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Allmerica Financial Services Semi-Annual Report
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JUNE 30, 1999
Allmerica IRA
[IMAGE APPEARS HERE]
[LOGO OF
ALLMERICA
FINANCIAL(R)
APPEARS HERE]
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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-39
A particular Fund may not be available under the group variable annuity which
you have chosen. Inclusion in this semi-annual report of a Fund which is not
available under your policy is not to be considered a solicitation.
Table of Contents 1
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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
General Distributor
Allmerica Investments, Inc.
440 Lincoln Street, Worcester, MA 01653
Independent Accountants
PricewaterhouseCoopers LLP
160 Federal Street, Boston, MA 02110
Administrator and Custodian
Investors Bank & Trust Company
200 Clarendon Street, Boston, MA 02116
Legal Counsel
Ropes & Gray
One International Place, Boston, MA 02110
Officers of Allmerica Investment Trust (AIT)
Richard M. Reilly, President
Paul T. Kane, Treasurer
George M. Boyd, Secretary
Board of Trustees of AIT
John F. O'Brien, Chairman
P. Kevin Condron/1/
Cynthia A. Hargadon/1/
Gordon Holmes/1/
John P. Kavanaugh
Bruce E. Langton/1/
Attiat F. Ott/1/
Richard M. Reilly
Ranne P. Warner/1/
/1/Independent Trustees
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
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
2 General Information
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[PHOTO APPEARS HERE]
Dear Client:
The U.S. equity market continued its strong performance into the first half
of 1999, rising over 12% as measured by the S&P 500 Index. The first quarter
showed a continuation of the trends which had been in place for some time, with
strength coming from large-cap growth stocks. Beginning in April, however,
sentiment changed and large-cap value, small- and mid-cap stocks as well as
emerging market stocks began to lead the market higher. The outlook for emerging
markets appears to have been the catalyst for the significant shift in
sentiment. In January, Brazil successfully devalued its currency without
creating turmoil throughout the region. Meanwhile, other emerging markets showed
signs of stability and even growth. Apparently investors felt that the worst of
the emerging markets crisis was past and they could move away from the
high-quality stocks they fled to last fall, in search of issues which
represented better value. Investors found value in basic industries and cyclical
stocks, causing large-cap value stocks to post a strong quarter. Investors also
moved into small-cap stocks and emerging markets causing the Russell 2000 and
MSCI Emerging Markets Free Indices to increase over 15% and 24% respectively
during the second quarter.
At Allmerica, we take an institutional approach to investing. That means we hire
investment managers to manage against very specific indices and carefully
evaluate their relative and absolute performance every quarter. Within the
market context just described, our managers continued to perform well against
their peers. U.S. large-cap and emerging market funds tended to produce solid
returns throughout the six month period. Those funds focusing on large-cap
value, small- and mid-cap companies had to wait until the second quarter before
producing strong absolute returns. Our fixed income and international equity
managers also performed well, although absolute returns were somewhat lower as
managers worked against rising interest rates and a slowing European economy
respectively.
An integral part of our Manager of Managers approach to investing is the ongoing
manager evaluation work of the Investment Operations Committee. In February
1999, the Committee presented the Allmerica Investment Trust Board of Trustees
with an alternative investment manager for the Select Growth and Income Fund.
Following a Board vote, J.P. Morgan Investment Management Inc. assumed
sub-advisory responsibility for the Fund effective April 1, 1999. While
replacing a manager is never easy, the Committee and The Trustees of Allmerica
Investment Trust continue to demonstrate that they will make the difficult
decisions as we seek to offer you an array of outstanding investment options.
For more information on these and all of our funds, please read the market
overviews and managers' commentaries found later in this report.
Once again we urge you to work closely with your financial advisor to build a
diversified portfolio that will meet your needs and benefit from the inevitable
changes in the market such as those we have seen in the first half of 1999.
On behalf of the Board of Trustees,
/s/John F. O'Brien
President, CEO
First Allmerica Financial Life Insurance Company
A Letter from the President 3
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Allmerica IRA
Average Annual Total Returns as of 6/30/99
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 than
their original cost.
4 Performance Disclosure
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Overview
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1995: Favorable economic conditions result in large gains for the U.S. equity
markets. Europe turns in strongest performance of international equity markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
1997: Robust economic growth, declining interest rates and low unemployment
produce a third consecutive year of unprecedented gains for the U.S. stock
market.
1998: Worldwide economic problems cause considerable volatility for stocks. Yet,
the market posts its fourth consecutive year of double-digit gains.
1999: Signs of a global economic recovery boost the performance of commodities
issues. Investors shift their interest away from growth stocks in favor of more
attractively valued small- and mid-cap stocks.
The first six months of 1999 witnessed signs of a global economic recovery,
inducing a market rotation in favor of small- and mid-cap stocks, as well as
value stocks. In response to recovering developed and emerging markets, as well
as continued U.S. economic growth, investors shifted their attention away from
the more popular growth stocks toward opportunities in the broader market.
As the year began, investors gained confidence from the smooth introduction of
the euro, but worried about emerging markets and the impact of a potential
devaluation of the Brazilian currency. The financial contagion accompanying last
year's devaluation of the Russian ruble was clearly on investors' minds.
However, fears that Brazil would take emerging markets lower proved to be
unfounded, as Brazil's January currency devaluation was accepted quite well by
the world's markets. Ultimately, greater price and currency stability enabled
interest rates to fall throughout Latin America and Asia, helping the equity
markets. Investor confidence in the recovery of worldwide economies boosted the
performance of commodities issues, including oil, utility, and paper companies.
Helped by falling interest rates, government fiscal stimulus policies, and the
interest of American investors, Japan made a striking comeback as the best
performer among the world's major markets so far this year. Significant
contributors included Toshiba, Murata Manufacturing, and Takeda Chemical. The
European Central Bank surprised the markets in April by cutting rates by 0.50%,
sparking an all-time high in consumer confidence. The European stock markets
rallied further once the U.S. Federal Reserve decided to adopt a neutral bias
after imposing an interest rate increase of 0.25% on June 30. Positive economic
news emerged out of Germany and France. One notable performer was the German
telecommunications company, Man-nesmann, having successfully made a host of
acquisitions including Tel- ecom Italia. The outstanding performance of
commodity-based stocks
[TIME LINE APPEARS HERE]
1999 JAN
Brazil devalues their currency and fears that a Brazilian "contagion" would
emerge, failed to materialize. Ultimately, greater price and currency stability
enable interest rates to fall in Latin America and Asia.
[GRAPHIC APPEARS HERE] FEB
Investor confidence in global economic recovery promotes commodity-based stocks.
The petroleum market stabilizes, helping to drive stocks higher in the energy
sector.
[GRAPHIC APPEARS HERE] MAR
Japan makes a striking comeback as the best performer among the world's major
markets due to falling interest rates, fiscal stimulus policies, and the
interest of American investors.
6 Domestic & International Equity Market Overview
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brightened the horizon on both domestic and international fronts. As a result,
investor interest turned toward exporting companies from Australia and New
Zealand. The subsequent stabilization of the petroleum market contributed to an
increase in oil prices, helping to drive stocks higher in the energy sector.
Corporate profits in the U.S. continued to be troubled by problems in the Asian
market early in the year. Large gains continued within a select group of
large-cap and Internet stocks with very poor performance across the rest of the
market. Weaker demand for most commodities and exports from the U.S. muted
pricing power for many industries. Investors gravitated to stocks where revenue
growth was strong such as the Internet, health care, and large "brand name"
stocks. Old growth stocks were eclipsed by the new with America Online
surpassing Coca-Cola in market value. Mergers also gave the market a lift as BP
Amoco acquired Atlantic Richfield, BankBoston and Fleet agreed to merge, and the
AT&T-TCI deal was completed.
However, by the second quarter, the U.S. corporate profits recession appeared to
be ending. As a result, small- and mid-cap stocks experienced a revival as
investors turned their interest toward more value-oriented stocks.
Unfortunately, the growth sectors of the market weakened as the profit outlook
for growth stocks became overshadowed by fears that a renewed confidence in a
global economic recovery would lead to higher rates. With the broadening in the
market, investors adopted a renewed interest in the heavy industry sector, as
well as the basic materials, energy, consumer durables, retail trade and
financial sectors. The longest bull market in U.S. history continued its
stampede, enabling the financial sector to rebound from the lows of last
October. Health care became the weakest performing sector, suffering from
underperformance of large pharmaceutical holdings caused by reductions in
Medicare reimbursements.
Looking ahead, the Federal Reserve's proactive interest rate increase could keep
the economy in a modest growth phase as they work to keep inflation in check.
Improving global economic conditions should continue to encourage investors, who
have enjoyed, thus far, a welcome broadening in the market. It is expected that
the euro will rise toward the end of the year if the European markets continue
to gain strength. Investors are cautious with regard to Japan and Asia. For
Japan, the road toward economic recovery will be long and difficult, and the
commitment to reform may dissolve in Asia if their economies and asset prices
keep rising. Similarly, the economic outlook is still tenuous in Latin America
where there is alarming sensitivity to interest rate fluctuations, and the real
potential for political opposition in Brazil could impede economic progress.
[TIME LINE APPEARS HERE]
[GRAPH APPEARS HERE] APR
The European Central Bank surprises the markets by cutting rates by 0.50%,
sparking an all-time high in consumer confidence.
MAY
Growth sectors of the market weaken, over fears that the recovery of worldwide
economies would lead to higher interest rates. Small- and mid-cap stocks
experience a revival as investors renew their interest in attractively valued
securities within the broader market.
[GRAPH APPEARS HERE] JUN
In an effort to prevent inflation, the U.S. Federal Reserve raises interest
rates 0.25%. European markets rally once the Fed decides to loosen its
tightening bias in favor of a neutral interest rate position.
Domestic & International Equity Market Overview 7
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The Select Aggressive Growth Fund returned 13.37% for the first half,
outperforming the Russell 2500 Index's return of 10.88%, but slightly trailing
the Lipper Capital Appreciation Funds Average, which returned 13.68%.
Market leadership shifted rapidly in the second quarter as a robust domestic and
global economy led to a strong rebound in cyclical stocks. Technology issues had
an exceptional first quarter on the strong performance of telecommunications and
internet-related stocks.
After underperforming large-cap stocks in the first quarter, smaller-cap stocks
exhibited exceptional performance throughout the second quarter. In the second
quarter, Asia's emerging markets roared back for their best performing quarter
in years. Declining interest rates and increasing liquidity drove returns. This
improvement in the economies of many emerging markets removed one of the
concerns of U.S. investors, encouraging them to look past a handful of large-cap
growth stocks for investment opportunities. Greater recognition of fundamental
strengths and attractive valuations helped spur the recent gains.
Strong stock selection in the retail trade sector helped performance.
Electronics and clothing chain stocks also drove performance. A relative
underweighting along with strong stock selection in the financial services
sector contributed to performance.
The Fed raised a key short-term interest rate by 0.25% on June 30, and shifted
its monetary policy stance to a neutral bias from its previous tightening
stance. These steps could keep the economy in a modest growth phase and limit
inflation concerns - both positives for the stock market. The Fund's manager
remains confident that the application of its proven, bottom-up investment
philosophy will continue to uncover promising stocks that can deliver solid
returns for long-term investors.
Investment Sub-Adviser
Nicholas-Applegate Capital Management, L.P.
About the Fund
Invests in companies whose potential for rapidly growing earnings
is not fully reflected in their stock price.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Computer Software & Processing 16%
Retailers 14%
Computers & Information 8%
Electronics 8%
Medical Supplies 6%
Heavy Machinery 6%
Pharmaccuticals 5%
Home Construction, Furnishings & Appliances 4%
Other 33%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 7.81% 19.99% 18.85%
Russell 2500 Index 5.35% 17.88% 16.74%
Lipper Capital Appreciation
Funds Average 20.04% 19.28% 16.40%
Growth of a $10,000 Investment Since 1992
[LINE GRAPH APPEARS HERE]
Select
Aggressive Russell 2500
Date Growth Fund Index
- ----- ----------- ------------
8/92 $10,000 $10,000
12/92 11,985 11,554
12/93 14,324 13,466
12/94 13,993 13,323
12/95 18,511 17,547
12/96 21,944 20,886
12/97 26,049 25,974
12/98 28,801 26,072
6/99 32,700 28,917
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 Funds Average is a
non-weighted average of 264 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.
Please note that investments in small and mid-capitalization stocks may involve
greater volatility than investments in larger capitalization stocks.
8 Select Aggressive Growth Fund
<PAGE>
The Select International Equity Fund returned 6.94% for the first half, handily
outperforming the Morgan Stanley EAFE Index, which returned 4.11%.
During the first quarter, Fund performance was driven higher by strong growth in
European telecommunications stocks, and several Japanese stocks in the
Technology Innovation theme. Stocks in the Growth in Personal Savings Products
theme had a negative impact on performance. Pharmaceutical stocks in the
Healthcare Needs theme also suffered in the first quarter.
During the second quarter, the European Central Bank cut interest rates 0.50%,
sparking a rally in European stock markets. Markets were also boosted by more
positive economic news out of Germany and France. Unfortunately, the U.K.
market was soft, rising significantly in April, but weakening in May as new U.K.
economic data was weaker than expected. In June the Japanese equity market
rallied strongly. Asian markets were also strong, helped by falling interest
rates. Japan has been the best performer among the world's major markets
climbing over 20% this year.
The Growth in Telecommunications theme made the most positive contribution to
the Fund's performance. A number of Japanese companies in the Technological
Innovation theme were also significant positive contributors to performance. On
the negative side, a number of stocks in the Healthcare Needs theme continued to
struggle.
The Fund's manager remains concerned about the high level of valuations and the
narrowness of strength in most global equity markets. The Fund manager will
continue to look for value in companies that will profit in the single currency
environment in Europe and from the resurgence of economic activity in the U.K.
and Asia.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select International Equity Fund 5.18% 13.78% 12.47%
Morgan Stanley EAFE Index 7.92% 8.52% 8.42%
Lipper International Funds Average 4.83% 8.89% 8.58%
Growth of a $10,000 Investment Since 1994
[LINE GRAPH APPEARS HERE]
Select Morgan
International Stanley
Equity EAFE
Fund Index
------------- --------
5/94 (Inception Date) $10,000 $10,000
12/94 9,651 10,008
12/95 11,545 11,164
12/96 14,078 11,874
12/97 14,733 12,118
12/98 17,161 14,582
6/99 18,352 15,184
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 Funds Average is a non-weighted
average of 570 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.
Please note that investments in international markets may involve political or
currency risk not associated with domestic investments.
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, 1999, the country allocation of net assets was:
[BAR GRAPH APPEARS HERE]
United Kingdom 29%
Japan 15%
Switzerland 10%
Germany 9%
Netherlands 9%
France 8%
Australia 5%
Other 15%
Select International Equity Fund 9
<PAGE>
The Growth Fund outperformed the S&P 500 Index for the period, returning 18.66%
to the benchmark's 12.38%. The Fund also outperformed the Lipper Growth & Income
Funds Average return of 10.93%.
Excellent stock selection accounted for over 80% of the outperformance, with the
balance produced by favorable sector allocation.
The second quarter saw a broadening and deepening in the stock market. Both S&P
Mid-Cap and Small-Cap indices performed well. Investor sentiment shifted to
favor value stocks at the expense of growth stocks. Recovering developed and
emerging markets, along with continued U.S. economic growth, fueled an upward
price move in cyclical and value-oriented stocks. Growth sectors experienced
price weakness due to a rise in U.S. interest rates, a decrease in P/E
multiples, and a less favorable relative profit outlook for growth stocks due to
global economic recovery.
The second quarter ended with the Federal Reserve raising rates moderately but
simultaneously relaxing its tightening bias, reducing the growing concern of a
series of rate hikes designed to slow the economy and preempt higher inflation.
Strong stock selection occurred in technology, heavy industry, and retail.
Weakest stock selection took place in health care and financial services.
The Fund remains diversified across all economic sectors of the market. The
investment style-bias in the Fund remained value-tilted versus the S&P 500, and
at quarter-end stood at 56% growth stocks and 44% value, versus 59% growth
stocks and 41% value for the index. The Fund continues to be positioned with a
lower P/E multiple and higher earnings growth rate than the S&P 500 Index based
on the consensus estimates of Wall Street analysts.
Investment Sub-Adviser
Miller Anderson & Sherrerd, LLP
About the Fund
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Telephone Systems 11%
Insurance 10%
Computer Software & Processing 8%
Banking 8%
Oil & Gas 8%
Retailers 6%
Pharmaceuticals 6%
Media - Broadcasting & Publishing 5%
Computers & Information 5%
Communications 5%
Other 28%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Growth Fund 23.23% 23.98% 17.48%
S&P 500(R )Index 22.76% 27.87% 18.78%
Lipper Growth and Income Funds Average 14.48% 21.72% 15.13%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Growth S&P 500(R)
Date Fund Index
- ----- ------- ----------
6/89 $10,000 $10,000
12/89 11,064 11,301
12/89 11,031 10,952
12/91 15,492 14,287
12/92 16,594 15,375
12/93 17,699 16,925
12/94 17,727 17,149
12/95 23,541 23,595
12/96 28,294 29,014
12/97 35,407 38,694
12/98 42,248 49,751
6/99 50,077 55,911
The 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 and Income Funds Average is a non-weighted average of 843 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 Growth Fund
<PAGE>
Over the first half of 1999, the Equity Index Fund continued to closely track
the performance of the S&P 500 Index before fees. The Fund posted a 12.17%
return versus the Index return of 12.38%.
Blue chips and high-flying Internet stocks led the way during the first quarter.
The addition of America Online to the S&P 500 Index was one of the core leaders
with a surge of more than 90% in the quarter. Reflecting the eclipse of the old
growth stocks for the new, AOL surpassed Coca-Cola in market value. Mergers also
continued to give the market a lift during the first half of 1999, as BP Amoco
acquired Atlantic Richfield, Bank-Boston and Fleet agreed to merge, and the
AT&T-TCI deal was completed.
During the second quarter, interest rates rose over concerns that robust
economic growth would increase inflationary pressure. The strong economy helped
the long-overlooked cyclical sector to outperform other industries and enabled
the financial sector to rebound from the lows of last October. In contrast, the
technology sector experienced some weakness during the second quarter.
Overall, the largest 15 companies in the S&P 500 generated mixed performance in
the first half of 1999. Citigroup, Microsoft, Cisco, and IBM led the way posting
in excess of 30% returns, while Pfizer and Coca-Cola had negative returns.
Consistent with the Fund's investment objective, the managers will continue to
seek to mirror the returns of the S&P 500 Index.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Equity Index Funds 22.61% 27.14% 20.99%
S&P 500(R) Index 22.76% 27.87% 21.64%
Lipper S&P 500(R) Index Funds Average 22.18% 27.31% 21.19%
Growth of a $10,000 Investment Since 1990
[LINE GRAPH APPEARS HERE]
Equity S&P
Index 500(R)
Date Fund Index
- ----- --------- ----------
9/90 $ 10,000 $ 10,000
12/90 10,890 10,896
12/91 14,065 14,216
12/92 15,083 15,299
12/93 16,522 16,841
12/94 16,697 17,047
12/95 22,735 23,476
12/96 27,807 28,866
12/97 36,819 38,437
12/98 47,253 49,430
6/99 53,063 55,625
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&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
S&P500(R) Index Funds Average is a non-weighted average of 100 funds within the
S&P500(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, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Banking 9%
Pharmaceuticals 9%
Telephone Systems 9%
Computer Software & Processing 8%
Computers & Information 7%
Oil & Gas 6%
Retailers 6%
Beverages, Food & Tobacco 6%
Industrial - Diversified 4%
Other 36%
Equity Index Fund 11
<PAGE>
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: During 1998, bond investments produced widely divergent results as a
series of dramatic swings either left them highly in favor or badly battered.
1999: The first half of 1999 was a turbulent period for the bond market.
Performance varied from the first quarter to the second, leaving the majority of
bond investors disappointed.
The first half of 1999 was a turbulent period for the bond market. Performance
varied from the first quarter to the second, leaving the majority of bond
investors disappointed.
The year began with a certain confidence in the stability of the domestic
economy. Agency, corporate, and mortgage-backed bonds rallied, encouraging
investors to take advantage of bond yield premiums that had been de-emphasized
during the Treasury rally of 1998. However, the economy grew more rapidly than
predicted and patterns of inflation, such as increasing commodity prices, became
evident. By the end of the second quarter the Federal Reserve raised interest
rates 0.25% against the threat of inflation. As the quarter progressed most
sectors tended to decline in value, treasuries suffering the greatest losses. On
the other hand, emerging markets showed signs of life in the second quarter and
a few emerging markets bonds made their debut as stand out performers.
The second quarter marked the first time in two years in which some foreign
markets outperformed the U.S. bond market. Throughout Asia, economic recovery
was evident and interest rates fell. Japan's economy, in particular, showed
great signs of recovery throughout the first half of this year, inspiring
enthusiasm among international investors. Latin America also fared well, the
most significant performers being Mexico and Brazil, both in the process of
economic recovery.
As a group, however, foreign markets underperformed the U.S. bond market in the
second quarter, the major culprit being Europe, where a backup in interest rates
has been significant. Introduced on January 1, the new European currency, the
"euro", lost 13% of its value against the dollar within six months. Many
European bonds sold at a great dis
[TIMELINE APPEARS HERE]
[GRAPHIC APPEARS HERE] 1999 JAN
The new European Currency is introduced. Over the course of six months, the euro
loses 13% of its value against the dollar.
A rally of agency, corporate, and mortgage-backed bonds encourages investors to
take advantage of bond yield premiums.
[GRAPHIC APPEARS HERE] FEB
Investors take a cautious stance toward the rapidly growing economy and the
threat of an increase in interest rates by favoring the money market and U.S.
Treasuries.
MAR
Corporate and securitized spreads widen, due principally to the high rate of net
new issuance from companies such as Sprint, Conoco, and Ford.
12 Bond & Money Market Overview
<PAGE>
count to American bonds, yet it appears unlikely that the European Central Bank
will tighten its monetary policy in the near future. A highly probable source of
the foreign market's underperformance is the Japanese selling of euro-
denominated issues in the face of the significant weakness of the euro against
both the dollar and the yen.
Although the Federal Reserve announced their decision to adopt a neutral bias in
conjunction with an increase in interest rates in late June, they are on the
lookout for signs that the domestic economy is strengthening, in which case a
more forceful bias will be in order. The record pace of corporate bond issuance
displayed late in the second quarter is one indicator that the economy is, in
fact, continuing to strengthen. The high rate of net new issuance, higher than
the total for any previous year with the exception of last year's, has been the
largest force in widening corporate and securitized spreads. The predominance of
"mega" issues, such as the Ford and earlier AT&T issues, has also tended to
reduce liquidity in the broader corporate market as more money is drawn to
relatively few large and liquid issues.
The money market also struggled as a result of the volatile economy but managed
to outperform the bond market. Ultimately, it was the very strength of the
economy that worried investors and the Federal Reserve about the potential for
higher inflation. The domestic economy turned out to be more resilient than
predicted. Housing and auto sales remained strong and corporate fundamentals
remained positive. Investors remained defensive against rising interest rates
over the last quarter and were rewarded by turning their attention to the
general security of the money market.
Looking ahead in the U.S. economy, interest rates appear to be near the top of
their projected trading range. Although corporate fundamentals remain positive,
corporate spreads are likely to experience volatility in expectation of large
new issues from companies such as Ford. Many foreign economies are in the
process of recovery, their bond markets benefiting from increasing investor
enthusiasm. Overall, the bond market seems to be in the process of gaining
stability. However, investors are remaining cautious and could favor U.S.
Treasuries.
[TIMELINE APPEARS HERE]
APR [GRAPHIC APPEARS HERE]
Japan shows signs of economic recovery along with other foreign countries such
as Brazil and Mexico, marking the first time in two years in which some foreign
markets outperform the U.S. bond market.
MAY [GRAPHIC APPEARS HERE]
As a group, foreign markets underperform the U.S. bond market, the major culprit
being Europe, where a backup in interest rates is significant.
JUN [GRAPHIC APPEARS HERE]
In response to rapid economic growth, the Federal Reserve combines a neutral
bias with a 0.25% raise in interest rates to guard against inflation.
Bond & Money Market Overview 13
<PAGE>
The Investment Grade Income fund posted a return of -1.67% for the first half of
the year compared to the -1.38% return of the Lehman Brothers Aggregate Bond
Index for the same period.
The first half of 1999 was a turbulent time for the U.S. bond market. As
confidence slowly returned to the market, investors moved away from the safety
of Treasuries and back into a variety of "spread" assets such as Government
Agency paper, corporate bonds, and mortgage-backed securities. This increase in
demand caused spreads to narrow and bond prices to rise. However, the economy
once again proved to be more resilient than many forecasters predicted.
Responding to a succession of strong economic indicators, interest rates rose in
anticipation of a monetary policy tightening. Yields for intermediate Treasuries
fluctuated 1.40% and ended the period more than 1.10% higher than they started
the year.
The overall rise in interest rates caused the bond market to post a negative
return for the period. (Bond prices move in the opposite direction to interest
rates.) In addition, the yield advantage of spread assets failed to materialize
as volatility continued to plague the market.
Looking ahead, the Fund's manager remains cautious. Interest rates appear to be
near the top of their projected trading range. However, corporate spreads are
likely to remain volatile in expectation of large new issues from companies such
as Ford. In light of this, the Fund's manager has a slightly higher than normal
allocation of U.S. Treasuries which can be swapped into corporate bonds if a
good buying opportunity appears.
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, 1999, the sector allocation of net assets was:
[GRAPHIC APPEARS HERE]
U.S. Goverment and Agency Obligations 49%
Corporate Notes and Bonds 35%
Asset-Backed and Mortgage-Backed Securities 13%
Commercial Paper 2%
Other 1%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Investment Grade Income Fund 2.13% 7.44% 8.05%
Lehman Brothers Aggregate Bond Index 3.13% 7.82% 8.15%
Lipper Intermediate Investment
Grade Funds Average 2.00% 6.90% 7.38%
Growth of a $10,000 Investment Since 1989
[LINE CHART APPEARS HERE]
Lehman
Investment Brothers
Grade Aggregate
Income Bond
Fund Index
---------- ----------
6/89 $10,000 $10,000
12/89 10,418 10,488
12/90 11,253 11,426
12/91 13,137 13,251
12/92 14,232 14,234
12/93 15,770 15,622
12/94 15,303 15,167
12/95 18,034 17,968
12/96 18,675 18,618
12/97 20,440 20,149
12/98 22,069 22,192
6/99 21,701 21,884
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 $25 million. The Lipper Intermediate
Investment Grade Funds Average tracks the performance of 254 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 Investment Grade Income Fund
<PAGE>
For the first half of the year, the Government Bond Fund returned -0.69%,
underperforming its benchmark, the Lehman Intermediate Government Bond Index,
which returned -0.46%.
During the first and second quarters, the bond market was challenged by rising
interest rates and a resilient economy. As a result, Treasury yields rose and
"spread sectors" (agency and mortgage-backed securities) widened. Mort-
gage-backed securities performed well during the first quarter only to give back
their outperformance during the second quarter. Investor demand for
mortgage-backed securities waned and durations extended with the rise in
interest rates. In an effort to offset several months of rapid prepayments, the
Fund's manager purchased additional mortgage-backed securities at relatively
attractive prices in an effort to maintain a 13% to 15% allocation to this
sector.
The Fund underperformed its benchmark for the first half of the year because of
its greater allocation to Agency paper and mortgage-backed securities. However,
the Fund's manager views this as a buying opportunity, and plans to purchase
additional agency issues in an effort to increase the weighting in this sector
to approximately 30% by the end of the third quarter. The Fund's manager
continues to employ the core strategy of overweighting agencies and utilizing
mortgage- and asset-backed securities to add higher yielding securities to the
portfolio.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Government Bond Fund 3.61% 6.18% 6.44%
Lehman Intermediate Government Bond Index 4.43% 6.87% 6.82%
Lipper Short-Intermediate
U.S. Government Funds Average 3.34% 5.87% 6.04%
Growth of a $10,000 Investment Since 1991
[LINE GRAPH APPEARS HERE]
Lehman
Intermediate
Government Government
Bond Bond
Date Fund Index
- ----- ---------- ------------
8/91 $10,000 $10,000
12/91 10,727 10,660
12/92 11,434 11,399
12/93 12,292 12,330
12/94 12,184 12,114
12/95 13,775 13,860
12/96 14,259 14,423
12/97 15,269 15,537
12/98 16,441 16,856
6/99 16,328 16,783
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 Funds Average is the non-weighted
average performance of 96 funds investing in short- to intermediate government
securities. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Generates high income while seeking to preserve capital and maintain liquidity
by investing primarily in debt instruments issued or guaranteed by the U.S.
Government or its agencies.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
U.S. Government and Agency Obligations 90%
Asset-Backed and Mortgage-Backed Securities 9%
Other 1%
Government Bond Fund 15
<PAGE>
The Money Market Fund posted a 2.43% return for the six month period ending June
30, 1999, outperforming the IBC/Donoghue First Tier Money Market Index's return
of 2.13% for the same period.
The first quarter was turbulent for the U.S. bond market. However, economic
statistics released during the quarter presented evidence that the domestic
economy was more resilient than previously believed. Housing and auto sales
remained robust, unemployment reached historically low levels and inflation
remained subdued.
During the second quarter, investors continued to face volatile interest rates.
Strong economic indicators released during the quarter led to a dramatic rise in
interest rates. The rise in bond yields this year occurred despite few signs of
any change in the underlying rate of inflation.
In late June, the Federal Reserve tightened monetary policy by 0.25% to 5% in an
effort to slow the economy. Still, economic indicators are suggesting further
strength ahead. The housing market maintains considerable strength despite
rising mortgage rates. Consumer confidence is high and fosters a continuation of
consumer demand. Fed officials will remain on guard against inflation and have
demonstrated that they are willing to fine tune policy quickly.
The portfolio will continue to emphasize commercial paper holdings and
short/medium term notes as corporate fundamentals remain positive. Maximum
liquidity will be provided by a combination of agency securities and repurchase
agreements without sacrificing yield. The portfolio's average weighted maturity
will be structured between 65-80 days as stable cash flows enable the portfolio
to capitalize on steep yield curve opportunities.
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, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Commercial Paper 39%
Corporate Notes and Bonds 31%
U.S. Government and Agency Obligations 11%
Certificates of Deposit 10%
Municipal Bonds 4%
Other 5%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Money Market Fund 5.19% 5.38% 5.40%
IBC/Donoghue First Tier
Money Market Index 4.61% 4.93% 4.98%
Lipper Money Market Funds Average 4.51% 4.90% 4.98%
Average Yields as of June 30, 1999
Money Market Fund 7-Day Yield 4.68%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
IBC/
Donoghue
Money Money
Market Market
Date Fund Index
----- ------ --------
6/89 $ 10,000 $ 10,000
12/89 10,426 10,421
12/90 11,278 11,235
12/91 11,981 11,873
12/92 12,435 12,268
12/93 12,807 12,591
12/94 13,311 13,056
12/95 14,088 13,766
12/96 14,843 14,438
12/97 15,654 15,161
12/98 16,517 15,913
6/99 16,918 16,252
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 the Federal Deposit Insurance Corporation or any other Government
Agency. Although the Fund seeks to maintain a net asset value of $1.00 per
share, it is possible to lose money by investing in the Fund. Past performance
is no guarantee of future results. Investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may be
worth more or less than their original cost. 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 Funds Average is
the average investment performance of 317 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 Money Market Fund
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 99.3%
Computer Software & Processing - 16.2%
642,100 Acclaim Entertainment, Inc.* $ 4,093,378
104,000 Advantage Learning Systems, Inc.* 2,301,000
154,800 BMC Software, Inc.* 8,359,200
156,800 Citrix Systems, Inc.* 8,859,200
324,200 Compuware Corp.* 10,313,613
71,800 Electronics for Imaging, Inc.* 3,688,725
241,800 IMRglobal Corp.* 4,654,650
65,000 Jack Henry & Associates, Inc. 2,551,250
105,000 Microsoft Corp.* 9,469,688
176,000 Rational Software Corp.* 5,797,000
37,700 SEI Investment Co. 3,327,025
223,678 Siebel Systems, Inc.* 14,846,627
879,700 Sybase, Inc.* 9,676,700
337,700 Symantec Corp.* 8,611,350
351,200 Unisys Corp.* 13,674,850
216,600 Verity, Inc.* 11,737,013
66,400 Yahoo!, Inc.* 11,437,400
-----------
133,398,669
-----------
Retailers - 13.9%
215,800 Abercrombie & Fitch Co., Class A* 10,358,400
398,700 American Eagle Outfitters, Inc.* 18,140,850
167,200 AnnTaylor Stores Corp.* 7,524,000
330,000 Best Buy Company, Inc.* 22,275,000
142,600 Federated Department Stores, Inc.* 7,548,888
269,115 Intimate Brands, Inc. 12,749,323
262,000 Ross Stores, Inc. 13,198,250
400,800 TJX Cos., Inc. 13,351,650
223,400 Zale Corp. 8,936,000
-----------
114,082,361
-----------
Computers & Information - 8.1%
267,900 Apple Computer, Inc.* 12,407,119
148,000 Bell & Howell Co.* 5,596,250
214,200 Comverse Technology, Inc.* 16,172,100
328,800 EMC Corp.* 18,084,000
246,400 Seagate Technology, Inc.* 6,314,000
271,000 Xircom, Inc.* 8,146,938
-----------
66,720,407
-----------
Electronics - 7.6%
58,000 Cree Research, Inc.* 4,462,375
66,500 CTS Corp. 4,655,000
258,900 Power Integrations, Inc.* 18,932,063
183,300 RF Micro Devices, Inc.* 13,678,763
59,300 Sanmina Corp.* 4,499,388
246,700 Vitesse Semiconductor Corp.* 16,636,831
-----------
62,864,420
-----------
Medical Supplies - 5.7%
96,600 Allergan, Inc. 10,722,600
71,800 Danaher Corp. 4,173,375
281,600 VISX, Inc.* 22,299,200
187,400 Waters Corp.* 9,955,625
-----------
47,150,800
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------------
<C> <S> <C>
Heavy Machinery - 5.5%
127,200 Briggs & Stratton Corp. $7,345,800
169,500 Dycom Industries, Inc.* 9,492,000
152,700 Ingersoll Rand Co. 9,868,238
3,750 Manitowoc, Inc. 156,094
164,000 United Technologies Corp. 11,756,750
163,400 York International Corp. 6,995,563
----------
45,614,445
----------
Pharmaceuticals - 5.2%
212,700 Alpharma, Inc., Class A 7,564,144
151,000 Amerisource Health Corp., Class A* 3,850,500
116,900 Andrx Corp.* 9,015,913
115,000 Biogen, Inc.* 7,395,938
270,150 Medicis Pharmaceutical, Class A* 6,855,056
119,300 Medimmune, Inc.* 8,082,575
----------
42,764,126
----------
Home Construction, Furnishings & Appliances - 4.1%
319,400 Furniture Brands International, Inc.* 8,903,275
49,000 LADD Furniture, Inc.* 1,029,000
163,200 Maytag Corp. 11,373,000
174,600 Owens Corning 6,001,875
276,000 Pulte Corp. 6,365,250
----------
33,672,400
----------
Financial Services - 3.0%
180,600 Countrywide Credit Industries, Inc. 7,720,650
410,888 Metris Cos., Inc. 16,743,686
----------
24,464,336
----------
Insurance - 2.6%
129,600 Hartford Life, Inc., Class A 6,820,200
83,500 Pacificare Health Systems, Inc.* 6,006,781
225,500 Trigon Healthcare, Inc.* 8,202,563
----------
21,029,544
----------
Restaurants - 2.5%
260,900 Brinker International, Inc.* 7,093,219
359,200 Darden Restaurants, Inc. 7,835,050
101,900 Tricon Global Restaurants, Inc.* 5,515,338
----------
20,443,607
----------
Textiles, Clothing & Fabrics - 2.3%
248,200 Jones Apparel Group, Inc.* 8,516,363
91,200 K-Swiss, Inc., Class A 4,240,800
84,700 Tommy Hilfiger Corp.* 6,225,450
----------
18,982,613
----------
Transportation - 2.2%
298,500 Avis Rent A Car, Inc.* 8,693,813
159,300 Hertz Corp., Class A 9,876,600
----------
18,570,413
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-1
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------
<C> <S> <C>
Aerospace & Defense - 2.2%
176,200 Gulfstream Areospace Corp.* $11,904,513
80,800 Textron, Inc. 6,650,850
-----------
18,555,363
-----------
Communications - 2.0%
247,400 Tellabs, Inc.* 16,714,963
-----------
Forest Products & Paper - 2.0%
183,500 Boise Cascade Corp. 7,890,500
184,600 Georgia-Pacific Corp. 8,745,425
-----------
16,635,925
-----------
Automotive - 1.9%
128,400 Arvin Industries, Inc. 4,863,150
36,800 General Motors Corp. 2,428,800
30,000 Meritor Automotive, Inc. 765,000
145,100 Navistar International Corp.* 7,255,000
-----------
15,311,950
-----------
Commercial Services - 1.8%
197,800 Labor Ready, Inc. 6,428,500
133,700 Ogden Corp. 3,601,544
107,200 Quintiles Transnational Corp.* 4,502,400
-----------
14,532,444
-----------
Telephone Systems - 1.5%
103,600 Exodus Communications, Inc.* 12,425,525
-----------
Chemicals - 1.4%
95,700 Church & Dwight Co., Inc. 4,162,950
222,300 Geon Co. 7,169,175
-----------
11,332,125
-----------
Building Materials - 1.2%
150,300 Southdown, Inc. 9,656,775
-----------
Health Care Providers - 1.1%
1,908 Coram Healthcare Corp.* 3,339
128,000 Laser Vision Centers, Inc.* 8,064,000
41,000 Lincare Holdings, Inc.* 1,025,000
-----------
9,092,339
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------------
<C> <S> <C>
Metals - 1.1%
283,800 CommScope, Inc.* $ 8,726,850
------------
Media-Broadcasting & Publishing - 1.0%
416,900 Valuevision International, Inc.* 8,285,888
------------
Heavy Construction - 0.9%
319,300 Lennar Corp. 7,663,200
------------
Beverages, Food & Tobacco - 0.7%
247,600 IBP, Inc. 5,880,500
------------
Banking - 0.6%
136,200 Net.B@Nk, Inc.* 5,175,600
------------
Advertising - 0.5%
48,000 DoubleClick, Inc.* 4,404,000
------------
Airlines - 0.5%
95,500 Alaska Air Group, Inc.* 3,987,125
------------
Total Common Stocks 818,138,713
------------
(Cost $552,321,641)
<CAPTION>
Par Value
---------
<C> <S> <C>
COMMERCIAL PAPER (A) - 1.1%
Financial Services - 1.1%
$8,860,000 Associates Corp. of North America
5.65%, 07/01/99 8,858,609
------------
Total Commercial Paper 8,858,609
------------
(Cost $8,858,609)
Total Investments - 100.4% 826,997,322
------------
(Cost $561,180,250)
Net Other Assets and Liabilities - (0.4)% (3,410,776)
------------
Total Net Assets - 100.0% $823,586,546
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $561,254,787. Net unrealized appreciation (depreciation) aggregated
$265,742,535, of which $293,685,623 related to appreciated investment securi-
ties and $27,943,088 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$207,403,449 and $260,986,210 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $54,902,200.
The value of collateral amounted to $56,381,800 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
------------------------------------------------------
F-2
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
COMMON STOCKS - 95.3%
Australia - 5.0%
34,000 Brambles Industries, Ltd. $ 893,143
510,670 National Australia Bank Ltd. 8,426,361
1,152,781 News Corp., Ltd. 9,807,515
966,300 Telstra Corp. 5,521,245
468,917 Westpac Banking Corp. 3,033,049
----------
27,681,313
----------
Denmark - 0.5%
52,200 Tele Danmark 2,561,449
----------
France - 8.1%
47,357 Alcatel Alsthom 6,666,218
84,270 Axa 10,280,645
74,460 Michelin, Class B 3,046,129
76,170 Total SA, Class B 9,826,616
184,541 Vivendi 14,948,626
----------
44,768,234
----------
Germany - 9.3%
7,899 Bayerische Motoren Werke (BMW) AG* 5,433,261
178,035 Hoechst AG 8,059,947
83,530 HypoVereinsbank 5,426,819
154,055 Mannesmann AG 22,988,303
114,260 Veba AG 6,716,328
6,172 Viag AG 2,915,103
----------
51,539,761
----------
Italy - 2.8%
575,970 ENI 3,439,059
1,155,152 Telecom Italia 12,007,805
----------
15,446,864
----------
Japan - 15.5%
468,000 Canon, Inc. 13,463,190
133,000 Fuji Photo Film 5,035,460
109,000 Honda Motor Co., Ltd. 4,622,385
259,500 Kao Corp. 7,293,533
12,700 Keyence Corp. 2,223,576
107,000 Murata Manufacturing Co. Ltd. 7,040,750
7,350 NTT Mobile Communication Network, Inc. 9,964,454
28,000 Rohm Co., Ltd. 4,386,211
205,000 Shiseido Co., Ltd. 3,074,078
127,500 Sony Corp. 13,754,445
310,000 Takeda Chemical Industries, Ltd. 14,376,281
----------
85,234,363
----------
Malaysia - 0.1%
349,000 Hume Industries, Berhad 431,608
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
Netherlands - 8.6%
209,412 ABN-Amro Holdings $ 4,535,064
175,495 Elsevier NV 2,036,005
331,092 ING Groep NV 17,925,486
207,545 Koninklijke Ahold, NV 7,148,597
147,885 Koninklijke KPN, NV 6,939,016
101,700 Royal Dutch Petroleum Co. 5,957,057
129,160 TNT Post Group, NV 3,083,488
-----------
47,624,713
-----------
New Zealand - 0.2%
221,966 Telecom Corp. of New Zealand, Ltd. 950,569
-----------
Portugal - 0.3%
87,317 Electricidade de Portugal 1,572,195
-----------
Singapore - 2.0%
583,900 Development Bank of Singapore 7,130,762
240,000 Singapore Press Holdings, Ltd. 4,086,432
-----------
11,217,194
-----------
South Korea - 0.4%
57,475 Korea Telecom Corp., Sponsored ADR* 2,299,000
-----------
Spain - 2.4%
695,214 Banco de Santander* 7,241,071
120,710 Telefonica S.A.* 5,814,557
-----------
13,055,628
-----------
Sweden - 0.3%
43,900 Ericsson AB 1,408,725
-----------
Switzerland - 10.1%
4,225 Alusuisse Lonza Holdings, Registered* 4,925,814
6,105 Nestle SA 11,002,513
7,094 Novartis AG 10,361,202
8,970 Roche Holdings AG 9,222,790
5,425 Schweiz Ruckverisch, Registered 10,332,004
32,920 Union Bank of Switzerland 9,828,131
-----------
55,672,454
-----------
Thailand - 0.3%
489,900 Bangkok Bank Public Co., Ltd.* 1,832,128
-----------
United Kingdom - 29.4%
712,525 Allied Zurich, Plc 8,899,509
396,100 Barclays Bank, Plc 11,542,790
692,575 British American Tobacco Industries, Plc 6,461,863
1,413,200 BTR Siebe, Plc, Sponsored ADR 6,692,915
678,500 Cable & Wireless, Plc 8,634,998
769,960 Cadbury Schweppes, Plc 4,914,655
746,290 Diageo Plc. 7,774,625
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-3
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------
United Kingdom (continued)
239,631 EMI Group, Plc $1,924,213
411,675 Glaxo Wellcome, Plc 11,432,174
544,610 Granada Group, Plc 10,162,640
84,800 HSBC Holdings, Plc 3,092,936
340,440 Kingfisher, Plc 3,919,486
891,000 Ladbroke Group, Plc 3,535,221
740,840 Lloyds TSB Group, Plc 10,012,156
124,178 National Power, Plc 908,089
244,135 National Westminster, Plc 5,171,268
122,070 Pearson, Plc 2,468,329
837,500 Prudential Corp., Plc 12,394,246
87,730 Railtrack Group, Plc 1,789,166
140,600 Safeway, Plc 563,947
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
United Kingdom (continued)
1,459,262 Shell Transportation & Trading, Plc $ 10,935,855
438,750 TI Group, Plc 2,956,122
882,100 Vodafone Group, Plc 17,433,472
97,149 WPP Group, Plc 821,443
209,150 Zeneca Group, Plc 8,102,304
------------
162,544,422
------------
Total Common Stocks 525,840,620
------------
(Cost $401,782,295)
Total Investments - 95.3% 525,840,620
------------
(Cost $401,782,295)
Net Other Assets and Liabilities - 4.7% 25,669,007
------------
Total Net Assets - 100.0% $551,509,627
============
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
Industry Concentration
of Common Stocks
as a Percentage of Net
Assets:
<TABLE>
<S> <C>
Banking 15.3%
Telephone Systems 13.1
Pharmaceuticals 9.7
Insurance 7.6
Electronics 5.7
Beverages, Food & Tobacco 5.6
Oil & Gas 5.5
Media - Broadcasting &
Publishing 5.2
Industrial - Diversified 5.0
Heavy Machinery 4.2
Chemicals 2.9
Automotive 2.4
Communications 2.0
Financial Services 1.8
Electrical Equipment 1.7
Electric Utilities 1.7
Cosmetics & Personal Care 1.3
Food Retailers 1.3
Entertainment & Leisure 1.0
Metals 0.9
Retailers 0.7
Transportation 0.5
Advertising 0.1
Building Materials 0.1
------
95.3%
======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-4
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (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>
189,301 GBP 07/01/99 $ 300,950 $ 298,340 $ 2,610
793,512,000 JPY 07/02/99 6,700,828 6,561,493 139,335
34,626,230 JPY 07/02/99 285,766 286,322 (556)
1,373,970,000 JPY 07/21/99 11,723,294 11,392,881 330,413
779,403,000 JPY 08/18/99 6,452,012 6,489,657 (37,645)
705,704,000 JPY 08/24/99 5,733,701 5,881,275 (147,574)
530,701,000 JPY 08/31/99 4,408,475 4,427,510 (19,035)
599,357,000 JPY 09/09/99 4,993,330 5,007,360 (14,030)
1,130,260,000 JPY 09/16/99 9,653,535 9,453,212 200,323
----------- ----------- ---------
$50,251,891 $49,798,050 $ 453,841
=========== =========== =========
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED:
<TABLE>
<CAPTION>
Currency Contracts To Settlement Contracts At In Exchange Unrealized
Value Deliver Dates Value for U.S. $ Appreciation
-------- ------------ ---------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C>
193,265,000 JPY 07/02/99 $1,588,501 $1,598,094 $ 9,593
600,247,000 JPY 07/02/99 4,929,553 4,963,399 33,846
---------- ---------- ---------
$6,518,054 $6,561,493 $ 43,439
========== ========== =========
</TABLE>
- ------------------
GBP Great British Pounds
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $400,223,995. Net unrealized appreciation (depreciation) aggregated
$125,616,625, of which $137,864,023 related to appreciated investment securi-
ties and $12,247,398 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $47,040,913
and $31,340,502 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $12,284,898.
The value of collateral amounted to $12,864,715 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
- --------------------------------------------
F-5
<PAGE>
Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------
COMMON STOCKS - 100.0%
Telephone Systems - 10.5%
140,800 Ameritech Corp. $10,348,800
264,130 AT&T Corp. 14,741,756
382,082 AT&T Corp. - Liberty Media Group, Class A* 14,041,514
362,186 MCI WorldCom, Inc.* 31,238,543
1 Qwest Communications International, Inc.* 33
161,800 SBC Communications, Inc. 9,384,400
219,900 Sprint Corp. 11,613,469
55,050 Sprint Corp. (PCS Group)* 3,144,731
52,550 Vodafone AirTouch PLC 10,352,350
-----------
104,865,596
-----------
Insurance - 10.0%
433,800 Ace, Ltd. 12,254,850
124,500 Aetna, Inc. 11,134,969
287,680 Allstate Corp. 10,320,520
163,800 AMBAC, Inc. 9,357,075
249,400 AON Corp. 10,287,750
241,600 Conseco, Inc. 7,353,700
185,400 Everest Reinsurance Holdings, Inc. 6,048,675
167,600 MBIA, Inc. 10,852,100
355,700 Travelers Property Casualty Corp. 13,916,763
143,900 XL Captial, Ltd. 8,130,350
-----------
99,656,752
-----------
Computer Software & Processing - 8.2%
114,300 America Online, Inc.* 12,630,150
150,638 At Home Corp., Class A* 8,125,037
99,600 BMC Software, Inc.* 5,378,400
530,100 Microsoft Corp.* 47,808,394
188,100 Unisys Corp.* 7,324,144
-----------
81,266,125
-----------
Banking - 8.2%
240,600 Bank of America Corp. 17,638,988
194,300 Bank One Corp. 11,572,994
149,700 BankBoston Corp. 7,653,413
65,300 Chase Manhattan Corp. 5,656,613
228,750 Citigroup, Inc. 10,865,625
263,900 Household International, Inc. 12,502,263
86,900 KeyCorp 2,791,663
80,700 PNC Bank Corp. 4,650,338
180,900 Wells Fargo Co. 7,733,475
-----------
81,065,372
-----------
Oil & Gas - 7.6%
71,800 Atlantic Richfield Co. 5,999,788
149,100 BJ Services Co.* 4,389,131
112,600 Chevron Corp. 10,718,113
242,800 Coastal Corp. 9,712,000
322,200 Royal Dutch Petroleum Co. 19,412,550
116,800 Texaco, Inc. 7,300,000
177,100 Tosco Corp. 4,593,531
203,700 Total SA, ADR* 13,125,919
-----------
75,251,032
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------
Retailers - 6.4%
312,500 Consolidated Stores Corp.* $8,437,500
169,100 CVS Corp. 8,581,825
142,500 Dayton-Hudson Corp. 9,262,500
173,300 Dollar General Corp. 5,025,700
178,600 Kroger Co.* 4,989,638
201,600 Office Depot, Inc.* 4,447,800
157,000 Tandy Corp. 7,673,375
304,200 Wal-Mart Stores, Inc. 14,677,650
----------
63,095,988
----------
Pharmaceuticals - 5.9%
139,100 Abbott Laboratories 6,329,050
147,060 Bristol-Myers Squibb Co. 10,358,539
75,400 Lilly (Eli) & Co. 5,400,525
242,000 Merck & Co., Inc. 17,908,000
147,000 Mylan Laboratories, Inc. 3,895,500
60,000 Pfizer, Inc. 6,585,000
109,400 Warner-Lambert Co. 7,589,625
----------
58,066,239
----------
Media-Broadcasting & Publishing - 5.0%
107,000 Clear Channel Communications, Inc.* 7,376,313
238,400 Fox Entertainment Group, Class A* 6,421,900
295,500 Infinity Broadasting Corp., Class A* 8,791,125
120,500 MediaOne Group, Inc.* 8,962,188
278,900 News Corp., Ltd., Sponsored ADR, Preferred 8,802,781
125,100 Time Warner, Inc. 9,194,850
----------
49,549,157
----------
Computers & Information - 4.7%
341,750 Cisco Systems, Inc.* 22,042,875
85,300 Dell Computer Corp.* 3,156,100
59,600 Hewlett-Packard Co. 5,989,800
112,900 International Business Machines Corp. 14,592,325
40,500 Quantum Corp.* 977,063
----------
46,758,163
----------
Communications - 4.6%
116,700 ADC Telecommunications, Inc.* 5,317,130
164,400 General Instrument Corp.* 6,987,000
85,400 Nortel Networks Corp. 7,413,788
112,800 Qualcomm, Inc.* 16,186,800
142,800 Tellabs, Inc.* 9,647,925
----------
45,552,643
----------
Beverages, Food & Tobacco - 3.7%
92,600 Anheuser-Busch Cos., Inc. 6,568,813
124,400 Coca-Cola Co. 7,775,000
86,700 General Mills, Inc. 6,968,513
236,900 Nabisco Group Holdings Corp. 4,634,356
104,400 PepsiCo, Inc. 4,038,975
131,900 Safeway, Inc.* 6,529,050
----------
36,514,707
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-6
<PAGE>
Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Heavy Machinery - 3.5%
153,400 Case Corp. $7,382,375
186,800 Cummins Engine Co., Inc. 10,670,950
143,500 Parker-Hannifin Corp. 6,565,125
240,500 York International Corp. 10,296,406
----------
34,914,856
----------
Automotive - 3.3%
137,900 Dana Corp. 6,352,019
201,400 Ford Motor Co. 11,366,513
230,700 General Motors Corp. 15,226,200
----------
32,944,732
----------
Electronics - 2.6%
219,000 Intel Corp. 13,030,500
129,700 Motorola, Inc. 12,289,075
----------
25,319,575
----------
Commercial Services - 2.1%
102,100 Halliburton Co. 4,620,025
174,800 United Rentals, Inc.* 5,156,600
209,745 Waste Management, Inc. 11,273,794
----------
21,050,419
----------
Chemicals - 2.1%
168,300 Air Products & Chemicals, Inc. 6,774,075
1 Sealed Air Corp.* 65
173,400 Solutia, Inc. 3,695,588
538,700 W.R. Grace and Co.* 9,898,613
----------
20,368,341
----------
Home Construction, Furnishings & Appliances - 2.0%
91,100 Lowes Cos., Inc. 5,164,231
436,800 Owens Corning 15,015,000
----------
20,179,231
----------
Cosmetics & Personal Care - 1.6%
76,200 Clorox Co. 8,139,113
188,500 Gillette Co. 7,728,500
----------
15,867,613
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------------
Electric Utilities - 1.6%
124,800 Carolina Power & Light Co. $ 5,343,000
217,000 Energy East Corp. 5,642,000
109,500 Peco Energy Co. 4,585,313
------------
15,570,313
------------
Metals - 1.5%
664,300 Engelhard Corp. 15,029,788
------------
Transportation - 1.1%
167,400 Burlington Northern Santa Fe Corp. 5,189,400
225,300 Ryder System, Inc. 5,857,800
------------
11,047,200
------------
Financial Services - 1.0%
167,100 Freddie Mac 9,691,800
------------
Medical Supplies - 0.9%
146,100 Baxter International, Inc. 8,857,313
------------
Health Care Providers - 0.8%
252,675 Health Management Associates, Inc., Class A* 2,842,594
183,700 Lincare Holding, Inc.* 4,592,500
------------
7,435,094
------------
Household Products - 0.6%
130,700 Rohm & Haas Co. 5,603,763
------------
Airlines - 0.5%
68,000 AMR Corp.* 4,641,000
------------
Total Common Stocks 990,162,812
------------
(Cost $738,741,075)
Total Investments - 100.0% 990,162,812
------------
(Cost $738,741,075)
Net Other Assets and Liabilities - 0.0% (159,651)
------------
Total Net Assets - 100.0% $990,003,161
============
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $740,611,999. Net unrealized appreciation (depreciation) aggregated
$249,550,813, of which $265,496,947 related to appreciated investment securi-
ties and $15,946,134 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$480,359,722 and $517,008,274 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $71,168,678.
The value of collateral amounted to $73,204,111 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
- --------------------------------------------
F-7
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 98.5%
Banking - 9.3%
8,600 Amsouth Bancorp. $ 199,413
35,788 Associates First Capital Corp., Class A 1,585,856
85,859 Bank of America Corp. 6,294,538
37,400 Bank of New York Co., Inc. 1,372,113
58,075 Bank One Corp. 3,459,092
14,600 BankBoston Corp. 746,425
15,400 BB&T Corp. 564,988
9,737 Capital One Financial Corp. 542,229
41,552 Chase Manhattan Corp. 3,599,442
166,040 Citigroup, Inc. 7,886,900
7,650 Comerica, Inc. 454,697
13,275 Fifth Third Bancorp 883,617
47,496 First Union Corp. 2,232,312
32,400 Firstar Corp. 907,200
28,110 Fleet Financial Group, Inc. 1,247,381
2,900 Golden West Financial Corp. 284,200
23,459 Household International, Inc. 1,111,370
10,330 Huntington Bancshares, Inc. 361,550
8,700 J.P. Morgan & Co., Inc. 1,222,350
22,000 KeyCorp 706,750
39,318 MBNA Corp. 1,204,114
25,600 Mellon Bank Corp. 931,200
7,800 Mercantile Bancorp. 445,575
15,400 National City Corp. 1,008,700
5,500 Northern Trust Corp. 533,500
14,900 PNC Bank Corp. 858,613
11,000 Regions Financial Corp. 422,813
5,200 Republic New York Corp. 354,575
7,957 SLM Holding Corp. 364,530
8,200 Southtrust Corp. 314,675
7,900 State Street Corp. 674,463
8,300 Summit Bancorp 347,044
15,800 Suntrust Banks, Inc. 1,097,113
13,300 Synovus Financial Corp. 264,338
7,000 Union Planters Corp. 312,813
35,650 U.S. Bancorp. 1,212,100
10,000 Wachovia Corp. 855,625
29,283 Washington Mutual, Inc. 1,035,886
81,230 Wells Fargo Co. 3,472,583
----------
51,372,683
----------
Pharmaceuticals - 9.1%
74,800 Abbott Laboratories 3,403,400
5,000 Alza Corp., Class A* 254,375
64,400 American Home Products Corp. 3,703,000
25,200 Amgen, Inc.* 1,534,050
97,600 Bristol-Myers Squibb Co. 6,874,700
66,200 Johnson & Johnson 6,487,600
54,100 Lilly (Eli) & Co. 3,874,913
116,000 Merck & Co., Inc. 8,584,000
63,600 Pfizer, Inc. 6,980,100
24,980 Pharmacia & Upjohn, Inc. 1,419,176
72,400 Schering-Plough Corp. 3,837,200
4,900 Sigma Aldrich Corp. 168,744
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
Pharmaceuticals (continued)
41,900 Warner-Lambert Co. $2,906,813
4,600 Watson Pharmaceuticals, Inc.* 161,288
----------
50,189,359
----------
Telephone Systems - 8.8%
28,500 Airtouch Communications, Inc.* 3,063,750
13,800 Alltel Corp. 986,700
54,100 Ameritech Corp. 3,976,350
156,400 AT&T Corp. 8,729,075
76,346 Bell Atlantic Corp. 4,991,120
93,000 BellSouth Corp. 4,359,375
6,900 CenturyTel, Inc. 274,275
8,500 Frontier Corp. 501,500
47,800 GTE Corp. 3,620,850
91,577 MCI WorldCom, Inc.* 7,898,516
96,508 SBC Communications, Inc. 5,597,464
42,600 Sprint Corp. 2,249,813
21,600 Sprint Corp. (PCS Group)* 1,233,900
24,704 U.S. West, Inc. 1,451,360
----------
48,934,048
----------
Computer Software & Processing - 7.7%
17,800 3Com Corp.* 475,038
3,000 Adobe Systems, Inc. 246,469
53,404 America Online, Inc.* 5,901,142
2,800 Autodesk, Inc. 82,775
30,400 Automatic Data Processing, Inc. 1,337,600
11,600 BMC Software, Inc.* 626,400
8,400 Cabletron Systems, Inc.* 109,200
7,000 Ceridian Corp.* 228,813
26,450 Computer Associates International, Inc. 1,454,750
7,800 Computer Sciences Corp.* 539,663
18,000 Compuware Corp.* 572,625
3,900 Deluxe Corp. 151,856
24,200 Electronic Data Systems Corp. 1,368,813
15,600 IMS Health, Inc. 487,500
251,000 Microsoft Corp.* 22,637,063
16,400 Novell, Inc.* 434,600
70,680 Oracle Corp.* 2,623,995
13,200 Parametric Technology Corp.* 183,150
11,800 PeopleSoft, Inc.* 203,550
1,400 Shared Medical Systems Corp. 91,350
38,000 Sun Microsystems, Inc.* 2,617,250
13,200 Unisys Corp.* 513,975
----------
42,887,577
----------
Computers & Information - 7.3%
7,800 Apple Computer, Inc.* 361,238
157,100 Cisco Systems, Inc.* 10,132,950
83,557 Compaq Computer Corp. 1,979,256
2,400 Data General Corp.* 34,950
124,600 Dell Computer Corp.* 4,610,200
49,800 EMC Corp.* 2,739,000
7,630 Gateway 2000* 450,170
50,000 Hewlett-Packard Co. 5,025,000
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-8
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
Computers & Information (continued)
89,200 International Business Machines Corp. $11,529,100
19,900 Minnesota Mining and Manufacturing Co. 1,730,056
13,200 Pitney Bowes, Inc. 848,100
10,800 Seagate Technology, Inc.* 276,750
9,100 Silicon Graphics* 149,013
12,400 Solectron Corp.* 826,925
-----------
40,692,708
-----------
Oil & Gas - 6.2%
4,500 Amerada Hess Corp. 267,750
6,000 Anadarko Petroleum Corp. 220,875
5,500 Apache Corp. 214,500
3,500 Ashland, Inc. 140,438
15,900 Atlantic Richfield Co. 1,328,644
8,782 Burlington Resources, Inc. 379,822
32,300 Chevron Corp. 3,074,556
10,400 Coastal Corp. 416,000
4,000 Columbia Energy Group 250,750
4,800 Consolidated Natural Gas Co. 291,600
1,100 Eastern Enterprises 43,725
17,500 Enron Corp. 1,430,625
119,400 Exxon Corp. 9,208,725
2,400 Helmerich & Payne, Inc. 57,150
4,281 Kerr-Mcgee Corp. 214,853
38,500 Mobil Corp. 3,811,500
2,200 Nicor, Inc. 83,738
1,500 Oneok, Inc. 47,625
1,800 Peoples Energy Corp. 67,838
12,500 Phillips Petroleum Co. 628,906
3,900 Rowan Cos., Inc.* 71,906
105,400 Royal Dutch Petroleum Co. 6,350,350
26,900 Schlumberger, Ltd. 1,713,194
5,300 Sonat, Inc. 175,563
4,400 Sunoco, Inc. 132,825
26,400 Texaco, Inc. 1,650,000
12,381 Union Pacific Resources Group, Inc. 201,965
11,800 Unocal Corp. 467,575
15,100 USX-Marathon Group 491,694
21,200 Williams Companies, Inc. 902,325
-----------
34,337,017
-----------
Retailers - 6.1%
2,700 Alberto-Culver Co., Class B 71,888
20,642 Albertson's, Inc. 1,064,353
7,200 Autozone, Inc.* 216,900
4,900 Circuit City Stores, Inc. 455,700
5,400 Consolidated Stores Corp.* 145,800
10,856 Costco Cos., Inc.* 869,159
19,200 CVS Corp. 981,600
21,800 Dayton-Hudson Corp. 1,417,000
5,200 Dillards, Inc., Class A 182,650
10,850 Dollar General Corp. 314,650
10,200 Federated Department Stores, Inc.* 539,963
42,250 Gap, Inc.* 2,128,344
1,900 Great Atlantic & Pacific Tea Co. 64,244
3,400 Harcourt General, Inc. 175,313
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------
<C> <S> <C>
Retailers (continued)
72,898 Home Depot, Inc. $4,697,365
12,900 J.C. Penney Co., Inc. 626,456
24,200 K Mart Corp.* 397,788
8,000 Kohls Corp.* 617,500
40,800 Kroger Co.* 1,139,850
10,500 Limited, Inc. 476,438
1,900 Longs Drug Stores Corp. 65,669
16,400 May Department Stores Co. 670,350
7,000 Nordstrom, Inc. 234,500
18,200 Office Depot, Inc.* 401,538
12,600 Rite Aid Corp. 310,275
18,700 Sears Roebuck & Co. 833,319
8,300 Sherwin Williams Co. 230,325
22,700 Staples, Inc.* 702,281
9,600 Tandy Corp. 469,200
15,800 TJX Cos., Inc. 526,338
12,200 Toys "R" Us, Inc.* 252,388
49,200 Walgreen Co. 1,445,250
218,800 Wal-Mart Stores, Inc. 10,557,100
7,200 Winn-Dixie Stores, Inc. 265,950
----------
33,547,444
----------
Beverages, Food & Tobacco - 5.5%
1,800 Adolph Coors Co. 89,100
23,400 Anheuser-Busch Cos., Inc. 1,659,883
28,790 Archer-Daniels-Midland Co. 444,446
13,800 Bestfoods 683,100
3,300 Brown Forman Corp., Class B 215,119
21,500 Campbell Soup Co. 997,063
121,300 Coca-Cola Co. 7,581,250
20,800 Coca-Cola Enterprises, Inc. 639,600
24,000 Conagra, Inc. 639,000
7,600 General Mills, Inc. 610,850
4,900 Hercules, Inc. 192,631
6,800 Hershey Foods Corp. 403,750
17,700 H.J. Heinz Co. 887,213
19,900 Kellogg Co. 656,700
15,800 Nabisco Group Holdings Corp. 309,088
72,500 PepsiCo, Inc. 2,804,844
118,500 Philip Morris Companies, Inc. 4,762,219
11,700 Pioneer Hi-Bred International, Inc. 455,569
6,700 Quaker Oats Co. 444,713
15,900 Ralston Purina Co. 483,956
24,400 Safeway, Inc.* 1,207,800
21,000 Seagram Co., Ltd. 1,057,875
5,800 Supervalu, Inc. 148,988
16,200 Sysco Corp. 482,963
28,089 Unilever NV 1,959,208
8,500 UST, Inc. 248,625
5,700 Wm. Wrigley Jr. Co. 513,000
----------
30,578,553
----------
Industrial-Diversified - 4.0%
2,000 Armstrong World Industries, Inc. 115,625
161,000 General Electric Co. 18,193,000
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-9
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
Industrial-Diversified (continued)
1,500 Jostens, Inc. $ 31,594
500 NACCO Industries, Inc., Class A 36,750
40,393 Tyco International, Ltd. 3,827,237
----------
22,204,206
----------
Insurance - 3.7%
6,985 Aetna, Inc. 624,721
261 Aetna, Inc., Convertible Preferred 19,379
13,200 AFLAC Corp. 631,950
39,538 Allstate Corp. 1,418,426
12,317 American General Corp. 928,394
60,992 American International Group, Inc. 7,139,876
12,550 AON Corp. 517,688
8,000 Chubb Corp. 556,000
10,100 Cigna Corp. 898,900
8,000 Cincinnati Financial Corp. 300,500
15,907 Conseco, Inc. 484,169
11,200 Hartford Financial Services Group, Inc. 653,100
8,200 Humana, Inc.* 106,088
5,300 Jefferson Pilot Corp. 350,794
9,800 Lincoln National Corp.* 512,663
5,400 Loews Corp. 427,275
12,950 Marsh & Mclennan Cos. Inc. 977,725
5,000 MBIA, Inc. 323,750
5,300 MGIC Investment Corp. 257,713
3,700 Progressive Corp. 536,500
6,600 Provident Companies, Inc. 264,000
6,600 Safeco Corp. 291,225
11,000 St. Paul Cos. 349,938
6,500 Torchmark Corp. 221,813
6,200 Transamerica Corp. 465,000
8,600 United Healthcare Corp. 538,575
6,900 UNUM Corp. 377,775
3,400 Wellpoint Health Networks, Inc., Class A* 288,575
----------
20,462,512
----------
Electronics - 3.3%
7,100 Advanced Micro Devices, Inc.* 128,244
6,200 Honeywell, Inc. 718,425
163,200 Intel Corp. 9,710,400
7,100 LSI Logic Corp.* 327,488
12,200 Micron Technology, Inc.* 491,813
29,600 Motorola, Inc. 2,804,600
8,100 National Semiconductor Corp.* 205,031
16,574 Raytheon Co., Class B 1,166,395
19,400 Texas Instruments, Inc. 2,813,000
----------
18,365,396
----------
Media-Broadcasting & Publishing - 2.8%
3,300 American Greetings Corp., Class A 99,413
34,900 CBS Corp.* 1,515,969
16,400 Clear Channel Communications, Inc.* 1,130,575
36,400 Comcast Corp., Class A 1,399,125
4,400 Dow Jones & Co., Inc. 233,475
13,800 Gannett Co., Inc. 984,975
3,800 Knight-Ridder, Inc. 208,763
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
Media-Broadcasting & Publishing (continued)
9,800 McGraw-Hill Cos., Inc. $ 528,588
29,800 MediaOne Group, Inc.* 2,216,375
2,600 Meredith Corp. 90,025
8,600 New York Times Co., Class A 316,588
58,760 Time Warner, Inc. 4,318,860
3,600 Times Mirror Co., Class A 213,300
5,900 Tribune Co. 514,038
33,967 Viacom, Inc., Class B* 1,494,548
----------
15,264,617
----------
Electric Utilities - 2.1%
9,400 AES Corp.* 546,375
6,800 Ameren Corp. 260,950
9,500 American Electric Power, Inc. 356,844
7,400 Carolina Power & Light Co. 316,813
10,300 Central & South West Corp. 240,763
7,843 Cinergy Corp. 250,976
5,800 CMS Energy Corp. 242,875
11,100 Consolidated Edison, Inc. 502,275
7,350 Constellation Energy Group, Inc. 217,744
9,350 Dominion Resources, Inc. 404,972
7,200 DTE Energy Co. 288,000
17,817 Duke Energy Corp. 968,799
16,900 Edison International 452,075
12,000 Entergy Corp. 375,000
11,500 FirstEnergy Corp. 356,500
4,800 Florida Progress Corp. 198,300
8,900 FPL Group, Inc. 486,163
6,200 GPU, Inc. 261,563
5,600 New Century Energies, Inc. 217,350
9,200 Niagara Mohawk Power Corp.* 147,775
7,400 Northern States Power Co. 178,988
14,600 Pacificorp 268,275
9,500 Peco Energy Co. 397,813
18,800 PG&E Corp. 611,000
7,700 PP&L Resources, Inc. 236,775
10,800 Public Service Enterprise Group, Inc. 441,450
14,398 Reliant Energy, Inc. 397,745
11,613 Sempra Energy 262,744
34,100 Southern Co. 903,650
13,840 Texas Utilities Co. 570,900
10,700 Unicom Corp. 412,619
----------
11,774,071
----------
Cosmetics & Personal Care - 2.0%
12,800 Avon Products, Inc. 710,400
5,900 Clorox Co. 630,194
14,400 Colgate-Palmolive Co. 1,422,000
54,600 Gillette Co. 2,238,600
5,200 International Flavors & Fragrances, Inc. 230,750
65,400 Procter & Gamble Co. 5,836,950
----------
11,068,894
----------
Financial Services - 1.8%
22,200 American Express Co. 2,888,775
5,500 Countrywide Credit Industries, Inc. 235,125
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-10
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------
Financial Services (continued)
34,200 Freddie Mac $1,983,600
50,400 Fannie Mae 3,446,100
12,430 Franklin Resources Inc. 504,969
7,050 Providian Financial Corp. 659,175
----------
9,717,744
----------
Chemicals - 1.7%
11,200 Air Products & Chemicals, Inc. 450,800
5,700 Avery-Dennison Corp. 344,138
10,800 Dow Chemical Co. 1,370,250
55,400 Du Pont (E.I.) De Nemours and Co. 3,784,513
3,800 Eastman Chemical Co. 196,650
2,800 Great Lakes Chemical Corp. 128,975
31,000 Monsanto Co. 1,222,563
3,200 Nalco Chemical Co. 166,000
17,000 Occidental Petroleum Corp. 359,125
8,600 PPG Industries, Inc. 507,938
7,700 Praxair, Inc. 376,819
4,208 Sealed Air Corp.* 272,994
6,600 Union Carbide Corp. 321,750
3,200 W.R. Grace and Co.* 58,800
----------
9,561,315
----------
Automotive - 1.6%
3,600 BF Goodrich Co. 153,000
3,600 Cooper Tire & Rubber Co. 85,050
8,109 Dana Corp. 373,521
27,728 Delphi Automotive Systems Corp. 514,701
59,600 Ford Motor Co. 3,363,675
31,800 General Motors Corp. 2,098,800
8,850 Genuine Parts Co. 309,750
7,600 Goodyear Tire & Rubber Co. 446,975
4,300 ITT Industries, Inc. 163,938
3,200 Navistar International Corp.* 160,000
3,780 Paccar, Inc. 201,758
2,400 Pep Boys - Manny, Moe & Jack 51,900
9,300 Rockwell International Corp. 564,975
6,000 TRW, Inc. 329,250
----------
8,817,293
----------
Commercial Services - 1.5%
7,700 Browning-Ferris Industries, Inc. 331,100
37,633 Cendant Corp.* 771,477
8,100 Dun & Bradstreet Corp. 287,044
6,400 Ecolab, Inc. 279,200
2,100 EG&G, Inc. 74,813
7,000 Equifax, Inc. 249,813
21,300 First Data Corp. 1,042,369
3,800 Fluor Corp. 153,900
21,600 Halliburton Co. 977,400
4,700 H&R Block, Inc. 235,000
6,850 Interpublic Group of Companies, Inc. 593,381
8,800 Omnicom Group, Inc. 704,000
12,000 Paychex, Inc. 382,500
6,300 R. R. Donnelley & Sons Co. 233,494
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------
Commercial Services (continued)
13,200 Service Corp. International $ 254,100
29,935 Waste Management, Inc. 1,609,006
----------
8,178,597
----------
Medical Supplies - 1.4%
3,400 Allergan, Inc. 377,400
2,900 Bausch & Lomb, Inc. 221,850
14,400 Baxter International, Inc. 873,000
12,200 Becton, Dickinson & Co. 366,000
5,500 Biomet, Inc. 218,625
19,400 Boston Scientific Corp.* 852,388
2,500 C.R. Bard, Inc. 119,531
6,600 Danaher Corp. 383,625
3,600 Eaton Corp. 331,200
2,400 Fresenius Medical Care Corp., Class D* 36
14,800 Guidant Corp. 761,275
4,400 KLA-Tencor Corp.* 285,450
3,400 Mallinckrodt, Inc. 123,675
28,700 Medtronic, Inc. 2,235,013
2,100 Millipore Corp. 85,181
2,500 PE Biosystems Group 286,875
4,000 St. Jude Medical, Inc.* 142,500
2,150 Tektronix, Inc. 64,903
7,600 Thermo Electron Corp.* 152,475
----------
7,881,002
----------
Heavy Machinery - 1.4%
18,400 Applied Materials, Inc.* 1,359,300
15,980 Baker Hughes, Inc. 535,330
4,300 Black & Decker Corp. 271,438
1,200 Briggs & Stratton Corp. 69,300
3,700 Case Corp. 178,063
17,600 Caterpillar, Inc. 1,056,000
2,100 Cummins Engine Co., Inc. 119,963
11,400 Deere & Co. 451,725
10,400 Dover Corp. 364,000
3,800 Harris Corp., Inc. 148,913
8,200 Ingersoll Rand Co. 529,925
1,700 Milacron, Inc. 31,450
6,000 Pall Corp. 133,125
5,375 Parker-Hannifin Corp. 245,906
4,400 Stanley Works 141,625
2,900 Timken Co. 56,550
23,800 United Technologies Corp. 1,706,163
4,600 W.W. Grainger, Inc. 247,538
----------
7,646,314
----------
Securities Broker - 1.4%
5,755 Bear Stearns Cos., Inc. 269,046
20,150 Charles Schwab Corp. 2,213,981
5,800 Lehman Brothers Holdings, Inc. 361,050
18,200 Merrill Lynch & Co., Inc. 1,454,863
28,017 Morgan Stanley Dean Witter & Co. 2,871,743
7,200 Paine Webber Group, Inc. 336,600
----------
7,507,283
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-11
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Communications - 1.3%
4,000 Andrew Corp.* $ 75,750
8,500 General Instrument Corp.* 361,250
20,082 Lucent Technologies, Inc. 1,354,280
3,600 Network Appliance, Inc.* 201,150
14,600 Nextel Communications, Inc., Class A* 732,738
32,740 Nortel Networks Corp. 2,842,241
3,600 Scientific Atlanta, Inc. 129,600
19,200 Tellabs, Inc.* 1,297,200
----------
6,994,209
----------
Aerospace & Defense - 1.0%
27,200 AlliedSignal, Inc. 1,713,600
47,838 Boeing Co. 2,113,842
6,200 General Dynamics Corp. 424,700
19,282 Lockheed Martin Corp. 718,255
3,500 Northrop Grumman Corp. 232,094
7,500 Textron, Inc. 617,344
----------
5,819,835
----------
Forest Products & Paper - 1.0%
2,600 Bemis Co. 103,350
2,800 Boise Cascade Corp. 120,400
4,800 Champion International Corp. 229,800
10,800 Fort James Corp. 409,050
8,400 Georgia-Pacific Corp. 397,950
7,200 Ikon Office Solutions, Inc. 108,000
20,192 International Paper Co. 1,019,696
26,240 Kimberly-Clark Corp. 1,495,680
5,200 Louisiana Pacific Corp. 123,500
5,000 Mead Corp. 208,750
1,400 Potlatch Corp. 61,513
2,700 Temple Inland, Inc. 184,275
8,300 Tenneco, Inc. 198,163
4,950 Westvaco Corp. 143,550
9,800 Weyerhaeuser Co. 673,750
5,400 Willamette Industries, Inc. 248,738
----------
5,726,165
----------
Entertainment & Leisure - 1.0%
30,200 Carnival Corp. 1,464,700
6,200 Harrah's Entertainment, Inc.* 136,400
9,550 Hasbro, Inc. 266,803
3,400 King World Productions, Inc.* 118,363
20,412 Mattel, Inc. 539,642
101,229 Walt Disney Co. 3,119,119
----------
5,645,027
----------
Electrical Equipment - 0.9%
15,900 Eastman Kodak Co. 1,077,225
21,400 Emerson Electric Co. 1,345,525
1,900 National Service Industries, Inc. 68,400
2,100 Polaroid Corp. 58,013
3,800 Raychem Corp. 140,600
2,800 Thomas & Betts Corp. 132,300
32,600 Xerox Corp. 1,925,438
----------
4,747,501
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Metals - 0.9%
11,000 Alcan Aluminum, Ltd. $ 351,313
18,200 Alcoa, Inc. 1,126,125
9,302 Allegheny Teledyne, Inc. 210,458
1,800 Asarco, Inc. 33,863
19,000 Barrick Gold Corp. 368,125
11,300 Battle Mountain Gold Co. 27,544
6,300 Bethlehem Steel Corp.* 48,431
4,700 Cooper Industries, Inc. 244,400
3,350 Crane Co. 105,316
4,300 Cyprus Amax Minerals Co. 65,306
6,050 Engelhard Corp. 136,881
7,900 Freeport-McMoRan Copper & Gold, Inc. 141,706
12,700 Homestake Mining Co. 103,981
9,400 Inco, Ltd. 169,200
16,400 Masco Corp. 473,550
8,211 Newmont Mining Corp. 163,194
4,300 Nucor Corp. 203,981
2,900 Phelps Dodge Corp. 179,619
15,900 Placer Dome, Inc. 187,819
3,200 Reynolds Metals Co. 188,800
4,220 USX - U.S. Steel Group 113,940
4,400 Worthington Industries, Inc. 72,325
----------
4,715,877
----------
Household Products - 0.7%
12,100 Corning, Inc. 848,513
8,100 Fortune Brands, Inc. 335,138
12,400 Illinois Tool Works, Inc. 1,016,800
13,933 Newell Rubbermaid, Inc. 647,885
7,600 Owens-Illinois, Inc.* 248,425
10,476 Rohm & Haas Co. 449,149
3,200 Snap-On, Inc. 115,800
2,700 Tupperware Corp. 68,850
----------
3,730,560
----------
Restaurants - 0.6%
6,500 Darden Restaurants, Inc. 141,781
66,800 McDonald's Corp. 2,759,675
7,610 Tricon Global Restaurants, Inc.* 411,891
6,000 Wendy's International, Inc. 169,875
----------
3,483,222
----------
Transportation - 0.6%
4,500 Brunswick Corp. 125,438
22,952 Burlington Northern Santa Fe Corp. 711,512
10,700 CSX Corp. 484,844
1,600 Fleetwood Enterprises, Inc. 42,300
1,600 FMC Corp.* 109,300
5,400 Kansas City Southern Industries, Inc. 344,588
16,100 Laidlaw, Inc., Class B 118,738
18,600 Norfolk Southern Corp. 560,325
3,300 Ryder System, Inc. 85,800
12,100 Union Pacific Corp. 705,581
----------
3,288,426
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-12
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Health Care Providers - 0.5%
13,400 Cardinal Health, Inc. $ 859,275
27,800 Columbia/HCA Healthcare Corp. 634,188
5,300 HCR Manor Care, Inc.* 128,194
20,200 Healthsouth Corp.* 301,738
13,614 McKesson Corp. 437,350
15,200 Tenet Healthcare Corp.* 282,150
----------
2,642,895
----------
Textiles, Clothing & Fabrics - 0.4%
3,500 Fruit of the Loom, Inc.* 34,125
3,000 Liz Claiborne, Inc. 109,500
13,900 Nike, Inc., Class B 880,044
2,700 Reebok International, Ltd.* 50,288
1,600 Russell Corp. 31,200
44,400 Sara Lee Corp. 1,007,325
900 Springs Industries, Inc. 39,263
5,800 V.F. Corp. 247,950
----------
2,399,695
----------
Airlines - 0.4%
7,600 AMR Corp.* 518,700
7,000 Delta Air Lines, Inc. 403,375
14,600 FDX Corp.* 792,050
16,475 Southwest Airlines, Inc. 512,784
3,600 U.S. Airways Group, Inc.* 156,825
----------
2,383,734
----------
Home Construction, Furnishings & Appliances - 0.4%
4,200 Johnson Controls, Inc. 291,113
18,200 Lowes Cos., Inc. 1,031,713
4,300 Maytag Corp. 299,656
2,600 Owens Corning 89,375
2,000 Pulte Corp. 46,125
3,700 Whirlpool Corp. 273,800
----------
2,031,782
----------
Lodging - 0.1%
12,600 Hilton Hotels Corp. 178,763
12,300 Marriott International, Inc., Class A 459,713
9,700 Mirage Resorts, Inc.* 162,475
----------
800,951
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------
Heavy Construction - 0.0%
2,800 Centex Corp. $ 105,175
2,000 Foster Wheeler Corp. 28,250
2,300 Kaufman And Broad Home Corp. 57,213
2,800 McDermott International, Inc. 79,100
------------
269,738
------------
Containers & Packaging - 0.0%
1,400 Ball Corp. 59,150
5,900 Crown Cork & Seal Co., Inc. 168,150
------------
227,300
------------
Total Common Stocks 545,895,550
------------
(Cost $357,986,417)
INVESTMENT COMPANY - 0.5%
2,898,028 SSgA Prime Money Market Fund 2,898,028
------------
Total Investment Company 2,898,028
------------
(Cost $2,898,028)
Total Investments - 99.0% 548,793,578
------------
(Cost $360,884,445)
Net Other Assets and Liabilities - 1.0% 5,534,056
------------
Total Net Assets - 100.0% $554,327,634
============
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
<TABLE>
<CAPTION>
Number of
Contracts Contract Expiration Current Opening Market Value at
Purchased Type Date Position June 30, 1999
- --------- -------- ---------- --------------- ---------------
<S> <C> <C> <C> <C>
6 S & P 500 Sep-99 $1,976,699 $2,072,550
<CAPTION>
=============== ===============
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $361,438,663. Net unrealized appreciation (depreciation) aggregated
$187,354,915, of which $193,597,626 related to appreciated investment securi-
ties and $6,242,711 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $69,524,654
and $116,874,698 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $9,952,420.
The value of collateral amounted to $10,145,280 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
- --------------------------------------------
F-13
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 49.5%
Fannie Mae (A) - 22.6%
$ 1,000,000 4.92%, 07/19/99 Aaa $ 996,583
13,389,576 6.00%, 05/01/01 to 02/01/29 Aaa 12,800,071
16,918,983 6.50%, 05/01/08 to 06/01/29 Aaa 16,393,388
2,500,000 7.00%, 07/01/29 (D) Aaa 2,473,438
12,268,232 7.00%, 05/01/17 to 07/14/29 Aaa 12,162,178
592,968 7.39%, 08/17/03 Aaa 595,612
7,616,324 7.50%, 10/01/25 to 10/01/28 Aaa 7,720,631
2,224,477 8.00%, 04/01/09 to 04/01/23 Aaa 2,291,424
393,735 8.50%, 07/01/08 Aaa 409,366
361,708 9.00%, 02/01/10 Aaa 377,392
------------
56,220,083
------------
U.S. Treasury Notes - 10.1%
10,850,000 5.63%, 02/28/01 Aaa 10,873,733
9,415,000 5.75%, 08/15/03 Aaa 9,415,000
300,000 6.25%, 02/15/07 Aaa 305,625
250,000 6.50%, 08/15/05 Aaa 257,735
3,530,000 6.63%, 03/31/02 (E) Aaa 3,618,250
670,000 6.88%, 05/15/06 Aaa 705,385
------------
25,175,728
------------
U.S. Treasury Bonds - 9.2%
4,835,000 5.50%, 08/15/28 Aaa 4,414,959
9,905,000 7.13%, 02/15/23 Aaa 10,941,935
4,565,000 7.25%, 05/15/16 Aaa 5,010,088
1,500,000 7.50%, 11/15/16 Aaa 1,686,095
650,000 7.63%, 11/15/22 Aaa 756,031
90,000 7.75%, 01/31/00 Aaa 91,350
------------
22,900,458
------------
Ginnie Mae (A) - 4.5%
8,251,344 6.50%, 09/15/08 to 02/15/29 Aaa 7,980,162
1,499,875 7.00%, 05/15/23 to 06/15/23 Aaa 1,486,361
903,720 8.00%, 08/15/22 to 09/15/26 Aaa 929,659
179,948 9.00%, 08/15/16 Aaa 191,824
711,440 9.50%, 02/15/06 Aaa 753,302
------------
11,341,308
------------
Freddie Mac (A) - 3.1%
137,945 6.50%, 06/01/04 to 08/01/04 Aaa 136,272
3,197,499 7.00%, 08/01/10 to 12/01/11 Aaa 3,214,850
1,018,422 7.50%, 01/01/07 to 10/01/18 Aaa 1,035,644
1,248,422 7.90%, 07/01/16 Aaa 1,281,583
802,200 8.00%, 04/01/07 to 08/01/09 Aaa 821,995
282,996 8.75%, 05/01/17 Aaa 302,432
712,383 9.50%, 03/01/01 to 02/01/21 Aaa 759,005
210,964 10.00%, 10/01/20 to 12/01/20 Aaa 228,997
------------
7,780,778
------------
Total U.S. Government and
Agency Obligations 123,418,355
------------
(Cost $126,019,789)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 34.9%
Banking - 4.6%
$ 925,000 BankBoston Corp., MTN
6.38%, 04/15/08 A $ 873,080
1,450,000 BCH Cayman Islands, Ltd., Yankee
Subordinated Note, Guaranteed
6.50%, 02/15/06 A 1,391,549
1,000,000 Centura Banks, Inc.
6.50%, 03/15/09 Baa 933,498
2,000,000 Chase Manhattan Corp.
6.38%, 02/15/08 A 1,903,062
1,000,000 Compass Trust I, Series A
8.23%, 01/15/27 A 998,334
2,000,000 Firstar Corp., MTN
6.97%, 05/01/00 A 2,009,190
1,750,000 MBNA Corp.
6.96%, 09/12/02 Baa 1,722,833
1,775,000 Providian National Bank
6.75%, 03/15/02 Baa 1,758,771
------------
11,590,317
------------
Securities Broker - 3.3%
2,500,000 Bear Stearns Cos., Inc.,
Senior Note
6.15%, 03/02/04 A 2,424,118
2,045,000 Donaldson, Lufkin & Jenrette, Inc.,
Senior Note
6.88%, 11/01/05 A 2,015,366
2,275,000 Morgan Stanley Dean Witter & Co.,
MTN
5.63%, 02/28/01 Aa 2,249,506
1,700,000 Paine Webber Group, Inc., Senior
Note
6.55%, 04/15/08 Baa 1,596,261
------------
8,285,251
------------
Telephone Systems - 3.3%
1,500,000 AT&T Capital Corp., MTN
6.25%, 05/15/01 Baa 1,475,871
1,225,000 LCI International, Inc.,
Senior Note
7.25%, 06/15/07 Ba 1,206,298
2,275,000 MCI WorldCom, Inc.
7.75%, 04/01/07 A 2,377,498
1,800,000 Sprint Capital Corp.
5.70%, 11/15/03 Baa 1,731,339
1,500,000 U.S. West Capital Funding, Inc.
6.13%, 07/15/02 Baa 1,469,273
------------
8,260,279
------------
Media-Broadcasting & Publishing -
3.2%
1,675,000 Comcast Cable Communications, Inc.
8.13%, 05/01/04 Baa 1,759,083
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-14
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------------
Media-Broadcasting & Publishing
(continued)
$ 1,125,000 Hearst-Argyle Television, Inc.,
Senior Note
7.00%, 01/15/18 Baa $ 1,038,924
2,275,000 News America Holdings, Inc. 7.38%,
10/17/08 Baa 2,259,587
675,000 Time Warner Entertainment Co., LP,
Senior Debenture
8.38%, 03/15/23 Baa 730,461
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Baa 1,286,943
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Baa 864,458
-----------
7,939,456
-----------
Oil & Gas - 2.7%
2,325,000 K.N. Energy, Inc., Senior Note
6.45%, 03/01/03 Baa 2,243,741
700,000 Southwest Gas Corp., Debenture,
Series F
9.75%, 06/15/02 Baa 747,541
1,500,000 Tennessee Gas Pipeline Co.,
Debentures
7.50%, 04/01/17 Baa 1,488,896
800,000 Union Pacific Resources
Group, Inc.
6.50%, 05/15/05 Baa 760,373
1,500,000 Valero Energy Corp., MTN 7.50%,
05/31/01 (B) BBB 1,508,739
-----------
6,749,290
-----------
Electric Utilities - 2.7%
2,195,000 Connecticut Light & Power Co.,
First Mortgage, Series 94D
7.88%, 10/01/24 Baa 2,248,273
1,000,000 Empresa Electrica Pehuenche SA,
Yankee Note
7.30%, 05/01/03 Baa 947,999
1,000,000 Ohio Edison Co.
7.38%, 09/15/02 Baa 1,020,715
1,100,000 Sithe/Independence Funding Corp.,
Guaranteed, Series A 9.00%,
12/30/13 Baa 1,186,416
580,000 Texas Utilities Electric Co.
7.38%, 10/01/25 A 556,522
800,000 Texas-New Mexico Power Co., Senior
Note
6.25%, 01/15/09 Baa 705,083
-----------
6,665,008
-----------
Financial Services - 2.4%
1,750,000 Homeside Lending, Inc., MTN 6.88%,
05/15/00 A 1,757,973
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa 1,452,110
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------------
Financial Services (continued)
$ 1,700,000 The Money Store, Inc.
8.05%, 04/15/02 A $ 1,769,734
1,000,000 Travelers Group, Inc.
7.25%, 05/01/01 Aa 1,017,375
-----------
5,997,192
-----------
Beverages, Food & Tobacco - 1.7%
1,700,000 J. Seagram & Sons, Inc.
7.60%, 12/15/28 Baa 1,639,715
1,500,000 Ralston Purina Co., Debenture
7.75%, 10/01/15 Baa 1,566,876
1,000,000 Safeway, Inc.
6.50%, 11/15/08 Baa 958,313
-----------
4,164,904
-----------
Airlines - 1.6%
1,300,000 AMR Corp., Debenture
9.50%, 05/15/01 Baa 1,360,510
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa 2,122,217
415,080 United Air Lines, Inc.
9.30%, 03/22/08 Baa 451,951
-----------
3,934,678
-----------
Forest Products & Paper - 1.6%
1,900,000 Abitibi-Consolidated,
Yankee Debenture
7.40%, 04/01/18 Baa 1,725,455
1,225,000 Chesapeake Corp.
7.20%, 03/15/05 Baa 1,236,279
1,000,000 International Paper Co.
6.88%, 04/15/29 A 918,610
-----------
3,880,344
-----------
Automotive - 1.4%
400,000 Ford Motor Credit Corp.
5.80%, 01/12/09 A 365,720
1,300,000 Ford Motor Credit Corp.
6.25%, 12/08/05 A 1,255,521
1,805,000 General Motors Acceptance Corp.
5.88%, 01/22/03 A 1,764,003
-----------
3,385,244
-----------
Insurance - 1.0%
1,000,000 AON Capital Trust, Series A 8.21%,
01/01/27 A 1,052,022
1,500,000 Conseco Finance Trust III
8.80%, 04/01/27 Ba 1,377,257
-----------
2,429,279
-----------
Retailers - 0.9%
2,450,000 Dillards, Inc.
6.13%, 11/01/03 Baa 2,366,879
-----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-15
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
Communications - 0.8%
$ 2,275,000 Lucent Technologies, Inc. 6.45%,
03/15/29 A $ 2,078,786
------------
Computers & Information - 0.7%
2,000,000 International Business
Machines Corp.
6.50%, 01/15/28 A 1,847,556
------------
Heavy Machinery - 0.6%
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 Baa 1,507,677
------------
Industrial-Diversified - 0.6%
1,500,000 Tyco International Group S.A.,
Yankee Subordinated Note 6.25%,
06/15/03 Baa 1,476,305
------------
Pharmaceuticals - 0.6%
1,500,000 Watson Pharmaceuticals, Inc.,
Senior Note
7.13%, 05/15/08 Ba 1,435,785
------------
Chemicals - 0.5%
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba 1,336,218
------------
Transportation - 0.4%
900,000 CNF Transportation, Inc.,
Debenture
9.13%, 08/15/99 Baa 901,144
------------
Home Construction, Furnishings & Appliances -
0.3%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa 816,912
------------
Total Corporate Notes and Bonds 87,048,504
------------
(Cost $89,065,094)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) - 13.2%
277,849 Associates Manufactured Housing,
Series 1996-1, Class A2,
6.70%, 03/15/27 Aaa 278,210
2,350,000 BankBoston RV Asset Backed
Trust, Series 1997-1, Class A8,
6.54%, 02/15/09 Aaa 2,360,011
1,489,606 Barnett Auto Trust,
Series 1997-A, Class A-3,
6.03%, 11/15/01 Aaa 1,493,404
1,288,054 Bear Stearns Mortgage
Securities, Inc., Series 1995-1,
Class 1A, CMO
6.48%, 05/25/10 Aaa 1,266,646
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) (continued)
$2,100,000 Bear Stears Mortgage
Securities, Inc.,
7.08%, 06/15/09 Aaa $ 2,118,375
1,250,000 Bear Stearns Mortgage Securities,
Inc., Series 1996-3, Class A10,
CMO
7.75%, 06/25/27 Aaa 1,262,751
750,000 Carco Auto Loan Master Trust,
Series 1997-1, Class A,
6.69%, 08/15/04 Aaa 751,343
1,575,000 Chase Credit Card Master Trust,
Series 1997-5, Class A,
6.19%, 08/15/05 Aaa 1,570,606
3,000,000 Chase Manhattan Auto Owner Trust,
Series 1998-A, Class 3, 5.70%,
09/17/01 Aaa 3,002,760
1,106,327 COMM, Series 1999-1, Class A1,
6.15%, 02/15/08 Aaa 1,084,189
1,000,000 Copelco Capital Funding Corp.,
Series 1999-A, Class A4,
5.80%, 04/15/03 Aaa 992,990
2,500,000 Diversified REIT Trust, Series
1999-1A, Class A2 (A)(F),
6.78%, 03/18/11 Aaa 2,434,766
1,210,144 Donaldson Lufkin & Jennrette
Commercial Mortgage Corp., Series
1998-CF2, Class A1A, 5.88%,
01/12/31 Aaa 1,168,212
1,669,660 Financial Asset Securitization,
Inc., Series 1997-NAM1, Class
FXA2, CMO
7.75%, 05/25/27 (B) AAA 1,687,113
1,166,465 First Plus Home Loan Trust, Series
1996-2, Class A5, 7.47%, 02/20/11 Aaa 1,168,366
1,500,000 First Security Auto Owner Trust,
Series 1999-1, Class A4,
5.74%, 06/15/04 Aaa 1,477,635
1,228,051 General Motors Acceptance Corp.
Commercial Mortgage Securities,
Inc., Series 1996-C1, Class A2A,
CMO,
6.79%, 09/15/03 Aaa 1,237,335
60,413 Green Tree Financial Corp., Series
1992-1, Class A3, 6.70%, 10/15/17 Aaa 60,479
686,151 Green Tree Financial Corp., Series
1994-1, Class A3, 6.90%, 04/15/19 Aa 688,978
205,965 Green Tree Recreation Equipment &
Consumer Trust, Series 1996-A,
Class A1, 5.55%, 02/15/18 Aaa 204,029
722,913 Green Tree Recreation Equipment &
Consumer Trust, Series1997-B,
Class A1,
6.55%, 07/15/28 (B) AAA 729,246
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-16
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -----------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) - (continued)
$ 66,447 NationsBank Auto Grantor Trust,
Series 1995-A, Class B, 6.00%,
06/15/02 A $ 66,504
706,127 Olympic Automobile Receivables
Trust, Series 1996-A, Class A4,
5.85%, 07/15/01 Aaa 707,214
56,642 Residential Asset Securitization
Trust, Series 1996-A10, Class A3,
7.50%, 11/25/11 Aaa 56,480
2,500,000 Residential Funding Mortgage
Securities I, Series 1999-S7,
Class A11,
6.50%, 03/25/29 Aaa 2,460,450
375,754 Resolution Trust Corp.,
Series 1995-C1, Class A4C, CMO
6.85%, 02/25/27 Aaa 375,122
435,356 Vendee Mortgage Trust,
Series 1997-1, Class 2B, CMO
7.50%, 03/15/13 NR 436,792
59,293 Western Financial Grantor Trust,
Series 1995-2, Class A2, 7.10%,
07/01/00 Aaa 59,391
1,575,000 WFS Financial Owner Trust, Series
1998-B, Class A4, 6.05%, 04/20/03 Aaa 1,569,803
----------
Total Asset-Backed and Mortgage-
Backed Securities 32,769,200
----------
(Cost $33,006,866)
COMMERCIAL PAPER (C) - 2.0%
Automotive - 2.0%
2,000,000 Ford Motor Credit Corp.
4.87%, 07/01/99 A 1,995,942
3,000,000 Republic Industrial Funding Corp.
4.95%, 07/14/99 NR 2,985,563
----------
Total Commercial Paper 4,981,505
----------
(Cost $4,981,505)
</TABLE>
<TABLE>
<CAPTION>
Value
Shares Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------
INVESTMENT COMPANY - 0.9%
$2,285,204 SSgA Prime Money Market Fund $ 2,285,204
------------
Total Investment Company 2,285,204
------------
(Cost $2,285,204)
Total Investments - 100.5% 250,502,768
------------
(Cost $255,358,458)
Net Other Assets and Liabilities -
(0.5)% (1,171,637)
------------
Total Net Assets - 100.0% $249,331,131
============
</TABLE>
- ------------------
(A) Pass Through Certificates
(B) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(C) Effective yield at time of purchase
(D) Forward Commitment
(E) Designated as Collateral on Forward Commitment
(F) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At June 30, 1999, these securities
amounted to $2,434,766 or 1.0% of net assets.
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $255,359,259. Net unrealized appreciation (depreciation) aggregated
$(4,856,491), of which $1,244,049 related to appreciated investment securities
and $6,100,540 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $52,923,747
and $26,178,822 of non-governmental issuers, respectively, and $75,570,133 and
$72,067,859 of U.S. Government and Agency issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $47,189,536.
The value of collateral amounted to $48,195,450 which consisted of cash equiva-
lents (note 2).
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings S&P Ratings
<S> <C> <C> <C>
Aaa 61.3% AAA 1.0%
Aa 1.6 BBB 0.6
A 11.9
Baa 20.0
Ba 2.2
NR (Not Rated) 1.4
------ -------
98.4% 1.6%
====== =======
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-17
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 90.5%
U.S. Treasury Notes - 46.4%
$ 750,000 5.25%, 08/15/03 $ 736,875
2,450,000 5.63%, 11/30/00 2,455,361
7,000,000 5.75%, 11/30/02 to 08/15/03 7,003,719
3,000,000 6.00%, 07/31/02 3,030,000
1,725,000 6.13%, 08/15/07 1,743,868
5,975,000 6.25%, 02/28/02 to 02/15/07 6,065,469
5,775,000 6.38%, 09/30/01 5,870,651
9,865,000 6.50%, 05/31/01 to 10/15/06 10,082,826
750,000 6.63%, 04/30/02 768,750
6,350,000 6.88%, 05/15/06 (B) 6,685,363
750,000 7.25%, 05/15/04 795,704
----------
45,238,586
----------
Fannie Mae - 20.7%
1,600,000 4.85%, 07/19/99 1,594,180
1,000,000 4.92%, 07/19/99 996,583
4,078,000 5.13%, 02/13/04 3,907,442
550,000 5.84%, 03/15/01 549,945
1,250,000 6.15%, 06/25/20 1,240,788
1,425,000 6.18%, 03/15/01 1,432,568
1,850,000 6.45%, 04/23/01 1,868,034
2,750,000 6.50%, 07/19/14 (A) 2,709,608
827,565 6.50%, 05/01/08 819,157
1,250,000 6.57%, 08/22/07 1,251,994
400,000 6.96%, 04/02/07 409,376
396,201 7.00%, 01/01/10 to 05/01/17 398,490
357,209 7.39%, 08/17/03 358,803
759,375 7.50%, 03/01/07 772,019
561,001 8.00%, 04/01/09 to 09/01/21 577,720
1,200,208 8.40%, 02/25/09 1,237,222
----------
20,123,929
----------
Freddie Mac - 7.5%
2,500,000 5.13%, 10/15/08 2,268,335
700,000 5.75%, 07/15/03 694,441
1,566,873 6.50%, 06/01/04 to 06/01/23 1,542,248
1,000,000 6.87%, 03/03/03 1,025,437
283,204 7.50%, 02/01/07 288,290
328,522 7.90%, 07/01/16 337,248
889,849 8.00%, 09/01/08 to 06/01/19 911,843
116,924 9.50%, 03/01/01 120,485
159,485 10.00%, 03/01/21 173,056
----------
7,361,383
----------
Federal Farm Credit Bank - 6.4%
1,125,000 5.72%, 02/04/03 1,108,308
1,600,000 5.75%, 02/20/03 1,577,310
1,550,000 6.65%, 08/08/03 1,573,681
2,000,000 6.71%, 04/25/01 2,028,424
----------
6,287,723
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
Federal Home Loan Bank - 3.4%
$1,500,000 5.61%, 01/23/03 $1,478,349
1,350,000 6.19%, 05/06/08 1,322,266
550,000 6.55%, 03/07/05 557,210
----------
3,357,825
----------
U.S. Treasury Bonds - 2.6%
1,250,000 5.25%, 02/15/29 1,121,875
1,100,000 10.75%, 08/15/05 1,367,782
----------
2,489,657
----------
Ginnie Mae - 2.4%
75,053 6.50%, 06/15/09 74,822
1,997,559 7.00%, 06/15/09 to 06/15/12 2,023,301
59,144 8.00%, 12/15/06 61,518
211,983 9.50%, 02/15/06 224,456
----------
2,384,097
----------
Tennessee Valley Authority, Series D - 1.1%
1,100,000 6.00%, 11/01/00 1,103,902
----------
Total U.S. Government and Agency Obligations 88,347,102
----------
(Cost $90,046,924)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 8.8%
1,250,000 American Express Credit Account Master Trust, Series
1999-1, Class A,
5.60%, 11/15/06 1,212,888
1,500,000 American Express Master Trust,
Series 1998-1, Class A,
5.90%, 04/15/04 1,478,580
186,556 Associates Manufactured Housing,
Series 1996-1, Class A2,
6.70%, 03/15/27 186,799
2,800,000 Chase Credit Card Master Trust,
Series 1997-2, Class A,
6.30%, 04/15/03 2,819,012
1,500,000 Discover Card Master Trust I,
Series 1998-2, Class A, 5.80%, 09/16/03 1,496,100
32,954 Green Tree Recreation Equipment & Consumer Trust,
Series 1996-A, Class A1,
5.55%, 02/15/18 32,645
1,400,000 Premier Auto Trust, Series 1996-4, Class A4, 6.40%,
10/06/01 1,405,684
----------
Total Asset-Backed and
Mortgage-Backed Securities 8,631,708
----------
(Cost $8,694,379)
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-18
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANY - 2.1%
2,053,191 SSgA Prime Money Market Fund $ 2,053,191
-----------
Total Investment Company 2,053,191
-----------
(Cost $2,053,191)
Total Investments - 101.4% 99,032,001
-----------
(Cost $100,794,494)
Net Other Assets and Liabilities -
(1.4)% (1,344,167)
-----------
Total Net Assets - 100.0% $97,687,834
===========
</TABLE>
- ------------------
(A) Forward Commitment
(B) Designated as Collateral on Forward Commitment, par value of $2,810,000.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $100,846,189. Net unrealized appreciation (depreciation) aggregated
$(1,814,188), of which $56,779 related to appreciated investment securities and
$1,870,967 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $11,126,383
and $8,697,438 of non-governmental issuers, respectively, and $31,364,946 and
$14,508,537 of U.S. Government and Agency issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $25,662,821.
The value of collateral amounted to $26,208,563 which consisted of cash equiva-
lents (note 2).
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings
<S> <C>
Aaa 97.9%
NR (Not Rated) 2.1
-------
100.0%
=======
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-19
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
COMMERCIAL PAPER (B) - 38.9%
Financial Services - 14.3%
$14,000,000 Finova Capital Corp.
5.08%, 02/25/00 $14,000,000
7,000,000 Heller Financial, Inc.
4.90%, 07/26/99 6,886,619
5,000,000 Heller Financial, Inc.
4.90%, 08/30/99 4,923,778
7,000,000 Lexington Parker Capital Corp. (A)
4.88%, 07/07/99 6,961,096
11,041,000 Pegasus Two Ltd Corp.
5.05%, 08/23/99 10,924,839
7,923,000 Transamerica Asset Funding
5.18%, 08/16/99 7,863,718
7,000,000 Westways Funding II, Ltd. (A)
4.90%, 07/14/99 6,952,361
-----------
58,512,411
-----------
Insurance - 6.0%
5,000,000 Aetna Services, Inc.
5.00%, 07/21/99 4,971,528
2,700,000 Aetna Services, Inc.
5.03%, 07/19/99 2,686,796
10,000,000 Prudential Funding Corp.
4.84%, 07/12/99 9,930,089
6,900,000 Swiss RE Financial Products
4.90%, 08/16/99 6,816,414
-----------
24,404,827
-----------
Education - 4.3%
13,783,000 Iowa Student Loan Co.
4.98%, 07/21/99 13,704,827
3,800,000 Southwest Student Services
4.98%, 07/06/99 3,786,333
-----------
17,491,160
-----------
Automotive - 4.2%
6,000,000 American Honda Finance Corp. (A)
5.00%, 01/20/00 5,998,332
3,608,000 Enterprise Funding Corp. (A)
4.93%, 08/09/99 3,577,366
4,000,000 General Motors Acceptance Corp.
8.00%, 10/01/99 4,026,467
3,600,000 Republic Industrial Funding Corp.
4.95%, 07/06/99 3,586,635
-----------
17,188,800
-----------
Transportation - 2.3%
9,500,000 Los Angeles Metropolitan Transportation Authority
5.05%, 07/12/99 9,499,845
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------
<C> <S> <C>
Chemicals - 1.9%
$2,000,000 Akzo Nobel, Inc.
4.95%, 09/17/99 $ 1,972,225
5,925,000 CIBA Specialty Chemicals Corp.
4.83%, 08/24/99 5,824,838
-----------
7,797,063
-----------
Securities Broker - 1.6%
1,575,000 Bear Stearns Cos., Inc.
6.50%, 05/15/00 1,589,121
5,050,000 Lehman Brothers Holdings, Inc.
7.63%, 07/15/99 5,052,183
-----------
6,641,304
-----------
Electric Utilities - 1.4%
1,000,000 Cogentrix of Richmond, Inc.
5.05%, 07/14/99 996,213
5,000,000 Florida Power & Light Group Capital, Inc. (A)
4.91%, 08/18/99 4,908,619
-----------
5,904,832
-----------
Heavy Machinery - 1.4%
1,246,000 Cooperative Association Tractor Dealers
5.05%, 07/13/99 to 07/16/99 1,241,302
4,500,000 John Deere Capital Corp.
5.68%, 04/10/00 4,507,025
-----------
5,748,327
-----------
Banking - 0.9%
1,265,000 Bank of Scotland
5.00%, 08/23/99 1,251,647
2,500,000 Den Norske Bank ASA
4.91%, 12/24/99 2,408,278
-----------
3,659,925
-----------
Telephone Systems - 0.4%
1,500,000 Nynex Capital Funding Corp.
9.40%, 06/01/00 1,549,498
-----------
Beverages, Food & Tobacco - 0.2%
1,000,000 Diageo Plc
6.50%, 09/15/99 1,002,262
-----------
Total Commercial Paper 159,400,254
-----------
(Cost $159,400,254)
CORPORATE NOTES - 31.0%
Securities Broker - 11.1%
6,000,000 Bear Stearns Cos., Inc.
4.99%, 08/25/99 6,000,000
3,965,000 Bear Stearns Cos., Inc.
7.63%, 09/15/99 3,982,901
7,000,000 Donaldson, Lufkin & Jenrette, Inc., MTN
5.25%, 10/05/99 7,000,000
2,000,000 Donaldson, Lufkin & Jenrette, Inc.
6.31%, 05/26/00 2,007,405
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-20
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ---------------------------------------------------------------------
<C> <S> <C>
CORPORATE NOTES (continued)
Securities Broker (continued)
$14,000,000 Morgan Stanley Dean Witter & Co.
5.06%, 02/14/00 $14,000,000
6,750,000 Paine Webber Group, Inc.
7.00%, 03/01/00 6,808,226
5,500,000 Paine Webber Group, Inc., MTN
5.85%, 10/21/99 5,500,000
-----------
45,298,532
-----------
Banking - 8.1%
4,000,000 Bankers Trust Corp.
9.50%, 05/14/00 4,139,466
1,691,000 Chase Manhattan Corp.
7.75%, 11/01/99 1,705,177
2,500,000 Chase Manhattan Corp., MTN
5.37%, 10/26/99 2,502,292
6,000,000 Chase Manhattan Corp., MTN
4.96%, 01/20/00 6,000,516
1,000,000 First Chicago NBD Corp., MTN
5.39%, 12/14/99 1,001,109
5,000,000 First National Bank of Chicago, Euro MTN
7.00%, 04/30/00 5,068,982
7,000,000 Key Bank National Association
5.13%, 03/24/00 6,997,781
2,000,000 Norwest Financial, Inc.
6.88%, 06/15/00 2,020,142
3,500,000 Shawmut National Corp.
8.63%, 12/15/99 3,554,635
-----------
32,990,100
-----------
Financial Services - 3.6%
1,000,000 Beneficial Corp., MTN
5.09%, 01/10/00 1,000,507
2,000,000 Household Finance Corp.
6.75%, 05/01/00 2,022,014
6,000,000 Liberty Lighthouse U.S. Capital
5.09%, 09/15/99 6,000,000
6,000,000 Liberty Lighthouse U.S. Capital (A)
5.05%, 08/16/99 6,000,000
-----------
15,022,521
-----------
Telephone Systems - 2.0%
8,000,000 GTE Corp.
5.14%, 05/12/00 7,995,143
-----------
Automotive - 1.2%
4,000,000 Ford Motor Credit Corp.
6.38%, 09/15/99 4,009,251
715,000 General Motors Acceptance Corp.
5.04%, 12/09/99 714,619
-----------
4,723,870
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -----------------------------------------------------------------------------
<C> <S> <C>
Industrial - Diversified - 1.2%
$5,000,000 General Electric Capital Corp., MTN
4.95%, 04/13/00 $ 5,000,000
-----------
Electric Utilities - 1.2%
5,000,000 National Rural Utilities Cooperative Finance Corp.
5.18%, 06/26/00 5,000,000
-----------
Heavy Machinery - 1.0%
4,000,000 Caterpillar Financial Services Corp., MTN
6.28%, 05/01/00 4,026,427
-----------
Commercial Services - 0.7%
3,000,000 International Lease Finance Corp.
6.63%, 05/01/00 3,034,261
-----------
Transportation - 0.7%
3,000,000 Richmond County Development Authority
5.65%, 06/01/00 2,995,431
-----------
Retailers - 0.2%
1,000,000 Wal-Mart Stores, Inc.
5.85%, 06/01/00 1,001,680
-----------
Total Corporate Notes 127,087,965
-----------
(Cost $127,087,965)
U.S. GOVERNMENT AGENCY OBLIGATIONS (B) - 11.0%
Federal Home Loan Bank - 6.8%
15,000,000 4.75%, 11/03/99 15,000,000
8,000,000 5.15%, 03/24/00 8,002,153
5,000,000 5.22%, 03/17/00 5,000,000
-----------
28,002,153
-----------
Sallie Mae - 2.2%
9,018,000 5.47%, 07/15/99 9,018,000
-----------
Fannie Mae - 2.0%
8,000,000 4.84%, 07/01/99 7,907,502
-----------
Total U.S. Government Agency Obligations 44,927,655
-----------
(Cost $44,927,655)
CERTIFICATES OF DEPOSIT - 9.8%
3,000,000 Bankers Trust Corp. (A)
5.07%, 08/09/99 2,997,496
10,000,000 Barclays Bank, Plc, Yankee CD
4.89%, 05/12/00 9,994,923
5,000,000 Bear Stearns Cos., Inc.
5.00%, 02/02/00 5,000,000
3,000,000 Commerzbank, AG, Yankee CD
4.99%, 01/25/00 2,999,789
8,000,000 European American Bank
5.28%, 05/12/00 7,998,001
4,000,000 Goldman Sachs and Co. (A)
5.04%, 02/07/00 4,000,000
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-21
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ----------------------------------------------------------------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (continued)
$4,236,000 Merrill Lynch & Co., Inc.
5.40%, 02/15/00 $4,246,801
3,000,000 Rabobank Nederland NV
6.45%, 08/16/99 3,002,015
----------
Total Certificates Of Deposit 40,239,025
----------
(Cost $40,239,025)
MUNICIPAL BONDS - 4.1%
Virginia - 2.4%
10,000,000 Virginia State Housing Development Authority
5.25%, 08/05/99 9,998,628
----------
Connecticut - 1.7%
6,900,000 Connecticut State Housing, AMBAC
5.10%, 11/15/16 6,900,000
----------
Total Municipal Bonds 16,898,628
----------
(Cost $16,898,628)
</TABLE>
<TABLE>
<CAPTION>
Par Value
Value (Note 2)
- -------------------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 2.4%
$ 308,087 Copelco Capital Funding Corp.
5.68%, 08/16/99 $ 308,087
4,399,778 Fidelity Equipment Lease Trust, Series 1999-1,
Class A1 (A), CMO
5.16%, 06/16/00 4,399,820
5,000,000 SMM Trust, 1999-C (A)
5.20%, 01/26/00 5,000,000
------------
Total Asset-Backed and
Mortgage-Backed Securities 9,707,907
------------
(Cost $9,707,907)
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANIES - 0.0%
4,383 Scudder Institutional Money Market Fund 4,383
3,461 SSgA Prime Money Market Fund 3,461
------------
Total Investment Companies 7,844
------------
(Cost $7,844)
Total Investments - 97.2% 398,269,278
------------
(Cost $398,269,278)
Net Other Assets and Liabilities - 2.8% 11,343,066
------------
Total Net Assets - 100.0% $409,612,344
============
</TABLE>
- ------------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At June 30, 1999, these
securities amounted to $50,795,090 or 12.40% of net assets.
(B) Effective yield at time of purchase
AMBAC American Municipal Bond Assurance Corporation
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $398,269,278.
See Notes to Financial Statements.
------------------------------------------------------
F-22
<PAGE>
Allmerica Investment Trust
STATEMENTS OF ASSETS AND LIABILITIES (in 000's) . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Equity Investment Grade Government Money
Aggressive International Growth Index Income Bond Market
Growth Fund Equity Fund Fund Fund Fund Fund Fund
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments:
Investments at cost.... $ 561,180 $ 401,782 $ 738,741 $360,884 $255,358 $100,794 $398,269
Net unrealized
appreciation
(depreciation)........ 265,817 124,059 251,422 187,910 (4,855) (1,762) --
--------- --------- --------- -------- -------- -------- --------
Total investments at
value................. 826,997 525,841 990,163 548,794 250,503 99,032 398,269
Cash and foreign
currency*.............. 2 25,437 -- -- 77 85 20
Short-term investments
held as collateral for
securities loaned...... 56,382 12,865 73,204 10,145 48,195 26,209 --
Receivable for
investments sold....... -- 584 12,588 10,066 -- 1 --
Receivable for shares
sold................... -- 288 31 32 406 57 7,830
Receivable for variation
margin................. -- -- -- 38 -- -- --
Interest and dividend
receivables............ 459 2,037 1,126 613 3,255 1,378 3,638
Receivable for expense
reimbursement.......... -- -- -- -- -- -- --
Deferred organizational
expense................ -- -- -- -- -- -- --
Dividend tax reclaim
receivables............ -- 793 1 24 -- -- --
Net unrealized
appreciation on forward
currency contracts..... -- 497 -- -- -- -- --
--------- --------- --------- -------- -------- -------- --------
Total Assets........... 883,840 568,342 1,077,113 569,712 302,436 126,762 409,757
--------- --------- --------- -------- -------- -------- --------
LIABILITIES:
Payable for investments
purchased.............. -- 1,522 9,825 4,952 4,610 2,707 --
Payable for shares
repurchased............ 2,955 1,872 271 -- -- -- --
Payable to custodian.... -- -- 3,004 -- -- -- --
Collateral for
securities loaned...... 56,382 12,865 73,204 10,145 48,195 26,209 --
Net unrealized
depreciation on forward
currency contracts..... -- -- -- -- -- -- --
Advisory fee payable.... 564 399 339 125 88 40 80
Accrued expenses and
other payables......... 352 174 467 162 212 118 65
--------- --------- --------- -------- -------- -------- --------
Total Liabilities...... 60,253 16,832 87,110 15,384 53,105 29,074 145
--------- --------- --------- -------- -------- -------- --------
$ $ $
NET ASSETS.............. $ 823,587 $ 551,510 $ 990,003 554,328 249,331 $ 97,688 409,612
========= ========= ========= ======== ======== ======== ========
NET ASSETS consist of
$ $ $ $
Paid-in capital......... $ 528,540 $ 423,492 $ 665,024 327,643 253,686 101,813 409,709
Undistributed
(distribution in excess
of)
net investment income
(loss)................. (1,710) 472 47 (686) 82 29 --
Accumulated
(distribution in excess
of) net realized
gain (loss) on
investments sold,
foreign currency
transactions and
futures contracts...... 30,940 2,972 73,510 39,365 418 (2,392) (97)
Net unrealized
appreciation
(depreciation) of
investments, assets and
liabilities in foreign
currency and futures
contracts.............. 265,817 124,574 251,422 188,006 (4,855) (1,762) --
--------- --------- --------- -------- -------- -------- --------
$ $ $
TOTAL NET ASSETS........ $ 823,587 $ 551,510 $ 990,003 554,328 249,331 $ 97,688 409,612
========= ========= ========= ======== ======== ======== ========
Shares of beneficial
interest outstanding
(unlimited
authorization, no par
value) (in 000's)....... 295,324 334,505 325,011 146,353 231,351 94,648 409,711
NET ASSET VALUE,
Offering and redemption
price per share
(Net Assets/Shares
Outstanding)............ $ 2.789 $ 1.649 $ 3.046 $ 3.788 $ 1.078 $ 1.032 $ 1.000
========= ========= ========= ======== ======== ======== ========
</TABLE>
- ------------------------------------
* Cost $25,421 for Select International Equity Fund.
See Notes to Financial Statements.
- --------------------------------------------
F-23
<PAGE>
Allmerica Investment Trust
STATEMENTS OF OPERATIONS (in 000's) . For the Six Months Ended June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Equity Investment Grade Government Money
Aggressive International Growth Index Income Bond Market
Growth Fund Equity Fund Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest............... $ 307 $ 373 $ 299 $ 105 $ 8,060 $ 2,822 $ 9,269
Dividends.............. 1,256 5,787 5,135 3,607 19 15 25
Securities lending
income................ 100 49 12 1 3 2 --
Less net foreign taxes
withheld.............. -- (705) (48) (55) -- -- --
--------- --------- -------- ------- ------- ------- -------
Total investment
income................ 1,663 5,504 5,398 3,658 8,082 2,839 9,294
--------- --------- -------- ------- ------- ------- -------
EXPENSES
Investment advisory
fees.................. 3,299 2,343 1,970 735 520 231 449
Custodian and Fund
accounting fees....... 89 110 101 80 43 35 45
Legal fees............. 6 4 6 3 2 1 2
Audit fees............. 15 16 16 13 10 8 10
Trustees' fees and
expenses.............. 8 5 9 5 2 1 3
Reports to
shareholders.......... 78 51 64 40 26 12 26
Amortization of
organization costs.... -- -- -- -- -- -- --
Miscellaneous.......... 6 5 11 3 2 -- 3
--------- --------- -------- ------- ------- ------- -------
Total expenses before
reductions and
waiver................ 3,501 2,534 2,177 879 605 288 538
Less reductions........ (128) (24) (190) -- -- -- --
Less
reimbursement/waiver.. -- -- -- -- -- -- --
--------- --------- -------- ------- ------- ------- -------
Total expenses net of
reductions and
waiver................ 3,373 2,510 1,987 879 605 288 538
--------- --------- -------- ------- ------- ------- -------
NET INVESTMENT INCOME
(LOSS)................. (1,710) 2,994 3,411 2,779 7,477 2,551 8,756
--------- --------- -------- ------- ------- ------- -------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS:
Net realized gain
(loss) on investments
sold.................. 33,231 4,887 75,381 39,555 419 (123) --
Net realized gain
(loss) on futures
contracts............. -- -- -- 365 -- -- --
Net realized gain
(loss) on foreign
currency
transactions.......... -- 6,577 -- -- -- -- --
Net change in
unrealized
appreciation
(depreciation) of
assets and liabilities
in foreign currency... -- 2,053 -- -- -- -- --
Net change in
unrealized
appreciation
(depreciation)
of investments and
futures contracts..... 66,547 20,009 78,842 17,779 (11,626) (3,062) --
--------- --------- -------- ------- ------- ------- -------
NET GAIN (LOSS) ON
INVESTMENTS............ 99,778 33,526 154,223 57,699 (11,207) (3,185) --
--------- --------- -------- ------- ------- ------- -------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS............. $ 98,068 $ 36,520 $157,634 $60,478 $(3,730) $ (634) $ 8,756
========= ========= ======== ======= ======= ======= =======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-24
<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, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning
of period.............. $ 752,741 $ 604,123 $ 505,553 $ 397,915
--------- --------- --------- ---------
Increase (decrease) in
net assets
resulting from
operations:
Net investment income
(loss)................ (1,710) (2,428) 2,994 4,550
Net realized gain
(loss) on investments
sold and foreign
currency
transactions.......... 33,231 (367) 11,464 (7,626)
Net change in
unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency...... 66,547 71,945 22,062 70,083
--------- --------- --------- ---------
Net increase in net
assets resulting from
operations............ 98,068 69,150 36,520 67,007
--------- --------- --------- ---------
Distributions to
shareholders from:
Net investment income.. -- -- -- (6,430)
Distribution in excess
of net investment
income................ -- -- --
Net realized gain on
investments........... -- -- -- --
--------- --------- --------- ---------
Total distributions... -- -- -- (6,430)
--------- --------- --------- ---------
Capital share
transactions:
Net proceeds from sales
of shares............. 43,557 102,931 197,260 141,035
Issued to shareholders
in reinvestment of
distributions......... -- -- -- 6,430
Cost of shares
repurchased........... (70,779) (23,463) (187,823) (100,404)
--------- --------- --------- ---------
Net increase from
capital share
transactions......... (27,222) 79,468 9,437 47,061
--------- --------- --------- ---------
Total increase
(decrease) in net
assets............... 70,846 148,618 45,957 107,638
--------- --------- --------- ---------
NET ASSETS at the end of
period................. $ 823,587 $ 752,741 $ 551,510 $ 505,553
========= ========= ========= =========
Undistributed
(distribution in
excess of) net
investment income
(loss)................ $ (1,710) $ -- $ 472 $ (2,522)
========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold .................. 17,552 46,519 123,607 94,467
Issued to shareholders
in reinvestment of
distributions......... -- -- -- 4,119
Repurchased............ (28,210) (12,098) (117,061) (67,343)
--------- --------- --------- ---------
Net increase
(decrease) in shares
outstanding.......... (10,658) 34,421 6,546 31,243
========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-25
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Index
Growth Fund Fund
- ---------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of
period................... $ 860,333 $ 728,679 $ 481,877 $ 297,191
--------- --------- --------- ---------
Increase (decrease) in net
assets
resulting from operations:
Net investment income
(loss).................. 3,411 8,521 2,779 4,376
Net realized gain (loss)
on investments sold and
foreign currency
transactions............ 75,381 86,003 39,920 11,411
Net change in unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency........ 78,842 45,169 17,779 80,293
--------- --------- --------- ---------
Net increase in net
assets resulting from
operations.............. 157,634 139,693 60,478 96,080
--------- --------- --------- ---------
Distributions to
shareholders from:
Net investment income.... (3,504) (8,516) (3,465) (4,471)
Distribution in excess
of net investment
income.................. -- -- -- --
Net realized gain on
investments............. (86,927) (8,113) (811) (11,585)
--------- --------- --------- ---------
Total distributions..... (90,431) (16,629) (4,276) (16,056)
--------- --------- --------- ---------
Capital share
transactions:
Net proceeds from sales
of shares............... 9,310 28,087 63,845 115,271
Issued to shareholders
in reinvestment of
distributions........... 90,431 16,629 4,276 16,056
Cost of shares
repurchased............. (37,274) (36,126) (51,872) (26,665)
--------- --------- --------- ---------
Net increase from
capital share
transactions........... 62,467 8,590 16,249 104,662
--------- --------- --------- ---------
Total increase
(decrease) in net
assets................. 129,670 131,654 72,451 184,686
--------- --------- --------- ---------
NET ASSETS at the end of
period................... $ 990,003 $ 860,333 $ 554,328 $ 481,877
========= ========= ========= =========
Undistributed
(distribution in excess
of) net investment income
(loss)................... $ 47 $ 140 $ (686) $ --
========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold..................... 3,046 11,374 17,870 39,162
Issued to shareholders
in reinvestment of
distributions........... 29,693 6,073 1,148 4,832
Repurchased.............. (12,239) (14,496) (14,056) (10,552)
--------- --------- --------- ---------
Net increase in shares
outstanding............ 20,500 2,951 4,962 33,442
========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-26
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Investment Grade Government Money Market
Income Fund Bond Fund Fund
- -----------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 230,623 $ 189,503 $ 81,018 $ 55,513 $ 336,253 $ 260,619
--------- --------- --------- --------- --------- ---------
7,477 12,894 2,551 3,812 8,756 14,920
419 1,767 (123) 434 -- (52)
(11,626) 1,626 (3,062) 654 -- --
--------- --------- --------- --------- --------- ---------
(3,730) 16,287 (634) 4,900 8,756 14,868
--------- --------- --------- --------- --------- ---------
(7,619) (12,840) (2,604) (3,785) (8,756) (14,920)
-- -- -- -- -- (2)
(202) -- -- -- -- --
--------- --------- --------- --------- --------- ---------
(7,821) (12,840) (2,604) (3,785) (8,756) (14,922)
--------- --------- --------- --------- --------- ---------
27,757 39,047 23,304 29,432 350,582 327,728
7,821 12,840 2,604 3,785 8,756 14,922
(5,319) (14,214) (6,000) (8,827) (285,979) (266,962)
--------- --------- --------- --------- --------- ---------
30,259 37,673 19,908 24,390 73,359 75,688
--------- --------- --------- --------- --------- ---------
18,708 41,120 16,670 25,505 73,359 75,634
--------- --------- --------- --------- --------- ---------
$ 249,331 $ 230,623 $ 97,688 $ 81,018 $ 409,612 $ 336,253
========= ========= ========= ========= ========= =========
$ 82 $ 224 $ 29 $ 82 $ -- $ --
========= ========= ========= ========= ========= =========
25,230 34,443 21,955 27,717 350,581 327,728
7,161 11,381 2,500 3,562 8,756 14,922
(4,824) (12,431) (5,691) (8,436) (285,978) (266,962)
--------- --------- --------- --------- --------- ---------
27,567 33,393 18,764 22,843 73,359 75,688
========= ========= ========= ========= ========= =========
</TABLE>
- --------------------------------------------
F-27
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
-------------------------------------------- -----------------------------------------------------------------
Net Realized
Net and 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 Total
December 31, of Period (Loss) (2) Investments Operations Income Gains Excess Capital Distributions
------------ --------- ---------- ------------ ---------- ---------- ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select
Aggressive
Growth Fund
1999(D) 2.460 (0.006) 0.335 0.329 -- -- -- -- --
1998 2.225 (0.008) 0.243 0.235 -- -- -- -- --
1997 2.037 (0.009) 0.387 0.378 -- (0.182) (0.008)(/3/) -- (0.190)
1996 1.848 (0.009) 0.351 0.342 -- (0.153) -- -- (0.153)
1995 1.397 (0.001) 0.452 0.451 -- -- -- -- --
1994 1.431 (0.002) (0.032) (0.034) -- -- -- -- --
Select
International
Equity Fund(/1/)
1999(D) 1.542 0.009 0.098 0.107 -- -- -- -- --
1998 1.341 0.014 0.207 0.221 (0.020) -- -- -- (0.020)
1997 1.356 0.015 0.049 0.064 (0.019) (0.046) (0.014)(/4/) -- (0.079)
1996 1.136 0.011 0.238 0.249 (0.012) (0.003) (0.014)(/4/) -- (0.029)
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) -- -- (0.016)
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) -- -- (0.002)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
------------ ----------
<S> <C>
Select
Aggressive
Growth Fund
1999(D) 0.329
1998 0.235
1997 0.188
1996 0.189
1995 0.451
1994 (0.034)
Select
International
Equity Fund(/1/)
1999(D) 0.107
1998 0.201
1997 (0.015)
1996 0.220
1995 0.173
1994 (0.037)
</TABLE>
- ------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements, waivers, and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1999 (Unaudited)
(1) The Select International Equity Fund commenced operations on May 2, 1994.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $(0.006) for the six months ended
June 30, 1999, $(0.009) in 1998 and $(0.010) in 1997 for Select Aggressive
Growth Fund and $0.009 for the six months ended June 30, 1999, $0.014 in
1998, $0.015 in 1997, $0.011 in 1996 and $0.002 in 1994 for Select Interna-
tional Equity Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
------------------------------------------------------
F-28
<PAGE>
Allmerica Investment Trust
Ratios/Supplemental Data
--------------------------------------------------
Ratios To Average Net Assets
------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
End of Total Period Investment Operating Expenses Management Fee Turnover
Period Return (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------ ---------- ------------- ------ ------ ------ -------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2.789 13.37%** 823,587 (0.46)%* 0.90%* 0.93%* 0.93%* 0.88%* 0.88%* 27%**
2.460 10.56% 752,741 (0.36)% 0.92% 0.95% 0.95% 0.88% 0.88% 99%
2.225 18.71% 604,123 (0.45)% 0.99% 1.04% 1.04% 0.95% 0.95% 95%
2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08% 1.00% 1.00% 113%
1.848 32.28% 254,872 (0.07)% 1.09% -- 1.09% 1.00% 1.00% 104%
1.397 (2.31)% 136,573 (0.21)% 1.16% -- 1.16% 1.00% 1.00% 100%
1.649 6.94%** 551,510 1.14%* 0.96%* 0.97%* 0.97%* 0.89%* 0.89%* 6%**
1.542 16.48% 505,553 0.99% 1.01% 1.02% 1.02% 0.90% 0.90% 27%
1.341 4.65% 397,915 1.17% 1.15% 1.17% 1.17% 0.97% 0.97% 20%
1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23% 1.00% 1.00% 18%
1.136 19.63% 104,312 1.68% 1.24% -- 1.24% 1.00% 1.00% 24%
0.963 (3.49)%** 40,498 0.87%* 1.50%* -- 1.78%* 1.00%* 0.72%* 19%**
</TABLE>
- --------------------------------------------
F-29
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
--------------------------------------------- ----------------------------------------------------------------
Net Realized
Net and
Asset Net Unrealized Dividends Distributions
Value Investment Gain (Loss) Total from from Net from Net Distributions Return
Year Ended Beginning Income on Investment Investment Realized in of Total
December 31, of Period (Loss)(/2/) Investments Operations Income Capital Gains Excess Capital Distributions
- ----------------- --------- ----------- ------------ ---------- ---------- ------------- ------------- ------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Growth Fund
1999(D) 2.825 0.011 0.516 0.527 (0.012) (0.294) -- -- (0.306)
1998 2.416 0.028 0.436 0.464 (0.028) (0.027) -- -- (0.055)
1997 2.333 0.039 0.540 0.579 (0.038) (0.458) -- -- (0.496)
1996 2.176 0.047 0.386 0.433 (0.048) (0.228) -- -- (0.276)
1995 1.814 0.049 0.539 0.588 (0.049) (0.177) -- -- (0.226)
1994 1.939 0.043 (0.041) 0.002 (0.043) (0.084) -- -- (0.127)
Equity Index Fund
1999(D) 3.408 0.019 0.393 0.412 (0.024) (0.008) -- -- (0.032)
1998 2.753 0.035 0.741 0.776 (0.034) (0.087) -- -- (0.121)
1997 2.165 0.034 0.664 0.698 (0.033) (0.077) -- -- (0.110)
1996 1.827 0.035 0.370 0.405 (0.035) (0.032) -- -- (0.067)
1995 1.468 0.035 0.474 0.509 (0.035) (0.047) (0.002)(/2/) (0.066) (0.150)
1994 1.505 0.033 (0.018) 0.015 (0.033) (0.019) (0.052)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
- ------------------ ----------
<S> <C>
Growth Fund
1999(D) 0.221
1998 0.409
1997 0.083
1996 0.157
1995 0.362
1994 (0.125)
Equity Index Fund
1999(D) 0.380
1998 0.655
1997 0.588
1996 0.338
1995 0.359
1994 (0.037)
</TABLE>
- ------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1999 (Unaudited)
(1) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $0.011 for the six months ended June
30, 1999, $0.027 in 1998, $0.038 in 1997 and $0.046 in 1996 for Growth
Fund.
(2) Distributions in excess of net realized capital gains.
See Notes to Financial Statements.
---------------------------------------------------
F-30
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Ratios/Supplemental Data
--------------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------------
Net Assets
Net Asset End of Net Operating Management Portfolio
Value End Total Period Investment Expenses Fee Turnover
of Period Returns (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------- ---------- ------------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.046 18.66%** 990,003 0.75%* 0.44%* 0.48%* 0.48%* 0.43%* 0.43%* 53%**
2.825 19.32% 860,333 1.08% 0.46% 0.49% 0.49% 0.44% 0.44% 100%
2.416 25.14% 728,679 1.48% 0.47% 0.49% 0.49% 0.43% 0.43% 79%
2.333 20.19% 556,751 2.04% 0.48% 0.51% 0.51% 0.44% 0.44% 72%
2.176 32.80% 444,871 2.34% 0.54% -- 0.54% 0.46% 0.46% 64%
1.814 0.16% 335,714 2.25% 0.56% -- 0.56% 0.48% 0.48% 46%
3.788 12.17%** 554,328 1.05%* 0.33%* 0.33%* 0.33%* 0.28%* 0.28%* 13%**
3.408 28.33% 481,877 1.17% 0.36% 0.36% 0.36% 0.29% 0.29% 6%
2.753 32.41% 297,191 1.38% 0.44% 0.44% 0.44% 0.31% 0.31% 9%
2.165 22.30% 151,130 1.79% 0.46% 0.46% 0.46% 0.32% 0.32% 12%
1.827 36.18% 90,889 1.96% 0.55% -- 0.55% 0.34% 0.34% 8%
1.468 1.06% 52,246 2.25% 0.57% -- 0.57% 0.35% 0.35% 7%
</TABLE>
- --------------------------------------------
F-31
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
-------------------------------------------------------- ------------------------------------------------------
Net Realized
Net and
Asset Net Unrealized Dividends Distributions
Value Investment Gain (Loss) Total from from Net from Net Distributions
Year Ended Beginning Income on Investment Investment Realized in Return of Total
December 31, of Period (Loss)(/1/) Investments Operations Income Capital Gains Excess Capital Distributions
------------ --------- ----------- ------------ ---------- ---------- ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Grade
Income Fund
1999(D) 1.132 0.034 (0.053) (0.019) (0.034) (0.001) -- -- (0.035)
1998 1.112 0.067 0.020 0.087 (0.067) -- -- -- (0.067)
1997 1.084 0.071 0.028 0.099 (0.071) -- -- -- (0.071)
1996 1.117 0.070 (0.033) 0.037 (0.070) -- -- -- (0.070)
1995 1.012 0.071 0.106 0.177 (0.071) -- (0.001)(/1/) -- (0.072)
1994 1.111 0.066 (0.099) (0.033) (0.066) -- -- -- (0.066)
Government
Bond Fund
1999(D) 1.068 0.028 (0.035) (0.007) (0.029) -- -- -- (0.029)
1998 1.047 0.058 0.021 0.079 (0.058) -- -- -- (0.058)
1997 1.036 0.061 0.011 0.072 (0.061) -- -- -- (0.061)
1996 1.062 0.062 (0.026) 0.036 (0.062) -- -- -- (0.062)
1995 0.997 0.062 0.066 0.128 (0.062) -- (0.001)(/1/) -- (0.063)
1994 1.070 0.063 (0.073) (0.010) (0.063) -- -- -- (0.063)
Money Market
Fund
1999(D) 1.000 0.024 -- 0.024 (0.024) -- -- -- (0.024)
1998 1.000 0.054 -- 0.054 (0.054) -- -- -- (0.054)
1997 1.000 0.053 -- 0.053 (0.053) -- -- -- (0.053)
1996 1.000 0.052 -- 0.052 (0.052) -- -- -- (0.052)
1995 1.000 0.057 -- 0.057 (0.057) -- -- -- (0.057)
1994 1.000 0.039 -- 0.039 (0.039) -- -- -- (0.039)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
------------ ----------
<S> <C>
Investment Grade
Income Fund
1999(D) (0.054)
1998 0.020
1997 0.028
1996 (0.033)
1995 0.105
1994 (0.099)
Government
Bond Fund
1999(D) (0.036)
1998 0.021
1997 0.011
1996 (0.026)
1995 0.065
1994 (0.073)
Money Market
Fund
1999(D) --
1998 --
1997 --
1996 --
1995 --
1994 --
</TABLE>
- ------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1999 (Unaudited)
(1) 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 Assets
Net Asset End of Net Operating Management Portfolio
Value End Total Period Investment Expenses Fee Turnover
of Period Returns (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------- ---------- ------------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.078 (1.67)%** 249,331 6.20%* 0.50%* 0.50%* 0.50%* 0.43%* 0.43%* 41%**
1.132 7.97% 230,623 6.01% 0.52% 0.52% 0.52% 0.43% 0.43% 158%
1.112 9.45% 189,503 6.48% 0.51% 0.51% 0.51% 0.41% 0.41% 48%
1.084 3.56% 157,327 6.50% 0.52% 0.52% 0.52% 0.40% 0.40% 108%
1.117 17.84% 141,625 6.66% 0.53% -- 0.53% 0.41% 0.41% 126%
1.012 (2.96)% 109,972 6.25% 0.58% -- 0.58% 0.42% 0.42% 129%
1.032 (0.69)%** 97,688 5.56%* 0.63%* 0.63%* 0.63%* 0.50%* 0.50%* 26%**
1.068 7.67% 81,018 5.63% 0.64% 0.64% 0.64% 0.50% 0.50% 61%
1.047 7.08% 55,513 5.92% 0.67% 0.67% 0.67% 0.50% 0.50% 56%
1.036 3.51% 46,396 5.90% 0.66% 0.66% 0.66% 0.50% 0.50% 112%
1.062 13.06% 45,778 5.91% 0.69% -- 0.69% 0.50% 0.50% 180%
0.997 (0.88)% 42,078 5.60% 0.70% -- 0.70% 0.50% 0.50% 106%
1.000 2.43%** 409,612 4.84%* 0.30%* 0.30%* 0.30%* 0.25%* 0.25%* N/A
1.000 5.51% 336,253 5.36% 0.32% 0.32% 0.32% 0.26% 0.26% N/A
1.000 5.47% 260,620 5.33% 0.35% 0.35% 0.35% 0.27% 0.27% N/A
1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34% 0.28% 0.28% N/A
1.000 5.84% 155,211 5.68% 0.36% -- 0.36% 0.29% 0.29% N/A
1.000 3.93% 95,991 3.94% 0.45% -- 0.45% 0.31% 0.31% N/A
</TABLE>
- --------------------------------------------
F-33
<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 ("the 1940 Act"), 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 sep-
arate 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 insur-
ance companies. As of the date of this report, the Trust offered fourteen man-
aged 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 "Portfo-
lios").
2.SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions at
the date of the financial statements. Actual results could differ from those
estimates.
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
Security Valuation: Securities which are traded on a recognized exchange (in-
cluding securities traded through the National Market System) are valued at the
last sale price on the securities exchange on which 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 util-
izes 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 bro-
kers. 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 invest-
ments of the Money Market Fund are valued utilizing the amortized cost valua-
tion method, permitted in accordance with Rule 2a-7 under the 1940 Act. This
method involves valuing a portfolio security initially at its cost and thereaf-
ter 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
exchange 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 cer-
tain 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 Statement of
Assets and Liabilities. Gains or losses on the purchase or sale of forward for-
eign currency contracts having the same settlement date and broker are recog-
nized on the date of offset, otherwise gains and losses are recognized on the
settlement date.
The use of forward currency contracts does not eliminate fluctuations in the
underlying prices of the Portfolio, but it does establish a rate of exchange
that can be achieved in the future. Although forward foreign currency contracts
used for hedging purposes limit the risk of loss due to a decline in the value
of the hedged currency, they also limit any potential gain that might result
should the value of the currency increase. In addition, the Portfolio could be
exposed to risks if the counterparties to the contracts are unable to meet the
terms of their contracts.
Foreign Currency Translation: Investment valuations, other assets and liabili-
ties denominated in foreign currencies are converted each business day into
U.S. dollars based upon current exchange rates. Purchases and sales of foreign
------------------------------------------------------
F-34
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
investments and income and expenses are converted into U.S. dollars based upon
exchange rates prevailing on the respective dates of such transactions. That
portion of unrealized gains or losses on investments due to fluctuations in
foreign currency exchange rates is not separately disclosed.
Security Transactions and Investment Income: Security transactions are recorded
on trade date. Realized gains and losses from security transactions are deter-
mined on the basis of identified cost. Interest income, including amortization
of premium and accretion of discount on securities, is accrued daily. Dividend
income is recorded on ex-dividend date, except that certain dividends from for-
eign securities are recorded as soon as the Portfolios are informed of 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, if any, for its fiscal year. 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 distrib-
uted quarterly for the Growth, Equity Index, Investment Grade Income and Gov-
ernment Bond Funds, and annually for the Select Aggressive Growth, and Select
International Equity Funds. All Portfolios declare and distribute all net real-
ized capital gains, if any, at least annually. The distributions are recorded
on ex-dividend date. Income and capital gains 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 for-
wards, including "Post-October Losses" and losses deferred due to wash sales;
and permanent differences due to differing treatments for paydown gains/losses
on certain securities, foreign currency transactions, market discount, and non-
taxable dividends. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.
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 the 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 Investors Bank & Trust Company ("In-
vestors Bank & Trust") as its agent, may loan securities to brokers who pay the
Portfolio negotiated lenders' fees. These fees are disclosed as "securities
lending income" in the Statements of Operations. Each applicable Portfolio
receives obligations of the U.S. government and its agencies, cash and/or cash
equivalents and/or letters of credit as collateral against the loaned securi-
ties, 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 102% 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 the collateral at period end is included under the caption
"Other Information" at the end of each applicable Portfolio's schedule of
investments. Prior to April 1, 1999 Bankers Trust Company was the Portfolios
agent.
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
- --------------------------------------------
F-35
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
("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 the 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 trans-
actions 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 trans-
ferred 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. 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%
</TABLE>
<TABLE>
<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-36
<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:
<TABLE>
<S> <C>
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.
</TABLE>
Miller Anderson & Sherrerd, LLP also manages certain assets for First Allmerica
and its affiliates.
Effective April 1, 1999, Investors Bank & Trust provides transfer agency, port-
folio accounting and custody services to the Trust and receives fees and reim-
bursement of certain out-of-pocket expenses for its services. The Manager has
entered into an Administrative Services Agreement with Investors Bank & Trust,
whereby Investors Bank & Trust 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
administrative fee to Investors Bank & Trust. Prior to April 1, 1999, First
Data Investor Services Group, Inc. performed fund administration and fund
accounting services for the Trust, and custodian services were performed by
Bankers Trust.
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 by a percentage of
average net assets (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 bro-
kers will rebate a portion of brokerage commissions. Such amounts earned by the
Portfolios, under such agreements, are presented as a reduction of expenses in
the Statements of Operations.
6.SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value.
- --------------------------------------------
F-37
<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 for-
eign 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 of many foreign issuers and their
markets may be less liquid and their prices more volatile than those of securi-
ties of comparable U.S. issuers.
Investing in emerging markets may involve special risks and considerations not
typically associated with investing in the developed markets. These risks
include revaluation of currencies, high rates of inflation, repatriation
restrictions on income and capital, and future adverse political and economic
developments. Moreover, securities issued in these markets may be less liquid,
subject to government ownership controls, subject to delayed settlements, and
their prices more volatile than those of comparable securities in the United
States.
8.FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options trans-
actions, 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 primar-
ily to protect the Portfolio from adverse currency movement.
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F-38
<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 invest-
or's shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is not insured or guaranteed by the Fed-
eral Deposit Insurance Corporation or any other government agency. Although the
Portfolio seeks to preserve the value of your investment at a stable net asset
value of $1.00 per share, it is possible to lose money by investing in the
Portfolio.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Portfolios and are not autho-
rized for distribution to prospective investors in the flexible premium vari-
able 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 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 Insur-
ance Products Fund II, Delaware Group Premium Fund International Equity Series,
and T. Rowe Price International Stock Portfolio, which include important infor-
mation related to charges and expenses.
CLIENT NOTICES
- --------------------------------------------------------------------------------
Year 2000 (unaudited): Some computer software cannot distinguish between dates
in the year 2000 and dates in the year 1900 because of the way that the dates
are encoded and calculated. The services provided to the Trust by the Manager,
Sub-Advisers, Custodian and other external service providers depend on the
proper functioning of their computer software. Failure to correct or replace
any non-compliant software could adversely affect, among other things, the han-
dling of securities trades, the payment of interest and dividends, the pricing
of the Trust's securities and of the Trust's shares, and account services. The
Trust has requested information from its service providers with respect to
their plans to be Year 2000 compliant. The Trust has been advised by its serv-
ice providers that they either are Year 2000 compliant now or expect to be com-
pliant prior to December 31, 1999. However, there can be no guarantee that the
Trust's operations will not be adversely affected by non-compliant computer
systems of its service providers or other third parties which interact with
such service providers. The Year 2000 problem could also have an adverse effect
on issuers, including foreign issuers, whose securities are owned by the Port-
folios, potentially decreasing the value of such securities.
* * * * * *
This 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-39
<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 IMSA 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)
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
10300 (6/99)
