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Allmerica Financial Services
------------------------------------------
June 30, 1998
Semi-Annual Report
[ARTWORK APPEARS HERE]
1998
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Table of Contents
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General Information .................................................. 2
A Letter from the President .......................................... 3
Performance Disclosure ............................................... 4
Domestic & International Equity Market Overview ...................... 6
Select Aggressive Growth Fund ........................................ 8
Select International Equity Fund ..................................... 9
Growth Fund .......................................................... 10
Equity Index Fund .................................................... 11
Bond & Money Market Overview ......................................... 12
Investment Grade Income Fund ......................................... 14
Government Bond Fund ................................................. 15
Money Market Fund .................................................... 16
Financials ........................................................... F-1
See Client Notices on page F-43.
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 semi-annual report of
a Fund which is not available under your policy is not to be considered a
solicitation.
1
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General Information
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OFFICERS OF FIRST ALLMERICA
FINANCIAL LIFE INSURANCE COMPANY
John F. O'Brien, President, CEO
Edward J. Parry, III, Vice President, CFO and Treasurer
Abigail M. Armstrong, Secretary and Counsel
INVESTMENT MANAGER
Allmerica Financial Investment Management Services, Inc.
440 Lincoln Street, Worcester, MA 01653/1/
GENERAL DISTRIBUTOR
Allmerica Investments, Inc.
440 Lincoln Street, Worcester, MA 01653
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
160 Federal Street, Boston, MA 02110
CUSTODIAN
Bankers Trust Company
16 Wall Street, New York, NY 10005
LEGAL COUNSEL
Ropes & Gray
One International Place, Boston, MA 02110
ADMINISTRATOR
First Data Investor Services Group
4400 Computer Drive, Westborough, MA 01581
OFFICERS OF ALLMERICA INVESTMENT TRUST (AIT)
Richard M. Reilly, President
Thomas P. Cunningham, Treasurer
George M. Boyd, Secretary
BOARD OF TRUSTEES OF AIT
John F. O'Brien, Chairman
P. Kevin Condron/2/
Cynthia A. Hargadon/2/
Gordon Holmes/2/
John P. Kavanaugh
Bruce E. Langton/2/
Attiat F. Ott/2/
Richard M. Reilly
Ranne P. Warner/2/
INVESTMENT SUB-ADVISERS
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
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
/1/ Replaced Allmerica Investment Management Company, Inc. as Investment Manager
effective April 16, 1998.
/2/ Independent Trustees
2
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A Letter from the President
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[PHOTO OF
JOHN F. O'BRIEN
APPEARS HERE]
Dear Client:
The first half of 1998 was marked by considerable divergence in the investment
world. European stock markets produced very strong investment returns while
Japan struggled and the emerging markets declined precipitously. The U.S.
exhibited very strong economic growth in the first quarter which led to a
continued rise in our stock market. As signs of slower economic growth developed
in the second quarter, the bond market rallied and long term interest rates
dropped to their lowest level in almost 30 years.
Even as the market continues to advance, many of our managers have noted that it
is being carried by relatively few stocks. For example, during the second
quarter, 14 of the largest stocks increased over 20% while the remaining 486
stocks in the S&P 500(R) actually declined almost 2%. These 14 stocks have an
average P/E ratio of over 42x trailing earnings and are thought to be highly
overvalued by some managers. These kinds of figures help explain the apparent
poor performance of many small- and mid-cap managers as well as those who pursue
a value style of investing.
As investment professionals, we know that markets do not increase forever and
that different investment styles go in and out of favor. That is why we offer a
broad range of investment options and urge you to maintain a widely diversified
portfolio. With this in mind, we continue to look at ways to enhance our manager
line-up while still offering distinct investment options.
In February of this year we introduced two new funds. The Select Emerging
Markets Fund invests in developing countries around the world. While this has
obviously been an underperforming sector of the market over the last six months,
we believe it will be an important longer term addition to the diversity of our
overall portfolio. The Select Strategic Growth Fund invests in stocks of
financially strong companies which have been out of favor but now show signs of
strong growth potential. For more information on these and all of our funds,
please read the market overviews and managers' commentaries found later in this
report.
The Investment Operations Committee continues to conduct its disciplined
quarterly evaluation process. In February 1998, they presented your Board with
an alternative investment manager for the Select Capital Appreciation Fund.
Effective April 1, 1998, T. Rowe Price Associates assumed sub-advisory
responsibility for this fund. This firm brings an outstanding track record of
producing superior returns with relatively low volatility by following a highly
diversified mid-cap growth investment strategy. While replacing a manager is
never easy, the committee and the Trustees of Allmerica Investment Trust
continue to demonstrate that they will make the necessary changes as we seek to
offer you an array of superior investment managers.
Thank you for your business. We will continue to work hard to earn your trust.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
President, CEO
First Allmerica Financial Life Insurance Company
3
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Performance Disclosure
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Allmerica IRA
Average Annual Total Returns as of 6/30/98
Total returns for the 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.
For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 8.
Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
4
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Overview
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Domestic & International Equity Market Overview
- -----------------------------------------------
- ----
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
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markets. Europe turns in strongest performance of international equity markets.
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1996: Despite a volatile marketplace, the U.S. stock market performs well.
- ----
Internationally, European countries post the most impressive gains.
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1997: Robust economic growth, declining interest rates and low unemployment
- ----
produce a third consecutive year of unprecedented gains for the U.S. stock
market.
- ----
1998: Economic problems throughout Asia have drastically different effects on
- ----
both U.S. and international equity markets for the first half of 1998.
Entering 1998, a steady U.S. economy marked by low-to-declining interest rates,
little inflation and strong economic growth boded well for stocks overall.
However, economic problems throughout Asia had drastically different effects on
the market and now Asian markets are beginning to exert a restraining influence
on the U.S. and Europe as well.
During the first six months of 1998, the Asian crisis precipitated a flight to
quality as investors sought safety in big U.S. stocks. While this flight to
quality produced strong returns, especially for those companies with excellent
earnings and very little exposure to Asia, it also caused the market's
performance to become extremely tiered. Only a small number of stocks actually
earned sizable returns while most were relatively flat or posted losses. In
fact, during the second quarter, only a handful of stocks accounted for 100% of
the gain in S&P 500(R) Index.
The flight to quality also caused large-cap stocks to clearly beat out their
small- and mid-cap counterparts as investors sought out consistent earnings and
highly liquid stocks. Curiously, investors held fast to their large-cap bias
even in the face of rising valuations, as the average stock price rose to nearly
30 times company earnings.
But not all large caps stocks benefited. Performance was specifically
concentrated in the growth- oriented arena as different indices produced vastly
different results. The Russell 1000 Growth Index, for example, outperformed the
Russell 1000 Value Index 20.4% to 12.2%, respectively.
Sector performance was also mixed for the first part of 1998. Motor Vehicles was
a top performer as U.S. auto sales sped to record highs. Auto stocks also
benefited from corporate restructuring initiatives as Ford Motor Company,
spun-off Associates First Capital Corp., and Chrysler agreed
[TIME LINE APPEARS HERE]
A steady economy marked Declining commodity
by low interest rates prices in oil, copper [GRAPHIC
and strong economic growth and coffee cause APPEARS
bodes well for stocks. emerging markets of HERE]
Latin America to suffer.
1998 JAN FEB MAR
- --------------------------------------------------------------------------------
[GRAPHIC Uncertain about the U.S. manufacturing
APPEARS effects of the Asian suffers due to
HERE] crisis, the Federal decreased demand
Reserve adopts a wait from Asia.
and see approach to
interest rates.
6
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Domestic & International Equity Market Overview
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to merge with Daimler Benz. PC manufacturers also benefited as corporate
spending both in the U.S. and Europe appeared to be on the rise.
But the economic turmoil in Asia also decreased the overall demand for U.S.
goods and services. This lower demand seemed to cause other sectors of the
market, particularly manufacturing, to suffer as the National Association of
Purchasing Management Index fell below 50 for the first time since 1996.
Separately, Energy Services, which was hurt by a drop in oil prices, also lost
ground.
International equity markets produced divergent results with developed markets
faring better than emerging markets. Europe, for instance, remained fairly
immune from the Asia crisis as it moved closer to monetary union. With key
European economies adopting stronger fiscal measures and companies embracing
U.S.-style efficiencies, a bull market is developing in many countries.
The Mediterranean region in particular generated strong results, although some
investors avoided Italy and Portugal where concerns about local inflation
surfaced. Overall, Germany and France led the pack in Europe as they both showed
signs of continued economic recovery. And the U.K. stock market performed well
as steady growth continued -- in the absence of inflation.
In contrast, the markets of Asia continued to struggle for the first six months
of the year. In Japan, a range of problems plagued the economy. While the stock
market started the year optimistically, decreasing demand for Japanese exports
from Pacific Basin countries, rising unemployment, growing corporate
bankruptcies and worsening banking problems, all drove the market lower by the
end of the second quarter.
But while the financial problems in this corner of the world were certainly
damaging, not all economies were affected equally. China, for example,
experienced a slowdown, but its currency along with the Hong Kong dollar
remained stable during the first half of the year.
Simultaneously with Asia's problems, Latin America had a rough time as well. Not
only has this part of the world felt the effects of the flight to quality by
foreign investors, but declining commodity prices in oil, coffee and copper have
particularly hurt the economies of Mexico, Brazil, Columbia and Chile.
Heading into the second half of 1998, low inflation, low interest rates and
generally sound economies bode well for U.S. and European equity markets.
At the same time, investors are worried about slower earnings growth in the U.S.
and the effects the financial turmoil in the Far East will have throughout the
world.
[TIME LINE APPEARS HERE]
Many European [GRAPHIC Auto stocks fare
stock markets APPEARS well from corporate
benefit from a HERE] restructuring.
developing bull
market.
APR MAY JUN
- --------------------------------------------------------------------------------
[GRAPHIC Large-cap U.S. growth [GRAPHIC Investors remain
APPEARS stocks benefit from APPEARS cautious about the
HERE] the flight to quality HERE] effect the financial
due to renewed turmoil in Asia will
concerns in Asian have throughout the
markets. world.
7
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Select Aggressive Growth Fund
- -----------------------------
Posting a return of 16.27% for the six-month period ended June 30, 1998, the
Select Aggressive Growth Fund outperformed the 5.66% return of the Russell
2500 Index for the same period.
Superior stock selection in the financial services and technology sectors
boosted Fund results during the first half of the year. Finance companies, in
particular, benefited from credit-quality stabilization, a direct result of
slower bankruptcy rates.
Holdings within the technology sector, specifically PC manufacturers, started to
benefit from corporate spending primarily in the U.S. and Europe. The focus on
building information technology infrastructure to maintain and enhance global
competitiveness in general spurred growth.
The Fund's exposure to stocks within the health care services, consumer services
and insurance services sectors also benefited overall performance. Holdings
within these sectors that exhibited strong performance included HBO & Co. and
Equitable Companies, Inc.
The Fund is currently overweighted in four sectors: consumer non-durables
(apparel), consumer durables (home furnishings), retail (clothing chains) and
technology (software and telecommunications).
For the remainder of the year, the managers' outlook is quite optimistic. While
the Asian financial crisis will be a source of ongoing negative earnings
surprises, U.S. economic fundamentals remain strong. Low inflation, moderate
growth and high employment rates continue to provide a favorable backdrop -- and
bode well for stocks of those companies which can produce consistent earnings
results.
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.
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Portfolio Composition
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As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
Computers and
Software 17%
Technology 12%
Consumer Products 10%
Retail 9%
Finance 8%
Durable Goods 8%
Capital Goods 6%
Health Services 4%
Consumer Service 4%
Other 22%
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Average Annual Total Returns
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Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 29.31% 18.49% 20.85%
Russell 2500 Index 18.10% 17.31% 18.90%
Lipper Capital Appreciation Fund Average 22.12% 16.02% 17.22%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[Line Graph appears here]
Select Aggressive Russell 2500
Date Growth Fund Index
8/92 $10,000 $10,000
6/98 $30,288 $27,532
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2,500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Fund Average is a non-
weighted index of 263 funds within the capital appreciation investment
objective. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
8
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--------------------------------
Select International Equity Fund
--------------------------------
For the six-month period ended June 30, 1998, the Select International Equity
Fund returned 18.43% outpacing the 16.08% return of the Morgan Stanley EAFE
Index for the same period.
Continuing their upward momentum of the past two years, European financial
stocks again served as the linchpins of a strong equity market. The Fund's
financial holdings, such as Banco de Santander, were standout performers, driven
by low interest rates, the prospects of ongoing economic recovery and bank
consolidations.
Stocks benefiting from worldwide growth in telecommunications were the largest
contributors to the Fund's positive performance. Germany's Mannesmann led the
charge of telecomm-related stocks, as increasing earnings and massive expansion
of its customer base propelled results. U.K. holding, Vodafone, also benefited
from the increasing worldwide use of cellular phone technology.
Good news also came from stocks which represented the leading
consumer franchises sector in the portfolio. Nestle, the world's largest food
maker, rose as sales increased and recent acquisitions showed the potential for
further cost-savings. Cadbury Schweppes also continued solid performance. Its
recent acquisitions of two bottlers in the U.S. promise increased control over
its distribution in key markets. Health care issues, such as Zeneca, and
insurance holding, Swiss Reinsurance also contributed favorably to results.
Most of the portfolio's negative contributions came from stocks exposed to Asia
and selected holdings in Mexico.
Looking ahead, the Fund managers remain focused on European
companies, particularly in the telecom, pharmaceutical and financial sectors, as
they believe these issues should prove to benefit the Fund.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select International Equity Fund 14.30% NA 14.30%
Morgan Stanley EAFE Index 06.38% 10.34% 08.50%
Lipper International Fund Average 08.19% 12.22% 09.36%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1994
- --------------------------------------------------------------------------------
[Line Graph appears here]
Date Select International Equity Fund Morgan Stanley EAFE Index
5/94 $10,000 $10,000
6/98 $17,448 $14,048
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 576 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
Investment Sub-Adviser
Bank of Ireland Asset Management (U.S.) Limited
About the Fund
Seeks maximum long-term total return by investing in established non-U.S.
companies based on fundamental value and strong opportunities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the country allocation of net assets was:
[GRAPH APPEARS HERE]
United Kingdom 29%
Switzerland 13%
Japan 13%
Netherlands 10%
Germany 9%
France 6%
Australia 5%
Cash Equivalents 6%
Other 9%
9
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Growth Fund
- --------------
Posting a total return of 14.90% for the six-month period ended June 30, 1998,
the Growth Fund underperformed the 17.72% return of the S&P 500(R) Index for the
same period.
For the first half of 1998, the 50 largest stocks in the S&P 500(R) Index again
outperformed the market by a significant margin. While this Fund owned 20 of the
50 largest, negative earnings revisions and poor values scores forced the
managers to avoid the others.
Also, negatively impacting Fund performance were several stock selection and
sector allocation decisions. The poorest stock selections for the portfolio
crossed several industries. Retail stocks such as CompUSA and Office Depot
missed their earnings targets, amid concerns of overvaluation for the sector.
Oil drilling services firms, particularly ENSCO International and Nabors
Industries, were hurt by pessimistic energy announcements. But most of the
underperformance came from the Fund's exposure to tobacco companies,
specifically Philip Morris, RJR Nabisco Holdings and Loews Corporation. Below-
market allocation and individual stock selection in health care also hurt
overall results. Positive contributors to the Fund included Ford Motor Company,
the single largest contributor with a 38% second quarter return, and Chrysler,
which did well due to the takeover offer by Daimler Benz. Telephone services
companies, such as MCI and WorldCom, and technology stocks, such as Microsoft,
also aided performance.
The portfolio remains diversified across all economic sectors of the market an
retains both growth and value characteristics. Although the market is currently
tilted toward growth, the managers have adopted a slight bias toward value
stocks.
Investment Sub-Adviser
Miller Anderson & Sherrers, LLP
About the Fund
Seeks long-term growth of capital by investing in stocks that are believed
to represent significant potential for capital appreciation.
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Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
Durable Goods 21%
Finance 16%
Chemicals and Drugs 11%
Technology 8%
Consumer Products 7%
Energy 7%
Computer Equipment & Technology 4%
Consumer Staples 4%
Retail 4%
Other 18%
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Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Growth Fund 22.68% 19.37% 16.59%
S&P 500(R) Index 30.17% 23.06% 18.54%
Lipper Growth Fund Average 25.39% 18.91% 16.13%
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Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[Line Graph appears here]
Date Growth Fund S&P 500(R) Index
6/88 $10,000 $10,000
6/98 $46,428 $54,791
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 1068 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
10
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Equity Index Fund
- -------------------------------------------------------------------------------
For the six-month period ended June 30, 1998, the Equity Index Fund returned
17.40%, slightly less than the 17.72% return of the S&P 500(R) Index for the
same period.
For the first half of 1998, the stock market was preoccupied with the continuing
financial crisis in Asia. In fact, a decline in U.S. exports to that part of the
world possibly caused the National Association of Purchasing Management index to
fall below 50 for the first time since 1996.
Economic indicators for the first half of this year also signaled a lack of
domestic inflation, although market participants remained concerned about growth
in the manufacturing sector.
The two highest performing industries within the S&P 500(R) Index were Motor
Vehicles and Business Machines which posted returns of 44% and 40.5%,
respectively. Within the Motor Vehicles sector, U.S. auto sales buoyed results,
as this group experienced record high sales. Shares of Ford and Chrysler, for
example, finished the half year mark as the top performers in this group with
returns in excess of 60%.
Within the Business Machines industry, shares of Dell Computer and Unisys Corp
each generated returns of more than 100%.
Entering the third quarter, the market remains focused on the current situation
in Asia and its potential impact on corporate profits. With inventories building
and manufacturing slowing, the Fund managers expect slower economic growth as
they continue to adhere to the Fund's investment objective to replicate returns
of the S&P 500(R) Index.
- -------------------------------------------------------------------------------
Average Annual Total Returns
- -------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Equity Index Fund 29.51% 22.24% 20.78%
S&P 500(R) Index 30.17% 23.06% 21.51%
Lipper S&P 500(R) Index Fund Average 29.39% 22.55% 21.04%
- -------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1990
- -------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Inception Date
9/90 6/98
Equity Index Fund $ 10,000 $ 43,228
*** S&P 500(R) Index $ 10,000 $ 45,248
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 is a non-weighted index of 94 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.
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Seeks to replicate the returns of the S&P 500(R) Index.
- -------------------------------------------------------------------------------
Portfolio Composition
- -------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
Finance 18%
Durable Goods 16%
Chemicals and Drugs 14%
Technology 10%
Consumer Products 9%
Energy 7%
Utilities 7%
Consumer Staples 7%
Retail 5%
Other 7%
11
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- -------------------------------------------------------------------------------
Bond Money Market Overview
- -------------------------------------------------------------------------------
1993: U.S. economy gains momentum. Consumer spending and installment debt
increase.
1994: Federal Reserve Board raises interest rates six times in an effort to slow
down the economy and keep inflation in check, sending bond prices sharply lower.
1995: U.S. bond market enjoys its third best performance in 30 years, thanks to
strong total returns from 30-year U.S. Treasuries and corporate issues.
1996: Outlook for Federal Reserve policy affects U.S. bond market.
Long-predicted interest rate cuts, which would have fueled this market, never
occur.
1997: Low inflation and declining interest rates fuel the bond market, which
enjoys its best returns since 1995.
1998: Performance of the U.S. bond market is significantly affected by the
turmoil in Asia for the first half of 1998.
In much the same fashion as the equity market, the performance of the U.S. bond
market was significantly affected by the turmoil in Asia during the first half
of 1998. Given this backdrop, some sectors of the market fared well, while
others struggled.
Starting off on a positive note, the U.S. economy appeared strong with Gross
Domestic Product (GDP) rising nearly 5.4% in the first quarter. Low inflation,
favorable credit conditions and higher equity valuations all drove this strong
economic growth and price stability. As growth continued, fixed income investors
grew nervous and anticipated that the Federal Reserve would raise interest rates
to ward off inflation.
But, as Asia's markets grew weaker, growth in the U.S. slowed. So, the Federal
Reserve adopted a "wait and see" approach regarding any moves toward tightening
or relaxing monetary policy.
Bond investors, on the other hand, quickly reacted to these developments.
Initially content, they worried that the economy was growing too fast only to
gain comfort from the slowing effect of the Asian crisis. Their concerns drove
interest rates which rose during the first quarter only to fall to new lows
during the second quarter.
Corporate credit issues also went on a roller coaster ride. The volatility in
foreign exchanges and global markets, caused a flight to quality preference for
U.S. Treasuries. Coupled with concerns about future growth of the U.S. economy
and the expected level of corporate profits, corporate bond spreads widened
causing investment grade corporates to lag comparable duration Treasuries by 24
basis points for the first six months of the year. Although spreads initially
narrowed from their levels in January, they reversed course again in June,
[TIME LINE APPEARS HERE]
Ongoing financial crisis in Asia causes a flight to quality for both stock and
bond investors.
[GRAPHIC APPEARS HERE]
Long-term U.S. Treasuries deliver their best performance in years as investors
favor their inherent safety.
[GRAPHIC APPEARS HERE]
Uncertain about the potential effects of the Asian crisis on the U.S., the
Federal Reserve adopts a wait and see approach to changing interest rates.
12
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- -------------------------------------------------------------------------------
Bond & Money Market Overview
- -------------------------------------------------------------------------------
widening to levels not seen in six years. Surprisingly, the actual credit
quality of U.S. issuers remained at its best level in years, as ratings upgrades
outpaced downgrades in the market, unlike previous periods of under performance
in this sector.
The yield on the 30-year bond fell to 5.62%, its lowest level in decades. But it
fell only modestly for shorter term issues. Overall, Treasuries outperformed
selected fixed income instruments and contributed to the overall 3.93% gain in
the market as measured by the Lehman Aggregate Bond Index.
Despite a poor showing in the second quarter, the high yield market remained the
best-performing fixed income sector for the first half of 1998. As with
investment grade corporate bonds, high yield issues suffered during the second
quarter in part from the renewed uncertainty surrounding emerging markets as
well as from the diminished flows of cash into high yield bond funds.
The significant declines in long-term interest rates had a major impact on the
mortgage market. With some of the lowest rates in years, homeowners refinanced
in record numbers, causing prepayments on mortgage-backed securities to
increase, adversely affecting their returns.
Entering the second half of 1998, solid fundamentals remain firmly in place for
the U.S. bond market. As investors continue to watch for signs of recovery in
Asia, the Federal Reserve is likely to maintain its neutral monetary policy.
Given this scenario, the outlook for Treasuries and highly rated corporates
should remain particularly favorable.
[GRAPHIC APPEARS HERE]
Mortgage-backed securities lose ground amid record mortgage refinancing.
[GRAPHIC APPEARS HERE]
Investors continue to watch for signs of recovery in Asia, causing the outlook
for U.S. Treasuries to remain favorable.
Investors flight to quality benefits highly rated corporate bonds.
[GRAPHIC APPEARS HERE]
High-yield issues suffer due to renewed uncertainty in the emerging markets.
13
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Investment Grade Income fund
- -------------------------------------------------------------------------------
For the six-month period ended June 30, 1998, the Investment Grade Income Fund
posted a 3.96% return versus 3.92% for the Lehman Brothers Aggregate Bond Index
for the same period.
For the first half of 1998, the bond market posted solid returns as interest
rates declined and the economy stayed strong. U.S. Treasuries performed strongly
as investors sought high-quality investments. Investment grade corporates lagged
comparable duration Treasuries, as spreads widened due to credit concerns from
the Asian turmoil. Mortgage-backed securities (MBS) were particularly weak, as
consumers refinanced mortgages.
The Fund benefited from its heavy concentration in the media sector. Although
corporate spreads in general widened, selected media issues benefited from
positive credit developments. For example, the record-breaking merger between
TCI and AT&T prompted yield spreads to narrow for TCI paper on the expectations
that a ratings upgrade from BBB to A would result.
The managers' decision to increase exposure to domestic banks also benefited the
Fund. Specifically, they sold issues of Banco Santander and Merita to buy Chase
Manhattan and BankBoston. While the Fund's strategy has emphasized regional
banks for some time, the new purchases take advantage of an ongoing trend toward
large bank mergers.
The Fund managers are concerned about low interest rates and the implied
volatility for MBS in the near term. Given this, they have a neutral position in
MBS while looking for opportunities in an out of favor sector. The principal
overweighting is in corporate bonds where fundamental credit-quality remains
strong despite concerns about Asia.
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
The Fund's objective is to generate a high level of total return, by investing
in highly diversified, investment grade, fixed-income securities.
- -------------------------------------------------------------------------------
Portfolio Composition
- -------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
U.S. Government and
Agency Obligations 48%
Corporate Notes
and Bonds 36%
Asset-Backed Securities 15%
Other 1%
- -------------------------------------------------------------------------------
Average Annual Total Returns
- -------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Investment Grade Income Fund 10.25% 6.61% 9.06%
Lehman Brothers Aggregate Bond Index 10.54% 6.88% 9.07%
Lipper Intermediate Investment 9.42% 6.12% 8.30%
Grade Fund Average
- -------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- -------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Investment Grade Income Fund Lehman Brothers Aggregate Bond Index
6/88 $10,000 $10,000
6/98 $23,794 $23,817
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 investment grade rating at least one year to maturity and an
outstanding par value of at least $100 million. The Lipper Intermediate
Investment Grade Fund Average tracks the performance of 239 funds investing in
intermediate-term corporate and government debt securities. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
14
<PAGE>
- -------------------------------------------------------------------------------
Government Bond Fund
- -------------------------------------------------------------------------------
For the first half of 1998, the Government Bond Fund provided a total return of
3.20% for the six-month period ended June 30, 1998, slightly less than the 3.39%
return of the Lehman Intermediate Government Bond Index for the same period.
Spurred by a federal budget surplus, the Southeast Asian economic crisis and
still-favorable inflation, a dramatic bond market rally marked the first half of
1998. This favorable economic position plus increasing demand for high-quality
bonds caused the benchmark 30-year Treasury bond to decline by 31 basis points.
The managers responded by increasing the Fund's exposure to agency bonds and
mortgage-backed securities. Because spreads on agencies, in particular, have
widened, lower prices have resulted -- making them more attractive alternatives
to Treasuries than at any time in the last two years.
Next, the managers chose to marginally increase holdings of mortgage-backed
securities over year-end levels. At the same time, though, they've taken steps
to reduce overall exposure to potential refinancing activity by homeowners by
investing in lower coupon securities.
Going forward, the Fund managers plan to continue investing in higher spread
instruments to generate greater income potential for investors. Given the good
news that is already reflected in bond prices, the managers are keeping a
neutral duration in the Fund relative to the benchmark. They recognize that
there is a slim possibility that the Federal Reserve could raise interest rates
in response to accelerating inflation and strong domestic growth -- and are
therefore comfortable with a neutral interest rate position.
- -------------------------------------------------------------------------------
Average Annual Total Returns
- -------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Government Bond Fund 7.81% 5.44% 6.86%
Lehman Intermediate Government Bond Index 8.38% 5.91% 7.18%
Lipper Short-Intermediate 7.00% 5.11% 6.37%
U.S. Government Fund Average
- -------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1991
- -------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Government Bond Fund Lehman Intermediate Government Bond Index
8/91 $10,000 $10,000
8/98 $15,757 $16,064
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 104 funds existing 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.
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Generates high income while seeking to preserve capital and maintain liquidity
by investing in debt instruments issued or guaranteed by the U.S. Government or
its agencies.
- -------------------------------------------------------------------------------
Portfolio Composition
- -------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
U.S. Government
Agency Obligations 45%
U.S. Government
Notes and Bonds 41%
Asset-Backed Securities 11%
Other 3%
15
<PAGE>
- -------------------------------------------------------------------------------
Money Market Fund
- -------------------------------------------------------------------------------
The Money Market Fund reported a total return of 2.74% for the six-month period
ended June 30, 1998. That compared to the 2.48% return of the IBC/Donoghue First
Tier Money Market Index for the same period.
As 1998 began, concerns surfaced that an overheating economy could prompt the
Federal Reserve to raise interest rates. But as the Asian currency crisis spread
and foreign demand slowed, a decline in both durable goods orders and the
National Association of Purchasing Managers Index, indicated that inflationary
pressure remained subdued -- and no action was taken by the Fed.
Given this economic environment, the Money Market Fund continued to focus on its
three primary objectives of preserving capital, maintaining liquidity and
earning attractive current income during the first half of this year. The
managers overweighted the Fund's allocation to commercial paper and were
successful in identifying a number of attractively valued securities.
Entering the second half of 1998, the Fund managers anticipate that the Federal
Reserve will maintain its neutral monetary policy.
Given this scenario, they will continue to emphasize commercial paper holdings
and short-medium term notes in the portfolio as corporate fundamentals remain
positive. They also plan to gain maximum liquidity by using a combination of
agency securities and repurchase agreements without sacrificing yield for the
Fund.
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Strives to maximize current income for investors while preserving capital and
liquidity.
- -------------------------------------------------------------------------------
Portfolio Composition
- -------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
Corporate Notes and Bonds 32%
Commercial Paper 48%
Cash Equivalents 17%
Other 3%
- -------------------------------------------------------------------------------
Average Annual Total Returns
- -------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Money Market Fund 5.57% 4.97% 5.74%
IBC/Donoghue First Tier
Money Market Index 5.07% 4.57% 5.36%
Lipper Money Market Fund Average 4.96% 4.54% 5.34%
- -------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- -------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Money Market Fund IBC/Donoghue First Tier Money Market Index
6/88 $10,000 $10,000
6/98 $17,477 $16,862
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
The Fund is neither insured nor guaranteed by the U.S. government. There can be
no assurance that the Fund will be able to maintain its net asset value of $1.00
per share.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
IBC/Donoghue is an independent firm that tracks 2a-7 regulated money market
funds on a yield, shareholder, asset size and portfolio allocation basis. The
Lipper Money Market Fund Average is the average investment performance of 310
funds within the Money Market category. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
16
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 98.43%
Computers and Software - 16.79%
267,900 Apple Computer, Inc.* $ 7,685,381
176,800 Autodesk Inc. 6,828,900
244,800 BMC Software, Inc.* 12,714,300
253,600 Cadence Design Systems, Inc.* 7,925,000
168,800 Citrix Systems, Inc.* 11,541,700
178,900 Computer Task Group 5,993,150
162,100 Compuware Corp. 8,287,363
104,400 Comverse Technology, Inc.* 5,415,750
154,100 Dell Computer Corp.* 14,302,406
181,100 Information Management Resources 6,123,444
267,000 Learning Company, Inc.* 7,909,875
205,100 Paychex Inc. 8,345,006
212,000 PeopleSoft, Inc.* 9,964,000
118,300 Pomeroy Computer Resources, Inc. 3,083,194
290,478 Siebel Systems, Inc.* 9,367,916
------------
125,487,385
------------
Technology - 11.77%
169,800 Applied Power, Inc. 5,836,875
182,200 Avid Technology, Inc.* 6,103,700
445,200 DSP Communications* 6,121,500
164,400 EMC Corp.* 7,367,175
87,500 Microsoft Corp.* 9,482,813
177,336 Network Associates, Inc.* 8,489,961
298,000 Premisys Communications, Inc.* 7,412,750
351,200 Unisys Corp.* 9,921,400
202,100 Veritas DGC, Inc.* 7,788,550
130,900 VISX Inc.* 10,092,369
59,300 Yahoo!, Inc.* 9,339,750
------------
87,956,843
------------
Consumer Products - 10.29%
199,350 American Eagle Outfitters* 7,687,434
442,600 Burlington Industries. Inc.* 6,224,063
468,200 Best Buy Co., Inc.* 16,913,725
250,100 Intimate Brands, Inc. 6,893,381
139,800 Maytag Corp. 6,902,625
219,900 Nautica Enterprises, Inc.* 5,896,069
350,000 Safeskin Corp.* 14,393,750
90,800 Timberland Co. Class A* 6,531,925
249,700 Wolverline Worldwide Inc. 5,415,369
------------
76,858,341
------------
Retail - 8.83%
170,500 Costco Cos., Inc.* 10,752,156
290,700 Fingerhut Cos., Inc. 9,593,100
167,100 Fleming Cos., Inc. 2,934,694
248,200 Jones Apparel Group, Inc.* 9,074,813
113,300 Michaels Stores, Inc.* 3,997,366
364,200 Pier 1 Imports, Inc. 8,695,275
262,000 Ross Stores, Inc. 11,266,000
400,800 TJX Cos., Inc. 9,669,300
------------
65,982,704
------------
Finance - 8.43%
228,600 AmeriCredit Corp. 8,158,163
141,370 Bear Stearns Cos., Inc. 8,040,419
135,100 Capital One Financial Corp. 16,777,731
106,300 Equitable Cos., Inc. 7,965,856
132,900 Financial Security Assurance 7,807,875
219,300 Fidelity National Financial, Inc. 8,730,881
150,900 Mutual Risk Management, Ltd.* 5,498,419
------------
62,979,344
------------
Durable Goods - 8.36%
100,300 Arvin Industries, Inc. 3,642,144
137,700 Caterpillar, Inc. 7,280,888
282,000 CIBER, Inc.* 10,716,000
131,300 Dana Corp. 7,024,550
64,600 Federal-Mogul Corp. 4,360,500
152,700 Ingersoll-Rand Co. 6,728,344
40,900 Johnson Controls, Inc. 2,333,856
130,200 Ladd Furniture, Inc. 3,906,000
123,700 Tellabs, Inc.* 8,860,013
383,000 Varco International, Inc.* 7,588,188
------------
62,440,483
------------
Capital Goods - 5.57%
183,700 Fleetwood Enterprises 7,348,000
103,700 Manitowoc Inc. 4,186,888
190,400 McDermott International, Inc. 6,556,900
54,400 NACCO Industries, Inc., Class A 7,031,200
283,800 Navistar International Corp.* 8,194,725
82,500 Precision Castparts, Inc. 4,403,438
94,800 Trinity Industries, Inc. 3,934,200
------------
41,655,351
------------
Health Services - 4.45%
150,200 Allegiance Corp. 7,697,750
226,800 General Nutrition Cos., Inc.* 7,059,150
319,000 HBO & Co. 11,244,750
192,600 Integrated Health Services, Inc. 7,222,500
------------
33,224,150
------------
Consumer Service - 3.71%
218,100 AccuStaff, Inc.* 6,815,625
268,500 ACNielson Corp.* 6,779,625
268,600 FileNet Corp.* 7,755,825
192,000 Harte-Hanks, Inc. 4,956,000
26,100 Robert Half International, Inc.* 1,458,338
------------
27,765,413
------------
Chemicals and Drugs - 3.52%
129,200 Cooper Cos., Inc.* 4,707,724
247,300 Lyondell Petrochemical Co. 7,527,193
154,900 Medicis Pharmaceutical Corp., Class A* 5,653,850
171,200 Quintiles Transnational Corp.* 8,420,900
------------
26,309,667
------------
See Notes to Financial Statements.
- ------------------------------------------------------------------
F-1
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Electronics - 3.33%
300,700 Inter-Tel Inc. $ 4,811,200
58,100 Linear Technology Corp. 3,504,156
86,400 Sanmina Corp.* 3,747,600
80,000 Thomas & Betts Corp. 3,940,000
288,000 Vitesse Semiconductor Corp.* 8,892,000
------------
24,894,956
------------
Transportation Services - 2.29%
241,200 Airborne Freight Corp. 8,426,925
244,000 Hunt (J.B.) Transport Services, Inc. 8,692,500
------------
17,119,425
------------
Real Estate - 2.23%
284,000 Lennar Corp. 8,378,000
276,000 Pulte Corp. 8,245,500
------------
16,623,500
------------
Metals and Mining - 2.15%
613,300 Bethlehem Steel Corp.* 7,627,919
165,900 Fluor Corp. 8,460,900
------------
16,088,819
------------
Consumer Staples - 2.08%
209,800 Danaher Corp.* 7,697,037
235,500 Interstate Bakeries Corp. 7,815,655
------------
15,512,692
------------
Aerospace-Airlines - 1.94%
59,000 Continental Airlines, Inc., Class B* 3,591,624
85,300 Northwest Airlines Corp., Class A* 3,289,381
82,000 United Technologies Corp. 7,585,000
------------
14,466,005
------------
Food Services - 1.87%
355,500 Brinker International, Inc. 6,843,374
454,500 Buffets, Inc. 7,129,968
------------
13,973,342
------------
Recreational Equipment - 0.82%
78,500 Anchor Gaming* $ 6,093,563
------------
Total Common Stocks 735,431,983
(Cost $563,594,887) ------------
Par Value
COMMERCIAL PAPER (A) - 2.00%
$14,929,000 Merrill Lynch, Pierce, Fenner and Smith
6.10%, 07/01/98 14,929,000
------------
Total Commercial Paper 14,929,000
Cost ($14,929,000) ------------
Shares
INVESTMENT COMPANIES - 0.07%
3,953 ILA Prime Obligation Money Market
Fund 3,953
550,870 ILA Prime Obligation Portfolio Fund,
Class B 550,870
------------
Total Investment Companies 554,823
(Cost $554,823) ------------
Total Investments - 100.50% 750,915,806
(Cost $579,078,710) ------------
Net Other Assets and Liabilities - (0.50)% (3,728,569)
------------
Net Assets - 100.00% $747,187,237
============
- ----------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $579,078,710. Net unrealized appreciation (depreciation) aggregated
$171,837,096 of which $196,225,708 related to appreciated investment securities
and $(24,388,612) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $397,042,028
and $361,074,789 of non-governmental issuers, respectively.
At June 30, 1998, the value of the securities loaned and the value of collateral
amounted to $109,045,807 and $109,199,150, respectively.
See Notes to Financial Statements.
-----------------------------------------------------------------
F-2
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 93.74%
Australia - 4.58%
656,320 National Australia Bank, Ltd. $ 8,677,849
1,373,000 News Corp., Ltd. 11,233,182
1,062,800 Telstra Corp. 2,731,296
------------
22,642,327
------------
Canada - 0.52%
42,550 Royal Bank of Canada 2,558,985
------------
Denmark - 0.46%
23,770 Tele Danmark 2,283,747
------------
France - 6.13%
29,211 Alcatel Alsthom 5,947,820
44,240 Axa 4,975,966
57,180 Michelin, Class B 4,061,670
16,570 Total SA, Class B 9,159,188
28,845 Vivendi 6,159,567
------------
30,304,211
------------
Germany - 8.91%
2,799 Bayerische Motoren Werke (BMW) AG 2,826,787
63,580 Bayerische Motoren Werke (BMW) AG (New) 835,032
63,580 Bayerische Vereinsbank AG 5,412,639
124,595 Hoechst AG 6,225,949
183,650 Mannesmann AG 18,649,168
99,220 Veba AG 6,768,377
4,873 Viag AG 3,297,133
------------
44,015,085
------------
Hong Kong - 1.04%
210,600 HSBC Holdings 5,150,839
------------
Ireland - 0.13%
218,900 Smurfit (Jefferson) Group 651,268
------------
Italy - 2.00%
365,835 ENI 2,398,750
1,015,900 Telecom Italia 7,481,667
------------
9,880,417
------------
Japan - 12.77%
523,000 Canon, Inc. 11,914,733
233,000 Dai Nippon Printing Co., Ltd. 3,732,516
202,000 Honda Motor Co., Ltd. 7,216,894
281,000 Kao Corp. 4,349,027
22,700 Keyence Corp. 2,478,990
107,000 Murata Manufacturing Co., Ltd. 3,482,317
44,000 Rohm Co., Ltd. 4,534,606
264,000 Shiseido Co., Ltd. 3,009,069
146,200 Sony Corp. 12,635,351
365,000 Takeda Chemical Industries, Ltd. 9,740,725
------------
63,094,228
------------
Malaysia - 0.22%
349,000 Hume Industries, Berhad 262,365
1,181,200 Sime-Darby, Berhad 813,983
------------
1,076,348
------------
Mexico - 0.31%
811,700 Grupo Financiero Banamex, Series B* 1,537,492
------------
Netherlands - 9.60%
181,762 ABN-Amro Holdings 4,256,449
283,495 Elsevier, NV 4,281,749
314,292 ING Groep, NV 20,595,624
91,525 Kloninklijke Ahold NV 2,940,291
129,160 Kloninklijke KPN NV 4,975,391
69,650 Kloninklijke Numico NV 2,182,720
88,380 Royal Dutch Petroleum 4,904,565
129,160 TNT Post Group NV* 3,304,219
------------
47,441,008
------------
Philippines - 0.20%
748,130 San Miguel, Class B 986,742
------------
Portugal - 0.31%
64,542 Electricidade De Portugal 1,501,318
------------
Singapore - 2.04%
673,000 City Developments, Ltd. 1,885,199
822,900 Development Bank of Singapore 4,566,240
436,600 Fraser and Neave, Ltd., Ord 1,176,358
367,233 Singapore Press 2,462,748
------------
10,090,545
------------
Spain - 1.80%
315,620 Banco De Santander 8,078,308
17,350 Telefonica 802,162
------------
8,880,470
------------
Switzerland - 13.04%
3,772 Alusuisse Lonza Holdings, REGD 4,792,530
6,849 Nestle SA 14,681,275
8,971 Novartis AG 14,952,654
656 Roche Holdings AG 6,452,566
5,779 Schweiz Ruckverisch, REGD 14,639,268
23,860 UBS AG, REGD 8,886,641
------------
64,404,934
------------
Thailand - 0.29%
1,155,000 Bangkok Bank Public Co., Ltd. 1,423,223
------------
United Kingdom - 29.39%
471,050 Barclays Bank, Plc 13,590,930
1,285,150 B.A.T. Industries, Plc 12,874,889
517,000 Cable & Wireless, Plc 6,284,350
360,030 Cadbury Schweppes, Plc 5,575,593
666,040 Diageo, Plc 7,895,817
381,050 Glaxo Wellcome, Plc 11,445,943
See Notes to Financial Statements.
- -------------------------------------------------------------
F-3
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
United Kingdom (continued)
541,850 Granada Group, Plc $ 9,970,091
209,360 Kingfisher, Plc 3,373,335
821,650 Ladbroke Group, Plc 4,513,581
728,650 Lloyds TSB Group, Plc 10,201,416
124,460 National Westminster, Plc 2,225,654
753,900 Prudential Corp., Plc 9,938,122
588,300 Safeway, Plc 3,855,467
212,900 Scottish Power, Plc 1,866,265
1,128,550 Shell Transportation & Trading, Plc 7,951,914
379,700 Siebe, Plc 7,588,801
545,750 TI Group, Plc 4,146,136
905,650 Vodafone Group, Plc 11,500,005
242,650 Zeneca Group Ord 10,420,527
------------
145,218,836
------------
Total Common Stocks 463,142,023
(Cost $367,118,184) ------------
PREFERRED STOCK - 0.22%
153,835 News Corp., Ltd. (Australia) $ 1,092,441
------------
Total Preferred Stock 1,092,441
(Cost $632,568) ------------
INVESTMENT COMPANIES - 6.22%
7,499,118 Federated Investors 7,499,118
10,217,477 ILA Prime Obligation Portfolio Fund,
Class B 10,217,477
13,015,168 SSgA Prime Money Market Fund 13,015,168
------------
Total Investment Companies 30,731,763
(Cost $30,731,763) ------------
Total Investments - 100.18% 494,966,227
(Cost $398,482,515) ------------
Net Other Assets and Liabilities - (0.18)% (887,549)
------------
Net Assets - 100.00% $494,078,678
============
- ----------------------------------------
* Non income producing security.
- ----------------------------------------------------------------------------
Industry Concentration of Common and Preferred Stocks
- -----------------------------------------------------
as Percentage of Net Assets:
----------------------------
Finance 16.54%
Chemicals and Drugs 14.96
Banking 9.10
Telecommunications 8.24
Durable Goods 7.34
Electronics 5.05
Consumer Goods and Services 4.98
Energy 4.66
Food and Beverage 4.39
Business Services 3.02
Transportation 2.97
Utilities 2.80
Tobacco 2.61
Publishing 2.12
Basic Materials 1.98
Retail 1.28
Agriculture 1.01
Leisure and Entertainment 0.91
------
Total 93.96%
======
See Notes to Financial Statements.
F-4
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
----------- ------------ ---------- ------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
20,142,000 CHF 07/07/98 $ 13,308,614 $ 13,290,883 $ (17,731)
7,542,000 CHF 07/31/98 4,996,569 5,114,607 118,038
7,208,000 CHF 08/13/98 4,781,425 4,935,296 153,871
10,865,000 DEM 07/17/98 6,031,886 6,065,427 33,541
7,690,000 DEM 09/25/98 4,287,217 4,315,085 27,868
3,594,000 GBP 07/27/98 5,991,917 5,968,376 (23,541)
697,645,000 JPY 07/13/98 5,054,751 5,432,103 377,352
669,603,000 JPY 08/18/98 4,878,569 5,049,796 171,227
647,730,000 JPY 08/28/98 4,725,985 4,765,524 39,539
665,622,000 JPY 09/16/98 4,869,934 4,671,033 (198,901)
------------ ------------ ------------
$ 58,926,867 $ 59,608,130 $ 681,263
============ ============ ============
</TABLE>
- ----------------------------------------
CHF Swiss Francs
DEM Deutsche Marks
GBP British Pounds
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $398,482,515. Net unrealized appreciation (depreciation) aggregated
$96,483,712, of which $126,550,124 related to appreciated investment securities
and $(30,066,412) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $78,209,900
and $64,956,814 of non-governmental issuers, respectively.
At June 30, 1998, the value of the securities loaned and the value of collateral
amounted to $31,307,212 and $32,910,960, respectively.
See Notes to Financial Statements.
- -------------------------------------------------------------
F-5
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 94.08%
Durable Goods - 21.22%
10,700 Advanced Fibre Communications, Inc.* $ 428,670
136,200 Ameritech Corp. 6,111,975
14,500 Arrow Electronics, Inc.* 315,375
13,100 Arterial Vascular Engineer, Inc.* 468,325
10,900 At Home Corp.* 515,706
11,700 Bell Atlantic Corp. 533,812
209,700 BMC Software, Inc.* 10,891,294
6,400 Broadcom Corp., Class A* 471,200
339,000 Case Corp. 16,356,750
8,400 Caterpillar, Inc. 444,150
11,400 Cellular Communication International,
Inc.* 568,575
61,900 CIENA Corp.* 4,309,788
17,000 Computer Horizons Corp.* 630,062
8,800 Compuware Corp.* 449,900
231,700 Cummins Engine Co., Inc. 11,874,625
3,800 Eaton Corp. 295,450
397,100 Ford Motor Co. 23,428,900
268,800 General Motors Corp. 17,959,200
32,836 Globalstar Telecommunication* 886,572
107,500 Goodyear Tire & Rubber Co. 6,927,010
10,700 Heftel Broadcasting Corp., Class A* 478,825
7,400 Iridium World Commns, Ltd.* 393,588
7,600 Kennametal, Inc. 317,300
5,300 Level 3 Communications, Inc.* 392,200
61,900 Lockheed Martin Corp. 6,553,662
130,600 LucasVarity Plc, ADR 5,199,512
19,800 Mapics, Inc.* 389,812
193,100 MCI Communications Corp. 11,223,938
11,000 Nextlink Communications, Class A* 416,625
75,300 Northern Telecom, Ltd. 4,273,275
42,600 Orange, Plc* 451,671
21,100 Paging Network, Inc.* 295,400
11,950 Parker-Hannifin Corp. 455,595
65,100 PPG Industries, Inc. 4,528,520
22,561 Qwest Communications International,
Inc.* 786,827
14 Raytheon Co., Class A* 807
186,800 SBC Communications 7,472,000
113,200 Sprint Corp. 7,980,600
8,600 Standard Register Co. 304,225
21,400 Stratus Computer, Inc.* 543,025
8,200 Tecumseh Products Co., Class A 433,062
85,900 Tellabs, Inc.* 6,152,588
65,600 Textron, Inc. 4,702,700
7,300 Uniphase Corp.* 458,302
7,900 United Video Satellite Group I* 313,038
16,100 Western Wireless Corp., CIass A* 320,994
200,689 WorldCom, Inc.* 9,720,872
------------
178,426,302
------------
Finance - 15.51%
70,890 Allstate Corp. $ 6,490,866
117,700 Ambac, Inc. 6,885,450
42,100 American Express Co. 4,799,400
10,100 American General Corp. 718,994
4,000 AMVESCAP Plc, Sponsored ADR* 196,500
15,100 AON Corp. 1,060,775
11 Associates First Capital Corp. 875
9,900 Banc One Corp. 552,544
24,600 BankAmerica Corp. 2,126,363
109,200 BankBoston Corp. 6,074,250
41,000 Bear Stearns Cos., Inc. 2,331,875
153,400 Chase Manhattan Corp. 11,581,700
3,600 Chubb Corp. 289,350
13,700 CIGNA Corp. 945,300
62,100 Citicorp 9,268,425
2,500 Crestar Financial Corp. 136,406
207,100 Everest Reinsurance Holdings, Inc. 7,960,406
88,400 EXEL, Ltd. 6,878,625
9,400 Finova Group (The), Inc. 532,275
161,980 First Union Corp. 9,435,335
61,300 Green Tree Financial Corp. 2,624,406
109,600 Hartford Financial Services Group,
Inc. 12,535,500
198,400 Lincare Holding, Inc.* 8,345,200
112,800 NationsBank Corp. 8,629,200
18,350 Old Republic International Corp. 537,884
7,400 Providian Financial Corp. 581,362
11,300 Reliastar Financial Corp. 542,400
9,200 Republic New York Corp. 579,025
15,899 Security Capital Industrial Trust,
REIT* 397,475
21,900 Sirrom Capital Corp. 569,400
181,250 SLM Holding Corp. 8,881,250
6,100 State Street Corp. 423,950
13,600 Tel-Save Holdings, Inc.* 200,600
6,100 TransAtlantic Holdings, Inc. 471,605
150,800 Travelers Property and Casualty Group,
Class A 6,465,550
8,900 Washington Mutual Savings Bank 386,595
------------
130,437,116
------------
Chemicals and Drugs - 10.78%
123,500 Air Products & Chemicals, Inc. 4,940,000
156,300 American Home Products Corp. 8,088,525
155,400 Baxter International, Inc. 8,362,462
16,300 Beckman Coulter, Inc. 949,475
58,480 Bristol-Myers Squibb Co. 6,721,545
12,900 Cabot Corp. 416,831
5,300 Dow Chemical Co. 512,445
110,700 Du Pont (E.I.) DeNemours & Co. 8,260,988
102,100 FMC Corp.* 6,961,945
227,300 Grace (W.R.) & Co.* 3,878,306
8,000 Great Lakes Chemical Corp. 315,500
15,200 HBO & Co. 535,800
178,730 Health Management Associates, Inc.* 5,976,284
167,100 HEALTHSOUTH Corp.* 4,459,481
7,800 Lauder (Estee) Co., Inc. 543,563
8,100 Lubrizol Corp. 252,113
16,800 Mallinckrodt, Inc. 498,750
See Notes to Financial Statements.
- ------------------------------------------------------------
F-6
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Chemicals and Drugs (continued)
17,900 Maxicare Health Plans, Inc.* $ 120,825
53,300 Merck & Co, Inc. 7,128,875
64,300 Mylan Labs 1,933,019
2,500 Octel Corp.* 49,688
82,900 Praxair 3,880,756
9,600 Rexall Sundown, Inc.* 338,400
52,400 Rohm & Haas Co. 5,446,325
168,300 Solutia, Inc. 4,828,106
168,900 Tenet Healthcare Corp.* 5,278,125
------------
90,678,132
------------
Technology - 7.87%
10,200 Accelr8 Technology Corp.* 124,950
94,600 Airtouch Communications, Inc. 5,528,188
15,100 Apple Computer, Inc.* 433,181
111,100 Compaq Computer Corp. 3,152,463
10,200 Computer Sciences Corp.* 652,800
112,700 Intel Corp. 8,353,888
8,400 Intermedia Communications, Inc.* 352,275
7,000 Linear Technology Corp. 422,188
176,000 Micron Technology, Inc.* 4,367,000
295,500 Microsoft Corp.* 32,024,813
207,268 Networks Associates, Inc.* 9,922,956
26,300 Rational Software* 401,075
8,200 Sapient Corp.* 432,550
------------
66,168,327
------------
Energy - 7.12%
3,300 Anadarko Petroleum Co. 221,719
60,900 Atlantic Richfield Co. 4,757,813
91,400 British Petroleum Co. Plc, Sponsored
ADR 8,066,050
6,100 Burlington Resources, Inc. 262,681
127,300 Coastal Corp. 8,887,131
62,250 Columbia Energy Group 3,462,656
49,400 Diamond Offshore Drilling, Inc. 1,976,000
54,700 EEX Corp.* 512,813
9,300 McDermott (J. Ray) SA* 385,950
57,600 Mobil Corp. 4,413,600
199,400 Nabors Industries, Inc.* 3,950,613
18,500 Ocean Energy, Inc.* 361,906
123,500 Phillips Petroleum Co. 5,951,156
56,900 Schlumberger Ltd. 3,886,981
66,100 Texaco, Inc. 3,945,344
14,100 Ultramar Diamond Shamrock Corp. 445,031
115,700 USX-Marathon Group 3,969,956
146,900 YPF Sociedad Anonima, Class D,
Sponsored ADR 4,416,181
------------
59,873,581
------------
Consumer Products - 6.80%
124,800 Anheuser- Busch Cos., Inc. 5,889,000
100,400 Applied Materials, Inc.* 2,961,800
8,600 Beringer Wine Estates, Class B* 378,938
71,400 Bowater, Inc.* 3,373,650
8,500 Cablevision Systems Corp., Class A* 709,750
12,400 Cintas Corp. 632,400
69,600 Clear Channel Communications, Inc.* 7,595,100
105,900 Coca-Cola Entrerprises, Inc. 4,156,575
243,300 CompUSA, Inc.* 4,394,606
127,200 Dial Corp. 3,299,250
15,700 Dillards, Inc., Class A 650,569
10,400 Friendly Ice Cream Corp.* 175,500
12,300 GEAC Computer Corp., Ltd.* 409,848
23,500 Imax Corp.* 536,094
14,000 IMC Global, Inc. 421,750
9,700 Jacor Communications, Inc.* 572,300
17,600 Metro-Goldwyn-Mayer, Inc.* 387,200
248,600 Office Depot, Inc.* 7,846,438
102,000 PepsiCo, Inc. 4,201,125
11,800 Russell Corp. 356,213
7,400 TRW, Inc. 404,225
10,600 Tupperware Corp. 298,125
173,400 York International Corp. 7,553,738
------------
57,204,194
------------
Retail - 4.23%
18,700 Borders Group, Inc.* 691,900
76,800 Consolidated Stores Corp.* 2,784,000
247,400 CVS Corp. 9,633,138
20,200 Federated Department Store* 1,087,013
7,000 K & G Men's Center, Inc.* 158,375
14,100 Koninklijke Ahold NV, Sponsored ADR 451,200
104,100 Polo Ralph Lauren Corp.* 2,914,800
113,700 Ross Stores 4,889,100
16,400 Sears Roebuck & Co. 1,001,425
21,800 Toys `R' Us, Inc.* 513,663
22,600 Venator Group, Inc.* 432,225
181,700 Wal-Mart Stores, Inc. 11,038,275
------------
35,595,114
------------
Computer Equipment and Technology - 3.83%
29,750 3Com Corp.* 912,953
13,000 Burr Brown Corp.* 273,000
117,250 Cisco Systems, Inc.* 10,794,328
147,900 General Instrument Corp.* 4,021,030
129,900 Harnischfeger Industries, Inc. 3,677,794
65,700 International Business Machines Corp. 7,543,180
49,000 Xerox Corp. 4,979,625
------------
32,201,910
------------
Consumer Staples - 3.70%
10,500 Danaher Corp. 385,219
89,400 General Mills, Inc. 6,112,725
16,000 IBP, Inc. 290,000
417,900 Philip Morris Cos., Inc. 16,454,812
289,500 RJR Nabisco Holdings Corp. 6,875,625
6,600 Springs Industries, Inc. 304,425
14,100 VF Corp. 725,269
------------
31,148,075
------------
See Notes to Financial Statements.
- ------------------------------------------------------------
F-7
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Building and Construction - 2.98%
125,800 Aeroquip-Vickers, Inc. $ 7,343,575
78,400 Champion International Corp. 3,856,300
118,200 Loews Corp. 10,298,175
87,300 Owens Corning 3,562,930
1 Sealed Air Corp.* 37
------------
25,061,017
------------
Broadcasting - 2.41%
10,250 Comcast Corp., Special, Class A 416,085
4,100 Scripps (E.W.), Class A 224,730
206,262 Tele-Communication, Inc., Class A* 7,928,195
177,948 Tele-Communications, Inc., TCI Group* 3,570,082
199,427 Tele-Com Liberty Media Group,
Series A* 7,740,260
10,300 Univision Communications, Inc.* 383,675
------------
20,263,027
------------
Aerospace-Airlines - 2.10%
56,500 AMR Corp.* 4,703,625
7,800 Gulfstream Aerospace Corp.* 362,700
5,900 Orbital Sciences Corp. 220,513
133,900 United Technologies Corp. 12,385,750
------------
17,672,588
------------
Business Services - 1.72%
22,350 Concord EFS, Inc.* 583,894
13,500 Diamond Tech Partners, Inc.* 408,375
15,275 FiServ, Inc.* 648,710
29,700 Olsten Corp. 332,269
6,000 Republic Services, Inc., Class A* 144,000
16,400 Stewart Enterprises, Inc., Class A 436,650
14,000 Servicemaster Co. 532,875
11,600 USA Waste Services, Inc.* 572,750
308,200 Waste Management, Inc. 10,787,000
------------
14,446,523
------------
Consumer Services - 1.08%
190,700 Service Corp. International 8,176,263
21,700 United Rentals, Inc.* 911,400
------------
9,087,663
------------
Utilities - 0.89%
243,500 Allied Waste Industries, Inc.* 5,844,000
9,700 American Disposal Services, Inc.* 454,688
5,162 Duke Power Co. 305,846
11,000 Entergy Corp. 316,250
15,000 GPU, Inc. 567,188
------------
7,487,972
------------
Electronics - 0.52%
4,600 AvNet, Inc.* 251,563
21,500 Onix Systems, Inc.* 276,813
86,500 SCI Systems, Inc.* 3,254,563
16,250 Tektronix, Inc. 574,844
------------
4,357,783
------------
Metals and Mining - 0.33%
16,300 Inland Steel Industries, Inc. $ 459,456
103,500 R & B Falcon Corp.* 2,341,688
------------
2,801,144
------------
Entertainment - 0.30%
21,700 AMF Bowling, Inc.* 629,300
28,300 Cinar Films, Inc. Sub Voting Shares* 551,850
8,000 Premier Parks, Inc.* 530,000
6,100 SFX Entertainment, Inc., Class A* 279,838
13,500 Trans World Entertaiment Co.* 582,188
------------
2,573,176
------------
Health Services - 0.29%
42,200 ColumbiaHCA Healthcare Corp. 1,229,075
24,750 Foundation Health Systems* 652,780
22,700 Orthodontic Centers of America* 475,280
10,500 Vencor, Inc.* 76,125
------------
2,433,260
------------
Transportation - 0.15%
9,100 CSX Corp. 414,050
6,700 Delta Air Lines, Inc. 865,975
------------
1,280,025
------------
Food Service - 0.10%
10,100 Aurora Foods, Inc.* 213,362
6,300 Earthgrains Co.* 352,012
5,300 Suiza Foods Corp.* 316,344
------------
881,718
------------
Advertising - 0.07%
19,013 Outdoor Systems, Inc.* 532,350
2,800 Young & Rubicam, Inc.* 89,600
------------
621,950
------------
Printing and Publishing - 0.03%
10,400 Mail-Well, Inc.* 225,550
------------
Paper and Plastic - 0.03%
22,200 Earthshell Corp.* 216,450
------------
Real Estate - 0.02%
10,500 Ventas, Inc.* 145,031
------------
Total Common Stocks 791,287,628
(Cost $618,884,762) ------------
PREFERED STOCKS - 2.09%
337,500 Loral Space & Communication* 9,534,375
285,800 News Corp., Ltd., Sponsored ADR 8,073,850
1 Sealed Air Corp. 21
------------
Total Prefered Stocks 17,608,246
(Cost $13,959,488) ------------
See Notes to Financial Statements.
F-8
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 0.89%
$2,500,000 Asset Backed Capital, Ltd., MTN
5.68%, 09/23/98 $ 2,499,750
1,500,000 Heller Financial, Inc., Series G, MTN
5.98%, 09/03/99 1,500,621
2,000,000 Paine Webber Group, Inc., Series C, Senior MTN
5.76% 03/10/99 2,001,116
1,500,000 NationsBank of North America
5.87%, 06/21/99 1,499,820
------------
Total Corporate Notes and Bonds 7,501,307
(Cost $7,499,384) ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.60%
U.S. Treasury Note - 0.30%
1,000,000 6.88%, 07/31/99 1,013,750
60,000 5.88%, 08/31/99 60,206
1,300,000 6.00%, 08/15/00 1,312,188
175,000 5.75%, 08/15/03 176,859
------------
2,563,003
------------
Federal Home Loan Bank - 0.30%
2,500,000 6.07%, 01/17/01 2,494,620
------------
Total U.S. Government and
Agency Obligations 5,057,623
(Cost $5,053,336) ------------
ASSET-BACKED SECURITES - 0.47%
1,576,031 Green Tree Lease Finance, Llc, Series 1997-1, Class A1
5.91%, 01/20/99 1,577,197
370,751 WFS Financial Owner Trust, Series 1997-1, Class A2
5.71%, 09/20/98 370,811
2,000,000 WFS Financial Owner Trust, Series 1998-B, Class A1
5.66%, 07/20/99 2,000,000
------------
Total Asset-Backed Securities 3,948,008
(Cost $3,946,782) ------------
COMMERICAL PAPER (A) - 1.76%
$6,800,000 BBL North America
6.32%, 07/01/98 $ 6,800,000
2,054,000 Budget Funding
5.60%, 07/08/98 2,051,763
4,000,000 Donaldson, Lufkin & Jenrette
5.66%, 08/12/98 3,973,587
2,000,000 Paine Webber Group, Inc.
5.62%, 08/18/98 1,985,013
------------
Total Commercial Paper 14,810,363
(Cost $14,810,363) ------------
Shares
- ------
INVESTMENT COMPANY - 0.01%
8,092 SSgA Prime Money Market Fund 8,092
------------
Total Investment Company 8,092
(Cost $8,092) ------------
Total Investments - 99.90% 840,221,267
(Cost $664,162,207) ------------
Net Other Assets and Liabilities - 0.10% 836,094
------------
Net Assets - 100.00% $841,057,361
============
- ---------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
MTN Medium Term Note
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $664,162,207. Net unrealized appreciation (depreciation) aggregated
$176,059,060, of which $201,349,039 related to appreciated investment securities
and ($25,289,979) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $5,864,170.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $341,057,622
and $306,906,476 of non-governmental issuers, respectively, and $8,580,750 and
$20,510,864 of U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
- ----------------------------------------------------------------
F-9
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- -------------------------------------------------------------------------------
COMMON STOCKS - 98.98%
Finance - 17.88%
6,385 Aetna, Inc. $ 486,058
4,800 Ahmanson (H.F.) & Co. 340,800
18,569 Allstate Corp. 1,700,224
20,000 American Express Co. 2,280,000
10,917 American General Corp. 777,154
30,200 American International Group, Inc. 4,409,200
7,300 AON Corp. 512,825
14,895 Associates First Capital Corp. 1,145,021
30,284 Banc One Corp. 1,690,226
16,300 Bank of New York Co., Inc. 989,206
29,904 BankAmerica Corp. 2,584,827
12,600 BankBoston Corp. 700,875
4,300 Bankers Trust New York Corp. 499,069
6,200 BB&T Corp. 419,275
1,081 Bear Stearns Cos., Inc. 61,482
2,400 Beneficial Corp. 367,650
1,979 Capital One Financial Corp. 245,767
36,352 Chase Manhattan Corp. 2,744,576
7,400 Chubb Corp. 594,775
9,500 CIGNA Corp. 655,500
7,000 Cincinnati Financial Corp. 268,625
19,800 Citicorp 2,955,150
6,850 Comerica, Inc. 453,813
8,100 Conseco, Inc. 378,675
4,700 Countrywide Credit Industries, Inc. 238,525
30,000 Federal Home Loan Mortgage Corp. 1,411,875
45,800 Federal National Mortgage Association 2,782,350
10,075 Fifth Third Bancorp 634,725
12,558 First Chicago NBD Corp. 1,112,953
41,696 First Union Corp. 2,428,792
11,855 Fleet Financial Group, Inc. 989,893
10,830 Franklin Resources Inc. 584,820
3,500 General Re Corp. 887,250
2,500 Golden West Financial Corp. 265,781
5,900 Green Tree Financial Corp. 252,594
5,100 Hartford Financial Services Group, Inc 583,313
13,900 Household International, Inc. 691,525
7,000 Humana, Inc. 218,313
8,100 Huntington Bancshares, Inc. 271,350
4,500 Jefferson-Pilot Corp. 260,719
18,800 KeyCorp 669,750
4,400 Lehman Brothers Holdings Inc. 341,275
4,400 Lincoln National Corp. 402,050
10,950 Marsh & McLennan Cos., Inc. 661,791
4,200 MBIA, Inc. 314,475
21,612 MBNA Corp. 713,196
10,900 Mellon Bank Corp. 758,913
5,600 Mercantile Bankorp Inc. 282,100
14,400 Merrill Lynch & Co., Inc. 1,328,400
4,900 MGIC Investment Corp. 279,606
25,617 Morgan Stanley, Dean Witter, Discover 2,340,753
7,700 Morgan (J.P.) & Co., Inc. 901,863
14,200 National City Corp. 1,008,200
40,462 NationsBank Corp. 3,095,343
2,000 NICOR, Inc. 80,250
4,900 Northern Trust Corp. 373,625
32,500 Norwest Corp. 1,214,688
13,100 PNC Bank Corp. 704,944
3,100 Progressive Corp. 437,100
4,100 Providian Financial Corp. 322,106
4,800 Republic New York Corp. 302,100
6,000 SAFECO Corp. 272,625
11,300 Schwab (Charles) Corp. 367,250
7,357 SLM Holding Corp. 360,493
6,900 State Street Corp. 479,550
10,000 St. Paul Cos., Inc. 420,625
7,500 Summit Bankcorp 356,250
4,000 Sun Co., Inc. 155,250
8,450 SunAmerica, Inc. 485,347
9,200 SunTrust Banks, Inc. 748,075
11,300 Synovus Financial Corp. 268,375
6,100 Torchmark Corp. 279,075
2,800 TransAmerica Corp. 322,350
49,360 Travelers Group, Inc. 2,992,450
5,900 UNUM Corp. 327,450
7,900 UST, Inc. 213,300
31,650 U.S. Bancorp 1,360,950
9,000 Wachovia Corp. 760,500
16,675 Washington Mutual, Inc. 724,320
3,733 Wells Fargo & Co. 1,377,477
------------
69,679,791
------------
Durable Goods - 15.50%
3,000 Adobe Systems, Inc. 127,313
24,200 AlliedSignal, Inc. 1,073,875
7,800 Alltel Corp. 362,700
47,100 Ameritech Corp. 2,113,613
9,400 AMP, Inc. 323,125
1,800 Armstrong World Industries, Inc. 121,275
4,500 Avery-Dennison Corp. 241,875
7,300 Baker Hughes, Inc. 252,306
9,300 Bay Networks, Inc.* 299,925
43,038 Boeing Co. 1,917,881
3,300 Case Corp. 159,225
16,000 Caterpillar, Inc. 846,000
30,500 CBS Corp. 968,375
28,000 Chrysler Corp. 1,578,500
5,300 Cooper Industries, Inc. 291,169
3,200 Cooper Tire & Rubber Co. 66,000
1,900 Crane Co. 92,269
1,700 Cummins Engine Co., Inc. 87,125
4,600 Dana Corp. 246,100
10,800 Deere & Co. 571,050
28,200 Dell Computer Corp.* 2,617,313
8,350 Dominion Resources, Inc. 340,263
4,900 DSC Communications Corp.* 147,000
3,200 Eaton Corp. 248,800
2,700 Echlin, Inc. 132,469
1,900 EG & G, Inc. 57,000
19,200 Emerson Electric Co. 1,158,000
1,600 Fleetwood Enterprises, Inc. 64,000
51,800 Ford Motor Co. 3,056,200
See Notes to Financial Statements.
----------------------------------------------------------------
F-10
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Durable Goods (continued)
6,900 Frontier Corp. $ 217,350
6,630 Gateway 2000* 335,644
141,000 General Electric Co. 12,831,000
6,300 General Instrument Corp.* 171,281
30,600 General Motors Corp. 2,044,463
1,900 General Signal Corp. 68,400
7,650 Genuine Parts Co. 264,403
3,000 Goodrich (B.F.) Co. 148,875
6,800 Goodyear Tire & Rubber Co. 438,175
4,200 Grainger (W.W.), Inc. 209,213
3,400 Harris Corp. 151,938
2,000 Helmerich & Payne, Inc. 44,500
44,800 Hewlett-Packard Co. 2,682,400
10,800 Illinois Tool Works, Inc. 720,225
7,200 Ingersoll-Rand Co. 317,250
70,600 Intel Corp. 5,233,225
3,600 Johnson Controls, Inc. 205,425
3,600 Kla-Tencor Corp.* 99,675
8,441 Lockheed Martin Corp. 893,691
2,600 McDermott International, Inc. 89,538
30,100 MCI Communications Corporation 1,749,563
1,900 Millipore Corp. 51,775
3,700 Moore Corp., Ltd. 49,025
25,800 Motorola, Inc. 1,356,113
1,900 National Service Industries, Inc. 96,663
22,400 Northern Telecom, Ltd. 1,271,200
2,900 Northrop Grumman Corp. 299,063
3,380 PACCAR, Inc. 176,605
5,200 Pall Corp. 106,600
4,775 Parker-Hannifin Corp. 182,047
2,600 Pep Boys-Manny, Moe & Jack 49,238
2,100 Perkin-Elmer Corp. 130,594
10,500 Pioneer Hi-Bred International, Inc. 434,438
3,600 Raychem Corp. 106,425
14,700 Raytheon Co., Class B* 869,138
8,700 Rockwell International Corp. 418,144
3,700 Rowan Cos., Inc.* 71,919
3,300 Ryder System, Inc. 104,156
3,400 Scientific-Atlanta, Inc. 86,275
18,600 Sprint Corp. 1,311,300
4,400 Tandy Corp. 233,475
7,800 Tellabs, Inc.* 558,675
16,800 Texas Instruments, Inc. 979,650
7,100 Textron, Inc. 508,981
6,800 Thermo Electron Corp.* 232,475
10,700 Union Pacific Corp. 472,138
4,000 US Airways Group, Inc.* 317,000
14,000 Xerox Corp. 1,422,750
------------
60,372,842
------------
Chemicals and Drugs - 13.68%
65,800 Abbott Laboratories 2,689,575
10,200 Air Products & Chemicals, Inc. 408,000
2,300 Alberto-Culver Co., Class B 66,700
2,800 Allergan, Inc. 129,850
3,600 ALZA Corp.* 155,700
56,000 American Home Products Corp. 2,898,000
11,300 AMGEN, Inc.* 738,738
5,800 Avon Products, Inc. 449,500
2,300 Bausch & Lomb, Inc. 115,288
12,000 Baxter International, Inc. 645,750
5,300 Becton Dickinson & Co. 411,413
8,300 Boston Scientific Corp.* 594,488
43,000 Bristol-Myers Squibb Co. 4,942,313
4,800 Cardinal Health, Inc. 450,000
12,800 Colgate Palmolive Co. 1,126,400
9,800 Dow Chemical Co. 947,538
48,800 duPont (E.I.) deNemours & Co. 3,641,700
3,400 Eastman Chemical Co. 211,650
6,050 Engelhard Corp. 122,513
1,600 FMC Corp.* 109,100
3,000 Grace (W.R.) & Co.* 51,188
2,600 Great Lakes Chemical Corp. 102,538
6,600 Guidant Corp. 470,663
4,100 Hercules, Inc. 168,613
4,600 International Flavors & Fragrances, Inc. 199,813
58,000 Johnson & Johnson Co. 4,277,500
47,900 Lilly (Eli) & Co. 3,164,394
3,000 Mallinckrodt, Inc. 89,063
20,300 Medtronic, Inc. 1,294,125
51,800 Merck & Co., Inc. 6,928,250
25,600 Monsanto Co. 1,430,400
5,500 Morton International, Inc. 137,500
2,800 Nalco Chemical Co. 98,350
55,800 Pfizer, Inc. 6,064,763
21,780 Pharmacia & Upjohn, Inc. 1,004,603
6,700 Praxair, Inc. 313,644
2,700 Rohm & Haas Co. 280,631
31,500 Schering-Plough Corp. 2,886,188
1,200 Shared Medical Systems Corp. 88,125
7,300 Sherwin-Williams Co. 241,813
4,300 Sigma Aldrich Corp. 151,038
3,600 St. Jude Medical, Inc.* 132,525
5,200 Union Carbide Corp. 277,550
3,200 United States Surgical Corp. 146,000
35,300 Warner-Lambert Co. 2,448,938
------------
53,302,431
------------
Technology - 9.78%
15,200 3Com Corp.* 466,450
6,100 Advanced Micro Devices, Inc.* 104,081
24,300 Airtouch Communications, Inc.* 1,420,031
5,600 Apple Computer, Inc. 160,650
8,400 Ascend Communications, Inc.* 416,325
2,000 Autodesk, Inc. 77,250
12,900 Automatic Data Processing, Inc. 940,088
6,800 Cabletron Systems, Inc.* 91,375
3,100 Ceridian Corp.* 182,125
43,900 Cisco Systems, Inc.* 4,041,544
70,557 Compaq Computer Corp. 2,002,055
23,450 Computer Associates International, Inc. 1,302,941
6,800 Computer Sciences Corp.* 435,200
2,000 Data General Corp.* 29,875
21,400 EMC Corp.* 958,988
See Notes to Financial Statements.
- -----------------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Technology (continued)
2,000 Harnischfeger Industries, Inc. $ 56,625
5,600 Honeywell, Inc. 467,950
42,000 International Business Machines Corp. 4,822,125
5,100 ITT Industries, Inc. 190,613
6,100 LSI Logic Corp.* 140,681
56,196 Lucent Technologies, Inc. 4,674,805
9,000 Micron Technology, Inc. 223,313
105,000 Microsoft Corp.* 11,379,321
6,900 National Semiconductor Corp.* 90,994
15,000 Novell, Inc.* 191,250
42,387 Oracle Corp.* 1,041,131
11,000 Parametric Technology Corp.* 298,375
11,800 Pitney Bowes, Inc. 567,875
10,400 Seagate Technology, Inc.* 247,650
7,900 Silicon Graphics, Inc.* 95,788
16,300 Sun Microsystems, Inc.* 708,031
10,600 Unisys Corp.* 299,450
------------
38,124,955
------------
Consumer Products - 8.78%
3,100 American Greetings Corp., Class A 157,906
3,800 Andrew Corporatrion* 68,638
21,200 Anheuser-Busch Cos., Inc. 1,000,375
15,600 Applied Materials, Inc.* 460,200
24,543 Archer-Daniels-Midland Co. 475,521
1,200 Ball Corp. 48,225
2,200 Bemis Co., Inc. 89,925
2,400 Boise Cascade Corp. 78,600
2,900 Brown-Forman Corp., Class B * 186,325
19,700 Campbell Soup Co. 1,046,563
5,300 Clear Channel Communications, Inc. 578,363
20,400 ConAgra, Inc. 646,425
9,900 Corning, Inc. 344,025
5,500 Crown Cork & Seal Co., Inc. 261,250
3,500 Deluxe Corp. 125,344
4,800 Dillard's, Inc., Class A 198,900
29,143 Disney (Walt) Co. 3,061,836
6,300 Donnelley (R.R.) & Sons Co. 288,225
4,200 Dow Jones & Co., Inc. 234,150
7,300 Dun & Bradstreet Corp.* 263,713
14,100 Eastman Kodak Co. 1,030,181
9,000 Fort James Corp. 400,500
12,200 Gannett Co., Inc. 866,963
3,900 Georgia-Pacific Corp, 229,856
11,300 Halliburton Co. 503,556
5,700 Hasbro, Inc. 224,081
15,700 Heinz (H.J.) Co. 881,163
6,200 Hershey Foods Corp. 427,800
5,800 Ikon Office Solutions, Inc. 84,463
13,000 International Paper Co. 559,000
17,700 Kellogg Co. 664,856
23,840 Kimberly-Clark Corp. 1,093,660
3,000 King World Productions, Inc.* 76,500
3,400 Knight-Ridder, Inc. 187,213
2,800 Liz Claiborne, Inc. 146,300
1,500 Longs Drug Stores Corp. 43,313
12,412 Mattel, Inc. 525,183
4,100 Maytag Corp. 202,438
4,300 McGraw-Hill Cos., Inc. 350,719
4,400 Mead Corp. 139,700
2,200 Meredith Corp. 103,263
4,200 New York Times Co., Class A 332,850
12,500 Nike, Inc., Class B 608,594
6,600 Owens-Illinois, Inc. 295,350
1,900 Polaroid Corp. 67,569
1,200 Potlatch Corp. 50,400
57,800 Procter & Gamble Co. 5,263,413
5,900 Quaker Oats Co. 324,131
2,300 Reebok International, Ltd.* 63,681
6,400 Rubbermaid, Inc. 212,400
1,400 Russell Corp. 42,263
20,500 Sara Lee Corp. 1,146,719
15,400 Seagram Co., Ltd. 630,438
2,600 Snap-On, Inc. 94,250
3,800 Stanley Works 157,938
4,110 Stone Container Corp.* 64,219
14,600 Sysco Corp. 374,125
2,500 Temple-Inland, Inc. 134,688
7,300 Tenneco, Inc. 277,856
24,880 Time Warner, Inc. 2,125,685
3,800 Times Mirror Co., Class A 238,925
14,000 TJX Cos., Inc. 337,750
5,300 Tribune Co. 364,706
5,400 TRW, Inc. 294,975
2,500 Tupperware Corp. 70,313
2,900 Union Camp Corp. 143,913
15,163 Viacom, Inc., Class B* 883,245
4,350 Westvaco Corp. 122,888
8,600 Weyerhaeuser Co. 397,213
3,300 Whirlpool Corp. 226,875
5,100 Wrigley (Wm.) Jr. Co. 499,800
-----------
34,202,389
-----------
Energy - 7.47%
3,900 Amerada Hess Corp. 211,819
42,000 Amoco Corp. 1,748,250
2,500 Anadarko Petroleum Corp. 167,969
4,100 Apache Corp. 129,150
1,600 ASARCO, Inc. 35,600
3,300 Ashland, Inc. 170,363
13,900 Atlantic Richfield Co. 1,085,938
7,582 Burlington Resources, Inc. 326,500
28,300 Chevron Corp. 2,350,669
4,500 Coastal Corp. 314,156
7,500 Dresser Industries, Inc. 330,469
900 Eastern Enterprises 38,588
14,100 Enron Corp. 762,281
106,400 Exxon Corp. 7,587,650
8,900 Homestake Mining Co. 92,338
2,000 Kerr-McGee Corp. 115,750
4,600 Louisiana-Pacific Corp. 83,950
33,900 Mobil Corp. 2,597,588
See Notes to Financial Statements.
F-12
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Energy (continued)
14,600 Occidental Petroleum Corp. $ 394,200
1,300 Oneok, Inc. 51,838
4,500 Oryx Energy Co.* 99,563
2,000 Pennzoil Co. 101,250
11,300 Phillips Petroleum Co. 544,519
92,400 Royal Dutch Petroleum Co. 5,064,675
21,500 Schlumberger, Ltd. 1,468,719
5,414 Sempra Energy 150,230
4,700 Sonat, Inc. 181,538
23,600 Texaco, Inc. 1,408,625
10,781 Union Pacific Resources Co. 189,341
10,600 Unocal Corp. 378,950
3,620 USX-U.S. Steel Group, Inc. 119,460
2,400 Western Atlas, Inc.* 203,700
17,600 Williams Cos., Inc. 594,000
------------
29,099,636
------------
Utilities - 7.45%
5,800 Ameren Corp. 230,550
8,100 American Electric Power, Inc. 367,538
69,967 American Telephone & Telegraph Corp. 3,996,865
6,350 Baltimore Gas & Electric Co. 197,247
66,946 Bell Atlantic Corp. 3,054,411
42,800 BellSouth Corp. 2,872,950
7,900 Browning-Ferris Industries, Inc. 274,525
6,400 Carolina Power & Light Co. 277,600
9,100 Central & South West Corp. 244,563
6,643 CINergy Corp. 232,505
3,600 Columbia Energy Group. 200,250
10,100 Consolidated Edison Co. of New York 465,231
4,200 Consolidated Natural Gas Co. 247,275
6,200 DTE Energy Co. 250,325
15,617 Duke Energy Corp. 925,307
16,300 Edison International 481,869
10,400 Entergy Corp. 299,000
9,900 FirstEnergy Corp. 304,425
7,900 FPL Group, Inc. 497,700
5,400 GPU, Inc. 204,188
41,200 GTE Corp. 2,291,750
12,198 Houston Industries, Inc. 376,613
11,200 Nextel Communications, Inc.* 278,600
6,200 Niagara Mohawk Power Corp.* 92,613
6,400 Northern States Power Co. 183,200
12,600 Pacificorp 285,075
9,500 PECO Energy Co. 277,281
1,400 Peoples Energy Corp. 54,075
16,400 PG&E Corp. 517,625
7,100 PP & L Resources, Inc. 161,081
10,000 Public Service Enterprise Group, Inc. 344,375
78,908 SBC Communications, Inc. 3,156,320
29,700 Southern Co. 822,319
10,640 Texas Utilities Co. 442,890
9,300 Unicom Corp. 326,081
21,504 US West Inc. 1,010,688
19,600 Waste Management, Inc. 686,000
43,600 WorldCom, Inc.* 2,111,875
------------
29,042,785
------------
Consumer Staples - 6.67%
12,400 Best Foods 719,975
4,100 Black & Decker Corp. 250,100
4,500 Clorox Co. 429,188
106,700 Coca-Cola Co. 9,122,850
1,600 Coors (Adolph) Co., Class B 54,400
7,300 Fortune Brands, Inc. 280,594
3,100 Fruit of the Loom, Inc., Class A* 102,881
6,800 General Mills, Inc. 464,950
48,200 Gillette Co. 2,732,338
17,700 Minnesota Mining & Manufacturing Co. 1,454,719
6,900 Newell Co. 343,706
65,300 PepsiCo, Inc. 2,689,544
104,500 Philip Morris Cos., Inc. 4,114,688
4,700 Ralston Purina Co. 549,019
900 Springs Industries, Inc., Class A 41,513
6,410 Tricon Global Restaurants, Inc.* 203,117
27,700 Unilever NV 2,186,569
5,200 VF Corp. 267,475
------------
26,007,626
------------
Retail - 5.16%
10,600 Albertson's, Inc. 549,213
11,600 American Stores Co. 280,575
6,400 AutoZone, Inc.* 204,400
4,300 Circuit City Stores, Inc. 201,563
4,600 Consolitated Stores 166,750
9,256 Costco Cos., Inc.* 583,707
16,400 CVS Corp. 638,575
18,800 Dayton-Hudson Corp. 911,800
9,000 Federated Department Stores, Inc.* 484,313
17,000 Gap, Inc. 1,047,625
2,600 Giant Food, Inc., Class A 111,963
1,500 Great Atlantic & Pacific Tea Co., Inc. 49,594
3,000 Harcourt General, Inc. 178,500
31,649 Home Depot, Inc. 2,628,845
21,000 Kmart Corp. 404,250
11,000 Kroger Co.* 471,625
9,700 Limited, Inc. 321,313
10,000 May Department Stores Co. 655,000
1,600 Mercantile Stores Co., Inc. 126,300
3,300 Nordstrom, Inc. 254,925
10,700 Penney (J.C.) Co., Inc. 773,744
11,000 Rite Aid Corp. 413,188
16,900 Sears Roebuck & Co. 1,031,956
2,600 Supervalu, Inc. 115,375
12,200 Toys `R' Us, Inc.* 287,463
5,700 Venator Group Inc.* 109,013
21,300 Walgreen Co. 879,956
96,900 Wal-Mart Stores, Inc. 5,886,675
6,400 Winn-Dixie Stores, Inc. 327,600
------------
20,095,806
------------
See Notes to Financial Statements.
F-13
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Building and Construction - 1.25%
1,300 Aeroquip-Vickers, Inc. $ 75,888
4,600 Armco, Inc.* 29,325
1,000 Briggs & Stratton Corp. 37,438
2,600 Centex Corp. 98,150
4,200 Champion International Corp. 206,588
9,600 Dover Corp. 328,800
3,600 Fluor Corp. 183,600
1,500 Kaufman & Broad Home Corp. 47,625
5,000 Loews Corp. 435,625
15,200 Lowe's Cos., Inc. 616,550
7,200 Masco Corp. 435,600
2,200 Owens Corning Fiberglass Corp. 89,788
7,600 PPG Industries, Inc. 528,675
1,800 Pulte Corp. 53,775
24,600 Tyco International, Ltd. 1,549,800
4,800 Willamette Industries, Inc. 153,600
------------
4,870,827
------------
Metals and Mining - 0.81%
9,600 Alcan Aluminum, Ltd. 265,200
8,302 Allegheny Teledyne, Inc. 189,908
7,400 Aluminum Co. of America 487,938
16,000 Barrick Gold Corp. 307,000
9,900 Battle Mountain Gold Co. 58,781
5,500 Bethlehem Steel Corp.* 68,406
4,700 Biomet, Inc. 155,394
3,900 Cyprus Amax Minerals Co. 51,675
8,300 Freeport-McMoRan Copper & Gold, Inc., Class B 126,056
7,000 Inco, Ltd., Class A 95,375
1,500 Jostens, Inc. 36,188
6,611 Newmont Mining Corp. 156,185
3,700 Nucor Corp. 170,200
2,500 Phelps Dodge Corp. 142,969
10,500 Placer Dome, Inc. 123,375
3,200 Reynolds Metals Co. 179,000
2,700 Timken Co. 83,194
12,300 USX-Marathon Group 422,044
4,000 Worthington Industries, Inc. 60,250
------------
3,179,138
------------
Health Services - 0.77%
2,300 Bard (C.R.), Inc. 87,544
27,800 Columbia/HCA Healthcare Corp. 809,675
18,000 HBO & Co. 634,500
16,800 HEALTHSOUTH Corp.* 448,350
2,700 Manor Care, Inc. 103,781
13,200 Tenet Healthcare Corp.* 412,500
8,200 United Healthcare Corp. 520,700
------------
3,017,050
------------
Business Services - 0.77%
34,833 Cendant Corp.* 727,139
7,000 Cognizant Corp. 441,000
5,400 Ecolab, Inc. 167,400
6,400 Equifax, Inc. 232,400
18,300 First Data Corp. 609,619
5,450 Interpublic Group of Companies, Inc. 330,747
7,000 Omnicom Group Inc. 349,125
3,608 Sealed Air Corp.* 132,594
------------
2,990,024
------------
Broadcasting - 0.67%
15,000 Comcast Corp. Special, Class A 608,906
26,200 MediaOne Group* 1,151,163
21,800 Tele-Communications, Inc., TCI Group, Class A* 837,938
------------
2,598,007
------------
Aerospace-Airlines - 0.65%
7,800 AMR Corp.* 649,350
3,300 Delta Air Lines, Inc. 426,525
5,400 General Dynamics Corp 251,100
9,450 Southwest Airlines Co. 279,956
10,000 United Technologies Corp. 925,000
------------
2,531,931
------------
Food Services - 0.59%
6,300 Darden Restaurants, Inc. 100,013
29,800 McDonald's Corp. 2,056,200
5,600 Wendy's International, Inc. 131,600
------------
2,287,813
------------
Transportation - 0.55%
6,784 Burlington Northern Santa Fe Corp. 666,104
9,300 CSX Corp. 423,150
6,400 FDX Corporation* 401,600
14,100 Laidlaw, Inc. 171,844
16,200 Norfolk Southern Corp. 482,963
------------
2,145,661
------------
Hotels-Leisure - 0.24%
4,200 Harrah's Entertainment, Inc.* 97,650
10,800 Hilton Hotels Corp. 307,800
10,900 Marriott International, Inc. 352,888
7,700 Mirage Resorts, Inc.* 164,106
------------
922,444
------------
Consumer Services - 0.17%
4,500 Block (H & R), Inc. 189,563
10,800 Service Corp. International 463,050
------------
652,613
------------
See Notes to Financial Statements.
F-14
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Capital Goods - 0.06%
1,700 Cincinnati Milacron, Inc. $ 41,331
1,600 Foster Wheeler Corp. 34,300
500 Nacco Industries, Inc., Class A 64,625
3,000 Navistar International Corp.* 86,625
------------
226,881
------------
Electronics - 0.05%
2,150 Tektronix, Inc. 76,056
2,400 Thomas & Betts Corp. 118,200
------------
194,256
------------
Leisure and Entertainment - 0.03%
4,100 Brunswick Corp. 101,475
------------
Total Common Stocks 385,646,381
(Cost $253,173,104) ------------
PREFERRED STOCKS - 0.01%
261 Aetna, Inc., Class C 19,608
2,400 Fresenius National Medical Care, Inc., Class D* 159
------------
Total Preferred Stocks 19,767
(Cost $17,063) ------------
Par Value
- ---------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 0.14%
$ 350,000 U.S. Treasury Bill - 0.09%
5.13%, 11/12/98 (1) 343,317
------------
Federal Home Loan
Mortgage Corporation - 0.05%
200,000 5.47%, 07/15/98 199,575
------------
Total U.S. Government
and Agency Obligations 542,892
(Cost $542,892) ------------
INVESTMENT COMPANY - 0.71%
2,763,011 SSgA Prime Money Market Fund 2,763,011
------------
Total Investment Company 2,763,011
(Cost $2,763,011) ------------
Total Investments - 99.84% 388,972,051
(Cost $256,496,070) ------------
Net Other Assets and Liabilities - 0.16% 640,871
------------
Net Assets - 100.00% $389,612,922
============
- ---------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
(1) Security has been deposited as intitial margin on open futures contracts.
At June 30, 1998, the Portfolio's open futures contracts were as follows:
Number of
Contracts Contract Expiration Current Opening Market Value at
Purchased Type Date Position June 30,1998
--------- ---- ---- -------- ------------
10 S & P 500 Sep-98 $ 2,839,030 $ 2,857,500
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $256,496,070. Net unrealized appreciation (depreciation) aggregated
$132,475,981, of which $139,158,254 related to appreciated investment securities
and $(6,682,273) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $531,349.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $95,752,178
and $56,496,506 of non-governmental issuers, respectively.
See Notes to Financial Statements.
F-15
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 48.21%
Federal National
Mortgage Association - 16.74%
$ 233,539 6.00%, 05/01/01, Pool # 190806 (A) Aaa $ 233,161
1,371,025 7.38%, 08/17/03, REMIC (A) Aaa 1,392,029
731,405 6.50%, 05/01/08, Pool # 50730 (A) Aaa 736,642
548,165 8.50%, 07/01/08, Pool # 10001 (A) Aaa 571,967
180,300 8.00%, 04/01/09, Pool # 111253 (A) Aaa 185,354
567,785 9.00%, 02/01/10, Pool # 303165 (A) Aaa 594,301
1,549,418 6.50%, 09/01/10, Pool # 327824 (A) Aaa 1,559,288
199,207 7.00%, 05/01/17, Pool # 68635 (A) Aaa 202,044
1,216,008 8.00%, 04/01/22, Pool # 124267 (A) Aaa 1,261,888
1,452,538 8.00%, 01/01/23, Pool # 125178 (A) Aaa 1,507,342
707,097 8.00%, 04/01/23, Pool # 124834 (A) Aaa 733,776
41,925 7.00%, 11/01/23, Pool # 249703 (A) Aaa 42,593
2,022,995 7.00%, 11/01/23, Pool # 50930 (A) Aaa 2,055,221
3,133,811 6.50%, 01/01/24, Pool # 50965 (A) Aaa 3,136,349
2,701,011 7.00%, 02/01/24, Pool # 50993 (A) Aaa 2,742,227
1,616,296 7.50%, 10/01/25, Pool # 321152 (A) Aaa 1,657,689
229,570 7.50%, 10/01/26, Pool # 359890 (A) Aaa 235,449
294,632 7.50%, 12/01/26, Pool # 362034 (A) Aaa 302,274
565,625 7.50%, 12/01/26, Pool # 366778 (A) Aaa 580,297
375,000 7.50%, 07/01/28 (B) Aaa 384,607
7,700,000 7.50%, 08/01/28 (B) Aaa 7,793,833
8,126,481 7.50%, 08/01/28 (B) Aaa 8,322,029
-----------
36,230,360
-----------
U.S. Treasury Bonds - 10.64%
6,115,000 6.63%, 03/31/02 (C) Aaa 6,332,847
4,565,000 7.25%, 05/15/16 (D) Aaa 5,349,609
1,500,000 7.50%, 11/15/16 Aaa 1,800,938
650,000 7.63%, 11/15/22 Aaa 810,266
7,385,000 7.13%, 02/15/23 (E) Aaa 8,735,074
-----------
23,028,734
-----------
U.S. Treasury Notes - 9.13%
2,780,000 5.87%, 03/31/99 Aaa 2,787,820
90,000 7.75%, 01/31/00 Aaa 92,953
5,175,000 5.63%, 02/28/01 Aaa 5,187,938
4,025,000 5.75%, 08/15/03 Aaa 4,067,766
250,000 6.50%, 08/15/05 Aaa 263,906
6,785,000 6.88%, 05/15/06 Aaa 7,349,003
-----------
19,749,386
-----------
Federal Home Loan
Mortgage Corporation - 5.90%
2,000,000 5.48%, 07/14/98 (F) Aaa 1,996,042
231,852 9.50%, 03/01/01, Pool # 200029 Aaa 239,473
86,752 6.50%, 06/01/04, Pool # 548801 Aaa 86,318
161,150 6.50%, 08/01/04, Pool # 181863 Aaa 161,377
1,141,422 7.50%, 01/01/07, Pool # E00071 Aaa 1,173,793
276,132 8.00%, 04/01/07, Pool # 170014 Aaa 285,095
312,861 8.00%, 09/01/08, Pool # 530125 Aaa 321,581
195,155 8.00%, 04/01/09, Pool # 534627 Aaa 198,998
127,668 8.00%, 06/01/09, Pool # 184989 Aaa 131,548
267,143 8.00%, 08/01/09, Pool # 546108 Aaa 275,262
3,009,123 7.00%, 08/01/10, Pool # E20187 Aaa 3,064,159
31,480 7.00%, 09/01/11, Pool # E65257 Aaa 32,053
452,667 7.00%, 11/01/11, Pool # E65777 Aaa 460,915
1,021,478 7.00%, 12/01/11, Pool # E20276 Aaa 1,040,089
1,281,144 7.90%, 07/01/16, Pool # W30001 Aaa 1,371,425
434,934 8.75%, 05/01/17, Pool # A00870 Aaa 461,400
356,376 7.50%, 10/01/18, Pool # 304313 Aaa 362,748
533,549 9.50%, 08/01/19, Pool # 555229 Aaa 567,354
16,394 9.50%, 08/01/20, Pool # A00742 Aaa 17,706
24,031 10.00%, 10/01/20, Pool # D06613 Aaa 26,265
202,997 10.00%, 12/01/20, Pool # D13442 Aaa 221,693
245,119 9.50%, 02/01/21, Pool # D06612 Aaa 264,353
-----------
12,759,647
-----------
Government National
Mortgage Association - 5.80%
1,100,963 9.50%, 02/15/06, Pool # 780238 Aaa 1,158,326
224,231 6.50%, 09/15/08, Pool # 357124 (A) Aaa 226,705
129,227 9.00%, 08/15/16, Pool # 165233 (A) Aaa 139,699
172,832 9.00%, 08/15/16, Pool # 173341 (A) Aaa 186,838
213,855 8.00%, 08/15/22, Pool # 323199 (A) Aaa 222,578
934,757 7.00%, 05/15/23, Pool # 352154 (A) Aaa 951,770
939,594 7.00%, 06/15/23, Pool # 349678 (A) Aaa 956,695
3,345,076 6.50%, 01/15/24, Pool # 370999 Aaa 3,348,922
102,071 8.00%, 09/15/26, Pool # 421495 Aaa 105,770
296,483 8.00%, 09/15/26, Pool # 431341 Aaa 307,228
924,880 8.00%, 09/15/26, Pool # 436476 Aaa 958,398
4,000,000 6.50%, 08/01/28 (B) Aaa 3,981,252
-----------
12,544,181
-----------
Total U.S. Government
and Agency Obligations 104,312,308
(Cost $100,104,422) -----------
CORPORATE NOTES AND BONDS - 35.80%
Finance - 11.81%
1,000,000 AON Capital Trust, Series A
8.50%, 01/01/27 A 1,157,542
1,500,000 AT&T Capital Corp., MTN
6.25%, 05/15/01 Baa 1,500,502
1,925,000 BankBoston
6.38%, 03/25/08 A 1,929,325
1,450,000 BCH Cayman Islands
Yankee Subordinated Note, Guaranteed
6.50%, 02/15/06 A 1,462,838
2,000,000 Chase Manhattan Corp.
6.38%, 02/15/08 A 2,001,660
500,000 Coles Myer Finance USA, Ltd., Series A, MTN
5.45%, 07/16/98 A 500,010
1,000,000 Compass Trust I
8.23%, 01/15/27 A 1,095,467
See Notes to Financial Statements.
F-16
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Finance (continued)
$ 1,500,000 Conseco Financing Trust III
8.80%, 04/01/27 Ba $ 1,704,196
1,075,000 First Empire Capital Trust I
8.23%, 02/01/27 A 1,178,122
1,300,000 Ford Motor Credit Co.
6.25%, 12/08/05 A 1,305,924
1,805,000 General Motors Acceptance Corp.
5.88%, 01/22/03 A 1,788,186
1,750,000 Homeside Lending, Inc., MTN
6.88%, 05/15/00 A 1,773,728
1,750,000 MBNA Corp., MTN
6.96%, 09/12/02 Baa 1,787,366
2,000,000 Star Banc Corp., Series A, MTN
6.97%, 05/01/00 A 2,031,632
1,000,000 Travelers Group, Inc.
7.25%, 05/01/01 A 1,031,987
1,700,000 The Money Store, Inc.
8.05%, 04/15/02 Ba 1,806,479
1,500,000 U.S. West Capital Funding
6.13%, 07/15/02 A 1,500,173
--------------
25,555,137
--------------
Utilities - 3.95%
2,195,000 Connecticut Light & Power Co.
First Mortgage, Series 94D
7.88%, 10/01/24 Ba 2,351,927
1,000,000 Empresa Electrica Pehuenche SA
Yankee Note
7.30%, 05/01/03 Baa 1,010,732
2,000,000 K.N. Energy, Inc., Senior Note
6.45%, 03/01/03 Baa 2,008,146
1,250,000 Philadelphia Electric Co.
First Mortgage, Series 1992
7.50%, 01/15/99 Baa 1,259,614
1,100,000 Sithe/Independence Funding Corp.
Guaranteed, Series A
9.00%, 12/30/13 Baa 1,312,938
580,000 Texas Utilities Electric Co.
7.38%, 10/01/25 Baa 600,271
--------------
8,543,628
--------------
Industry - 3.83%
1,225,000 Chesapeake Corp.
7.00%, 03/15/05 Baa 1,279,645
1,900,000 Donohue Forest Products, Inc.
Senior Note
7.63%, 05/15/07 Baa 2,022,029
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba 1,391,462
2,000,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa 2,094,924
1,500,000 Tyco International Group SA
Yankee Subordinated Note
6.25%, 06/15/13 Baa 1,495,527
--------------
8,283,587
--------------
Communications - 2.89%
$ 1,225,000 LCI International, Inc., Senior Note
7.25%, 06/15/07 Baa 1,229,220
2,550,000 TCI Communications, Inc., Senior Debenture
7.88%, 02/15/26 Baa 2,863,578
2,000,000 WorldCom, Inc., Note
7.75%, 04/01/07 Baa 2,160,512
--------------
6,253,310
--------------
Securities Brokers and Dealers 2.46%
2,045,000 Donaldson Lufkin & Jennrette, Inc.
Senior Note
6.88%, 11/01/05 A 2,112,327
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa 1,512,694
1,700,000 Paine Webber Group, Inc., Senior Note
6.55%, 04/15/08 Baa 1,705,753
--------------
5,330,774
--------------
Transportation - 2.35%
1,300,000 AMR Corp.
9.50%, 05/15/01 Baa 1,414,720
900,000 Consolidated Freightways, Inc.
9.13%, 08/15/99 Baa 927,409
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa 2,241,821
446,443 United Air Lines, Inc.
9.30%, 03/22/08 Baa 512,065
--------------
5,096,015
--------------
Oil, Gas, and Petroleum - 2.21%
700,000 Southwest Gas Corp.
Debenture, Series F
9.75%, 06/15/02 Baa 785,188
1,500,000 Tennessee Gas Pipeline Co.
7.50%, 04/01/17 Baa 1,637,995
800,000 Union Pacific Resources, Co.
6.50%, 05/15/05 Baa 805,468
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 (H) BBB 1,547,071
--------------
4,775,722
--------------
Book Publishing - 1.09%
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Baa 1,403,242
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Baa 951,713
--------------
2,354,955
--------------
Technology - 0.92%
2,000,000 Computer Associates International, Inc.
6.25%, 04/15/03 (G) Baa 2,000,824
--------------
See Notes to Financial Statements.
F-17
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Electronics - 0.81%
$ 1,700,000 Clear Channel Communications, Inc.
7.25%, 10/15/27 Baa $ 1,751,442
--------------
Processed Foods - 0.78%
1,500,000 Ralston Purina Co.
7.75%, 10/01/15 Baa 1,679,812
--------------
Manufacturing - 0.70%
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 Baa 1,515,546
--------------
Pharmaceuticals - 0.70%
1,500,000 Watson Pharmaceuticals, Inc.
7.13%, 05/15/08 Ba 1,503,997
--------------
Media - 0.53%
1,125,000 Hearst-Argyle Television, Inc.
7.00%, 01/15/18 Baa 1,141,763
--------------
Engineering and Construction - 0.40%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa 874,131
--------------
Consumer Products - 0.37%
675,000 Time Warner Entertainment Co., LP
Senior Debenture
8.38%, 03/15/23 Baa 790,259
--------------
Total Corporate Notes and Bonds 77,450,902
(Cost $77,256,916) ==============
ASSET-BACKED SECURITIES (A) - 14.71%
1,743,925 Associates Manufactured Housing
6.70%, 03/15/27 Aaa 1,754,894
2,350,000 BankBoston RV Asset Backed Trust
1997-1, Series A8
6.54%, 02/15/09 Aaa 2,383,934
2,000,000 Barnett Auto Trust, 1997-A, A3
6.03%, 11/15/01 Aaa 2,004,500
1,620,686 Bear Stearns Mortgage Securities, Inc.
1995-1, Series 1A, CMO
6.48%, 05/25/10 Aaa 1,627,347
1,250,000 Bear Stearns Mortgage Securities, Inc.
1996-1, Series A10, CMO
7.75%, 06/25/27 Aaa 1,290,065
750,000 Carco Auto Loan Master Trust, 1997-1, Series A
6.69%, 08/15/04 Aaa 761,565
3,000,000 Chase Manhattan Auto Owner Trust
1998-A, Series A3
5.70%, 09/17/01 Aaa 2,994,780
1,075,000 Comcast Cable Communications, Inc.
8.13%, 05/01/04 Baa 1,168,901
1,684,760 Financial Asset Securitization, Inc.
1997-NAMC, Series FXA2, CMO
7.75%, 05/25/27 (H) Aaa 1,738,587
1,599,526 First Plus Home Loan Owner Trust
1996-2, Series A5
7.47%, 02/20/11 Aaa 1,636,187
1,414,700 General Motors Acceptance Corp.
1996-C1, Series A2A, CMO
6.79%, 10/15/28 A 1,446,715
440,877 Green Tree Financial Corp., 1992-1
Series A3
6.70%, 10/15/17 Aaa 443,487
1,700,000 Green Tree Financial Corp., 1994-1
Series A3
6.90%, 04/15/19 Aaa 1,717,731
128,325 Green Tree Financial Corp., 1994-2
Series A2
7.35%, 05/15/19 Aaa 128,784
173,024 Green Tree Financial Corp., 1994-8
Series A3
8.25%, 04/15/25 Aaa 173,856
378,745 Green Tree Recreation
Equipment & Consumer Trust
1997-B, Series A1
5.55%, 02/15/18 Aaa 377,237
1,098,838 Green Tree Recreation
Equipment & Consumer Trust
6.55%, 07/15/28 (H) Aaa 1,117,408
187,498 NationsBank Auto Grantor Trust
1995-A, Series B
6.00%, 06/15/02 A 187,777
1,950,000 Olympic Automobile Receivables Trust
Series 1996-A, Class A-4
5.85%, 07/15/01 Aaa 1,950,780
1,000,000 PSB Lending Home Loan Owner Trust
1997-3, Series A2
6.57%, 02/20/13 Aaa 1,009,190
1,560,000 Residential Asset Securities Trust
7.50%, 11/25/11 Aaa 1,574,992
1,750,000 Resolution Trust Corp.
1995-C1, Series A4C, CMO
6.85%, 02/25/27 Aaa 1,759,153
775,000 Vendee Mortgage Trust, 1997-1
Series 2B, CMO
7.50%, 09/15/01 NR 783,914
38,273 Western Financial Grantor Trust
1994-2, Series A2
6.38%, 09/01/99 Aaa 38,322
183,151 Western Financial Grantor Trust
1995-2, Series A2
7.10%, 07/01/00 Aaa 184,259
1,575,000 WFS Financial Owner Trust, 1998-B
6.05%, 04/20/03 # Aaa 1,573,805
--------------
Total Asset-Backed Securities 31,828,170
(Cost $30,410,389) ==============
See Notes to Financial Statements.
F-18
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (F) - 7.61%
$ 2,500,000 BBL North America
5.51%, 07/09/98, (H) A 2,496,938
4,000,000 Budget Funding Corp.
5.58%, 07/14/98, (H) A 3,991,939
2,500,000 Ciesco
5.50%, 07/14/98 Aa 2,495,034
2,200,000 CitiCorp
5.50%, 07/14/98 Aa 2,195,630
1,300,000 Ford Motor Credit Corp
5.49%, 07/14/98 A 1,297,422
2,000,000 Goldman Sachs Group
5.51%, 07/10/98 A 1,997,245
2,000,000 Republic Industrial Funding
5.55%, 07/13/98 A 1,996,300
--------------
Total Commercial Paper 16,470,508
(Cost $16,470,508) --------------
REPURCHASE AGREEMENT - 2.31%
5,000,000 First Union Repurchase Agreement
6.65%, 07/01/98, Dated 06/30/98
Repurchase Price $5,000,924
(Collateralized by RBMG Funding Co., 5.84%
Due 10/25/29; Total Par $5,250,000;
Market Value $5,250,000) NR 5,000,000
--------------
Total Repurchase Agreement 5,000,000
(Cost $5,000,000) --------------
INVESTMENT COMPANY - 0.05%
104,862 SSgA Prime Money Market Fund NR 104,862
--------------
Total Investment Company 104,862
(Cost $104,862) ==============
Total Investments - 108.69% 235,166,750
(Cost $229,347,097) ==============
Net Assets and Other Liabilities - (8.69)% (18,808,255)
--------------
Net Assets - 100.00% $ 216,358,495
==============
- --------------------------------------------
(A) Pass Through Certificates
(B) Forward Commitments
(C) Designated as collateral on Forward Commitment, par value of $6,115,000.
(D) Designated as collateral on Forward Commitment, par value of $4,565,000.
(E) Designated as collateral on Forward Commitment, par value of $5,600,000.
(F) Effective yield at time of purchase
(G) Security exempt from registration under rule 144A or the Securities Act
of 1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1998, this
security amounted to $2,000,824 or 0.92% of net assets.
(H) Standard & Poor's ("S&P") credit ratings are used in the absence of a
rating by Moody's Investors, Inc.
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REMIC Real Estate Mortgage Conduit
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $229,347,097. Net unrealized appreciation (depreciation) aggregated
$5,819,653, of which $6,010,548 related to appreciated investment securities and
$(190,895) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had a capital loss carryforward of
$1,388,318 which expires 2002.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $84,027,623
and $78,523,404 of non-governmental issuers, respectively, and $34,399,894 and
$26,450,073 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 S&P Ratings
Aaa 55.16% AAA 1.21%
Aa 1.99 A 2.76
A 11.82 BBB 0.66
Baa 20.18
Ba 3.72
NR (Not Rated) 2.50
-------- ---------
95.37% 4.63%
======== =========
See Notes to Financial Statements.
F-19
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 85.51%
U.S. Treasury Notes - 38.81%
$ 3,950,000 7.13%, 02/29/00 $ 4,048,750
3,000,000 6.50%, 08/31/01 3,080,625
6,025,000 6.38%, 09/30/01 6,168,094
1,000,000 6.25%, 02/28/02 1,022,813
4,525,000 5.75%, 08/15/03 4,573,078
6,350,000 6.88%, 05/15/06 6,877,844
--------------
25,771,204
--------------
Federal National Mortgage Association - 21.72%
1,850,000 6.45%, 04/23/01, MTN 1,887,116
1,000,000 6.20%, 07/10/03, Note 993,583
825,919 7.38%, 08/17/03, REMIC, (A) 838,572
1,300,000 5.80%, 12/10/03, Note 1,305,248
350,000 6.40%, 01/13/04, Note 350,096
950,000 6.82%, 08/23/05, MTN 1,012,480
1,147,434 7.50%, 03/01/07, Pool # 50545 (A) 1,179,447
1,200,000 6.57%, 08/22/07, MTN 1,270,413
1,097,108 6.50%, 05/01/08, Pool # 50730, (A) 1,104,963
1,300,000 8.40%, 02/25/09, Class A3,
Series 1996-W2, CMO, (A) 1,376,805
108,180 8.00%, 04/01/09, Pool # 111253, (A) 111,212
476,642 7.00%, 01/01/10, Pool # 303194 485,388
439,113 6.40%, 11/25/10, Class A2,
Series 1995-T2, REMIC, (A) 441,138
73,549 7.00%, 05/01/17, Pool # 68635, (A) 74,596
708,154 8.00%, 09/01/21, Pool # 70941, (A) 735,793
1,250,000 7.00%, 06/25/26, Class A3,
Series 1996-M6, REMIC, (A) 1,256,400
--------------
14,423,250
--------------
Federal Home Loan Mortgage Corporation - 8.67%
241,749 9.50%, 03/01/01, Pool # 200029 249,695
1,000,000 5.99%, 03/06/01, Bond 996,515
61,883 6.50%, 06/01/04, Pool # 548801, (A) 61,573
140,644 6.50%, 08/01/04, Pool # 181863, (A) 140,842
434,553 7.50%, 02/01/07, Pool # E00075, (A) 446,877
312,861 8.00%, 09/01/08, Pool # 530125, (A) 321,581
1,109,649 6.50%, 02/01/09, Pool # E00279, (A) 1,119,015
221,508 8.00%, 04/01/09, Pool # 534627, (A) 225,869
79,799 8.00%, 06/01/09, Pool # 184989, (A) 82,224
267,144 8.00%, 08/01/09, Pool # 546108, (A) 275,262
139,123 8.00%, 09/01/09, Pool # 273699, (A) 141,863
337,143 7.90%, 07/01/16, Pool # W30001, (A) 360,901
259,979 8.00%, 06/01/19, Pool # 544250, (A) 269,630
246,541 10.00%, 03/01/21, Pool # A00969, (A) 269,456
797,140 6.50%, 06/01/23, Pool # N30118, (A) 798,527
--------------
5,759,830
--------------
Federal Farm Credit Bank - 5.29%
2,000,000 6.71%, 04/25/01, MTN 2,052,478
1,400,000 6.65%, 08/08/03, MTN 1,457,636
--------------
3,510,114
--------------
Government National Mortgage Association (A) - 4.63%
$ 328,046 9.50%, 02/15/06, Pool # 780238 $ 345,138
91,062 8.00%, 12/15/06, Pool # 014758 95,517
87,780 6.50%, 06/15/09, Pool # 376548 88,735
1,859,301 7.00%, 06/15/09, Pool # 374332 1,904,593
627,335 7.00%, 06/15/12, Pool # 411797 642,309
--------------
3,076,292
--------------
Federal Home Loan Bank - 2.56%
550,000 6.55%, 03/07/05, Note, Series FX05 575,503
1,100,000 6.19%, 05/06/08, Series EB08 1,126,812
--------------
1,702,315
--------------
U.S. Treasury Bond - 2.16%
1,100,000 10.75%, 08/15/05 1,431,032
--------------
U.S. Government Backed Bond - 1.67%
1,100,000 Tennessee Valley Authority, Series D
6.00%, 11/01/00 1,108,392
--------------
Total U.S. Government and Agency Obligations 56,782,429
(Cost $56,091,422) --------------
ASSET-BACKED SECURITIES (A) - 11.03%
1,500,000 American Express Master Trust, 1998-1, Series A
5.90%, 04/15/04 1,493,496
1,170,921 Associates Manufactured Housing, 1996-1, Series A2
6.70%, 03/15/27 1,178,286
1,550,000 Chase Credit Card Master Trust, 1997-2, Series A
6.30%, 04/15/03 1,567,515
1,500,000 Discover Card Master Trust, 1998-2, Series A
5.80%, 09/16/03 1,501,215
111,125 Green Tree Financial Corp.
Class A3, Series 1994-7
8.00%, 03/15/20 111,498
60,599 Green Tree Recreation Equipment & Consumer Trust
Class A1, Series 1996-A
5.55%, 02/15/18 60,358
1,400,000 Premier Auto Trust, 1996-4, Series A4
6.40%, 10/06/01 1,410,444
--------------
Total Asset-Backed Securities 7,322,812
(Cost $7,313,297) ==============
See Notes to Financial Statements.
F-20
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANY - 2.00%
1,327,510 SSgA Prime Money Market Fund $ 1,327,510
--------------
Total Investment Company 1,327,510
(Cost $1,327,510) --------------
Total Investments - 98.54% 65,432,751
(Cost $64,732,229) --------------
Net Other Assets and Liabilities - 1.46% 969,961
--------------
Net Assets - 100.00% $ 66,402,712
==============
- ------------------------------------------------
(A) Pass Through Certificates
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $64,732,229. Net unrealized appreciation (depreciation) aggregated $700,523,
of which $799,955 related to appreciated investment securities and $(99,432)
related to depreciated investment securities.
As of December 31, 1997, the Portfolio had a 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.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $10,628,738
and $8,620,927 of non-governmental issuers, respectively, and $25,401,612 and
$18,253,499 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 98.00%
NR (Not Rated) 2.00
------
100.00%
======
See Notes to Financial Statements.
F-21
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 32.13%
Finance - 16.81%
$ 3,165,000 Abbey National Treasury Services, Plc
6.50%, 12/21/98 $ 3,171,659
5,000,000 American Honda Finance Corp., MTN
5.66%, 10/23/98 (B) 5,000,172
2,000,000 Asset-Backed Capital Finance, Inc.
5.68%, 09/23/98 (B) * 2,000,000
1,000,000 Associates Corp.of North America
6.75%, 06/28/99 1,007,609
2,500,000 Avco Financial Service, Inc., MTN
5.63%, 11/17/98 * 2,500,000
3,000,000 Bell Atlantic Financial Services, MTN
5.30%, 09/01/98 2,997,548
3,500,000 CIT Group Holdings, Inc., Senior MTN
5.57%, 01/27/99 * 3,499,023
2,500,000 CIT Group Holdings, Inc., Senior MTN
6.20%, 06/17/99 2,510,370
1,000,000 Compass Auto Receivables Trust
5.66%, 07/15/99 1,000,000
700,000 Ford Motor Credit Co., MTN
8.21%, 03/16/99 711,722
4,000,000 General Motors Acceptance Corp., MTN
5.56%, 09/21/98 * 3,999,378
3,650,000 General Motors Acceptance Corp., MTN
5.70%, 02/09/99 3,647,458
1,500,000 Household Financial Corp., Ltd., Senior Note
7.13%, 04/30/99 1,515,319
2,500,000 New England Loan Marketing Corp., MTN
5.85%, 07/17/98 * 2,500,210
6,000,000 New England Loan Marketing Corp., MTN
5.83%, 09/18/98 * 6,002,431
1,000,000 PACCAR Financial Corp., MTN
6.46%, 05/19/99 1,005,662
2,250,000 Sears Roebuck Acceptance Corp., MTN
6.54%, 05/06/99 2,263,760
--------------
45,332,321
--------------
Security Brokers and Dealers - 7.67%
5,000,000 Bear Stearns Cos., Inc., Series B, MTN
5.66%, 08/25/98 * 5,000,000
2,000,000 Lehman Brothers Holdings, Inc., MTN
6.65%, 07/14/98 2,000,553
5,500,000 Paine Webber Group, Inc., MTN
5.75%, 11/04/98 * 5,500,000
1,000,000 Paine Webber Group, Inc., MTN
8.45%, 12/16/98 1,011,264
5,000,000 Paine Webber Group, Inc., MTN
5.75%, 03/10/99 * 5,000,000
1,164,000 Salomon-Smith Barney Holdings
5.50%, 01/15/99 1,161,979
1,000,000 Shearson-Lehman Holdings, Inc., MTN
6.08%, 07/08/98 1,000,054
--------------
20,673,850
--------------
Commercial Banks - 4.29%
2,000,000 First Chicago Corp.
9.00%, 06/15/99 2,058,609
1,000,000 First Interstate Bancorp, Senior Subordinated Note
8.63%, 04/01/99 1,020,314
3,500,000 First Union National Bank, MTN
5.79%, 04/30/99 * 3,500,000
3,000,000 Key Bank N.A., MTN
5.76%, 01/14/99 * 2,999,563
1,000,000 Norwest Corp., Series G, MTN
6.00%, 10/13/98 1,000,116
1,000,000 Wells Fargo & Co., Euro-Dollar
5.81%, 07/31/98 * 1,000,070
--------------
11,578,672
--------------
Communication - 1.89%
2,000,000 MCI Communications Corp.
5.88%, 03/16/99 * 2,001,935
3,100,000 Nippon Telegraph & Telephone Corp.
9.50%, 07/27/98 3,107,607
--------------
5,109,542
--------------
Insurance - 0.90%
2,400,000 SunAmerica, Inc.
9.00%, 01/15/99 2,438,323
--------------
Utilities - 0.38%
1,000,000 Virginia Electric & Power Co., MTN, Series C
9.30%, 06/09/99 1,032,435
--------------
Retail - 0.19%
500,000 Sears Roebuck Co., Debenture
8.20%, 04/15/99 * 508,866
--------------
Total Corporate Notes and Bonds 86,674,009
--------------
(Cost $86,674,009)
U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.55%
Federal Home Loan Bank - 0.81%
2,200,000 5.78%, 05/14/99 2,198,806
--------------
Federal Farm Credit Bank (A) - 0.74%
2,000,000 5.50%, 08/12/98 1,987,167
--------------
Total U.S. Government
Agency Obligations 4,185,973
(Cost $4,185,973) --------------
See Notes to Financial Statements.
F-22
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER - 48.17%
Finance - 23.56%
$ 6,500,000 Asset-Backed Capital Finance, Inc.
5.54%, 11/16/98 (C) $ 6,361,962
1,450,000 Budget Funding Corp.
5.57%, 07/09/98 (A) 1,448,194
2,250,000 China Merchants (Cayman), Inc.
5.55%, 08/26/98 (A) 2,230,575
3,000,000 Den Norske Stats Oljeselska
5.52%, 08/27/98 (A) 2,973,780
4,000,000 Harley-Davidson Dealer Funding Corp.
5.55%, 07/08/98 (A) 3,995,683
2,300,000 Harley-Davidson Dealer Funding Corp.
5.55%, 07/22/98 (A) 2,292,554
400,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 07/06/98 (A) 399,692
618,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 07/28/98 (A) 615,428
4,397,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 08/11/98 (A) 4,369,223
1,300,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 08/18/98 (A) 1,290,380
1,672,000 Jefferson Smurfit Finance Corp., Series B
5.54%, 08/25/98 (A) 1,657,848
5,000,000 Mitsubishi Motors Credit of America, Inc.
5.65%, 09/11/98 (A) 4,943,500
2,000,000 Pegasus Two, Ltd.
5.57%, 07/29/98 (C) 1,991,336
3,000,000 Pegasus Two, Ltd.
5.62%, 09/09/98 (C) 2,967,625
2,000,000 Prudential Funding Corp.
5.44%, 09/16/98 (A) 1,976,729
5,000,000 Republic Industrial Funding Corp.
5.54%, 07/22/98 (A) 4,983,842
3,000,000 Standard Credit Card Master Trust
5.53%, 07/14/98 (C) 2,994,009
1,700,000 Toshiba Capital (Asia) Corp.
5.77%, 08/14/98 (A) 1,688,011
1,000,000 Toshiba Capital (Asia) Corp.
5.75%, 09/01/98 (A) 990,097
1,500,000 Toshiba Capital (Asia) Corp.
5.77%, 10/06/98 (A) 1,476,680
3,000,000 Trident Capital Finance, Inc.
5.54%, 07/07/98 (C) 2,997,230
8,000,000 Westways Funding I, Ltd.
5.55%, 08/28/98 (C) 7,928,467
1,000,000 Westways Funding II, Ltd.
5.55%, 09/16/98 (C) 988,129
--------------
63,560,974
--------------
Banking- 8.19%
1,225,743 BankBoston
5.41%, 07/20/98 (A) 1,222,244
1,500,000 Corestates Bank
5.45%, 09/08/98 (A) 1,484,331
3,000,000 Den Norske Bank
5.47%, 08/10/98 (A) 2,981,767
6,000,000 Den Norske Bank
5.51%, 08/18/98 (A) 5,955,920
1,087,872 European American Bank
5.51%, 07/15/98 (A) 1,085,583
6,500,000 Household International, Inc.
5.58%, 07/15/98 (C) 6,485,895
3,000,000 UniBanco - Grand Cayman
5.49%, 04/15/99 (A) 2,868,240
--------------
22,083,980
--------------
Securities Brokers and Dealers - 7.67%
2,000,000 Bear Stearns Co., Inc.
5.52%, 07/22/98 (A) 1,993,560
3,000,000 Bear Stearns Co., Inc.
5.51%, 11/24/98 (A) 2,932,962
6,000,000 BT Alex Brown, Inc.
5.47%, 12/16/98 (A) 5,846,560
1,500,000 Donaldson Lufkin & Jenrette, Inc.
5.75%, 07/27/98 (A) 1,493,771
5,000,000 Donaldson Lufkin & Jenrette, Inc.
5.67%, 08/12/98 (A) 4,966,983
3,500,000 Donaldson Lufkin & Jenrette, Inc.
5.66%, 09/23/98 (A) 3,453,777
--------------
20,687,613
--------------
Utilities - 4.05%
11,000,000 Electricity Corp. of New Zealand
5.62%, 08/11/98 (A) 10,929,617
--------------
Energy - 3.33%
9,000,000 Texaco, Inc.
5.46%, 07/16/98 (A) 8,979,525
--------------
Industry - 1.37%
3,765,000 Monsanto Co.
5.52%, 10/15/98 (C) 3,703,806
--------------
Total Commercial Paper 129,945,515
(Cost $129,945,515) --------------
See Notes to Financial Statements.
F-23
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 13.53%
$ 2,500,000 Bankers Trust Co.
5.92%, 07/17/98 $ 2,499,969
7,000,000 Barclays Bank Plc
5.67%, 12/16/98 6,999,765
3,000,000 Deutsche Bank Financial
5.95%, 10/26/98 2,999,541
5,000,000 First Tennessee Bank
5.75%, 01/22/99 5,000,000
4,500,000 National Bank of Canada
5.73%, 06/07/99 4,497,585
5,000,000 Sanwa Bank, Ltd., New York
5.97%, 09/30/98 5,000,124
6,500,000 Societe Generale, New York
5.77%, 09/11/98 6,499,836
3,000,000 Societe Generale, New York
5.97%, 09/15/98 3,000,060
--------------
Total Certificates of Deposit 36,496,880
(Cost $36,496,880) --------------
REPURCHASE AGREEMENT - 3.71%
10,000,000 First Union Repurchase Agreement
6.65%, 7/1/98, Dated 6/30/98
Repurchase Price $10,001,847
(Collateralized by First Alliance
Mortgage Loan Trust
7.20%, Due 6/20/28,
Total Par $14,237,000;
Market Value $14,418,237) NR 10,000,000
--------------
Total Repurchase Agreement 10,000,000
(Cost $10,000,000) --------------
INVESTMENT COMPANY - 0.20%
525,796 SSgA Prime Money Market $ 525,796
--------------
Total Investment Company 525,796
(Cost $525,796) --------------
Total Investments - 99.29% 267,828,173
(Cost $267,828,173) --------------
Net Other Assets and Liabilities - 0.71% 1,914,613
--------------
Net Assets - 100.00% $ 269,742,786
==============
- -----------------------------------
* Variable rate security. The rate shown reflects rate in effect at June 30,
1998.
(A) Effective yield at time of purchase
(B) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1998, these
securities amounted to $7,000,172 or 2.60% of net assets.
(C) Security exempt from registration under section 4(2) of the Securities Act
of 1933, as amended. This security may be resold to qualified institutional
buyers. At June 30, 1998, these securities amounted to $36,418,459 or
13.50% of net assets.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $267,831,189.
As of December 31, 1997, the Portfolio had a capital loss carryforwards which
expire as follows: $347 in 2002, $144 in 2003, $35,977 in 2004; and $8,154 in
2005.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $95,752,178
and $56,496,506 of non-governmental issuers, respectively.
Moody's Ratings
Aaa 96.09%
NR (Not Rated) 3.91
------
100.00%
======
See Notes to Financial Statements.
F-24
<PAGE>
This page intentionally left blank.
F-25
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES (in 000's) . June 30, 1998 (Unaudited)
=============================================================================================================================
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 .................................................. $ 579,079 $ 398,483 $ 664,162 $ 256,496
Repurchase agreements at cost ........................................ -- -- -- --
Net unrealized appreciation (depreciation) ........................... 171,837 96,483 176,059 132,476
--------- --------- --------- ---------
Total investments at value ........................................ 750,916 494,966 840,221 388,972
Cash .................................................................... -- 3,934 462 44
Foreign currency (Cost $4,825) (Notes 2 and 7) .......................... -- 6,958 -- --
Short-term investments held as collateral for securities loaned (Note 2) 109,199 32,911 -- --
Receivable for investments sold ......................................... -- 30,505 5,562 --
Receivable for shares sold .............................................. 637 93 175 409
Receivable for foreign currency sold .................................... -- 4,576 -- --
Interest and dividend receivables ....................................... 141 3,977 1,050 401
Dividend tax reclaim receivables ........................................ -- 742 -- --
Net unrealized appreciation on forward currency contracts (Notes 2 and 8) -- 681 -- --
--------- --------- --------- ---------
Total Assets ...................................................... 860,893 579,343 847,470 389,826
--------- --------- --------- ---------
LIABILITIES:
Payable for investments purchased ....................................... 3,794 36,330 5,945 --
Payable for foreign currency purchased .................................. -- 14,749 -- --
Payable for shares repurchased .......................................... -- 737 -- --
Payable to custodian .................................................... 23 -- -- --
Payable for variation margin ............................................ -- -- -- 18
Collateral for securities loaned ........................................ 109,199 32,911 -- --
Advisory fee payable (Note 3) ........................................... 515 352 296 90
Trustees' fees and expenses payable ..................................... 6 4 6 3
Accrued expenses and other payables ..................................... 169 181 166 102
--------- --------- --------- ---------
Total Liabilities ................................................. 113,706 85,264 6,413 213
--------- --------- --------- ---------
NET ASSETS .............................................................. $ 747,187 $ 494,079 $ 841,057 $ 389,613
========= ========= ========= =========
NET ASSETS consist of
Paid-in capital (Note 6) ................................................ $ 520,767 $ 392,951 $ 610,398 $ 247,722
Undistributed (distribution in excess of) net investment income (loss) .. (1,233) 2,593 28 33
Accumulated (distribution in excess of ) net realized gain (loss) on
investments sold, foreign currency transactions and futures contracts . 55,816 (1,210) 54,572 9,333
Net unrealized appreciation of investments, assets and liabilities in
foreign currency and futures contracts ............................... 171,837 99,745 176,059 132,525
--------- --------- --------- ---------
TOTAL NET ASSETS ........................................................ $ 747,187 $ 494,079 $ 841,057 $ 389,613
========= ========= ========= =========
Shares of beneficial interest outstanding
(unlimited authorization, no par value) ................................. 288,798 313,385 307,652 121,400
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ......................................... $ 2.587 $ 1.577 $ 2.734 $ 3.209
========= ========= ========= =========
</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 .................................................. $ 229,347 $ 64,732 $ 257,828
Repurchase agreements at cost ........................................ -- -- 10,000
Net unrealized appreciation (depreciation) ........................... 5,820 701 --
--------- --------- ---------
Total investments at value ........................................ 235,167 65,433 267,828
Cash .................................................................... 149 88 26
Foreign currency (Cost $4,825) (Notes 2 and 7) .......................... -- -- --
Short-term investments held as collateral for securities loaned (Note 2) -- -- --
Receivable for investments sold ......................................... 20,450 -- 350
Receivable for shares sold .............................................. 38 90 --
Receivable for foreign currency sold .................................... -- -- --
Interest and dividend receivables ....................................... 2,372 849 1,655
Dividend tax reclaim receivables ........................................ -- -- --
Net unrealized appreciation on forward currency contracts (Notes 2 and 8) -- -- --
--------- --------- ---------
Total Assets ...................................................... 258,176 66,460 269,859
--------- --------- ---------
LIABILITIES:
Payable for investments purchased ....................................... 41,667 -- --
Payable for foreign currency purchased .................................. -- -- --
Payable for shares repurchased .......................................... -- -- --
Payable to custodian .................................................... -- 2 --
Payable for variation margin ............................................ -- -- --
Collateral for securities loaned ........................................ -- -- --
Advisory fee payable (Note 3) ........................................... 77 27 59
Trustees' fees and expenses payable ..................................... 2 1 2
Accrued expenses and other payables ..................................... 72 27 55
--------- --------- ---------
Total Liabilities ................................................. 41,818 57 116
--------- --------- ---------
NET ASSETS .............................................................. $ 216,358 $ 66,403 $ 269,743
========= ========= =========
NET ASSETS consist of
Paid-in capital (Note 6) ................................................ $ 210,979 $ 68,245 $ 269,806
Undistributed (distribution in excess of) net investment income (loss) .. (5) (15) --
Accumulated (distribution in excess of ) net realized gain (loss) on
investments sold, foreign currency transactions and futures contracts . (436) (2,528) (63)
Net unrealized appreciation of investments, assets and liabilities in
foreign currency and futures contracts ............................... 5,820 701 --
--------- --------- ---------
TOTAL NET ASSETS ........................................................ $ 216,358 $ 66,403 $ 269,743
========= ========= =========
Shares of beneficial interest outstanding
(unlimited authorization, no par value) ................................. 192,851 63,198 269,806
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ......................................... $ 1.122 $ 1.051 $ 1.000
========= ========= =========
</TABLE>
- --------------------------------------------------------
F-27
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS (in 000's) . For the period ended June 30, 1998 (Unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
Select Select Equity
Aggressive International Growth Index
Growth Fund Equity Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2) ........................................................... $ 410 $ 356 $ 1,374 $ 91
Dividends (Note 2) .......................................................... 1,429 6,585 4,930 2,545
Securities lending income (Note 2) .......................................... 117 59 -- --
Less net foreign taxes withheld ............................................. -- (719) -- --
--------- --------- --------- ---------
Total investment income .................................................. 1,956 6,281 6,304 2,636
--------- --------- --------- ---------
EXPENSES
Investment advisory fees (Notes 3and 4) ..................................... 3,026 2,000 1,752 502
Custodian and securities lending fees (Note 3) .............................. 45 180 25 26
Fund accounting fees (Note 3) ............................................... 45 32 50 37
Legal fees .................................................................. 8 5 9 4
Audit fees .................................................................. 6 6 6 5
Trustees' fees and expenses (Note 3) ........................................ 14 9 17 7
Reports to shareholders ..................................................... 64 46 56 33
Insurance ................................................................... 1 -- 1 --
Miscellaneous ............................................................... 2 -- 6 13
--------- --------- --------- ---------
Total expenses before reductions ......................................... 3,211 2,278 1,922 627
Less reductions (Note 5) ................................................. (22) (25) (86) --
--------- --------- --------- ---------
Total expenses net of reductions ......................................... 3,189 2,253 1,836 627
--------- --------- --------- ---------
NET INVESTMENT INCOME (LOSS) ................................................... (1,233) 4,028 4,468 2,009
--------- --------- --------- ---------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold ................................ 57,740 (2,795) 55,519 9,358
Net realized gain on futures contracts ..................................... -- -- -- 136
Net realized gain on foreign currency transactions .......................... -- 5,149 -- --
Net change in unrealized appreciation of assets and liabilities in foreign
currency .................................................................. -- 1,657 -- --
Net change in unrealized appreciation of investments and futures contracts .. 44,512 65,658 48,648 42,591
--------- --------- --------- ---------
NET GAIN (LOSS)ON INVESTMENTS .................................................. 102,252 69,669 104,167 52,085
--------- --------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................... $ 101,019 $ 73,697 $ 108,635 $ 54,094
========= ========= ========= =========
</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) ................................................................. $ 6,568 $ 1,925 $ 7,184
Dividends (Note 2) ................................................................ 160 19 74
Securities lending income (Note 2) ................................................ -- -- --
Less net foreign taxes withheld ................................................... -- -- --
------- ------- -------
Total investment income ........................................................ 6,728 1,944 7,258
------- ------- -------
EXPENSES
Investment advisory fees (Notes 3and 4) ........................................... 443 153 337
Custodian and securities lending fees (Note 3) .................................... 14 6 14
Fund accounting fees (Note 3) ..................................................... 29 21 26
Legal fees ........................................................................ 2 1 3
Audit fees ........................................................................ 5 5 5
Trustees' fees and expenses (Note 3) .............................................. 4 1 6
Reports to shareholders ........................................................... 22 6 13
Insurance ......................................................................... -- -- --
Miscellaneous ..................................................................... 1 5 9
------- ------- -------
Total expenses before reductions ............................................... 520 198 413
Less reductions (Note 5) ....................................................... -- -- --
------- ------- -------
Total expenses net of reductions ............................................... 520 198 413
------- ------- -------
NET INVESTMENT INCOME (LOSS) ......................................................... 6,208 1,746 6,845
------- ------- -------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold ...................................... 979 124 (18)
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 of investments and futures contracts ........ 676 55 --
------- ------- -------
NET GAIN (LOSS)ON INVESTMENTS ........................................................ 1,655 179 (18)
------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................. $ 7,863 $ 1,925 $ 6,827
======= ======= =======
</TABLE>
F-29
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Select Aggressive Select International
Growth Fund Equity Fund
- ---------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period .................................. $ 604,123 $ 407,442 $ 397,915 $ 246,877
--------- --------- --------- ---------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ................................... (1,233) (2,312) 4,028 3,941
Net realized gain (loss) on investments sold and
foreign currency transactions .............................. 57,740 38,455 2,354 14,653
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency and futures contracts ..................... 44,512 49,159 67,315 (6,505)
--------- --------- --------- ---------
Net increase in net assets resulting from operations ........... 101,019 85,302 73,697 12,089
--------- --------- --------- ---------
Distributions to shareholders from:
Net investment income .......................................... -- -- (3,490) (5,222)
Distribution in excess of net investment income ................ -- -- -- (3,846)
Net realized gain on investments ............................... -- (45,242) -- (12,588)
Distribution in excess of net realized
gain on investments ........................................ -- (1,941) -- --
--------- --------- --------- ---------
Total distributions ........................................ -- (47,183) (3,490) (21,656)
--------- --------- --------- ---------
Capital share transactions:
Net proceeds from sales of shares .............................. 50,188 125,270 52,789 156,121
Issued to shareholders in reinvestment of distributions ........ -- 47,183 3,490 21,656
Cost of shares repurchased ..................................... (8,143) (13,891) (30,322) (17,172)
--------- --------- --------- ---------
Net increase from
capital share transactions ............................. 42,045 158,562 25,957 160,605
--------- --------- --------- ---------
Total increase in net assets ............................... 143,064 196,681 96,164 151,038
--------- --------- --------- ---------
NET ASSETS at end of period (including line A) ..................... $ 747,187 $ 604,123 $ 494,079 $ 397,915
========= ========= ========= =========
(A) Undistributed (distribution in excess of)
net investment income (loss) ............................... $ (1,233) $ -- $ 2,593 $ 2,056
========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold ........................................................... 22,230 56,853 33,836 110,808
Issued to shareholders in reinvestment of distributions ........ -- 21,321 2,096 15,986
Repurchased .................................................... (4,993) (6,666) (19,263) (12,167)
--------- --------- --------- ---------
Net increase in shares outstanding ......................... 17,237 71,508 16,669 114,627
========= ========= ========= =========
<CAPTION>
- ---------------------------------------------------------------------------------------------
Growth Fund
- ---------------------------------------------------------------------------------------------
Six Months Ended Year Ended,
June 30, 1998 December 31,
(Unaudited) 1997
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS at beginning of period ......................... $ 728,679 $ 556,751
--------- ---------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) .......................... 4,468 9,740
Net realized gain (loss) on investments sold and
foreign currency transactions ..................... 55,519 108,102
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency and futures contracts ............ 48,648 24,922
--------- ---------
Net increase in net assets resulting from operations .. 108,635 142,764
--------- ---------
Distributions to shareholders from:
Net investment income ................................. (4,575) (9,604)
Distribution in excess of net investment income ....... -- --
Net realized gain on investments ...................... (8,113) (117,671)
Distribution in excess of net realized
gain on investments ............................... -- --
--------- ---------
Total distributions ............................... (12,688) (127,275)
--------- ---------
Capital share transactions:
Net proceeds from sales of shares ..................... 15,327 45,743
Issued to shareholders in reinvestment of distributions 12,687 127,275
Cost of shares repurchased ............................ (11,583) (16,579)
--------- ---------
Net increase from
capital share transactions .................... 16,431 156,439
--------- ---------
Total increase in net assets ...................... 112,378 171,928
--------- ---------
NET ASSETS at end of period (including line A) ............ $ 841,057 $ 728,679
========= =========
(A) Undistributed (distribution in excess of)
net investment income (loss) ...................... $ 28 $ 135
========= =========
OTHER INFORMATION:
Share transactions:
Sold .................................................. 6,392 17,277
Issued to shareholders in reinvestment of distributions 4,533 51,826
Repurchased ........................................... (4,833) (6,222)
--------- ---------
Net increase in shares outstanding ................ 6,092 62,881
========= =========
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-30
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Index Investment Grade
Fund Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period ......................... $ 297,191 $ 151,130 $ 189,503 $ 157,327
------------- ------------- ------------- -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) .......................... 2,009 3,154 6,208 11,198
Net realized gain (loss) on investments sold and
foreign currency transactions ..................... 9,494 8,124 979 207
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency and futures contracts ............ 42,591 49,226 676 4,490
------------- ------------- ------------- -------------
Net increase in net assets resulting from operations .. 54,094 60,504 7,863 15,895
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ................................. (2,070) (3,062) (6,231) (11,253)
Distribution in excess of net investment income ....... -- -- -- (9)
Net realized gain on investments ...................... (592) (7,995) -- --
Distribution in excess of net realized
gain on investments ............................... -- -- -- --
------------- ------------- ------------- -------------
Total distributions ............................... (2,662) (11,057) (6,231) (11,262)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares ..................... 60,697 89,175 21,676 27,270
Issued to shareholders in reinvestment of distributions 2,662 11,057 6,231 11,262
Cost of shares repurchased ............................ (22,369) (3,618) (2,684) (10,989)
------------- ------------- ------------- -------------
Net increase from
capital share transactions .................... 40,990 96,614 25,223 27,543
------------- ------------- ------------- -------------
Total increase in net assets ...................... 92,422 146,061 26,855 32,176
------------- ------------- ------------- -------------
NET ASSETS at end of period (including line A) ............ $ 389,613 $ 297,191 $ 216,358 $ 189,503
============= ============= ============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss) ...................... $ 33 $ 95 $ (5) $ 18
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold .................................................. 21,627 35,527 19,165 24,928
Issued to shareholders in reinvestment of distributions
Repurchased ........................................... 838 4,100 5,578 10,340
(9,014) (1,473) (2,284) (10,070)
Net increase in shares outstanding ................ ------------- ------------- ------------- -------------
13,451 38,154 22,459 25,198
============= ============= ============= =============
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Government Money Market
Bond Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period ......................... $ 55,513 $ 46,396 $ 260,620 $ 217,256
------------- ------------- ------------- -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) .......................... 1,746 2,893 6,845 12,775
Net realized gain (loss) on investments sold and
foreign currency transactions ..................... 124 (70) (18) (8)
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency and futures contracts ............ 55 570 -- --
------------- ------------- ------------- -------------
Net increase in net assets resulting from operations .. 1,925 3,393 6,827 12,767
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ................................. (1,765) (2,898) (6,845) (12,775)
Distribution in excess of net investment income ....... -- -- -- --
Net realized gain on investments ...................... -- -- -- --
Distribution in excess of net realized
gain on investments ............................... -- -- -- --
------------- ------------- ------------- -------------
Total distributions ............................... (1,765) (2,898) (6,845) (12,775)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares ..................... 11,319 13,847 119,084 198,111
Issued to shareholders in reinvestment of distributions 1,765 2,898 6,845 12,775
Cost of shares repurchased ............................ (2,354) (8,123) (116,788) (167,514)
------------- ------------- ------------- -------------
Net increase from
capital share transactions .................... 10,730 8,622 9,141 43,372
------------- ------------- ------------- -------------
Total increase in net assets ...................... 10,890 9,117 9,123 43,364
------------- ------------- ------------- -------------
NET ASSETS at end of period (including line A) ............ $ 66,403 $ 55,513 $ 269,743 $ 260,620
============= ============= ============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss) ...................... $ (15) $ 4 $ -- $ --
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold .................................................. 10,698 13,258 119,085 198,111
Issued to shareholders in reinvestment of distributions 1,802 2,801 6,845 12,775
Repurchased ........................................... (2,343) (7,820) (116,788) (167,514)
------------- ------------- ------------- -------------
Net increase in shares outstanding ................ 10,157 8,239 9,142 43,372
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-31
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- ------------------------------------------------------------------------------------------------------------------------------------
Income from Investment Operations Less Distributions
----------------------------------------------- ---------------------------------------------------
Net Realized
Net and Distributions
Asset Net Unrealized Dividends from Net
Value Investment Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Income on Investment Investment Capital in Return of
December 31, of Period (Loss)/(2)/ Investments Operations Income Gains Excess Capital
- ------------------- --------- ----------- ----------- ----------- ---------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 2.225 (0.004) 0.366 0.362 -- -- -- --
1997 2.037 (0.009) 0.387 0.378 -- (0.182) (0.008)/(3)/ --
1996 1.848 (0.009) 0.351 0.342 -- (0.153) -- --
1995 1.397 (0.001) 0.452 0.451 -- -- -- --
1994 1.431 (0.002) (0.032) (0.034) -- -- -- --
1993 1.197 0.001 0.234 0.235 (0.001) -- -- --
1992 1.000 0.001 0.197 0.198 (0.001) -- -- --
Select International
Equity Fund/(1)/
1998/(D)/ 1.341 0.012 0.235 0.247 (0.011) -- -- --
1997 1.356 0.015 0.049 0.064 (0.019) (0.046) (0.014)/(4)/ --
1996 1.136 0.011 0.238 0.249 (0.012) (0.003) (0.014)/(4)/ --
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) -- --
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) -- --
Growth Fund/(1)/
1998/(D)/ 2.416 0.015 0.345 0.360 (0.015) (0.027) -- --
1997 2.333 0.039 0.540 0.579 (0.038) (0.458) -- --
1996 2.176 0.047 0.386 0.433 (0.048) (0.228) -- --
1995 1.814 0.049 0.539 0.588 (0.049) (0.177) -- --
1994 1.939 0.043 (0.041) 0.002 (0.043) (0.084) -- --
1993 2.034 0.039 0.095 0.134 (0.039) (0.180) -- (0.010)
1992 1.976 0.034 0.105 0.139 (0.034) (0.047) -- --
1991 1.471 0.038 0.548 0.586 (0.039) (0.042) -- --
1990 1.558 0.041 (0.047) (0.006) (0.041) (0.040) -- --
1989 1.308 0.043 0.289 0.332 (0.046) (0.036) -- --
1988 1.147 0.037 0.200 0.237 (0.037) (0.039) -- --
</TABLE>
<TABLE>
<CAPTION>
Less Distributions
----------------------------
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
- ------------------- ------------- ----------
<S> <C> <C>
Select Aggressive
Growth Fund/(1)/
1998/(D)/ -- 0.362
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)/
1998/(D)/ (0.011) 0.236
1997 (0.079) (0.015)
1996 (0.029) 0.220
1995 (0.016) 0.173
1994 (0.002) (0.037)
Growth Fund/(1)/
1998/(D)/ (0.042) 0.318
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
</TABLE>
- ------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements, waivers, and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1998 (Unaudited)
(E) For period ended June 30, 1998 (Unaudited)
(1) The Select Aggressive Growth Fund commenced operations on August 21, 1992.
The Select International Equity Fund commenced operations on May 2, 1994.
The Growth Fund changed sub-advisers on April 1, 1988.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were ($0.004) for the six months ended
June 30, 1998, $(0.010) in 1997, $0.000 in 1993 and $(0.001) in 1992 for
Select Aggressive Growth Fund; $0.012 for the six months ended June 30,
1998, $0.015 in 1997, $0.011 in 1996 and $0.002 in 1994 for Select
International Equity Fund, and $0.015 for the six months ended June 30,
1998, $0.038 in 1997, $0.046 in 1996, and $0.038 in 1993 for Growth 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
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
---------------------------------------------------------------------------------
Ratios To Average Net Assets
-----------------------------------------------------------------
Net Asset Net Assets
Value End of Net
Year Ended End of Total Period Investment Operating Expenses
December 31, Period Return (000's) Income (Loss) (A) (B) (C)
- ------------------- ---------- ---------- ----------- ------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 2.587 16.27%** 747,187 (0.36)%* 0.93%* 0.94%* 0.94%*
1997 2.225 18.71% 604,123 (0.45)% 0.99% 1.04% 1.04%
1996 2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08%
1995 1.848 32.28% 254,872 (0.07)% 1.09% -- 1.09%
1994 1.397 (2.31)% 136,573 (0.21)% 1.16% -- 1.16%
1993 1.431 19.51% 66,251 0.10% 1.19% -- 1.23%
1992 1.197 19.85%** 9,270 0.34%* 1.35%* -- 1.88%*
Select International
Equity Fund/(1)/
1998/(D)/ 1.577 18.43%** 494,079 1.81%* 1.07%* 1.08%* 1.08%*
1997 1.341 4.65% 397,915 1.17% 1.15% 1.17% 1.17%
1996 1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23%
1995 1.136 19.63% 104,312 1.68% 1.24% -- 1.24%
1994 0.963 (3.49)%** 40,498 0.87%* 1.50%* -- 1.78%*
Growth Fund/(1)/
1998/(D)/ 2.734 14.90%** 841,057 1.50%* 0.47%* 0.49%* 0.49%*
1997 2.416 25.14% 728,679 1.48% 0.47% 0.49% 0.49%
1996 2.333 20.19% 556,751 2.04% 0.48% 0.51% 0.51%
1995 2.176 32.80% 444,871 2.34% 0.54% -- 0.54%
1994 1.814 0.16% 335,714 2.25% 0.56% -- 0.56%
1993 1.939 6.66% 338,545 1.92% 0.54% -- 0.55%
1992 2.034 7.11% 270,828 1.85% 0.58% -- 0.58%
1991 1.976 40.44% 182,965 2.26% 0.57% -- 0.57%
1990 1.471 (0.30)% 97,179 2.82% 0.60% -- 0.60%
1989 1.558 25.64% 76,783 2.98% 0.71% -- 0.71%
1988 1.308 20.80%/(4)/ 52,439 2.93% 0.75% -- 0.75%
</TABLE>
<TABLE>
<CAPTION>
Portfolio
Year Ended Management Fee Turnover
December 31, Gross Net Rate
- ------------------- -------- --------- ---------------
<S> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 0.88%* 0.88%* 53%
1997 0.95% 0.95% 95%
1996 1.00% 1.00% 113%
1995 1.00% 1.00% 104%
1994 1.00% 1.00% 100%
1993 1.00% 0.96% 76%
1992 N/A N/A 33%
Select International
Equity Fund/(1)/
1998/(D)/ 0.90%* 0.90%* 15%
1997 0.97% 0.97% 20%
1996 1.00% 1.00% 18%
1995 1.00% 1.00% 24%
1994 1.00%* 0.72%* 19%
Growth Fund/(1)/
1998/(D)/ 0.44%* 0.44%* 42%
1997 0.43% 0.43% 79%
1996 0.44% 0.44% 72%
1995 0.46% 0.46% 64%
1994 0.48% 0.48% 46%
1993 0.49% 0.48% 42%
1992 N/A N/A 19%
1991 N/A N/A 24%
1990 N/A N/A 39%
1989 N/A N/A 33%
1988 N/A N/A 99%
</TABLE>
F-33
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
--------------------------------------------------- --------------------------------------------------
Net Realized
Net and Distributions
Asset Unrealized Dividends from Net
Value Net Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Investment on Investment Investment Capital in Return of
December 31, of Period Income/(2)/ Investments Operations Income Gains Excess Capital
------------ --------- ----------- ------------- ----------- ----------- ------------ ------------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Equity Index Fund/(1)/
1998/(D)/ 2.753 0.017 0.462 0.479 (0.018) (0.005) -- --
1997 2.165 0.034 0.664 0.698 (0.033) (0.077) -- --
1996 1.827 0.035 0.370 0.405 (0.035) (0.032) -- --
1995 1.468 0.035 0.474 0.509 (0.035) (0.047) (0.002)/(3)/ (0.066)
1994 1.505 0.033 (0.018) 0.015 (0.033) (0.019) -- --
1993 1.409 0.032 0.102 0.134 (0.031) (0.007) -- --
1992 1.354 0.030 0.066 0.096 (0.031) (0.010) -- --
1991 1.080 0.032 0.279 0.311 (0.032) (0.005) -- --
1990 1.000 0.009 0.080 0.089 (0.009) -- -- --
Investment Grade
Income Fund
1998/(D)/ 1.112 0.033 0.011 0.044 (0.034) -- -- --
1997 1.084 0.071 0.028 0.099 (0.071) -- -- --
1996 1.117 0.070 (0.033) 0.037 (0.070) -- -- --
1995 1.012 0.071 0.106 0.177 (0.071) -- (0.001)/(4)/ --
1994 1.111 0.066 (0.099) (0.033) (0.066) -- -- --
1993 1.074 0.065 0.049 0.114 (0.065) (0.012) -- --
1992 1.085 0.075 0.013 0.088 (0.075) (0.024) -- --
1991 1.004 0.080 0.081 0.161 (0.080) -- -- --
1990 1.011 0.083 (0.006) 0.077 (0.084) -- -- --
1989 0.968 0.082 0.044 0.126 (0.083) -- -- --
1988 0.974 0.084 (0.006) 0.078 (0.084) -- -- --
<CAPTION>
-------------
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
------------- ----------
<S> <C> <C>
Equity Index Fund/(1)/
1998/(D)/ (0.023) 0.456
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
Investment Grade
Income Fund
1998/(D)/ (0.034) 0.010
1997 (0.071) 0.028
1996 (0.070) (0.033)
1995 (0.072) 0.105
1994 (0.066) (0.099)
1993 (0.077) 0.037
1992 (0.099) (0.011)
1991 (0.080) 0.081
1990 (0.084) (0.007)
1989 (0.083) 0.043
1988 (0.084) (0.006)
- -----------------------------------------
</TABLE>
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1998 (Unaudited)
(E) For period ended June 30, 1998 (Unaudited)
(1) The Equity Index Fund commenced operations on September 28, 1990.
(2) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.031 in 1993, $0.028 in 1992, and
$0.031 in 1991 for Equity Index Fund, and $0.065 in 1993 for Investment
Grade Income Fund.
(3) Distributions in excess of net realized capital gains.
(4) Unaudited
See Notes to Financial Statements.
---------------------------------------------------------
F-34
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------------
Ratios To Average Net Assets
--------------------------------------------------------------------------------
Net Asset Net Assets
Value End of Net
Year Ended End of Total Period Investment Operating Expenses
December 31, Period Return (000's) Income (Loss) (A) (B) (C)
------------ ---------- ---------- ----------- ------------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Equity Index Fund/(1)/
1998/(D)/ 3.209 17.40%** 389,613 1.18%* 0.37%* 0.37%* 0.37%*
1997 2.753 32.41% 297,190 1.38% 0.44% 0.44% 0.44%
1996 2.165 22.30% 151,129 1.79% 0.46% 0.46% 0.46%
1995 1.827 36.18% 90,889 1.96% 0.55% -- 0.55%
1994 1.468 1.06% 52,246 2.25% 0.57% -- 0.57%
1993 1.505 9.53% 42,842 2.28% 0.57% -- 0.63%
1992 1.409 7.25% 22,393 2.47% 0.57% -- 0.75%
1991 1.354 29.16% 9,700 2.73% 0.55% -- 0.64%
1990 1.080 8.90%** 5,469 3.39%* 0.38%* -- 0.38%*
Investment Grade
Income Fund
1998/(D)/ 1.122 3.96%** 216,358 6.12%* 0.51%* 0.51%* 0.51%*
1997 1.112 9.45% 189,503 6.48% 0.51% 0.51% 0.51%
1996 1.084 3.56% 157,327 6.50% 0.52% 0.52% 0.52%
1995 1.117 17.84% 141,625 6.66% 0.53% -- 0.53%
1994 1.012 (2.96)% 109,972 6.25% 0.58% -- 0.58%
1993 1.111 10.80% 107,124 6.16% 0.54% -- 0.55%
1992 1.074 8.33% 52,874 7.25% 0.59% -- 0.59%
1991 1.085 16.75% 29,018 8.10% 0.60% -- 0.60%
1990 1.004 8.02% 18,226 9.14% 0.56% -- 0.56%
1989 1.011 13.52% 13,171 8.67% 0.78% -- 0.78%
1988 0.968 8.20% 8,951 8.57% 0.77% -- 0.77%
<CAPTION>
Portfolio
Year Ended Management Fee Turnover
December 31, Gross Net Rate
------------ -------- -------- -------------
<S> <C> <C> <C>
Equity Index Fund/(1)/
1998/(D)/ 0.29%* 0.29%* 17%
1997 0.31% 0.31% 9%
1996 0.32% 0.32% 12%
1995 0.34% 0.34% 8%
1994 0.35% 0.35% 7%
1993 0.35% 0.29% 4%
1992 N/A N/A 6%
1991 N/A N/A 6%
1990 N/A N/A 1%
Investment Grade
Income Fund
1998/(D)/ 0.44%* 0.44%* 54%
1997 0.41% 0.41% 48%
1996 0.40% 0.40% 108%
1995 0.41% 0.41% 126%
1994 0.42% 0.42% 129%
1993 0.45% 0.44% 55%
1992 N/A N/A 71%
1991 N/A N/A 52%
1990 N/A N/A 5%
1989 N/A N/A 4%
1988 N/A N/A 12%
</TABLE>
F-35
<PAGE>
- -------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------------------------------------------------------
Income from Investment Operations Less Distributions
--------------------------------------------------- ----------------------------------------------------
Net Realized
Net and Distributions
Asset Unrealized Dividends from Net
Value Net Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Investment on Investment Investment Capital in Return of
December 31, of Period Income/(3)/ Investments Operations Income Gains Excess Capital
- ------------ ----------- ----------- ----------- ----------- ------------ ------------ ------------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Government
Bond Fund/(1)/
1998/(D)/ $ 1.047 $ 0.029 $ 0.004 $ 0.033 $ (0.029) $ -- $ -- $ --
1997 1.036 0.061 0.011 0.072 (0.061) -- -- --
1996 1.062 0.062 (0.026) 0.036 (0.062) -- -- --
1995 0.997 0.062 0.066 0.128 (0.062) -- (0.001)/(2)/ --
1994 1.070 0.063 (0.073) (0.010) (0.063) -- -- --
1993 1.051 0.055 0.024 0.079 (0.055) (0.003) -- (0.002)
1992 1.047 0.057 0.009 0.066 (0.057) (0.005) -- --
1991 1.000 0.022 0.051 0.073 (0.022) (0.004) -- --
Money Market
Fund
1998/(D)/ 1.000 0.026 -- 0.026 (0.026) -- -- --
1997 1.000 0.053 -- 0.053 (0.053) -- -- --
1996 1.000 0.052 -- 0.052 (0.052) -- -- --
1995 1.000 0.057 -- 0.057 (0.057) -- -- --
1994 1.000 0.039 -- 0.039 (0.039) -- -- --
1993 1.000 0.030 -- 0.030 (0.030) -- -- --
1992 1.000 0.037 -- 0.037 (0.037) -- -- --
1991 1.000 0.060 -- 0.060 (0.060) -- -- --
1990 1.000 0.078 -- 0.078 (0.078) -- -- --
1989 1.000 0.086 -- 0.086 (0.086) -- -- --
1988 1.000 0.071 -- 0.071 (0.071) -- -- --
<CAPTION>
Less Distributions
--------------------------------------
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
- ------------ --------------- --------------
<S> <C> <C>
Government
Bond Fund/(1)/
1998/(D)/ $ (0.029) $ 0.004
1997 (0.061) 0.011
1996 (0.062) (0.026)
1995 (0.063) 0.065
1994 (0.063) (0.073)
1993 (0.060) 0.019
1992 (0.062) 0.004
1991 (0.026) 0.047
Money Market
Fund
1998/(D)/ (0.026) --
1997 (0.053) --
1996 (0.052) --
1995 (0.057) --
1994 (0.039) --
1993 (0.030) --
1992 (0.037) --
1991 (0.060) --
1990 (0.078) --
1989 (0.086) --
1988 (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) Six months ended June 30, 1998 (Unaudited)
(1) The Government Bond Fund commenced operations on August 26, 1991.
(2) Distributions in excess of net investment income.
(3) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.055 in 1993 and $0.056 in
1992 for Government Bond Fund; and $0.030 in 1993 and $0.084 in 1988
for Money Market Fund.
(4) Unaudited
See Notes to Financial Statements.
---------------------------------------------------------
F-36
<PAGE>
- -------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
-----------------------------------------------------------------------------------------
Ratios To Average Net Assets
--------------------------------------------------------------------
Net Asset Net Assets
Value End of Net
Year Ended End of Total Period Investment Operating Expenses
December 31, Period Return (000's) Income (A) (B) (C)
- ------------ --------- --------- ---------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Government
Bond Fund/(1)/
1998/(D)/ $ 1.051 3.20%** $ 66,403 5.71%* 0.65%* 0.65%* 0.65%*
1997 1.047 7.08% 55,513 5.92% 0.67% 0.67% 0.67%
1996 1.036 3.51% 46,396 5.90% 0.66% 0.66% 0.66%
1995 1.062 13.06% 45,778 5.91% 0.69% -- 0.69%
1994 0.997 (0.88)% 42,078 5.60% 0.70% -- 0.70%
1993 1.070 7.51% 77,105 5.51% 0.61% -- 0.62%
1992 1.051 6.59% 33,689 6.13% 0.68% -- 0.69%
1991 1.047 7.60%** 7,591 5.55%* 0.54%* -- 0.54%*
Money Market
Fund
1998/(D)/ 1.000 2.74%** 269,743 5.45%* 0.33%* 0.33%* 0.33%*
1997 1.000 5.47% 260,620 5.33% 0.35% 0.35% 0.35%
1996 1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34%
1995 1.000 5.84% 155,211 5.68% 0.36% -- 0.36%
1994 1.000 3.93% 95,991 3.94% 0.45% -- 0.45%
1993 1.000 3.00% 71,052 2.95% 0.42% -- 0.43%
1992 1.000 3.78% 64,506 3.65% 0.44% -- 0.44%
1991 1.000 6.67% 39,909 5.98% 0.43% -- 0.43%
1990 1.000 8.63% 28,330 8.22% 0.42% -- 0.42%
1989 1.000 9.69% 12,060 8.62% 0.58% -- 0.58%
1988 1.000 7.30%/(4)/ 7,156 7.13% 0.60% -- 0.71%
<CAPTION>
Portfolio
Year Ended Management Fee Turnover
December 31, Gross Net Rate
- -------------- -------- ---------- ---------
<S> <C> <C> <C>
Government
Bond Fund/(1)/
1998/(D)/ 0.50%* 0.50%* 45%
1997 0.50% 0.50% 56%
1996 0.50% 0.50% 112%
1995 0.50% 0.50% 180%
1994 0.50% 0.50% 106%
1993 0.50% 0.49% 35%
1992 N/A N/A 67%
1991 N/A N/A 65%
Money Market
Fund
1998/(D)/ 0.27%* 0.27%* N/A
1997 0.27% 0.27% N/A
1996 0.28% 0.28% N/A
1995 0.29% 0.29% N/A
1994 0.31% 0.31% N/A
1993 0.32% 0.31% N/A
1992 N/A N/A N/A
1991 N/A N/A N/A
1990 N/A N/A N/A
1989 N/A N/A N/A
1988 N/A N/A N/A
</TABLE>
- -----------------------------------------------------
37
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company established as a Massachusetts business trust for the purpose
of providing a vehicle for the investment of assets of various separate accounts
established by Allmerica Financial Life Insurance and Annuity Company
("Allmerica Financial"), a wholly-owned subsidiary of First Allmerica Financial
Life Insurance Company ("First Allmerica") or other affiliated insurance
companies. As of the date of this report, the Trust offered fourteen managed
investment portfolios. The accompanying financial statements and financial
highlights are those of the Select 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.
F-38
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis and consists of interest accrued and, if applicable, discounts
earned on original issue discount bonds, zero coupton bonds, stepped-coupon
bonds and payment in kind bonds, which are accreted. Dividend income is recorded
on the ex-dividend date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio intends to qualify as a "regulated
investment company" under Subchapter M of the Internal Revenue Code of 1986, as
amended. By so qualifying, each Portfolio will not be subject to Federal income
taxes to the extent it distributes all of its taxable income and net realized
gains for the tax year ending December 31. In addition, by distributing during
each calendar year substantially all of its net investment income, capital gains
and certain other amounts, if any, each Portfolio will not be subject to Federal
excise tax. Therefore, no Federal income tax provision is required. Withholding
taxes on foreign dividend income and gains have been paid or provided for in
accordance with the applicable country's tax rules and rates.
Distributions to Shareholders: Dividends from net investment income are declared
and reinvested daily for the Money Market Fund, declared and distributed
quarterly for the 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.
Securities Lending: Each Portfolio, using Bankers Trust Company ("Bankers
Trust") as their agent, may loan securities to brokers who pay the Portfolio
negotiated lenders' fees. These fees are disclosed as "securities lending
income" on the Statements of Operations. Each applicable Portfolio receives
obligations of the U.S. government and its agencies, cash and /or cash
equivalents as collateral against the loaned securities, in an amount at least
equal to 102% of the market value of the loaned securities at the inception of
each loan. This collateral must be maintained at not less than 100% of the
market value of the loaned securities during the period of the loan. Information
regarding the value of the securities loaned and the value of collateral at
period end is included under the caption "Other Information" at the end of each
applicable Portfolio's schedule of investments.
Each Portfolio pays Bankers Trust fees for its services equal to 25% of net
income from the securities lending program. For the period end, the Select
Aggressive Growth Fund and Select International Equity Fund paid Bankers Trust
$29,309 and $14,626, respectively.
F-39
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: The Investment Grade Income Fund, Government Bond Fund and
Money Market Fund may enter into contracts to purchase securities for a fixed
price at a specified future date beyond customary settlement time ("forward
commitments"). If the Portfolios do so, they will maintain cash or other liquid
obligations having a value in an amount at all times sufficient to meet the
purchase price. Forward commitments involve a risk of loss if the value of the
security to be purchased declines prior to the settlement date. Although the
Portfolios generally will enter into forward commitments with the intention of
acquiring securities for their portfolio, they may dispose of a commitment prior
to settlement if their Sub-Adviser deems it appropriate to do so.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Sub-Adviser has determined are
creditworthy pursuant to guidelines established by the Trust's Board of
Trustees. Each repurchase agreement transaction is recorded at cost. Each
Portfolio requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian in a manner that is intended
to enable the Portfolio to obtain those securities in the event of a
counterparty default. The Investment Adviser monitors the value of the
securities, including accrued interest, daily to ensure that the value of the
collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon the Portfolio's ability to dispose of the underlying securities, and a
possible decline in the value of the underlying securities during the period
while the Portfolio seeks to assert its rights.
3. INVESTMENT ADVISORY, ADMINISTRATION AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Financial Investment Management Services, Inc. (the "Manager"), a
wholly-owned subsidiary of First Allmerica, serves as Investment Adviser and
Administrator to the Trust. The Manager succeeded Allmerica Investment
Management Company, Inc. as manager of the Trust on April 16, 1998. Under the
terms of the management agreement, the Portfolios pay a management fee,
calculated daily and payable monthly, at an annual rate based upon the following
fee schedules:
<TABLE>
<CAPTION>
Percentage of Average Daily Net Assets
First Next Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $750,000,000
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Select 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>
F-40
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
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.
Miller Anderson & Sherrerd, LLP manages certain assets for First Allmerica and
its affiliates. Standish, Ayer & Wood, Inc. also currently serves as investment
adviser to an institutional account sponsored by First Allmerica.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("Investor Services Group"), a wholly-owned
subsidiary of First Data Corporation, whereby Investor Services Group performs
certain administrative services for the Portfolios and is entitled to receive an
administrative fee and certain out-of-pocket expenses. The Manager is solely
responsible for the payment of the administration fee to Investor Services
Group. In a separate agreement, Investor Services Group receives separate fees
from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
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 Aggressive
Growth Fund - 1.35%, Select International Equity Fund - 1.50%, 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 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. During the six months ended June 30, 1998, First Allmerica redeemed
5,231,487 shares of Select International Equity, and 6,353,213 shares of Equity
Index.
F-41
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
7. FOREIGN SECURITIES AND EMERGING MARKETS
All Portfolios, except the Government Bond Fund, may purchase securities of
foreign issuers. The Money Market Fund may invest in only U.S. dollar
denominated foreign securities. Investing in foreign securities involves special
risks not typically associated with investing in securities of U.S. issuers. The
risks include revaluation of currencies and future adverse political and
economic developments. Moreover, securities of many foreign issuers and their
markets may be less liquid and their prices more volatile than those of
securities of comparable U.S. issuers.
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options
transactions, and forward foreign currency contracts involves risk other than
that reflected in the Statements of Assets and Liabilities. Risks associated
with these instruments include the potential for an imperfect correlation
between the movements in the price of the instruments and the price of the
underlying securities and interest rates, an illiquid secondary market for the
instruments or inability of counterparties to perform under the terms of the
contracts, and changes in the value of foreign currency relative to the U.S.
dollar. The Select International Equity Fund may enter into these forward
contracts primarily to protect the Portfolio from adverse currency movement.
F-42
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------
The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is neither insured nor guaranteed by the
U.S. Government, and there can be no assurance that the Portfolio will be able
to maintain a stable net asset value of $1.00 per share.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the 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
- --------------------------------------------------------------------------------
This semi-annual report includes financial statements for Allmerica Investment
Trust. It does not include financial statements for the separate accounts that
correspond to the Allmerica IRA contracts. Separate account financial statements
are not provided.
F-43
<PAGE>
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<PAGE>
Allmerica IRA
Allmerica Financial is a diversified group of insurance and financial services
companies. 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 INSURANCE MARKETPLACE STANDARDS ASSOCIATION APPEARS HERE]
[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
