  $       --  $     --  $  (0.001)  $ 0.089
 1995             0.963        0.013        0.176       0.189      (0.011)       (0.005)         --        --     (0.016)    0.173
 1994             1.000        0.003       (0.038)     (0.035)     (0.001)       (0.001)         --        --     (0.002)   (0.037)


Select Aggressive
Growth Fund/(1)/

1996/(D)/         1.848       (0.004)       0.277       0.273         --         (0.030)         --        --     (0.030)    0.243
1995              1.397       (0.001)       0.452       0.451         --             --          --        --         --     0.451
1994              1.431       (0.002)      (0.032)     (0.034)        --             --          --        --         --    (0.034)
1993              1.197        0.001        0.234       0.235     (0.001)            --          --        --     (0.001)    0.234
1992              1.000        0.001        0.197       0.198     (0.001)            --          --        --     (0.001)    0.197


Select Capital
Appreciation Fund/(1)/

1996/(D)/         1.369       (0.002)       0.190       0.188         --         (0.005)         --        --     (0.005)    0.183
1995              1.000       (0.001)       0.397       0.396         --         (0.027)         --        --     (0.027)    0.369


Select Growth
Fund/(1)/

1996/(D)/         1.369        0.001        0.167       0.168         --             --          --        --         --     0.168
1995              1.099           --        0.270       0.270         --             --          --        --         --     0.270
1994              1.119        0.003       (0.020)     (0.017)    (0.003)            --          --        --     (0.003)   (0.020)
1993              1.111        0.001        0.008       0.009     (0.001)            --          --        --     (0.001)    0.008
1992              1.000        0.001        0.111       0.112     (0.001)            --          --        --     (0.001)    0.111
</TABLE>
- --------------------------------------------------------------------------------
*    Annualized
**   Not Annualized
(A)  Including reimbursements and reductions.
(B)  Excluding reductions. Certain Portfolios have entered into varying
     arrangements with brokers who reduced a portion of the Portfolios' expenses
     (see Note 5 of Notes to Financial Statements). (C) Excluding reimbursements
     and reductions. (D) For six months ended June 30, 1996 (Unaudited).
(E)  For fiscal years beginning on or after September 1, 1995, a Portfolio is
     required to disclose its average commission
     rate per share for trades for which commissions are charged. This rate 
     generally does not reflect mark-ups, mark-downs, or spreads on shares 
     traded on a principal basis.
(1)  The Portfolios commenced operations as follows:

     Select International  Select Aggressive    Select Capital     Select Growth
        Equity Fund          GrowthFund       Appreciation Fund        Fund     
     --------------------  -----------------  -----------------  ---------------
        May 2, 1994         August 21, 1992     April 28, 1995   August 21, 1992

(2)  Net investment income per share before reimbursement of fees by the
     investment adviser were $0.002 in 1994 for Select International Equity 
     Fund; $0.000 in 1993 and $(0.001) in 1992 for Select Aggressive Growth 
     Fund; $(0.001)in 1995 for Select Capital Appreciation Fund; and $0.001 in 
     1993 and $0.000 in 1992 for Select Growth Fund.


                       See Notes to Financial Statements.
                       ---------------------------------------------------------


F-20
<PAGE>
<TABLE>
<CAPTION>
                                                    ALLMERICA INVESTMENT TRUST

                                                    Ratios /Supplemental Data
                       ------------------------------------------------------------------------------------------
                                                   Ratios To Average Net Assets
                                    ------------------------------------------------------------
 


 Net Asset             Net Assets
    Value                 End of        Net                                                             Portfolio     Average
   End of      Total      Period    Investment        Operating Expenses        Management Fee           Turnover    Commissions
   Period     Return     (000's)      Income       (A)      (B)      (C)      Gross          Net          Rate        Rate(E)
  --------   --------  ----------   ----------    -----    -----    -----     -----         -----       ---------    -----------
  <S>        <C>       <C>          <C>           <C>      <C>      <C>       <C>           <C>         <C>          <C>


  $  1.225    7.95%**  $ 172,953      1.73%*      1.14%*   1.19%*   1.19%*    1.00%*        1.00%*         11%       $  0.0327
     1.136   19.63%      104,312      1.68%       1.24%    1.24%    1.24%     1.00%         1.00%          24%              --
     0.963   (3.49)%**    40,498      0.87%*      1.50%*   1.50%*   1.78%*    1.00%*        0.72%*         19%              --



     2.091   14.76%**    337,440     (0.46)%*     1.06%*   1.06%*   1.06%*    1.00%*        1.00%*         65%          0.0599
     1.848   32.28%      254,872     (0.07)%      1.09%    1.09%    1.09%     1.00%         1.00%         104%              --
     1.397   (2.31)%     136,573     (0.21)%      1.16%    1.16%    1.16%     1.00%         1.00%         100%              --
     1.431   19.51%       66,251      0.10%       1.19%    1.19%    1.23%     1.00%         0.96%          76%              --
     1.197   19.85%**      9,270      0.34%*      1.35%*   1.35%*   1.88%*     N/A           N/A           33%              --



     1.552   13.64%**     94,307     (0.43)%*     1.10%*   1.10%*   1.10%*    1.00%*        1.00%*         58%          0.0436
     1.369   39.56%**     41,376     (0.25)%*     1.35%*   1.35%*   1.42%*    1.00%*        0.93%*         95%              --



     1.537   12.27%**    175,851      0.15%*      0.85%*   0.86%*   0.86%*    0.85%*        0.85%*         39%          0.0471
     1.369   24.59%      143,125      0.02%       0.97%    0.97%    0.97%     0.85%         0.85%          51%              --
     1.099   (1.49)%      88,263      0.37%       1.03%    1.03%    1.03%     0.85%         0.85%          55%              --
     1.119    0.84%       53,854      0.15%       1.05%    1.05%    1.08%     0.85%         0.82%          65%              --
     1.111   11.25%**      9,308      0.40%*      1.20%*   1.20%*   1.72%*     N/A           N/A            3%              --
</TABLE>
- -----------------------------------------------------------------
                                                                            F-21
<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                             Total         in
Year Ended   Beginning  Investment      on        Investment  Investment    Capital  Distributions  Return of   Distri-    Net Asset
December 31, of Period   Income(2)  Investments   Operations    Income      Gains     in Excess     Capital     butions      Value
- ------------ ---------  ----------  -----------   ----------  ---------- ----------- -------------  --------- ----------- ----------

<S>          <C>        <C>         <C>           <C>         <C>        <C>          <C>           <C>       <C>         <C>
Select
Income Fund/(1)/
  1996/(D)/   $  1.024   $  0.031    $  (0.048)   $ (0.017)   $ (0.030)  $      --    $      --     $    --   $ (0.030)   $ (0.047)
  1995           0.930      0.060        0.095       0.155      (0.060)         --       (0.001)(3)      --     (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 Portfolios' expenses
     (see Note 5 of Notes to Financial Statements).
(C)  Excluding reimbursements and reductions.
(D)  For six months ended June 30, 1996 (Unaudited).
(E)  For fiscal years beginning on or after September 1, 1995, a Portfolio is
     required to disclose its average commission rate per share for trades for 
     which commissions are charged. This rate generally does not reflect 
     mark-ups, mark-downs or spreads on shares traded on a principal basis.
(1)  The Portfolio commenced operations on August 21, 1992.
(2)  Net investment income per share before reimbursement of fees by the
     investment adviser for Select Income Fund were $0.060 in 1995, $0.055 in 
     1994, $0.050 in 1993 and $0.015 in 1992.
(3)  Represents distribution in excess of net investment income.


                       See Notes to Financial Statements.
                       ---------------------------------------------------------


F-22
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

<TABLE>
<CAPTION>
                                                       Ratios /Supplemental Data
                                   -------------------------------------------------------------------------------
                                                     Ratios To Average Net Assets
                                   -------------------------------------------------------------------------------
 Net Asset            Net Assets
   Value                End of         Net                                                               Portfolio     Average
  End of     Total      Period     Investment         Operating Expenses           Management Fee        Turnover    Commissions
  Period    Return      (000's)      Income         (A)      (B)      (C)        Gross          Net        Rate        Rate(E)
 ---------  ------    ----------   ----------      -----    -----    -----       -----         -----     ---------   -----------
 <S>        <C>       <C>          <C>             <C>      <C>      <C>         <C>           <C>       <C>         <C>    
 $   0.977  (1.65)%** $  65,545      6.33%*        0.71%*   0.71%*   0.71%*      0.60%*        0.60%*       76%           --
     1.024  16.96%       60,368      6.24%         0.79%    0.79%    0.80%       0.60%         0.59%       131%           --
     0.930  (4.82)%      40,784      6.07%         0.83%    0.83%    0.85%       0.60%         0.58%       105%           --
     1.035  10.95%       25,302      5.91%         0.91%    0.91%    1.08%       0.60%         0.43%       171%           --
     0.988   0.62%**      5,380      5.38%*        1.00%*   1.00%*   1.67%*       N/A           N/A        119%           --
</TABLE>
- --------------------------------------------------------------------------------















                                                                            F-23
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

            NOTES TO FINANCIAL STATEMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------

1.  ORGANIZATION
Allmerica Investment Trust (the "Trust"), formerly SMA Investment Trust, is
registered under the Investment Company Act of 1940, as amended, as an open-end,
diversified, management investment company established as a Massachusetts
business trust for the purpose of providing a vehicle for the investment of
assets of various separate accounts established by Allmerica Financial Life
Insurance and Annuity Company, a wholly-owned subsidiary of First Allmerica
Financial Life Insurance Company ("First Allmerica"), or other affiliated
insurance companies. As of the date of this report, the Trust offered twelve
managed investment portfolios. The accompanying financial statements and
financial highlights are those of the Select International Equity, Select
Aggressive Growth, Select Capital Appreciation, Select Growth and Select Income
(individually, a "Portfolio," collectively, the "Portfolios") only.

2.  SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies which are in conformity with generally accepted accounting
principles consistently followed by the Trust in the preparation of its
financial statements.

Security Valuation: Securities which are traded on a recognized exchange
(including securities traded through the National Market System) are valued at
the last sale price on the securities exchange on which such securities are
primarily traded or, if there were no sales during the day, at the mean of the
closing bid and asking price. Over-the-counter securities that are not traded
through the National Market System are valued on the basis of the bid price at
the close of business on each day. Short-term investments that mature in 60 days
or less are valued at amortized cost. Corporate debt securities and debt
securities of the U.S. Government and its agencies (other than short-term
investments) are valued by an independent pricing service approved by the Board
of Trustees which utilizes market quotations and transactions, quotations from
dealers and various relationships among securities in determining value. If not
valued by a pricing service, such securities are valued at prices obtained from
independent brokers. Investments with prices that cannot be readily obtained are
carried at market value as determined in good faith under consistently applied
procedures established by and under the supervision of the Board of Trustees.

Forward Foreign Currency Contracts: The Select International Equity and Select
Capital Appreciation Funds may enter into forward foreign currency contracts
whereby the Portfolios agree to sell a specific currency at a specific price at
a future date in an attempt to hedge against fluctuations in the value of the
underlying currency of certain portfolio instruments. Forward foreign currency
contracts are valued at the daily exchange rate of the underlying currency with
any fluctuations recorded as unrealized gains or losses. Purchases and sales of
forward foreign currency contracts having the same settlement date and
counterparty are offset and presented on a net basis in the Statement of Assets
and Liabilities. Gains or losses on the purchase or sale of forward foreign
currency contracts having the same settlement date and broker are recognized on
the date of offset, otherwise gains and losses are recognized on settlement
date.

Foreign Currency Translation: Investment valuations, other assets and
liabilities initially denominated in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments and income and expenses are converted into U.S.
dollars based upon exchange rates prevailing on the respective dates of such
transactions. That portion of unrealized gains or losses on investments due to
fluctuations in foreign currency exchange rates is not separately disclosed.

Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis and consists of interest accrued and, if applicable, discount
earned less premiums amortized. Dividend income is recorded on the ex-dividend
date.

                                       -----------------------------------------

F-24
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

              NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------



Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio of the Trust intends to continue to
qualify as a "regulated investment company" under Subchapter M of the Internal
Revenue Code of 1986, as amended. By so qualifying, each Portfolio will not be
subject to Federal income taxes to the extent it distributes all of its taxable
income and net realized gains for the tax year ending December 31. In addition,
by distributing during each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, each
Portfolio will not be subject to Federal excise tax. Therefore, no Federal
income tax provision is required. Withholding taxes on foreign dividend income
and gains have been paid or provided for in accordance with the applicable
country's tax rules and rates.

Paid-in capital, undistributed net investment income and accumulated net
realized gain (loss) have been adjusted in the Statements of Assets and
Liabilities for permanent book-tax differences for all Portfolios through the
year ended December 31, 1995.

Distributions to Shareholders: Dividends from net investment income are declared
and distributed quarterly for Select Income Fund and annually for Select
International Equity, Select Aggressive Growth, Select Capital Appreciation and
Select Growth Funds. All Portfolios declare and distribute all net realized
capital gains, if any, at least annually. The distributions are recorded on the
ex-dividend date. Income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing book and
tax treatments in the timing of the recognition of gains or losses on securities
and forwards, including "Post October Losses" (Note 9) and permanent differences
due to differing treatments for paydown gains/losses on certain securities,
foreign currency transactions, market discount, non-taxable dividends and losses
deferred due to wash sales. Any taxable income or gain remaining at fiscal year
end is distributed in the following year.

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.

Organization Costs: Each Portfolio bears all costs in connection with its
organization, including the fees and expenses of registering and qualifying its
shares for distribution under Federal and state securities regulations. All such
costs are being amortized using the straight-line method over a period of five
years beginning with the commencement of the Portfolio's operation. The
Investment Adviser incurred all start up costs of the Portfolios except for
Select Capital Appreciation.

Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.

Forward Commitments: Each Portfolio may from time to time purchase securities on
a forward commitment basis. Debt securities are often issued on this basis. The
yield of such securities is fixed at the time a commitment to purchase is made,
with actual payment and delivery of the security generally taking place 15 to 45
days later. During the period between purchase and settlement, typically no
payment is made by a Portfolio and no interest accrues to the Portfolio. The
market value of forward commitments may be more or less than the purchase price
payable at settlement date.

3.  INVESTMENT ADVISORY, ADMINISTRATION AND OTHER RELATED
    PARTY TRANSACTIONS
Allmerica Investment Management Company, Inc. (the "Manager"), a wholly-owned
subsidiary of First Allmerica, serves as Investment Adviser and Administrator to
the Trust. Under the terms of the management agreement, the Portfolios pay a
management fee, calculated daily and payable monthly, at an annual rate based
upon the following percentages of average daily net asset value: 1.00% for
Select International Equity, Select Aggressive Growth and Select Capital
Appreciation Funds, 0.85% for Select Growth Fund, and 0.60% for Select Income
Fund.


- ----------------------------------------


                                                                            F-25
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

              NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------

The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers.


The Sub-Advisers for each of the Portfolios are as follows:

Select International Equity          Bank of Ireland Asset Management Limited 
Select Aggressive Growth             Nicholas-Applegate Capital Management 
Select Capital Appreciation          Janus Capital Corporation 
Select Growth (See Note 12)          Provident Investment Counsel 
Select Income                        Standish, Ayer & Wood, Inc.


The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("FDISG"), a wholly-owned subsidiary of First
Data Corporation, whereby FDISG performs administrative services for each of the
Portfolios and is entitled to receive an administrative fee and certain
out-of-pocket expenses. The Manager is solely responsible for the payment of the
administrative fee to FDISG. In a separate agreement, FDISG receives separate
fees from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent. 

The Trust pays no salaries or compensation to any of its officers. Trustees who
are not directors, officers, or employees of the Trust or any investment adviser
are reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such amounts
are paid by the Trust.


4.  REIMBURSEMENT OF EXPENSES
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, brokerage commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select International
Equity Fund - 1.50%, Select Aggressive Growth and Select Capital Appreciation
Funds - 1.35%, Select Growth Fund - 1.20%, and Select Income Fund - 1.00%, the
Manager will either bear such expenses directly or reduce its compensation from
the Portfolios by the excess of the stated expense limitations. Expense
limitations may be removed or revised without prior notice to existing
shareholders. The Manager will voluntarily reimburse its fees and any expenses
in excess of the expense limitations.


5.  REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of commissions. Such amounts earned by the Portfolios,
under such agreements, are presented as expense reductions in the Statements of
Operations.


6.  SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value.


7.  PURCHASES AND SALES OF SECURITIES


F-26

                                       -----------------------------------------
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

              NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------

The cost of purchases and proceeds from sales of investment securities,
excluding short-term investments, for the six months ended June 30, 1996 were as
follows:

<TABLE>
<CAPTION>
                                     Purchases                           Sales
                            --------------------------         --------------------------
Portfolio                   Other           Government         Other           Government
- -----------------------------------------------------------------------------------------
<S>                       <C>               <C>              <C>              <C>        
Select International
   Equity                 $ 73,614,520      $        --      $ 15,474,705     $        --
Select Aggressive
   Growth                  223,066,911               --       190,598,807              --
Select Capital
   Appreciation             79,810,550               --        38,065,096              --
Select Growth               68,658,383               --        56,708,909              --
Select Income               16,349,543       38,536,704         7,460,243      38,818,516
</TABLE>


At June 30, 1996, aggregate gross unrealized appreciation for all securities in
which there was an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there was an excess of tax cost over
value were as follows:
<TABLE>
<CAPTION>
                                                      Tax Basis
                                                      ---------
                                                              Net Unrealized
                             Unrealized      Unrealized         Appreciation
Portfolio                   Appreciation    Depreciation       (Depreciation)       Cost
- -------------------------------------------------------------------------------------------
<S>                       <C>               <C>               <C>              <C>         
Select International
   Equity                  $17,644,478      $(2,547,826)       $15,096,652     $162,067,026
Select Aggressive
   Growth                   85,299,114      (13,541,314)        71,757,800      260,549,929
Select Capital
   Appreciation             13,425,141       (2,958,787)        10,466,354       84,874,740
Select Growth               41,130,673       (1,751,240)        39,379,433      136,547,511
Select Income                  562,488       (1,008,953)          (446,465)      66,463,721
</TABLE>


8.  CAPITAL LOSS CARRYFORWARD
As of December 31, 1995, certain Portfolios had capital loss carryforwards which
expire as follows:
<TABLE>
<CAPTION>
                                                                    December 31,
Portfolio                        2000              2001             2002               2003          Utilized
- -------------------------------------------------------------------------------------------------------------
<S>                             <C>             <C>               <C>                <C>            <C>      
Select Growth                    $ 7,651        $ 247,191        $ 2,115,070         $ 360,571      $      --
Select Income                         --               --            934,165                --        166,974
</TABLE>


9.  POST OCTOBER LOSSES

- ----------------------------------------


                                                                            F-27
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST


              NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------


Under current tax law, certain capital and net foreign exchange losses realized
after October 31 may be deferred and treated as occurring on the first day of
the following fiscal year. For the fiscal year ended December 31, 1995, the
following Portfolios have elected to defer losses occurring between November 1,
1995 and December 31, 1995 in the following amounts:


Portfolio                                       Capital                 Currency
- --------------------------------------------------------------------------------
Select International Equity                            --             $  197,793
Select Growth                                $  1,171,841                     --


10. FOREIGN SECURITIES
Each Portfolio may purchase securities of foreign issuers. Investing in
securities of foreign issuers involves special risks not typically associated
with investing in securities of U.S. issuers. The risks include revaluation of
currencies and future adverse political and economic developments. Moreover,
securities of many foreign issuers and their markets may be less liquid and
their prices more volatile than those of securities of comparable U.S. issuers.


11. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including forward foreign currency
contracts involves risk other than that reflected in the Statement of Assets and
Liabilities. Risks associated with these instruments include the potential for
an imperfect correlation between the movements in the price of the instruments
and the price of the underlying securities and interest rates, an illiquid
secondary market for the instruments or inability of counterparties to perform
under the terms of the contract, and changes in the value of foreign currency
relative to the U.S. dollar. The Select International Equity Fund and the Select
Capital Appreciation Fund enter into these contracts primarily to protect the
Portfolio from adverse currency movement. 


12. SUBSEQUENT EVENT 
Effective July 1,1996, Putnam Investment Management, Inc. ("Putnam") replaced
Provident Investment Counsel ("PIC") as the Sub-Adviser of the Select Growth
Fund. A Sub-Advisory Agreement between the Manager and Putnam has been approved
by the Trustees of the Trust, subject to approval of the Portfolio's
shareholders at a meeting to be held September 18, 1996. Putnam will receive
from the Manager a fee computed daily at an annual rate based on the average net
assets of the Portfolio under the same fee schedule as was in effect with PIC.

                                       -----------------------------------------

F-28
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

                                OTHER INFORMATION
- --------------------------------------------------------------------------------



FEDERAL INCOME TAX INFORMATION (UNAUDITED):
Distributions from long-term capital gains for the six months ended June 30,
1996 were $4,068 for Select International Equity Fund and $4,741,627 for Select
Aggressive Growth Fund.







- ---------------------------------------

                                                                            F-29
<PAGE>
 
                           ALLMERICA INVESTMENT TRUST

                             REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------


The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.

This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Funds and is not authorized for
distribution to prospective investors in the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company unless accompanied
or preceded by effective prospectuses for the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company, Allmerica
Investment Trust, and T. Rowe Price International Stock Portfolio which include
important information related to charges and expenses.



                                       -----------------------------------------

F-30
<PAGE>
 
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<PAGE>
 
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<PAGE>
 
           Allmerica Choice & Allmerica Advantage Retirement Choice
         Allmerica Choice & Allmerica Retirement Choice are issued by 
         First Allmerica Life Insurance Company and are distributed by
                          Allmerica Investments, Inc.
  To be preceded or accompanied by the current prospectus. Read it carefully
                               before investing.


                       [LOGO OF ALLMERICA APPEARS HERE]

 First Allmerica Financial Life Insurance Company . Allmerica Financial Life 
     Insurance and Annuity Company (licensed in all states except NY & HI)
    Allmercia Trus Company, N.A. . Allmercia Investments, Inc. . Allmerica 
                      Investment Management Company, Inc.
 Allmerica Asset Management, Inc. . Allmercia Property & Casualty Companies, 
                     Inc. . The Hanover Insurance Company
  Sterling Risk Management Services, Inc. . Citizens Corporation . Citizens 
                  Insurance Company of America . AMGRO, Inc.

              440 Lincoln Street, Worcester, Massachusetts 01653


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