<PAGE>
Allmerica Financial Services Semi-Annual Report
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JUNE 30, 2000
.Allmerica IRA
[GRAPHIC]
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Table of Contents
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General Information ....................................................... 2
A Letter from the President ............................................... 3
Performance Disclosure .................................................... 4
Domestic & International Equity Market Overview ........................... 6
Select Aggressive Growth Fund ............................................. 8
Select International Equity Fund .......................................... 9
Core Equity Fund* ......................................................... 10
Equity Index Fund ......................................................... 11
Bond & Money Market Overview .............................................. 12
Select Investment Grade Income Fund** ..................................... 14
Government Bond Fund ...................................................... 15
Money Market Fund ......................................................... 16
Financials ................................................................ F-1
See Client Notices on page F-41.
A particular Fund may not be available under the group variable annuity which
you have chosen. Inclusion in this annual report of a Fund which is not
available under your policy is not to be considered a solicitation.
*Fund's name has been changed from Growth to Core Equity, effective 5-1-00.
**Fund's name has been changed from Investment Grade Income to Select Investment
Grade Income, effective 5-1-00.
1
<PAGE>
General Information
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Officers of First Allmerica
Financial Life Insurance Company
John F. O'Brien, President, CEO
Edward J. Parry, III, Vice President, CFO and Treasurer
Abigail M. Armstrong, Secretary and Counsel
Investment Manager
Allmerica Financial Investment Management Services, Inc.
440 Lincoln Street, Worcester, MA 01653
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/
1Independent Trustees
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Equity Index Fund
Select 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
Core Equity Fund
Nicholas-Applegate Capital Management, L.P.
600 West Broadway-Suite 2900, San Diego, CA 92101
Select Aggressive Growth Fund
2
<PAGE>
A Letter from the Chairman
[PHOTO]
Dear Client:
The first half of 2000 was another volatile period in the U.S and international
equity markets. Major equity indices struggled and most were unable to break
even, as concerns about inflation prompted the Federal Reserve to raise interest
rates three times. These actions by the Federal Reserve were, in part,
responsible for partially reversing the momentum of the technology-heavy NASDAQ
from an 85% gain in 1999 to a -2.46% loss for the first six months of the year.
This decline was comprised of a series of turbulent months where the NASDAQ fell
as much as 30% before recovering in June. Even the S&P 500 Index and Dow Jones
Industrial Average, comprised of better known and larger companies, suffered
and fluctuated wildly on a daily basis. As disappointing as the U.S. equity
market was, international equity markets fared worse. Economic expansion
throughout the world, and the corresponding fears of inflation contributed to
losses in both developed and emerging markets. The bond market overall has been
lackluster during the period partially due to interest rate increases, but also
due to credit concerns at companies in both the investment grade and high yield
markets.
The first half of the year appeared to be a textbook example of the benefits of
diversification and long term strategic asset allocation. A balanced allocation
to both growth and value stocks, along with international stocks and domestic
bonds proved beneficial to our clients as the 1999 success of high growth, high
momentum stocks wavered. Our funds performed just as we would have expected.
Domestically, our more aggressive funds reacted negatively to interest rate
increases while our value focused funds performed well. Our international funds
reacted similarly to our U.S. funds as those that had suffered in 1999 due to
their value bias finally received some well-deserved market attention. Overall,
we remain pleased with our fund managers and our disciplined approach.
As usual, we encourage you to work with your financial advisor to build and
maintain a diversified investment portfolio so that you may continue to enjoy
all that Allmerica has to offer.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
3
<PAGE>
Performance Disclosure
Allmerica IRA
Average Annual Total Returns as of 6/30/00
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
<PAGE>
Overview
<PAGE>
Domestic & International Equity Market Overview
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: Booming technology and Internet stocks help drive the Dow and NASDAQ to
record highs. Investors flock to large-cap stocks. The Fed hikes interest rates
in an effort to slow the economy and prevent inflation.
2000: Technology stocks correct in U.S. and international markets. Losses
stemmed somewhat by investments in other sectors. Technology rebounds but major
indices finish down. Three interest rate hikes signal that inflation is still a
concern.
The first six months of 2000 were an extremely volatile period in which U.S. and
foreign equity markets closely tracked each other. The period began on a high
note here and abroad with record high markets at the end of 1999 providing a
positive beginning for the first year of a new century. The period ended,
however, on a low note with the S&P 500 Stock Index returning -0.42% and the
Morgan Stanley Capital International's EAFE Index returning -3.95%.
The markets in January got off to a good start when the doomsday prediction of
computer systems catapulting global equity markets back to the year 1900
failed to materialize. The successful transition seemed to release pent-up
demand for new technologies and investors poured money into high tech stocks.
Demand was, and continues to be, high for wireless telecommunications services
and products, whose backbone is semiconductors and specifically computer chips.
Leading companies were Samsung Electronics (Korea), U.K.-based Vodaphone
AirTouch, which claims the largest number of mobile phone subscribers in the
world, and Nokia (Finland), the number one seller of mobile handsets.
Adding to the favorable investment climate was the fact that the major foreign
countries were experiencing relative political and economic stability. Latin
America, especially Mexico and Brazil, the Far East (except Japan), and Russia
were turn-around stories from such events as the 1994 devaluation of Mexico's
peso, the Asian debacle in 1997, and the 1998 default of the Russian
government. The increasing relative prosperity of many major countries, whose
citizens had new money to spend, provided another boost to the global economy. A
decline in the euro and in the yen did weaken returns denominated in U.S.
dollars, however, exchange rate fluctuations did not have a significant impact
on overall returns in the international funds due to currency hedging and
diversification.
Japan was a notable exception to this scenario, and the only industrialized
country reporting high unemployed and low consumer spending during the early
part of the year. In fact, Japan was officially in a recession according to
data on gross domestic product in the last quarter of 1999.
Nevertheless, the robust economic growth meant increasing concern
2000
JAN
The new year sees the global markets function without the much-feared Y2K
disruptions. Robust global growth continues amid rising interest rates.
Japan is an exception.
[GRAPHIC]
FEB
[GRAPHIC]
Investors are still fascinated by technology, including the speculative Internet
companies. The Federal Reserve raises short-term interest rates by .25%.
MAR
The technology-dominated NASDAQ starts its decline, with European and Asian
stocks quickly following suit. Japan's economy officially falls back into a
recession on news of a 1.4% decline in gross domestic product in the previous
quarter. The Federal Reserve again raises short-term interest rates another
.25%.
6
<PAGE>
Domestic & International Equity Market Overview
about inflationary pressures. Central banks worldwide tried to allay concern by
raising interest rates. In the United States, the Federal Reserve Board
raised rates in early February, late March, and again in May.
Another concern was the growing awareness that many Internet stocks, considered
a subsector of technology, were probably highly speculative and overvalued
investments. The bursting of the Internet bubble seemed all but inevitable,
however, huge numbers of investors, many of them day traders, continued to pour
money into technology generally, and dot-coms specifically. With gas prices
rising and greater need for more drilling and exploring, energy stocks were one
of the few alternatives to technology that investors considered. Total Fina
Elf (France) offered positive performance.
The bubble burst in March, with Internet stocks falling first. They took with
them many of what global equity analysts call "TMT," technology, media, and
telecommunication stocks. The NASDAQ stock index fell precipitously, and
Europe's and Asia's technology-dominated equity markets quickly followed suit.
The effects of the steep decline of TMT worldwide were offset somewhat by
investors moving into other sectors, including those representing the old
economy. These were especially attractive for their stable, reasonable prices
and predictable earnings. In fact, several global old economy, blue chip company
stocks gained 20% to 30% toward the end of March. Value stocks offered another
refuge during the technology sell-off. Especially attractive were the stocks of
energy, basic materials, communications, industrials, cyclicals, healthcare, and
some technology companies. Generally, careful stock selection across a range of
industries helped stem losses in investment portfolios overweighted in
technology.
Although in retrospect the sector rotation lasted a relatively short time, the
market change was significant as only the second time in the preceding seven
quarters when value stocks with their low price earnings ratios outperformed
growth stocks. Additionally, the rotation out of technology helped to weed
out "concept" stocks with big ideas but small revenues and no profits from more
mainstream new economy stocks. For example, although new economy stocks Nokia*
and Vodaphone AirTouch* lost value during the technology rout, they had
rebounded by the end of June.
In the third week of May the NASDAQ hit bottom and started to climb. Economic
reports of rising unemployment and declining consumer spending likely
reassured investors that growth was being controlled. The NASDAQ ended the first
half of the year down 2.5%, but the broader S&P 500 Stock Index fared better,
down only 0.5%. International equity indices showed a similar pattern, although
with greater declines.
The global equity markets survived the period's volatility reasonably well, and
looking ahead, continued growth offers the potential for good returns. And
although the period's correction showed that technology can lead investors to
the edge, technology also offers businesses in every industry the tools needed
to increase productivity, reduce costs, and expand and penetrate markets.
Counterbalancing this optimism for better earnings and profits leading to higher
share prices are the inevitable inflationary pressures. Equity markets will be
watching to see if monetary policy can forestall inflation without pushing the
economy toward a recession.
*These are examples only and not representative of any particular portfolio
holdings.
APR
Many investors flee technology and turn toward value investing. Select old
economy, blue chip stocks are up. Consumer spending rises only 0.2% suggesting
growth is slowing.
[GRAPHIC]
MAY
[GRAPHIC]
NASDAQ starts to recover after hitting bottom. Unemployment rate rises 4.1% from
its 30-year low of 3.9% in April, possibly indicating the economy is cooling
down. The Federal Reserve again raises short-term interest rates, but this time
by .50%, its sixth such action over the past 12 months.
JUN
The period ends mostly down, with skilled stock selection helping to stem
portfolio losses. The NASDAQ, in spite of a 30% drop mid period, recovers to
end the first half of 2000 down only 2.5%. The Federal Reserve decides against
raising interest rates.
7
<PAGE>
Select Aggressive Growth Fund
The Select Aggressive Growth Funded returned 1.65% for the first half of the
year, underperforming its benchmark, the Russell 2500 Growth Index, which
returned 5.69% for the same period.
Uncertainty about the market's short-term direction contributed to volatility
during the period. At the period's mid-point, technology and small- and mid-cap
growth stocks, as measured by relevant indexes, showed declines, only to recover
in June. Economic reports issued during that month helped allay investor
concerns about inflation, and the Federal Reserve's decision to not raise
short-term rates late in the month was welcome news. Uncertainty about future
increases prevailed, however.
The portfolio underperformed the Index during the first quarter and outperformed
it during the second. Stocks in the technology sector, the largest sector in the
Fund, hurt performance the most. Within the sector, semiconductor and com-
puter/office automation industries stocks declined. Also stocks in the financial
services and utilities sectors performed poorly. The relatively small allocation
to the better performing producers/manufacturing products sector was another
negative factor. Select issues in technology, particularly software and
semiconductor/electronic component companies, helped performance. Similarly,
some pharmaceutical and medical supply stocks rose within the health care
sector, as did some commercial/industrial services stocks.
The outlook for growth stocks remains encouraging, and the Fund's manager
believes that its approach will respond well to market changes affecting the
investment climate. The focus of the portfolio will continue to be on stocks
whose earnings suggest positive change that can be sustained.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Electronics 19%
Computer Software & Processing 12%
Pharmaceuticals 10%
Communications 7%
Computers & Information 7%
Medical Supplies 7%
Commerical Services 5%
Oil & Gas 5%
Retailers 4%
Other 24%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 24.32% 20.39% 19.59%
Russell 2500 Index 18.34% 17.03% 17.00%
Lipper Capital Appreciation Funds Average 29.28% 20.48% 16.70%
Growth of a $10,000 Investment Since 1992
[GRAPH]
Select Aggressive Growth Fund Russell 2500 Index
21-Aug-92 10,000 10,000
31-Dec-92 11,985 11,554
31-Dec-93 14,324 13,466
31-Dec-94 13,993 13,323
31-Dec-95 18,511 17,547
31-Dec-96 21,944 20,886
31-Dec-97 26,049 25,974
31-Dec-98 28,801 26,072
31-Dec-99 39,995 32,379
6/30/00 40,655 34,221
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 287 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
<PAGE>
Select International Equity Fund
The Select International Equity Fund returned -1.31% for the first half of the
year, outperforming its benchmark, the Morgan Stanley Capital International EAFE
Index, which returned -3.95% for the same period.
During the period, the average international stock fund performed poorly in a
volatile global equity market. In the first quarter, the U.S. and U.K. markets
especially struggled with interest rate rises and a bias toward overvalued
stocks and away from stocks of quality companies trading at low multiples
relative to their growth rate.
Within the portfolio, holdings in companies within the Healthcare Needs theme
were the strongest positive contributors overall.
Specifically, two drug companies oriented to genetic research reported positive
earnings; these earnings in turn were strengthened by industry alliances formed
to accelerate product development. The Fund also benefited from holding a
company within the Growth in Financial Services theme, as its management
convinced the market of the effectiveness of its global strategy. A third theme,
Restructuring Opportunities, identified a technology company that modified its
management approach to take advantage of growing demand worldwide for computer
chips.
Negatively affecting performance were holdings within the Telecommunications
theme. Although the market rotated out of telecommunications toward the end of
the period, the Fund's manager believed that large cellular phone companies
should experience strong, long-term growth as they continue to penetrate global
markets. An example was Vodafone Airtouch (4.8%), the Fund's largest holding,
which became the largest cellular operator in the world after its acquisition of
Mannesmann.
For the remainder of 2000, the Fund's value-driven strategy employed
within a thematic framework should allow the manager to take advantage of global
economic growth. Any positive forecast, however, should be viewed against a
backdrop of further potential interest rate increases and high stock market
ratings.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select International Equity Fund 21.55% 16.13% 13.93%
Morgan Stanley EAFE Index 17.45% 11.63% 10.07%
Lipper International Funds Average 24.48% 13.16% 10.82%
Growth of a$10,000 Investment Since 1994
[GRAPH]
Select International Equity Fund Morgan Stanley EAFE Index
-------------------------------------------------------------------------------
5/2/94 10000 10000
-------------------------------------------------------------------------------
12/31/94 9651 10008
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12/31/95 11545 11164
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12/31/96 14078 11874
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12/31/97 14733 12118
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12/31/98 17161 14582
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12/31/99 22643 18565
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6/30/2000 22345 17832
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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 653 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, 2000, the country allocation of net assets was:
[GRAPH]
United Kingdom 26%
Japan 17%
Netherlands 12%
France 11%
Switzerland 9%
Australia 4%
Germany 4%
Other 17%
9
<PAGE>
Core Equity Fund*
The Core Equity Fund returned 0.60% for the first half of the year,
outperforming its benchmark, the S&P 500 Index, which returned -0.42% for the
same period.
During the six-month period, the domestic economy slowed and the stock market
experienced exceptional volatility. The slowdown appeared to result from a
tightened money supply brought on by the Federal Reserve's interest rate
increases, a pullback in consumer spending in non-energy-related goods and
services, and technical factors such as reduced purchasing power in the wake of
April 15 tax payments. The market performed better in the first quarter than in
the second, which was distinguished by a short-term but dramatic correction
mostly in the technology sector. The correction resulted in value stocks,
including some large-cap issues, outperforming growth stocks during a portion of
the quarter.
The Fund outperformed the S&P 500 Index due to the manager's selection of stocks
within the right sectors. Energy holdings were the greatest contributors to
performance, followed by holdings in such value sectors as financial services,
utilities, and basic resources. Relative to the benchmark, the Fund's slightly
higher proportion of energy stocks and slightly lower proportion of consumer
services stocks contributed to performance.
Looking ahead, the portfolio will maintain its slightly defensive allocations in
view of the recent economic slowdown and uncertainties about future rate
increases. Technology, in particular, is likely to remain underweighted as the
market searches for sustainable prices among new economy stocks. The Fund's
manager believes that the broadly diversified and rigorously managed portfolio
of large- and mid-cap stocks with both growth and value characteristics have
the potential to produce better-than-market performance over the long term.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Computers & Information 11%
Pharmaceuticals 10%
Computer Software & Processing 9%
Telephone Systems 7%
Electronics 7%
Industrial 6%
Banking 6%
Oil & Gas 6%
Communications 5%
Beverages, Food & Tobacco 5%
Other 28%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Core Equity Fund* 9.65% 21.32% 16.80%
S&P 500(R) Index 7.25% 23.80% 17.80%
Lipper Growth and Income Funds Average 2.15% 17.45% 14.14%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Core Equity Fund S&P 500(R) Index
Jun-90 10,000 10,000
Dec-90 9,457 9,399
Dec-91 13,281 12,261
Dec-92 14,225 13,195
Dec-93 15,173 14,525
Dec-94 15,197 14,717
Dec-95 20,182 20,249
Dec-96 24,256 24,900
Dec-97 30,354 33,207
Dec-98 36,218 42,696
Dec-99 49,383 41,680
Jun-00 49,676 51,463
* The Core Equity Fund is a portfolio of the Allmerica Investment Trust.
Effective 5/1/00 the Fund's name has been changed from Growth to Core Equity.
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 960 funds within
the Growth investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
10
<PAGE>
Equity Index Fund
The Equity Index Fund returned -0.46% for the first half of the year, closely
tracking the S&P 500 Index, which returned -0.42% for the period.
During the period, a strong growth in the U.S. economy was tempered by the
Federal Reserve's continuing interest rate raises. The rate increases reflected
concerns about inflation, the trade deficit, and the wealth effect on consumer
spending and borrowing. High gasoline prices helped contribute to the Fed's
inflationary bias, despite the labor market's immunity to pricing pressures.
Near the end of the quarter, however, the Fed decided not to raise interest
rates in view of tame price indexes on the producer and consumer levels and a
drop in retail sales.
In this economic environment the equity market experienced impresssive swings
and perhaps an overdue correction in some sectors. During the first quarter new
economy stocks posted high returns, and old economy stocks also performed well.
As the period progressed, the dominance of the high-flying Internet stocks
lessened, and noncyclical stocks came back into favor. This was also the case
for one holding, which had agreed to be bought and ended the quarter among the
top performers. Cisco Systems (3.5% of the portfolio), like many of its
technology peers, declined during the sell-off in the spring, detracting from
overall Fund performance.
Overall, the direction of the market is still uncertain as the effects of six
rate increases since last June continue to filter through the economy.
Consistent with the Fund's investment objective, the manager will continue to
seek to mirror the returns of the S&P 500 Index.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Equity Index Fund 6.86% 23.23% 19.51%
S&P 500(R) Index 7.25% 23.80% 20.10%
Lipper S&P 500(R) Index Funds Average 6.58% 23.23% 19.65%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Equity Index Fund S&P 500(R) Index
Sep-90 10,000 10,000
Dec-90 10,890 10,896
Dec-91 14,065 14,216
Dec-92 15,083 15,299
Dec-93 16,522 16,841
Dec-94 16,697 17,047
Dec-95 22,735 23,476
Dec-96 27,807 28,866
Dec-97 36,819 38,437
Dec-98 47,253 49,430
Dec-99 56,886 59,908
Jun-00 56,624 59,656
The Equity Index Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
S&P 500(R) Index Funds Average is a non-weighted average of 119 funds within the
S&P 500(R) Index investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Seeks to replicate the returns of the S&P 500(R)Index.
Portfolio Composition
As of June 30, 2000, the sector allocation of net assets was:
[GRAPH]
Computers & Information 10%
Pharmaceuticals 10%
Computer Software & Processing 9%
Electronics 7%
Banking 7%
Telephone Systems 6%
Oil & Gas 6%
Industrial 5%
Communications 5%
Other 35%
11
<PAGE>
Bond & Money Market Overview
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: Inflation concerns and a booming U.S. economy prompt the Federal Reserve
to hike interest rates. Fixed income markets close the second half with the
worst performing year ever.
2000: Bond investments suffer as a result of continued interest rate hikes by
the Federal Reserve in an effort to stave off inflation.
Events occurred during the first six months of 2000, which led to one of the
worst relative performances for corporate bonds, mortgage- and asset-backed
securities, and agencies (spread sectors). However, by June signs of an economic
slowdown began to emerge. Spread sectors rebounded as the Federal Reserve Board
decided to forego another interest rate increase at its June meeting.
Taking center stage was the inversion of the yield curve at the start of the
first quarter. Usually the longer a bond's maturity, the higher its yield. An
inverted yield curve is a demonstration of the opposite where shorter bonds
(with maturities of less than two years) produce higher yields. The yield curve
began to invert as a result of low issuance of new investment grade bonds and
the Treasury's quicker-than-expected announcement to buy back as much as $30
billion in bonds during this year alone. The Treasury's announcement took the
market by surprise and investors promptly bid up the price of the longer
maturity bonds, sending its yield below the Federal Funds rate by March. The
yield on the long bond ended the first quarter at 5.84%.
The yield curve inversion gathered momentum in the first quarter as the Federal
Reserve continued its efforts to slow down the economy by raising interest
rates in February and March by a total of .50%. Lower yields on Treasury bonds
caused corporate bonds, mortgage- and asset-backed securities, and agencies to
underperform. Concerns about the future of the economy caused spread sectors to
underperform as investors became unclear about future potential for revenue
and earnings growth and the impact on coverage of interest cost. Taxable bond
mutual funds saw over $30 billion in redemptions and overall asset allocation
began to favor the equity market.
JAN
2000
Treasury announces buy back of $30 billion in bonds, sending bond prices up and
yields down.
[GRAPHIC]
FEB
Federal Reserve raises interest rates by 0.25%. The yield curve begins to
invert.
[GRAPHIC]
MAR
Federal Reserve raises interest rates again by 0.25%. Volatile conditions shut
down issuance of investment grade bonds.
12
<PAGE>
Bond & Money Market Overview
In the meantime, unusual events took place in the mortgage-backed securities
market, affecting both agencies and mortgage-backed securities. Congressional
scrutiny over Fannie Mac and Freddie Mac, two major government-sponsored
enterprises, resulted in large-scale selling in the agencies and mortgage-backed
securities market.
By March, volatile market conditions virtually shut down new issuance of
investment grade bonds as investors' appetite for risk diminished. Supply and
demand within the fixed income marked moved out of alignment causing corporates
to underperform Treasuries by 227 basis points for the first quarter with March
producing the second worst monthly performance for spread product since 1990.
The Federal Reserve Board raised interest rates again in May by an additional
.50%, bringing the total tightening to 1.75% since June 1999. However, as the
second quarter progressed, the economy began to show signs of a slowdown.
Satisfied that interest rate hikes were beginning to have the desired effect,
the Federal Reserve voted to hold off on any further rate increases at their
June meeting.
Corporate bonds, mortgage- and asset-backed securities continued to dramatically
underperform U.S. Treasuries through May. The inverted yield curve persisted as
a result of the shrinking supply of U.S. Treasury securities and tightenings by
the Federal Reserve. Positive yield spreads were offset by negative price
returns as investment banks continued to diminish earnings volatility by
reducing their exposure to spread product. As Treasuries rallied in response to
the shrinking supply, spread sectors continued to under-perform until June,
when the economy began to show signs that it may be headed for a soft landing.
Once the Federal Reserve decided to forego another interest rate hike, spread
sector performance began to gain, finally outperforming like-duration
Treasuries by 50 basis points at the end of the second quarter.
The Federal Funds rate remains at 6.50%, the highest level since January 1991.
The goal of the Federal Reserve Board is to engineer a soft landing for the
economy, which translates as a slowdown in growth without entering into a
recession. The economy has begun to show signs of moderation. Retail sales have
declined and consumer spending on big-ticket items has slowed. The outlook for
spread sector performance is optimistic, especially if the Federal Reserve's
tightening cycle is coming to a close. However, the preliminary growth rate
for the annual gross domestic product stands at 5.2% as of June 2000. The
Federal Reserve considers a rate of 3.5% to 4% to be as fast as the economy can
growth without sparking inflation. The Federal Reserve remains cautious, and
depending upon whether or not the economy shows more definitive signs of a
slowdown, may consider another rate hike at their August meeting.
APR
[GRAPHIC]
Spread sectors continue to dramatically underperform U.S. Treasuries.
MAY
Federal Reserve raises interest rates by another 0.50% to 6.50%. The inverted
yield curve persists as a result of the shrinking supply of U.S. Treasuries and
continued rate hikes.
JUN
[GRAPHIC]
Federal Reserve votes to hold off on additional interest rate increases.
Corporates and Mortgages outperform like-duration Treasuries due to signs of a
slowing economy.
13
<PAGE>
Select Investment Grade Income Fund*
The Select Investment Grade Income Fund returned 3.03% for the first half of the
year, underperforming its benchmark, the Lehman Aggregate Bond Index, which
returned 3.98% for the same period.
During the period, investment-grade and intermediate-term corporate bonds, along
with the bond market in general, suffered from rising interest rates. Even
Treasuries offered little return because of an inverted yield curve, a
phenomenon in which short-term rates are higher than long-term rates.
The overweighting of corporates, asset-backed securities backed by loan paper or
accounts receivables, and agency bonds hurt the Fund's performance. In the first
quarter, the possibility of government agencies' losing their "AAA" credit
rating weakened agency bonds. In the second quarter, worries about defaults and
earnings disappointments weakened corporate bonds. Among the bonds sold to
forestall further losses were those issued by an insurance company whose bonds
had recently been upgraded only to suffer a subsequent and significant decline.
This hurt the Fund's second quarter performance.
Given the flat or declining values in the sectors, there were few opportunities
to enhance performance. Bonds offered by well-established companies
carefully researched for credit quality and spanning a range of industries were
added as strong prospects. In fact, spreads widened to the point where the
Fund's manager found value in bonds issued by such high quality companies.
Looking ahead, the Fund's manager's constructive approach faces the greatest
challenge from an economy growing too fast. Recent gains of corporates and
mortgage-backed securities, however, offer significant potential for further
relative price gains. If inflation remains more worry than reality, the Fund's
diversified portfolio and disciplined investment approach offer the potential to
achieve good returns over the long term.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Corporate Notes & Bonds 37%
U.S. Govt & Agency Obligations 24%
U.S. Govt Agency Mortgage-Backed Securities 20%
Asset-Backed and Mortgage-Backed 13%
Other 6%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Select Investment Grade Income* 3.76% 5.75% 7.76%
Lehman Brothers Aggregate Bond Index 4.56% 6.25% 7.81%
Lipper Intermediate Investment
Grade Funds Average 3.42% 5.35% 7.27%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Jun-90 10,000 10,000
Dec-90 10,533 10,596
Dec-91 12,297 12,288
Dec-92 13,322 13,200
Dec-93 14,760 14,487
Dec-94 14,324 14,065
Dec-95 16,880 16,663
Dec-96 17,480 17,266
Dec-97 19,132 18,685
Dec-98 20,657 20,580
Dec-99 20,457 20,411
Jun-00 21,075 21,226
*The Select Investment Grade Income Fund is a portfolio of the Allmerica
Investment Trust. Effective 5/1/00, the Fund's name has been changed from
Investment Grade Income to Select Investment Grade Income.
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 284 funds investing in
intermediate-term corporate and government debt securities. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
14
<PAGE>
Government Bond Fund
The Government Bond Fund returned 3.02% for the six month period ended June 30,
2000, underperforming its benchmark, the Lehman Intermediate Government Bond
Index return of 3.49%.
The combination of a decreasing supply of U.S. Treasuries and additional
tightenings by the Federal Reserve, resulted in an inverted yield curve at the
beginning of the year. Once the Treasury announced plans to buy back as much
as $30 billion in bonds in the first quarter, investors promptly bid up the
price of longer maturities sending yields well below short-term bonds. The
inverted yield curve persists to date, having gathered momentum as a result of
further interest rate hikes by the Federal Reserve with the third and most
recent hike occurring in May.
The Fund underperformed for both the first and second quarters as a result of
poor relative performance for spread sectors (corporate bonds and mortgage-
and asset-backed securities). Spreads widened due to the shrinking supply of
U.S. Treasuries and the withdrawal of risk capital from the market. As market
volatility virtually shut down new issuance of investment grade bonds,
corporate securities underperformed Treasuries by 227 basis points. However, in
the second quarter, the economy began showing signs of a slowdown. By June,
spread sectors outperformed U.S. Treasuries by 50 basis points on a duration-
adjusted basis.
The outlook on spread sectors is optimistic, particularly if the economy shows
more definitive signs of slowing down. Diminished market volatility would renew
investor confidence in spread product, which would bode well for the Fund's
performance going forward. In a continuing effort to keep inflation at bay, the
Federal Reserve may raise interest rates again at their August meeting.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Government Bond Fund 3.98% 5.26% 6.18%
Lehman Intermediate Government Bond Index 4.21% 5.81% 6.56%
Lipper Short-Intermediate
U.S. Government Funds Average 3.70% 4.98% 5.81%
Growth of a $10,000 Investment Since 1991
[GRAPH]
8/26/91 10,000 10,000
12/31/91 10,727 10,660
12/31/92 11,434 11,399
12/31/93 12,292 12,330
12/31/94 12,184 12,114
12/31/95 13,775 13,860
12/31/96 14,259 14,423
12/31/97 15,269 15,537
12/31/98 16,441 16,856
12/31/99 16,491 16,946
6/30/00 16,989 17,536
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 91 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
[GRAPH]
As of June 30, 2000, the sector allocation of net assets was:
U.S. Gov't & Agency Obligations 78%
U.S. Gov't Agency Mortgage-Backed Securities 15%
Asset-Backed Securities 7%
15
<PAGE>
Money Market Fund
The Money Market Fund returned 3.02% for the first half of the year,
outperforming its benchmark, the iMoneyNet, Inc. Index*, which returned 2.71%
for the same period.
During the period, the bond market saw one of the worst relative performances
ever recorded. Early in the year the yield curve, where long-term rates usually
exceed short-term rates, began to invert. Long-term Treasury yields declined in
response to the Treasury's buy-back program and curtailment of the issue of new
Treasuries. This, in combination with the Federal Reserve's continued interest
rate hikes contributed to the yield curve inversion. Federal Reserve
policymakers acted on concerns about inflation, the trade deficit, and the
effect of rising personal wealth on consumer spending and borrowing.
During the first quarter, the Fund benefited from an increase in floating note
rates. Such notes have variable rates, which reset periodically and enable the
Fund to more fully participate in higher interest rates. Strong consumer
spending, especially in housing and cars, coupled with job growth favored supply
of these notes. In the second quarter, inflation fears lessened somewhat when
the Federal Reserve decided against raising rates, and the Fund's manager
increased holdings of corporate notes with longer maturities and commercial
paper characterized by flexibility and safety and issued by top-rated firms.
Those positions, along with government agency securities and repurchase
agreements, which have shorter maturities, were included to maximize liquidity
for the portfolio.
For the remainder of 2000, the Fund's manager will maintain these core holdings,
considering possible reallocations if interest rate policies appear to have
effected a slowdown in economic growth.
* Formerly IBC Donoghue, this represents a name change only.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Corporate Notes 47%
Commercial Paper 30%
U.S. Gov't & Agency Obligations 7%
Municipal 5%
Other 11%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Money Market Fund 5.73% 5.51% 5.15%
iMoneyNet, Inc.* 5.16% 4.97% 4.67%
Lipper Money Market Funds Average 5.06% 4.91% 4.68%
*Formerly IBC Donoghue, this represents a name change only.
Average Yield as of June 30, 2000
Money Market Fund 7-Day Yield 6.51%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Money Market Money Net
Fund Inc.
6/30/90 10,000 10,000
12/31/90 10,399 10,374
12/31/91 10,995 10,963
12/31/92 11,411 11,328
12/31/93 11,753 11,626
12/31/94 12,175 12,055
12/31/95 12,886 12,711
12/31/96 13,576 13,332
12/31/97 14,255 13,999
12/31/98 15,040 14,693
12/31/99 15,821 15,365
6/30/00 16,299 15,781
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. iMoneyNet, Inc. 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 364 funds within the Money
Market category. Performance numbers are net of all fund operating expenses, but
do not include insurance charges. If performance information included the effect
of these additional charges, it would have been lower.
16
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
COMMON STOCKS - 98.2%
Advertising - 2.7%
131,900 ADVO, Inc.* $ 5,539,800
341,200 TMP Worldwide, Inc.* 25,184,825
-----------
30,724,625
-----------
Apparel Retailers - 1.9%
72,600 Chico's FAS, Inc.* 1,452,000
402,830 Intimate Brands, Inc. 7,955,892
177,000 Timberland Co.* 12,533,812
-----------
21,941,704
-----------
Banking - 2.6%
159,300 City National Corp. 5,655,150
479,400 Silicon Valley Bancshares* 20,434,425
38,700 State Street Corp. 4,104,619
-----------
30,194,194
-----------
Beverages, Food & Tobacco - 0.4%
381,000 The Topps Co., Inc.* 4,381,500
-----------
Chemicals - 1.4%
191,400 Church & Dwight Co., Inc. 3,445,200
595,600 Occidental Petroleum Corp. 12,544,825
-----------
15,990,025
-----------
Commercial Services - 4.8%
20,300 Affymetrix, Inc.* 3,352,037
359,200 Danka Business Systems, Plc ADR* 1,391,900
114,400 Documentum, Inc.* 10,224,500
305,100 Manpower, Inc. 9,763,200
353,100 Robert Half International, Inc.* 10,063,350
48,900 StarTek, Inc.* 2,463,337
194,600 Teletech Holdings, Inc.* 6,044,762
250,400 The Source Information Management Co.* 3,818,600
213,200 Valassis Communications, Inc.* 8,128,250
-----------
55,249,936
-----------
Communications - 7.1%
194,450 CTC Communications Group, Inc.* 7,000,200
279,800 Digital Lightwave, Inc.* 28,119,900
466,000 Exodus Communications, Inc.* 21,465,125
215,900 Harmonic, Inc.* 5,343,525
111,750 Mastec, Inc.* 4,267,453
194,200 Network Appliance, Inc.* 15,633,100
-----------
81,829,303
-----------
Computer Software & Processing - 11.9%
313,400 BEA Systems, Inc.* 15,493,712
40,000 Broadvision, Inc.* 2,032,500
179,700 Business Objects S.A. ADR* 15,836,062
66,000 Check Point Software Technologies Ltd. 13,975,500
481,300 Comdisco, Inc. 10,739,006
50,700 I2 Technologies, Inc.* 5,286,266
58,500 ISS Group, Inc.* 5,775,962
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
--------------------------------------------------------------
Computer Software & Processing (continued)
146,800 Netopia, Inc.* $ 5,899,525
433,200 Phoenix Technologies Ltd.* 7,066,575
207,200 Remedy Corp.* 11,551,400
25,000 SERENA Software, Inc.* 1,135,157
879,700 Sybase, Inc.* 20,233,100
243,700 Symantec Corp.* 13,144,569
47,005 VeriSign, Inc.* 8,296,382
-----------
136,465,716
-----------
Computers & Information - 6.9%
753,200 Advanced Digital Information Corp.* 12,004,125
204,800 Anixter International, Inc.* 5,427,200
215,400 Infocus Corp.* 6,933,188
415,900 Infospace.com, Inc.* 22,978,475
256,000 Integrated Silicon Solution, Inc.* 9,728,000
1,001,700 Maxtor Corp.* 10,580,456
362,600 Mercury Computer Systems, Inc.* 11,716,513
-----------
79,367,957
-----------
Electronics - 18.9%
118,600 Amphenol Corp.* 7,849,838
235,500 ANADIGICS, Inc.* 8,021,719
347,500 ASM International N.V.* 9,208,750
275,300 AVX Corp. 6,314,694
346,900 Credence Systems Corp.* 19,144,544
170,700 CTS Corp. 7,681,500
188,700 Electroglas, Inc.* 4,057,050
153,350 Exar Corp.* 13,370,203
299,900 Helix Technology Corp. 11,696,100
248,500 Integrated Device Technology, Inc.* 14,878,938
434,600 International Rectifier Corp.* 24,337,600
560,300 KEMET Corp.* 14,042,519
253,000 Semtech Corp.* 19,350,553
526,200 Telcom Semiconductor, Inc.* 21,245,325
398,300 Three-Five Systems, Inc.* 23,499,700
264,100 Trimble Navigation, Ltd.* 12,891,381
-----------
217,590,414
-----------
Entertainment & Leisure - 0.2%
174,900 Argosy Gaming Company* 2,514,188
-----------
Financial Services - 2.9%
616,332 Metris Cos., Inc. 15,485,342
182,600 Southwest Securities Group 6,801,850
326,600 Waddell & Reed Financial, Class A 10,716,563
-----------
33,003,755
-----------
Health Care Providers - 1.4%
362,900 First Health Group Corp.* 11,907,656
84,400 Patterson Dental Co.* 4,299,125
-----------
16,206,781
-----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-1
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-------------------------------------------------------------------
Heavy Machinery - 2.1%
203,500 American Standard Companies, Inc.* $ 8,343,500
341,400 Dycom Industries, Inc.* 15,704,400
-----------
24,047,900
-----------
Insurance - 1.0%
128,400 Unitedhealth Group, Inc. 11,010,300
-----------
Lodging - 0.6%
280,000 Station Casinos, Inc.* 7,000,000
-----------
Media - Broadcasting & Publishing - 2.4%
139,050 Allegiance Telecom, Inc.* 8,899,200
169,200 Hispanic Broadcasting Corp.* 5,604,750
335,800 Price Communications Corp.* 7,912,288
50,100 Univision Communications, Inc.* 5,185,350
-----------
27,601,588
-----------
Medical Supplies - 6.6%
193,200 Allergan, Inc. 14,393,400
409,300 LTX Corp.* 14,299,919
93,300 Photon Dynamics, Inc.* 6,968,344
219,300 PolyMedica Corp.* 9,484,725
287,400 ResMed, Inc.* 7,687,950
187,400 Waters Corp.* 23,389,863
-----------
76,224,201
-----------
Metals - 1.5%
262,000 CommScope, Inc.* 10,742,000
141,600 Lone Star Technologies, Inc.* 6,549,000
-----------
17,291,000
-----------
Oil & Gas - 4.7%
236,500 Dynegy, Inc. 16,155,906
118,700 Equitable Resources, Inc. 5,727,275
341,300 Ocean Energy, Inc.* 4,842,194
146,200 UTI Energy Corp.* 5,866,275
407,700 Valero Energy Corp. 12,944,475
355,400 Vintage Petroleum, Inc. 8,018,713
-----------
53,554,838
-----------
Pharmaceuticals - 9.8%
212,700 Alpharma, Inc. Class A 13,240,575
236,000 Andrx Corp.* 15,085,568
385,200 Jones Pharma, Inc. 15,383,925
377,550 King Pharmaceuticals, Inc.* 16,565,006
173,100 Medimmune, Inc.* 12,809,400
103,200 Millennium Pharmaceuticals* 11,545,500
275,600 Noven Pharmaceuticals, Inc.* 8,285,225
192,000 Priority Healthcare Corp. Class B* 14,268,000
30,000 Protein Design Labs, Inc.* 4,948,593
-----------
112,131,792
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
Restaurants - 1.1%
267,200 Applebee's International, Inc. $ 8,099,500
154,700 Brinker International, Inc.* 4,524,975
--------------
12,624,475
--------------
Retailers - 3.5%
472,900 BJ's Wholesale Club, Inc.* 15,605,700
186,500 Michaels Stores, Inc.* 8,544,031
774,900 Pier 1 Imports, Inc. 7,555,275
223,400 Zale Corp.* 8,154,100
--------------
39,859,106
--------------
Telephone Systems - 0.8%
267,500 Brightpoint, Inc.* 2,315,560
95,400 Powertel, Inc.* 6,767,438
--------------
9,082,998
--------------
Textiles, Clothing & Fabrics - 0.5%
173,700 Liz Claiborne, Inc. 6,122,925
--------------
Transportation - 0.5%
298,500 Avis Rent A Car, Inc.* 5,596,875
--------------
Total Common Stocks 1,127,608,096
--------------
(Cost $912,558,379)
Total Investments - 98.2% 1,127,608,096
--------------
(Cost $912,558,379)
Net Other Assets and Liabilities - 1.8% 20,277,569
--------------
Total Net Assets - 100.0% $1,147,885,665
==============
</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, 2000, the aggregate cost of investment securities for tax purposes
was $912,558,379. Net unrealized appreciation (depreciation) aggregated
$215,049,717, of which $274,006,566 related to appreciated investment securi-
ties and $(58,956,849) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$622,791,581 and $514,547,206 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $151,840,505.
The value of collateral amounted to $157,169,088 which consisted of cash equiv-
alents.
See Notes to Financial Statements.
------------------------------------------------------
F-2
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
------------------------------------------------------------
COMMON STOCKS - 94.6%
Australia - 3.7%
120,830 Brambles Industries, Ltd. $ 3,709,445
369,570 National Australia Bank, Ltd. 6,165,684
740,334 News Corp., Ltd. 10,182,776
966,300 Telstra Corp. 3,917,863
414,617 Westpac Banking Corp., Ltd. 2,987,772
-----------
26,963,540
-----------
China - 0.7%
23,302,000 Petrochina Co. Ltd. * 4,842,156
-----------
Denmark - 0.6%
65,460 Tele Danmark 4,404,640
-----------
France - 10.7%
190,530 Alcatel Alsthom 12,487,508
189,743 Aventis 13,838,830
106,707 Axa 16,797,037
74,460 Michelin, Class B 2,387,523
104,980 Total SA, Class B 16,084,511
195,160 Vivendi 17,212,878
-----------
78,808,287
-----------
Germany - 3.5%
291,284 Bayerische Motoren Werke (BMW) AG 8,795,204
101,680 HypoVereinsbank 6,605,997
204,309 Veba AG 10,018,568
-----------
25,419,769
-----------
Hong Kong - 2.4%
409,000 Cheung Kong Holdings Ltd. 4,525,217
696,000 China Telecom, Ltd. 6,138,163
1,532,000 China Unicom Limited * 3,252,436
295,500 Hong Kong Electric 951,451
415,000 Sun Hung Kai Properties Ltd. 2,981,194
-----------
17,848,461
-----------
Italy - 3.1%
850,028 ENI 4,906,192
1,285,652 Telecom Italia 17,662,030
-----------
22,568,222
-----------
Japan - 17.4%
37,300 Acom Co., Ltd. 3,134,987
219,000 Bank of Tokyo Mitsubishi 2,643,352
362,000 Canon, Inc. 18,009,609
166,000 Fuji Photo Film 6,788,271
961,000 Hitachi Ltd (Hit. Seisakusho) 13,854,064
82,000 Honda Motor Co., Ltd. 2,789,222
65,000 Hoya Corp. 5,818,338
153,500 Kao Corp. 4,686,140
64,000 Murata Manufacturing Co., Ltd. 9,178,176
437,000 NEC Corp. 13,711,574
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
Japan (continued)
476 Nippon Telegraph & Telephone Corp. $ 6,323,942
261 NTT Mobile Communcations Network, Inc. 7,058,042
26,200 Rohm Co., Ltd. 7,652,878
188,000 Shiseido Co., Ltd. 2,905,108
73,100 Sony Corp. 6,818,900
202,000 Takeda Chemical Industries, Ltd. 13,247,140
26,600 Takefuji Corp. 3,210,647
-----------
127,830,390
-----------
Netherlands - 11.8%
351,187 ABN-Amro Holdings 8,597,093
319,581 Elsevier NV 3,869,007
119,465 Fortis (NL) NV 3,474,998
59,020 Heineken NV 3,589,508
368,352 ING Groep NV 24,880,115
244,985 Koninklijke Ahold, NV 7,205,572
177,183 Koninklijke, NV 8,350,351
270,790 KPN NV 12,103,149
130,810 Royal Dutch Petroleum Co. 8,124,151
151,235 TNT Post Group, NV 4,075,934
46,350 VNU NV 2,392,230
-----------
86,662,108
-----------
New Zealand - 0.1%
221,966 Telecom Corp. of New Zealand, Ltd. 775,749
-----------
Portugal - 0.3%
127,317 Electricidade de Portugal 2,310,218
-----------
Singapore - 1.3%
429,075 DBS Group Holdings Ltd. 5,515,630
254,200 Overseas Chinese Banking Corp. 1,751,590
150,000 Singapore Press Holdings, Ltd. 2,345,100
-----------
9,612,320
-----------
South Korea - 0.6%
52,475 Korea Telecom Corp., Sponsored ADR 2,538,478
71,600 Pohang Iron & Steel Co., Sponsored ADR 1,718,400
-----------
4,256,878
-----------
Spain - 2.3%
695,214 Banco de Santander 7,328,876
446,347 Telefonica SA * 9,581,017
-----------
16,909,893
-----------
Sweden - 1.2%
427,980 Ericsson AB 8,475,092
-----------
Switzerland - 9.0%
4,225 Alusuisse Lonza Holdings, Registered 2,753,970
1,043 Givaudan* 317,543
4,225 Lonza AG, Registered 2,202,140
7,752 Nestle SA 15,520,162
7,338 Novartis AG 11,627,049
1,043 Roche Holdings AG 10,156,267
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-3
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
----------------------------------------------------------------------
Switzerland (continued)
6,122 Schweiz Rueckverisch, Sponsored ADR $ 12,482,003
75,480 Union Bank of Switzerland 11,061,881
------------
66,121,015
------------
United Kingdom - 25.9%
138,000 3I Group, Plc 2,840,261
548,925 Allied Zurich, Plc 6,480,169
462,515 Barclays Bank, Plc 11,487,578
148,439 British American Tobacco Industries, Plc 993,636
1,488,200 BTR Siebe, Plc, Sponsored ADR 5,583,875
751,350 Cable & Wireless, Plc 12,767,165
820,960 Cadbury Schweppes, Plc 5,399,126
912,912 Diageo, Plc 8,177,866
355,331 EMI Group, Plc 3,298,786
432,100 Glaxo Wellcome, Plc 12,597,184
1,022,542 Granada Group, Plc 10,065,903
934,200 Hilton Group, Plc 3,282,405
908,096 Lloyds TSB Group, Plc 8,609,204
615,317 Marconi, Plc 8,014,135
225,450 Old Mutual, Plc 495,945
170,720 Pearson, Plc 5,364,893
246,535 Peninsular & Oriental Steam Navigation Co. 2,113,273
838,600 Prudential Corp., Plc 12,293,876
106,260 Railtrack Group, Plc 1,647,083
326,250 Reuters Group, Plc 5,568,435
77,450 RMC Group, Plc 1,008,740
1,912,896 Shell Transportation & Trading, Plc 16,107,349
332,400 TI Group, Plc 1,794,661
8,611,366 Vodafone Airtouch, Plc 34,951,812
190,775 Zeneca Group, Plc 8,916,118
------------
189,859,478
------------
Total Common Stocks 693,668,216
------------
(Cost $557,867,371)
Total Investments - 94.6% 693,668,216
------------
(Cost $557,867,371)
Net Other Assets and Liabilities - 5.4% 39,445,021
------------
Total Net Assets - 100.0% $733,113,237
============
</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>
Telephone Systems 16.1%
Banking 11.2
Pharmaceuticals 9.7
Electronics 7.4
Insurance 7.1
Oil & Gas 6.8
Communications 5.0
Beverages, Food & Tobacco 4.6
Media - Broadcasting &
Publishing 4.1
Industrial - Diversified 3.4
Electrical Equipment 3.1
Financial Services 2.3
Automotive 1.9
Electric Utilities 1.8
Entertainment & Leisure 1.8
Chemicals 1.6
Food Retailers 1.0
Real Estate 1.0
Transportation 1.0
Commercial Services 0.9
Medical Supplies 0.8
Cosmetics & Personal Care 0.6
Metals 0.6
Lodging 0.5
Miscellaneous 0.2
Building Materials 0.1
Net Other Assets and
Liabilities 5.4
-----
Total 100.0%
=====
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-4
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED:
<TABLE>
<CAPTION>
Contracts To Unrealized Appreciation
Receive Currency Settlement Dates Contracts At Value In Exchange For U.S. $ (Depreciation)
------------ -------- ---------------- ------------------ ---------------------- -----------------------
<S> <C> <C> <C> <C> <C>
3,449,215 EUR 07/03/00 $ 3,291,224 $ 3,286,067 $ 5,157
541,026 EUR 07/31/00 517,225 516,410 815
369,144,000 JPY 07/03/00 3,480,279 3,521,022 (40,743)
1,263,606 CHF 07/03/00 775,080 773,368 1,712
------------------ ---------------------- -----------------------
$ 8,063,808 $ 8,096,867 $ (33,059)
================== ====================== =======================
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
Contracts To Unrealized Appreciation
Deliver Currency Settlement Dates Contracts At Value In Exchange For U.S. $ (Depreciation)
------------ -------- ---------------- ------------------ ---------------------- -----------------------
<S> <C> <C> <C> <C> <C>
247,171 GBP 07/03/00 $ 374,339 $ 370,312 $ (4,027)
235,734 GBP 07/05/00 357,033 356,760 (273)
409,678,315 JPY 07/03/00 3,862,436 3,892,610 30,174
590,570,000 JPY 07/18/00 5,584,370 5,662,224 77,854
347,056,000 JPY 07/28/00 3,288,219 3,337,077 48,858
307,605,000 JPY 08/09/00 2,920,615 2,886,142 (34,473)
584,299,000 JPY 08/21/00 5,559,235 5,543,634 (15,601)
497,728,000 JPY 08/30/00 4,742,965 4,690,900 (52,065)
371,882,000 JPY 09/05/00 3,547,549 3,587,690 40,141
------------------ ---------------------- -----------------------
$ 30,236,761 $ 30,327,349 $ 90,588
================== ====================== =======================
</TABLE>
------------------
CHF Swiss Franc
EUR Euro Currency
GBP British Pound Sterling
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost on investment securities for tax purposes
was $557,867,371. Net unrealized appreciation (depreciation) aggregated
$135,800,845, of which $171,511,373 related to appreciated investment securi-
ties and $(35,710,528) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$177,149,583 and $92,575,943 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $74,044,620.
The value of collateral amounted to $78,039,259 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
--------------------------------------------
F-5
<PAGE>
Core Equity Fund (Formerly Growth Fund)
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 99.0%
Aerospace & Defense - 0.5%
163,050 Honeywell International, Inc. $5,492,747
----------
Apparel Retailers - 1.1%
373,500 Gap, Inc. 11,671,875
----------
Automotive - 0.4%
48,900 Ford Motor Co. 2,102,700
42,015 General Motors Corp. 2,439,496
6,403 Visteon Corp.* 77,632
----------
4,619,828
----------
Banking - 6.2%
158,100 Bank of America Corp. 6,798,300
220,100 Bank of New York Co., Inc. 10,234,650
154,650 Chase Manhattan Corp. 7,123,566
341,050 Citigroup, Inc. 20,548,262
234,600 Firstar Corp. 4,941,262
273,800 SLM Holding Corp. 10,250,387
242,200 Washington Mutual, Inc. 6,993,525
----------
66,889,952
----------
Beverages, Food & Tobacco - 4.7%
127,300 Anheuser-Busch Companies, Inc. 9,507,719
222,600 Coca-Cola Co. 12,785,587
177,200 General Mills, Inc. 6,777,900
221,300 PepsiCo, Inc. 9,834,019
210,300 Philip Morris Cos., Inc. 5,586,094
115,200 Safeway, Inc.* 5,198,400
22,300 Seagram Co., Ltd. 1,293,400
----------
50,983,119
----------
Building Materials - 0.5%
109,600 Home Depot, Inc. 5,473,150
----------
Chemicals - 1.2%
164,600 Du Pont (E.I.) De Nemours and Co. 7,201,250
473,800 Grace (W.R.) & Co.* 5,744,825
----------
12,946,075
----------
Commercial Services - 1.2%
269,500 Halliburton Co. 12,717,031
----------
Communications - 4.8%
31,200 ADC Telecommunications, Inc.* 2,616,900
32,500 Echostar Communications Corp.* 1,076,055
264,000 Lucent Technologies, Inc. 15,642,000
44,200 Network Appliance, Inc.* 3,558,100
68,800 Nokia Oyj Corp., Sponsored ADR 3,435,700
327,800 Nortel Networks Corp. 22,372,350
47,800 Qualcomm, Inc.* 2,868,000
----------
51,569,105
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------
<C> <S> <C>
Computer Software & Processing - 8.6%
197,600 America Online, Inc.* $10,423,400
117,100 Computer Associates International, Inc. 5,994,056
95,300 Electronic Data Systems Corp. 3,931,125
285,000 Genuity, Inc.* 2,609,545
438,800 Microsoft Corp.* 35,104,000
218,400 Oracle Corp.* 18,359,250
104,500 Sun Microsystems, Inc.* 9,502,969
25,200 VERITAS Software Corp.* 2,847,993
37,000 Yahoo!, Inc.* 4,583,375
-----------
93,355,713
-----------
Computers & Information - 10.9%
463,200 Cisco Systems, Inc.* 29,442,150
623,600 Compaq Computer Corp. 15,940,775
582,500 Dell Computer Corp.* 28,724,531
156,500 EMC Corp.* 12,040,719
235,100 International Business Machines Corp. 25,758,144
79,600 Minnesota Mining and Manufacturing Co. 6,567,000
-----------
118,473,319
-----------
Cosmetics & Personal Care - 1.7%
310,400 Avon Products, Inc. 13,812,800
76,900 Procter & Gamble Co. 4,402,525
-----------
18,215,325
-----------
Electrical Equipment - 0.9%
35,100 American Power Conversion Corp.* 1,432,519
144,100 Emerson Electric Co. 8,700,037
-----------
10,132,556
-----------
Electronics - 6.7%
52,400 General Motors Corp., Class H* 4,598,100
351,500 Intel Corp. 46,991,156
68,300 Micron Technology, Inc.* 6,014,669
90,590 Motorola, Inc. 2,632,772
121,000 Texas Instruments, Inc. 8,311,187
89,300 Titan Corp.* 3,996,175
-----------
72,544,059
-----------
Entertainment & Leisure - 0.5%
143,600 Walt Disney Co. 5,573,475
-----------
Financial Services - 1.9%
184,200 American Express Co. 9,601,425
145,000 Charles Schwab Corp. 4,875,625
150,900 Freddie Mac 6,111,450
-----------
20,588,500
-----------
Forest Products & Paper - 0.3%
50,300 Kimberly-Clark Corp. 2,885,962
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-6
<PAGE>
Core Equity Fund (Formerly Growth Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
----------------------------------------------------------------
<C> <S> <C>
Health Care Providers - 1.2%
162,000 HCA - The Healthcare Corporation $4,920,750
361,000 HEALTHSOUTH Corp.* 2,594,687
206,400 Tenet Healthcare Corp. 5,572,800
----------
13,088,237
----------
Heavy Machinery - 2.0%
109,200 Applied Materials, Inc.* 9,896,250
126,000 Dover Corp. 5,110,875
91,700 Smith International, Inc.* 6,676,906
----------
21,684,031
----------
Household Products - 1.5%
37,300 Corning, Inc. 10,066,337
173,200 Rohm & Haas Co. 5,975,400
----------
16,041,737
----------
Industrial - Diversified - 6.3%
858,300 General Electric Co. 45,489,900
491,100 Tyco International, Ltd. 23,265,862
----------
68,755,762
----------
Insurance - 2.8%
49,700 American General Corp. 3,031,700
135,000 American International Group, Inc. 15,862,500
69,000 Marsh & McLennan Cos., Inc. 7,206,188
73,300 XL Capital, Ltd. 3,967,363
----------
30,067,751
----------
Media - Broadcasting & Publishing - 2.5%
89,800 Comcast Corp., Class A* 3,636,900
255,000 News Corp., Ltd., Sponsored, Preferred ADR 12,112,500
115,800 Time Warner, Inc. 8,800,800
33,600 Viacom, Inc., Class B* 2,291,100
----------
26,841,300
----------
Medical Supplies - 1.8%
50,500 Agilent Technologies, Inc.* 3,724,375
97,200 Baxter International, Inc. 6,834,375
25,900 JDS Uniphase Corp.* 3,104,763
120,300 Medtronic, Inc. 5,992,444
----------
19,655,957
----------
Metals - 0.5%
77,808 Alcoa, Inc. 2,256,432
161,300 Masco Corp. 2,913,481
----------
5,169,913
----------
Oil & Gas - 6.2%
109,400 Coastal Corp. 6,659,725
134,700 Exxon Mobil Corp. 10,573,950
225,700 Global Marine, Inc.* 6,361,919
259,000 Nabors Industries, Inc.* 10,764,688
432,300 R&B Falcon Corp.* 10,186,069
132,400 Royal Dutch Petroleum Co. 8,150,875
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------------
<C> <S> <C>
Oil & Gas (continued)
210,500 Santa Fe International Corp. $ 7,354,344
143,400 Texaco, Inc. 7,636,050
--------------
67,687,620
--------------
Pharmaceuticals - 9.6%
196,800 Abbott Laboratories 8,769,900
161,200 American Home Products Corp. 9,470,500
40,700 AMGEN, Inc.* 2,859,175
99,800 Bristol-Myers Squibb Co. 5,813,350
121,600 Johnson & Johnson 12,388,000
57,100 Lilly (Eli) & Co. 5,702,863
126,200 Merck & Co., Inc. 9,670,075
639,750 Pfizer, Inc. 30,708,000
205,200 Pharmacia Corp. 10,606,275
156,200 Schering-Plough Corp. 7,888,100
--------------
103,876,238
--------------
Retailers - 4.5%
106,500 Circuit City Stores - Circuit City Group 3,534,469
261,300 Costco Wholesale Corp.* 8,622,900
119,500 CVS Corp. 4,780,000
270,600 RadioShack Corp. 12,819,675
333,100 Wal-Mart Stores, Inc. 19,194,888
--------------
48,951,932
--------------
Securities Broker - 0.7%
69,000 Merrill Lynch & Co., Inc. 7,935,000
--------------
Telephone Systems - 7.3%
279,385 AT&T Corp. 8,835,551
258,700 Bell Atlantic Corp. 13,145,194
121,900 Global Crossing Ltd.* 3,207,494
137,401 Qwest Communications International, Inc.* 6,827,112
406,392 SBC Communications, Inc. 17,576,454
103,900 Sprint Corp. 5,298,900
112,500 Sprint Corp. (PCS Group)* 6,693,750
105,950 Vodafone AirTouch, Plc 4,390,303
285,129 Worldcom, Inc.* 13,080,293
--------------
79,055,051
--------------
Total Common Stocks 1,072,942,320
--------------
(Cost $923,837,593)
Total Investments - 99.0% 1,072,942,320
--------------
(Cost $923,837,593)
Net Other Assets and Liabilities - 1.0% 10,829,660
--------------
Total Net Assets - 100.0% $1,083,771,980
==============
</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.
See Notes to Financial Statements.
--------------------------------------------
F-7
<PAGE>
Core Equity Fund (Formerly Growth Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $923,837,593. Net unrealized appreciation (depreciation) aggregated
$149,104,727, of which $198,072,773 related to appreciated investment securi-
ties and $(48,968,046) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$1,232,051,703 and $1,212,273,447 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $49,525,949.
The value of collateral amounted to $50,994,278 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
------------------------------------------------------
F-8
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 98.6%
Advertising - 0.3%
16,300 Interpublic Group of Companies, Inc. $ 700,900
9,600 Omnicom Group, Inc. 855,000
4,000 Young & Rubicam Inc. 228,750
----------
1,784,650
----------
Aerospace & Defense - 0.8%
49,138 Boeing Co. 2,054,583
10,900 General Dynamics Corp. 569,525
43,175 Honeywell International, Inc. 1,454,458
21,482 Lockheed Martin Corp. 533,022
3,900 Northrop Grumman Corp. 258,375
7,800 Textron, Inc. 423,637
----------
5,293,600
----------
Airlines - 0.3%
8,100 AMR Corp.* 214,144
6,700 Delta Air Lines, Inc. 338,769
15,700 FedEx Corp.* 596,600
26,812 Southwest Airlines, Inc. 507,752
3,600 U.S. Airways Group, Inc.* 140,400
----------
1,797,665
----------
Apparel Retailers - 0.5%
46,050 Gap, Inc. 1,439,063
17,600 Kohls Corp.* 979,000
23,200 Limited, Inc. 501,700
7,100 Nordstrom, Inc. 171,287
----------
3,091,050
----------
Automotive - 1.0%
3,800 Cooper Tire & Rubber Co. 42,275
8,209 Dana Corp. 173,928
30,428 Delphi Automotive Systems Corp. 443,108
65,200 Ford Motor Co. 2,803,600
28,900 General Motors Corp. 1,678,006
9,450 Genuine Parts Co. 189,000
5,700 Goodrich (B.F.) Co. 194,156
8,300 Goodyear Tire & Rubber Co. 166,000
16,400 Harley-Davidson, Inc. 631,400
4,800 ITT Industries, Inc. 145,800
3,300 Navistar International Corp.* 102,506
4,180 Paccar, Inc. 165,894
6,600 TRW, Inc. 286,275
8,537 Visteon Corp.* 103,509
----------
7,125,457
----------
Banking - 6.5%
21,200 Amsouth Bancorp 333,900
39,388 Associates First Capital Corp., Class A 878,845
62,075 Banc One Corp. 1,648,867
89,659 Bank of America Corp. 3,855,337
39,800 Bank of New York Co., Inc. 1,850,700
18,800 BB&T Corp. 448,850
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------
<C> <S> <C>
Banking (continued)
10,637 Capital One Financial Corp. $ 474,676
11,200 Charter One Financial, Inc. 257,600
66,878 Chase Manhattan Corp. 3,080,568
182,540 Citigroup, Inc. 10,998,035
8,550 Comerica, Inc. 383,681
16,775 Fifth Third Bancorp 1,061,019
52,896 First Union Corp. 1,312,482
52,328 Firstar Corp. 1,102,159
48,676 Fleet Boston Financial Corp. 1,654,984
8,600 Golden West Financial Corp. 350,987
11,863 Huntington Bancshares, Inc. 187,584
23,400 KeyCorp 412,425
43,318 MBNA Corp. 1,175,001
26,500 Mellon Financial Corp. 965,594
8,800 Morgan (J.P.) & Co., Inc. 969,100
32,600 National City Corp. 556,237
12,000 Northern Trust Corp. 780,750
7,350 Old Kent Financial Corp. 196,612
15,800 PNC Bank Corp. 740,625
11,900 Regions Financial Corp. 236,512
8,357 SLM Holding Corp. 312,865
9,100 Southtrust Corp. 205,887
8,800 State Street Corp. 933,350
9,400 Summit Bancorp 231,475
16,400 Suntrust Banks, Inc. 749,275
15,100 Synovus Financial Corp. 266,137
40,550 U.S. Bancorp 780,588
7,300 Union Planters Corp. 203,944
10,900 Wachovia Corp. 591,325
29,583 Washington Mutual, Inc. 854,209
87,130 Wells Fargo Co. 3,376,287
----------
44,418,472
----------
Beverages, Food & Tobacco - 4.2%
2,100 Adolph Coors Co. 127,050
24,500 Anheuser-Busch Companies, Inc. 1,829,844
32,559 Archer-Daniels-Midland Co. 319,485
14,800 Best Foods 1,024,900
3,700 Brown Forman Corp., Class B 198,875
22,900 Campbell Soup Co. 666,962
133,900 Coca-Cola Co. 7,690,881
22,700 Coca-Cola Enterprises, Inc. 370,294
26,600 Conagra, Inc 507,062
15,700 General Mills, Inc. 600,525
19,000 H.J. Heinz Co. 831,250
5,700 Hercules, Inc. 80,156
7,500 Hershey Foods Corp. 365,156
21,800 Kellogg Co. 648,550
17,500 Nabisco Group Holdings Corp. 453,906
78,000 PepsiCo, Inc. 3,466,125
123,600 Philip Morris Cos., Inc. 3,283,125
7,200 Quaker Oats Co. 540,900
16,400 Ralston Purina Group 326,975
26,800 Safeway, Inc. * 1,209,350
23,600 Seagram Co., Ltd. 1,368,800
7,000 Supervalu, Inc. 133,437
18,000 Sysco Corp. 758,250
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-9
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-----------------------------------------------------------
<C> <S> <C>
Beverages, Food & Tobacco (continued)
30,989 Unilever NV $1,332,527
8,600 UST, Inc. 126,312
6,300 Wrigley (Wm.) Jr. Co. 505,181
----------
28,765,878
----------
Building Materials - 1.1%
125,097 Home Depot, Inc. 6,247,032
20,600 Lowes Cos., Inc. 845,887
2,900 Owens Corning 26,825
5,500 Vulcan Materials Co. 234,781
----------
7,354,525
----------
Chemicals - 0.9%
12,400 Air Products & Chemicals, Inc. 382,075
6,000 Avery Dennison Corp. 402,750
36,600 Dow Chemical Co. 1,104,862
56,700 Du Pont (E.I.) De Nemours and Co. 2,480,625
4,200 Eastman Chemical Co. 200,550
3,600 Grace (W.R.) & Co.* 43,650
2,800 Great Lakes Chemical Corp. 88,200
19,900 Occidental Petroleum Corp. 419,144
9,400 PPG Industries, Inc. 416,537
8,500 Praxair, Inc. 318,219
4,608 Sealed Air Corp.* 241,344
7,200 Union Carbide Corp. 356,400
----------
6,454,356
----------
Commercial Services - 1.3%
10,100 Allied Waste Industries, Inc.* 101,000
34,000 Automatic Data Processing, Inc. 1,821,125
38,933 Cendant Corp.* 545,062
8,200 Convergys Corp.* 425,375
8,700 Dun & Bradstreet Corp. 249,037
7,000 Ecolab, Inc. 273,437
7,500 Equifax, Inc. 196,875
22,400 First Data Corp. 1,111,600
4,000 Fluor Corp. 126,500
5,200 H&R Block, Inc. 168,350
24,000 Halliburton Co. 1,132,500
20,150 Paychex, Inc. 846,300
2,700 Perkinelmer, Inc. 178,537
14,000 Pitney Bowes, Inc. 560,000
6,200 Quintiles Transnational Corp.* 87,575
6,600 R. R. Donnelley & Sons Co. 148,912
33,435 Waste Management, Inc. 635,265
----------
8,607,450
----------
Communications - 4.6%
16,600 ADC Telecommunications, Inc.* 1,392,325
4,300 Andrew Corp.* 144,319
176,182 Lucent Technologies, Inc. 10,438,783
16,600 Network Appliance, Inc.* 1,336,300
41,000 Nextel Communications, Inc., Class A* 2,508,687
160,360 Nortel Networks Corp. 10,944,570
40,100 Qualcomm, Inc.* 2,406,000
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------------
<C> <S> <C>
Communications (continued)
8,600 Scientific Atlanta, Inc. $ 640,700
22,100 Tellabs, Inc.* 1,512,469
----------
31,324,153
----------
Computer Software & Processing - 9.2%
6,600 Adobe Systems, Inc. 858,000
124,208 America Online, Inc.* 6,551,972
3,200 Autodesk, Inc. 111,000
13,200 BMC Software, Inc.* 481,594
9,800 Cabletron Systems, Inc.* 247,450
7,700 Ceridian Corp.* 185,281
10,000 Citrix Systems, Inc.* 189,375
31,850 Computer Associates International, Inc. 1,630,322
9,100 Computer Sciences Corp.* 679,656
19,300 Compuware Corp.* 200,237
3,800 Deluxe Corp. 89,537
25,200 Electronic Data Systems Corp. 1,039,500
16,000 IMS Health, Inc. 288,000
284,800 Microsoft Corp.* 22,784,000
5,200 NCR Corp.* 202,475
17,800 Novell, Inc.* 164,650
153,560 Oracle Corp.* 12,908,638
14,800 Parametric Technology Corp.* 162,800
14,900 PeopleSoft, Inc.* 249,575
1,400 Shared Medical Systems Corp. 102,112
85,900 Sun Microsystems, Inc.* 7,811,531
16,700 Unisys Corp.* 243,194
21,250 VERITAS Software Corp.* 2,401,581
29,400 Yahoo!, Inc.* 3,641,925
----------
63,224,405
----------
Computers & Information - 10.2%
18,900 3Com Corp.* 1,089,109
17,600 Apple Computer, Inc.* 921,800
376,400 Cisco Systems, Inc.* 23,924,925
91,857 Compaq Computer Corp. 2,348,095
8,400 Comverse Technology, Inc.* 781,200
139,300 Dell Computer Corp.* 6,869,231
117,500 EMC Corp.* 9,040,156
17,360 Gateway 2000* 985,180
54,200 Hewlett-Packard Co. 6,768,225
95,900 International Business Machines Corp. 10,507,044
7,000 Lexmark International Group, Inc.* 470,750
21,500 Minnesota Mining and Manufacturing Co. 1,773,750
3,200 Sapient Corp.* 342,200
12,400 Seagate Technology, Inc.* 682,000
10,800 Siebel Systems, Inc.* 1,766,475
32,200 Solectron Corp.* 1,348,375
----------
69,618,515
----------
Consumer Products - Diversified - 0.1%
46,900 Sara Lee Corp. 905,756
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-10
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------------
<C> <S> <C>
Containers & Packaging - 0.0%
1,500 Ball Corp. $ 48,281
6,800 Crown Cork & Seal Co., Inc. 102,000
----------
150,281
----------
Cosmetics & Personal Care - 1.3%
12,800 Avon Products, Inc. 569,600
12,600 Clorox Co. 564,637
31,200 Colgate-Palmolive Co. 1,868,100
56,400 Gillette Co. 1,970,475
5,600 International Flavors & Fragrances, Inc. 169,050
70,800 Procter & Gamble Co. 4,053,300
----------
9,195,162
----------
Electric Utilities - 1.6%
23,000 AES Corp.* 1,049,375
7,300 Ameren Corp. 246,375
17,440 American Electric Power, Inc. 516,660
8,443 Cinergy Corp. 214,769
5,800 CMS Energy Corp. 128,325
11,400 Consolidated Edison, Inc. 337,725
8,150 Constellation Energy Group, Inc. 265,384
8,500 CP&L, Inc. 271,469
12,950 Dominion Resources, Inc. 555,231
7,700 DTE Energy Co. 235,331
19,917 Duke Energy Corp. 1,122,821
17,800 Edison International 364,900
12,300 Entergy Corp. 334,406
12,400 FirstEnergy Corp. 289,850
9,700 Florida Power & Light Group Capital, Inc. 480,150
5,400 Florida Progress Corp. 253,125
6,500 GPU, Inc. 175,906
6,200 New Century Energies, Inc. 186,000
9,300 Niagara Mohawk Power Corp.* 129,619
8,400 Northern States Power Co. 169,575
9,100 Peco Energy Co. 366,844
20,700 PG&E Corp. 509,737
4,500 Pinnacle West Capital Corp. 152,437
7,800 PPL Resources, Inc. 171,112
11,700 Public Service Enterprise Group, Inc. 405,112
15,998 Reliant Energy, Inc. 472,941
11,013 Sempra Energy 187,221
35,100 Southern Co. 818,269
14,240 TXU Corp. 420,080
9,600 Unicom Corp. 371,400
----------
11,202,149
----------
Electrical Equipment - 0.6%
10,400 American Power Conversion Corp.* 424,450
16,700 Eastman Kodak Co. 993,650
23,100 Emerson Electric Co. 1,394,662
2,200 National Service Industries, Inc. 42,900
2,400 Polaroid Corp. 43,350
10,100 Rockwell International Corp. 318,150
3,100 Thomas & Betts Corp. 59,287
35,900 Xerox Corp. 744,925
----------
4,021,374
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------
<C> <S> <C>
Electronics - 7.1%
5,500 Adaptec, Inc.* $ 125,125
8,400 Advanced Micro Devices* 648,900
10,800 Altera Corp.* 1,100,925
19,200 Analog Devices, Inc.* 1,459,200
11,800 Conexant Systems, Inc.* 573,775
181,300 Intel Corp. 24,237,544
10,000 KLA-Tencor Corp.* 585,625
16,800 Linear Technology Corp. 1,074,150
16,600 LSI Logic Corp.* 898,475
15,400 Maxim Integrated Products, Inc.* 1,046,237
30,000 Micron Technology, Inc.* 2,641,875
2,500 Millipore Corp. 188,437
10,625 Molex, Inc. 511,328
116,435 Motorola, Inc. 3,383,892
9,500 National Semiconductor Corp.* 539,125
7,000 Novellus Systems, Inc.* 395,937
18,300 Raytheon Co., Class B 352,275
7,000 Sanmina Corp.* 598,500
9,500 Teradyne, Inc.* 698,250
88,600 Texas Instruments, Inc. 6,085,712
17,500 Xilinx, Inc.* 1,444,844
----------
48,590,131
----------
Entertainment & Leisure - 0.8%
32,600 Carnival Corp. 635,700
6,500 Harrah's Entertainment, Inc.* 136,094
9,250 Hasbro, Inc. 139,328
22,912 Mattel, Inc. 302,152
112,429 Walt Disney Co. 4,363,651
----------
5,576,925
----------
Financial Services - 1.9%
72,200 American Express Co. 3,763,425
73,600 Charles Schwab Corp. 2,474,800
6,100 Countrywide Credit Industries, Inc. 184,906
54,600 Fannie Mae 2,849,437
13,030 Franklin Resources, Inc. 395,786
37,600 Freddie Mac 1,522,800
25,659 Household International, Inc. 1,066,452
7,850 Providian Financial Corp. 706,500
----------
12,964,106
----------
Food Retailers - 0.3%
22,942 Albertson's, Inc. 762,821
1,900 Great Atlantic & Pacific Tea Co. 31,587
45,100 Kroger Co.* 995,019
10,000 Starbucks Corporation* 381,875
7,700 Winn-Dixie Stores, Inc. 110,206
----------
2,281,508
----------
Forest Products & Paper - 0.7%
2,800 Bemis Co. 94,150
3,100 Boise Cascade Corp. 80,212
11,000 Fort James Corp. 254,375
9,100 Georgia-Pacific Corp. 238,875
7,900 Ikon Office Solutions, Inc. 30,612
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-11
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------------------
<C> <S> <C>
Forest Products & Paper (continued)
26,141 International Paper Co. $ 779,319
30,140 Kimberly-Clark Corp. 1,729,282
5,600 Louisiana Pacific Corp. 60,900
5,400 Mead Corp. 136,350
9,000 Pactiv Corp.* 70,875
1,500 Potlatch Corp. 49,687
2,800 Temple Inland, Inc. 117,600
5,450 Westvaco Corp. 135,228
12,600 Weyerhaeuser Co. 541,800
5,900 Willamette Industries, Inc. 160,775
----------
4,480,040
----------
Health Care Providers - 0.3%
30,200 HCA - The Healthcare Corporation 917,325
20,800 HEALTHSOUTH Corp.* 149,500
5,400 Manor Care, Inc.* 37,800
16,900 Tenet Healthcare Corp. 456,300
3,300 Wellpoint Health Networks, Inc.* 239,044
----------
1,799,969
----------
Heavy Construction - 0.0%
2,600 Kaufman and Broad Home Corp. 51,512
3,200 McDermott International, Inc. 28,200
----------
79,712
----------
Heavy Machinery - 1.3%
43,800 Applied Materials, Inc.* 3,969,375
17,880 Baker Hughes, Inc. 572,160
4,600 Black & Decker Corp. 180,837
1,200 Briggs & Stratton Corp. 41,100
18,900 Caterpillar, Inc. 640,237
2,100 Cummins Engine Co., Inc. 57,225
12,700 Deere & Co. 469,900
11,000 Dover Corp. 446,188
8,800 Ingersoll-Rand Co. 354,200
1,800 Milacron, Inc. 26,100
6,500 Pall Corp. 120,250
6,075 Parker-Hannifin Corp. 208,069
4,700 Stanley Works 111,625
3,100 Timken Co. 57,738
25,400 United Technologies Corp. 1,495,425
5,100 W.W. Grainger, Inc. 157,144
----------
8,907,573
----------
Home Construction, Furnishings & Appliances - 0.1%
3,200 Centex Corp. 75,200
4,700 Johnson Controls, Inc. 241,169
10,500 Leggett & Platt, Inc. 173,250
4,200 Maytag Corp. 154,875
2,100 Pulte Corp. 45,413
4,000 Whirlpool Corp. 186,500
----------
876,407
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------
<C> <S> <C>
Household Products - 0.9%
15,100 Corning, Inc. $4,075,113
8,400 Fortune Brands, Inc. 193,725
16,300 Illinois Tool Works, Inc. 929,100
14,333 Newell Rubbermaid, Inc. 369,075
7,900 Owens-Illinois, Inc.* 92,331
11,675 Rohm & Haas Co. 402,788
3,100 Snap-On, Inc. 82,538
4,000 Tiffany & Co. 270,000
3,100 Tupperware Corp. 68,200
----------
6,482,870
----------
Industrial - Diversified - 4.8%
2,000 Armstrong Holdings, Inc. 30,625
1,600 FMC Corp.* 92,800
535,100 General Electric Co. 28,360,300
91,342 Tyco International, Ltd. 4,327,327
----------
32,811,052
----------
Insurance - 3.0%
7,598 Aetna, Inc. 487,697
14,300 AFLAC, Inc. 656,906
40,138 Allstate Corp. 893,071
13,517 American General Corp. 824,537
83,390 American International Group, Inc. 9,798,325
13,750 AON Corp. 427,109
9,400 Chubb Corp. 578,100
8,900 CIGNA Corp. 832,150
8,600 Cincinnati Financial Corp. 270,363
17,407 Conseco, Inc. 169,718
11,700 Hartford Financial Services Group, Inc. 654,469
8,900 Humana, Inc.* 43,388
5,600 Jefferson Pilot Corp. 316,050
10,300 Lincoln National Corp. 372,088
5,300 Loews Corp. 318,000
14,650 Marsh & McLennan Cos., Inc. 1,530,009
5,300 MBIA, Inc. 255,394
5,800 MGIC Investment Corp. 263,900
3,900 Progressive Corp. 288,600
6,800 SAFECO Corp. 135,150
11,500 St. Paul Cos. 392,438
6,900 Torchmark Corp. 170,344
8,800 Unitedhealth Group, Inc. 754,600
12,918 UnumProvident Corp. 259,167
----------
20,691,573
----------
Lodging - 0.1%
19,900 Hilton Hotels Corp. 186,563
13,000 Marriott International, Inc., Class A 468,813
----------
655,376
----------
Media - Broadcasting & Publishing - 2.6%
3,400 American Greetings Corp., Class A 64,600
18,400 Clear Channel Communications, Inc.* 1,380,000
48,600 Comcast Corp., Class A* 1,968,300
4,800 Dow Jones & Company, Inc. 351,600
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-12
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------------
<C> <S> <C>
Media - Broadcasting & Publishing (continued)
14,400 Gannett Co., Inc. $ 861,300
4,300 Knight-Ridder, Inc. 228,706
10,600 McGraw-Hill Cos., Inc. 572,400
2,800 Meredith Corp. 94,500
9,200 New York Times Co., Class A 363,400
71,260 Time Warner, Inc. 5,415,760
3,200 Times Mirror Co., Class A 290,000
13,000 Tribune Co. 455,000
82,428 Viacom, Inc., Class B* 5,620,559
----------
17,666,125
----------
Medical Supplies - 1.6%
24,424 Agilent Technologies, Inc.* 1,801,270
7,000 Allergan, Inc. 521,500
2,900 Bausch & Lomb, Inc. 224,388
15,800 Baxter International, Inc. 1,110,938
13,500 Becton, Dickinson & Co. 387,281
6,300 Biomet, Inc. 242,156
22,000 Boston Scientific Corp.* 482,625
2,800 C.R. Bard, Inc. 134,750
7,600 Danaher Corp. 375,725
3,900 Eaton Corp. 261,300
16,600 Guidant Corp.* 821,700
3,600 Mallinckrodt, Inc. 156,375
64,700 Medtronic, Inc. 3,222,869
11,200 PE Corp. - PE Biosystems Group 737,800
4,500 St. Jude Medical, Inc.* 206,438
2,550 Tektronix, Inc. 188,700
8,400 Thermo Electron Corp.* 176,925
----------
11,052,740
----------
Metals - 0.6%
11,700 Alcan Aluminum, Ltd. 362,700
46,608 Alcoa, Inc. 1,351,632
4,351 Allegheny Technologies, Inc. 78,318
21,400 Barrick Gold Corp. 389,213
7,000 Bethlehem Steel Corp.* 24,938
5,000 Cooper Industries, Inc. 162,813
3,150 Crane Co. 76,584
6,750 Engelhard Corp. 115,172
8,500 Freeport-McMoRan Copper & Gold, Inc., Class B* 78,625
14,000 Homestake Mining Co. 96,250
9,700 Inco, Ltd.* 149,138
24,100 Masco Corp. 435,306
8,911 Newmont Mining Corp. 192,700
4,600 Nucor Corp. 152,663
4,200 Phelps Dodge Corp. 156,188
17,700 Placer Dome, Inc. 169,256
4,620 USX - U.S. Steel Group 85,759
4,600 Worthington Industries, Inc. 48,300
----------
4,125,555
----------
Oil & Gas - 5.8%
5,000 Amerada Hess Corp. 308,750
7,000 Anadarko Petroleum Corp. 345,188
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------
<C> <S> <C>
Oil & Gas (continued)
6,200 Apache Corp. $ 364,638
3,800 Ashland, Inc. 133,238
11,582 Burlington Resources, Inc. 443,012
35,300 Chevron Corp. 2,993,881
11,600 Coastal Corp. 706,150
4,400 Columbia Energy Group 288,750
33,600 Conoco, Inc., Class B 825,300
1,400 Eastern Enterprises 88,200
12,600 El Paso Energy Corp. 641,813
39,600 Enron Corp. 2,554,200
188,430 Exxon Mobil Corp. 14,791,755
5,181 Kerr-Mcgee Corp. 305,355
2,400 Nicor, Inc. 78,300
1,600 Oneok, Inc. 41,500
1,800 Peoples Energy Corp. 58,275
13,700 Phillips Petroleum Co. 694,419
5,100 Rowan Cos., Inc.* 154,913
116,000 Royal Dutch Petroleum Co. 7,141,250
30,900 Schlumberger, Ltd. 2,305,913
4,800 Sunoco, Inc. 141,300
29,800 Texaco, Inc. 1,586,850
7,700 Tosco Corp. 218,006
11,427 Transocean Sedco Forex Inc. 610,630
13,581 Union Pacific Resources Group, Inc. 298,782
13,100 Unocal Corp. 433,938
16,800 USX-Marathon Group 421,050
23,800 Williams Cos., Inc. 992,163
----------
39,967,519
----------
Pharmaceuticals - 10.0%
83,800 Abbott Laboratories 3,734,338
5,500 ALZA Corp., Class A* 325,188
70,500 American Home Products Corp. 4,141,875
55,500 AMGEN, Inc.* 3,898,875
8,000 Biogen, Inc.* 516,000
106,700 Bristol-Myers Squibb Co. 6,215,275
15,000 Cardinal Health, Inc. 1,110,000
75,300 Johnson & Johnson 7,671,188
61,100 Lilly (Eli) & Co. 6,102,363
15,214 McKesson HBOC Corp. 318,543
11,400 Medimmune, Inc.* 843,600
124,400 Merck & Co., Inc. 9,532,150
340,550 Pfizer, Inc. 16,346,400
68,596 Pharmacia Corp. 3,545,556
79,300 Schering-Plough Corp. 4,004,650
4,500 Sigma Aldrich Corp. 131,625
5,300 Watson Pharmaceuticals, Inc.* 284,875
----------
68,722,501
----------
Restaurants - 0.4%
6,500 Darden Restaurants, Inc. 105,625
72,300 McDonald's Corp. 2,381,381
7,810 Tricon Global Restaurants, Inc.* 220,633
6,100 Wendy's International, Inc. 108,656
----------
2,816,295
----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-13
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------
<C> <S> <C>
Retailers - 3.6%
3,000 Alberto-Culver Co., Class B $ 91,688
7,100 AutoZone, Inc.* 156,200
7,500 Bed Bath & Beyond Inc.* 271,875
11,000 Best Buy Co., Inc.* 695,750
11,000 Circuit City Stores-Circuit City Group 365,063
5,900 Consolidated Stores Corp.* 70,800
24,112 Costco Wholesale Corp.* 795,696
21,100 CVS Corp. 844,000
5,000 Dillards, Inc., Class A 61,250
17,687 Dollar General Corp. 344,897
11,600 Federated Department Stores, Inc.* 391,500
3,800 Harcourt General, Inc. 206,625
14,100 J.C. Penney Co., Inc. 259,969
26,000 K Mart Corp.* 177,125
2,100 Longs Drug Stores Corp. 45,675
17,900 May Department Stores Co. 429,600
17,000 Office Depot, Inc.* 106,250
10,000 RadioShack Corp. 473,750
13,900 Rite Aid Corp. 91,219
19,100 Sears Roebuck & Co. 623,138
8,800 Sherwin Williams Co. 186,450
26,000 Staples, Inc.* 399,750
24,600 Target Corp. 1,426,800
16,100 TJX Cos., Inc. 301,875
11,500 Toys "R" Us, Inc.* 167,469
54,500 Walgreen Co. 1,754,219
241,100 Wal-Mart Stores, Inc. 13,893,388
----------
24,632,021
----------
Securities Broker - 1.3%
5,952 Bear Stearns Cos., Inc. 247,752
6,500 Lehman Brothers Holdings, Inc. 614,656
21,100 Merrill Lynch & Co., Inc. 2,426,500
61,334 Morgan Stanley Dean Witter & Co. 5,106,056
7,800 Paine Webber Group, Inc. 354,900
6,600 T. Rowe Price Associates, Inc. 280,500
----------
9,030,364
----------
Telephone Systems - 6.4%
17,000 Alltel Corp. 1,052,938
202,940 AT&T Corp. 6,417,978
83,646 Bell Atlantic Corp. 4,250,262
101,700 BellSouth Corp. 4,334,963
7,500 CenturyTel, Inc. 215,625
47,635 Global Crossing Ltd.* 1,253,396
52,200 GTE Corp. 3,249,450
183,998 SBC Communications, Inc. 7,957,914
47,400 Sprint Corp. 2,417,400
49,500 Sprint Corp. (PCS Group)* 2,945,250
27,504 U.S. West, Inc. 2,358,468
154,865 Worldcom, Inc.* 7,104,432
----------
43,558,076
----------
Textiles, Clothing & Fabrics - 0.1%
2,900 Liz Claiborne, Inc. 102,225
14,700 Nike, Inc., Class B 585,244
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------------
<C> <S> <C>
Textiles, Clothing & Fabrics (continued)
3,000 Reebok International, Ltd.* $ 47,813
1,600 Russell Corp. 32,000
900 Springs Industries, Inc., Class A 28,969
6,000 V.F. Corp. 142,875
-----------
939,126
-----------
Transportation - 0.4%
4,600 Brunswick Corp. 76,188
23,152 Burlington Northern Santa Fe Corp. 531,049
11,800 CSX Corp. 250,013
6,000 Kansas City Southern Industries, Inc. 532,125
20,700 Norfolk Southern Corp. 307,913
3,200 Ryder System, Inc. 60,600
6,908 Sabre Group Holdings, Inc. 196,878
13,400 Union Pacific Corp. 498,313
-----------
2,453,079
-----------
Total Common Stocks 675,495,541
-----------
(Cost $481,003,748)
<CAPTION>
Par Value
---------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS (a) - 0.2%
U.S. Treasury Bills - 0.2%
$ 235,000 5.33%, 12/07/00(b) 229,467
430,000 5.51%, 12/07/00(b) 419,544
535,000 5.56%, 12/07/00(b) 521,874
175,000 5.66%, 12/07/00(b) 170,625
-----------
Total U.S. Government Obligations 1,341,510
-----------
(Cost $1,341,510)
COMMERCIAL PAPER (a) - 0.7%
Financial Services - 0.3%
2,500,000 ASAP Funding, Ltd.
7.20%, 07/05/00 2,498,000
-----------
Securities Broker - 0.4%
2,500,000 Paine Webber Group, Inc.
7.10%, 07/03/00 2,499,014
-----------
Total Commercial Paper 4,997,014
-----------
(Cost $4,997,014)
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-14
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANY - 0.2%
1,467,135 SSgA Prime Money Market Fund $ 1,467,135
------------
Total Investment Company 1,467,135
------------
(Cost $1,467,135)
Total Investments - 99.7% 683,301,200
------------
(Cost $488,809,407)
Net Other Assets and Liabilities - 0.3% 2,097,484
------------
Total Net Assets - 100.0% $685,398,684
============
</TABLE>
------------------
* Non-income producing security.
(a) Effective yield at time of purchase.
(b) Security has been deposited as initial margin on futures contracts. At
June 30, 2000, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Contract Aggregate Market Value at
Purchased Type Expiration Date Cost June 30, 2000
--------- -------- --------------- --------- ---------------
<S> <C> <C> <C> <C>
14 S&P 500 September - 2000 $5,173,825 $5,138,350
========== ===============
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $488,809,407. Net unrealized appreciation (depreciation) aggregated
$194,491,793, of which $232,915,661 related to appreciated investment securi-
ties and $(38,423,868) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $92,452,200
and $16,929,492 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $45,999,415.
The value of collateral amounted to $47,338,606 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
--------------------------------------------
F-15
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (f) -
20.2%
Fannie Mae - 15.0%
$5,666,517 6.00%, 05/01/01 - 03/01/29 Aaa $5,201,128
7,574,778 6.50%, 04/29/09 - 10/01/28 Aaa 7,089,714
5,691,305 6.50%, 05/01/08 - 06/01/29 Aaa 5,398,718
9,054,799 7.00%, 08/01/10 - 01/01/28 Aaa 8,815,988
235,078 7.39%, 08/17/03 Aaa 234,912
7,273,422 7.50%, 01/01/07 - 10/01/28 Aaa 7,217,747
1,742,193 8.00%, 04/01/09 - 04/01/23 Aaa 1,758,289
285,279 8.50%, 07/01/08 Aaa 290,158
244,665 9.00%, 02/01/10 Aaa 252,139
191,998 10.00%, 10/01/20 - 12/01/20 Aaa 204,586
----------
36,463,379
----------
Freddie Mac - 1.1%
76,302 6.50%, 06/01/04 - 08/01/04 Aaa 73,176
1,215,308 7.90%, 07/01/16 Aaa 1,230,262
679,171 8.00%, 04/01/07 - 08/01/09 Aaa 680,827
234,156 8.75%, 05/01/17 Aaa 243,237
471,060 9.50%, 03/01/01 - 02/01/21 Aaa 488,121
----------
2,715,623
----------
Ginnie Mae - 4.1%
7,426,501 6.50%, 09/15/08 - 02/15/29 Aaa 7,066,496
1,310,441 7.00%, 05/15/23 - 06/15/23 Aaa 1,279,426
751,138 8.00%, 08/15/22 - 09/15/26 Aaa 761,462
129,275 9.00%, 08/15/16 Aaa 134,308
500,926 9.50%, 02/15/06 Aaa 521,351
----------
9,763,043
----------
Total U.S. Government Agency Mortgage-Backed
Obligations 48,942,045
----------
(Cost $50,790,517)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 24.1%
Fannie Mae - 10.5%
3,400,000 6.00%, 05/15/08 Aaa 3,164,485
4,175,000 6.50%, 07/19/14, TBA(a) Aaa 4,023,656
1,142,652 6.50%, 09/01/10 Aaa 1,108,936
12,813,268 7.00%, 07/01/15 - 07/01/30, TBA(a) Aaa 12,404,951
2,500,000 7.50%, 07/01/30, TBA(a) Aaa 2,462,500
2,240,000 8.00%, 07/01/30, TBA(a) Aaa 2,248,400
----------
25,412,928
----------
Federal Home Loan Bank - 0.6%
1,725,000 6.50%, 11/18/13 Aaa 1,565,438
----------
Freddie Mac - 1.6%
4,100,000 6.50%, 07/01/29, TBA(a) Aaa 3,866,813
----------
Sallie Mae - 0.8%
2,000,000 6.34%, 08/14/01(b) Aaa 2,000,000
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
--------------------------------------------------------------------------
U.S. Treasury Bond - 8.9%
$4,835,000 5.50%, 08/15/28(c) Aaa $4,434,604
9,905,000 7.13%, 02/15/23(c) Aaa 10,988,359
3,215,000 7.25%, 05/15/16(c) Aaa 3,537,506
2,150,000 7.63%, 11/15/22(c) Aaa 2,510,798
----------
21,471,267
----------
U.S. Treasury Note - 1.7%
990,000 5.75%, 08/15/03(c) Aaa 972,985
3,250,000 6.00%, 08/15/09(c) Aaa 3,223,594
----------
4,196,579
----------
Total U.S. Government and Agency
Obligations 58,513,025
----------
(Cost $59,656,740)
CORPORATE NOTES AND BONDS - 36.5%
Airlines - 1.5%
1,300,000 AMR Corp., Debenture
9.50%, 05/15/01 Baa2 1,309,840
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa3 1,979,258
394,111 United Air Lines, Inc.
9.30%, 03/22/08 Baa1 408,240
----------
3,697,338
----------
Automotive - 0.8%
725,000 Ford Motor Credit Co.
5.80%, 01/12/09 A2 630,699
1,300,000 Ford Motor Credit Corp.
6.25%, 12/08/05 A2 1,224,531
----------
1,855,230
----------
Banking - 4.2%
1,500,000 BCH Cayman Islands, Ltd., Yankee
Subordinated Note, Guaranteed
6.50%, 02/15/06 A1 1,398,967
1,000,000 Centura Banks, Inc.
6.50%, 03/15/09 Baa1 906,566
2,000,000 Chase Manhattan Corp.
6.38%, 02/15/08 A1 1,831,464
1,000,000 Compass Trust I, Series A
8.23%, 01/15/27 A3 820,920
1,750,000 MBNA Corp., Senior Notes, MTN
6.96%, 09/12/02 Baa2 1,711,062
1,775,000 Providian National Bank
6.75%, 03/15/02 Baa3 1,742,745
1,850,000 Wells Fargo Bank NA
7.55%, 06/21/10 Aa2 1,825,210
----------
10,236,934
----------
Beverages, Food & Tobacco - 0.7%
1,700,000 J. Seagrahm & Sons, Inc.
7.60%, 12/15/28 Baa3 1,607,778
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-16
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Chemicals - 0.5%
$1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba1 $1,292,659
----------
Commercial Services - 0.8%
2,000,000 Cox Communications, Inc.
6.63%, 06/14/02(d) Baa1 1,962,276
----------
Communications - 0.8%
2,275,000 Lucent Technologies, Inc.
6.45%, 03/15/29 A2 2,009,300
----------
Computer Software & Processing -
0.8%
1,850,000 Sun Microsystems
7.35%, 08/15/04 Baa1 1,845,915
----------
Computers & Information - 1.4%
1,750,000 Hewlett-Packard Co.
7.15%, 06/15/05 Aa2 1,756,373
1,475,000 International Business Machines
Corp.
8.38%, 11/01/19 A1 1,619,728
----------
3,376,101
----------
Electric Utilities - 1.8%
2,195,000 Connecticut Light & Power Co., First
Mortgage, Series D
7.88%, 10/01/24 Baa3 2,194,991
1,000,000 Ohio Edison Co.
7.38%, 09/15/02 Baa2 1,000,247
580,000 Texas Utilities Co.
7.38%, 10/01/25 A3 524,255
800,000 Texas-New Mexico Power Co., Senior
Note
6.25%, 01/15/09 Baa3 691,383
----------
4,410,876
----------
Electronics - 0.5%
1,300,000 Raytheon Co.
6.45%, 08/15/02 Baa2 1,269,645
----------
Entertainment & Leisure - 0.4%
1,200,000 Royal Caribbean Cruises, Ltd.
6.75%, 03/15/08 Baa2 1,032,679
----------
Financial Services - 2.3%
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa2 1,399,702
1,750,000 Money Store, Inc., Senior Notes,
Guaranteed
8.05%, 04/15/02 A1 1,764,849
1,575,000 Newcourt Credit
6.88%, 02/16/05 A1 1,508,126
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
-----------------------------------------------------------------------------
Financial Services - (continued)
$1,035,000 Travelers Group, Inc.
7.25%, 05/01/01 Aa3 $1,034,422
----------
5,707,099
----------
Forest Products & Paper - 1.9%
1,900,000 Abitibi-Consolidated,
Yankee Debenture
7.40%, 04/01/18 Baa3 1,634,219
900,000 Chesapeake Corp.
7.20%, 03/15/05 Ba2 838,610
800,000 Georgia-Pacific Corp.
9.95%, 06/15/02 Baa2 830,850
1,500,000 Tennessee Gas Pipeline Co.,
Debenture
7.50%, 04/01/17 Baa1 1,424,376
----------
4,728,055
----------
Heavy Machinery - 0.6%
1,550,000 Black & Decker Corp.
6.63%, 11/15/00 Baa2 1,547,320
----------
Home Construction, Furnishings & Appliances - 0.3%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa3 794,154
----------
Industrial - Diversified - 1.2%
1,500,000 General Electric Capital Corp.
7.50%, 05/15/05 Aaa 1,517,987
1,500,000 Tyco International Group, S.A.,
Yankee Subordinated Note
6.25%, 06/15/03 Baa1 1,427,793
----------
2,945,780
----------
Insurance - 0.4%
1,000,000 AON Capital Trust, Series A
8.21%, 01/01/27 A3 915,932
----------
Media - Broadcasting & Publishing -
3.9%
1,675,000 Lenfest Communications, Inc.
8.38%, 11/01/05 Baa2 1,710,247
2,000,000 Liberty Media Group
7.88%, 07/15/09 Baa3 1,925,562
2,275,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa3 2,174,779
675,000 Time Warner Entertainment Co., LP,
Debenture
8.38%, 03/15/23 Baa2 689,610
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Baa3 1,235,091
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Baa3 822,320
1,000,000 USA Networks, Inc.
6.75%, 11/15/05 Baa3 949,098
----------
9,506,707
----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-17
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Metals - 1.1%
$2,500,000 USX Corp.
9.80%, 07/01/01 Baa1 $2,555,888
----------
Oil & Gas - 1.7%
1,700,000 Phillips Petroleum
8.50%, 05/25/05 Baa2 1,759,255
800,000 Union Pacific Resources Group, Inc.
6.50%, 05/15/05 Baa3 762,835
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 NR 1,492,911
----------
4,015,001
----------
Pharmaceuticals - 0.6%
1,500,000 Watson Pharmaceuticals, Inc., Senior
Note
7.13%, 05/15/08 Ba1 1,339,493
----------
Retailers - 2.1%
1,250,000 Federated Department Stores
8.50%, 06/01/10 Baa1 1,272,909
2,000,000 Meyer (Fred), Inc.
7.45%, 03/01/08 Baa3 1,912,834
2,000,000 Saks, Inc.
7.00%, 07/15/04 Baa3 1,795,254
----------
4,980,997
----------
Securities Broker - 2.5%
2,500,000 Bear Stearns Cos., Inc., Senior Note
6.15%, 03/02/04 A2 2,368,958
2,200,000 Morgan Stanley Dean Witter & Co.
7.75%, 06/15/05 Aa3 2,211,471
1,700,000 Paine Webber Group, Inc., Senior
Note
6.55%, 04/15/08 Baa1 1,515,606
----------
6,096,035
----------
Telephone Systems - 3.2%
2,275,000 AT & T Corp.
6.00%, 03/15/09 A1 2,028,479
1,300,000 AT & T Corp.
7.65%, 09/15/06 Baa3 1,287,277
1,225,000 LCI International, Inc., Senior Note
7.25%, 06/15/07 Baa1 1,177,748
1,800,000 Sprint Capital Corp.
7.63%, 06/10/02 Baa1 1,806,687
1,575,000 US West Communications, Inc.
6.38%, 10/15/02 A2 1,536,534
----------
7,836,725
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Transportation - 0.5%
$1,250,000 CSX Corp.
6.25%, 10/15/08 Baa2 $1,104,699
----------
Total Corporate Notes and Bonds 88,670,616
----------
(Cost $91,799,897)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (f) - 12.8%
2,350,000 BankBoston RV Asset Backed Trust,
Series 1997-1, Class A8, CMO
6.54%, 02/15/09 Aaa 2,319,849
2,100,000 Bear Stearns Mortgage Securities,
Inc., CMO
7.06%, 06/15/09 Aaa 2,050,192
1,053,158 Bear Stearns Mortgage Securities,
Inc., Series 1995-1, Class 1A
6.45%, 05/25/10 Aaa 1,020,679
1,250,000 Bear Stearns Mortgage Securities,
Inc., Series 1996-3, Class A10
7.75%, 06/25/27(e) AAA 1,238,087
382,104 Carco Auto Loan Master Trust, Series
1997-1, Class A, CMO
6.69%, 08/15/04 Aaa 380,683
1,575,000 Chase Credit Card Master Trust,
Series 1997-5, Class A, CMO
6.19%, 08/15/05 Aaa 1,543,547
1,020,618 COMM, Series 1999-1, Class A1, CMO
6.15%, 02/15/08 Aaa 975,362
1,000,000 Copelco Capital Funding Corp.,
Series 1999-A, Class A4
5.80%, 04/15/03 Aaa 975,580
2,200,000 Discover Card Master Trust I, Series
1993-3, Class A, CMO
6.20%, 05/16/06 Aaa 2,128,720
2,500,000 Diversified REIT Trust, Series 1999-
1A, Class A2
6.78%, 03/18/11(d) Aaa 2,337,109
1,128,417 DLJ Commercial Mortgage Corp.,
Series 1998-CF2, Class A1A
5.88%, 11/12/31 Aaa 1,063,579
1,654,284 Financial Asset Securitization,
Inc., Series 1999-1, Class A4, CMO
7.75%, 05/25/27(e) AAA 1,636,335
1,500,000 First Security Auto Owner Trust,
Series 1999-1, Class A4,
5.74%, 06/15/04 Aaa 1,464,375
1,047,051 GMAC Commercial Mortgage Securities,
Inc., Series 1996-C1, Class A2A, CMO
6.79%, 09/15/03 Aaa 1,037,042
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-18
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (f) - (continued)
$ 117,946 Green Tree Recreation Equipment &
Consumer Trust, Series 1996-A, Class
A1, CMO
5.55%, 02/15/18 Aaa $ 114,163
474,093 Green Tree Recreation Equipment &
Consumer Trust,
Series 1997-B, Class A1, CMO 6.55%,
07/15/28(e) AAA 467,024
1,792,900 Morgan Stanley Dean Witter & Co.
7.43%, 12/03/05(d) Aaa 1,792,340
2,500,000 Residential Funding Mortgage
Securities I, Series 1999-S7, Class
A11, CMO
6.50%, 03/25/29(e) AAA 2,379,275
1,100,000 Sithe/Independence Funding Corp.,
Series A
9.00%, 12/30/13 Baa3 1,136,366
700,000 Southwest Gas Corp., Debenture,
Series F
9.75%, 06/15/02 Baa2 723,022
2,750,000 Toyota Auto Receivables Owner Trust,
CMO
6.15%, 08/16/04 Aaa 2,715,158
1,575,000 WFS Financial Owner Trust, Series
1998-B, Class A4
6.05%, 04/20/03 Aaa 1,555,155
----------
Total Asset-Backed and Mortgage-
Backed Securities 31,053,642
----------
(Cost $31,903,252)
FOREIGN GOVERNMENT OBLIGATIONS - 0.8%
1,975,000 Province Of Ontario
7.38%, 01/27/03 Aa3 1,983,724
----------
Total Foreign Government Obligations 1,983,724
----------
(Cost $1,978,061)
COMMERCIAL PAPER (g) - 13.2%
Automotive - 2.5%
6,000,000 Harley Davidson Funding
6.61%, 07/10/00 NR 5,990,085
----------
Commercial Services - 2.5%
6,000,000 Block Financial Corp. 6.63%, 07/10/00 A3 5,990,055
----------
Financial Services - 7.1%
2,500,000 ASAP Funding, Ltd. 7.20%, 07/05/00 NR 2,498,000
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Financial Services - (continued)
$10,000,000 Omnicom Finance, Inc. 6.73%,
08/01/00(e) A $ 9,942,047
5,000,000 Westways Funding IV
6.67%, 09/07/00(e) AA 4,937,006
------------
17,377,053
------------
Securities Broker - 1.1%
2,700,000 Paine Webber Group, Inc. 7.10%,
07/03/00 Baa1 2,698,935
------------
Total Commercial Paper 32,056,128
------------
(Cost $32,056,128)
<CAPTION>
Shares
------
<C> <S> <C> <C>
INVESTMENT COMPANY - 0.8%
1,874,971 SSgA Prime Money Market Fund NR 1,874,971
------------
Total Investment Company 1,874,971
------------
(Cost $1,874,971)
Total Investments - 108.4% 263,094,151
------------
(Cost $270,059,566)
Net Other Assets and Liabilities - (8.4)% (20,357,745)
------------
Total Net Assets - 100.0% $242,736,406
============
</TABLE>
------------------
(a) Forward Commitment
(b) Variable rate security. The rate shown reflects rate in effect at June 30,
2000.
(c) Designated as Collateral on Forward Commitment
(d) 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, 2000, these securities
amounted to $6,091,725 or 2.5% of net assets.
(e) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(f) Pass Through Certificates.
(g) Effective yield at time of purchase.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REIT Real Estate Investment Trust
See Notes to Financial Statements.
--------------------------------------------
F-19
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $270,059,566. Net unrealized appreciation (depreciation) aggregated
$(6,965,415), of which $796,238 related to appreciated investment securities
and $(7,761,653) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $33,755,130
and $31,866,936 of non-governmental issuers, respectively, and $149,687,659 and
$152,131,457 of U.S. Government and Agency issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $18,293,928.
The value of collateral amounted to $18,520,813 which consisted of cash equiva-
lents.
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 50.3%
Aa2 1.4
Aa3 2.0
A1 3.9
A2 2.9
A3 3.1
Baa1 7.2
Baa2 6.1
Baa3 9.4
Ba1 1.0
Ba2 0.3
NR (Not Rated) 4.5
-----
92.1%
=====
</TABLE>
<TABLE>
<S> <C>
S&P
Ratings
AAA 2.2%
AA 1.9
A 3.8
-----
7.9%
=====
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-20
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
----------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (a) -
15.4%
Fannie Mae - 8.6%
$1,250,000 6.15%, 06/25/20 $1,229,212
3,252,266 6.50%, 05/01/08 - 09/01/14 3,142,540
311,907 7.00%, 01/01/10 - 05/01/17 307,752
141,613 7.39%, 08/17/03 141,513
578,926 7.50%, 03/01/07 579,742
373,612 8.00%, 04/01/09 - 09/01/21 377,058
815,705 8.40%, 02/25/09 825,591
----------
6,603,408
----------
Freddie Mac - 4.3%
1,500,000 5.75%, 06/15/01 1,484,124
565,889 6.50%, 06/01/04 - 06/01/23 543,466
216,687 7.50%, 02/01/07 217,085
319,808 7.90%, 07/01/16 323,743
539,289 8.00%, 09/01/08 - 06/01/19 541,233
34,326 9.50%, 03/01/01 34,706
116,064 10.00%, 03/01/21 123,558
----------
3,267,915
----------
Ginnie Mae - 2.5%
58,989 6.50%, 06/15/09 57,813
1,697,516 7.00%, 06/15/09 - 06/15/12 1,685,259
149,257 9.50%, 02/15/06 155,343
----------
1,898,415
----------
Total U.S. Government Agency Mortgage-Backed
Obligations 11,769,738
----------
(Cost $12,017,044)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 77.9%
Fannie Mae - 16.2%
4,078,000 5.13%, 02/13/04 3,831,273
550,000 5.84%, 03/15/01 546,321
1,425,000 6.18%, 03/15/01 1,418,692
3,213,000 6.38%, 06/15/09 3,044,860
3,500,000 6.63%, 01/15/02 3,484,950
----------
12,326,096
----------
Federal Farm Credit Bank - 8.1%
1,125,000 5.72%, 02/04/03 1,091,211
1,600,000 5.75%, 02/20/03 1,552,054
1,550,000 6.65%, 08/08/03 1,532,795
2,000,000 6.71%, 04/25/01 1,998,008
----------
6,174,068
----------
Federal Home Loan Bank - 13.4%
1,500,000 5.25%, 04/25/02 1,459,491
1,500,000 5.61%, 01/23/03 1,453,161
1,500,000 5.95%, 01/19/06 1,425,427
1,350,000 6.19%, 05/06/08 1,271,695
1,629,284 6.28%, 06/15/09 1,558,100
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
--------------------------------------------------------------------------
Federal Home Loan Bank - (continued)
$ 550,000 6.55%, 03/07/05 $ 539,515
2,500,000 7.31%, 11/16/01 2,500,835
----------
10,208,224
----------
Freddie Mac - 9.3%
2,500,000 5.13%, 10/15/08 2,176,880
700,000 5.75%, 07/15/03 676,173
1,300,000 6.25%, 07/15/04 1,263,998
1,000,000 6.87%, 03/03/03 997,229
2,000,000 7.13%, 07/13/01 1,999,200
----------
7,113,480
----------
U.S. Treasury Note - 30.9%
750,000 5.25%, 08/15/03 727,266
5,750,000 5.75%, 11/30/02 - 08/15/03 5,658,612
3,250,000 6.00%, 07/31/02 - 08/15/09 3,222,656
1,250,000 6.25%, 02/28/02 1,245,312
5,100,000 6.50%, 08/31/01 - 10/15/06 5,132,625
6,100,000 6.88%, 05/15/06 6,277,284
1,100,000 10.75%, 08/15/05 1,311,063
----------
23,574,818
----------
Total U.S. Government and
Agency Obligations 59,396,686
----------
(Cost $61,397,064)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (a) - 6.9%
1,250,000 American Express Credit Account Master Trust,
Series 1999-1, Class A
5.60%, 11/15/06 1,184,888
1,500,000 American Express Master Trust,
Series 1998-1, Class A, CMO
5.90%, 04/15/04 1,454,490
1,500,000 Discover Card Master Trust I,
Series 1998-2, Class A, CMO
5.80%, 09/16/03 1,483,950
18,871 Green Tree Recreation Equipment & Consumer Trust,
Series 1996-A, Class A1, CMO 5.55%, 02/15/18 18,266
1,000,000 NationsBank Corp., Series 1993-2, CMO
6.00%, 12/15/05 965,520
155,244 Premier Auto Trust, Series 1996-4, Class A4, CMO
6.40%, 10/06/01 155,213
----------
Total Asset-Backed and Mortgage-Backed Securities 5,262,327
----------
(Cost $5,363,875)
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-21
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------
INVESTMENT COMPANY - 1.1%
843,488 SSgA Prime Money Market Fund $ 843,488
-----------
Total Investment Company 843,488
-----------
(Cost $843,488)
Total Investments - 101.3% 77,272,239
-----------
(Cost $79,621,471)
Net Other Assets and Liabilities -
(1.3)% (1,003,509)
-----------
Total Net Assets - 100.0% $76,268,730
===========
</TABLE>
------------------
(a) Pass Through Certificates.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $79,621,471. Net unrealized appreciation (depreciation) aggregated
$(2,349,232), of which $38,706 related to appreciated investment securities and
$(2,387,938) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $955,664
and $2,297,215 of non-governmental issuers, respectively, and $14,927,849 and
$26,918,268 of U.S. Government and Agency issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $13,313,990.
The value of collateral amounted to $13,577,687 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
------------------------------------------------------
F-22
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
--------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (c) -
7.1%
Fannie Mae - 4.6%
$5,000,000 5.62%, 09/01/00 $4,951,607
10,000,000 6.53%, 09/01/00 9,887,539
5,000,000 6.57%, 09/01/00 4,943,425
----------
19,782,571
----------
Federal Farm Credit Bank - 0.2%
1,000,000 6.34%, 05/07/01(a) 1,000,000
----------
Sallie Mae - 2.3%
10,000,000 6.28%, 03/09/01(a) 10,002,563
----------
Total U.S. Government and
Agency Obligations 30,785,134
----------
CORPORATE NOTES - 46.8%
Automotive - 3.2%
6,000,000 American Honda Finance Corp.
6.78%, 08/02/00(b) 5,999,899
5,000,000 General Motors Acceptance Corp., MTN
6.80%, 04/17/01 4,981,271
3,000,000 Paccar Financial Corp., MTN
6.08%, 05/15/01 2,967,816
----------
13,948,986
----------
Banking - 6.8%
2,500,000 African Development Bank
8.73%, 05/01/01 2,536,157
10,000,000 Asset Backed Capital Financial
6.44%, 03/15/01(a) 10,000,000
9,000,000 First Union National Bank
6.86%, 09/27/00(a) 8,998,367
2,750,000 FleetBoston Financial Corp., MTN
6.38%, 08/11/00 2,750,270
5,000,000 PNC Funding Corp.
9.88%, 03/01/01 5,092,735
----------
29,377,529
----------
Electric Utilities - 0.2%
1,000,000 National Rural Utilities, MTN
5.88%, 07/28/00 999,655
----------
Financial Services - 19.2%
1,000,000 Countrywide Funding Corp.
7.31%, 08/28/00 1,001,628
5,000,000 Countrywide Home Loans
5.62%, 10/16/00 4,984,954
10,000,000 Countrywide Home Loans, MTN
6.77%, 05/22/01(a) 9,997,832
7,000,000 Heller Financial, Inc.
6.49%, 09/18/00 6,998,527
10,000,000 Heller Financial, Inc.
6.90%, 08/07/00(a) 9,999,466
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
-------------------------------------------------------------------
Financial Services - (continued)
$2,500,000 Heller Financial, Inc.
7.10%, 09/25/00(a) $ 2,501,802
12,000,000 Household Finance Corp., MTN
6.37%, 03/30/01(a) 12,000,000
1,000,000 Household Finance Corp., MTN
6.89%, 06/21/01(a) 1,000,690
10,000,000 Links Finance LLC
6.66%, 03/30/01(a) 9,997,759
10,000,000 Links Finance LLC, MTN
7.00%, 06/04/01(b) 10,000,000
10,000,000 Sigma Finance, Inc.
6.39%, 03/30/01(a) 10,000,000
5,000,000 Syndicated Loan Fund Trust
6.53%, 03/30/01(a) 5,000,000
-----------
83,482,658
-----------
Real Estate - 5.3%
23,000,000 Homeside Lending, Inc., MTN
6.93%, 08/16/00(a) 23,000,578
-----------
Securities Broker - 11.5%
5,000,000 Bear Stearns Cos., Inc., MTN
6.39%, 02/02/01(a) 5,000,000
1,300,000 Goldman Sachs and Co.
5.56%, 01/11/01(b) 1,294,926
10,000,000 Goldman Sachs Group, Inc.
6.82%, 08/16/00 10,000,000
7,000,000 Lehman Brothers Holdings, Inc.
7.29%, 09/25/00 7,012,175
675,000 Merrill Lynch & Co., Inc.
6.70%, 08/01/00 675,372
5,000,000 Merrill Lynch & Co., Inc., MTN
7.32%, 11/20/00(a) 5,009,866
10,000,000 Morgan Stanley Dean Witter & Co., MTN
6.88%, 08/09/00(a) 10,004,076
10,000,000 Paine Webber Group, Inc.
6.82%, 12/12/00(a) 10,000,000
1,000,000 Salomon Smith Barney Holdings, Inc., MTN
6.63%, 11/30/00 1,001,262
-----------
49,997,677
-----------
Telephone Systems - 0.6%
2,356,000 GTE Corp.
9.38%, 12/01/00 2,381,616
-----------
Total Corporate Notes 203,188,699
-----------
COMMERCIAL PAPER (c) - 29.5%
Banking - 4.5%
10,000,000 Bank of America Corp.
6.65%, 08/23/00 9,902,097
10,000,000 Christiania Capital Corp.
6.66%, 09/12/00 9,865,051
-----------
19,767,148
-----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-23
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
----------------------------------------------------------------
Electric Utilities - 6.6%
$10,000,000 Carolina Power & Light Co.
6.70%, 08/14/00 $ 9,918,111
8,899,000 Oglethorpe Power Corp.
6.61%, 07/06/00 8,890,830
10,000,000 Oglethorpe Power Corp.
6.75%, 08/01/00 9,941,875
------------
28,750,816
------------
Electrical Equipment - 3.9%
17,000,000 Xerox Corp.
7.25%, 07/05/00 16,986,306
------------
Financial Services - 3.2%
5,000,000 Govco, Inc.
6.70%, 08/11/00 4,961,847
9,000,000 Westways Funding IV
6.67%, 09/07/00 8,886,610
------------
13,848,457
------------
Insurance - 3.4%
15,000,000 Aetna Services, Inc.
6.80%, 08/21/00 14,855,500
------------
Real Estate - 3.4%
15,000,000 Weyerhaeuser Real Estate
7.22%, 07/05/00(b) 14,987,967
------------
Securities Broker - 3.3%
6,000,000 Bear Stearns Cos., Inc.
6.89%, 02/12/01 5,740,477
7,000,000 Donaldson, Lufkin & Jenrette, Inc.
6.77%, 08/14/00 6,942,079
1,500,000 Paine Webber Group, Inc.
7.10%, 07/03/00 1,499,408
------------
14,181,964
------------
Telephone Systems - 1.2%
5,000,000 AT & T Corp.
7.27%, 06/14/01 5,000,000
------------
Total Commercial Paper 128,378,158
------------
CERTIFICATES OF DEPOSIT - 3.9%
10,000,000 CIC Floating Rate CD
6.82%, 08/02/00(a) 9,999,829
7,000,000 Wilmington Trust Corp.
6.02%, 10/02/00 6,998,987
------------
Total Certificates of Deposit 16,998,816
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
---------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 1.3%
$ 676,417 Fidelity Equipment Lease Trust,
Series 1999-2, Class A-1, CMO
6.13%, 12/15/00 $ 676,417
1,941,812 Household Automotive Trust IV,
Series 2000-1, Class A1, CMO
6.09%, 03/19/01 1,941,812
3,012,052 Huntington Auto Trust,
Series 2000-A, Class A1, CMO
6.32%, 04/15/01 3,012,052
------------
Total Asset-Backed and
Mortgage-Backed Securities 5,630,281
------------
MUNICIPAL OBLIGATIONS - 4.8%
20,000,000 California Housing Finance Agency,
Revenue Bond
6.68%, 08/01/31(a) 20,000,000
1,000,000 New Jersey State Municipal
6.38%, 08/01/00 1,000,585
------------
Total Municipal Obligations 21,000,585
------------
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANIES - 1.3%
5,479,035 Scudder Institutional Money Market Fund 5,479,035
10,990 SSgA Prime Money Market Fund 10,990
------------
Total Investment Companies 5,490,025
------------
<CAPTION>
Maturity
Amount
--------
<C> <S> <C>
REPURCHASE AGREEMENTS - 4.6%
$20,011,917 First Union Securities, Inc. Repurchase
Agreement, dated 06/30/00, due 07/03/00, at
7.15%, collateralized by First Union National
Bank, 7.70%, 02/15/05 with a market value of
$20,000,000. 20,000,000
------------
Total Investments - 99.3% 431,471,698
------------
Net Other Assets and Liabilities - 0.7% 3,024,880
------------
Total Net Assets - 100.0% $434,496,578
============
</TABLE>
------------------
(a) Variable rate security. The rate shown reflects rate in effect at June 30,
2000.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
to qualified institutional buyers. At June 30, 2000, these securities
amounted to $32,282,792 or 7.4% of net assets.
(c) Effective yield at time of purchase.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $431,471,698.
See Notes to Financial Statements.
------------------------------------------------------
F-24
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
F-25
<PAGE>
Allmerica Investment Trust
STATEMENTS OF ASSETS AND LIABILITIES (in 000's) . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select
Aggressive International
Growth Fund Equity Fund
---------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investments:
Investments at cost................................ $ 912,558 $557,867
Net unrealized appreciation (depreciation)......... 215,050 135,801
---------- --------
Total investments at value......................... 1,127,608 693,668
Cash and foreign currency*.......................... 1,273 32,973
Short-term investments held as collateral for
securities loaned.................................. 157,169 78,039
Receivable for investments sold..................... 12,801 1,847
Receivable for shares sold.......................... 7,766 10,296
Receivable for variation margin..................... -- --
Interest and dividend receivables................... 361 978
Dividend tax reclaim receivables.................... -- 570
Net unrealized appreciation on forward currency
contracts.......................................... -- 57
---------- --------
Total Assets....................................... 1,306,978 818,428
---------- --------
LIABILITIES:
Payable for investments purchased................... 1,044 6,579
Payable for shares repurchased...................... -- --
Collateral for securities loaned.................... 157,169 78,039
Advisory fee payable................................ 709 528
Dividends payable................................... -- --
Accrued expenses and other payables................. 170 169
---------- --------
Total Liabilities.................................. 159,092 85,315
---------- --------
NET ASSETS.......................................... $1,147,886 $733,113
========== ========
NET ASSETS consist of
Paid-in capital..................................... $ 850,892 $508,576
Undistributed (distribution in excess of)
net investment income (loss)....................... (2,011) 3,970
Accumulated (distribution in excess of) net realized
gain (loss) on investments sold, foreign currency
transactions and futures contracts................. 83,955 85,102
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in foreign
currency and futures contracts..................... 215,050 135,465
---------- --------
TOTAL NET ASSETS.................................... $1,147,886 $733,113
========== ========
Shares of beneficial interest outstanding (unlimited
authorization, no par value) (in 000's)............ 402,524 379,520
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)..................... $ 2.852 $ 1.932
========== ========
</TABLE>
------------------------------------
* Cost $1,471 for Select International Equity Fund.
See Notes to Financial Statements.
------------------------------------------------------
F-26
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select
Core Equity Investment Grade Government Money
Equity Index Income Bond Market
Fund Fund Fund Fund Fund
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 923,838 $488,809 $270,059 $79,621 $431,472
149,105 194,492 (6,965) (2,349) --
---------- -------- -------- ------- --------
1,072,943 683,301 263,094 77,272 431,472
18,201 63 90 2 5
50,994 47,339 18,521 13,578 --
17,523 1,610 1,791 18 --
138 434 1,727 -- --
-- 35 -- -- --
823 546 2,933 1,108 3,237
15 8 -- -- --
-- -- -- -- --
---------- -------- -------- ------- --------
1,160,637 733,336 288,156 91,978 434,714
---------- -------- -------- ------- --------
25,302 321 26,749 1,999 --
24 -- -- 65 --
50,994 47,339 18,521 13,578 --
371 152 85 31 82
-- -- -- -- 78
174 125 65 36 58
---------- -------- -------- ------- --------
76,865 47,937 45,420 15,709 218
---------- -------- -------- ------- --------
$1,083,772 $685,399 $242,736 $76,269 $434,496
========== ======== ======== ======= ========
$ 774,203 $487,256 $253,764 $82,274 $434,684
279 188 11 11 --
160,185 3,499 (4,074) (3,667) (188)
149,105 194,456 (6,965) (2,349) --
---------- -------- -------- ------- --------
$1,083,772 $685,399 $242,736 $76,269 $434,496
========== ======== ======== ======= ========
361,490 188,952 231,558 75,439 434,686
$ 2.998 $ 3.627 $ 1.048 $ 1.011 $ 1.000
========== ======== ======== ======= ========
</TABLE>
--------------------------------------------
F-27
<PAGE>
Allmerica Investment Trust
STATEMENTS OF OPERATIONS (in 000's) . For the Six Months Ended June 30, 2000
(Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select
Aggressive International
Growth Fund Equity Fund
---------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Interest............................................. $ 1,061 $ 873
Dividends............................................ 1,131 6,868
Securities lending income............................ 188 94
Less net foreign taxes withheld...................... -- (892)
-------- --------
Total investment income.............................. 2,380 6,943
-------- --------
EXPENSES
Investment advisory fees............................. 4,223 3,056
Custodian and Fund accounting fees................... 122 254
Legal fees........................................... 10 6
Audit fees........................................... 25 16
Trustees' fees and expenses.......................... 13 8
Reports to shareholders.............................. 75 57
Miscellaneous........................................ 6 6
-------- --------
Total expenses before reductions..................... 4,474 3,403
Less reductions...................................... (83) (45)
-------- --------
Total expenses net of reductions..................... 4,391 3,358
-------- --------
NET INVESTMENT INCOME (LOSS).......................... (2,011) 3,585
-------- --------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments sold......... 80,243 84,029
Net realized loss on futures contracts............... -- --
Net realized gain (loss) on foreign currency
transactions........................................ -- 1,073
Net change in unrealized appreciation of assets and
liabilities in foreign currency..................... -- 631
Net change in unrealized appreciation (depreciation)
of investments and futures contracts................ (60,564) (94,697)
-------- --------
NET GAIN (LOSS) ON INVESTMENTS........................ 19,679 (8,964)
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS...................................... $ 17,668 $ (5,379)
======== ========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-28
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select
Core Equity Investment Grade Government Money
Equity Index Income Bond Market
Fund Fund Fund Fund Fund
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 680 $ 223 $ 8,289 $ 2,518 $13,324
3,817 3,695 -- -- --
203 21 17 27 --
(5) (10) -- -- --
-------- ------- ------- ------- -------
4,695 3,929 8,306 2,545 13,324
-------- ------- ------- ------- -------
2,237 889 509 196 513
148 114 39 31 59
10 6 2 1 5
24 15 5 2 11
12 8 3 1 6
67 44 28 9 25
8 4 2 1 4
-------- ------- ------- ------- -------
2,506 1,080 588 241 623
(292) (47) -- -- --
-------- ------- ------- ------- -------
2,214 1,033 588 241 623
-------- ------- ------- ------- -------
2,481 2,896 7,718 2,304 12,701
-------- ------- ------- ------- -------
163,214 6,736 (3,442) (927) (91)
-- (243) -- -- --
-- 1 -- -- --
-- -- -- -- --
(158,641) (10,926) 2,878 916 --
-------- ------- ------- ------- -------
4,573 (4,432) (564) (11) (91)
-------- ------- ------- ------- -------
$ 7,054 $(1,536) $ 7,154 $ 2,293 $12,610
======== ======= ======= ======= =======
</TABLE>
--------------------------------------------
F-29
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Aggressive Select International Core Equity
Growth Fund Equity Fund Fund
---------------------------------------------------------------------------------------------------------------
Six Months Six Months Six Months
Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended
2000 December 2000 December 31, 2000 December 31
(Unaudited) 31, 1999 (Unaudited) 1999 (Unaudited) 1999
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning of
period................... $1,015,699 $ 752,741 $679,341 $505,553 $1,076,297 $ 860,333
---------- ---------- -------- -------- ---------- ----------
Increase (decrease) in net
assets
resulting from operations:
Net investment income
(loss).................. (2,011) (3,712) 3,585 3,842 2,481 6,081
Net realized gain (loss)
on investments sold and
foreign currency
transactions............ 80,243 208,801 85,102 33,685 163,214 104,952
Net change in unrealized
appreciation
(depreciation)
of investments and
assets and liabilities
in foreign currency..... (60,564) 76,344 (94,066) 127,019 (158,641) 135,166
---------- ---------- -------- -------- ---------- ----------
Net increase (decrease)
in net assets resulting
from operations......... 17,668 281,433 (5,379) 164,546 7,054 246,199
---------- ---------- -------- -------- ---------- ----------
Distributions to
shareholders from:
Net investment income.... -- -- (3,337) -- (2,408) (6,015)
Net realized gain on
investments............. (202,798) -- (22,791) -- (106,111) (86,927)
---------- ---------- -------- -------- ---------- ----------
Total distributions..... (202,798) -- (26,128) -- (108,519) (92,942)
---------- ---------- -------- -------- ---------- ----------
Capital share
transactions:
Net proceeds from sales
of shares............... 312,380 182,716 373,949 402,948 20,067 32,074
Issued to shareholders
in reinvestment of
distributions........... 202,798 -- 26,128 -- 108,519 92,942
Cost of shares
repurchased............. (197,861) (201,191) (314,798) (393,706) (19,646) (62,309)
---------- ---------- -------- -------- ---------- ----------
Net increase (decrease)
from capital share
transactions........... 317,317 (18,475) 85,279 9,242 108,940 62,707
---------- ---------- -------- -------- ---------- ----------
Total increase in net
assets................. 132,187 262,958 53,772 173,788 7,475 215,964
---------- ---------- -------- -------- ---------- ----------
NET ASSETS at end of
period................... $1,147,886 $1,015,699 $733,113 $679,341 $1,083,772 $1,076,297
========== ========== ======== ======== ========== ==========
Undistributed
(distribution in excess
of) net investment income
(loss)................... $ (2,011) $ -- $ 3,970 $ 3,722 $ 279 $ 206
========== ========== ======== ======== ========== ==========
OTHER INFORMATION:
Share transactions:
Sold..................... 90,882 65,884 190,386 241,959 6,190 10,842
Issued to shareholders
in reinvestment of
distributions........... 70,983 -- 13,504 -- 36,127 30,570
Repurchased.............. (57,115) (74,092) (158,775) (235,513) (5,944) (20,806)
---------- ---------- -------- -------- ---------- ----------
Net increase (decrease)
in shares
outstanding............ 104,750 (8,208) 45,115 6,446 36,373 20,606
========== ========== ======== ======== ========== ==========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-30
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select
Equity Index Investment Grade Government Money Market
Fund Income Fund Bond Fund Fund
----------------------------------------------------------------------------------------------------------------
Six Months Six Months Six Months Six Months
Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended
2000 December 31, 2000 December 31, 2000 December 31, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999 (Unaudited) 1999 (Unaudited) 1999
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$638,230 $481,877 $240,541 $230,623 $87,247 $81,018 $ 513,606 $ 336,253
-------- -------- -------- -------- ------- ------- ---------- ---------
2,896 5,413 7,718 15,319 2,304 5,357 12,701 21,479
6,494 65,106 (3,442) (638) (927) (500) (91) --
(10,926) 35,155 2,878 (16,613) 916 (4,565) -- --
-------- -------- -------- -------- ------- ------- ---------- ---------
(1,536) 105,674 7,154 (1,932) 2,293 292 12,610 21,479
-------- -------- -------- -------- ------- ------- ---------- ---------
(2,955) (5,166) (7,707) (15,569) (2,293) (5,445) (12,701) (21,479)
(67,546) (811) -- (202) -- -- -- --
-------- -------- -------- -------- ------- ------- ---------- ---------
(70,501) (5,977) (7,707) (15,771) (2,293) (5,445) (12,701) (21,479)
-------- -------- -------- -------- ------- ------- ---------- ---------
58,105 119,018 15,662 33,939 3,746 29,433 1,104,672 1,057,803
70,501 5,977 7,707 15,771 2,293 5,445 12,701 21,479
(9,400) (68,339) (20,621) (22,089) (17,017) (23,496) (1,196,392) (901,929)
-------- -------- -------- -------- ------- ------- ---------- ---------
119,206 56,656 2,748 27,621 (10,978) 11,382 (79,019) 177,353
-------- -------- -------- -------- ------- ------- ---------- ---------
47,169 156,353 2,195 9,918 (10,978) 6,229 (79,110) 177,353
-------- -------- -------- -------- ------- ------- ---------- ---------
$685,399 $638,230 $242,736 $240,541 $76,269 $87,247 $ 434,496 $ 513,606
======== ======== ======== ======== ======= ======= ========== =========
$ 188 $ 247 $ 11 $ -- $ 11 $ -- $ -- $ --
======== ======== ======== ======== ======= ======= ========== =========
14,748 32,647 14,889 30,980 3,697 27,893 1,104,672 1,057,803
19,342 1,592 7,349 14,656 2,273 5,286 12,701 21,479
(2,352) (18,416) (19,597) (20,503) (16,821) (22,773) (1,196,392) (901,929)
-------- -------- -------- -------- ------- ------- ---------- ---------
31,738 15,823 2,641 25,133 (10,851) 10,406 (79,019) 177,353
======== ======== ======== ======== ======= ======= ========== =========
</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 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)(/1/) Investments Operations Income Gains Excess Capital Distributions
------------ --------- ----------- ------------ ---------- ---------- ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select
Aggressive
Growth Fund
2000(d) 3.411 (0.005) 0.062 0.057 -- (0.616) -- -- (0.616)
1999 2.460 (0.012) 0.963 0.951 -- -- -- -- --
1998 2.225 (0.008) 0.243 0.235 -- -- -- -- --
1997 2.037 (0.009) 0.387 0.378 -- (0.182) (0.008)(/2/) -- (0.190)
1996 1.848 (0.009) 0.351 0.342 -- (0.153) -- -- (0.153)
1995 1.397 (0.001) 0.452 0.451 -- -- -- -- --
Select
International
Equity Fund
2000(d) 2.031 0.008 (0.035) (0.027) (0.009) (0.063) -- -- (0.072)
1999 1.542 0.012 0.477 0.489 -- -- -- -- --
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)(/3/) -- (0.079)
1996 1.136 0.011 0.238 0.249 (0.012) (0.003) (0.014)(/3/) -- (0.029)
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) -- -- (0.016)
Core Equity Fund
2000(d) 3.310 0.007 0.013 0.020 (0.007) (0.325) -- -- (0.332)
1999 2.825 0.020 0.779 0.799 (0.020) (0.294) -- -- (0.314)
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)
Equity Index
Fund
2000(d) 4.060 0.017 (0.035) (0.018) (0.018) (0.397) -- -- (0.415)
1999 3.408 0.036 0.656 0.692 (0.035) (0.005) -- -- (0.040)
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)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
------------ ----------
<S> <C>
Select
Aggressive
Growth Fund
2000(d) (0.559)
1999 0.951
1998 0.235
1997 0.188
1996 0.189
1995 0.451
Select
International
Equity Fund
2000(d) (0.099)
1999 0.489
1998 0.201
1997 (0.015)
1996 0.220
1995 0.173
Core Equity Fund
2000(d) (0.312)
1999 0.485
1998 0.409
1997 0.083
1996 0.157
1995 0.362
Equity Index
Fund
2000(d) (0.433)
1999 0.652
1998 0.655
1997 0.588
1996 0.338
1995 0.359
</TABLE>
------------------
* Annualized
** Not Annualized
(a) Including reimbursements, waivers, and reductions.
(b) Excluding reductions. Certain Portfolios have entered varying arrangements
with brokers who reduced a portion of the Portfolio's expenses.
(c) Excluding reimbursements and reductions.
(d) For the six months ended June 30, 2000 (Unaudited).
(1) Net investment income (loss) per share before reimbursements of fees by the
investment adviser or reductions were $(0.005) for the six months ended
June 30, 2000, $(0.013) in 1999, $(0.009) in 1998 and $(0.010) in 1997 for
Select Aggressive Growth Fund; $0.008 for the six months ended June 30,
2000, $0.011 in 1999, $0.014 in 1998, $0.015 in 1997 and $0.011 in 1996 for
Select International Equity Fund; $0.006 for the six months ended June 30,
2000, $0.019 in 1999, $0.027 in 1998, $0.038 in 1997 and $0.046 in 1996 for
Core Equity Fund; and $0.017 for the six months ended June 30, 2000 for
Equity Index Fund.
(2) Distributions in excess of net realized capital gains.
(3) Distributions in excess of net investment income.
See Notes to Financial Statements.
------------------------------------------------------
F-32
<PAGE>
Allmerica Investment Trust
Ratios/Supplemental Data
-----------------------------------------------------
Ratios To Average Net Assets
-------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
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>
2.852 1.65%** 1,147,886 (0.37)%* 0.80%* 0.82%* 0.82%* 0.77%* 0.77%* 49%**
3.411 38.66% 1,015,699 (0.46)% 0.88% 0.91% 0.91% 0.85% 0.85% 101%
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%
1.932 (1.31)%** 733,113 1.04%* 0.97%* 0.98%* 0.98%* 0.88%* 0.88%* 15%**
2.031 31.71% 679,341 0.69% 1.01% 1.02% 1.02% 0.89% 0.89% 18%
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%
2.998 0.60%** 1,083,772 0.47%* 0.42%* 0.47%* 0.47%* 0.42%* 0.42%* 115%**
3.310 29.33% 1,076,297 0.65% 0.45% 0.48% 0.48% 0.43% 0.43% 116%
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%
3.627 (0.46)%** 685,399 0.89%* 0.32%* 0.33%* 0.33%* 0.27%* 0.27%* 3%**
4.060 20.41% 638,230 0.98% 0.35% 0.35% 0.35% 0.28% 0.28% 21%
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%
</TABLE>
--------------------------------------------
F-33
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS . For a Share Outstanding Throughout Each Period
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
--------------------------------------------
Net Realized
Net and
Asset Unrealized
Value Net Gain (Loss) Total from
Beginning Investment on Investment
Year Ended December 31, of Period Income Investments Operations
----------------------- --------- ---------- ------------ ----------
<S> <C> <C> <C> <C>
Select Investment Grade
Income Fund
2000(d) 1.051 0.035 (0.003) 0.032
1999 1.132 0.068 (0.079) (0.011)
1998 1.112 0.067 0.020 0.087
1997 1.084 0.071 0.028 0.099
1996 1.117 0.070 (0.033) 0.037
1995 1.012 0.071 0.106 0.177
Government
Bond Fund
2000(d) 1.011 0.030 -- 0.030
1999 1.068 0.058 (0.056) 0.002
1998 1.047 0.058 0.021 0.079
1997 1.036 0.061 0.011 0.072
1996 1.062 0.062 (0.026) 0.036
1995 0.997 0.062 0.066 0.128
Money Market Fund
2000(d) 1.000 0.030 -- 0.030
1999 1.000 0.051 -- 0.051
1998 1.000 0.054 -- 0.054
1997 1.000 0.053 -- 0.053
1996 1.000 0.052 -- 0.052
1995 1.000 0.057 -- 0.057
<CAPTION>
Less Distributions
---------------------------------------------------------------
Net
Increase
Dividends Distributions (Decrease)
from Net from Net Distributions Return in
Investment Realized in of Total Net Asset
Year Ended December 31, Income Capital Gains Excess Capital Distributions Value
----------------------- ---------- ------------- ---------------- ------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Select Investment Grade
Income Fund
2000(d) (0.035) -- -- -- (0.035) (0.003)
1999 (0.069) (0.001) -- -- (0.070) (0.081)
1998 (0.067) -- -- -- (0.067) 0.020
1997 (0.071) -- -- -- (0.071) 0.028
1996 (0.070) -- -- -- (0.070) (0.033)
1995 (0.071) -- (0.001)(/1/) -- (0.072) 0.105
Government
Bond Fund
2000(d) (0.030) -- -- -- (0.030) --
1999 (0.059) -- -- -- (0.059) (0.057)
1998 (0.058) -- -- -- (0.058) 0.021
1997 (0.061) -- -- -- (0.061) 0.011
1996 (0.062) -- -- -- (0.062) (0.026)
1995 (0.062) -- (0.001)(/1/) -- (0.063) 0.065
Money Market Fund
2000(d) (0.030) -- -- -- (0.030) --
1999 (0.051) -- -- -- (0.051) --
1998 (0.054) -- -- -- (0.054) --
1997 (0.053) -- -- -- (0.053) --
1996 (0.052) -- -- -- (0.052) --
1995 (0.057) -- -- -- (0.057) --
</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 the six months ended June 30, 2000 (Unaudited).
(1) Distributions in excess of net investment income.
See Notes to Financial Statements.
------------------------------------------------------
F-34
<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 Return (000's) Income (a) (b) (c) Gross Net Rate
--------- ------ ---------- ---------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.048 3.03%** 242,736 6.54%* 0.50%* 0.50%* 0.50%* 0.43%* 0.43%* 78%**
1.051 (0.97)% 240,541 6.22% 0.50% 0.50% 0.50% 0.43% 0.43% 75%
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%
1.011 3.02%** 76,269 5.86%* 0.61%* 0.61%* 0.61%* 0.50%* 0.50%* 20%**
1.011 0.23% 87,247 5.64% 0.62% 0.62% 0.62% 0.50% 0.50% 37%
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%
1.000 3.02%** 434,496 5.96%* 0.29%* 0.29%* 0.29%* 0.24%* 0.24%* N/A
1.000 5.19% 513,606 5.09% 0.29% 0.29% 0.29% 0.24% 0.24% 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
</TABLE>
--------------------------------------------
F-35
<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 company established as a Massachusetts business trust. The Trust is
intended to serve as an investment medium for (i) variable life insurance poli-
cies and variable annuity contracts offered by insurance companies, (ii) cer-
tain qualified pension and retirement plans, as permitted by Treasury Regula-
tions; and (iii) life insurance companies and advisers to the Portfolios and
their affiliates. The Trust is comprised of fourteen managed investment portfo-
lios. The accompanying financial statements and financial highlights are those
of the Select Aggressive Growth, Select International Equity, Core Equity (for-
merly Growth), Equity Index, Select Investment Grade Income (formerly Invest-
ment Grade Income), Government Bond and Money Market Funds (individually a
"Portfolio", collectively, the "Portfolios").
2.SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires 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: Equity securities which are traded on a recognized exchange
are valued at the last quoted sales price available at the time of the closing
of the New York Stock Exchange or, if there were no sales that day, at the mean
of the closing bid and asked price. Over-the-counter securities are valued at
the last available price in the market prior to the time of valuation. 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 pric-
ing service approved by the Board of Trustees which utilizes market quotations
and transactions, quotations from dealers and various relationships among secu-
rities in determining value. If not valued by a pricing service, such securi-
ties are valued at prices obtained from independent brokers. Investments with
prices that cannot be readily obtained are carried at fair value as determined
in good faith under consistently applied procedures established by and under
the supervision of the Board of Trustees. The investments of the Money Market
Fund are valued utilizing the amortized cost valuation method, permitted in
accordance with Rule 2a-7 under the 1940 Act. This method involves valuing a
portfolio security initially at its cost and thereafter assuming a constant
amortization to maturity of any discount or premium.
Forward Foreign Currency Contracts: The Select International Equity Fund may
enter into forward foreign currency contracts whereby the Portfolio agrees to
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 foreign 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 translated each business day into
U.S. dollars based upon current exchange rates. Purchases and sales of foreign
------------------------------------------------------
F-36
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
--------------------------------------------------------------------------------
investments and income and expenses are translated 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
as of trade date. Realized gains and losses from security transactions are
determined on the basis of identified cost. Interest income, including amorti-
zation of premium and accretion of discount on securities, is accrued daily.
Income distributions earned by the Portfolios from investments in certain
investment companies are recorded as interest income in the accompanying finan-
cial statements. Dividend income is recorded on the ex-dividend date, except
that certain dividends from foreign 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 continue to qualify as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains, if any, for its fiscal year. In addition, by distributing
during each calendar year substantially all of its net investment income, capi-
tal 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 pro-
vided 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 Core Equity, Equity Index, Select Investment Grade
Income and Government Bond Funds, and annually for the Select Aggressive Growth
and Select International Equity Funds. All Portfolios declare and distribute
all net realized capital gains, if any, at least annually. Distributions to
shareholders are recorded on ex-dividend date. Income and capital gains distri-
butions are determined in accordance with income tax regulations which may dif-
fer from generally accepted accounting principles. These differences are pri-
marily due to differing book and tax treatments in the timing of the recogni-
tion of gains or losses, including "Post-October Losses", foreign currency
gains and losses, and losses deferred due to wash sales; and permanent differ-
ences due to differing treatments for paydown gains/losses on mortgage-backed
securities, foreign currency transactions, market discount, and non-taxable
dividends. Any taxable income or gain remaining at fiscal year end is distrib-
uted in the following year. Permanent book and tax basis differences relating
to shareholder distributions will result in reclassifications to paid in capi-
tal. Undistributed net investment income may include temporary book and tax
basis differences which will reverse in a subsequent period. Permanent book-tax
differences, if any, are not included in ending undistributed net investment
income for the purpose of calculating net investment income per share in the
Financial Highlights.
Futures Contracts: All Portfolios, except the Money Market Fund, may enter into
futures contracts for the delayed delivery of securities at a fixed price at
some future date or the change in value of a specified financial index over a
predetermined time period. Cash or securities are deposited with 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
("IBT") as its lending agent, may loan securities to brokers and dealers in
exchange for negotiated lenders' fees. These fees are disclosed as "securities
lending income" in the Statements of Operations. Each applicable Portfolio
receives collateral against the loaned securities which must be maintained at
not less than 102% of the market value of the loaned securities during the
period of the loan. Collateral received is generally cash, and is invested in
short term investments. Lending portfolio securities involves possible delays
in receiving additional collateral or in the recovery of the securities or pos-
sible loss of rights in the collateral. 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.
--------------------------------------------
F-37
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
--------------------------------------------------------------------------------
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: The Select Investment Grade Income Fund, Government Bond
Fund and Money Market Fund may enter into contracts to purchase securities for
a fixed price at a specified future date beyond customary settlement time
("forward commitments"). If the Portfolios do so, they will maintain cash or
other liquid obligations having a value in an amount at all times sufficient to
meet the purchase price. Forward commitments involve a risk of loss if the
value of the security to be purchased declines prior to the settlement date.
Although the Portfolios generally will enter into forward commitments with the
intention of acquiring securities for their portfolio, they may dispose of a
commitment prior to settlement if their Sub-Adviser deems it appropriate to do
so.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement trans-
actions with institutions that the Portfolio Manager has determined are credit-
worthy pursuant to guidelines established by the Trust's Board of Trustees.
Each repurchase agreement transaction is recorded at cost. Each Portfolio
requires that the securities purchased in a repurchase agreement transaction be
transferred to the Trust's Custodian in a manner that is intended to enable the
Portfolio to obtain those securities in the event of a counterparty default.
The Portfolio Manager 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 MANAGEMENT, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Financial Investment Management Services, Inc. (the "Manager"), a
wholly-owned subsidiary of First Allmerica Financial Life Insurance Company
("First Allmerica"), serves as investment manager and administrator to the
Trust. Under the terms of the management agreement, the Portfolios pay a man-
agement 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 Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $250,000,000 $1,000,000,000
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Select Aggressive Growth 1.00% 0.90% 0.80% 0.70% 0.70% 0.65%
Select International
Equity 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
Core Equity 0.60% 0.60% 0.40% 0.35% 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>
Select Investment Grade Income 0.50% 0.45% 0.40%
</TABLE>
------------------------------------------------------
F-38
<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>
<C> <S>
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Bank of Ireland Asset Management (U.S.)
Select International Equity Limited
Core Equity Miller Anderson & Sherrerd, LLP
Equity Index Allmerica Asset Management, Inc. (wholly-
owned subsidiary of First Allmerica)
Select 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.
IBT provides portfolio accounting and custody services to the Trust and
receives fees and reimbursement of certain out-of-pocket expenses for its serv-
ices from the Trust. The Manager has entered into an Administrative Services
Agreement with IBT, whereby IBT 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 IBT. The Trust pays no salaries or compensation to
any of its officers. Trustees who are not directors, officers or employees of
the Trust or any investment adviser are reimbursed for their travel expenses in
attending meetings of the Trustees, and receive quarterly meeting and retainer
fees for their services. Such amounts are paid by the Trust.
4.REIMBURSEMENT OF EXPENSES
In the event normal operating expenses of each Portfolio excluding taxes,
interest, broker commissions, and extraordinary expenses, but including the
management fee, exceed certain voluntary expense limitations as a percentage of
average net assets (Select Aggressive Growth Fund--1.35%, Select International
Equity Fund--1.50%, Core Equity Fund--1.20%, Equity Index Fund--0.60%, Select
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 opera-
tions 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.
7.FOREIGN SECURITIES
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 foreign issuers and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. issuers.
--------------------------------------------
F-39
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
--------------------------------------------------------------------------------
8.FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options trans-
actions, and forward 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 secu-
rities and interest rates, an illiquid secondary market for the instruments or
inability of counterparties to perform under 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.
9.PLAN OF SUBSTITUTION
Orders have been issued by the Securities and Exchange Commission ("SEC")
approving the substitution of shares of the Select Investment Grade Income Fund
("SIGIF") for all of the shares of the Allmerica Investment Trust Select Income
Fund ("SIF") and all of the shares of The Fulcrum Trust Strategic Income Port-
folio ("Fulcrum Strategic"). Approvals of the substitutions were also obtained
from state insurance regulators in certain jurisdictions. The effect of the
substitutions was to replace SIF shares and Fulcrum Strategic shares with SIGIF
shares. The substitutions were effective on July 1, 2000.
On July 1, 2000, SIGIF shares were substituted for all of the shares of SIF and
all of the shares of Fulcrum Strategic. The substitutions were accomplished by
an exchange of 174,733,698 shares of SIGIF for the 191,246,857 shares then out-
standing (each valued at $0.951) of SIF and for the 134,606 shares then out-
standing (each valued at $9.52) of Fulcrum Strategic. SIF's net assets and Ful-
crum Strategic's net assets, including $4,795,620 and $46,607, respectively, of
unrealized depreciation, were combined with SIGIF for total net assets after
the acquisitions of $425,857,321.
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<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 and
Allmerica Investment Trust which include important information related to
charges and expenses.
CLIENT NOTICES
--------------------------------------------------------------------------------
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.
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F-41
<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]
[LOGO OF ALLMERICA FINANCIAL(R)]
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 (6/00)
