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ANNUAL REPORT
December 31, 1997
Allmerica IRA
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[PAINTING OF SAILBOAT APPEARS HERE]
[LOGO OF ALLMERICA FINANCIAL APPEARS HERE]
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GENERAL INFORMATION
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Officers of First Allmerica
Financial Life Insurance Company
John F. O'Brien, President and CEO
Edward J. Parry, III, Vice President, CFO
and Treasurer
Abigail M. Armstrong, Secretary and Counsel
Investment Manager
Allmerica Investment
Management Company, Inc.
440 Lincoln Street
Worcester, MA 01653
General Distributor
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
Independent Accountants
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110
Custodian
Bankers Trust Company
16 Wall Street
New York, NY 10005
Legal Counsel
Ropes & Gray
One International Place
Boston, MA 02110
Administrator
First Data Investor Services Group
4400 Computer Drive
Westborough, MA 01581
Officers of Allmerica
Investment Trust (AIT)
Richard M. Reilly, President
Thomas P. Cunningham, Treasurer
George M. Boyd, Secretary
Board of Trustees of AIT
John F. O'Brien, Chairman
Cynthia A. Hargadon*
Gordon Holmes*
John P. Kavanaugh
Bruce E. Langton*
Attiat F. Ott*
Richard M. Reilly
Ranne P. Warner*
*Independent Trustees
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street
Worcester, MA 01653
Equity Index Fund
Investment Grade Income Fund
Government Bond Fund
Money Market Fund
Bank of Ireland Asset Management
(U.S.) Limited
U.S. Offices:
20 Horseneck Lane, Greenwich, CT 06830
Main Offices:
26 Fitzwilliam Place, Dublin 2, Ireland
Select International Equity Fund
Miller Anderson & Sherrerd, LLP
One Tower Bridge
West Conshohocken, PA 19428
Growth Fund
Nicholas-Applegate Capital Management, L.P.
600 West Broadway - Suite 2900
San Diego, CA 92101
Select Aggressive Growth Fund
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CONTENTS
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A LETTER FROM THE CHAIRMAN ........................................... 2
PERFORMANCE DISCLOSURE ............................................... 3
DOMESTIC & INTERNATIONAL EQUITY MARKET OVERVIEW ...................... 4
Select Aggressive Growth Fund ........................................ 6
Select International Equity Fund ..................................... 7
Growth Fund .......................................................... 8
Equity Index Fund .................................................... 9
BOND & MONEY
MARKET OVERVIEW ...................................................... 10
Investment Grade Income Fund ......................................... 12
Government Bond Fund ................................................. 13
Money Market Fund .................................................... 14
FINANCIALS ........................................................... F-1
See Client Notices on page F-45.
A particular Fund may not be available under the group variable annuity which
you have chosen. The Prospectus of the group annuity product you have chosen
will indicate which Funds are available. Inclusion in this annual report of a
Fund which is not available under your policy is not to be considered a
solicitation.
1
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A LETTER FROM THE CHAIRMAN
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[PHOTO OF JOHN O'BRIEN APPEARS HERE]
Dear Client:
During 1997, investors benefited from generally healthy U.S. financial markets.
The stock market delivered an unprecedented third consecutive year of returns
over 20% and the bond market enjoyed its best results since 1995.
This year's exceptional performance, however, masks the volatility which
occurred, particularly in the U.S. equity markets. In fact, market volatility in
1997 was the fourth highest in the last 50 years. Moreover, not only did almost
all of the gain in the S&P 500(R) occur during the first seven months of the
year, returns were concentrated in just a handful of large company stocks.
Understandably, this proved particularly frustrating to investors in smaller
company stocks and to those large-cap managers with broadly diversified
portfolios.
Internationally, the markets proved quite challenging. The larger developed
countries in the Morgan Stanley EAFE Index delivered solid returns through July
but ended the year with a modest total return of approximately 2%. While Europe
delivered strong returns to investors, a 21% decline in the Japanese market and
the effects of a strong U.S. dollar eroded results. Emerging markets in Asia had
a particularly tough year as many of these markets declined dramatically in the
face of spiraling debt and asset deflation.
One outcome of 1997's international turmoil was that many investors sought
shelter in the relative safety of the U.S. bond market which returned over 9%
for the year.
While we continue to have a positive outlook for the U.S. and world economies,
we encourage you to set realistic return expectations and remain focused on your
long-term goals. As the past has so clearly shown, even when unprecedented
annual returns have been achieved in U.S. markets, sudden downward movements can
be quite severe and unsettling. We, therefore, encourage you to continue to work
with your financial advisor to develop and implement a diversified and
disciplined investment program. We believe one prudent way to participate in any
future market potential is through long-term, tax-deferred professionally
managed investment vehicles.
We are pleased to report that almost two-thirds of our investment managers
outperformed their peer group during 1997 as measured by Lipper Analytical
Services. Over a more meaningful three-year period, almost 90% of these managers
outperformed their competitors. We feel these results validate our disciplined
approach to investment management which includes carefully defining investment
parameters and rigorously monitoring managers' results.
As we begin a new year, a tax issue has arisen that warrants our attention. As
part of its Fiscal 1999 budget submission, the Administration has proposed
troubling taxes on new variable annuity and variable life policyholders. While
the details are not yet final and are subject to change, and would as proposed
apply only to policies acquired after the effective date of any new legislation,
we believe the spirit of these proposals is inconsistent with broad national,
social and tax policies and would make it more difficult for Americans to save
for retirement and achieve financial security. On your behalf and the behalf of
others who seek to plan responsibly for retirement, we have joined a strong,
broad-based industry coalition to defeat this legislation. We are confident our
voice will be heard.
We continue to work hard to earn your trust and thank all of you who supported
the proxy initiatives of the Fund's trustees and management during the past
year. We look forward to continuing to serve your investment and retirement
needs in the future.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
2
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PERFORMANCE DISCLOSURE
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ALLMERICA IRA
Average Annual Total Returns as of 12/31/97
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 product for such fee information.
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For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 6.
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Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
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3
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Domestic & International Equity Market Overview
1992: U.S. economy continues its slow recovery. Larger companies downsize while
smaller firms thrive.
1993: A year of low interest rates and strong growth in the emerging markets.
1994: Federal Reserve Board raises interest rates six times stalling equity
markets even while corporate earnings continued to grow.
1995: Favorable economic conditions result in large gains for the U.S. equity
markets. Europe turns in strongest performance of international equity markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
1997: Robust economic growth, declining interest rates and low unemployment
produce a third consecutive year of unprecedented gains for the U.S. stock
market.
Robust economic growth, strong corporate earnings, decreasing interest rates
and a stronger dollar all combined to produce a third consecutive year of
unprecedented gains for the stock market in 1997.
After a first quarter tightening of interest rates by the Federal Reserve, the
economy settled into a slow-growth, low-inflation pattern. Both inflation and
long-term interest rates fell, creating ideal conditions for the U.S. stock
market to flourish, albeit in the face of developing weakness in Asia.
Overall, the Dow Jones Industrial Average rose 22.6% and the S&P 500(R) stock
index soared 33.4%, the first time both had risen more than 20% for three
straight years. But 1997 was also characterized by greater volatility as
demonstrated by the mini-correction on October 27, when the Dow Jones Industrial
Average plummeted more than 550 points in what proved to be the biggest point-
drop ever. Even though the stock market rebounded with a 4.7% gain the next day,
this activity clearly shook investor confidence.
Overall, U.S. equity performance was dominated by large-cap companies as it
had been in the last two years. Although small- and mid-cap stocks rallied for a
short time during the third quarter, the brand name value and diversified
structure of large caps prevailed. In fact, the same big companies which led the
Dow Jones Industrial Average above 7000 in February and over 8000 in July proved
to be the year's winners. These companies included Coca-Cola, International
Business Machines, General Electric and Gillette.
In terms of sector performance, financial services companies led the market's
record-smashing gains, as surging merger and acquisition activity caused
valuations to climb on these issues along with their prices.
In addition, telecommunications, cable, airline and electric-utility stocks
all posted particularly healthy returns for the year.
Technology stocks, however, accounted for a large number of the market's most
disappointing stocks in 1997. As weakening demand and declining profits
mounted, these stocks fell from their posi-
[TIME LINE APPEARS HERE]
1997
JAN
Despite skepticism, the robust U.S. economy continues its momentum from 1996.
FEB
Dow Jones Industrial Average climbs to a record-breaking 7000.
[GRAPHIC APPEARS HERE]
MAR
[GRAPHIC APPEARS HERE]
In response to signs of rising inflation, the Federal Reserve raises the Federal
Funds Rate by .25%.
APR
Technology stocks decline amidst worries about declining demand and profits.
[GRAPHIC APPEARS HERE]
MAY
[GRAPHIC APPEARS HERE]
Japanese stocks deliver strong returns in the second quarter.
JUNE
4
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tion as one of the best performing groups in recent years to a lagging industry.
Worst hit were semiconductor companies, considered most vulnerable to a slump in
Asian demand for high-tech goods.
On the global front, political and financial turmoil throughout much of Asia
characterized international markets in 1997. An environment of spiraling debt,
asset deflation and collapsing economic growth caused a significant loss of
investor confidence, particularly in Thailand, Malaysia and Singapore. Although
Japan gained 22% during the second quarter, this increase occurred in spite of
the disarray in the country's financial sector and domestic economy. The gain,
however, was short-lived as the effects of the financial crisis in other parts
of Asia began to move into Japan.
Because the crisis in Asia was felt in other parts of the world, international
equity markets as a whole produced widely divergent results. European markets
were generally good performers, with Switzerland and Italy finishing the year on
top with returns in excess of 35%. In the United Kingdom, strong corporate
earnings results, particularly from the financial services sector, proved to be
the foundation for a solid year.
The emerging markets of Latin America and Eastern Europe, which had
experienced some spectacular gains during the first half of 1997, didn't escape
the impact of the Asian currency crisis. Throughout the first half of the year,
Latin American markets rose sharply, benefiting from the region's strong export
growth, low inflation, massive foreign capital inflows and surging local capital
markets. Most notably, Mexico performed with surprising resilience. But results
were pared back in the Fall as investors worried about the fundamental strength
of Latin American economies.
As 1998 begins, the outlook for the U.S. stock market is mixed. While a steady
U.S. economy with stable inflationary characteristics generally bodes well for
stocks, there is concern about the financial turmoil in Southeast Asia and its
potential affects on domestic equities. Given this outlook, more normal returns
from domestic stocks are forecast by many Wall Street analysts.
But several factors could disrupt international equity markets as well.
Tighter labor markets, slowing corporate earnings, deflationary pressure from
weak Asian currencies and the unknown effect of the upcoming European Monetary
Union in 1999 could all bring volatility. Many forecasters expect stock prices
to be torn between upward influences from lower interest rates which boost
price/earnings multiples and downward pressure from softening profits.
[TIME LINE APPEARS HERE]
JULY
The Dow Jones Industrial Average tops 8000 in one of the market's largest gains
of the year.
AUG
[GRAPHIC APPEARS HERE]
Consumer Price Index (CPI) indicates slowing inflation, posting one of the
lowest growth rates ever.
SEPT
[GRAPHIC APPEARS HERE]
On Oct. 27, the Dow Jones plunges more than 550 points, the biggest point-drop
ever, shaking investor confidence.
OCT
NOV
[GRAPHIC APPEARS HERE]
Financial and political turmoil grips Asia, producing seven of the year's worst
performing markets.
Italy and Switzerland draw top honors for the year's best-performing global
markets for U.S. investors.
DEC
5
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SELECT AGGRESSIVE GROWTH FUND
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INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management, L.P.
ABOUT THE FUND:
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock price.
PORTFOLIO COMPOSITION:
As of December 31, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Technology 14%
Durable Goods 13%
Finance 11%
Computers and Software 11%
Retail 10%
Energy 8%
Electronics 7%
Consumer Products 5%
Cash Equivalents 1%
Other 20%
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2,500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Fund Average is a
non-weighted index of 233 funds within the capital appreciation investment
objective. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
The Select Aggressive Growth Fund returned 18.71% for the one-year period ended
December 31, 1997, yet trailed the 24.36% return of the Russell 2500 Index for
the same period.
Most of this Fund's underperformance occurred in the fourth quarter as the
effects of the Asian financial crisis pushed small- and mid-cap stocks sharply
lower, especially technology issues. Because the Fund had 25% of its holdings
allocated to technology-related sectors versus 16% for its Index, the downturn
in Asia hit the Fund rather hard. This overweighting, plus an exposure to
manufacturing and consumer services, two sectors which also suffered, were the
prime factors in the underperformance.
On the brighter side, stock selection in the financial services and energy
sectors benefited performance. Financial services holdings such as Bear Stearns
Cos. Inc., North Fork Bancorp, and Greenpoint Financial Corp., all reported
strong gains due to record-setting performance, earlier merger activity and
increased loan growth.
Despite concerns over oil price declines and the possibility of the United
Nations lifting the Iraqi trade embargo, energy stocks were also a bright spot
for the Fund. These stocks benefited from strong industry trends, healthy
business in oilfield services and increasing demand in contract drilling.
The Fund's managers outlook for 1998 is cautiously optimistic. While low
inflation, moderate growth and high employment rates continue to provide a
favorable backdrop for the U.S. economy, the Asian financial crisis poses a
threat to the global economy. Concerned about the effects this crisis could have
on U.S. companies' earnings, the Fund's managers anticipate an economic slowdown
in the U.S. in 1998. In fact, signs of this slowing demand from Asian buyers is
already evident in actions such as Thai Airways recently canceled airplane order
with Boeing.
As the U.S. economy slows, the Fund's managers believe that growth stocks
represent the most attractive potential. Because of their reliable earnings'
stream, these stocks have historically outperformed value stocks during similar
periods. In addition, small- and mid-cap stocks continue to exhibit excellent
growth rates and valuations, especially after four years of underperformance
relative to large-cap stocks.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[LINE GRAPH APPEARS HERE]
Select Aggressive Russell 2500
Date Growth Fund Index
---- ----------------- ------------
8/92 $10,000 $10,000
12/97 $26,049 $26,057
[PLOT POINTS TO COME]
AVERAGE ANNUAL TOTAL RETURNS
Years ended December 31, 1997 One Year Five Years Life of Fund
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Select Aggressive Growth Fund 18.71% 16.80% 19.57%
Russell 2500 Index 24.36% 17.59% 19.60%
Lipper Capital Appreciation Fund Average 20.27% 15.17% 16.38%
6
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SELECT INTERNATIONAL EQUITY FUND
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For the one-year period ended December 31, 1997 the Select International Equity
Fund returned 4.65%, outperforming the 2.06% return of the Morgan Stanley EAFE
Index for the same period.
Despite the financial turmoil in South East Asia and the Far East, global
equity markets fared well during 1997. Steady economic growth and low inflation
were the springboard for rising stock prices, especially in Europe. Switzerland
finished the year as the best-performing market. Solid returns were also posted
by the Dutch, Italian and German exchanges.
The Fund's manager uses a value-oriented thematic investment style. During
1997, the Positive Banking Environment theme added significant value to the
portfolio. Barclays Bank, for instance, was the biggest contributor to this
theme's performance. Banco de Santander also contributed favorably due to good
earnings news.
In the Health Care theme, Novartis, the Fund's largest holding, benefited as
the merger of Ciba Geigy and Sandoz proceeded better than expected. Glaxo
Wellcome also performed well as it announced plans to release new drugs in the
coming years to treat asthma, AIDS and migraines.
Consumer-oriented stocks also enjoyed strong results. Here, one of the Fund's
largest holdings, B.A.T Industries, added value by announcing plans to merge its
financial services divisions with Zurich Insurance Group. The proposed merger
will create an insurance giant with a market capitalization of $37 billion,
making it the second largest insurer in Europe.
Looking ahead, the Fund's managers expect the recovery in Asia to take time.
They observe that because government leaders have been slow to admit the extent
of their problems, they have eroded investor confidence. The managers believe,
however, that selected companies in Japan that have restructured their
operations can deliver strong earnings growth despite worsening GDP forecasts.
The Fund's managers anticipates that the European Monetary Union will play a
strong role in equity market performance over the next few years. Increased
merger and acquisition activity is likely to create a favorable market,
particularly for financial, pharmaceuticals and telecommunications stocks.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
[LINE GRAPH APPEARS HERE]
Select
International Morgan Stanley
Date Equity Fund EAFE Index
---- ------------- --------------
5/94 $10,000 $10,000
12/97 $14,733 $12,118
AVERAGE ANNUAL TOTAL RETURNS
Years ended December 31, 1997 One Year Five Years Life of Fund
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Select International Equity Fund 4.65% N/A 11.14%
Morgan Stanley EAFE Index 2.06% 11.71% 5.38%
Lipper International Fund Average 5.49% 12.10% 6.11%
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management (U.S.) Limited
ABOUT THE FUND:
Seeks maximum long-term total return by investing in established non-U.S.
companies based on fundamental value and strong opportunities for growth.
PORTFOLIO COMPOSITION:
As of December 31, 1997, the geographic allocation of net assets was:
[PIE CHART APPEARS HERE]
United Kingdom 32%
Japan 16%
Switzerland 13%
Netherlands 10%
Germany 7%
Australia 6%
Singapore 4%
France 2%
Cash Equivalents 2%
Other 8%
The Select International Equity Fund is a portfolio of the Allmerica
Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
the Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East Stocks. The Lipper International Fund average is a non-weighted index
of 426 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.
7
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GROWTH FUND
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INVESTMENT SUB-ADVISER:
Miller Anderson & Sherrerd, LLP
ABOUT THE FUND:
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
PORTFOLIO COMPOSITION:
As of December 31, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
Durable Goods 20%
Finance 13%
Chemicals and Drugs 9%
Consumer Staples 6%
Energy 6%
Consumer Products 6%
Building and Construction 5%
Utilities 5%
Technology 4%
Corporate Bonds and Notes 4%
Other 22%
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East Stocks. The Lipper International Fund Average is a non-weighted index
of 368 funds within the international fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
The Growth Fund produced a 25.14% return for the one-year period ended
December 31, 1997, essentially paralleling the return of the Lipper Growth Fund
Average but trailing the S&P 500(R) Index of 33.35% for the same period.
Falling inflation and supportive financial markets contributed to a strong
U.S. economy throughout 1997. The stock market enjoyed record gains and price
appreciation all year long, quickly recovering from the 7% October 27th price
shock, in which the Dow Jones Industrial Average fell more than 550 points.
Despite the overall strength of the U.S. stock market throughout 1997, the
Growth Fund underperformed its benchmark for several reasons. In keeping with
their long-term investment style, the managers sought "value" stocks that trade
at a discount to the market and/or their industry. This strategy prevented the
Fund from holding several of the year's "overvalued", but top-performing issues,
such as General Electric, Coca-Cola, Procter & Gamble, Pfizer and Johnson &
Johnson. These five stocks contributed over one percentage point of the 2.87%
total return of the S&P 500(R) Index during the fourth quarter.
In addition, sector allocations resulted in mixed performance for the Fund
in 1997. On the positive side, the Fund was overweighted in consumer services
and food and tobacco, all of which fared well for the year. Underweighted
positions in technology and energy, two of this year's laggards, also added to
relative performance.
An overweighted exposure to the heavy industry and consumer durables
sectors, however, had a negative effect on performance. Likewise, a 9% cash
position designed to control risk, worked against overall results.
Long-recognized for its high return and low volatility, the Growth Fund was
less volatile than the S&P 500(R) for the year as it has been for many years.
Although the Fund sacrificed some potential gain by staying the course and
investing in issues that exhibited low price-to-earnings and price-to-cash flow
ratios, the Fund's managers believe this strategy should ultimately deliver
superior long-term investment performance in virtually all plausible market
scenarios.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
[LINE GRAPH APPEARS HERE]
Growth S&P 500
Date Fund Index
---- ------ -------
12/87 $10,000 $10,000
12/97 $48,568 $52,448
AVERAGE ANNUAL TOTAL RETURNS
Years ended June 30, 1997 1 year 5 year Life of Fund
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Select International Equity Fund 22.49% N/A 14.30%
Morgan Stanley EAFE Index 12.84% N/A 8.91%
Lipper International Fund Average 16.54% N/A 9.64%
8
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EQUITY INDEX FUND
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For the one-year period ended December 31, 1997, the Equity Index Fund
posted a 32.41% net return, slightly less than the S&P 500(R) Index return of
33.35% for the same period.
For the majority of 1997, the stock market experienced record performance
- -- both up and down. Overall, the Dow Jones Industrial Average rose 22.64% and
the S&P 500(R) stock index soared, the first time both had risen more than 20%
for three straight years.
But this past year was also characterized by greater volatility as
demonstrated by the mini-correction on October 27, where the Dow Jones
Industrial Average plummeted 554.26 points, or 7.18%. This proved to be the
biggest point-drop ever, and the largest decline in percentage terms since Black
Monday in 1987. While the stock market rebounded with a 4.7% gain the next day,
this activity clearly shook investor confidence.
Despite the increased volatility, the stock market ended quite strong. This
was driven by strong earnings in a variety of sectors including, financial
services, securities dealers, banks, pharmaceutical companies and apparel
retailers. Also supporting stock prices was an overall increase in the
price/earnings ratio from 16-to-19 times analysts' estimated earnings.
On the other hand, footwear, metal and commodity stocks were the year's
laggards along with heavy construction equipment manufacturers and casinos, all
of which finished the year with negative returns.
As 1998 begins, the Fund managers' outlook for the U.S. stock market is
mixed. While a steady U.S. economy with stable inflationary characteristics
generally bodes well for stocks, they remain concerned about the financial
turmoil in Southeast Asia -- and its potential effects on domestic equities.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Aims to replicate the returns of the S&P 500(R) Index.
PORTFOLIO COMPOSITION:
As of December 31, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Finance 17%
Durable Goods 16%
Chemicals and Drugs 13%
Consumer Products 10%
Energy 8%
Technology 8%
Utilities 8%
Consumer Staples 7%
Retail 5%
Other 8%
The Equity Index Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(r) Index is an unmanaged index of 500 leading stocks. S&P 500(r)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
S&P 500(r) Index Fund Average is a non-weighted index of 67 funds within the
S&P 500(r) Index 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.
GROWTH OF A $10,000 INVESTMENT SINCE 1990
[LINE GRAPH APPEARS HERE]
Equity Index S&P 500
Date Fund Index
---- ---- -----
9/90 $10,000 $10,000
12/97 $36,823 $38,437
AVERAGE ANNUAL TOTAL RETURNS
Years ended December 31, 1997 One Year Five Years Life of Fund
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Equity Index Fund 32.41% 19.54% 19.68%
S&P 500(R) Index 33.35% 20.25% 20.41%
Lipper S&P 500(R)Index Fund Average 32.60% 19.74% 19.94%
9
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Bond & Money Market Overview
1992: Government and corporate bonds outperform the stock market.
1993: U.S. economy gains momentum. Consumer spending and installment debt
increase.
1994: Federal Reserve Board raises interest rates six times in an effort to slow
down the economy and keep inflation in check, sending bond prices sharply lower.
1995: U.S. bond market enjoys its third best performance in 30 years, thanks to
strong total returns from 30-year U.S. Treasuries and corporate issues.
1996: Outlook for Federal Reserve policy affects U.S. bond market. Long-
predicted interest rate cuts, which would have fueled this market, never occur.
1997: Low inflation and declining interest rates fuel the bond market, which
enjoys its best returns since 1995.
1997 proved to be a very good year for bond investors. Falling inflation,
declining interest rates and a healthy economy were just some of the key factors
contributing to the positive market environment.
During 1997, fixed income markets enjoyed outstanding results. The year
began cautiously as economic indicators showed robust growth and favorable
employment continuing from 1996. This prompted the Federal Reserve Board to
increase the Federal Funds Rate by 25 basis points to 5.50% in a preemptive
strike against inflation. The move proved to be successful and rates were left
unchanged for the remainder of the year, as economic indices continued to
exhibit signs of a strong economy, with little evidence of inflation.
As economic growth continued at a strong pace, the budget deficit began to
evaporate. This decreased the need for Treasury financing in the bond market and
fostered lower yields. These factors led to a strong rally and as prices rose,
interest rates on the thirty-year bond, declined from 6.64% at the start of the
year to 5.92% by year-end.
Increased activity in the fixed income markets also surfaced in the third
quarter when the August consumer price index (CPI) indicated the lowest rate of
inflation since May 1966. The announcement sparked a strong rally in the bond
market. Later in the year, investor concerns about the financial crisis in
Asia - and its possible effects on the domestic economy - also caused bonds to
rally as nervous investors once again retreated from the stock market in favor
of bonds.
In terms of performance, bond investors enjoyed their best gains since 1995
largely because of low inflation and decreasing interest rates. For instance,
the
[TIME LINE APPEARS HERE]
Convinced domestic growth will slow from 1996 levels, investors favor bonds at
the start of the year.
[GRAPHIC APPEARS HERE]
Signs of a strong economy raise fears over increasing interest rates and the
market softens.
To ward off inflation, the Federal Reserve raises interest rates .25%. In
response, the bond market declines.
[GRAPHIC APPEARS HERE]
The budget deficit significantly declines, decreasing the need for Treasury
financing. The bond market rallies.
[GRAPHIC APPEARS HERE]
Stable-to-declining interest rates bode well for corporate and high-yield bonds
as well as mortgage-backed securities.
10
<PAGE>
Lehman Brothers Aggregate Bond Index turned in an impressive 9.65% total return
for the year, up considerably from 1996's dismal showing of 3.61%. Longer
maturity bonds did quite well and 30-year U.S. Treasury bonds returned as much
as 15% this year. Investment-grade bonds and high-yield issues also rewarded
investors with gains of 9.7% and 13.2% respectively. Strong returns in both the
bond and stock markets caused some investors to review the asset mix of their
portfolios. Many large institutions tended to favor bonds later in the year to
rebalance their portfolios, take advantage of rising prices and avoid what they
judged to be an overvalued stock market.
Overall winners for the year were corporate, high-yield and emerging market
bonds. Amid the turmoil in world markets, high-grade U.S. bonds emerged as an
attractive investment later in the year.
Even the money market, which was generally characterized by stability
during 1997, produced solid returns. At year-end, the average yield on a one-
year Treasury Bill was 5.48%, essentially even with the 5.49% yield at the end
of 1996 but only 0.44% less than the yield on a 30-year Treasury bond. Banking
issues in Japan and currency problems in many Asian countries increased the
demand for domestic commercial paper and certificates of deposits as investors
felt more comfortable investing in high-quality issues.
Going forward, the fundamentals of the bond market remain intact. Inflation
is under control and the strong dollar encourages foreign investors to buy U.S.
bonds. And even though unemployment is at a 24-year low and wages are climbing,
productivity gains appear to be keeping a lid on prices.
Despite these strong underpinnings, industry experts point out that there
is limited capital appreciation potential for bonds due to falling interest
rates. Rates are not expected to move significantly lower unless real weakness
in the economy emerges and the prospect of interest rate cuts by the Federal
Reserve develops. The outlook for bond investors then, focuses on their yield
which continues to deliver strong real returns to investors in this low
inflation environment.
While the outlook for the bond and money markets remains generally
favorable, the European Monetary Union slated to take place in January 1999
could emerge as an important issue during the latter part of this year. At that
point, investors will have to consider the possibility that a strong union could
hurt the U.S. dollar and dollar-denominated bonds.
[TIME LINE APPEARS HERE]
CPI indicates the lowest rate of inflation since May 1966 which causes the bond
market to rally.
[GRAPHIC APPEARS HERE]
Institutional investors take advantage of rising bond prices, avoiding what they
consider to be an overvalued stock market.
[GRAPHIC APPEARS HERE]
Concerns grow over the crisis in Asian markets and its possible effect on the
U.S. economy. Investors flee to high-quality U.S. bonds.
[GRAPHIC APPEARS HERE]
Bond investors enjoy their best gains since 1995 largely due to low inflation
and stable to declining interest rates.
[GRAPHIC APPEARS HERE]
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
The Fund's objective is to generate a high level of total return, as is
consistent with prudent investment management.
PORTFOLIO COMPOSITION:
As of December 31, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
Corporate Notes and Bonds 35%
Mortgage-Backed Securities 24%
U.S. Government and Agency Obligations 21%
Asset-Backed Securities 16%
Cash Equivalents 4%
The Investment Grade Income Fund is a
portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed rate
debt issues with an invested grade rating at least one year to maturity and an
outstanding par value of at least $100 million. Lipper Intermediate Investment
Grade Fund Average tracks the performance of 195 funds investing in
intermediate-term corporate and government debt securities. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
For the one-year period ended December 31, 1997, the Investment Grade Income
Fund posted a 9.45% return compared to the 9.65% return of the Lehman Brothers
Aggregate Bond Index for the same period.
A strong economy, declining inflation, lower unemployment, global turbulence
and the Asian currency crisis set the stage for an active U.S. bond market in
1997. Although the Federal Reserve Board raised the Federal Funds rate by .25%
in the first quarter, interest rates in general declined for the year.
As the economy strengthened, the budget deficit began to evaporate,
resulting in a decreased need for Treasury financing. The third and fourth
quarters brought increased volatility, as the August CPI indicated the lowest
rate of inflation since May 1966 and as the Asian currency crisis emerged. Both
activities caused many investors to retreat from the stock market in favor of
bonds.
1997's bond rally did not favor all fixed income sectors equally. The
corporate bond market, for instance, was affected by the turmoil in Asia which
erased most of this sector's relative performance. While the Fund was
overweighted in corporates, it fortunately had no exposure in Southeast Asia.
Sectors such as cable and media, oil and gas, securities brokerage and
airlines performed well; high-quality Yankee bank issuers and bank Trust
preferred issuers detracted from performance.
Heavy weighting in mortgage-backed securities also enhanced returns as these
securities outperformed the Treasury market by 139 basis points. Asset-backed
securities, however, didn't fare as well. An over supply, concerns about
portfolio quality and faster-than-expected prepayments widened spreads. But the
Fund was relatively well-protected as most of these holdings were in shorter
maturity securities which are less sensitive to fluctuation.
Looking ahead, the Fund's managers expect weaker Asian markets to slow U.S.
economic growth. While this action could reduce U.S. exports and slow the
economy, it could also keep inflation low and provide further support to bond
prices.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[LINE GRAPH APPEARS HERE]
Lehman Brothers
Investment Aggregate Bond
Date Grade Income Index
---- ------------ ---------------
12/87 $10,000 $10,000
12/97 $24,090 $24,061
AVERAGE ANNUAL TOTAL RETURNS
Years ended December 31, 1997 One Year Five Years Ten Years
- --------------------------------------------------------------------------------
Investment Grade Income Fund 9.45% 7.51% 9.19%
Lehman Brothers Aggregate Bond Index 9.65% 7.48% 9.18%
Lipper Intermediate Investment Grade
Fund Average 8.57% 6.77% 8.55%
12
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
For the one-year period ended December 31, 1997, the Government Bond Fund posted
a total return of 7.08% surpassing the 6.72% return of the Lipper
Short-Intermediate Government Fund Average for the same period.
During 1997, both fixed income and equity markets enjoyed outstanding
results. On the heels of an economically strong 1996, the first quarter of this
year continued showing signs of robust growth. As inflationary pressure mounted,
the Federal Reserve nudged the Federal Funds rate up .25%. This was a
precautionary move to ward off inflation, and marked the start of declining
interest rates for the year.
As the economy continued to grow at a strong pace, the budget deficit began
to evaporate. This decreased the need for Treasury financing and fostered lower
yields on these securities.
Increased activity in the fixed income markets also surfaced later in the
year. First, the August consumer price index (CPI) indicated the lowest rate of
inflation since May 1966 which sparked a strong rally in the bond market. Then
in the fourth quarter, when the Asian currency crisis emerged, investors once
again retreated from stocks in favor of bonds.
While the Fund fared well for the year, performance was tempered by the
financial unrest in Asia. Spreads widened between U.S. Treasuries and mortgage-
backed, asset-backed and agency-based securities, which restrained results.
Still, the Fund's managers believe that the incremental yield which these
securities offer will help the Fund to outperform over time.
Given this environment, security selection was especially critical to
performance. The Fund's positions in well-seasoned, shorter-term mortgage-backed
securities were less sensitive to increased prepayment frequency, adding to
results.
In looking ahead, the Fund's managers remain cautious and do not expect
1997's strong levels of performance to repeat themselves in the coming year.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[PLOT POINTS TO COME]
[LINE GRAPH APPEARS HERE]
Lehman
Intermediate
Government Government
Date Bond Fund Bond Index
---- ---------- ------------
8/91 $10,000 $10,000
12/97 $15,269 $15,537
AVERAGE ANNUAL TOTAL RETURNS
Years ended December 31, 1997 One Year Five Years Life of Fund
- -----------------------------------------------------------------------------
Government Bond Fund 7.08% 5.96% 6.89%
Lehman Intermediate
Government Bond Index 7.72% 6.39% 7.21%
Lipper Short-Intermediate
U.S. Government Fund Average 6.72% 5.42% 6.39%
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
The Fund's objective is to generate high income for investors while seeking to
preserve capital and maintain liquidity.
PORTFOLIO COMPOSITION:
As of December 31, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
U.S. Treasuries and Agencies 49%
Mortgage-Based Securities 40%
Asset-Backed Securities 9%
Cash Equivalents and Other 2%
The Government Bond Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Intermediate Government Bond Index is an unmanaged index of U.S.
Government and Agency Bonds with remaining maturities of one to ten years. The
Lipper Short-Intermediate U.S. Government Fund Average is the non-weighted
average performance of 92 funds investing in short- to intermediate government
securities. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
13
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Strives to maximize current income
for investors with preservation of capital
and liquidity.
PORTFOLIO COMPOSITION:
As of December 31, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
Cash Equivalents 35%
U.S. Government and Agency Obligations 10%
Repurchase Agreements 10%
Corporate Notes and Bonds 28%
Other 17%
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
The Fund is neither insured nor guaranteed by the U.S. government. There can be
no assurance that the fund will be able to maintain its net asset value of $1.00
per share.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
IBC/Donoghue is an independent firm that tracks 2a-7 regulated money market
funds on a yield, shareholder, asset size and portfolio allocation basis. The
Lipper Money Market Fund Average is the average investment performance of 303
funds within the Money Market category.
For the one-year period ended December 31, 1997, the Money Market Fund posted a
5.47% return significantly outpacing the Lipper Money Market Fund Average return
of 4.90% for the same period.
The money market was generally characterized by stability during 1997. As
economic indicators showed robust growth and favorable employment continuing
from 1996 into the beginning of the new year, the Federal Reserve Board moved to
increase Federal Funds Rate by 25 basis points to 5.50%. These rates were left
unchanged for the remainder of the year as economic indices continued to exhibit
signs of a strong, yet stable economy.
Later in the year, concerns about the potential impact of the financial
crisis in Asia -- and its possible effects on the domestic economy -- led to a
rally in the bond market. Banking issues in Japan and currency problems in many
Asian countries increased the demand for domestic commercial paper and
certificates of deposits as investors felt more comfortable investing in high-
quality paper. Thus, prices rose and the yields on those assets declined quite
rapidly.
To take advantage of this rally, the Fund's managers invested the Fund's
assets in top-tier commercial paper, agency discount notes, repurchase
agreements and floating rate notes. The portfolio also maintained a longer
average weighted maturity than the Fund's benchmark to capture incremental yield
in a declining interest rate environment.
Currently, the portfolio is concentrated in commercial paper and has a 27%
position in floating rate notes which the managers believe adds yield for the
Fund.
Throughout 1997, the Fund's managers focused on three primary investment
objectives: preserving capital, maintaining liquidity and seeking attractive
current income. As 1998 begins, the Money Market Fund is structured to
capitalize on short-term technical factors. For example, the quarterly funding
of the U.S. Treasury often causes rates to rise for a brief period. This
sometimes creates a good investment opportunity for nimble, short-term
investors.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[LINE GRAPH APPEARS HERE]
Money IBC/Donoghue
Market First Tier
Date Fund Money Market Index
---- ------ ------------------
12/87 $10,000 $10,000
12/97 $17,569 $16,344
AVERAGE ANNUAL TOTAL RETURNS
Years ended December 31, 1997 One Year Five Years Ten Years
- -------------------------------------------------------------------------------
Money Market Fund 5.47% 4.71% 5.80%
IBC/Donoghue First Tier Money Market Index 5.01% 4.33% 5.44%
Lipper Money Market Fund Average 4.90% 4.31% 5.40%
14
<PAGE>
---------------------
Financials
---------------------
<PAGE>
This page intentionally left blank.
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 98.85%
Technology - 13.55%
125,900 Adaptec, Inc.* $ 4,674,038
170,900 AirTouch Communications, Inc.* 7,103,031
184,900 Applied Materials, Inc.* 5,570,113
221,700 Avid Technology, Inc.* 5,930,475
216,700 Cirrus Logic, Inc. 2,302,438
142,750 Compaq Computer Corp.* 8,056,453
309,886 Creative Technology, Ltd.* 6,289,911
167,100 EMC Corp.* 4,584,806
274,400 Helix Technology Corp. 5,350,800
28,600 Microsoft Corp.* 3,696,550
158,000 Natural Microsystems Corp. 7,347,000
120,124 Network Associates, Inc.* 6,351,557
150,700 Orbotech, Ltd.* 4,803,563
141,600 Yahoo!, Inc.* 9,805,800
---------------
81,866,535
---------------
Durable Goods - 12.61%
97,500 Ameritech Corp.* 7,848,750
162,900 Arvin Industries, Inc. 5,426,606
122,500 Caterpillar, Inc. 5,948,906
141,000 CIBER, Inc.* 8,178,000
117,200 Cooper Cameron Corp.* 7,149,200
131,300 Dana Corp. 6,236,750
142,000 Federal-Mogul Corp. 5,751,000
95,200 General Motors Corp. 5,771,500
229,800 Jabil Circuit, Inc.* 9,134,550
123,700 Tellabs, Inc.* 6,540,638
383,000 Varco International, Inc.* 8,210,563
---------------
76,196,463
---------------
Computers and Software - 11.26%
122,400 BMC Software, Inc.* 8,032,500
253,600 Cadence Design Systems, Inc.* 6,213,200
107,400 Citrix Systems, Inc.* 8,162,400
373,200 Compuware Corp.* 11,942,400
104,400 Comverse Technology, Inc.* 4,071,600
125,800 Dell Computer Corp.* 10,567,200
212,000 PeopleSoft, Inc.* 8,268,000
166,800 Pomeroy Computer Resources, Inc. 2,960,700
107,200 Quantum Corp.* 2,150,700
440 Siebel Systems, Inc.* 18,384
245,200 Smart Modular Technologies, Inc.* 5,639,600
---------------
68,026,684
---------------
Finance - 10.95%
113,570 Bear Stearns Cos., Inc. $5,394,575
135,100 Capital One Financial Corp. 7,320,731
149,800 Equitable Cos., Inc. 7,452,550
94,700 Greenpoint Financial Corp. 6,871,669
231,875 MBNA Corp. 6,333,086
218,000 Mutual Risk Management, Ltd.* 6,526,375
206,500 North Fork Bancorp., Inc. 6,930,656
109,600 State Street Corp. 6,377,350
140,600 Torchmark Corp. 5,913,988
130,449 Travelers Group, Inc. 7,027,940
---------------
66,148,920
---------------
Retail - 10.46%
170,500 Costco Cos., Inc.* 7,608,563
290,700 Fingerhut Cos., Inc. 6,213,713
167,100 Fleming Cos., Inc. 2,245,406
124,100 Jones Apparel Group, Inc.* 5,336,300
215,600 Michaels Stores, Inc.* 6,306,300
109,900 Payless Shoesource, Inc.* 7,377,038
364,200 Pier 1 Imports, Inc. 8,240,025
262,000 Ross Stores, Inc. 9,530,250
286,200 Stride Rite Corp. 3,434,400
200,400 TJX Cos., Inc. 6,888,750
---------------
63,180,745
---------------
Energy - 7.56%
86,400 BJ Services Co.* 6,215,400
118,400 Cliffs Drilling Co.* 5,905,200
238,200 Global Marine, Inc.* 5,835,900
244,700 Marine Drilling Cos., Inc.* 5,077,525
211,300 Pool Energy Services Co.* 4,701,425
115,200 Tidewater, Inc. 6,350,400
106,800 USX-Marathon Group 3,604,500
202,100 Veritas DGC, Inc.* 7,982,950
---------------
45,673,300
---------------
Electronics - 6.56%
254,500 American Power Conversion Corp.* 6,012,563
243,900 Cellstar Corp. 4,847,513
133,300 Dallas Semiconductor Corp. 5,431,975
395,000 Digital Microwave Corp.* 5,727,500
64,100 Electronics For Imaging, Inc.* 1,065,663
102,300 Philips Electronics NV, New York Shares* 6,189,150
144,000 Vitesse Semiconductor Corp.* 5,436,000
208,900 VLSI Technology, Inc.* 4,935,263
---------------
39,645,627
---------------
Consumer Products - 5.21%
234,100 Best Buy Co., Inc.* 8,632,438
250,100 Intimate Brands, Inc. 6,018,031
219,900 Nautica Enterprises, Inc.* 5,112,675
175,000 Safeskin Corp.* 9,931,250
42,500 Sunbeam Corp. 1,790,313
---------------
31,484,707
---------------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-1
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Consumer Staples - 3.48%
104,900 Danaher Corp.* $6,621,813
139,700 Dexter Corp. 6,033,294
144,600 Interstate Bakeries Corp. 5,404,425
27,500 McKesson Corp.* 2,975,147
---------------
21,034,679
---------------
Health Services - 3.39%
220,900 General Nutrition Cos., Inc.* 7,510,600
159,500 HBO & Co. 7,656,000
97,900 Immunex Corp.* 5,286,600
---------------
20,453,200
---------------
Transportation Services - 3.34%
120,600 Airborne Freight Corp. 7,492,275
160,300 CNF Transportation, Inc. 6,151,513
259,900 Yellow Corp.* 6,529,988
---------------
20,173,776
---------------
Aerospace-Airlines - 2.32%
141,400 Continental Airlines, Inc., Class B* 6,804,875
144,400 Northwest Airlines Corp., Class A* 6,913,150
6,071 Raytheon Co., Class A* 299,371
---------------
14,017,396
---------------
Capital Goods - 2.13%
54,400 Nacco Industries, Inc., Class A 5,831,000
283,800 Navistar International Corp.* 7,041,788
---------------
12,872,788
---------------
Chemicals And Drugs - 1.55%
247,300 Lyondell Petrochemical Co. 6,553,450
54,900 Medicis Pharmaceutical Corp., Class A* 2,806,763
---------------
9,360,213
---------------
Metals And Mining - 1.37%
576,000 Bethlehem Steel Corp.* 4,968,000
192,200 Inland Steel Industries, Inc. 3,291,425
---------------
8,259,425
---------------
Consumer Cyclical - 1.17%
136,800 EVI, Inc.* $7,079,400
---------------
Real Estate - 1.05%
143,200 Fairfield Communities, Inc.* 6,318,700
---------------
Recreational Equipment - 0.72%
78,500 Anchor Gaming* 4,376,375
---------------
Consumer Service - 0.17%
26,100 Robert Half International, Inc.* 1,044,000
---------------
Total Common Stocks 597,212,933
---------------
(Cost $469,887,665)
Par
Value
---------
COMMERCIAL PAPER (A) - 0.62%
$3,752,000 American Express Credit Corp.
6.65% 01/02/98 3,751,307
---------------
Total Commercial Paper 3,751,307
---------------
(Cost $3,751,307)
Shares
----------
INVESTMENT COMPANIES - 0.33%
3,757 ILA Prime Obligation Money Market Fund 3,757
1,971,906 ILA Prime Obligation Portfolio Fund, Class B 1,971,906
---------------
Total Investment Companies 1,975,663
(Cost $1,975,663) ---------------
Total Investments - 99.80% 602,939,903
(Cost $475,614,635) ---------------
Net Assets and Other Liabilities - 0.20% 1,183,258
---------------
Net Assets - 100.00% $ 604,123,161
===============
- --------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1997, the aggregate cost of investment securities for tax
purposes was $475,614,635. Net unrealized appreciation (depreciation) aggregated
$127,325,268, of which $148,711,505 related to appreciated investment securities
and $(21,386,237) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $47,182,652.
For the year ended December 31, 1997, the Portfolio has elected to defer
$1,924,266 of capital losses attributable to Post-October Losses.
OTHER INFORMATION
For the year ended December 31, 1997, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $581,746,883
and $472,109,629 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-2
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 97.46%
Australia - 5.58%
103,540 Broken Hill Proprietary Co., Ltd. $ 961,350
726,520 National Australia Bank, Ltd. 10,144,448
1,321,000 News Corp Ltd. 7,290,291
1,062,800 Telestra Corp. 2,243,651
447,934 WMC Ltd. 1,561,444
---------------
22,201,184
---------------
France - 2.46%
64,100 Michelin, Class B 3,228,515
60,160 Total SA, Class B 6,550,150
---------------
9,778,665
---------------
Germany - 6.85%
124,595 Hoechst AG 4,317,065
18,365 Mannesmann AG 9,223,136
81,710 Siemens AG 4,930,658
89,760 Veba AG 6,115,315
4,873 Viag AG 2,669,516
---------------
27,255,690
---------------
Hong Kong - 1.56%
251,400 HSBC Holdings 6,197,179
---------------
Indonesia - 0.83%
992,000 Gudang Garam 1,511,964
1,200,000 PT Hanjaya Mandala Sampoerna 906,305
1,675,000 Telekomunikasi Indonesia 891,632
---------------
3,309,901
---------------
Ireland - 0.74%
1,043,350 Smurfit (Jefferson) Group 2,944,493
---------------
Italy - 1.70%
158,835 ENI 901,085
917,560 Telecom Italia 5,864,508
---------------
6,765,593
---------------
Japan - 16.09%
487,000 Canon, Inc 11,386,460
233,000 Dai Nippon Printing Co., Ltd. 4,390,442
279,000 Honda Motor Co., Ltd. 10,278,410
281,000 Kao Corp. 4,063,033
19,000 Keyence Corp. 2,820,312
107,000 Murata Manufacturing Co., Ltd. 2,699,254
44,000 Rohm Co., Ltd. 4,500,808
264,000 Shiseido Co., Ltd. 3,614,183
118,100 Sony Corp. 10,536,445
340,000 Takeda Chemical Industries, Ltd. 9,727,653
---------------
64,017,000
---------------
Malaysia - 0.54%
700,000 Development & Commercial
Bank Holdings, Berhad 338,098
349,000 Hume Industries, Berhad 365,824
1,181,200 Sime-Darby, Berhad 1,134,962
363,000 United Engineers, Berhad 302,161
---------------
2,141,045
---------------
Mexico - 0.61%
811,700 Grupo Financiero Banamex, Series B* 2,426,499
---------------
Netherlands - 9.70%
257,412 ABN- Amro Holdings 5,015,607
283,495 Elsevier NV 4,586,875
402,792 ING Groep NV 16,968,223
95,455 Nutricia Ver Bedrijven 2,895,819
79,860 Royal Dutch Petroleum 4,384,520
114,030 Royal PTT Nederland, ADR 4,758,687
---------------
38,609,731
---------------
Philippines - 0.24%
748,130 San Miguel, Class B 937,530
---------------
Portugal - 0.31%
64,542 Electricidade De Portugal 1,223,474
---------------
Singapore - 3.74%
673,000 City Developments, Ltd. 3,115,484
633,000 Development Bank of Singapore 5,409,810
436,600 Fraser and Neave, Ltd. Ord. 1,891,570
356,800 Singapore Press 4,468,103
---------------
14,884,967
---------------
Spain - 1.32%
157,810 Banco De Santander 5,270,156
---------------
Switzerland - 13.38%
4,987 Alusuisse Lonza Holdings, REGD 4,797,063
6,849 Nestle SA 10,279,011
11,122 Novartis AG* 18,072,141
728 Roche Holdings AG 7,239,815
6,871 Schweiz Ruckverisch, REGD 12,870,014
---------------
53,258,044
---------------
United Kingdom - 31.81%
366,900 Barclays Bank, Plc 9,749,726
1,285,150 B.A.T. Industries, Plc 11,725,396
1,343,427 BTR, Plc 4,122,542
517,000 Cable & Wireless, Plc 4,546,848
397,480 Cadbury Schweppes, Plc 3,956,789
538,114 Diageo, Plc 4,945,038
171,204 EMI Group, Plc 1,476,810
612,290 General Electric Co., Plc 4,019,779
347,250 Glaxo Wellcome, Plc 8,216,244
501,850 Granada Group, Plc 7,737,233
306,950 Kingfisher, Plc 4,282,878
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-3
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
United Kingdom - (Continued)
667,250 Ladbroke Group, Plc $ 2,898,443
697,550 Lloyds TSB Group, Plc 9,021,319
279,100 Premier Farnell, Plc 2,022,916
753,900 Prudential Corp., Plc 8,763,913
686,600 Safeway, Plc 3,897,580
282,000 Scottish Power, Plc 2,489,379
944,050 Shell Transportation and Trading, Plc 6,858,006
347,300 Siebe, Plc 6,514,511
545,750 TI Group, Plc 4,184,580
905,650 Vodafone Group, Plc 6,608,854
242,650 Zeneca Group, Plc 8,544,098
---------------
126,582,882
---------------
Total Common Stocks 387,804,033
(Cost $356,660,501) ---------------
PREFERRED STOCK - 0.19%
153,835 News Corp Ltd. (Australia) 761,175
---------------
Total Preferred Stock 761,175
(Cost $632,568) ---------------
INVESTMENT COMPANIES - 1.48%
3,542,337 Federated Investors 3,542,337
353,494 ILA Prime Obligation Portfolio Fund, Class B 353,494
1,990,010 State Street Bank Temporary Fund 1,990,010
---------------
Total Investment Companies 5,885,841
(Cost $5,885,841) ---------------
Total Investments - 99.13% 394,451,049
(Cost $363,178,910) ---------------
Net Assets and Other Liabilities - 0.87% 3,464,266
---------------
Net Assets - 100.00% $ 397,915,315
===============
- ----------------------------------------------
* Non income producing security.
ADR American Depository Receipt
- --------------------------------------------------------------------------------
Industry Concentration of Common and Preferred Stocks
- -----------------------------------------------------
as Percentage of Net Assets:
----------------------------
Finance 23.54%
Chemicals and Drugs 14.42
Telecommunications 9.81
Consumer Goods and Services 9.79
Electronics 9.48
Durable Goods 8.01
Energy 4.72
Utilities 4.08
Tobacco 3.56
Food and Beverage 3.23
Basic Materials 2.11
Business Services 1.10
Retail 1.08
Building and Construction 0.86
Paper 0.74
Leisure and Entertainment 0.73
Metals and Mining 0.39
--------
Total 97.65%
========
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-4
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
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>
12,288,000 CHF 01/07/98 $8,398,640 $8,453,508 $ 54,868
9,880,000 DEM 01/14/98 5,504,638 5,674,476 169,838
6,800,000 GBP 01/26/98 11,211,502 11,047,280 (164,222)
9,238,000 CHF 01/30/98 6,344,998 6,605,318 260,320
7,400,000 CHF 02/13/98 5,090,192 5,386,127 295,935
5,640,000 GBP 02/24/98 9,289,763 9,498,888 209,125
675,862,000 JPY 02/27/98 5,222,997 5,398,259 175,262
1,862,625,000 JPY 03/09/98 14,416,405 14,800,358 383,953
675,862,000 JPY 03/16/98 5,236,834 5,270,537 33,703
------------ ----------- --------------
$70,715,969 $72,134,751 $ 1,418,782
============ =========== ==============
</TABLE>
- ----------------------------
CHF Swiss Francs
DEM German Mark
GBP British Pound
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1997, the aggregate cost of investment securities for tax
purposes was $363,178,967. Net unrealized appreciation (depreciation) aggregated
$31,272,082, of which $67,192,241 related to appreciated investment securities
and $(35,920,159) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $10,114,719.
For the year ended December 31, 1997, the Portfolio has elected to defer
$3,563,670 of capital losses attributable to Post-October Losses.
The amounts per share which represent income derived from sources within, and
taxes paid to, foreign countries or possessions of the United States are as
follows (Unaudited):
Paydate Income Taxes
------- ------ -----
12/31/97 $ .032 $ .004
OTHER INFORMATION
For the year ended December 31, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $219,246,639
and $62,172,360 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------
F-5
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 90.24%
Durable Goods - 20.14%
6,600 Advanced Fibre Communications, Inc.* $ 192,225
17,200 Arrow Electronics, Inc.* 557,925
19,400 Beckman Instruments, Inc. 776,000
103,300 BMC Software, Inc.* 6,779,063
202,500 Case Corp. 12,238,584
10,000 Caterpillar, Inc. 485,625
5,000 Cellular Communications International* 233,750
7,300 CIENA Corp.* 446,213
9,700 Complete Business Solutions, Inc.* 421,950
9,800 Computer Horizons Corp. * 441,000
236,000 Cummins Engine Co., Inc. 13,938,750
9,800 Deere & Co. 571,463
32,200 Eaton Corp. 2,873,850
8,500 Edwards (J.D.) & Co.* 250,750
435,200 Ford Motor Co. 21,188,780
202,000 General Motors Corp. 12,246,250
20,618 Globalstar Telecommunications, Ltd.* 1,012,859
110,100 Goodyear Tire & Rubber Co. 7,005,113
87,500 GTECH Holdings Corp.* 2,794,531
83,900 Intel Corp. 5,893,975
9,000 Kennametal, Inc. 466,313
167,700 Lockheed Martin Corp. 16,518,450
225,500 LucasVarity Plc, ADR* 7,864,313
32,000 Mapics, Inc.* 348,000
226,800 MCI Communications Corp. 9,709,875
1,600 Millicom International Cellular SA* 60,200
14,250 Parker-Hannifin Corp. 653,719
7,500 PeopleSoft, Inc.* 292,500
15,200 Quantum Corp. * 304,950
12,841 Raytheon Co., Class A* 633,234
4,700 Sapient Corp. * 287,875
112,100 Sprint Corp. 6,571,863
10,300 Standard Register Co. 357,925
25,500 Stratus Computer, Inc.* 964,219
9,700 Tecumseh Products Co., Class A 472,875
9,600 Tellabs, Inc.* 507,600
97,100 Textron, Inc. 6,068,750
5,500 Uniphase Corp.* 227,563
14,400 U.S. Office Products Co.* 282,600
6,200 VisioCorp.* 237,925
6,400 Wind River Systems, Inc.* 254,000
44,800 Xerox Corp. 3,306,800
-------------
146,740,205
-------------
Finance - 13.30%
115,000 Aetna, Inc. 8,114,688
55,290 Allstate Corp. 5,024,479
41,700 American Express Co. 3,721,725
12,000 American General Corp. 648,750
104,400 BankBoston Corp. 9,807,075
92,700 Bear Stearns Cos., Inc. 4,403,250
10,200 Chase Manhattan Corp. 1,116,900
7,500 Chubb Corp. 567,188
5,400 CIGNA Corp. 934,538
56,000 Citicorp 7,080,500
37,400 CMAC Investment Corp. 2,258,025
13,800 Crestar Financial Corp. 786,600
10,000 Edwards (A.G.), Inc.* 397,500
110,100 EXEL, Ltd. 6,977,588
7,500 Fannie Mae 427,969
7,000 Finova Group (The), Inc.* 347,813
162,980 First Union Corp. 8,352,725
5,300 Franklin Resources, Inc. 460,769
169,100 Hartford Financial Services Group, Inc. 15,821,412
16,800 Healthcare Recoveries, Inc.* 373,800
44,200 Lehman Brothers Holdings, Inc. 2,254,200
11,800 Mellon Bank Corp. 715,375
14,600 Old Republic International Corp. 542,938
13,400 Reliastar Financial Corp. 551,913
5,500 Republic New York Corp. 628,031
5,200 Security Capital Group, Inc., Class B* 169,000
14,499 Security Capital Industrial Trust 360,663
12,000 Security Capital US Realty 170,400
9,800 Sirrom Capital Corp. 510,825
68,100 SLM Holding Corp. 9,474,386
6,100 State Street Corp. 354,944
7,000 SunAmerica, Inc. 299,250
6,800 The Bank of New York Co., Inc. 393,125
15,000 TIG Holdings, Inc. 497,813
7,200 Transatlantic Holdings, Inc. 514,800
5,500 Wells Fargo & Co. 1,866,906
-------------
96,927,863
-------------
Chemicals and Drugs - 9.29%
73,400 Baxter International, Inc. 3,702,113
24,000 Bergen Brunswig Corp., Class A 1,011,000
13,100 Biochem Pharma, Inc.* 273,463
89,080 Bristol-Myers Squibb Co. 8,429,195
15,300 Cabot Corp. 422,663
6,300 Dow Chemical Co. 639,450
169,500 Du Pont (E.I.) de Nemours & Co. 10,180,564
83,400 FMC Corp.* 5,613,863
86,200 Grace (W.R.) & Co. 6,933,713
9,500 Great Lakes Chemical Corp. 426,313
11,200 HBO & Co. 537,600
257,330 Health Management Associates, Inc., Class A* 6,497,583
165,500 Healthsouth Corp.* 4,592,625
9,600 Lauder (Estee) Cos., Inc., Class A 493,800
105,000 Lincare Holdings, Inc.* 5,985,000
20,000 Mallinckrodt, Inc. 760,000
17,000 Maxicare Health Plans, Inc.* 184,875
See Notes to Financial Statements.
---------------------------------------------------------
F-6
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- -------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Chemicals and Drugs (continued)
47,700 Merck & Co., Inc. $ 5,068,125
7,900 Pediatrix Medical Group, Inc.* 337,725
16,400 Rexall Sundown, Inc.* 495,075
9,600 Rohm & Haas Co. 919,200
113,800 Tenet Healthcare Corp.* 3,769,625
14,600 Total Renal Care Holdings, Inc.* 401,500
-------------
67,675,070
-------------
Consumer Staples - 6.15%
7,200 Danaher Corp. 454,500
11,600 Fresh Del Monte Produce, Inc.* 169,650
13,500 Friendly Ice Cream Corp.* 156,938
19,000 IBP, Inc. 397,813
5,100 Mondavi (Robert) Corp., Class A* 248,625
628,000 Philip Morris Cos., Inc. 28,456,250
366,100 RJR Nabisco Holdings Corp. 13,728,750
7,900 Springs Industries, Inc., Class A 410,800
16,800 VF Corp. 771,750
-------------
44,795,076
-------------
Energy - 5.77%
5,000 Amoco Corp. 425,625
70,200 Atlantic Richfield Co. 5,624,775
141,300 British Petroleum Co. Plc, ADR 11,259,844
79,100 Coastal Corp. 4,899,256
3,500 Diamond Offshore Drilling, Inc. 168,438
6,600 Global Marine, Inc.* 161,700
6,200 McDermott (J. Ray) SA* 266,600
215,800 Phillips Petroleum Co. 10,493,275
97,900 Repsol SA, ADR 4,166,869
6,800 Santa Fe International Corp. 276,675
55,700 Texaco, Inc. 3,028,688
16,800 Ultramar Diamond Shamrock Corp. 535,500
22,000 YPF Sociedad Anonima, Class D, ADR 752,125
-------------
42,059,370
-------------
Consumer Products - 5.76%
15,400 At Home Corp., Series A * 386,925
5,400 Beringer Wine Estates, Class B* 205,200
14,000 Big City Radio, Inc.* 113,750
90,500 Boise Cascade Corp. 2,737,625
92,500 Bowater, Inc. 4,110,469
4,000 Brylane, Inc.* 197,000
2,800 Cablevision Systems Corp., Class A* 268,100
11,400 Cinar Films, Inc., Class B* 443,175
14,500 Cintas Corp. 565,500
69,600 Clear Channel Communications, Inc.* 5,528,850
127,300 Coca-Cola Enterprises, Inc. 4,527,106
89,400 CompUSA, Inc. * 2,771,400
11,300 Dillard's, Inc., Class A 398,325
4,900 GEAC Computer Corp., Ltd. 161,383
7,600 Heftel Broadcasting Corp., Class A* 355,300
7,900 Hibbett Sporting Goods, Inc.* 173,800
18,200 Imax Corp.* 400,400
16,700 IMC Global, Inc. 546,925
7,900 Jacor Communications, Inc.* 419,688
15,900 Metro-Goldwyn-Mayer, Inc.* 318,000
318,400 Office Depot, Inc. 7,621,700
11,900 Panamsat Corp.* 513,188
14,000 Russell Corp. 371,875
8,800 TRW, Inc. 469,700
12,600 Tupperware Corp. 351,225
64,500 Weyerhaeuser Co. 3,164,531
123,700 York International Corp. 4,893,881
-------------
42,015,021
-------------
Building and Construction - 4.75%
134,400 Aeroquip-Vickers, Inc. 6,594,000
187,700 Champion International Corp. 8,505,156
73,049 Home Depot, Inc. 4,300,760
134,200 Loews Corp. 14,241,975
17,200 Owens Corning* 586,950
6,500 Sealed Air Corp.* 401,375
-------------
34,630,216
-------------
Utilities - 4.55%
17,000 Allied Waste Industries, Inc.* 396,313
6,500 American Disposal Services, Inc.* 237,250
63,300 Columbia Gas System, Inc. 4,973,006
6,162 Duke Energy Corp. 341,219
13,100 Entergy Corp. 392,181
17,900 GPU, Inc. 754,038
10,000 Nextlink Communications, Inc.* 213,125
92,500 SBC Communications, Inc. 6,775,625
5,800 Teleport Communications Group, Inc., Class A* 318,275
451,700 Waste Management, Inc. 12,421,750
209,389 WorldCom, Inc. 6,334,017
-------------
33,156,799
-------------
Technology - 4.01%
5,200 Accelr8 Technology Corp. 140,400
93,700 Airtouch Communications, Inc.* 3,894,406
4,800 Intermedia Communications, Inc.* 291,600
18,900 Inter-Tel, Inc.* 366,188
23,300 Loral Space & Communications* 499,494
7,700 Metromedia Fiber Network, Inc.* 128,013
146,300 Microsoft Corp.* 18,909,275
94,912 Network Associates, Inc.* 5,018,472
-------------
29,247,848
-------------
Computer Equipment and Technology - 3.75%
152,950 Cisco Systems, Inc.* 8,526,963
113,600 Harnischfeger Industries, Inc. 4,011,500
28,200 International Business Machines Corp. 2,948,663
9,500 Micro Focus Group Plc, ADR* 383,563
9,900 Princeton Video Image, Inc.* 92,813
181,900 Seagate Technology, Inc.* 3,501,575
224,425 3Com Corp.* 7,840,848
-------------
27,305,925
-------------
Aerospace-Airlines - 3.02%
42,800 AMR Corp.* 5,499,800
226,600 United Technologies Corp. 16,499,313
-------------
21,999,113
-------------
See Notes to Financial Statements.
- ---------------------------------------------------------
F-7
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Broadcasting - 2.59%
10,350 Comcast Corp. Special, Class A $ 326,672
9,200 Metro Networks, Inc.* 301,300
217,200 News Corp., Ltd., ADR 4,316,850
133,618 Tele-Communications, Inc.,
Liberty Media Group, Series A* 4,843,653
215,777 Tele-Communications, Inc., TCI Group* 6,028,270
83,224 Tele-Communications, Inc., TCI Venture* 2,356,280
13,400 TV Azteca SA, ADR* 302,338
4,700 Univision Communications, Inc.* 328,119
-------------
18,803,482
-------------
Retail - 2.39%
18,000 Borders Group, Inc.* 563,625
94,200 CVS Corp. 6,034,688
68,500 Federated Department Stores, Inc.* 2,949,741
151,900 Sears Roebuck & Co. 6,873,475
9,800 Stage Stores, Inc.* 366,275
20,000 Toys `R' Us, Inc.* 628,750
-------------
17,416,554
-------------
Business Services - 2.20%
420,936 Cendant Corp.* 14,469,675
13,500 Coinstar, Inc.* 123,188
17,100 Concord EFS, Inc.* 425,363
9,950 Fiserv, Inc.* 488,794
35,300 Olsten Corp. 529,500
-------------
16,036,520
-------------
Health Services - 0.99%
12,100 Ameripath, Inc.* 205,700
186,968 Columbia/HCA Healthcare Corp. 5,538,927
27,350 Foundation Health Systems, Inc., Class A* 611,956
21,200 Orthodontic Centers of America, Inc.* 352,450
3,300 Sunrise Assisted Living, Inc. * 142,313
8,400 Wellpoint Health Networks, Inc.* 354,900
-------------
7,206,246
-------------
Consumer Service - 0.97%
188,900 Service Corp. International 6,977,494
6,000 United Rentals, Inc.* 115,875
-------------
7,093,369
-------------
Transportation - 0.27%
8,800 Atlas Air, Inc.* 211,200
10,900 CSX Corp. 588,600
9,700 Delta Air Lines, Inc. 1,154,300
-------------
1,954,100
-------------
Electronics - 0.10%
19,350 Tektronix, Inc. 767,953
-------------
Entertainment - 0.09%
12,700 AMF Bowling, Inc.* 317,500
8,600 Premier Parks, Inc.* 348,300
-------------
665,800
-------------
Metals and Mining - 0.07%
15,500 Inland Steel Industries, Inc. 265,438
19,700 National Steel Corp., Class B* 227,781
-------------
493,219
-------------
Advertising - 0.06%
12,250 Outdoor Systems, Inc.* 470,094
-------------
Hotels/Leisure - 0.02%
5,400 Signature Resorts, Inc.* 118,125
-------------
Total Common Stocks
(Cost $530,150,967) 657,577,968
=============
Par Value
- ---------
CORPORATE NOTES AND BONDS - 4.12%
$ 2,500,000 Asset-Backed Capital, Ltd., MTN
5.76%, 09/23/98 2,498,250
2,470,000 Ford Motor Credit Co., MTN
9.00%, 03/25/98 2,487,530
3,500,000 Ford Motor Credit Co., Series 1, MTN
6.36%, 05/26/98 3,506,349
2,500,000 General Motors Acceptance Corp., MTN
5.87%, 09/21/98 2,498,430
2,500,000 Goldman Sachs Group, LP
5.90%, 02/01/99 2,500,400
1,500,000 Heller Financial, Inc., Series G, MTN
6.06%, 09/03/99 1,500,008
2,500,000 Morgan Stanley Group, Inc., Series C, Senior MTN
6.43%, 03/09/98 2,502,380
2,500,000 New England Education Loan Marketing Corp., MTN
6.01%, 07/18/98 2,498,958
3,000,000 New York NY, Series E, GO
5.50%, 02/01/98 2,998,206
2,000,000 Painewebber Group, Inc., Series C, Senior MTN
6.06%, 09/16/98 2,000,000
2,500,000 Rabobank Nederland
5.95%, 10/06/99 2,502,780
1,500,000 VW Credit, Inc.
5.75%, 11/15/98 1,495,598
1,000,000 Xerox Credit Corp., Series D, MTN
6.84%, 06/01/00 1,016,855
-------------
Total Corporate Notes and Bonds
(Cost $30,025,254) 30,005,744
-------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 4.11%
Federal Home Loan Bank - 1.51%
2,000,000 5.57%, 01/23/98 1,999,776
6,555,000 5.39%, 03/18/98 6,480,342
2,530,000 5.36%, 04/15/98 2,489,897
-------------
10,970,015
-------------
See Notes to Financial Statements.
---------------------------------------------------------
F-8
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Continued)
U.S. Treasury Notes - 1.14%
$ 2,500,000 6.25%, 03/31/99 $ 2,517,975
1,220,000 5.75%, 09/30/99 1,221,525
1,300,000 6.00%, 08/15/00 1,309,344
3,000,000 6.25%, 06/30/02 3,060,939
175,000 5.75%, 08/15/03 175,164
-------------
8,284,947
-------------
Federal National Mortgage Association - 0.56%
2,500,000 5.43%, 03/30/98 2,466,408
1,640,000 6.50%, 02/25/02 1,636,184
-------------
4,102,592
-------------
Federal Farm Credit Bank - 0.56%
1,200,000 6.13%, 04/23/98 1,201,450
3,000,000 5.50%, 08/12/98 2,896,749
-------------
4,098,199
-------------
Federal Home Loan Mortgage Corporation - 0.34%
2,500,000 6.20%, 09/08/99 2,500,150
-------------
Total U.S. Government
and Agency Obligations 29,955,903
(Cost $29,944,081) -------------
CERTIFICATES OF DEPOSITS - 0.41%
1,000,000 Barclays Bank Plc, Yankee
5.75%, 12/16/98 994,500
2,000,000 Skandinaviska Enskilda Banken
5.88%, 06/03/98 1,999,200
-------------
Total Certificates of Deposits 2,993,700
(Cost $2,999,705) -------------
COMMERCIAL PAPER (A) - 0.84%
2,000,000 China International Marine Containers
5.59%, 02/13/98 1,986,000
4,141,000 Lexington Parker Capital Corp.
5.93%, 01/21/98 4,127,358
-------------
Total Commercial Paper 6,113,358
(Cost $6,114,004) -------------
ASSET-BACKED SECURITIES - 0.78%
2,000,000 Green Tree Lease Finance, Llc, 1997-1, Series A1
5.99%, 01/20/99 2,000,000
2,500,000 Newcourt Receivables Asset Trust, 1997-1, Series A2
6.04%, 06/20/00 2,498,175
1,193,984 WFS Financial Owner Trust, 1997-C, Series A1
5.79%, 09/20/98 1,194,357
-------------
Total Asset-Backed Securities 5,692,532
(Cost $5,693,909) -------------
Shares
- ----------
INVESTMENT COMPANY - 0.75%
5,412,367 State Street Bank Temporary Fund 5,412,367
-------------
Total Investment Company 5,412,367
(Cost $5,412,367) -------------
Total Investments - 101.25% 737,751,572
(Cost $610,340,287) -------------
Net Other Assets and Liabilities - (1.25)% (9,072,750)
-------------
Net Assets - 100.00% $ 728,678,822
=============
- --------------------
* Non income producing security.
(A) Effective yield at time of purchase.
GO General Obligation
ADR American Depositary Receipt
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1997, the aggregate cost of investment securities for tax
purposes was $611,252,362. Net unrealized appreciation (depreciation) aggregated
$126,499,210, of which $145,362,485 related to appreciated investment securities
and $(18,863,275) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $100,532,836.
OTHER INFORMATION
For the year ended December, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $488,485,759
and $480,356,664 of non-governmental issuers, respectively, and $12,407,836 and
$1,000,000 of U.S. Government Agency issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------
F-9
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1997
- -------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS -98.58%
Finance - 17.12%
5,785 Aetna, Inc. $ 408,204
3,800 Ahmanson (H.F.) & Co. 254,363
16,969 Allstate Corp. 1,542,057
18,200 American Express Co. 1,624,350
9,717 American General Corp. 525,325
27,300 American International Group, Inc. 2,968,875
6,500 AON Corp. 381,063
22,640 Banc One Corp. 1,229,635
14,700 Bank of New York Co., Inc. 849,844
27,204 BankAmerica Corp. 1,985,892
5,700 BankBoston Corp. 535,444
3,900 Bankers Trust New York Corp. 438,506
7,800 Barnett Banks, Inc. 560,625
5,400 BB&T Corp.* 345,938
2,000 Beneficial Corp. 166,250
16,476 Chase Manhattan Corp. 1,804,122
6,800 Chubb Corp. 514,250
2,900 CIGNA Corp. 501,881
2,200 Cincinnati Financial Corp.* 309,650
17,800 Citicorp 2,250,588
4,100 Comerica, Inc. 370,025
7,300 Conseco, Inc. 331,694
7,900 Corestates Financial Corp. 632,494
4,100 Countrywide Credit Industries, Inc. 175,788
26,900 Federal Home Loan Mortgage Corp. 1,128,119
41,200 Federal National Mortgage Association 2,350,975
6,050 Fifth Third Bancorp 494,588
11,558 First Chicago NBD Corp. 965,093
24,350 First Union Corp. 1,247,937
9,655 Fleet Financial Group, Inc. 723,522
3,100 General Re Corp. 657,200
2,300 Golden West Financial Corp. 224,969
5,100 Green Tree Financial Corp. 133,556
4,700 Hartford Financial Services Group, Inc. 439,744
4,300 Household International, Inc. 548,519
6,200 Humana, Inc.* 128,650
7,300 Huntington Bancshares, Inc. 262,800
2,800 Jefferson-Pilot Corp. 218,050
8,500 KeyCorp 601,906
4,000 Lincoln National Corp. 312,500
6,500 Marsh & McLennan Cos., Inc. 484,656
3,400 MBIA, Inc. 227,163
19,412 MBNA Corp. 530,190
9,700 Mellon Bank Corp. 588,063
12,800 Merrill Lynch & Co., Inc. 933,600
4,500 MGIC Investment Corp. 299,250
22,717 Morgan Stanley, Dean Witter, Discover 1,343,143
6,900 Morgan (J.P.) & Co., Inc. 778,837
8,400 National City Corp. 552,300
27,600 NationsBank Corp. 1,678,425
1,800 NICOR, Inc. 75,937
29,000 Norwest Corp. 1,120,125
11,900 PNC Bank Corp. 679,044
2,900 Progressive Corp. 347,637
3,700 Providian Financial Corp. 167,194
2,200 Republic New York Corp. 251,213
5,400 SAFECO Corp. 263,250
10,300 Schwab (Charles) Corp. 431,955
6,300 State Street Corp. 366,580
3,200 St. Paul Cos., Inc. 262,600
2,800 Sun Co., Inc. 117,775
7,450 Sunamerica, Inc. 318,488
8,400 SunTrust Banks, Inc. 599,550
6,800 Synovus Financial Corp.* 222,700
5,300 Torchmark Corp. 222,930
2,600 Transamerica Corp. 276,900
44,460 Travelers Group, Inc. 2,395,283
5,500 UNUM Corp. 299,063
4,300 USF & G Corp. 94,869
7,100 UST, Inc. 262,256
9,550 U.S. Bancorp 1,069,002
8,000 Wachovia Corp. 649,000
9,650 Washington Mutual, Inc. 615,790
3,533 Wells Fargo & Co. 1,199,233
-------------
50,868,992
-------------
Durable Goods - 16.36%
2,800 Adobe Systems, Inc. 115,500
21,800 AlliedSignal, Inc. 848,837
7,200 Alltel Corp. 295,650
21,300 Ameritech Corp. 1,714,650
8,400 AMP, Inc. 352,800
1,600 Armstrong World Industries, Inc. 119,600
3,900 Avery-Dennison Corp. 174,525
6,500 Baker Hughes, Inc. 283,563
8,100 Bay Networks, Inc.* 207,056
38,838 Boeing Co. 1,900,635
1,500 Caliber System, Inc. 73,031
2,900 Case Corp. 175,269
14,600 Caterpillar, Inc. 709,013
27,200 CBS Corp. 800,700
26,100 Chrysler Corp. 918,394
4,700 Cooper Industries, Inc. 230,300
3,000 Cooper Tire & Rubber Co. 73,125
1,700 Crane Co. 73,738
1,500 Cummins Engine Co., Inc. 88,594
4,000 Dana Corp. 190,000
9,800 Deere & Co. 571,463
12,800 Dell Computer Corp.* 1,075,200
7,150 Dominion Resources, Inc. 304,322
4,500 DSC Communications Corp.* 108,000
3,000 Eaton Corp. 267,750
2,300 Echlin, Inc. 83,230
1,700 EG & G, Inc. 35,381
17,200 Emerson Electric Co. 970,725
1,400 Fleetwood Enterprises, Inc. 59,413
46,300 Ford Motor Co. 2,254,231
6,300 Frontier Corp. 151,594
127,000 General Electric Co. 9,318,625
28,300 General Motors Corp. 1,715,688
1,900 General Signal Corp. 80,156
6,850 Genuine Parts Co. 232,472
2,000 Goodrich (B.F.) Co. 82,875
6,000 Goodyear Tire & Rubber Co. 381,750
See Notes to Financial Statements.
---------------------------------------------------------
F-10
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Durable Goods (continued)
1,900 Grainger (W.W.), Inc. $ 184,656
3,000 Harris Corp. 137,625
1,000 Helmerich & Payne, Inc. 67,875
40,400 Hewlett-Packard Co. 2,525,000
9,600 Illinois Tool Works, Inc. 577,200
6,400 Ingersoll-Rand Co. 259,200
63,300 Intel Corp. 4,446,825
3,200 Johnson Controls, Inc. 152,800
3,200 Kla-Tencor Corp.* 123,600
7,641 Lockheed Martin Corp. 752,639
2,000 McDermott International, Inc. 73,250
26,800 MCI Communications Corp. 1,147,375
1,700 Millipore Corp. 57,694
3,300 Moore Corp., Ltd. 49,913
23,100 Motorola, Inc. 1,318,144
1,700 National Service Industries, Inc. 84,255
10,200 Northern Telecom, Ltd. 907,800
2,700 Northrop Grumman Corp. 310,500
2,980 Paccar, Inc. 156,450
4,800 Pall Corp. 99,300
4,375 Parker-Hannifin Corp. 200,702
2,400 Pep Boys-Manny, Moe & Jack 57,300
1,700 Perkin-Elmer Corp. 120,806
2,700 Pioneer Hi-Bred International, Inc. 289,575
3,400 Raychem Corp. 146,412
1,792 Raytheon Co., Class A* 88,365
9,100 Raytheon Co., Class B* 459,550
8,100 Rockwell International Corp. 423,225
3,300 Rowan Cos., Inc.* 100,650
2,900 Ryder System, Inc. 94,975
3,000 Scientific-Atlanta, Inc. 50,250
16,800 Sprint Corp. 984,900
4,000 Tandy Corp. 154,250
7,000 Tellabs, Inc.* 370,125
14,800 Texas Instruments, Inc. 666,000
6,500 Textron, Inc. 406,250
5,800 Thermo Electron Corp.* 258,100
9,500 Union Pacific Corp. 593,156
3,600 US Airways Group, Inc.* 225,000
18,600 U.S. West, Inc., Communications Group 839,325
23,500 U.S. West, Inc., Media Group* 678,562
12,600 Xerox Corp. 930,037
------------
48,607,471
------------
Chemicals and Drugs - 13.10%
29,900 Abbott Laboratories 1,960,319
4,300 Air Products & Chemicals, Inc. 353,675
2,100 Alberto-Culver Co., Class B 67,331
2,400 Allergan, Inc. 80,550
3,200 Alza Corp.* 101,800
25,100 American Home Products Corp. 1,920,150
10,300 Amgen, Inc.* 557,487
5,200 Avon Products, Inc. 319,150
2,100 Bausch & Lomb, Inc. 83,213
10,800 Baxter International, Inc. 544,725
4,700 Becton Dickinson & Co. 235,000
7,500 Boston Scientific Corp.* 344,063
38,800 Bristol-Myers Squibb Co. 3,671,450
4,200 Cardinal Health, Inc. 315,525
11,600 Colgate Palmolive Co. 852,600
8,800 Dow Chemical Co. 893,200
43,900 duPont (E.I.) deNemours & Co. 2,636,744
3,000 Eastman Chemical Co. 178,688
5,450 Engelhard Corp. 94,694
1,400 FMC Corp.* 94,237
2,800 Grace (W.R.) & Co. 225,225
2,400 Great Lakes Chemical Corp. 107,700
5,800 Guidant Corp. 361,050
3,900 Hercules, Inc. 195,244
4,200 International Flavors & Fragrances, Inc. 216,300
51,600 Johnson & Johnson 3,399,150
43,200 Lilly (Eli) & Co. 3,007,800
2,800 Mallinckrodt, Inc. 106,400
18,100 Medtronic, Inc. 946,855
46,900 Merck & Co., Inc. 4,983,125
22,800 Monsanto Co. 957,600
5,100 Morton International, Inc. 175,312
2,600 Nalco Chemical Co. 102,863
50,100 Pfizer, Inc. 3,735,580
19,580 Pharmacia & Upjohn, Inc. 717,118
6,100 Praxair, Inc. 274,500
2,500 Rohm & Haas Co. 239,375
28,400 Schering-Plough Corp. 1,764,350
1,000 Shared Medical Systems Corp. 66,000
6,700 Sherwin-Williams Co. 185,925
3,900 Sigma Aldrich Corp. 155,025
3,400 St. Jude Medical, Inc.* 103,700
4,800 Union Carbide Corp. 206,100
2,800 United States Surgical Corp. 82,075
10,500 Warner-Lambert Co. 1,302,000
------------
38,920,973
------------
Consumer Products - 9.53%
2,900 American Greetings Corp., Class A 113,463
3,400 Andrew Corp. 81,600
19,000 Anheuser-Busch Cos., Inc. 836,000
14,000 Applied Materials, Inc.* 421,750
22,643 Archer-Daniels-Midland Co. 491,070
1,200 Ball Corp. 42,375
2,000 Bemis Co., Inc. 88,125
2,000 Boise Cascade Corp. 60,500
2,700 Brown-Forman Corp., Class B 149,175
17,900 Campbell Soup Co. 1,040,438
3,900 Clear Channel Communications, Inc.* 309,806
18,400 Conagra, Inc. 603,750
8,900 Corning, Inc. 330,413
4,900 Crown Cork & Seal Co., Inc. 245,613
3,100 Deluxe Corp. 106,950
4,200 Dillard's, Inc., Class A 148,050
26,243 Disney (Walt) Co. 2,599,697
5,700 Donnelley (R.R.) & Sons Co. 212,325
3,800 Dow Jones & Co., Inc. 204,013
6,500 Dun & Bradstreet Corp. 201,094
See Notes to Financial Statements.
- ---------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Consumer Products (continued)
12,700 Eastman Kodak Co. $ 772,319
7,200 Fort James Corp. 275,400
11,000 Gannett Co., Inc. 679,938
3,500 Georgia-Pacific Corp,* 212,625
9,900 Halliburton Co. 514,181
1,200 Harland (John H.) Co. 25,200
4,900 Hasbro, Inc. 154,350
14,300 Heinz (H.J.) Co. 726,619
5,600 Hershey Foods Corp. 346,850
5,000 Ikon Office Solutions, Inc. 140,625
11,800 International Paper Co. 508,875
16,100 Kellogg Co. 798,963
21,640 Kimberly-Clark Corp. 1,067,123
1,400 King World Productions, Inc. 80,850
3,400 Knight-Ridder, Inc. 176,800
2,600 Liz Claiborne, Inc. 108,712
1,500 Longs Drug Stores Corp. 48,187
11,212 Mattel, Inc. 417,647
3,700 Maytag Corp. 138,056
3,900 McGraw-Hill Cos., Inc. 288,600
4,000 Mead Corp. 112,000
2,000 Meredith Corp. 71,375
3,800 New York Times Co., Class A 251,275
11,100 Nike, Inc., Class B 435,675
5,400 Owens-Illinois, Inc.* 204,863
1,700 Polaroid Corp. 82,769
1,000 Potlatch Corp. 43,000
52,400 Procter & Gamble Co. 4,182,175
5,300 Quaker Oats Co. 279,575
2,100 Reebok International, Ltd.* 60,505
5,800 Rubbermaid, Inc. 145,000
1,400 Russell Corp. 37,187
18,700 Sara Lee Corp. 1,053,044
14,400 Seagram Co., Ltd. 465,300
2,400 Snap-On, Inc. 104,700
3,400 Stanley Works 160,437
3,710 Stone Container Corp.* 38,723
6,800 Sysco Corp. 309,825
2,300 Temple-Inland, Inc. 120,319
6,500 Tenneco, Inc. 256,750
21,680 Time Warner, Inc. 1,344,160
3,800 Times Mirror Co., Class A 233,700
6,200 TJX Cos., Inc. 213,125
4,700 Tribune Co. 292,575
4,800 TRW, Inc. 256,200
2,300 Tupperware Corp. 64,112
2,700 Union Camp Corp. 144,956
13,563 Viacom, Inc., Class B* 562,017
3,950 Westvaco Corp. 124,178
7,800 Weyerhaeuser Co. 382,688
2,900 Whirlpool Corp. 159,500
4,500 Wrigley (Wm.) Jr. Co. 358,030
------------
28,317,865
------------
Energy - 8.44%
3,500 Amerada Hess Corp. 192,063
19,100 Amoco Corp. 1,625,888
2,300 Anadarko Petroleum Corp. 139,581
3,500 Apache Corp. 122,719
1,600 Asarco, Inc. 35,900
2,900 Ashland, Inc. 155,694
12,500 Atlantic Richfield Co. 1,001,563
6,782 Burlington Resources, Inc. 303,918
25,400 Chevron Corp. 1,955,800
4,100 Coastal Corp. 253,944
6,700 Dresser Industries, Inc. 280,980
700 Eastern Enterprises 31,500
11,900 Enron Corp. 494,594
96,000 Exxon Corp. 5,874,000
5,500 Homestake Mining Co. 48,813
1,800 Kerr-McGee Corp. 113,963
4,200 Louisiana-Pacific Corp. 79,800
30,600 Mobil Corp. 2,208,937
12,800 Occidental Petroleum Corp. 375,200
1,100 Oneok, Inc. 44,413
3,900 Oryx Energy Co.* 99,450
3,200 Pacific Enterprises 120,400
1,800 Pennzoil Co. 120,263
10,300 Phillips Petroleum Co. 500,837
83,100 Royal Dutch Petroleum Co. 4,502,980
19,300 Schlumberger, Ltd. 1,553,650
3,300 Sonat, Inc. 150,975
20,400 Texaco, Inc. 1,109,250
9,781 Union Pacific Resources Co. 237,189
9,600 Unocal Corp. 372,600
11,100 USX-Marathon Group 374,625
3,220 USX-U.S. Steel Group, Inc. 100,625
2,200 Western Atlas, Inc.* 162,800
12,200 Williams Cos., Inc. 346,175
------------
25,091,089
------------
Technology - 8.25%
13,400 3Com Corp.* 468,163
5,300 Advanced Micro Devices, Inc.* 95,068
19,500 Airtouch Communications, Inc.* 810,469
4,800 Apple Computer, Inc.* 63,000
1,800 Autodesk, Inc. 66,600
11,300 Automatic Data Processing, Inc. 693,537
6,000 Cabletron Systems, Inc.* 90,000
2,900 Ceridian Corp.* 132,856
38,900 Cisco Systems, Inc.* 2,168,675
29,302 Compaq Computer Corp.* 1,653,732
21,250 Computer Associates International, Inc. 1,123,594
3,000 Computer Sciences Corp.* 250,500
1,800 Data General Corp.* 31,387
5,900 Digital Equipment Corp.* 218,300
19,000 EMC Corp.* 521,313
1,800 Harnischfeger Industries, Inc. 63,563
5,000 Honeywell, Inc. 342,500
38,200 International Business Machines Corp. 3,994,287
See Notes to Financial Statements.
----------------------------------------------------------
F-12
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- -------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Technology (continued)
4,500 ITT Corp.* $ 372,938
4,500 ITT Industries, Inc. 141,188
5,500 LSI Logic Corp.* 108,625
24,898 Lucent Technologies, Inc. 1,988,728
8,000 Micron Technology, Inc.* 208,000
46,600 Microsoft Corp.* 6,023,050
6,100 National Semiconductor Corp.* 158,219
5,700 Nextlevel Systems, Inc.* 101,887
13,400 Novell, Inc.* 100,500
37,987 Oracle Corp.* 847,585
4,900 Parametric Technology Corp.* 232,137
5,700 Pitney Bowes, Inc. 512,644
9,400 Seagate Technology, Inc.* 180,950
6,700 Silicon Graphics, Inc.* 83,330
14,300 Sun Microsystems, Inc.* 570,213
6,600 Unisys Corp.* 91,575
------------
24,509,113
------------
Utilities - 7.82%
7,300 American Electric Power, Inc. 376,863
63,067 AT&T Corp. 3,862,854
5,750 Baltimore Gas & Electric Co. 195,859
30,173 Bell Atlantic Corp. 2,745,743
38,400 Bellsouth Corp. 2,162,400
7,700 Browning-Ferris Industries, Inc. 284,900
5,800 Carolina Power & Light Co. 246,138
8,100 Central & South West Corp. 219,206
6,043 CINergy Corp. 231,522
2,200 Columbia Gas System, Inc. 172,838
9,100 Consolidated Edison Co. Of New York 373,100
3,800 Consolidated Natural Gas Co. 229,900
5,600 DTE Energy Co. 194,250
14,017 Duke Energy Corp. 776,191
15,300 Edison International 415,969
9,200 Entergy Corp. 275,425
8,900 Firstenergy Corp.* 258,100
7,100 FPL Group, Inc. 420,231
4,600 GPU, Inc. 193,775
37,000 GTE Corp. 1,933,250
10,998 Houston Industries, Inc. 293,509
5,600 Niagara Mohawk Power Corp.* 58,800
2,900 Northern States Power Co. 168,925
11,400 Pacificorp 311,363
8,500 PECO Energy Co. 206,125
1,400 Peoples Energy Corp. 55,125
17,000 PG&E Corp. 517,438
6,300 PP & L Resources, Inc. 150,806
9,000 Public Service Enterprise Group, Inc. 285,187
35,554 SBC Communications, Inc. 2,604,331
26,400 Southern Co. 683,100
9,240 Texas Utilities Co. 384,037
8,300 Unicom Corp. 255,225
4,000 Union Electric Co. 173,000
17,400 Waste Management, Inc. 478,500
35,000 WorldCom, Inc. 1,058,750
------------
23,252,735
------------
Consumer Staples - 6.86%
3,700 Black & Decker Corp. 144,531
4,100 Clorox Co. 324,156
96,300 Coca-Cola Co. 6,415,988
1,400 Coors (Adolph) Co., Class B 46,550
5,900 Darden Restaurants, Inc. 73,750
6,500 Fortune Brands, Inc. 240,906
2,700 Fruit of the Loom, Inc., Class A* 69,187
6,200 General Mills, Inc. 444,075
21,800 Gillette Co. 2,189,538
16,100 Minnesota Mining & Manufacturing Co. 1,321,206
6,100 Newell Co. 259,250
59,300 PepsiCo, Inc. 2,160,744
93,900 Philip Morris Cos., Inc. 4,254,844
4,100 Ralston Purina Co. 381,044
700 Springs Industries, Inc., Class A 36,400
5,810 Tricon Global Restaurants, Inc.* 168,853
24,800 Unilever NV 1,548,450
4,800 VF Corp. 220,500
3,800 Whitman Corp. 99,037
------------
20,399,009
------------
Retail - 4.64%
9,600 Albertson's, Inc. 454,800
10,400 American Stores Co. 213,850
5,800 AutoZone, Inc.* 168,200
4,100 Charming Shoppes, Inc.* 19,219
3,700 Circuit City Stores-Circuit City Group 131,581
8,256 Costco Cos., Inc.* 368,424
5,600 CPC International, Inc. 603,400
6,600 CVS Corp. 422,813
8,500 Dayton-Hudson Corp. 573,750
8,000 Federated Department Stores, Inc.* 344,500
1,300 Fleming Cos., Inc. 17,469
15,600 Gap, Inc. 552,825
2,200 Giant Food, Inc., Class A 74,113
1,300 Great Atlantic & Pacific Tea Co., Inc. 38,594
2,800 Harcourt General, Inc. 153,300
28,349 Home Depot, Inc. 1,669,047
18,800 Kmart Corp. * 217,375
9,800 Kroger Co.* 361,987
10,500 Limited, Inc. 267,750
9,000 May Department Stores Co. 474,188
1,400 Mercantile Stores Co., Inc. 85,225
2,900 Nordstrom, Inc. 175,088
9,700 Penney (J.C.) Co., Inc. 585,030
4,700 Rite Aid Corp. 275,830
15,100 Sears Roebuck & Co. 683,275
2,400 Supervalu, Inc. 100,500
11,000 Toys `R' Us, Inc.* 345,812
19,100 Walgreen Co. 599,263
87,800 Wal-Mart Stores, Inc. 3,462,613
5,800 Winn-Dixie Stores, Inc. 253,388
5,100 Woolworth Corp.* 103,913
------------
13,797,122
------------
See Notes to Financial Statements.
- ---------------------------------------------------------
F-13
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Building and Construction - 1.19%
1,100 Aeroquip-Vickers, Inc. $ 53,969
4,000 Armco, Inc.* 19,750
1,000 Briggs & Stratton Corp. 48,562
1,200 Centex Corp. 75,525
3,800 Champion International Corp. 172,188
8,600 Dover Corp. 310,675
3,200 Fluor Corp. 119,600
1,500 Kaufman & Broad Home Corp. 33,656
4,600 Loews Corp. 488,175
6,800 Lowe's Cos., Inc. 324,275
6,400 Masco Corp. 325,600
2,000 Owens Corning 68,250
7,000 PPG Industries, Inc. 399,875
700 Pulte Corp. 29,269
20,600 Tyco International, Ltd. 928,288
4,200 Willamette Industries, Inc. 135,187
------------
3,532,844
------------
Metals and Mining - 0.91%
8,800 Alcan Aluminum, Ltd. 243,100
6,702 Allegheny Teledyne, Inc. 173,414
6,800 Aluminum Co. of America 478,550
14,400 Barrick Gold Corp. 268,200
8,900 Battle Mountain Gold Co. 52,287
4,300 Bethlehem Steel Corp.* 37,087
4,300 Biomet, Inc. 110,188
3,500 Cyprus Amax Minerals Co. 53,813
5,400 Echo Bay Mines, Ltd. 13,163
7,700 Freeport-McMoRan Copper & Gold, Inc., 121,275
3,500 Georgia-Pacific Corp., Timber Group 79,406
6,400 Inco, Ltd., Class A 108,800
1,800 Inland Steel Industries, Inc. 30,825
1,500 Jostens, Inc. 34,594
6,011 Newmont Mining Corp. 176,573
3,500 Nucor Corp. 169,094
2,300 Phelps Dodge Corp. 143,175
9,100 Placer Dome, Inc. 115,456
2,800 Reynolds Metals Co. 168,000
2,300 Timken Co. 79,063
3,600 Worthington Industries, Inc. 59,400
------------
2,715,463
------------
Business Services - 0.83%
30,333 Cendant Corp.* 1,042,697
6,400 Cognizant Corp. 285,200
2,600 Ecolab, Inc. 144,138
5,800 Equifax, Inc. 205,538
17,100 First Data Corp. 500,175
4,850 Interpublic Group of Companies, Inc. 241,590
2,100 Safety Kleen Corp. 57,618
------------
2,476,956
------------
Transportation - 0.83%
5,984 Burlington Northern Santa Fe Corp. 556,137
8,500 CSX Corp. 459,000
2,900 Delta Air Lines, Inc. 345,100
4,400 Federal Express Corp.* 268,675
12,700 Laidlaw, Inc. 173,038
14,600 Norfolk Southern Corp. 449,863
8,450 Southwest Airlines Co. 208,081
------------
2,459,894
------------
Health Services - 0.82%
2,100 Bard (C.R.), Inc. 65,756
25,300 Columbia/HCA Healthcare Corp. 749,513
7,600 HBO & Co. * 364,800
15,000 HEALTHSOUTH Corp.* 416,250
2,500 Manor Care, Inc. 87,500
11,600 Tenet Healthcare Corp.* 384,250
7,200 United Healthcare Corp. 357,750
------------
2,425,819
------------
Food Services - 0.47%
26,700 McDonald's Corp. 1,274,925
5,000 Wendy's International, Inc. 120,313
------------
1,395,238
------------
Aerospace-Airlines - 0.45%
3,600 AMR Corp.* 462,600
2,500 General Dynamics Corp. 216,094
9,200 United Technologies Corp. 669,875
------------
1,348,569
------------
Broadcasting - 0.33%
13,400 Comcast Corp. Special, Class A 422,938
19,600 Tele-Communications, Inc., TCI Group, Class A* 547,575
------------
970,513
------------
Hotels-Leisure - 0.29%
3,800 Harrah's Entertainment, Inc.* 71,725
9,600 Hilton Hotels Corp. 285,600
5,000 Marriott International, Inc. 346,250
6,900 Mirage Resorts, Inc.* 156,975
------------
860,550
------------
Consumer Services - 0.18%
4,100 Block (H & R), Inc. 183,731
9,800 Service Corp. International 361,988
------------
545,719
------------
Electronics - 0.06%
1,950 Tektronix, Inc. 77,391
2,200 Thomas & Betts Corp. 103,950
------------
181,341
------------
See Notes to Financial Statements.
----------------------------------------------------------
F-14
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Capital Goods - 0.06%
1,500 Cincinnati Milacron, Inc. $ 38,906
1,400 Foster Wheeler Corp. 37,888
300 Nacco Industries, Inc., Class A 32,156
2,800 Navistar International Corp.* 69,475
------------
178,425
------------
Leisure and Entertainment - 0.04%
3,700 Brunswick Corp. 112,156
------------
Total Common Stocks 292,967,856
(Cost $203,043,737) ------------
PREFERRED STOCKS - 0.01%
261 Aetna, Inc., Class C 18,662
2,400 Fresenius National Medical Care, Inc., Class D* 168
------------
Total Preferred Stocks 18,830
(Cost $17,063) ------------
Par Value
- ---------
U.S. GOVERNMENT OBLIGATION (A) - 0.11%
$ 350,000 U.S. Treasury Bill
5.13% 11/12/98 (1) 334,289
------------
Total U.S. Government Obligation 334,289
(Cost $334,289) ------------
INVESTMENT COMPANY - 1.14%
3,392,619 State Street Bank Temporary Fund $ 3,392,619
------------
Total Investment Company 3,392,619
(Cost $3,392,619) ------------
Total Investments - 99.84% 296,713,594
(Cost $206,787,708) ------------
Net Other Assets and Liabilities - 0.16% 477,010
------------
Net Assets - 100.00% $297,190,604
============
- --------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
(1) Security has been deposited as initial margin on open futures contracts.
At December 31, 1997, the Portfolio's open futures contracts were as
follows:
Number of
Contracts Contract Expiration Current Opening Market Value at
Purchased Type Date Position December 31, 1997
- --------- ---- ---- -------- -----------------
13 S & P 500 03/98 $3,173,681 $3,182,075
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1997, the aggregate cost of investment securities for tax
purposes was $206,935,471. Net unrealized appreciation (depreciation) aggregated
$89,778,123, of which $95,217,279 related to appreciated investment securities
and $(5,439,156) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $7,229,351.
OTHER INFORMATION
For the year ended December 31, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $107,219,460
and $19,828,849 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- ---------------------------------------------------------
F-15
<PAGE>
- ----------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- ----------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1997
- ----------------------------------------------------------------------------
Moody's Ratings Value
Par Value (Unaudited) (Note 2)
- ----------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 44.88%
U.S. Treasury Notes - 14.80%
$1,300,000 5.13%, 02/28/98 Aaa $ 1,299,188
750,000 5.13%, 04/30/98 Aaa 749,297
2,780,000 5.88%, 03/31/99 Aaa 2,787,820
90,000 7.75%, 01/31/00 Aaa 93,600
13,960,000 5.75%, 08/15/03 (C) Aaa 13,973,094
250,000 6.50%, 08/15/05 Aaa 260,860
8,300,000 6.88%, 05/15/06 Aaa 8,883,598
------------
28,047,457
------------
Federal National Mortgage Association - 13.20%
272,454 6.00%, 05/01/01, Pool # 190806 (A) 270,593
1,501,675 7.48%, 08/17/03, REMIC (A) Aaa 1,526,438
815,504 6.50%, 05/01/08, Pool # 50730 (A) Aaa 818,685
595,959 8.50%, 07/01/08, Pool # 10001 (A) Aaa 622,151
216,159 8.00%, 04/01/09, Pool # 111253 (A) Aaa 222,424
697,717 9.00%, 02/01/10, Pool # 303165 (A) Aaa 728,130
1,664,125 6.50%, 09/01/10, Pool # 327824 (A) Aaa 1,666,704
253,079 7.00%, 05/01/17, Pool # 68635 (A) Aaa 256,430
1,456,268 8.00%, 04/01/22, Pool # 124267 (A) Aaa 1,517,038
1,757,024 8.00%, 01/01/23, Pool # 125178 (A) Aaa 1,830,345
843,674 8.00%, 04/01/23, Pool # 124834 (A) Aaa 878,881
50,001 7.00%, 11/01/23, Pool # 249703 (A) Aaa 50,587
2,168,262 7.00%, 11/01/23, Pool # 50930 (A) Aaa 2,193,696
3,307,929 6.50%, 01/01/24, Pool # 50965 (A) Aaa 3,281,102
2,894,439 7.00%, 02/01/24, Pool # 50993 (A) Aaa 2,926,683
1,906,046 7.50%, 10/01/25, Pool # 321152 (A) Aaa 1,952,001
274,793 7.50%, 10/01/26, Pool # 359890 (A) Aaa 281,418
636,605 7.50%, 12/01/26, Pool # 362034 (A) Aaa 651,546
362,332 7.50%, 12/01/26, Pool # 366778 (A) Aaa 370,835
2,896,481 7.50%, 01/11/28 (B) Aaa 2,962,558
------------
25,008,245
------------
Federal Home Loan Mortgage Corporation (A) - 6.49%
310,511 9.50%, 03/01/01, Pool # 200029 Aaa 319,553
126,750 6.50%, 06/01/04, Pool # 548801 Aaa 124,849
210,714 6.50%, 08/01/04, Pool # 181863 Aaa 210,886
1,364,214 7.50%, 01/01/07, Pool # E00071 Aaa 1,400,884
329,856 8.00%, 04/01/07, Pool # 170014 Aaa 341,427
349,556 8.00%, 09/01/08, Pool # 530125 Aaa 360,154
145,499 8.00%, 06/01/09, Pool # 184989 Aaa 150,283
215,159 8.00%, 04/01/09, Pool # 534627 Aaa 219,817
295,254 8.00%, 08/01/09, Pool # 546108 Aaa 304,962
3,372,060 7.00%, 08/01/10, Pool # E20187 Aaa 3,425,406
32,213 7.00%, 09/01/11, Pool # E65257 Aaa 32,719
463,357 7.00%, 11/01/11, Pool # E65777 Aaa 470,632
1,135,414 7.00%, 12/01/11, Pool # E20276 Aaa 1,153,240
1,292,943 7.90%, 07/01/16, Pool # W30001 Aaa 1,419,409
511,099 8.75%, 05/01/17, Pool # A00870 Aaa 545,250
405,758 7.50%, 10/01/18, Pool # 304313 Aaa 413,650
633,347 9.50%, 08/01/19, Pool # 555229 Aaa 676,503
19,331 9.50%, 08/01/20, Pool # A00742 Aaa 21,032
237,422 10.00%, 12/01/20, Pool # D06613 Aaa 259,706
24,496 10.00%, 10/01/20, Pool # D13442 Aaa 26,821
380,647 9.50%, 02/01/21, Pool # D06612 Aaa 413,725
------------
12,290,908
------------
U.S. Treasury Bonds - 5.88%
4,565,000 7.25%, 05/15/16 (D) Aaa 5,196,969
1,500,000 7.50%, 11/15/16 Aaa 1,749,840
650,000 7.63%, 11/15/22 Aaa 782,438
3,000,000 7.13%, 02/15/23 Aaa 3,422,814
------------
11,152,061
------------
Government National Mortgage Association - 4.51%
1,313,402 9.50%, 02/15/06, Pool # 780238 Aaa 1,383,406
282,557 6.50%, 09/15/08, Pool # 357124 (A) Aaa 284,244
130,748 9.00%, 08/15/16, Pool # 165233 (A) Aaa 142,904
221,339 9.00%, 08/15/16, Pool # 173341 (A) Aaa 241,917
246,699 8.00%, 08/15/22, Pool # 323199 (A) Aaa 257,263
981,785 7.00%, 06/15/23, Pool # 349678 (A) Aaa 992,673
3,521,363 6.50%, 01/15/24, Pool # 370999 Aaa 3,492,559
381,824 8.00%, 09/15/26, Pool # 421495 Aaa 396,104
146,364 8.00%, 09/15/26, Pool # 431341 Aaa 151,838
1,169,875 8.00%, 09/15/26, Pool # 436476 Aaa 1,213,629
------------
8,556,537
------------
Total U.S. Government
and Agency Obligations 85,055,208
(Cost $82,898,057) ------------
CORPORATE NOTES AND BONDS - 35.43%
Finance - 12.11%
1,750,000 AT&T Capital Corp., Series 4, MTN
6.26%, 02/18/99 Baa 1,748,362
1,450,000 BCH Cayman Islands
Yankee Subordinated Note, Guaranteed
6.50%, 02/15/06 A 1,432,841
500,000 Coles Myer Finance USA, Ltd., Series A,
MTN 5.45%, 07/16/98 A 498,941
1,000,000 Compass Trust I
8.23%, 01/15/27 NR 1,085,812
1,500,000 Conseco Financing Trust III
8.80%, 04/01/27 Ba 1,684,019
2,075,000 First Empire Capital Trust I
Bond, Series A, Guaranteed
8.23%, 02/01/27 A 2,246,181
1,300,000 Ford Motor Credit Co.
6.25%, 12/08/05 A 1,283,017
1,787,000 General Motors Acceptance Corp.
7.00%, 03/01/00 A 1,819,273
See Notes to Financial Statements.
F-16 -----------------------------------------------------
<PAGE>
- ---------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- ---------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- ---------------------------------------------------------------------------
Moody's Ratings Value
Par Value (Unaudited) (Note 2)
- ---------------------------------------------------------------------------
Finance (Continued)
$1,750,000 Homeside Lending, Inc., MTN
6.88%, 05/15/00 Baa $ 1,774,946
1,750,000 MBNA Corp., MTN
6.96%, 09/12/02 Baa 1,752,188
1,970,000 Merita Bank, Ltd.
Yankee Subordinated Note
6.50%, 01/15/06 A 1,953,005
2,000,000 Star Banc Corp., Series A, MTN
6.97%, 05/01/00 NR 2,032,914
1,700,000 The Money Store, Inc.
8.05%, 04/15/02 Ba 1,759,675
1,770,000 Santander Financial Issuances, Ltd.
Yankee Subordinated Note, Guaranteed
7.75%, 05/15/05 A 1,876,411
------------
22,947,585
------------
Communications - 4.24%
1,000,000 GTE Corp.
8.85%, 03/01/98 Baa 1,004,018
500,000 GTE Corp.
8.75%, 11/01/21 NR 606,229
1,500,000 LCI International, Inc., Senior Note
7.25%, 06/15/07 Baa 1,552,335
2,550,000 TCI Communications, Inc., Senior Debenture
7.88%, 02/15/26 Baa 2,736,520
2,000,000 WorldCom, Inc., Note
7.75%, 04/01/07 Baa 2,142,418
------------
8,041,520
------------
Utilities - 3.42%
2,195,000 Connecticut Light & Power Co.
First Mortgage, Series 94D
7.88%, 10/01/24 Ba 2,265,773
1,000,000 Empresa Electrica Pehuenche SA
Yankee Note
7.30%, 05/01/03 NR 1,027,690
1,250,000 Philadelphia Electric Co.
First Mortgage, Series 1992
7.50%, 01/15/99 Baa 1,267,624
1,100,000 Sithe/Independence Funding Corp.
Guaranteed, Series A
9.00%, 12/30/13 Baa 1,316,832
580,000 Texas Utilities Electric Co.
7.38%, 10/01/25 Baa 593,798
------------
6,471,717
------------
Securities Brokers and Dealers - 3.29%
2,045,000 Donaldson Lufkin & Jenrette, Inc.
Senior Note
6.88%, 11/01/05 Baa 2,073,168
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa 1,482,824
1,500,000 Paine Webber Group, Inc., Debenture
9.25%, 12/15/01 Baa 1,643,312
1,000,000 Salomon, Inc., Senior Note
7.25%, 05/01/01 A 1,029,521
------------
6,228,825
------------
Oil, Gas, and Petroleum - 2.68%
1,000,000 Parker & Parsley Petroleum Co.
Senior Note
8.88%, 04/15/05 Baa 1,131,128
700,000 Southwest Gas Corp.
Debenture, Series F
9.75%, 06/15/02 Baa 789,590
1,500,000 Tennessee Gas Pipeline Co.
7.50%, 04/01/17 Baa 1,606,230
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 Baa 1,544,399
------------
5,071,347
------------
Industry - 2.64%
600,000 Chesapeake Corp.
7.20%, 03/15/05 Baa 619,326
900,000 Donohue Forest Products, Inc.
Senior Note
7.63%, 05/15/07 Baa 941,462
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba 1,356,425
2,000,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa 2,079,144
------------
4,996,357
------------
Transportation - 2.42%
1,300,000 AMR Corp.
9.50%, 05/15/01 Baa 1,424,985
900,000 Consolidated Freightways, Inc.
9.13%, 08/15/99 Baa 935,456
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa 2,229,712
------------
4,590,153
------------
Book Publishing - 1.20%
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Ba 921,927
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Ba 1,344,118
------------
2,266,045
------------
Electronics - 0.91%
1,700,000 Clear Channel Communications, Inc.
7.25%, 10/15/27 Baa 1,728,832
------------
Processed Foods - 0.86%
1,500,000 Ralston Purina Co.
7.75%, 10/01/15 Baa 1,637,886
------------
See Notes to Financial Statements.
- ------------------------------------------------------- F-17
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Moody's Ratings Value
Par Value (Unaudited) (Note 2)
- --------------------------------------------------------------------------------
Manufacturing - 0.80%
$ 1,500,000 Black & Decker Corp.
6.63%, 11/15/00 Baa $ 1,513,682
------------
Engineering and Construction - 0.46%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa 865,666
------------
Consumer Products - 0.40%
675,000 Time Warner Entertainment Co., LP
Senior Debenture
8.38%, 03/15/23 Baa 770,043
------------
Total Corporate Notes and Bonds 67,129,658
(Cost $64,364,875) ------------
ASSET-BACKED SECURITIES (A) - 16.45%
2,350,000 BankBoston RV Asset Backed Trust
1997-1, Series A8
6.54%, 02/15/09 NR 2,374,628
2,000,000 Barnett Auto Trust, 1997-A, A3
6.03%, 11/15/01 NR 1,998,400
1,763,933 Bear Stearns Mortgage Securities, Inc.
1995-1, Series 1A, CMO
6.57%, 05/25/10 Aaa 1,753,914
1,250,000 Bear Stearns Mortgage Securities, Inc.
1996-3, Series A10, CMO
7.75%, 06/25/27 Aaa 1,282,820
750,000 Carco Auto Loan Master Trust, 1997-1,
Series A 6.69%, 08/15/04 Aaa 757,680
62,253 Contimortgage Home Equity Loan Trust
1994-3, Series A1
7.63%, 05/15/09 Aaa 62,232
1,750,000 CS First Boston Mortgage Securities Co.
1996-1, Series A2
6.70%, 03/15/27 Aaa 1,766,765
1,560,000 CWMBS, Inc., 1996-A10, Series A3, CMO
7.50%, 11/25/11 NR 1,580,893
1,691,594 Financial Asset Securitization, Inc.
1997-NAMC, Series FXA2, CMO
7.75%, 05/25/27 NR 1,741,722
1,599,526 First Plus Home Loan Owner Trust
1996-2, Series A5
7.47%, 02/20/11 NR 1,640,426
1,435,774 General Motors Acceptance Corp.
1996-C1, Series A2A, CMO
6.79%, 10/15/03 Aaa 1,446,011
500,000 Green Tree Financial Corp., 1992-1,
Series A3 6.70%, 10/15/17 NR 504,005
1,700,000 Green Tree Financial Corp., 1994-1,
Series A3 6.90%, 04/15/19 Aa 1,725,109
329,565 Green Tree Financial Corp., 1994-2,
Series A2 7.35%, 05/15/19 Aa 331,945
572,177 Green Tree Financial Corp., 1994-8,
Series A3 8.25%, 04/15/20 Aa 579,684
1,307,952 Green Tree Recreation
Equipment & Consumer Trust
6.55%, 07/15/28 NR 1,316,535
499,989 Green Tree Recreation
Equipment & Consumer Trust
1997-B, Series A1
5.55%, 02/15/18 NR 495,024
281,163 NationsBank Auto Grantor Trust,
1995-A, Series B
6.00%, 06/15/02 NR 281,118
1,950,000 Olympic Automobile Receivables Trust
Series 1996-A, Class A-4
5.85%, 07/15/01 NR 1,944,950
1,000,000 PSB Lending Home Loan Owner Trust
1997-3, Series A2
6.57%, 02/20/13 NR 1,000,156
1,750,000 Resolution Trust Corp.
1995-C1, Series A4C, CMO
6.85%, 02/25/27 Aaa 1,752,734
446,443 United Air Lines, Inc., Series 91B1
9.30%, 03/22/08 Baa 449,617
775,000 Vendee Mortgage Trust, 1997-1
Series 2B, CMO
7.50%, 09/15/01 NR 787,701
73,450 Western Financial Grantor Trust
1994-2, Series A2
6.38%, 09/01/99 Aaa 73,594
272,541 Western Financial Grantor Trust
1995-2, Series A2
7.10%, 07/01/00 Aaa 274,324
1,750,000 WFS Financial Owner Trust, 1996-D, A3
6.05%, 07/20/01 NR 1,743,858
1,500,000 WFS Financial Owner Trust, 1997-A, A3
6.50%, 09/20/01 NR 1,510,215
------------
Total Asset-Backed Securities 31,176,060
(Cost $30,954,335) ------------
Shares
- ----------
INVESTMENT COMPANY - 3.58%
6,784,434 State Street Bank Temporary Fund NR 6,784,434
------------
Total Investment Company 6,784,434
(Cost $6,784,434) ------------
Total Investments - 100.34% 190,145,360
(Cost $185,001,701) ------------
Net Other Assets and Liabilities - (0.34)% (642,700)
------------
Net Assets - 100.00% $189,502,660
============
- --------------------------------------------
(A) Pass Through Certificates
(B) Forward Commitment
(C) Collateral on Forward Commitment Par Value of $2,900,000.
(D) Collateral on Forward Commitment Par Value of $2,910,000.
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
-----------------------------------------------------
F-18
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1997, the aggregate cost of investment securities for tax
purposes was $185,003,385. Net unrealized appreciation (depreciation) aggregated
$5,141,975, of which $5,425,252 related to appreciated investment securities and
$(283,277) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had a capital loss carryforward of
$1,388,318 which expires in 2002. During 1997, the Portfolio utilized $127,477
of its capital loss carryforward.
For the year ended December 31, 1997, the Portfolio has elected to defer $24,327
of capital losses attributable to Post-October Losses.
OTHER INFORMATION
For the year ended December 31, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $44,556,821
and $27,872,619 of non-governmental issuers, respectively, and $63,673,269 and
$52,411,959 of U.S. Government and Agency issuers, respectively.
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
Moody's Ratings (Unaudited)
Aaa 49.55%
Aa 1.39
A 6.38
Baa 21.75
Ba 4.91
NR (Not Rated) 16.02
--------
100.00%
========
See Notes to Financial Statements.
- -------------------------------------------------------- F-19
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1997
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 89.15%
U.S. Treasury Notes - 43.23%
$ 1,000,000 6.38%, 01/15/99 $ 1,007,187
3,050,000 5.88%, 03/31/99 3,058,580
1,200,000 6.88%, 08/31/99 1,222,500
3,450,000 7.13%, 02/29/00 3,550,267
3,050,000 6.25%, 10/31/01 3,103,375
5,525,000 5.75%, 08/15/03 5,530,182
6,100,000 6.88%, 05/15/06 6,528,909
--------------
24,001,000
--------------
Federal National Mortgage Association - 24.88%
1,175,000 6.16%, 03/29/01, MTN 1,183,952
750,000 6.45%, 04/23/01, MTN 762,112
1,000,000 6.20%, 07/10/03, Note 989,803
904,624 7.48%, 08/17/03, CMO, (A) 919,541
1,300,000 5.80%, 12/10/03, Note 1,286,900
1,368,063 7.50%, 03/01/07, Pool # 50545 (A) 1,403,797
1,223,256 6.50%, 05/01/08, Pool # 50730, (A) 1,228,027
1,300,000 8.40%, 02/25/09, Class A3
Series 1996-W2, CMO, (A) 1,374,344
129,695 8.00%, 04/01/09, Pool # 111253, (A) 133,454
1,436,495 7.50%, 12/01/09, Pool # 356808, (A) 1,474,303
765,029 6.40%, 11/25/10, Class A2,
Series 1995-T2, REMIC (A) 765,166
93,439 7.00%, 05/01/17, Pool # 68635, (A) 94,676
894,858 8.00%, 09/01/21, Pool # 70941(A) 933,569
1,250,000 7.00%, 06/25/26, Class A3
Series 1996-M6, CMO, (A) 1,261,600
--------------
13,811,244
--------------
Federal Home Loan Mortgage Corporation - 9.33%
323,766 9.50%, 03/01/01, Pool # 200029, (A) 333,194
1,000,000 5.99%, 03/06/01, Bond 993,146
90,415 6.50%, 06/01/04, Pool # 548801, (A) 89,059
183,901 6.50%, 08/01/04, Pool # 181863, (A) 184,052
521,629 7.50%, 02/01/07, Pool # E00075, (A) 535,650
349,556 8.00%, 09/01/08, Pool # 530125, (A) 360,154
244,213 8.00%, 04/01/09, Pool # 534627, (A) 249,500
90,944 8.00%, 06/01/09, Pool # 184989, (A) 93,934
295,254 8.00%, 08/01/09, Pool # 546108, (A) 304,962
156,549 8.00%, 09/01/09, Pool # 273699, (A) 159,938
340,248 7.90%, 07/01/16, Pool # W30001, (A) 373,529
321,193 8.00%, 06/01/19, Pool # 544250, (A) 333,890
283,622 10.00%, 03/01/21, Pool # A00969, (A) 310,532
864,131 6.50%, 06/01/23, Pool # N300118, (A) 858,307
--------------
5,179,847
--------------
Government National Mortgage Association (A)- 6.12%
391,345 9.50%, 02/15/06, Pool # 780238 412,204
101,984 8.00%, 12/15/06, Pool # 014758 106,998
94,351 6.50%, 06/15/09, Pool # 376548 94,901
2,002,192 7.00%, 06/15/09, Pool # 374332 2,041,516
728,410 7.00%, 06/15/12, Pool # 411797 742,308
--------------
3,397,927
--------------
U.S. Treasury Bond - 2.58%
1,100,000 10.75%, 08/15/05 $ 1,431,032
--------------
U.S. Government Backed Bond - 1.99%
1,100,000 Tennessee Valley Authority, Series D
6.00%, 11/01/00 1,105,823
--------------
Federal Home Loan Bank - 1.02%
550,000 6.55%, 03/07/05, Note, Series FX05 566,949
--------------
Total U.S. Government
and Agency Obligations 49,493,822
(Cost $48,831,327) --------------
ASSET-BACKED SECURITIES (A) - 8.67%
143,087 Advanta Mortgage Loan Trust, Class A2,
Series 1995-2
6.60%, 02/25/10 142,792
1,550,000 Chase Credit Card Master Trust, 1997-2,
Series A
6.30%, 06/01/12 1,561,877
1,175,000 CS First Boston Mortgage Securities Corp.,
1996-1, Series A2
6.70%, 03/15/27 1,186,257
427,977 Green Tree Financial Corp.
Class A3, Series 1994-7
8.00%, 03/15/20 432,445
79,998 Green Tree Recreation Equipment & Consumer
Trust Class A1, Series 1996-A
5.55%, 02/15/18 79,204
1,400,000 Premier Auto Trust, 1996-4, Series A4
6.40%, 10/06/01 1,407,756
--------------
Total Asset-Backed Securities 4,810,331
(Cost $4,826,937) --------------
Shares
------
INVESTMENT COMPANY - 1.46%
811,059 State Street Bank Temporary Fund 811,059
--------------
Total Investment Comany 811,059
(Cost $811,059) --------------
Total Investments - 99.28% 55,115,212
(Cost $54,469,323) --------------
Net Other Assets and Liabilities - 0.72% 398,263
--------------
Net Assets - 100.00% $ 55,513,475
==============
- ----------------------------------
(A) Pass Through Certificates
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
----------------------------------------------------------
F-20
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1997, the aggregate cost of investment securities for tax
purposes was $54,525,766. Net unrealized appreciation (depreciation) aggregated
$589,446 of which $678,735 related to appreciated investment securities and
$(89,289) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had capital loss carryforwards which
expire as follows: $1,544,794 in 2002; $515,322 in 2003; $461,593 in 2004; and
$64,602 in 2005.
For the year ended December 31, 1997, the Portfolio has elected to defer $8,746
of capital losses attributable to Post-October Losses.
OTHER INFORMATION
For the year ended December 31, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $2,969,800
and $1,893,591, of non-governmental issuers, respectively and $34,127,112 and
$26,769,998 of U.S. Government and Agency issuers, respectively.
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
Moody's Ratings (Unaudited)
Aaa 82.67%
NR (Not Rated) 17.33
--------
100.00%
========
See Notes to Financial Statements.
- --------------------------------------------------------
F-21
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . December 31, 1997
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 28.44%
Securities Brokers and Dealers - 11.09%
$ 1,000,000 Bear Stearns Cos., Inc., Series B, MTN
6.13%, 02/17/98* $ 1,000,240
2,500,000 Bear Stearns Cos., Inc., Series B, MTN
6.44%, 02/23/98* 2,501,469
5,000,000 Bear Stearns Cos., Inc., Series B, MTN
5.74%, 08/25/98* 5,000,000
3,500,000 Goldman Sachs Group, LP, Series E, MTN
6.26%, 05/29/98* 3,503,438
1,915,000 Lehman Brothers Holdings, Inc., Series E, MTN
6.73%, 02/27/98 1,917,269
1,504,000 Lehman Brothers Holdings, Inc., Senior Note
6.38%, 06/01/98 1,506,333
2,000,000 Merrill Lynch & Co., Inc., Series B, MTN
6.21%, 05/19/98* 2,001,975
5,000,000 Paine Webber Group, Inc., Series C, Senior MTN
6.06%, 09/16/98* 5,000,000
5,500,000 Paine Webber Group, Inc., Series C, MTN
5.93%, 11/04/98* 5,500,000
975,000 Shearson Lehman Brothers Holdings, Inc.,
Series D, MTN
6.25%, 06/29/98 975,716
--------------
28,906,440
--------------
Finance - 10.94%
3,165,000 Abbey National Treasury Services Plc
6.50%, 12/21/98 3,178,625
697,000 Asset Backed Capital Finance, Inc., MTN
5.93%, 05/08/98 682,419
2,000,000 Asset-Backed Capital, Ltd., MTN
5.76%, 09/23/98* 2,000,000
2,500,000 Avco Financial Service
5.90%, 11/17/98* 2,500,000
5,750,000 General Electric Capital Corp., Series A, MTN
5.36%, 01/20/98 5,748,170
1,400,000 General Motors Acceptance Corp., MTN
7.30%, 02/02/98 1,401,603
4,000,000 General Motors Acceptance Corp., MTN
5.87%, 09/21/98* 3,998,027
3,000,000 Green Tree Lease Finance, LLC, 1997-1, Series A1
5.91%, 01/20/99 3,000,000
6,000,000 New England Education Loan Marketing Corp., MTN
6.14%, 09/18/98* 6,008,001
--------------
28,516,845
--------------
Commercial Banks - 3.37%
3,800,000 Bank of Boston, Senior MTN
5.82%, 04/22/98* 3,800,746
2,500,000 First USA Bank, MTN
5.98%, 04/28/98* 2,501,049
1,500,000 Morgan (J.P.) & Co., Inc., Subordinated Note
5.48%, 04/01/98 1,479,444
1,000,000 Norwest Corp., Series G, Senior MTN
6.00%, 10/13/98 1,000,558
--------------
8,781,797
--------------
Communication - 1.21%
3,100,000 Nippon Telegraph and Telephone Corp.
9.50%, 07/27/98 3,160,563
--------------
Retail - 0.98%
1,000,000 Albertson's, Inc., Series A, MTN
5.71%, 03/23/98 999,815
1,525,000 Sears Roebuck & Co.
9.25%, 04/15/98 1,537,203
--------------
2,537,018
--------------
Utilities - 0.85%
1,000,000 Virginia Electric & Power Co., Series A
9.38%, 06/01/98 1,012,177
1,200,000 Virginia Electric & Power Co., Series E, MTN
6.35%, 06/08/98 1,202,402
--------------
2,214,579
--------------
Total Corporate Notes and Bonds 74,117,242
(Cost $74,117,242) --------------
See Notes to Financial Statements.
----------------------------------------------------------
F-22
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 9.86%
Federal National Mortgage Association - 4.18%
$ 5,000,000 5.44%, 02/04/98 $ 4,974,311
4,000,000 5.43%, 03/30/98 3,946,955
1,000,000 5.55%, 05/07/98 980,575
1,000,000 5.38%, 06/10/98 998,774
--------------
10,900,615
--------------
Federal Farm Credit Bank - 3.08%
3,210,000 5.44%, 06/01/98 3,136,755
3,026,000 5.34%, 06/25/98 2,947,450
2,000,000 5.50%, 08/12/98 1,931,860
--------------
8,016,065
--------------
Federal Home Loan Mortgage Corp. - 1.61%
1,930,000 5.24%, 01/30/98 1,921,852
2,300,000 5.47%, 02/06/98 2,287,419
--------------
4,209,271
--------------
Federal Home Loan Bank - 0.99%
2,000,000 5.40%, 02/11/98 1,987,700
595,000 5.45%, 05/28/98 581,759
--------------
2,569,459
--------------
Total U.S. Government
and Agency Obligations 25,695,410
(Cost $25,695,410) --------------
COMMERCIAL PAPER (A) - 35.00%
Finance - 23.19%
4,368,000 Bil North America
5.60%, 01/09/98 4,362,564
3,650,000 Budget Funding Corp.
5.85%, 01/30/98 3,632,799
4,000,000 Centre Square Funding Corp.
5.67%, 01/20/98 3,988,030
255,000 Ford Capital BV
9.13%, 05/01/98 257,186
4,000,000 General Electric Capital Corp.
5.53%, 01/20/98 3,988,326
1,000,000 General Electric Capital Corp.
7.25%, 03/03/98 1,001,927
9,100,000 Grand Metropolitan Capital Corp.
5.54%, 01/07/98 9,091,598
4,000,000 Jefferson Smurfit Finance Corp., Series B
5.75%, 02/18/98 3,969,333
5,000,000 Lexington Parker Capital Corp.
5.93%, 01/21/98 4,983,528
293,000 Lexington-Parker Capital Corp, LLC
5.95%, 04/03/98 288,545
2,500,000 National Rural Utilities Cooperative Finance Corp.
5.55%, 02/13/98 2,483,427
6,878,000 Pegasus Two, Ltd.
5.86%, 03/18/98 6,792,912
6,000,000 Sanyo Electric Finance Co.
6.60%, 02/12/98 5,953,800
1,500,000 Toshiba Capital Asia Corp.
5.61%, 03/05/98 1,485,274
1,096,000 Toshiba International Finance
6.00%, 01/28/98 1,091,068
1,084,000 Toshiba International Finance
6.00%, 02/02/98 1,078,219
6,000,000 Westpac Capital Corp.
5.70%, 01/27/98 5,975,658
--------------
60,424,194
--------------
See Notes to Financial Statements.
- ---------------------------------------------------------
F-23
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
Consumer Goods - 3.25%
$ 2,500,000 PepsiCo, Inc.
6.13%, 01/15/98 $ 2,500,340
6,000,000 Stanley Works
5.58%, 02/04/98 5,968,380
---------------
8,468,720
---------------
Industry - 3.18%
350,000 Archer-Daniels-Midland Co.
6.20%, 01/22/98 348,775
8,000,000 China International Marine Containers
Group, Ltd. 5.59%, 02/13/98 7,946,298
---------------
8,295,073
---------------
Rubber Fabricating - 2.67%
7,000,000 Bridgestone/Firestone, Inc.
7.35%, 01/27/98 6,962,842
---------------
Energy - 1.94%
5,160,000 Songs Fuel Co.
5.62%, 05/19/98 5,048,836
---------------
Utilities - 0.39%
1,012,000 Idaho Power Co.
6.05%, 01/23/98 1,008,258
---------------
Commercial Bank - 0.38%
1,000,000 First Union Corp.
6.75%, 01/15/98 1,000,313
---------------
Total Commercial Paper 91,208,236
(Cost $91,208,236) ---------------
CERTIFICATES OF DEPOSIT - 15.54%
2,500,000 Bankers Trust Co.
5.92%, 07/17/98 2,499,615
5,000,000 Barclays Bank Plc
5.75%, 12/16/98 4,998,588
5,000,000 Barclays Bank Plc
5.73%, 04/16/98 4,999,792
5,000,000 Corestates Bank of North America
5.81%, 09/08/98 5,000,000
3,000,000 Deutsche Bank AG
5.95%, 10/26/98 2,998,836
7,000,000 Sanwa Bank, Ltd., New York
6.55%, 06/24/98 7,000,324
10,000,000 Skandinaviska Enskilda Banken
5.88%, 06/03/98 10,000,000
3,000,000 Societe Generale
5.97%, 09/15/98 3,000,202
---------------
Total Certificates of Deposit 40,497,357
(Cost $40,497,357) ---------------
REPURCHASE AGREEMENTS - 9.94%
8,000,000 First Union Repurchase Agreement
5.88%, 1/2/98, Dated 12/03/97
Repurchase Price $8,039,200
(Collateralized by Heller Financial 6.39%,
Due 5/25/05; Total Par $8,390,000;
Market Value $8,494,928) 8,000,000
17,900,000 First Union Repurchase Agreement
7.50%, 1/2/98, Dated 12/31/97
Repurchase Price $17,907,458 (Collateralized
by Green Tree Lease Finance 5.91%, due
1/20/99; Total Par $14,500,000 and Green Tree
Lease Finance 6.20%, due 9/20/05; Total Par
$3,860,000; Total Market Value of $19,253,880) 17,900,000
---------------
Total Repurchase Agreements 25,900,000
(Cost $25,900,000) ---------------
Shares
------
INVESTMENT COMPANY - 0.47%
1,236,333 State Street Bank Temporary Fund 1,236,333
---------------
Total Investment Company 1,236,333
(Cost $1,236,333) ---------------
Total Investments - 99.25% 258,654,578
(Cost $258,654,578) ---------------
Net Other Assets and Liabilities - 0.75% 1,964,929
---------------
Net Assets - 100.00% $ 260,619,507
===============
- ------------------------------
* Variable rate security. The rate shown reflects rate currently in effect.
(A) Effective yield at time of purchase.
(B) Zero Coupon Bond. Rate shown reflects effective yield to maturity.
MTN Medium Term Note
See Notes to Financial Statements.
----------------------------------------------------------
F-24
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1997
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1997, the aggregate cost of investment securities for tax
purposes was $258,654,578.
As of December 31, 1997, the Portfolio had capital loss carryforwards which
expire as follows: $347 in 2002; $144 in 2003; $35,977 in 2004; and $8,154 in
2005.
For the year ended December 31, 1997, the Portfolio has elected to defer $321 of
capital losses attributable to Post-October Losses.
OTHER INFORMATION
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
Moody's Ratings (Unaudited)
Aaa 89.50%
NR (Not Rated) 10.50
--------
100.00%
========
See Notes to Financial Statements.
- --------------------------------------------------------
F-25
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES . December 31, 1997
================================================================================
<TABLE>
<CAPTION>
Select Select Equity
Aggressive International Growth Index
Growth Fund Equity Fund Fund Fund
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost............................ $ 475,614,635 $ 363,178,910 $ 610,340,287 $ 206,787,708
Repurchase agreements at cost.................. -- -- -- --
Net unrealized appreciation (depreciation)..... 127,325,268 31,272,139 127,411,285 89,925,886
------------- ------------- ------------- -------------
Total investments at value................... 602,939,903 394,451,049 737,751,572 296,713,594
Cash.............................................. 92,502 -- 113,541 819
Foreign currency
(Cost $106,252 and $1,892,070 respectively)
(Notes 2 and 7)................................ -- 1,625,229 -- --
Short-term investments held as collateral
for securities loaned (Note 2)................ 43,514,100 -- -- --
Receivable for investments sold................... 3,087,825 -- 391,427 --
Receivable for shares sold........................ 630,419 108,725 3,095 179,604
Receivable for variation margin................... -- -- -- 8,394
Interest and dividend receivables................. 209,728 531,794 1,626,259 413,410
Deferred organizational expense (Note 2).......... -- -- -- --
Dividend tax reclaim receivables.................. -- 347,663 -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8)..... -- 1,418,782 -- --
------------- ------------- ------------- -------------
Total Assets................................. 650,474,477 398,483,242 739,885,894 297,315,821
------------- ------------- ------------- -------------
LIABILITIES:
Payable for investments purchased................. 2,301,571 -- 10,660,234 --
Payable for shares repurchased.................... -- 107,907 178,553 --
Payable to Custodian.............................. -- 337 -- --
Collateral for Securities loaned.................. 43,514,100 -- -- --
Advisory fee payable (Note 3)..................... 443,554 301,534 276,936 74,267
Accrued expenses and other payables............... 92,091 158,149 91,349 50,950
------------- ------------- ------------- -------------
Total Liabilities............................ 46,351,316 567,927 11,207,072 125,217
------------- ------------- ------------- -------------
NET ASSETS............................................ $ 604,123,161 $ 397,915,315 $ 728,678,822 $ 297,190,604
============= ============= ============= =============
NET ASSETS consist of
Paid-in capital (Note 6).......................... $ 478,722,159 $ 366,994,058 $ 593,966,796 $ 206,731,567
Undistributed (distribution in excess of)
net investment income.......................... -- 2,055,754 135,198 94,775
Accumulated (distribution in excess of)
net realized gain (loss) on investments
sold, foreign currency transactions
and futures contracts.......................... (1,924,266) (3,563,727) 7,165,543 429,982
Net unrealized appreciation of investments,
assets and liabilities in foreign
currency and futures contracts................. 127,325,268 32,429,230 127,411,285 89,934,280
------------- ------------- ------------- -------------
TOTAL NET ASSETS...................................... $ 604,123,161 $ 397,915,315 $ 728,678,822 $ 297,190,604
============= ============= ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value)........... 271,561,208 296,715,707 301,559,983 107,949,028
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)................... $ 2.225 $ 1.341 $ 2.416 $ 2.753
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-26
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
Investment Grade Government Money
Income Bond Market
Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost........................... $ 185,001,701 $ 54,469,323 $ 232,754,578
Repurchase agreements at cost................. -- -- 25,900,000
Net unrealized appreciation (depreciation).... 5,143,659 645,889 --
-------------- ------------- -------------
Total investments at value.................. 190,145,360 55,115,212 258,654,578
Cash............................................. 2,481 822 8,350
Foreign currency
(Cost $106,252 and $1,892,070 respectively)
(Notes 2 and 7)............................... -- -- --
Short-term investments held as collateral
for securities loaned (Note 2)............... -- -- --
Receivable for investments sold.................. 68,080 1,300,520 --
Receivable for shares sold....................... 127,031 7,884 459,451
Receivable for variation margin.................. -- -- --
Interest and dividend receivables................ 2,231,609 690,884 1,581,840
Deferred organizational expense (Note 2)......... -- -- --
Dividend tax reclaim receivables................. -- -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8).... -- -- --
-------------- ------------- -------------
Total Assets................................ 192,574,561 57,115,322 260,704,219
-------------- ------------- -------------
LIABILITIES:
Payable for investments purchased................ 2,954,637 1,566,965 --
Payable for shares repurchased................... -- 2,033 --
Payable to Custodian............................. -- -- --
Collateral for Securities loaned................. -- -- --
Advisory fee payable (Note 3).................... 69,961 22,917 59,896
Accrued expenses and other payables.............. 47,303 9,932 24,816
-------------- ------------- -------------
Total Liabilities........................... 3,071,901 1,601,847 84,712
-------------- ------------- -------------
NET ASSETS........................................... $ 189,502,660 $ 55,513,475 $ 260,619,507
============== ============= =============
NET ASSETS consist of
Paid-in capital (Note 6)......................... $ 185,755,659 $ 57,515,235 $ 260,664,450
Undistributed (distribution in excess of)
net investment income......................... 17,671 3,851 --
Accumulated (distribution in excess of)
net realized gain (loss) on investments
sold, foreign currency transactions
and futures contracts......................... (1,414,329) (2,651,500) (44,943)
Net unrealized appreciation of investments,
assets and liabilities in foreign
currency and futures contracts................ 5,143,659 645,889 --
-------------- ------------- -------------
TOTAL NET ASSETS..................................... $ 189,502,660 $ 55,513,475 $ 260,619,507
============== ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value).......... 170,391,530 53,041,341 260,664,450
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding).................. $ 1.112 $ 1.047 $ 1.000
============== ============= =============
</TABLE>
- -------------------------------------------
F-27
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS . For year ended December 31, 1997
================================================================================
<TABLE>
<CAPTION>
Select Select Equity
Aggressive International Growth Index
Growth Fund Equity Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)................................ $ 562,840 $ 99,405 $ 3,164,577 $ 28,577
Dividends (Note 2)............................... 2,163,467 8,955,151 9,663,452 4,132,107
Less net foreign taxes withheld.................. -- (1,244,474) -- --
------------- -------------- ------------- --------------
Total investment income....................... 2,726,307 7,810,082 12,828,029 4,160,684
------------- -------------- ------------- --------------
EXPENSES
Investment advisory fees (Notes 3 and 4)......... 4,850,649 3,258,876 2,840,683 705,708
Custodian fees (Note 3).......................... 48,716 301,681 57,682 75,087
Fund accounting fees (Note 3).................... 79,072 67,644 110,407 79,001
Legal fees....................................... 6,966 896 14,447 387
Audit fees....................................... 12,128 21,560 6,477 5,375
Trustees' fees and expenses (Note 3)............. 11,792 10,293 9,129 4,986
Reports to shareholders.......................... 241,993 253,542 197,363 121,406
Amortization of organization costs (Note 2)...... -- -- -- --
Insurance........................................ 1,378 711 3,483 19
Miscellaneous.................................... 6,596 24,733 1,547 14,278
------------- -------------- ------------- --------------
Total expenses before reductions.............. 5,259,290 3,939,936 3,241,218 1,006,247
Less reductions (Note 5)...................... (221,364) (70,636) (152,829) --
------------- -------------- ------------- --------------
Total expenses net of reductions.............. 5,037,926 3,869,300 3,088,389 1,006,247
------------- -------------- ------------- --------------
NET INVESTMENT INCOME (LOSS)......................... (2,311,619) 3,940,782 9,739,640 3,154,437
------------- -------------- ------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments
sold........................................... 38,455,043 7,636,009 108,102,209 7,809,561
Net realized gain on futures contracts........... -- -- -- 314,143
Net realized gain on foreign currency
transactions................................... -- 7,017,386 -- --
Net change in unrealized appreciation
of assets and liabilities in foreign
currency....................................... -- 38,117 -- --
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts...................................... 49,158,982 (6,543,277) 24,921,710 49,226,053
------------- -------------- ------------- --------------
NET GAIN (LOSS) ON INVESTMENTS....................... 87,614,025 8,148,235 133,023,919 57,349,757
------------- -------------- ------------- --------------
NET INCREASE IN NET
ASSETS RESULTING FROM OPERATIONS................. $ 85,302,406 $ 12,089,017 $ 142,763,559 $ 60,504,194
============= ============== ============= ==============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-28
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Investment Grade Government Money
Income Bond Market
Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)......................................... $ 11,811,728 $ 3,169,269 $ 13,319,005
Dividends (Note 2)........................................ 275,574 51,042 293,092
Less net foreign taxes withheld........................... -- -- --
------------- ------------- --------------
Total investment income................................ 12,087,302 3,220,311 13,612,097
------------- ------------- --------------
EXPENSES
Investment advisory fees (Notes 3 and 4).................. 710,821 244,355 647,964
Custodian fees (Note 3)................................... 30,272 16,582 42,720
Fund accounting fees (Note 3)............................. 50,572 28,747 57,184
Legal fees................................................ -- -- --
Audit fees................................................ 7,100 6,512 2,688
Trustees' fees and expenses (Note 3)...................... 2,425 -- 5,869
Reports to shareholders................................... 88,637 30,885 80,315
Amortization of organization costs (Note 2)............... -- -- --
Insurance................................................. -- -- --
Miscellaneous............................................. -- -- --
------------- ------------- --------------
Total expenses before reductions....................... 889,827 327,081 836,740
Less reductions (Note 5)............................... -- -- --
------------- ------------- --------------
Total expenses net of reductions....................... 889,827 327,081 836,740
------------- ------------- --------------
NET INVESTMENT INCOME (LOSS).................................. 11,197,475 2,893,230 12,775,357
------------- ------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold.............. 207,211 (70,250) (8,306)
Net realized gain on futures contracts.................... -- -- --
Net realized gain on foreign currency transactions........ -- -- --
Net change in unrealized appreciation
of assets and liabilities in foreign currency........... -- -- --
Net change in unrealized appreciation (depreciation)
of investments and futures contracts.................... 4,489,947 570,630 --
------------- ------------- --------------
NET GAIN (LOSS) ON INVESTMENTS................................ 4,697,158 500,380 (8,306)
------------- ------------- --------------
NET INCREASE IN NET
ASSETS RESULTING FROM OPERATIONS.......................... $ 15,894,633 $ 3,393,610 $ 12,767,051
============= ============= ==============
</TABLE>
- -------------------------------------------
F-29
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Select Aggressive Select International
Growth Fund Equity Fund
- --------------------------------------------------------------------------------------------------------------------
Year Ended December 31, Year Ended December 31,
1997 1996 1997 1996
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of year ................. $ 407,442,033 $ 254,871,723 $ 246,876,936 $ 104,312,134
------------- ------------- ------------- -------------
Increase in net assets
resulting from operations:
Net investment income (loss) .................. (2,311,619) (1,746,724) 3,940,782 2,064,136
Net realized gain (loss) on investments sold
and foreign currency transactions ......... 38,455,043 30,022,198 14,653,395 4,719,958
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency ....... 49,158,982 24,617,401 (6,505,160) 29,610,329
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations ........................... 85,302,406 52,892,875 12,089,017 36,394,423
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ......................... -- -- (5,221,780) (2,205,116)
Distribution in excess of net investment income -- -- (3,846,390) (2,413,338)
Net realized gain on investments .............. (45,241,565) (27,969,046) (12,587,981) (540,596)
Distribution in excess of net realized gain
on investments ............................ (1,941,087) -- -- --
Return of capital ............................. -- -- -- --
------------- ------------- ------------- -------------
Total distributions ....................... (47,182,652) (27,969,046) (21,656,151) (5,159,050)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares ............. 125,269,733 118,694,806 156,120,845 111,783,820
Issued to shareholders in reinvestment of
distributions ............................. 47,182,652 27,969,046 21,656,151 5,159,050
Cost of shares repurchased .................... (13,891,011) (19,017,371) (17,171,483) (5,613,441)
------------- ------------- ------------- -------------
Net increase from capital share
transactions ............................ 158,561,374 127,646,481 160,605,513 111,329,429
------------- ------------- ------------- -------------
Total increase in net assets .............. 196,681,128 152,570,310 151,038,379 142,564,802
------------- ------------- ------------- -------------
NET ASSETS at end of year (including line A) .... $ 604,123,161 $ 407,442,033 $ 397,915,315 $ 246,876,936
============= ============= ============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss) .............. $ -- $ -- $ 2,055,754 $ 180,441
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold .......................................... 56,852,703 58,055,566 110,807,769 91,002,428
Issued to shareholders in reinvestment of
distributions ............................. 21,321,286 13,670,395 15,986,697 3,819,374
Repurchased ................................... (6,666,252) (9,614,883) (12,167,111) (4,536,939)
------------- ------------- ------------- -------------
Net increase in shares outstanding......... 71,507,737 62,111,078 114,627,355 90,284,863
============= ============= ============= =============
</TABLE>
- ----------------------------------------------
See Notes to Financial Statements.
----------------------------------------------------------
F-30
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------
Equity Index
Growth Fund Fund
----------------------------------------------------------------
Year Ended December 31, Year Ended December 31,
1997 1996 1997 1996
----------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of year ................. $ 556,750,605 $ 444,870,953 $ 151,129,661 $ 90,888,716
------------- ------------- ------------- -------------
Increase in net assets
resulting from operations:
Net investment income (loss) .................. 9,739,640 10,150,991 3,154,437 2,095,474
Net realized gain (loss) on investments sold
and foreign currency transactions ........... 108,102,209 60,695,723 8,123,704 2,559,793
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency ......... 24,921,710 21,064,610 49,226,053 19,381,336
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations ............................. 142,763,559 91,911,324 60,504,194 24,036,603
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ......................... (9,604,442) (10,182,273) (3,062,476) (2,092,660)
Distribution in excess of net investment income -- -- -- --
Net realized gain on investments .............. (117,671,041) (49,801,860) (7,995,243) (2,189,067)
Distribution in excess of net realized gain
on investments .............................. -- -- -- --
Return of capital ............................. -- -- -- --
------------- ------------- ------------- -------------
Total distributions ......................... (127,275,483) (59,984,133) (11,057,719) (4,281,717)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares ............. 45,743,350 37,725,612 89,175,027 49,502,418
Issued to shareholders in reinvestment of
distributions ............................... 127,275,483 59,984,133 11,057,719 4,281,727
Cost of shares repurchased .................... (16,578,692) (17,757,284) (3,618,278) (13,298,076)
------------- ------------- ------------- -------------
Net increase from capital share transactions 156,440,141 79,952,461 96,614,468 40,486,069
------------- ------------- ------------- -------------
Total increase in net assets ................ 171,928,217 111,879,652 146,060,943 60,240,945
------------- ------------- ------------- -------------
NET ASSETS at end of year (including line A) .... $ 728,678,822 $ 556,750,605 $ 297,190,604 $ 151,129,661
============= ============= ============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss) ................ $ 135,198 $ (90,261) $ 94,775 $ 2,814
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold .......................................... 17,276,989 16,203,094 35,527,439 24,895,979
distributions ............................... 51,825,501 25,711,571 4,100,443 2,041,373
Repurchased ................................... (6,221,846) (7,659,186) (1,473,055) (6,883,771)
------------- ------------- ------------- -------------
Net increase in shares outstanding .......... 62,880,644 34,255,479 38,154,827 20,053,581
============= ============= ============= =============
<CAPTION>
----------------------------------------------------------------
Investment Grade Government
Income Fund Bond Fund
----------------------------------------------------------------
Year Ended December 31, Year Ended December 31,
1997 1996 1997 1996
----------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of year ................. $ 157,327,230 $ 141,625,380 $ 46,395,931 $ 45,778,124
------------- ------------- ------------- -------------
Increase in net assets
resulting from operations:
Net investment income (loss) .................. 11,197,475 9,688,573 2,893,230 2,779,448
Net realized gain (loss) on investments sold
and foreign currency transactions ........... 207,211 432,085 (70,250) (507,714)
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency ......... 4,489,947 (4,620,200) 570,630 (764,938)
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations ............................. 15,894,633 5,500,458 3,393,610 1,506,796
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ......................... (11,253,260) (9,688,573) (2,898,327) (2,778,718)
Distribution in excess of net investment income (8,726) (34,833) -- --
Net realized gain on investments .............. -- -- -- --
Distribution in excess of net realized gain
on investments .............................. -- -- -- --
Return of capital ............................. -- -- -- --
------------- ------------- ------------- -------------
Total distributions ......................... (11,261,986) (9,723,406) (2,898,327) (2,778,718)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares ............. 27,269,591 19,642,102 13,847,253 12,572,808
Issued to shareholders in reinvestment of
distributions ............................... 11,261,986 9,723,406 2,898,327 2,778,718
Cost of shares repurchased .................... (10,988,794) (9,440,710) (8,123,319) (13,461,797)
------------- ------------- ------------- -------------
Net increase from capital share transactions 27,542,783 19,924,798 8,622,261 1,889,729
------------- ------------- ------------- -------------
Total increase in net assets ................ $ 32,175,430 15,701,850 9,117,544 617,807
------------- ------------- ------------- -------------
NET ASSETS at end of year (including line A) .... $ 189,502,660 $ 157,327,230 $ 55,513,475 $ 46,395,931
============= ============= ============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss) ................ $ 17,671 $ 44,163 $ 3,851 $ 5,998
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold .......................................... 24,928,465 18,013,400 13,257,977 11,938,486
Issued to shareholders in reinvestment of
distributions ............................... 10,340,066 9,040,646 2,800,609 2,690,564
Repurchased ................................... (10,070,180) (8,682,856) (7,819,671) (12,948,203)
------------- ------------- ------------- -------------
Net increase in shares outstanding .......... 25,198,351 18,371,190 8,238,915 1,680,847
============= ============= ============= =============
<CAPTION>
-----------------------------
Money Market
Fund
-----------------------------
Year Ended December 31,
1997 1996
-----------------------------
<S> <C> <C>
NET ASSETS at beginning of year ................. $ 217,255,732 $ 155,211,174
------------- -------------
Increase in net assets
resulting from operations:
Net investment income (loss) .................. 12,775,357 9,613,835
Net realized gain (loss) on investments sold
and foreign currency transactions ........... (8,306) (35,900)
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency ......... -- --
------------- -------------
Net increase in net assets resulting
from operations ............................. 12,767,051 9,577,935
------------- -------------
Distributions to shareholders from:
Net investment income ......................... (12,775,357) (9,613,835)
Distribution in excess of net investment income -- --
Net realized gain on investments .............. -- --
Distribution in excess of net realized gain
on investments .............................. -- --
Return of capital ............................. -- --
------------- -------------
Total distributions ......................... (12,775,357) (9,613,835)
------------- -------------
Capital share transactions:
Net proceeds from sales of shares ............. 198,110,523 189,973,951
Issued to shareholders in reinvestment of
distributions ............................... 12,775,357 9,613,835
Cost of shares repurchased .................... (167,513,799) (137,507,328)
------------- -------------
Net increase from capital share transactions 43,372,081 62,080,458
------------- -------------
Total increase in net assets ................ 43,363,775 62,044,558
------------- -------------
NET ASSETS at end of year (including line A) .... $ 260,619,507 $ 217,255,732
============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss) ................ $ -- $ --
============= =============
OTHER INFORMATION:
Share transactions:
Sold .......................................... 198,110,523 189,973,951
Issued to shareholders in reinvestment of
distributions ............................... 12,775,357 9,613,835
Repurchased ................................... (167,513,799) (137,507,328)
------------- -------------
Net increase in shares outstanding .......... 43,372,081 62,080,458
============= =============
</TABLE>
- ---------------------------------------------------------
F-31
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Year
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
-------------------------------------------------------------------------
Net Realized
Net and
Asset Unrealized
Value Net Gain (Loss) Total from
Year Ended Beginning Investment on Investment
December 31, of Year Income/(2)/ Investments Operations
- ---------------- --------- ---------- ------------ ----------
<S> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997 $ 2.037 $ (0.009) $ 0.387 $ 0.378
1996 1.848 (0.009) 0.351 0.342
1995 1.397 (0.001) 0.452 0.451
1994 1.431 (0.002) (0.032) (0.034)
1993 1.197 0.001 0.234 0.235
1992 1.000 0.001 0.197 0.198
Select International
Equity Fund/(1)/
1997 1.356 0.015 0.049 0.064
1996 1.136 0.011 0.238 0.249
1995 0.963 0.013 0.176 0.189
1994 1.000 0.003 (0.038) (0.035)
Growth Fund/(1)/
1997 2.333 0.039 0.540 0.579
1996 2.176 0.047 0.386 0.433
1995 1.814 0.049 0.539 0.588
1994 1.939 0.043 (0.041) 0.002
1993 2.034 0.039 0.095 0.134
1992 1.976 0.034 0.105 0.139
1991 1.471 0.038 0.548 0.586
1990 1.558 0.041 (0.047) (0.006)
1989 1.308 0.043 0.289 0.332
1988 1.147 0.037 0.200 0.237
Equity Index Fund/(1)/
1997 2.165 0.034 0.664 0.698
1996 1.827 0.035 0.370 0.405
1995 1.468 0.035 0.474 0.509
1994 1.505 0.033 (0.018) 0.015
1993 1.409 0.032 0.102 0.134
1992 1.354 0.030 0.066 0.096
1991 1.080 0.032 0.279 0.311
1990 1.000 0.009 0.080 0.089
<CAPTION>
Less Distributions
-------------------------------------------------------------------------
Distributions
Dividends from Net
from Net Realized Distributions
Year Ended Investment Capital in Return of
December 31, Income Gains Excess Capital
- ---------------- ----------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997 $ -- $ (0.182) $ (0.008)/(3)/ $ --
1996 -- (0.153) -- --
1995 -- -- -- --
1994 -- -- -- --
1993 (0.001) -- -- --
1992 (0.001) -- -- --
Select International
Equity Fund/(1)/
1997 (0.019) (0.046) (0.014)/(4)/ --
1996 (0.012) (0.003) (0.014)/(4)/ --
1995 (0.011) (0.005) -- --
1994 (0.001) (0.001) -- --
Growth Fund/(1)/
1997 (0.038) (0.458) -- --
1996 (0.048) (0.228) -- --
1995 (0.049) (0.177) -- --
1994 (0.043) (0.084) -- --
1993 (0.039) (0.180) -- (0.010)
1992 (0.034) (0.047) -- --
1991 (0.039) (0.042) -- --
1990 (0.041) (0.040) -- --
1989 (0.046) (0.036) -- --
1988 (0.037) (0.039) -- --
Equity Index Fund/(1)/
1997 (0.033) (0.077) -- --
1996 (0.035) (0.032) -- --
1995 (0.035) (0.047) (0.002)/(3)/ (0.066)
1994 (0.033) (0.019) -- --
1993 (0.031) (0.007) -- --
1992 (0.031) (0.010) -- --
1991 (0.032) (0.005) -- --
1990 (0.009) -- -- --
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
- ---------------- ------------- ------------
<S> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997 $ (0.190) $ 0.188
1996 (0.153) 0.189
1995 -- 0.451
1994 -- (0.034)
1993 (0.001) 0.234
1992 (0.001) 0.197
Select International
Equity Fund/(1)/
1997 (0.079) (0.015)
1996 (0.029) 0.220
1995 (0.016) 0.173
1994 (0.002) (0.037)
Growth Fund/(1)/
1997 (0.496) 0.083
1996 (0.276) 0.157
1995 (0.226) 0.362
1994 (0.127) (0.125)
1993 (0.229) (0.095)
1992 (0.081) 0.058
1991 (0.081) 0.505
1990 (0.081) (0.087)
1989 (0.082) 0.250
1988 (0.076) 0.161
Equity Index Fund/(1)/
1997 (0.110) 0.588
1996 (0.067) 0.338
1995 (0.150) 0.359
1994 (0.052) (0.037)
1993 (0.038) 0.096
1992 (0.041) 0.055
1991 (0.037) 0.274
1990 (0.009) 0.080
</TABLE>
-----------------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements, waivers, and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(D) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades for
which commissions are charged. This rate generally does not reflect mark-
ups, mark-downs, or spreads on shares traded on a principle basis.
(1) The Select Aggressive Growth Fund commenced operations on August 21,
1992. The Select International Equity Fund commenced operations on May 2,
1994. The Equity Index Fund commenced operations on September 28, 1990.
The Growth Fund changed Investment Sub-Adviser on April 1, 1988.
(2) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $(0.010) in 1997, $0.000 in 1993
and $(0.001) in 1992 for Select Aggressive Growth Fund; $0.015 in 1997,
$0.011 in 1996 and $0.002 in 1994 for Select International Equity Fund;
$0.038 in 1997, $0.046 in 1996 and $0.038 in 1993 for Growth Fund; and
$0.031 in 1993, $0.028 in 1992, and $0.031 in 1991 for Equity Index Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
----------------------------------------------------------
F-32
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
-----------------------------------------------------------------------
Ratios To Average Net Assets
-----------------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
Year Ended End of Total Year Investment Operating Expenses Management Fee Turnover Commissions
December 31, Year Return (000's) Income (A) (B) (C) Gross Net Rate Rate(D)
- -------------- ------- ------- -------- --------- --- --- --- ----- ----- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select
Aggressive
Growth Fund/(1)/
1997 $ 2.225 18.71% $604,123 (0.45)% 0.99% 1.04% 1.04% 0.95% 0.95% 95% $ 0.0617
1996 2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08% 1.00% 1.00% 113% 0.0597
1995 1.848 32.28% 254,872 (0.07)% 1.09% -- 1.09% 1.00% 1.00% 104% --
1994 1.397 (2.31)% 136,573 (0.21)% 1.16% -- 1.16% 1.00% 1.00% 100% --
1993 1.431 19.51% 66,251 0.10% 1.19% -- 1.23% 1.00% 0.96% 76% --
1992 1.197 19.85%** 9,270 0.34%* 1.35%* -- 1.88%* N/A N/A 33% --
Select International
Equity Fund/(1)/
1997 1.341 4.65% 397,915 1.17% 1.15% 1.17% 1.17% 0.97% 0.97% 20% 0.0229
1996 1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23% 1.00% 1.00% 18% 0.0248
1995 1.136 19.63% 104,312 1.68% 1.24% -- 1.24% 1.00% 1.00% 24% --
1994 0.963 (3.49)%** 40,498 0.87%* 1.50%* -- 1.78%* 1.00%* 0.72%* 19% --
Growth Fund/(1)/
1997 2.416 25.14% 728,679 1.48% 0.47% 0.49% 0.49% 0.43% 0.43% 79% 0.0575
1996 2.333 20.19% 556,751 2.04% 0.48% 0.51% 0.51% 0.44% 0.44% 72% 0.0576
1995 2.176 32.80% 444,871 2.34% 0.54% -- 0.54% 0.46% 0.46% 64% --
1994 1.814 0.16% 335,714 2.25% 0.56% -- 0.56% 0.48% 0.48% 46% --
1993 1.939 6.66% 338,545 1.92% 0.54% -- 0.55% 0.49% 0.48% 42% --
1992 2.034 7.11% 270,828 1.85% 0.58% -- 0.58% N/A N/A 19% --
1991 1.976 40.44% 182,965 2.26% 0.57% -- 0.57% N/A N/A 24% --
1990 1.471 (0.30)% 97,179 2.82% 0.60% -- 0.60% N/A N/A 39% --
1989 1.558 25.64% 76,783 2.98% 0.71% -- 0.71% N/A N/A 33% --
1988 1.308 20.80%(5) 52,439 2.93% 0.75% -- 0.75% N/A N/A 99% --
Equity Index Fund/(1)/
1997 2.753 32.41% 297,191 1.38% 0.44% 0.44% 0.44% 0.31% 0.31% 9% 0.0385
1996 2.165 22.30% 151,130 1.79% 0.46% 0.46% 0.46% 0.32% 0.32% 12% 0.0395
1995 1.827 36.18% 90,889 1.96% 0.55% -- 0.55% 0.34% 0.34% 8% --
1994 1.468 1.06% 52,246 2.25% 0.57% -- 0.57% 0.35% 0.35% 7% --
1993 1.505 9.53% 42,842 2.28% 0.57% -- 0.63% 0.35% 0.29% 4% --
1992 1.409 7.25% 22,393 2.47% 0.57% -- 0.75% N/A N/A 6% --
1991 1.354 29.16% 9,700 2.73% 0.55% -- 0.64% N/A N/A 6% --
1990 1.080 8.90%** 5,469 3.39%* 0.38%* -- 0.38%* N/A N/A 0.24% --
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-33
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Year
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
------------------------------------------- ------------------------------------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net (Decrease)
Value Net Gain (Loss) Total from from Net Realized Distributions in
Year Ended Beginning Investment on Investment Investment Capital in Return of Total Net Asset
December 31, of Year Income/(2)/ Investments Operations Income Gains Excess Capital Distributions Value
------------ --------- ---------- ----------- ---------- ---------- ------------- ------------- --------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Grade
Income Fund/(1)/
1997 $ 1.084 $ 0.071 $ 0.028 $ 0.099 $ (0.071) $ -- $ -- $ -- $ (0.071) $ 0.028
1996 1.117 0.070 (0.033) 0.037 (0.070) -- -- -- (0.070) (0.033)
1995 1.012 0.071 0.106 0.177 (0.071) -- (0.001)/(2)/ -- (0.072) 0.105
1994 1.111 0.066 (0.099) (0.033) (0.066) -- -- -- (0.066) (0.099)
1993 1.074 0.065 0.049 0.114 (0.065) (0.012) -- -- (0.077) 0.037
1992 1.085 0.075 0.013 0.088 (0.075) (0.024) -- -- (0.099) (0.011)
1991 1.004 0.080 0.081 0.161 (0.080) -- -- -- (0.080) 0.081
1990 1.011 0.083 (0.006) 0.077 (0.084) -- -- -- (0.084) (0.007)
1989 0.968 0.082 0.044 0.126 (0.083) -- -- -- (0.083) 0.043
1988 0.974 0.084 (0.006) 0.078 (0.084) -- -- -- (0.084) (0.006)
Government
Bond Fund/(1)/
1997 1.036 0.061 0.011 0.072 (0.061) -- -- -- (0.061) 0.011
1996 1.062 0.062 (0.026) 0.036 (0.062) -- -- -- (0.062) (0.026)
1995 0.997 0.062 0.066 0.128 (0.062) -- (0.001)/(2)/ -- (0.063) 0.065
1994 1.070 0.063 (0.073) (0.010) (0.063) -- -- -- (0.063) (0.073)
1993 1.051 0.055 0.024 0.079 (0.055) (0.003) -- (0.002) (0.060) 0.019
1992 1.047 0.057 0.009 0.066 (0.057) (0.005) -- -- (0.062) 0.004
1991 1.000 0.022 0.051 0.073 (0.022) (0.004) -- -- (0.026) 0.047
Money Market
Fund
1997 1.000 0.053 -- 0.053 (0.053) -- -- -- (0.053) --
1996 1.000 0.052 -- 0.052 (0.052) -- -- -- (0.052) --
1995 1.000 0.057 -- 0.057 (0.057) -- -- -- (0.057) --
1994 1.000 0.039 -- 0.039 (0.039) -- -- -- (0.039) --
1993 1.000 0.030 -- 0.030 (0.030) -- -- -- (0.030) --
1992 1.000 0.037 -- 0.037 (0.037) -- -- -- (0.037) --
1991 1.000 0.060 -- 0.060 (0.060) -- -- -- (0.060) --
1990 1.000 0.078 -- 0.078 (0.078) -- -- -- (0.078) --
1989 1.000 0.086 -- 0.086 (0.086) -- -- -- (0.086) --
1988 1.000 0.071 -- 0.071 (0.071) -- -- -- (0.071) --
</TABLE>
- -----------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(D) For 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 Government Bond Fund commenced operations on August 26, 1991. The
Investment Grade Income Fund was formerly known as Income Appreciation
Fund.
(2) Distributions in excess of net investment income.
(3) Unaudited.
(4) Net investment income per share before reimbursement of fees by the
investment adviser were $0.065 in 1993 for Investment Grade Income
Fund; $0.055 in 1993 and $0.056 in 1992 for Government Bond Fund; and
$0.030 in 1993 and $0.084(3) in 1988 for Money Market Fund.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-34
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplement Data
-------------------------------------------------------------
Ratios To Average Net Assets
--------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
Year Ended End of Total Year Investment Operating Expenses Management Fee Turnover Commissions
December 31, Year Return (000's) Income (A) (B) (C) Gross Net Rate Rate(D)
------------ --------- ------ ---------- ---------- --- --- --- ----- --- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Grade
Income Fund/(1)/
1997 $ 1.112 9.45% $ 189,503 6.48% 0.51% 0.51% 0.51% 0.41% 0.41% 48% $ --
1996 1.084 3.56% 157,327 6.50% 0.52% 0.52% 0.52% 0.40% 0.40% 108% --
1995 1.117 17.84% 141,625 6.66% 0.53% -- 0.53% 0.41% 0.41% 126% --
1994 1.012 (2.96)% 109,972 6.25% 0.58% -- 0.58% 0.42% 0.42% 129% --
1993 1.111 10.80% 107,124 6.16% 0.54% -- 0.55% 0.45% 0.44% 55% --
1992 1.074 8.33% 52,874 7.25% 0.59% -- 0.59% N/A N/A 71% --
1991 1.085 16.75% 29,018 8.10% 0.60% -- 0.60% N/A N/A 52% --
1990 1.004 8.02% 18,226 9.14% 0.56% -- 0.56% N/A N/A 5% --
1989 1.011 13.52% 13,171 8.67% 0.78% -- 0.78% N/A N/A 4% --
1988 0.968 8.20%(3) 8,951 8.57% 0.77% -- 0.77% N/A N/A 12% --
Government
Bond Fund/(1)/
1997 1.047 7.08% 55,513 5.92% 0.67% 0.67% 0.67% 0.50% 0.50% 56% --
1996 1.036 3.51% 46,396 5.90% 0.66% 0.66% 0.66% 0.50% 0.50% 112% --
1995 1.062 13.06% 45,778 5.91% 0.69% -- 0.69% 0.50% 0.50% 180% --
1994 0.997 (0.88)% 42,078 5.60% 0.70% -- 0.70% 0.50% 0.50% 106% --
1993 1.070 7.51% 77,105 5.51% 0.61% -- 0.62% 0.50% 0.49% 35% --
1992 1.051 6.59% 33,689 6.13% 0.68% -- 0.69% N/A N/A 67% --
1991 1.047 7.60%** 7,591 5.55%* 0.54%* -- 0.54%* N/A N/A 65% --
Money Market
Fund
1997 1.000 5.47% 260,620 5.33% 0.35% 0.35% 0.35% 0.27% 0.27% N/A --
1996 1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34% 0.28% 0.28% N/A --
1995 1.000 5.84% 155,211 5.68% 0.36% -- 0.36% 0.29% 0.29% N/A --
1994 1.000 3.93% 95,991 3.94% 0.45% -- 0.45% 0.31% 0.31% N/A --
1993 1.000 3.00% 71,052 2.95% 0.42% -- 0.43% 0.32% 0.31% N/A --
1992 1.000 3.78% 64,506 3.65% 0.44% -- 0.44% N/A N/A N/A --
1991 1.000 6.67% 39,909 5.98% 0.43% -- 0.43% N/A N/A N/A --
1990 1.000 8.63% 28,330 8.22% 0.42% -- 0.42% N/A N/A N/A --
1989 1.000 9.69% 12,060 8.62% 0.58% -- 0.58% N/A N/A N/A --
1988 1.000 7.30%(3) 7,156 7.13% 0.60% -- 0.71% N/A N/A N/A --
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-35
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company established as a Massachusetts business trust for the purpose
of providing a vehicle for the investment of assets of various separate accounts
established by Allmerica Financial Life Insurance and Annuity Company, a
wholly-owned subsidiary of First Allmerica Financial Life Insurance Company
("First Allmerica") or other affiliated insurance companies. As of the date of
this report, the Trust offered twelve managed investment portfolios (see Note
9). The accompanying financial statements and financial highlights are those of
the Select Aggressive Growth, Select International Equity, Growth, Equity Index,
Investment Grade Income, Government Bond and Money Market Funds (individually, a
"Portfolio," collectively, the "Portfolios").
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies which are in conformity with generally accepted accounting
principles and consistently followed by the Trust in the preparation of its
financial statements.
Security Valuation: Securities which are traded on a recognized exchange
(including securities traded through the National Market System) are valued at
the last sale price on the securities exchange on which such securities are
primarily traded or, if there were no sales that day, at the mean of the closing
bid and asked price. Over-the-counter securities that are not traded through the
National Market System are valued on the basis of the bid price at the close of
business each day. Short-term investments that mature in 60 days or less are
valued at amortized cost. Corporate debt securities and debt securities of the
U.S. Government and its agencies (other than short-term investments) are valued
by an independent pricing service approved by the Board of Trustees which
utilizes market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. If not valued by a pricing
service, such securities are valued at prices obtained from independent brokers.
Investments with prices that cannot be readily obtained are carried at fair
value as determined in good faith under consistently applied procedures
established by and under the supervision of the Board of Trustees. The
investments of the Money Market Fund are valued utilizing the amortized cost
valuation method permitted in accordance with Rule 2a-7 under the Investment
Company Act of 1940. This method involves valuing a portfolio security initially
at its cost and thereafter assuming a constant amortization to maturity of any
discount or premium.
Forward Foreign Currency Contracts: The Select International Equity Fund may
enter into forward foreign currency contracts whereby the Portfolio agrees to
sell a specific currency at a specific price at a future date in an attempt to
hedge against fluctuations in the value of the underlying currency of certain
portfolio instruments. Forward foreign currency contracts are valued at the
daily exchange rate of the underlying currency with any fluctuations recorded as
unrealized gains or losses. Receivables and payables of forward foreign currency
contracts are presented on a net basis in the Statements of Assets and
Liabilities. Gains or losses on the purchase or sale of forward foreign currency
contracts having the same settlement date and broker are recognized on the date
of offset, otherwise gains and losses are recognized on the settlement date.
Foreign Currency Translation: Investment valuations, other assets and
liabilities denominated in foreign currencies are converted each business day
into U.S. dollars based upon current exchange rates. Purchases and sales of
foreign investments and income and expenses are converted into U.S. dollars
based upon exchange rates prevailing on the respective dates of such
transactions. That portion of unrealized gains or losses on investments due to
fluctuations in foreign currency exchange rates is not separately disclosed.
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
----------------------------------------
F-36
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
accrual basis and consists of interest accrued and, if applicable, discounts
earned on original issue discount bonds, zero coupon bonds, stepped-coupon
bonds and payment in kind bonds, which are accreted. Dividend income is recorded
on the ex-dividend date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio intends to continue to qualify as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains for the tax year ending December 31. In addition, by
distributing during each calendar year substantially all of its net investment
income, capital gains and certain other amounts, if any, each Portfolio will not
be subject to Federal excise tax. Therefore, no Federal income tax provision is
required. Withholding taxes on foreign dividend income and gains have been paid
or provided for in accordance with the applicable country's tax rules and rates.
Paid-in capital, undistributed net investment income and accumulated net
realized gain (loss) have been adjusted in the Statements of Assets and
Liabilities for permanent book-tax differences for all Portfolios with the
exception of the Money Market Portfolio for the year ended December 31, 1997.
Distributions to Shareholders: Dividends from net investment income are declared
and reinvested daily for the Money Market Fund, declared and distributed
quarterly for the Growth, Equity Index, Investment Grade Income, and Government
Bond Funds, and annually for the Select Aggressive Growth and Select
International Equity Funds. All Portfolios declare and distribute all net
realized capital gains, if any, at least annually. The distributions are
recorded on the ex-dividend date. Income and capital gain distributions are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles. These differences are primarily due to
differing book and tax treatments in the timing of the recognition of gains or
losses and forwards, including "Post-October Losses" and permanent differences
due to differing treatments for paydown gains/losses on certain securities,
foreign currency transactions, market discount, non-taxable dividends and losses
deferred due to wash sales. Any taxable income or gain remaining at fiscal year
end is distributed in the following year.
Permanent book-tax differences, if any, are not included in ending undistributed
net investment income for the purpose of calculating net investment income per
share in the Financial Highlights.
Futures Contracts: All Portfolios, except the Money Market Fund, may enter into
futures contracts for the delayed delivery of securities at a fixed price at
some future date or the change in value of a specified financial index over a
predetermined time period. Cash or securities are deposited with brokers in
order to establish and maintain a position. Subsequent payments made or received
by the Portfolio based on the daily change in the market value of the position
are recorded as unrealized gain or loss until the contract is closed out, at
which time the gain or loss is realized.
Organization Costs: Each Portfolio 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.
Security Lending: Each Portfolio may loan securities to certain brokers who pay
the Portfolio negotiated lenders' fees. Collateral must be maintained at a value
at least equal to the value at all times of the securities lent. At December 31,
1997, securities with aggregate value of approximately $42,624,931 were on loan
to brokers for the Select Aggressive Growth Fund. The loans were secured with
cash collateral of $43,514,100, which was subsequently invested in short-term
investments. The related income earned was $13,619, which is included in
interest income for the year ended December 31, 1997.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
- ----------------------------------------
F-37
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
Forward Commitments: The Investment Grade Income Fund and Government Bond Fund
may enter into contracts to purchase securities for a fixed price at a specified
future date beyond customary settlement time ("forward commitments"). If the
Portfolios do so, they will maintain cash or other liquid obligations having a
value in an amount at all times sufficient to meet the purchase price. Forward
commitments involve a risk of loss if the value of the security to be purchased
declines prior to the settlement date. Although the Portfolios generally will
enter into forward commitments with the intention of aquiring securities for
their portfolio, they may dispose of a commitment prior to settlement if their
Sub-Adviser deems it appropriate to do so.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Trust's Investment Adviser has
determined are creditworthy pursuant to guidelines established by the Trust's
Board of Trustees. Each repurchase agreement transaction is recorded at cost.
Each Portfolio requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian in a manner that is intended
to enable the Portfolio to obtain those securities in the event of a
counterparty default. The Investment Adviser monitors the value of the
securities, including accrued interest, daily to ensure that the value of the
collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon the Portfolio's ability to dispose of the underlying securities, and a
possible decline in the value of the underlying securities during the period
while the Portfolio seeks to assert its rights.
3. INVESTMENT ADVISORY, ADMINISTRATION
AND OTHER RELATED PARTY TRANSACTIONS
Allmerica 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, as amended on March 18,
1997 and August 15, 1997, the Portfolios pay a management fee, calculated daily
and payable monthly, at an annual rate based upon the following fee schedules:
<TABLE>
<CAPTION>
Percentage of Average Daily Net Assets
First Next Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $750,000,000
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85% 0.85%
Select International Equity 1.00% 0.90% 0.85% 0.85% 0.85%
Growth 0.60% 0.60% 0.40% 0.35% 0.35%
<CAPTION>
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Equity Index 0.35% 0.30% 0.25%
Government Bond 0.50% 0.50% 0.50%
Money Market 0.35% 0.25% 0.20%
<CAPTION>
First Next Over
Portfolio $50,000,000 $50,000,000 $100,000,000
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Grade Income 0.50% 0.45% 0.40%
</TABLE>
Prior to September 1, 1997, the following Portfolios paid a management fee,
calculated daily and payable monthly, at an annual rate based upon the following
fee schedules:
<TABLE>
<CAPTION>
Percentage of Average Daily Net Assets
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Select Aggressive Growth 1.00% 1.00% 1.00%
Select International Equity 1.00% 1.00% 1.00%
Growth 0.60% 0.50% 0.35%
Investment Grade Income 0.50% 0.35% 0.25%
</TABLE>
----------------------------------------
F-38
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
Amendments to the management agreement were approved by the shareholders of the
applicable funds of the Trust at meetings held on March 18, 1997 and August 15,
1997.
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers. The Sub-Advisers for each of the
Portfolios are as follows:
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Select International Equity Bank of Ireland Asset Management
(U.S.) Limited
Growth Miller Anderson & Sherrerd, LLP
Equity Index Allmerica Asset Management, Inc.
Investment Grade Income Allmerica Asset Management, Inc.
Government Bond Allmerica Asset Management, Inc.
Money Market Allmerica Asset Management, Inc.
At a meeting of shareholders held August 15, 1997, shareholders also approved
amendments to the sub-advisory agreements for Select Agressive Growth Fund.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("Investor Services Group"), a wholly-owned
subsidiary of First Data Corporation, whereby Investor Services Group performs
administrative services for the Portfolios and is entitled to receive an
administrative fee and certain out-of-pocket expenses. The Manager is solely
responsible for the payment of the administration fee to Investor Services
Group. In a separate agreement, Investor Services Group receives separate fees
from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
The Trust pays no salaries or compensation to any of its officers. Trustees who
are not directors, officers, or employees of the Trust or any investment adviser
are reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such amounts
are paid by the Trust.
4. REIMBURSEMENT OF EXPENSES AND WAIVER OF FEES
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, broker commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select International
Equity Fund - 1.50%, Select Aggressive Growth Fund - 1.35%, Growth Fund - 1.20%,
Equity Index Fund - 0.60%, Investment Grade Income Fund - 1.00%, Government Bond
Fund - 1.00% and Money Market Fund - 0.60%), the Manager will voluntarily
reimburse its fees and any expenses in excess of the expense limitations.
Expense limitations may be removed or revised at any time after a Portfolio's
first fiscal year of operations without prior notice to existing shareholders.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of brokerage commissions. Such amounts earned by the
Portfolios, under such agreements, are presented as a reduction of expenses in
the Statements of Operations.
6. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value.
- ----------------------------------------
F-39
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
7. FOREIGN SECURITIES
All Portfolios may purchase securities of foreign issuers. Money Market Fund may
invest in only U.S. dollar denominated foreign securities. Investing in foreign
securities involves special risks not typically associated with investing in
securities of U.S. issuers. The risks include revaluation of currencies and
future adverse political and economic developments. Moreover, securities of many
foreign issuers and their markets may be less liquid and their prices more
volatile than those of securities of comparable U.S. issuers.
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including forward foreign currency
contracts involves risk other than that reflected in the Statements of Assets
and Liabilities. Risks associated with these instruments include the potential
for an imperfect correlation between the movements in the price of the
instruments and the price of the underlying securities and interest rates, an
illiquid secondary market for the instruments or inability of counterparties to
perform under the terms of the contracts, and changes in the value of foreign
currency relative to the U.S. dollar. The Select International Equity Fund enter
into these contracts primarily to protect the Portfolio from adverse currency
movement.
9. SUBSEQUENT EVENT
The Trust recently established two new managed investment portfolios: Select
Emerging Markets Fund and Select Strategic Growth Fund. Schroder Capital
Management International Inc., a wholly-owned subsidiary of Schroders, Plc, will
serve as sub-adviser for the Select Emerging Markets Fund. Cambiar Investors,
Inc., a wholly-owned subsidiary of United Asset Management Corporation, will
serve as sub-adviser for the Select Strategic Growth Fund. The new Portfolios
are expected to commence operations on or about February 20, 1998.
----------------------------------------
F-40
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Shareholders
of Allmerica Investment Trust
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments (except for Moody's Ratings), and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Select Aggressive Growth Fund, Select International Equity Fund, Growth
Fund, Equity Index Fund, Investment Grade Income Fund, Government Bond Fund and
Money Market Fund, (seven of the Portfolios constituting the Allmerica
Investment Trust, hereafter referred to as the "Trust") at December 31, 1997,
and the results of their operations, the changes in their net assets, and the
financial highlights for the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments at December 31, 1997 by
correspondence with the custodian and the application of alternative auditing
procedures where investments purchased were not yet received by the custodian,
provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 11, 1998
- ----------------------------------------
F-41
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS: (Unaudited)
A special meeting of the Trust's shareholders was held on August 15, 1997 in
which they approved twelve proposals. The results were as follows:
Proposal 1 To elect as Trustees the following eight nominees:
- ----------
Shares Shares Percent of
For Withheld Shares Voted
------------- ---------- ------------
Cynthia A. Hargadon 1,938,258,984 31,269,098 100.00%
Gordon Holmes 1,939,243,085 30,284,997 100.00%
John P. Kavanaugh 1,939,797,208 29,730,874 100.00%
Bruce E. Langton 1,937,762,009 31,766,074 100.00%
John F. O'Brien 1,939,501,868 30,026,214 100.00%
Attiat F. Ott 1,938,512,953 31,015,129 100.00%
Richard M. Reilly 1,940,655,029 28,873,054 100.00%
Ranne P. Warner 1,938,603,816 30,924,266 100.00%
Proposal 2 To ratify the selection of Price Waterhouse LLP as independent
- ---------- accountants for the Trust:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
------------- ---------- ---------- ------------
Price Waterhouse LLP 1,905,804,327 16,680,566 47,043,189 100.00%
Proposal 3 To amend the management fee schedules in the Management Agreement
- ---------- between Allmerica Investment Management Company, Inc. and Allmerica
Investment Trust for the Funds below:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- ---------- ---------- ------------
Select Aggressive Growth 210,913,895 5,360,717 7,081,745 100.00%
Select Capital Appreciation 114,202,372 3,265,814 3,442,617 100.00%
Select International Equity 220,386,752 4,564,117 7,695,067 100.00%
Growth 222,195,807 14,056,428 8,369,802 100.00%
Select Growth and Income 227,489,980 5,863,093 8,109,903 100.00%
Select Income 78,873,767 1,233,240 5,176,275 100.00%
Investment Grade Income 142,274,939 7,145,607 4,262,609 100.00%
Proposal 4 To amend the sub-adviser fee schedule in the Sub-Adviser Agreement
- ---------- between Allmerica Investment Management Company, Inc. and
Nicholas-Applegate Capital Management, L.P. relating to the Select
Aggressive Growth Fund:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- --------- ---------- ------------
Select Aggressive Growth 211,648,040 3,985,212 7,723,105 100.00%
Proposal 5 To amend the sub-adviser fee schedule in the Sub-Adviser Agreement
- ---------- between Allmerica Investment Management Company, Inc. and Janus
Capital Corporation relating to the Select Capital Appreciation Fund:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- --------- ---------- ------------
Select Capital Appreciation 114,086,423 3,046,035 3,778,346 100.00%
----------------------------------------
F-42
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
Proposal 6 To approve an arrangement that would permit the Investment Manager of
- ---------- the Trust to enter into and materially amend sub-advisory agreements
with non-affiliated sub-advisers without obtaining shareholder
approval relating to the Funds below:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- ---------- ---------- ------------
Select Aggressive Growth 202,036,453 13,599,240 7,720,664 100.00%
Select Capital Appreciation 109,284,768 7,510,075 4,115,960 100.00%
Select Value Opportunity 79,769,789 7,689,239 2,213,323 100.00%
Select International Equity 209,996,997 14,324,566 8,324,373 100.00%
Select Growth 179,696,429 11,284,076 8,477,958 100.00%
Growth 212,156,478 22,705,825 9,759,733 100.00%
Select Growth and Income 215,564,920 15,676,684 10,221,371 100.00%
Select Income 75,878,564 3,137,643 6,267,075 100.00%
Proposal 7 To change the status of the investment objective of each Fund of the
- ---------- Trust from fundamental to non-fundamental:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- ---------- ---------- ------------
Select Aggressive Growth 199,892,080 15,656,151 7,808,127 100.00%
Select Capital Appreciation 108,482,011 8,778,200 3,650,593 100.00%
Select Value Opportunity 78,734,323 8,501,412 2,436,617 100.00%
Select International Equity 207,396,063 16,754,817 8,495,056 100.00%
Select Growth 176,524,469 14,761,165 8,172,830 100.00%
Growth 207,638,770 27,600,709 9,382,558 100.00%
Equity Index 76,633,944 7,821,946 2,211,602 100.00%
Select Growth and Income 212,516,025 19,542,689 9,404,262 100.00%
Select Income 75,285,571 3,586,410 6,411,300 100.00%
Investment Grade Income 136,062,950 12,797,731 4,822,474 100.00%
Government Bond 38,759,285 4,497,417 1,465,727 100.00%
Money Market 215,353,047 18,194,661 13,495,093 100.00%
Proposal 8 To revise the investment restrictions of each Fund of the Trust to
- ---------- permit the Fund to borrow money for temporary purposes when the
aggregate amount borrowed does not exceed 33 1/3% of the value of the
Fund's total assets at the time such borrow is made:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- ---------- ---------- ------------
Select Aggressive Growth 191,754,480 23,649,250 7,952,627 100.00%
Select Capital Appreciation 102,008,709 14,085,611 4,816,484 100.00%
Select Value Opportunity 74,750,173 12,319,606 2,602,573 100.00%
Select International Equity 198,505,712 24,736,579 9,403,645 100.00%
Select Growth 168,311,152 22,211,984 8,935,328 100.00%
Growth 199,904,328 34,837,588 9,880,121 100.00%
Equity Index 72,418,535 11,777,318 2,471,639 100.00%
Select Growth and Income 203,469,878 26,878,157 11,114,941 100.00%
Select Income 73,158,611 5,875,439 6,249,232 100.00%
Investment Grade Income 131,877,958 17,190,516 4,614,681 100.00%
Government Bond 37,150,526 6,044,470 1,527,433 100.00%
Money Market 202,129,620 30,802,423 14,110,757 100.00%
- ----------------------------------------
F-43
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
Proposal 9 To change the status of the investment restrictions of each fund of
- ---------- the Trust relating to financial futures and related options from
fundamental to non-fundamental:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- ---------- ---------- ------------
Select Aggressive Growth 197,382,652 17,966,640 8,007,066 100.00%
Select Capital Appreciation 107,113,209 9,612,369 4,185,225 100.00%
Select Value Opportunity 78,077,748 8,978,651 2,615,953 100.00%
Select International Equity 205,428,153 18,335,742 8,882,040 100.00%
Select Growth 174,587,490 16,485,541 8,385,432 100.00%
Growth 205,011,067 29,451,137 10,159,833 100.00%
Equity Index 75,341,614 9,159,968 2,165,910 100.00%
Select Growth and Income 210,679,129 20,453,649 10,330,197 100.00%
Select Income 74,957,488 4,092,658 6,233,135 100.00%
Investment Grade Income 135,817,086 13,212,694 4,653,375 100.00%
Government Bond 38,525,164 4,814,161 1,383,104 100.00%
Money Market 212,675,590 20,750,585 13,616,626 100.00%
Proposal 10 To revise the investment policies of the Select Value Opportunity
- ----------- Fund to permit the Fund to engage in financial futures and related
options transactions:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
---------- --------- ---------- ------------
Select Value Opportunity 78,603,876 8,271,306 2,797,170 100.00%
Proposal 11 To change the status of certain investment policies of the Growth
- ----------- Fund relating to the types of securities in which the Fund may
invest and related limitations, if any, from fundamental to non-
fundamental:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- ---------- ---------- ------------
Growth 208,052,803 26,700,986 9,868,247 100.00%
Proposal 12 To revise the investment restrictions of the funds listed below to
- ----------- permit such Funds to invest in securities which are restricted as to
disposition under Federal securities laws:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
----------- ---------- ---------- ------------
Growth 211,745,319 22,642,962 10,233,756 100.00%
Equity Index 76,319,871 7,976,776 2,370,845 100.00%
Investment Grade Income 137,897,454 11,258,361 4,527,340 100.00%
Government Bond 39,298,062 3,968,040 1,456,327 100.00%
Money Market 215,152,360 18,978,223 12,912,217 100.00%
At a special meeting of shareholders of the Select Value Opportunity Fund held
on December 30, 1997, shareholders approved the new Sub-Adviser Agreement
between Allmerica Investment Management Company, Inc. and Cramer Rosenthal
McGlynn, LLC. The results were as follows:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
---------- --------- ---------- ------------
96,229,373 3,268,212 4,051,344 100.00%
----------------------------------------
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ALLMERICA INVESTMENT TRUST
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REGULATORY DISCLOSURES
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The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is neither insured nor guaranteed by the
U.S. Government, and there can be no assurance that the Portfolio will be able
to maintain a stable net asset value of $1.00 per share.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Portfolios and are not authorized
for distribution to prospective investors in the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company unless accompanied
or preceded by effective prospectuses for the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company, Allmerica
Investment Trust, Variable Insurance Products Fund, Variable Insurance Products
Fund II, Delaware Group Premium Fund International Equity Series, and T. Rowe
Price International Stock Portfolio, which include important information related
to charges and expenses.
CLIENT NOTICES
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This annual report includes financial statements for Allmerica Investment Trust.
It does not include financial statements for the separate accounts that
correspond to the Allmerica IRA contracts. Separate account financial statements
will no longer be provided.
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Allmerica IRA
Allmerica Financial is a diversified group of insurance and financial services
companies. Allmerica IRA is issued by First Allmerica Financial Life Insurance
Company. Established in 1844, First Allmerica Financial is the fifth oldest, and
one of the most respected, life insurance companies in the nation. Our financial
expertise, combined with a range of insurance and investment products, allows us
to help you create sound financial solutions to meet your individual needs.
To be preceded or accompanied by the current prospectus. Read it carefully
before investing.
The Allmerica IRA contract is issued by
First Allmerica Financial Life Insurance Company and distributed by
Allmerica Investments, Inc.
[LOGO OF ALLMERICA FINANCIAL(R) APPEARS HERE]
First allmerica Financial Life Insurance Company . Allmerica Financial Life
Insurance and Annuity Company (licensed in all states except NY & HI) Allmerica
Trust Company, N.A. . Allmerica Investments, Inc. . Allmerica Investment
Management Company, Inc. The Hanover Insurance Company . AMGRO, Inc. . Allmerica
Financial Alliance Insurance Company Allmerica Asset Management, Inc. .
Allmerica Financial Benefit Insurance Company . Sterling Risk Management
Services, Inc. Citizens Corporation . Citizens Insurance Company of America .
Citizens Management, Inc.
440 Lincoln Street, Worcester, Massachusetts 01653
