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Allmerica Financial Services
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DECEMBER 31, 1999
[GRAPHIC]
Annual Report
. Allmerica IRA
1999
[LOGO OF ALLMERICA FINANCIAL]
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Table of Contents
General Information ................................................. 2
A Letter from the President ......................................... 3
Performance Disclosure .............................................. 4
Domestic & International Equity Market Overview ..................... 6
Select Aggressive Growth Fund ....................................... 8
Select International Equity Fund .................................... 9
Growth Fund ......................................................... 10
Equity Index Fund ................................................... 11
Bond & Money Market Overview ........................................ 12
Investment Grade Income Fund ........................................ 14
Government Bond Fund ................................................ 15
Money Market Fund ................................................... 16
Financials .......................................................... F-1
See Client Notices on page F-45
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.
1
<PAGE>
General Information
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 Condron1
Cynthia A. Hargadon1
Gordon Holmes1
John P. Kavanaugh
Bruce E. Langton1
Attiat F. Ott1
Richard M. Reilly
Ranne P. Warner1
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Equity Index Fund
Investment Grade Income Fund
Government Bond Fund
Money Market Fund
Bank of Ireland Asset Management (U.S.) Limited
U.S. Offices: 20 Horseneck Lane, Greenwich, CT 06830
Main Offices: 26 Fitzwilliam Place, Dublin 2, Ireland
Select International Equity Fund
Miller Anderson & Sherrerd, LLP
One Tower Bridge, West Conshohocken, PA 19428
Growth Fund
Nicholas-Applegate Capital Management, L.P.
600 West Broadway - Suite 2900, San Diego, CA 92101
Select Aggressive Growth Fund
1 Independent Trustees
2
<PAGE>
A Letter from the President
[PHOTO]
Dear Client:
1999 was yet another strong year in the U.S equity market. The S&P 500 Index and
the Dow Jones Industrial Average both enjoyed their fifth consecutive year of
double-digit gains--an unprecedented event. While these returns were impressive,
the real story of the year was the NASDAQ Index with its 85.6% return. Led by
high-flying internet and other technology stocks, the NASDAQ increased as no
other U.S. stock index has before as investors preferred to buy its high-growth,
high-priced stocks, regardless of the earnings of the underlying companies.
Internationally, emerging markets rebounded sharply after a disappointing 1998.
The MSCI EAFE Index, which measures the performance of developed markets
overseas, beat the returns of the S&P 500 for the first time since 1993. Based
on the index the U.S. bond market had its worst annual performance since 1994 as
the Federal Reserve increased interest rates in order to counteract potentially
inflationary growth.
We at Allmerica take a long-term, institutional approach to investing. This
means that we hire money managers with strong organizations, solid long-term
historical investment performance and a disciplined investment process. These
managers use fundamental analysis to uncover the companies with good earnings
prospects over the long term, not just the next quarter. In high-momentum or
speculative markets, we do not expect to have one of the "hot" funds. It was
interesting to note that in 1999, the stock prices of those companies in the
Russell 2000 and Russell Midcap Indices that lost money significantly
outperformed those that produced positive earnings. While most of our investment
managers performed well or in line with their benchmarks over the year, some of
our managers with a value tilt to their investment style had a harder time due
to the market's preference for high-growth stocks. In contrast, our
growth-oriented stock funds did quite well. International stock funds were also
affected by the same high-growth theme as U.S. stock funds. Those funds with a
growth tilt faired better than those more concerned with value.
Our Manager of Managers approach to investing involves constant monitoring of
our managers, focusing on their performance over the longer term. This means
that occasionally we will replace a manager if necessary. On April 1, 1999, we
replaced the sub-advisor for the Select Growth & Income Fund by hiring J.P.
Morgan. While this was not an easy decision, the Investment Operations Committee
felt that this was appropriate in order to continue to bring you the best array
of investment managers. As always, we continue to carefully monitor the fund
managers through our rigorous evaluation process and will make changes as we see
fit.
We encourage you to work closely with your financial advisor to build a
diversified portfolio that helps you achieve your long-term goals while helping
protect you from the unpredictable nature of an ever-changing investment arena.
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
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Performance Disclosure
Allmerica IRA
Average Annual Total Returns as of 12/31/99
Total returns for the fund options shown in this report do not reflect fees
charged on the separate account level. Refer to the disclosure of the specific
product for such fee information.
For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 8.
Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more than
their original cost.
4
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Overview
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Domestic & International Equity Market Overview
1995: Favorable economic conditions result in large gains for the U.S. equity
markets. Europe turns in strongest performance of international equity markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
1997: Robust economic growth, declining interest rates and low unemployment
produce a third consecutive year of unprecedented gains for the U.S. stock
market.
1998: Worldwide economic problems cause considerable volatility for stocks. Yet,
the market posts its fourth consecutive year of double-digit gains.
1999: 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 help slow the economy and prevent inflation.
For equity investors, 1999 was a year of global economic recovery, NASDAQ and
Dow records, concentrated stock performance, and the largest disparity between
growth and value investing ever.
The past year capped the best decade ever for U.S. stock investors. The U.S.
equity market, as measured by the Standard & Poor's 500 Index, delivered
double-digit returns, despite moderately higher inflation, three Federal Reserve
interest rate hikes, and Y2K concerns.
The U.S. stock market ended the year posting all-time highs as the Dow Jones
Industrial Average climbed to a record 11,497.12, finishing the year up 25% and
the S&P 500 climbed to a record 1,469.25 for the year, ending 21% higher. The
NASDAQ Composite Index had the largest one-year gain ever for a U.S. stock
index, closing at 4,069.31 and ending nearly 86% higher. While the
capitalization-weighted NASDAQ Index was a stellar performer, 48% of its
constituents lost money, further illustrating how performance was driven by a
small number of well-performing stocks.
1999 proved to be a challenge for value investors everywhere and featured the
greatest disparity in performance between value and growth investing styles
ever. The Russell 2500 Growth Index, for example, outperformed the Russell 2500
Value Index by an astounding 54%. One study actually showed that stocks with no
earnings were up an average of 52% for the year while those with earnings were
down an average of 2%.
Large-capitalization growth stocks led the markets during the first three months
of the year. Preferences reversed temporarily in April towards value stocks when
fears of inflation emerged as the economy showed considerable strength.
Correspondingly, cyclicals registered strong relative earnings growth as stocks
weakened. Third-quarter markets later narrowed, with large-cap growth stocks
once again taking the lead.
During the final quarter of 1999, investors focused on a narrow group of
outperforming stocks in the telecommunications, technology, and Internet
sectors. By far, the biggest story of the year was the fourth-quarter rush
towards these
[TIMELINE]
1999 JAN
Brazil devalues its currency; fears that a Brazilian "contagion" would emerge
failed to materialize.Greater price and currency stability enable interest rates
to fall in Latin America and Asia.
FEB
MAR
[GRAPHIC]
Japan begins its slow economic recovery,thanks largely to falling interest
rates,fiscal stimulus policies,and foreign investments.
APR
Growth sectors of the market weaken, over fears that the recovery of worldwide
economies would lead to higher interest rates. Small-and mid-cap stocks
experience a revival as investors renew their interest in attractively valued
securities within the broader market.
MAY
[GRAPHIC]
In an effort to prevent inflation, the U.S.Federal Reserve raises interest rates
0.25%. European markets rally once the Fed decides to loosen its tightening bias
in favor of a neutral interest rate position.
JUN
6
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Domestic & International Equity Market Overview
so-called "New Economy" issues. In addition, hundreds of companies in these
sectors went public with little or no revenues, scant earnings, and tenuous cash
flow prospects.
Historically, the technology sector is cyclical and has a high failure rate. As
many market experts warn, today's darlings, with their unrealistic valuations,
could well be tomorrow's disasters. It will be interesting to see if the Old
Economy stocks, which drifted over the past year, can successfully adapt their
business models to compete in this e-commerce, Internet-driven market.
Throughout the year, most non-U.S. world equity markets continued to grow and
improve, registering exceptional gains during the final quarter of 1999. The
year began with the January devaluation of the Brazilian real, which was
initially expected to have negative ripple effects in Latin America and emerging
markets in general. These concerns turned out to be unfounded as IMF fundings,
interest rate reductions, and better fiscal discipline attracted investors back
to Brazil and the rest of Latin America.
In Asia, Japan steadily emerged from a nine-year bear market, spurred primarily
by foreign investments, which caused its stock market and the yen to rise
sharply. At the end of the year, the Japanese market index return was up by more
than 55% from 1998, despite underperformance against other Asian regions during
the fourth quarter.
Elsewhere in Asia, economies recorded strong growth and performance during 1999,
with exports and falling interest rates providing the major stimuli. In Hong
Kong for example, the equity market increased by nearly 60% for the year.
After weak performance in the early part of the year, European and UK equities
had modest gains during the fourth quarter. Increased consumer confidence, as
well as lower unemployment and inflation, were responsible for most of this
improvement. The euro's inaugural year, unfortunately, was disappointing. The
currency fell almost 18%.
Looking ahead, the picture appears to be bright for 2000. For the first time
since 1996, there are no major regions of the world in recession. Consumer
confidence is high and inflation is close to a 30-year low.
The U.S. is approaching the longest expansion in its history. Europe appears to
be stable, weakness in the euro notwithstanding. Asian-Pacific and Latin
American economies are expected to continue growing. The only concern is in
Japan, where a continued rising yen could pose a potential problem and threaten
the sustainability of economic recovery.
As worldwide economic improvement continues, it is expected that interest rates
will keep rising moderately. Inflation remains the key issue affecting the
domestic economy and financial markets. Although the inflation outlook in the
U.S. at this time appears relatively benign, the Fed's major concerns remain
excessive growth in the U.S. economy and the 30-year low unemployment level,
both of which it sees as potentially inflationary.
With continued economic improvement around the world, investors will likely
begin to broaden their horizons, looking beyond overpriced global growth stocks
in the technology and Internet sectors and exploring high-quality companies that
trade at more attractive valuations.
[TIMELINE]
JUL
Investors turn away from small- and mid-cap stocks. Large-cap growth issues once
again take center stage,where they will remain for the rest of the year.
[GRAPHIC]
AUG
Inflation fears resurface as the U.S.economy continues to grow and the nation's
unemployment figure approaches an almost 30-year low.The Fed responds by raising
interest rates another 0.25%.
SEP
The gap in performance between growth and value investing continues to widen.By
year-end,the Russell 2500 Growth Index has outperformed the Russell 2500 Value
Index by an unheard-of 54%.
[GRAPHIC]
OCT
Stocks in the high-performing technology sector begin their unprecedented
fourth-quarter dominance of the world's equity markets.
NOV
With the booming U.S. economy showing no signs of a slowdown,the Fed announces
its third and final interest rate hike of 0.25%.
The Dow Jones Industrial Average,S&P 500,and NASDAQ Composite Index finish an
already-impressive year by posting record gains.
DEC
7
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Select Aggressive Growth Fund
The Select Aggressive Growth Fund returned 38.66% for the period ended December
31, 1999, outperforming the Russell 2500 Index's return of 24.15%.
1999 capped the best decade ever for U.S. stock investors. The market posted
all-time highs as the Dow Jones Industrial Average climbed to a record
11,497.12, finishing up 25%. The NASDAQ Composite Index had the largest one-year
gain ever for a U.S. stock index, closing at 4,069.31, ending nearly 86% higher.
In the fourth quarter, Fund holdings within the technology, financial services,
consumer services and commercial/industrial services sectors were primary
contributors to performance. Technology holdings in the software,
telecommunications equipment and computers/office automation industries helped
performance. Stock selection in retail trade and utilities also proved
beneficial to the Fund. The Fund had a small weighting in consumer durables,
consumer non-durables and insurance services, all of which had a slight negative
impact on performance. In general, the Fund's bottom-up approach to stock
selection was very responsive to changes in the market and led the Fund toward
stocks that demonstrated positive fundamental change.
The outlook for investing remains promising. As fundamentals for small- and
mid-caps remain attractive, the Fund manager continues to be optimistic in its
outlook and is encouraged by the fundamental strength of the portfolio. The
manager believes the application of its proven, bottom-up philosophy, in any
macroeconomic environment, will continue to uncover promising stocks that have
the potential to deliver solid returns for long-term investors.
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Investment Sub-Adviser
Nicholas-Applegate Capital Management, L.P.
About the Fund
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock price.
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Portfolio Composition
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As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Electronics 17%
Computer Software & Processing 14%
Communications 7%
Computers & Information 7%
Pharmaceuticals 5%
Apparel Retailers 5%
Media 5%
Telephone Systems 4%
Advertising 4%
Commercial Services 3%
Other 29%
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Average Annual Total Returns
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Years ended December 31,1999 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 38.66% 23.32% 20.71%
Russell 2500 Index 24.15% 19.43% 17.37%
Lipper Capital Appreciation Funds Average 41.56% 22.88% 17.73%
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Growth of a $10,000 Investment Since 1992
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[GRAPH]
Date The Select Aggressive Growth Fund Russell 2500 Index
21-Aug-92 10,000 10,000
31-Dec-92 12,002 11,554
31-Dec-93 14,344 13,466
31-Dec-94 14,014 13,325
31-Dec-95 18,539 17,550
31-Dec-96 21,979 20,891
31-Dec-97 26,089 25,979
31-Dec-98 28,844 26,078
31-Dec-99 39,995 32,379
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 280 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
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Select International Equity Fund
For the period ended December 31, 1999, the Select International Equity Fund
returned 31.71%, outperforming its benchmark, the Morgan Stanley EAFE Index,
which returned 27.31%
World equity markets registered exceptional gains during the final quarter of
1999. The early part of the year saw weak performance from European equities, a
large component of this portfolio. However, as unemployment fell to 8.9% and
inflation began to bottom out, equities had a strong fourth quarter. Nonetheless
in the UK, stock prices were down despite the positive economic effects of
reduced interest rates, accelerated growth, and the global recovery.
It remains difficult to assess Japan, as its economic data continues to be
mixed. In the rest of Asia, growth seems to have returned, with exports proving
the major stimulus.
Japanese stocks within the Technological Innovations theme drove the portfolio
ahead during 1999, especially during the fourth quarter, where more than half
the performance for the year materialized. Telecom stock holdings in a variety
of countries also helped performance. The Fund's holdings within the Financial
and Health-care themes hurt performance.
The economic growth forecast for 2000 is likely to prompt central banks
worldwide to raise interest rates. In Europe, growth looks set to move towards
3% this year, following several sluggish years. Inflation is rising in most
economies, with the exception of Japan.
In Asia, the outlook is still favorable, but companies will need to deliver
strong earnings to maintain market momentum given the region's current higher
valuations. In Australia and New Zealand, improving commodity export prices and
volumes should improve the trade picture.
The Fund manager intends to continue with the investment themes it has been
pursuing; no significant changes to the portfolio are anticipated.
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Average Annual Total Returns
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Years ended December 31,1999 1 Year 5 Years Life of Fund
Select International Equity Fund 31.71% 18.54% 15.47%
Morgan Stanley EAFE Index 27.31% 13.15% 11.54%
Lipper International Funds Average 40.80% 15.05% 12.91%
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Growth of a $10,000 Investment Since 1994
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[GRAPH]
Inception Date Select International Equity Fund Morgan Stanley EAFE Index
5/2/94 10,000 10,000
12/31/94 9,668 10,008
12/31/95 11,566 11,165
12/31/96 14,104 11,875
12/31/97 14,760 12,119
12/31/98 17,193 14,585
12/31/99 22,643 18,565
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 618 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.
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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.
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Portfolio Composition
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As of December 31, 1999, the country allocation of net assets was:
[GRAPH]
Japan 24%
United Kingdom 23%
Netherlands 10%
France 9%
Switzerland 9%
Germany 8%
Australia 4%
Other 13%
9
<PAGE>
Growth Fund
The Growth Fund outperformed the S&P 500 Index for the period ended December 31,
1999, returning 29.33% outperforming the benchmark S&P 500 Index's 21.03%.
The domestic, large-cap equity market began and ended 1999 with a preference for
growth sector stocks. Technology returns led the market throughout the year.
Electric utilities, health care, transportation, consumer durables, beverage and
personal products fared poorly.
Stock selection accounted for more than 75% of the Fund's outperformance of the
S&P 500 Index. Key performance drivers were strong Internet backbone components,
bandwidth enhancement, and e-business software services. Fund performance was
also aided by strong stock selection in energy and consumer
services/communications businesses. Performance was hurt by stock selection in
financial services, heavy industry, and health care.
In addition to shaping an exceptionally productive portfolio, strategic
adjustments made during the year to more effectively reduce risk resulted in the
Fund's improved financial strength. The portfolio remains diversified across all
economic market sectors and no individual position exceeds 5% of the total
assets in the portfolio.
In general, the Fund's manager has added value to the portfolio through careful
stock selection instead of through large sector bets.
The inflation outlook at year-end appears relatively benign; however, fears do
persist. Despite inflation fears, and recent market volatility, the manager
continues to believe that thorough, fundamental analysis should continue to
reveal the paths most likely to generate better-than-market performance.
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Investment Sub-Adviser
Miller Anderson & Sherrerd, LLP
About the Fund
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
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Portfolio Composition
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As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 13%
Telephone Systems 10%
Communications 7%
Oil & Gas 7%
Pharmaceuticals 6%
Computers & Information 6%
Media 5%
Banking 5%
Industrial-Diversified 4%
Retailers 4%
Other 33%
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Average Annual Total Returns
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Years ended December 31, 1999 1 Year 5 Years 10 Years
Growth Fund 29.33% 25.23% 17.31%
S&P 500(R) Index 21.03% 28.55% 18.21%
Lipper Growth and Income Funds Average 13.76% 21.34% 14.43%
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Growth of a $10,000 Investment Since 1989
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[GRAPH]
Growth Fund S&P 500(R) Index
12/31/89 10,000 10,000
12/31/90 9,970 9,691
12/31/91 14,001 12,642
12/31/92 14,996 13,605
12/31/93 15,995 14,977
12/31/94 16,019 15,174
12/31/95 21,275 20,878
12/31/96 25,571 25,674
12/31/97 31,999 34,239
12/31/98 38,180 44,023
12/31/99 49,378 53,283
The Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth and Income Funds Average is a non-weighted average of 913 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 20.41% for the period ended December 31, 1999.
Its benchmark, the S&P 500 Index, returned 21.03%
During 1999, the S&P 500 enjoyed another stellar year, posting greater than 20%
returns for the fourth year in a row. The market was able to sustain these
returns despite a tightening monetary policy.
The economy continued its robust growth with subdued inflationary pressure, and
the stock market continued to rise without showing concern for Y2K. Internet
companies, particularly e-commerce corporations, led the market. These companies
were catapulted by prospects for more shoppers migrating to virtual stores from
traditional "brick and mortar" stores. The oil sector had a modest rebound as
prices rose, but the trend is for contained pricing on both the consumer and
producer basis. Construction spending and the housing boom continued throughout
the year, and consumer confidence consistently achieved new highs. The
technology sector had double- to triple-digit returns.
During 1999, America Online and Yahoo, both leading Internet companies, were
added to the S&P 500 Index. Sectors that did not perform well were financial
companies such as banks, brokerage, and insurance firms, which historically
underperform in a rising rate environment, as well as pharmaceutical and medical
device companies. Tobacco firms also suffered during the year.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31, 1999 1 Year 5 Years Life of Fund
Equity Index Fund 20.41% 27.77% 20.66%
S&P 500(R) Index 21.03% 28.55% 21.35%
Lipper S&P 500(R) Index Funds Average 20.22% 27.95% 20.89%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1990
- --------------------------------------------------------------------------------
[GRAPH]
Equity Index Fund S&P 500(R) Index
9/28/90 10,000 10,000
12/31/90 10,890 10,896
12/31/91 14,065 14,214
12/31/92 15,083 15,296
12/31/93 16,522 16,839
12/31/94 16,697 17,061
12/31/95 22,735 23,474
12/31/96 27,805 28,866
12/31/97 36,816 38,496
12/31/98 47,245 49,497
12/31/99 56,886 59,908
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 107 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 December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 11%
Computers & Information 9%
Pharmaceuticals 8%
Telephone Systems 7%
Banking 7%
Oil & Gas 6%
Communications 5%
Industrial-Diversified 5%
Electronics 4%
Beverages, Food & Tobacco 4%
Other 34%
11
<PAGE>
Bond & Money Market Overview
1995: U.S. bond market enjoys its third best performance in 30 years, thanks to
strong total returns from 30-year U.S. Treasuries and corporate issues.
1996: Outlook for Federal Reserve policy affects U.S. bond market.
Long-predicted interest rate cuts, which would have fueled this market, never
occur.
1997: Low inflation and declining interest rates fuel the bond market, which
enjoys its best returns since 1995.
1998: During 1998, bond investments produced widely divergent results as a
series of dramatic swings either left them highly in favor or badly battered.
1999: Inflation concerns and a booming U.S. Economy prompt the Federal Reserve
to hike interest rates. Fixed Income markets close the second half with their
worst-performing year ever with the Lehman Aggregate Bond Index returning
- -0.83%.
On the whole, 1999 was disappointing for fixed-income investors. In fact, it was
the second worse performance year ever for the fixed-income markets, as measured
by the total -0.83%. return of the Lehman Aggregate Bond Index.
A handful of universal themes dominated the markets during the year, namely
successive Federal Reserve interest rate hikes, a steepening yield curve,
volatile corporate bond performance, and rising mortgage rates.
1999 began with investors feeling fairly optimistic about the coming year. The
Federal Reserve had acted in the fall of 1998 to avert a global liquidity
meltdown with three easings that lowered short-term rates to 4.75%. The U.S.
economy seemed to be healthy, with expectations for 1999 GDP in the 3.0% range
and subdued inflation running at about a 2% annual rate.
On the international front, Asia and Latin America continued their recovery from
the problems of 1998. Early in the year, Brazil announced a somewhat unexpected
devaluation of its currency, the real. Global markets braced for a round of
panic selling and other negative ripple effects which never materialized.
Against this backdrop, the first quarter of 1999 progressed with no major
disturbances. Inflation stayed at bay and corporate spread tightening reflected
the positive fundamentals of strong earnings growth.
Beginning in the second quarter, however, the picture began to change. The U.S.
economy grew faster than initially projected and the unemployment rate fell
below 4.2%. Investors began to fear that inflation was imminent. In June, the
Federal Reserve responded by raising the Fed Funds interest rate from 4.75% to
5.00%.
July and August saw spread sectors widen dramatically. Corporate treasurers
pushed corporate and asset-backed bonds into the market hoping
[TIMELINE]
1999 JAN
The new European currency is introduced. Over the course of the year,the euro
loses almost 18% of its value against the U.S. dollar.
[GRAPHIC]
FEB
A rally of agency, corporate, and mortgage-backed bonds encourages investors to
take advantage of bond yield premiums.
MAR
APR
Japan shows signs of economic recovery along with other foreign countries such
as Brazil and Mexico, marking the first time in two years in which some foreign
markets outperform the U.S. bond market.
[GRAPHIC]
MAY
As a group, foreign markets underperform the U.S. bond market, the major culprit
being Europe,
where a backup in interest rates is significant.
JUN
12
<PAGE>
Bond & Money Market Overview
to avert a fourth-quarter liquidity trap, which they believed likely as Y2K
fears would drive buyers from the market. Ironically, these efforts became a
self-fulfilling prophesy as treasurers ended up creating their own
mini-liquidity crisis by all trying to issue bonds simultaneously. By August,
there was a second Fed rate hike from 5.00% to 5.25%.
Despite these first two rate increases, the U.S. economy continued to gather
speed in the third and fourth quarters. The nation's third-quarter GDP, for
instance, came in at 5.7%, well above experts' original predictions. Market
participants once again began to worry about a resurgence of inflation. In
response, the Fed raised short-term interest rates for a third and final time in
November to 5.50%.
Investment grade corporate bonds had a good showing at the end of 1999, but
their overall performance was volatile. All excess returns were attributable to
the first and fourth quarters only.
The high yield market finished 1999 on a positive note after poor performance in
the second and third quarters. The market's return for the year was a modest
2.39%, as measured by the Lehman High Yield Corporate Index. The demand side of
the market shifted significantly in 1999, as mutual fund inflows dropped
dramatically to $1.1 billion, down from $15 billion in 1998. Collateralized bond
obligations, structured transactions involving the purchase of high yield debt,
did offset these lower inflows. The market's estimated 4% default rate was the
highest since 1991.
The past year also saw a steepening yield curve as the 30-year Treasury bond,
which began the year at 5.10% on January 1, and ended at 6.49% on December 31.
The mortgage-backed securities market showed strong excess returns for the year,
owing primarily to positive supply/demand factors, an improved prepay
environment, narrowing swap spreads, and lower interest rate volatility. In
particular, Fannie Mae and Freddie Mac assets grew nearly 30% over 1999.
Looking ahead, it is likely that economic growth and strengthening will continue
into 2000, albeit at a slower rate than that of 1999. All signs point to
probable Fed interest rate increases in the new year, with little inflation on
the horizon.
[TIMELINE]
In response to rapid economic growth, the U.S.Federal Reserve combines neutral
bias with a 0.25% raise in interest rates to guard against inflation.
[GRAPHIC]
JUL
[GRAPHIC]
AUG
Inflation worries resurface as the U.S.economy continues to grow and the
nation's unemployment figure approaches an almost 30-year low. The Fed responds
by raising interest rates another 0.25%.
SEPT
OCT
Investment grade corporate bonds and the high yield market begin their strong
fourth-quarter performance.
[GRAPHIC]
NOV
With the booming U.S. economy showing no signs of a slowdown, the Fed announces
its third rate hike of 0.25%.The fixed-income markets end the year down with the
Lehman Aggregate Bond Index posting a dismal total return of -0.83%.
DEC
13
<PAGE>
Investment Grade Income Fund
The Investment Grade Income Fund returned -0.97% for the period ended December
31, 1999, underperforming its benchmark, the Lehman Brothers Aggregate Bond
Index, which returned -0.83%.
During the first quarter of 1999, inflation remained in check. The second
quarter featured stronger than expected growth and an unemployment rate below
4.2%. The Federal Reserve responded in June by increasing interest rates.
In July and August, corporate treasurers created a mini-liquidity crisis by
simultaneously issuing bonds. August brought another Fed rate hike, with a final
one occurring in November.
The yield curve steepened as the 30-year Treasury bond rose from 5.10% on
January 1, to 6.49% at the close of the year. This resulted in the second worst
performance year ever for the fixed income markets, as measured by the total
return of the Lehman Aggregate Bond Index.
Although corporate bonds finished the year strongly, performance throughout 1999
was volatile, with the first and last quarters accounting for all excess return.
Yield spreads widened during the second quarter and peaked in August as merger
and acquisition activity and Y2K fears brought corporate issuers to the market
in droves.
Individual credit concerns played a key role in the Fund's performance. The
impact of spread widening on some issues was mitigated by the short duration of
those positions and had little effect on overall performance. Various other
positions helped performance as their credit outlooks improved.
Positive supply/demand factors, an improved prepay environment, narrowing swap
spreads, and lower interest rate volatility helped the mortgage-backed
securities market post strong excess returns for the year.
- --------------------------------------------------------------------------------
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 December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Corporate Notes & Bonds 37%
U.S. Govt Agency Mortgage-Backed Securities 30%
U.S. Govt & Agency Obligations 16%
Asset-Backed & Mortgage-Backed Securities 15%
Other 2%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31, 1999 1 Year 5 Years 10 Years
Investment Grade Income Fund (0.97%) 7.38% 7.69%
Lehman Brothers Aggregate Bond Index (0.83%) 7.73% 7.69%
Lipper Intermediate Investment
Grade Funds Average (1.31%) 6.79% 7.09%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1989
- --------------------------------------------------------------------------------
[GRAPH]
Investment Grade Income Fund Lehman Brothers Aggregate Bond Index
12/31/89 10,000 10,000
12/31/90 10,802 10,894
12/31/91 12,611 12,634
12/31/92 13,661 13,571
12/31/93 15,137 14,895
12/31/94 14,690 14,461
12/31/95 17,312 17,132
12/31/96 17,927 17,751
12/31/97 19,620 19,469
12/31/98 21,185 21,159
12/31/99 20,981 20,982
The Investment Grade Income Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed rate
debt issues with an investment grade rating at least one year to maturity and an
outstanding par value of at least $25 million. The Lipper Intermediate
Investment Grade Funds Average tracks the performance of 279 funds investing in
intermediate-term corporate and government debt securities. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
14
<PAGE>
Government Bond Fund
For the period ended December 31, 1999, the Government Bond Fund returned 0.23%,
compared to 0.50% for the Lehman Intermediate Government Bond Index.
Fixed income investors experienced meager returns in 1999 due to a dramatic rise
in interest rates. By June, the Federal Reserve began to raise interest rates to
slow the rate of GDP growth and keep inflation in check. A second rate hike
followed in August with a third in November. Subsequent Fed action, while
perhaps desirable, was avoided largely due to fears of instability around Y2K
issues.
Fourth quarter bond issuance was particularly light since so much had been done
during the third quarter. The increase in rates began to slow housing and
refinancing activity so that even the mortgage-backed security (MBS) sector saw
reduced supply.
The Fund manager expects the Federal Reserve to raise interest rates early in
2000. If economic growth slows during the first half of 2000 and if inflation
remains at bay, the Fed may hold off on further interest rate hikes in the
latter half of the year.
Due to budget surpluses and the corresponding prospect of reduced Treasury
issuance in 2000, the Fund manager may increase the portfolio's allocation to
agencies. Additionally, the manager may add to MBS holdings if that sector
cheapens from currently tight levels. A rising or stable interest rate
environment will be favorable for MBS price performance. The Fund manager does
not expect to add to the portfolio's asset-backed securities exposure at this
time.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Government Bond Fund 0.23% 6.22% 6.16%
Lehman Intermediate Government Bond Index 0.50% 6.93% 6.55%
Lipper Short-Intermediate
U.S.Government Funds Average 0.64% 6.00% 5.80%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1991
- --------------------------------------------------------------------------------
[GRAPH]
Government Bond Fund Lehman Intermediate Government Bond Index
8/26/91 10,000 10,000
12/31/91 10,732 10,660
12/31/92 11,439 11,399
12/31/93 12,299 12,332
12/31/94 12,191 12,117
12/31/95 13,784 13,866
12/31/96 14,268 14,428
12/31/97 15,278 15,543
12/31/98 16,451 16,860
12/31/99 16,491 16,946
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
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
U.S. Govt & Agency Obligations 77%
U.S. Govt & Agency Mortgage-Backed Securities 15%
Asset-Backed Securities 8%
15
<PAGE>
Money Market Fund
For the period ended December 31, 1999, the Money Market Fund returned 5.19%,
out performing its benchmark, the IBC/ Donoghue First Tier Money Market Index,
which returned 4.57%.
During the first quarter of 1999, inflation remained in check. The second
quarter featured stronger than expected growth and an unemployment rate below
4.2%. The Federal Reserve responded in June by increasing interest rates.
In July and August, spread sectors widened dramatically as corporate treasurers
pushed corporate and asset-backed issues into the market in an attempt to avoid
potential Y2K-induced fourth quarter liquidity problems. August brought another
Fed rate hike, with a third and final rate hike occurring in November prompted
by inflation fears amidst a booming economy and GDP at a robust 5.7%. During the
fourth quarter, the Fed provided ample liquidity to the banking system in order
to prepare for potential Y2K cash demands.
The yield curve steepened as the 30 year Treasury bond rose from 5.10% on
January 1, to 6.49% at the close of the year. This increase resulted in the
second worst performance year ever for the fixed income markets, as measured by
the total return of the Lehman Aggregate Bond Index.
During 1999, the Fund maintained a top quartile ranking as measured by the IBC
fund peer group. One of the primary strategies that enhanced performance was the
gradual increase in floating rate note positions. These positions were
advantageous as they quickly reset to higher interest rates as the market
anticipated and reacted to changes in monetary policy.
The Fund manager believes that Fed policy and market interest rates will remain
biased to the upside until economic growth shows signs of moderation. Based on
this outlook, the portfolio will maintain a core holding of longer dated
corporate notes and commercial paper. These positions are coupled with
government agency securities and repurchase agreements to maximize liquidity.
- --------------------------------------------------------------------------------
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 December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Corporate Notes 48%
Commercial Paper 37%
Certificates of Deposit 12%
Other 3%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31, 1999 1 Year 5 Years 10 Years
Money Market Fund 5.19% 5.47% 5.23%
IBC/Donoghue First Tier
Money Market Index 4.57% 4.97% 4.79%
Lipper Money Market Funds Average 4.49% 4.95% 4.80%
- --------------------------------------------------------------------------------
Average Yield as of December 31, 1999
- --------------------------------------------------------------------------------
Money Market Fund 7-Day Yield 5.57%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1989
- --------------------------------------------------------------------------------
[GRAPH]
Money Market Fund IBC/Donoghue
12/89 10,000 10,000
12/90 10,805 10,781
12/91 11,466 11,393
12/92 11,893 11,772
12/93 12,250 12,081
12/94 12,732 12,528
12/95 13,475 13,209
12/96 14,196 13,854
12/97 14,970 14,548
12/98 15,788 15,269
12/99 16,607 15,967
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time. The Fund is neither insured nor
guaranteed the Federal Deposit Insurance Corporation or any other Government
Agency. Although the Fund seeks to maintain a net asset value of $1.00 per
share, it is possible to lose money by investing in the Fund. Past performance
is no guarantee of future results. Investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may be
worth more or less than their original cost. IBC/Donoghue is an independent firm
that tracks 2a-7 regulated money market funds on a yield, shareholder, asset
size and portfolio allocation basis. The Lipper Money Market Funds Average is
the average investment performance of 337 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 . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
COMMON STOCKS - 98.4%
Electronics - 17.3%
675,200 Adaptec, Inc.* $33,675,600
41,700 ANADIGICS, Inc.* 1,967,719
217,500 Audiovox Corp.* 6,606,563
150,700 Credence Systems Corp.* 13,035,550
170,700 CTS Corp. 12,866,513
188,700 Electroglas, Inc.* 4,788,263
299,900 Helix Technology Corp. 13,439,269
331,600 Integrated Device Technology, Inc.* 9,616,400
222,100 KEMET Corp.* 10,008,381
517,800 Power Integrations, Inc. 24,822,038
366,600 RF Micro Devices, Inc. 25,089,188
23,500 Sanmina Corp.* 2,347,063
15,000 Semtech Corp.* 781,875
265,533 Three-Five Systems, Inc. 10,886,853
264,100 Trimble Navigation, Ltd.* 5,711,163
-----------
175,642,438
-----------
Computer Software & Processing - 14.1%
93,000 Broadvision, Inc. 15,815,800
324,200 Compuware Corp.* 12,076,450
93,900 CyberSource Corp.* 4,871,063
149,000 DST Systems, Inc.* 11,370,563
71,800 Electronics for Imaging, Inc.* 4,173,375
146,800 Netopia, Inc.* 7,973,075
36,700 Network Solutions, Inc.* 7,984,544
277,500 Rational Software Corp.* 13,632,188
766,600 S3, Inc.* 8,815,900
879,700 Sybase, Inc.* 14,954,900
243,700 Symantec Corp.* 14,286,913
163,700 USWeb Corp.* 7,274,419
103,400 VeriSign, Inc. 19,742,938
-----------
142,972,128
-----------
Communications - 7.2%
217,300 CTC Communications Group, Inc.* 8,478,090
269,100 Davox Corp.* 5,281,088
233,000 Exodus Communications, Inc. 20,693,313
255,400 Harmonic, Inc. 24,247,038
214,600 Sawtek, Inc. 14,284,313
-----------
72,983,842
-----------
Computers & Information - 6.8%
376,600 Advanced Digital Information Corp. 18,312,175
362,600 Mercury Computer Systems, Inc. 12,691,000
447,356 Siebel Systems, Inc. 37,577,904
-----------
68,581,079
-----------
Pharmaceuticals - 5.4%
212,700 Alpharma, Inc. Class A 6,540,525
118,000 Andrx Corp.* 4,992,875
115,000 Biogen, Inc. 9,717,500
119,300 Medimmune, Inc.* 19,788,888
215,200 Millipore Corp. 8,312,100
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------
Pharmaceuticals (Continued)
192,000 Priority Healthcare Corp. Class B* $5,556,000
----------
54,907,888
----------
Apparel Retailers - 4.6%
215,800 Abercrombie & Fitch Co., Class A 5,759,163
167,200 AnnTaylor Stores Corp.* 5,757,950
269,115 Intimate Brands, Inc. 11,605,584
334,800 Pacific Sunwear Of California, Inc.* 10,671,750
177,000 Timberland Co.* 9,358,875
173,300 Tommy Hilfiger Corp. 4,040,056
----------
47,193,378
----------
Media - Broadcasting & Publishing - 4.5%
138,000 Central Newspapers, Inc. 5,433,750
116,600 Hispanic Broadcasting Corp.* 10,752,712
435,800 Price Communications Corp.* 12,120,688
307,400 Valuevision International, Inc.* 17,617,863
----------
45,925,013
----------
Telephone Systems - 4.4%
192,700 BroadWing, Inc.* 7,105,812
95,400 Powertel, Inc.* 9,575,775
77,400 Rural Cellular Corp., Class A* 7,004,700
578,700 Talk.com, Inc.* 10,271,925
160,100 Western Wireless Corp., Class A* 10,686,675
----------
44,644,887
----------
Advertising - 3.9%
48,000 DoubleClick, Inc.* 12,147,000
197,200 TMP Worldwide Inc.* 27,879,150
----------
40,026,150
----------
Commercial Services - 3.4%
629,200 Danka Business Systems, Plc* 7,982,975
305,100 Manpower, Inc. 11,479,388
248,200 Profit Recovery Group International, Inc.* 6,577,300
213,200 Valassis Communications, Inc.* 9,007,700
----------
35,047,363
----------
Medical Supplies - 3.4%
193,200 Allergan, Inc. 9,611,700
409,300 LTX Corp.* 9,158,088
143,700 ResMed, Inc.* 5,999,475
187,400 Waters Corp. 9,932,200
----------
34,701,463
----------
Heavy Machinery - 2.6%
203,500 American Standard Companies, Inc.* 9,335,563
127,200 Briggs & Stratton Corp. 6,821,100
227,600 Dycom Industries, Inc.* 10,028,625
----------
26,185,288
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-1
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Restaurants - 2.1%
267,200 Applebee's International, Inc. $7,882,400
154,700 Brinker International, Inc.* 3,712,800
208,000 CEC Entertainment, Inc.* 5,902,000
212,500 Darden Restaurants, Inc. 3,851,563
----------
21,348,763
----------
Home Construction, Furnishings & Appliances - 2.0%
413,000 Furniture Brands International, Inc.* 9,086,000
122,500 Maytag Corp. 5,880,000
255,400 Miller (Herman), Inc. 5,874,200
----------
20,840,200
----------
Transportation - 2.0%
298,500 Avis Rent A Car, Inc.* 7,630,406
99,500 Hertz Corp. Class A 4,987,438
160,800 USFreightways Corp. 7,698,300
----------
20,316,144
----------
Financial Services - 1.9%
410,888 Metris Cos., Inc. 14,663,566
37,700 SEI Investment Co. 4,486,888
----------
19,150,454
----------
Forest Products & Paper - 1.8%
221,800 Boise Cascade Corp. 8,982,900
191,200 Willamette Industries, Inc. 8,878,850
----------
17,861,750
----------
Metals - 1.7%
314,200 CommScope, Inc.* 12,666,187
86,500 Nucor Corp. 4,741,281
----------
17,407,468
----------
Chemicals - 1.7%
191,400 Church & Dwight Co., Inc. 5,107,988
138,100 Sealed Air Corp.* 7,155,306
160,500 The Lubrizol Corp. 4,955,438
----------
17,218,732
----------
Banking - 1.5%
159,300 City National Corp. 5,246,944
165,100 Cullen/Frost Bankers, Inc. 4,251,325
310,800 Roslyn Bancorp, Inc. 5,749,800
----------
15,248,069
----------
Retailers - 1.5%
110,000 Drugstore.Com, Inc.* 3,980,625
223,400 Zale Corp.* 10,806,975
----------
14,787,600
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------------
Health Care Providers - 1.5%
415,100 Apria Healthcare Group Inc.* $ 7,445,856
1,908 Coram Healthcare Corp.* 2,146
353,700 Laser Vision Centers 3,735,956
84,400 Patterson Dental Co.* 3,587,000
--------------
14,770,958
--------------
Beverages, Food & Tobacco - 1.0%
358,800 IBP, Inc. 6,458,400
381,000 The Topps Co., Inc.* 3,952,875
--------------
10,411,275
--------------
Insurance - 0.7%
128,400 United Healthcare Corp. 6,821,250
--------------
Lodging - 0.6%
280,000 Station Casinos, Inc.* 6,282,500
--------------
Automotive - 0.5%
260,000 Meritor Automotive, Inc. 5,037,500
--------------
Oil & Gas - 0.3%
146,200 UTI Energy Corp.* 3,371,738
--------------
Total Common Stocks 999,685,318
--------------
(Cost $724,071,263)
<CAPTION>
Par Value
----------
<C> <S> <C>
COMMERCIAL PAPER (A) - 2.5%
Financial Services - 0.6%
$6,019,000 Associates Corp. of North America 4.00%,
01/03/00 6,016,994
--------------
Oil & Gas - 1.9%
19,588,000 Exxon Corp. 4.50%, 01/03/00 19,580,655
--------------
Total Commercial Paper 25,597,649
--------------
(Cost $25,597,649)
Total Investments - 100.9% 1,025,282,967
--------------
(Cost $749,668,912)
Net Other Assets And Liabilities - (0.9)% (9,584,051)
--------------
Total Net Assets - 100.0% $1,015,698,916
==============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase
See Notes to Financial Statements.
------------------------------------------------------
F-2
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $749,668,915. Net unrealized appreciation (depreciation) aggregated
$275,614,052 of which $305,699,607 related to appreciated investment securities
and $(30,085,555) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$882,678,848 and $916,071,365 of non-governmental issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$89,926,321. The value of collateral amounted to $92,597,758.
See Notes to Financial Statements.
- --------------------------------------------
F-3
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
COMMON STOCKS - 97.3%
Australia - 3.7%
88,055 Brambles Industries, Ltd. $2,435,099
439,570 National Australia Bank, Ltd. 6,723,970
789,584 News Corp., Ltd. 7,666,703
966,300 Telstra Corp. 5,252,710
468,917 Westpac Banking Corp., Ltd. 3,234,589
----------
25,313,071
----------
Denmark - 0.6%
52,200 Tele Danmark 3,877,494
----------
France - 9.0%
39,337 Alcatel Alsthom 9,034,788
139,074 Aventis* 8,083,551
88,200 Axa 12,296,641
74,460 Michelin, Class B 2,925,295
91,210 Total SA, Class B 12,174,200
188,290 Vivendi 17,004,338
----------
61,518,813
----------
Germany - 7.6%
216,034 Bayerische Motoren Werke (BMW) AG 6,593,963
10,178 Celanese AG* 184,541
83,530 HypoVereinsbank 5,704,982
126,210 Mannesmann AG 30,449,576
124,770 Veba AG 6,064,421
160,472 Viag AG 2,942,062
----------
51,939,545
----------
Hong Kong - 1.2%
406,000 Cheung Kong Holdings Ltd. 5,157,905
295,500 Hong Kong Electric 923,792
224,000 Sun Hung Kai Properties Ltd. 2,334,237
----------
8,415,934
----------
Italy - 2.8%
624,970 ENI 3,437,460
1,125,852 Telecom Italia 15,877,891
----------
19,315,351
----------
Japan - 23.8%
27,100 Acom Co., Ltd. 2,656,394
185,000 Bank of Tokyo Mitsubishi 2,579,714
402,000 Canon, Inc. 15,982,354
152,000 Fuji Photo Film 5,551,906
450,000 Hitachi Ltd (Hit. Seisakusho)* 7,226,775
109,000 Honda Motor Co., Ltd. 4,056,010
33,000 Hoya Corp. 2,601,350
249,500 Kao Corp. 7,121,928
10,300 Keyence Corp. 4,185,761
11,800 Mabuchi Motor Co., Ltd. 2,060,262
100,000 Murata Manufacturing Co., Ltd. 23,501,760
290 Nippon Telegraph & Telephone Corp.* 4,969,644
538 NTT Mobile Communication Network, Inc. 20,704,465
112,000 Pioneer Corp.* 2,961,224
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
Japan (continued)
24,100 Rohm Co., Ltd. $ 9,911,867
205,000 Shiseido Co., Ltd. 2,991,094
89,400 Sony Corp. 26,525,856
260,000 Takeda Chemical Industries, Ltd. 12,857,416
23,600 Takefuji Corp. 2,955,777
-----------
161,401,557
-----------
Netherlands - 9.7%
262,287 ABN-Amro Holdings 6,552,559
175,495 Elsevier NV 2,096,674
103,015 Fortis (NL) NV* 3,709,869
331,092 ING Groep NV 19,991,600
223,385 Koninklijke Ahold, NV 6,613,559
147,885 Koninklijke, NV 14,435,439
101,700 Royal Dutch Petroleum Co. 6,233,956
129,160 TNT Post Group, NV 3,701,622
46,350 VNU NV* 2,436,328
-----------
65,771,606
-----------
New Zealand - 0.2%
221,966 Telecom Corp. Of New Zealand, Ltd. 1,044,594
-----------
Portugal - 0.3%
106,317 Electricidade de Portugal 1,856,018
-----------
Singapore - 2.4%
606,075 DBS Group Holdings Ltd. 9,943,448
254,200 Overseas Chinese Banking Corp. 2,337,293
173,000 Singapore Press Holdings, Ltd. 3,753,183
-----------
16,033,924
-----------
South Korea - 1.0%
57,475 Korea Telecom Corp., Sponsored ADR 4,296,256
71,600 Pohang Iron & Steel Co., Sponsored ADR 2,506,000
-----------
6,802,256
-----------
Spain - 2.5%
695,214 Banco de Santander 7,871,700
369,372 Telefonica SA 9,227,799
-----------
17,099,499
-----------
Sweden - 0.5%
51,250 Ericsson AB 3,298,865
-----------
Switzerland - 8.6%
4,225 Alusuisse Lonza Holdings, Registered 3,116,063
4,225 Lonza AG, Registered* 2,569,293
6,105 Nestle SA 11,187,514
7,094 Novartis AG 10,419,508
922 Roche Holdings AG 10,947,230
5,425 Schweiz Rueckversich Sponsored ADR 11,147,867
32,920 Union Bank of Switzerland 8,892,824
-----------
58,280,299
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-4
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------
United Kingdom - 23.4%
694,125 Allied Zurich, Plc $8,233,503
369,150 Barclays Bank, Plc 10,654,518
39,306 British Aerospace Plc* 260,431
692,575 British American Tobacco Industries, Plc 3,875,304
1,163,300 BTR Siebe, Plc, Sponsored ADR 6,297,757
678,500 Cable & Wireless, Plc 11,480,084
769,960 Cadbury Schweppes, Plc 4,522,976
746,290 Diageo, Plc 6,000,022
239,631 EMI Group, Plc 2,337,049
420,075 Glaxo Wellcome, Plc 11,907,110
835,692 Granada Group, Plc 8,427,118
254,400 HSBC Holdings, Plc 3,567,426
891,000 Ladbroke Group, Plc 2,811,372
676,840 Lloyds TSB Group, Plc 8,455,018
91,667 Marconi, Plc 1,622,836
124,178 National Power, Plc 714,408
215,585 National Westminster, Plc 4,644,067
539,100 Old Mutual Plc* 1,433,143
178,670 Pearson, Plc 5,797,824
716,050 Prudential Corp., Plc 14,059,499
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
United Kingdom (continued)
102,460 Railtrack Group, Plc $ 1,680,621
1,359,963 Shell Transportation & Trading, Plc 11,301,837
286,400 TI Group, Plc 2,129,012
3,772,551 Vodafone AirTouch, Plc 18,609,617
189,675 Zeneca Group, Plc 7,871,456
------------
158,694,008
------------
Total Common Stocks 660,662,834
------------
(Cost $430,164,521)
Total Investments - 97.3% 660,662,834
------------
(Cost $430,164,521)
Net Other Assets and Liabilities - 2.7% 18,677,714
------------
Total Net Assets - 100.0% $679,340,548
============
</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 14.1%
Banking 12.2%
Pharmaceuticals 7.9%
Electronics 7.7%
Insurance 7.5%
Electrical Equipment 5.6%
Oil & Gas 4.9%
Communications 4.7%
Heavy Machinery 4.5%
Media - Broadcasting & Publishing 4.4%
Beverages, Food & Tobacco 3.8%
Commercial Services 2.9%
Automotive 2.3%
Industrial - Diversified 1.7%
Chemicals 1.7%
Financial Services 1.6%
Medical Supplies 1.6%
Securities Broker 1.5%
Electric Utilities 1.4%
Real Estate 1.1%
Cosmetics & Personal Care 1.0%
Food Retailers 1.0%
Metals 0.8%
Entertainment & Leisure 0.8%
Transportation 0.6%
Aerospace & Defense 0.0%
Net Other Assets and Liabilities 2.7%
------
Total 100.0%
======
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-5
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
-------- ------------ ---------- ------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1,100,790,000 JPY 01/18/2000 $ 10,810,500 $ 10,393,341 $ (417,159)
586,452,000 JPY 02/09/2000 5,779,722 5,651,188 (128,534)
766,444,000 JPY 02/18/2000 7,564,541 7,383,854 (180,687)
658,958,000 JPY 02/24/2000 6,509,969 6,307,810 (202,159)
456,933,000 JPY 02/29/2000 4,517,760 4,465,180 (52,580)
------------- ------------- --------------
$ 35,182,492 $ 34,201,373 $ (981,119)
============= ============= ==============
</TABLE>
- ------------------
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $430,200,591. Net unrealized appreciation (depreciation) aggregated
$230,462,243, of which $244,702,496 related to appreciated investment securi-
ties and $(14,240,253) related to depreciated investment securities.
For the period ended December 31, 1999, the Portfolio has elected to defer
$493,963 of capital losses attributable to Post-October losses.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$112,633,284 and $96,044,778 of non-governmental issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$46,287,292. The value of collateral amounted to $48,600,244.
See Notes to Financial Statements.
------------------------------------------------------
F-6
<PAGE>
Growth Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
COMMON STOCKS - 96.9%
Computer Software & Processing - 12.7%
228,600 America Online, Inc. $17,245,013
178,638 At Home Corp., Class A 7,659,104
139,400 Computer Associates International, Inc. 9,749,288
116,400 Electronic Data Systems Corp. 7,791,525
429,400 Microsoft Corp. 50,132,450
193,400 Oracle Corp.* 21,672,888
58,300 Psinet, Inc.* 3,600,025
122,100 Sun Microsystems, Inc. 9,455,119
22,600 Yahoo!, Inc.* 9,778,738
-----------
137,084,150
-----------
Telephone Systems - 10.1%
363,482 AT & T Corp. - Liberty Media Group 20,627,604
180,730 AT & T Corp. 9,172,048
340,629 MCI WorldCom, Inc. 18,074,626
209,101 Qwest Communications International, Inc. 8,991,343
397,692 SBC Communications, Inc. 19,387,485
203,500 Sprint Corp. 13,698,094
55,050 Sprint Corp. (PCS Group)* 5,642,625
262,750 Vodafone AirTouch, Plc 13,006,125
-----------
108,599,950
-----------
Communications - 6.8%
164,400 General Instrument Corp.* 13,974,000
105,800 Lucent Technologies, Inc. 7,915,163
147,500 Nortel Networks Corp. 14,897,500
154,800 Qualcomm, Inc. 27,263,930
142,800 Tellabs, Inc. 9,165,975
-----------
73,216,568
-----------
Oil & Gas - 6.8%
48,700 Atlantic Richfield Co. 4,212,550
234,000 BJ Services Co.* 9,784,125
52,300 Chevron Corp. 4,530,488
284,200 Coastal Corp. 10,071,338
187,800 Conoco, Inc., Class B 4,671,525
120,800 Exxon Corp. 9,731,950
319,400 Global Marine, Inc.* 5,310,025
162,300 Nabors Industries, Inc.* 5,021,156
211,800 Royal Dutch Petroleum Co. 12,800,663
36,600 Total SA, ADR 2,534,550
132,800 Transocean Sedco Forex Inc. 4,473,700
-----------
73,142,070
-----------
Pharmaceuticals - 6.4%
193,900 American Home Products Corp. 7,646,931
111,200 AMGEN Inc. 6,678,950
178,760 Bristol-Myers Squibb Co. 11,474,158
114,900 Johnson & Johnson 10,700,063
121,300 Merck & Co., Inc. 8,134,681
138,900 Pfizer, Inc. 4,505,569
121,900 Schering-Plough Corp. 5,142,656
177,100 Warner-Lambert Co. 14,511,131
-----------
68,794,139
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<S> <C> <C>
- -----------------------------------------------------------------
Computers & Information - 5.8%
330,650 Cisco Systems, Inc. $35,420,881
49,800 EMC Corp.* 5,440,650
36,300 Hewlett-Packard Co. 4,135,931
113,500 International Business Machines Corp. 12,258,000
53,300 Minnesota Mining and Manufacturing Co. 5,216,738
-----------
62,472,200
-----------
Media - Broadcasting & Publishing - 5.4%
256,000 Charter Communications, Inc., Class A* 5,600,000
107,000 Clear Channel Communications, Inc.* 9,549,750
241,300 Fox Entertainment Group, Class A* 6,017,419
295,500 Infinity Broadasting Corp., Class A* 10,693,406
101,600 MediaOne Group, Inc.* 7,804,150
278,900 News Corp., Ltd., Sponsored, Preferred ADR 9,325,719
125,100 Time Warner, Inc. 9,061,931
-----------
58,052,375
-----------
Banking - 5.2%
148,200 Bank Of New York Co., Inc. 5,928,000
161,400 Capital One Financial Corp. 7,777,463
80,600 Chase Manhattan Corp. 6,261,613
347,950 Citigroup, Inc. 19,332,972
97,718 Fleet Boston Financial Corp. 3,401,808
44,800 PNC Bank Corp. 1,993,600
33,000 State Street Corp. 2,411,063
218,000 Wells Fargo Co. 8,815,375
-----------
55,921,894
-----------
Industrial - Diversified - 4.2%
260,800 General Electric Co. 40,358,800
123,900 Tyco International Group SA 4,816,613
-----------
45,175,413
-----------
Retailers - 4.0%
105,200 Best Buy Co., Inc.* 5,279,835
48,700 Circuit City Stores, Inc. 2,194,489
234,400 CVS Corp. 9,361,350
377,500 Wal-Mart Stores, Inc. 26,094,688
-----------
42,930,362
-----------
Electronics - 3.0%
137,800 Altera Corp.* 6,829,713
136,900 Intel Corp. 11,268,581
85,100 LSI Logic Corp.* 5,744,250
59,800 Motorola, Inc. 8,805,550
-----------
32,648,094
-----------
Insurance - 3.0%
26,600 AMBAC, Inc. 1,388,188
132,100 American International Group, Inc. 14,283,313
77,200 Marsh & Mclennan Cos. Inc. 7,387,075
36,700 UnumProvident Corp. 1,176,694
150,200 XL Captial, Ltd. 7,791,625
-----------
32,026,895
-----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-7
<PAGE>
Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------
Beverages, Food & Tobacco - 2.9%
149,900 Anheuser-Busch Companies, Inc. $10,624,163
168,300 Coca-Cola Co. 9,803,475
173,400 General Mills, Inc. 6,199,050
131,900 Safeway, Inc.* 4,690,694
-----------
31,317,382
-----------
Aerospace & Defense - 2.7%
208,900 Boeing Co. 8,682,406
119,900 General Dynamics Corp. 6,324,725
237,650 Honeywell International, Inc. 13,709,434
-----------
28,716,565
-----------
Chemicals - 2.4%
286,900 Du Pont (E.I.) De Nemours and Co. 18,899,703
472,600 Grace (W.R.) & Co.* 6,557,325
-----------
25,457,028
-----------
Medical Supplies - 2.4%
135,000 Baxter International, Inc. 8,479,688
100,600 JDS Uniphase Corp. 16,228,038
8,000 VISX, Inc.* 414,000
-----------
25,121,726
-----------
Automotive - 2.2%
219,600 Ford Motor Co. 11,734,875
90,100 General Motors Corp. 6,549,144
59,200 General Motors Corp., Class H* 5,683,200
-----------
23,967,219
-----------
Heavy Machinery - 1.7%
76,700 Caterpillar, Inc. 3,609,694
61,300 Parker-Hannifin Corp. 3,145,456
227,100 Smith International, Inc.* 11,284,031
-----------
18,039,181
-----------
Financial Services - 1.6%
22,700 American Express Co. 3,773,875
73,000 Charles Schwab Corp. 2,801,375
190,000 Freddie Mac 8,941,875
50,900 Household International, Inc. 1,896,025
-----------
17,413,150
-----------
Building Materials - 1.5%
232,800 Home Depot, Inc. 15,961,350
-----------
Securities Broker - 1.4%
26,700 Donaldson, Lufkin & Jenrette, Inc. 1,291,613
90,600 Lehman Brothers Holdings, Inc. 7,672,676
75,700 Merrill Lynch & Co., Inc. 6,320,950
-----------
15,285,239
-----------
Cosmetics & Personal Care - 1.2%
176,500 Gillette Co. 7,269,594
54,500 Procter & Gamble Co. 5,971,156
-----------
13,240,750
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
Commercial Services - 1.0%
273,000 Halliburton Co. $ 10,988,250
--------------
Health Care Providers - 0.8%
181,000 Columbia/HCA Healthcare Corp. 5,305,563
110,800 Tenet Healthcare Corp.* 2,603,800
--------------
7,909,363
--------------
Forest Products & Paper - 0.7%
77,900 Kimberly-Clark Corp. 5,082,975
37,700 Weyerhaeuser Co. 2,707,331
--------------
7,790,306
--------------
Metals - 0.6%
96,400 Engelhard Corp. 1,819,550
314,100 Homestake Mining Co. 2,453,906
236,500 Placer Dome, Inc. 2,542,375
--------------
6,815,831
--------------
Food Retailers - 0.3%
178,600 Kroger Co. 3,371,075
--------------
Transportation - 0.1%
18,000 Kansas City Southern Industries, Inc. 1,343,250
--------------
Total Common Stocks 1,042,801,775
--------------
(Cost $735,056,293)
Total Investments - 96.9% 1,042,801,775
--------------
(Cost $735,056,293)
Net Other Assets and Liabilities - 3.1% 33,495,041
--------------
Total Net Assets - 100.0% $1,076,296,816
==============
</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 December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $738,086,201. Net unrealized appreciation (depreciation) aggregated
$304,715,574, of which $326,388,791 related to appreciated investment securi-
ties and $(21,673,217) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$1,076,229,940 and $1,136,348,284 of non-governmental issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$71,038,419. The value of collateral amounted to $73,233,690.
See Notes to Financial Statements.
------------------------------------------------------
F-8
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
COMMON STOCKS - 94.8%
Computer Software & Processing - 10.7%
6,000 Adobe Systems, Inc. $ 403,500
109,808 America Online, Inc. 8,283,641
3,000 Autodesk, Inc. 101,250
30,800 Automatic Data Processing, Inc. 1,659,350
12,000 BMC Software, Inc.* 959,250
8,800 Cabletron Systems, Inc.* 228,800
7,100 Ceridian Corp.* 153,094
4,500 Citrix Systems, Inc.* 553,500
26,550 Computer Associates International, Inc. 1,856,841
8,300 Computer Sciences Corp.* 785,388
17,500 Compuware Corp.* 651,875
3,600 Deluxe Corp. 98,775
23,100 Electronic Data Systems Corp. 1,546,256
15,000 IMS Health, Inc. 407,813
253,600 Microsoft Corp. 29,607,751
16,200 Novell, Inc.* 646,988
69,980 Oracle Corp.* 7,842,134
13,200 Parametric Technology Corp.* 357,225
11,900 PeopleSoft, Inc.* 253,619
1,400 Shared Medical Systems Corp. 71,313
76,800 Sun Microsystems, Inc. 5,947,200
15,100 Unisys Corp.* 482,256
13,050 Yahoo!, Inc.* 5,646,572
----------
68,544,391
----------
Computers & Information - 8.5%
17,000 3Com Corp.* 799,000
8,000 Apple Computer, Inc.* 822,500
160,700 Cisco Systems, Inc. 17,214,988
83,357 Compaq Computer Corp. 2,255,849
3,600 Comverse Technology, Inc.* 521,100
124,900 Dell Computer Corp.* 6,369,900
49,950 EMC Corp. 5,457,038
15,560 Gateway 2000 1,121,293
50,100 Hewlett-Packard Co. 5,708,269
88,600 International Business Machines Corp. 9,568,800
6,400 Lexmark International Group, Inc.* 579,200
19,700 Minnesota Mining and Manufacturing Co. 1,928,138
10,200 Seagate Technology, Inc.* 474,938
8,900 Silicon Graphics* 87,331
14,500 Solectron Corp.* 1,379,313
----------
54,287,657
----------
Pharmaceuticals - 7.5%
75,500 Abbott Laboratories 2,741,594
4,900 ALZA Corp., Class A* 169,663
64,200 American Home Products Corp. 2,531,888
50,200 AMGEN, Inc. 3,015,138
97,400 Bristol-Myers Squibb Co. 6,251,863
13,800 Cardinal Health, Inc. 660,675
68,400 Johnson & Johnson 6,369,750
53,600 Lilly (Eli) & Co. 3,564,400
13,814 McKesson HBOC, Corp. 311,678
114,800 Merck & Co., Inc. 7,698,775
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
Pharmaceuticals (continued)
2,100 Millipore Corp. $ 81,113
190,100 Pfizer, Inc. 6,166,369
25,380 Pharmacia & Upjohn, Inc. 1,142,100
72,200 Schering-Plough Corp. 3,045,938
4,900 Sigma Aldrich Corp. 147,306
42,300 Warner-Lambert Co. 3,465,956
4,700 Watson Pharmaceuticals, Inc.* 168,319
----------
47,532,525
----------
Telephone Systems - 7.3%
15,500 Alltel Corp. 1,281,656
157,000 AT & T Corp. 7,967,750
76,346 Bell Atlantic Corp. 4,700,051
92,400 BellSouth Corp. 4,325,475
6,900 CenturyTel, Inc. 326,888
37,235 Global Crossing, Ltd.* 1,861,750
47,700 GTE Corp. 3,365,831
139,466 MCI WorldCom, Inc. 7,400,388
167,498 SBC Communications, Inc. 8,165,528
42,900 Sprint Corp. 2,887,706
21,200 Sprint Corp. (PCS Group)* 2,173,000
24,904 U.S. West, Inc. 1,793,088
----------
46,249,111
----------
Banking - 6.8%
19,200 Amsouth Bancorp. 370,800
35,788 Associates First Capital Corp., Class A 981,933
56,375 Banc One Corp. 1,807,523
83,959 Bank of America Corp. 4,213,692
36,200 Bank Of New York Co., Inc. 1,448,000
16,200 BB&T Corp. 443,475
9,637 Capital One Financial Corp. 464,383
40,552 Chase Manhattan Corp. 3,150,384
165,640 Citigroup, Inc. 9,203,373
7,750 Comerica, Inc. 361,828
15,175 Fifth Third Bancorp 1,113,466
48,396 First Union Corp. 1,587,994
48,028 Firstar Corp. 1,014,592
44,976 Fleet Boston Financial Corp. 1,565,727
7,800 Golden West Financial Corp. 261,300
11,263 Huntington Bancshares, Inc. 268,904
21,800 KeyCorp 482,325
39,318 MBNA Corp. 1,071,416
24,900 Mellon Financial Co. 848,156
8,600 Morgan (J.P.) & Co., Inc. 1,088,975
30,200 National City Corp. 715,363
11,000 Northern Trust Corp. 583,000
5,800 Old Kent Financial Corp. 205,175
14,400 PNC Bank Corp. 640,800
10,700 Regions Financial Corp. 268,838
5,100 Republic New York Corp. 367,200
7,757 SLM Holding Corp. 327,733
8,300 SouthTrust Corp. 313,844
7,800 State Street Corp. 569,888
8,600 Summit Bancorp 263,375
15,800 Suntrust Banks, Inc. 1,087,238
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-9
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Banking (continued)
13,700 Synovus Financial Corp. $ 272,288
6,900 Union Planters Corp. 272,119
35,550 U.S. Bancorp. 846,534
9,900 Wachovia Corp. 673,200
28,183 Washington Mutual, Inc. 732,758
80,630 Wells Fargo Co. 3,260,476
----------
43,148,075
----------
Oil & Gas - 5.5%
4,400 Amerada Hess Corp. 249,700
6,200 Anadarko Petroleum Corp. 211,575
5,600 Apache Corp. 206,850
3,400 Ashland, Inc. 111,988
15,800 Atlantic Richfield Co. 1,366,700
10,582 Burlington Resources, Inc. 349,867
32,200 Chevron Corp. 2,789,325
10,400 Coastal Corp. 368,550
4,000 Columbia Energy Group 253,000
30,600 Conoco, Inc., Class B 761,175
4,700 Consolidated Natural Gas Co. 305,206
1,400 Eastern Enterprises 80,413
11,200 El Paso Energy Corp. 434,700
35,100 Enron Corp. 1,557,563
169,730 Exxon Corp. 13,673,873
2,300 Helmerich & Payne, Inc. 50,169
4,181 Kerr-Mcgee Corp. 259,222
2,200 Nicor, Inc. 71,500
1,400 Oneok, Inc. 35,175
1,800 Peoples Energy Corp. 60,300
12,500 Phillips Petroleum Co. 587,500
4,000 Rowan Cos., Inc.* 86,750
105,400 Royal Dutch Petroleum Co. 6,370,113
27,000 Schlumberger, Ltd. 1,518,750
4,400 Sunoco, Inc. 103,400
27,100 Texaco, Inc. 1,471,869
6,900 Tosco Corp. 187,594
5,227 Transocean Sedco Forex Inc. 176,091
12,381 Union Pacific Resources Group, Inc. 157,858
11,900 Unocal Corp. 399,394
15,200 USX-Marathon Group 375,250
21,200 Williams Cos., Inc. 647,925
----------
35,279,345
----------
Communications - 4.6%
7,400 ADC Telecommunications, Inc.* 536,963
3,900 Andrew Corp.* 73,856
8,600 General Instrument Corp.* 731,000
153,982 Lucent Technologies, Inc. 11,519,778
7,400 Network Appliance, Inc. 614,663
18,000 Nextel Communications, Inc., Class A* 1,856,250
65,680 Nortel Networks Corp. 6,633,680
32,800 Qualcomm, Inc. 5,776,900
3,900 Scientific Atlanta, Inc. 216,938
19,700 Tellabs, Inc. 1,264,494
----------
29,224,522
----------
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Industrial - Diversified - 4.5%
2,000 Armstrong World Industries, Inc. $ 66,750
1,600 FMC Corp.* 91,700
161,200 General Electric Co. 24,945,700
1,500 Jostens, Inc. 36,469
400 NACCO Industries, Inc., Class A 22,225
82,842 Tyco International Group SA 3,220,483
----------
28,383,327
----------
Electronics - 4.4%
5,100 Adaptec, Inc.* 254,363
7,200 Advanced Micro Devices, Inc.* 208,350
8,600 Analog Devices, Inc.* 799,800
21,300 Emerson Electric Co. 1,222,088
164,200 Intel Corp. 13,515,713
7,300 LSI Logic Corp.* 492,750
13,300 Micron Technology, Inc.* 1,034,075
7,700 Molex Inc. 436,494
29,900 Motorola, Inc. 4,402,775
8,500 National Semiconductor Corp.* 363,906
16,500 Raytheon Co., Class B 438,281
8,500 Teradyne, Inc.* 561,000
39,400 Texas Instruments, Inc. 3,816,875
15,800 Xilinx, Inc. 718,407
----------
28,264,877
----------
Retailers - 4.1%
2,600 Alberto-Culver Co., Class B 67,113
7,100 AutoZone, Inc.* 229,419
6,900 Bed Bath & Beyond Inc.* 239,775
10,000 Best Buy Co., Inc.* 501,875
10,000 Circuit City Stores, Inc. 450,625
5,300 Consolidated Stores Corp.* 86,125
10,856 Costco Wholesale Corp.* 990,610
19,100 CVS Corp. 762,806
21,700 Dayton-Hudson Corp. 1,593,594
5,200 Dillards, Inc., Class A 104,975
12,950 Dollar General Corp. 294,613
10,400 Federated Department Stores, Inc.* 525,850
3,400 Harcourt General, Inc. 136,850
12,700 J.C. Penney Co., Inc. 253,206
24,200 K Mart Corp.* 243,513
1,900 Longs Drug Stores Corp. 49,044
16,300 May Department Stores Co. 525,675
16,000 Office Depot, Inc.* 175,000
12,700 Rite Aid Corp. 142,081
18,500 Sears Roebuck & Co. 563,094
8,000 Sherwin Williams Co. 168,000
22,800 Staples, Inc.* 473,100
9,400 Tandy Corp. 462,363
15,100 TJX Cos., Inc. 308,606
11,900 Toys "R" Us, Inc.* 170,319
49,200 Walgreen Co. 1,439,100
218,600 Wal-Mart Stores, Inc. 15,110,725
----------
26,068,056
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-10
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
Beverages, Food & Tobacco - 4.1%
1,900 Adolph Coors Co. $ 99,750
22,800 Anheuser-Busch Companies, Inc. 1,615,950
29,759 Archer-Daniels-Midland Co. 362,691
13,800 Best Foods 725,363
3,300 Brown Forman Corp., Class B 188,925
20,900 Campbell Soup Co. 808,569
121,300 Coca-Cola Co. 7,065,725
20,900 Coca-Cola Enterprises, Inc. 420,613
24,000 Conagra, Inc 541,500
14,900 General Mills, Inc. 532,675
5,100 Hercules, Inc. 142,163
6,900 Hershey Foods Corp. 327,750
17,600 H.J. Heinz Co. 700,700
19,800 Kellogg Co. 610,088
15,900 Nabisco Group Holdings Corp. 168,938
71,500 PepsiCo, Inc. 2,520,375
116,200 Philip Morris Cos., Inc. 2,694,388
6,600 Quaker Oats Co. 433,125
15,800 Ralston Purina Co. 440,425
24,900 Safeway, Inc.* 885,506
44,500 Sara Lee Corp. 981,781
21,200 Seagram Co., Ltd. 952,675
6,800 Supervalu, Inc. 136,000
16,200 Sysco Corp. 640,913
28,089 Unilever NV 1,529,095
8,400 UST, Inc. 211,575
5,700 Wm. Wrigley Jr. Co. 472,744
----------
26,210,002
----------
Insurance - 2.9%
7,398 Aetna, Inc. 412,901
13,100 AFLAC Corp. 618,156
39,538 Allstate Corp. 948,912
12,117 American General Corp. 919,377
76,090 American International Group, Inc. 8,227,231
12,550 AON Corp. 502,000
8,600 Chubb Corp. 484,288
9,100 CIGNA Corp. 733,119
8,000 Cincinnati Financial Corp. 249,500
16,007 Conseco, Inc. 286,125
10,900 Hartford Financial Services Group, Inc. 516,388
8,100 Humana, Inc.* 66,319
5,200 Jefferson Pilot Corp. 354,900
9,500 Lincoln National Corp. 380,000
5,300 Loews Corp. 321,644
13,250 Marsh & Mclennan Cos., Inc. 1,267,859
4,900 MBIA, Inc. 258,781
5,200 MGIC Investment Corp. 312,975
3,700 Progressive Corp. 270,563
6,200 SAFECO Corp. 154,225
11,100 St. Paul Cos. 373,931
6,300 Torchmark Corp. 183,094
8,400 United Healthcare Corp. 446,250
11,718 UnumProvident Corp. 375,708
----------
18,664,246
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
Media - Broadcasting & Publishing - 2.9%
3,000 American Greetings Corp., Class A $ 70,875
37,516 CBS Corp.* 2,398,679
16,600 Clear Channel Communications, Inc.* 1,481,550
36,900 Comcast Corp., Class A 1,865,756
4,400 Dow Jones & Co., Inc. 299,200
13,800 Gannett Co., Inc. 1,125,563
4,100 Knight-Ridder, Inc. 243,950
9,600 McGraw-Hill Cos., Inc. 591,600
30,200 MediaOne Group, Inc.* 2,319,738
2,600 Meredith Corp. 108,388
8,400 New York Times Co., Class A 412,650
63,160 Time Warner, Inc. 4,575,153
3,000 Times Mirror Co., Class A 201,000
11,600 Tribune Co. 638,725
34,226 Viacom, Inc., Class B 2,068,534
----------
18,401,361
----------
Cosmetics & Personal Care - 1.9%
11,800 Avon Products, Inc. 389,400
11,600 Clorox Co. 584,350
28,600 Colgate-Palmolive Co. 1,859,000
52,700 Gillette Co. 2,170,581
5,200 International Flavors & Fragrances, Inc. 196,300
64,700 Procter & Gamble Co. 7,088,694
----------
12,288,325
----------
Financial Services - 1.9%
22,100 American Express Co. 3,674,125
40,300 Charles Schwab Corp. 1,546,513
5,500 Countrywide Credit Industries, Inc. 138,875
12,230 Franklin Resources, Inc. 392,124
50,300 Fannie Mae 3,140,606
34,100 Freddie Mac 1,604,831
23,059 Household International, Inc. 858,948
7,050 Providian Financial Corp. 641,991
----------
11,998,013
----------
Electric Utilities - 1.6%
10,100 AES Corp.* 754,975
6,700 Ameren Corp. 219,425
9,400 American Electric Power, Inc. 301,975
7,700 Carolina Power & Light Co. 234,369
10,400 Central & South West Corp. 208,000
7,643 Cinergy Corp. 184,387
5,600 CMS Energy Corp. 174,650
10,800 Consolidated Edison, Inc. 372,600
7,350 Constellation Energy Group, Inc. 213,150
9,350 Dominion Resources, Inc. 366,988
7,100 DTE Energy Co. 222,763
17,917 Duke Energy Corp. 898,090
17,000 Edison International 445,188
12,100 Entergy Corp. 311,575
11,400 FirstEnergy Corp. 258,638
8,700 Florida Power & Light Group Capital, Inc. 372,469
4,800 Florida Progress Corp. 203,100
6,100 GPU, Inc. 182,619
5,600 New Century Energies, Inc. 170,100
9,100 Niagara Mohawk Power Corp.* 126,831
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-11
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Electric Utilities (continued)
7,600 Northern States Power Co. $ 148,200
9,100 Peco Energy Co. 316,225
18,700 PG&E Corp. 383,350
4,100 Pinnacle West Capital Corp. 125,306
7,000 PP&L Resources, Inc. 160,125
10,700 Public Service Enterprise Group, Inc. 372,494
14,398 Reliant Energy, Inc. 329,354
11,613 Sempra Energy 201,776
32,900 Southern Co. 773,150
13,440 Texas Utilities Co. 477,960
10,600 Unicom Corp. 355,100
----------
9,864,932
----------
Building Materials - 1.4%
113,097 Home Depot, Inc. 7,754,213
18,800 Lowes Cos., Inc. 1,123,300
2,500 Owens-Corning 48,281
4,900 Vulcan Materials Co. 195,694
----------
9,121,488
----------
Chemicals - 1.4%
11,200 Air Products & Chemicals, Inc. 375,900
5,600 Avery Dennison Corp. 408,100
10,800 Dow Chemical Co. 1,443,150
51,400 Du Pont (E.I.) De Nemours and Co. 3,385,975
3,800 Eastman Chemical Co. 181,213
3,400 Grace (W.R.) & Co.* 47,175
2,800 Great Lakes Chemical Corp. 106,925
31,200 Monsanto Co. 1,111,500
17,900 Occidental Petroleum Corp. 387,088
8,600 PPG Industries, Inc. 538,038
7,900 Praxair, Inc. 397,469
4,008 Sealed Air Corp.* 207,665
6,600 Union Carbide Corp. 440,550
----------
9,030,748
----------
Automotive - 1.3%
3,600 Cooper Tire & Rubber Co. 56,025
8,009 Dana Corp. 239,769
27,628 Delphi Automotive Systems Corp. 435,141
59,300 Ford Motor Co. 3,168,844
31,400 General Motors Corp. 2,282,388
8,650 Genuine Parts Co. 214,628
5,300 Goodrich (B.F.) Co. 145,750
7,500 Goodyear Tire & Rubber Co. 211,406
4,200 ITT Industries, Inc. 140,438
3,100 Navistar International Corp.* 146,863
3,780 Paccar, Inc. 167,501
2,400 Pep Boys - Manny, Moe & Jack 21,900
9,300 Rockwell International Corp. 445,238
6,000 TRW, Inc. 311,625
----------
7,987,516
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------
Heavy Machinery - 1.2%
18,700 Applied Materials, Inc.* $2,369,056
16,080 Baker Hughes, Inc. 338,685
4,200 Black & Decker Corp. 219,450
1,200 Briggs & Stratton Corp. 64,350
17,500 Caterpillar, Inc. 823,594
2,100 Cummins Engine Co., Inc. 101,456
11,500 Deere & Co. 498,813
10,000 Dover Corp. 453,750
8,000 Ingersoll-Rand Co. 440,500
1,800 Milacron, Inc. 27,675
5,900 Pall Corp. 127,219
5,475 Parker-Hannifin Corp. 280,936
4,300 Stanley Works 129,538
2,900 Timken Co. 59,269
23,500 United Technologies Corp. 1,527,500
4,500 W.W. Grainger, Inc. 215,156
----------
7,676,947
----------
Medical Supplies - 1.2%
6,400 Allergan, Inc. 318,400
2,900 Bausch & Lomb, Inc. 198,469
14,400 Baxter International, Inc. 904,500
12,100 Becton, Dickinson & Co. 323,675
5,500 Biomet, Inc. 220,000
20,200 Boston Scientific Corp.* 441,875
2,600 C.R. Bard, Inc. 137,800
7,000 Danaher Corp. 337,750
3,700 Eaton Corp. 268,713
15,000 Guidant Corp.* 705,000
4,500 KLA-Tencor Corp.* 501,188
3,400 Mallinckrodt, Inc. 108,163
58,600 Medtronic, Inc. 2,135,238
5,200 PE Corp. - PE Biosystems Group 625,625
4,100 St. Jude Medical, Inc.* 125,819
2,350 Tektronix, Inc. 91,356
7,600 Thermo Electron Corp.* 114,000
----------
7,557,571
----------
Securities Broker - 1.0%
5,752 Bear Stearns Cos., Inc. 245,898
5,900 Lehman Brothers Holdings, Inc. 499,656
18,200 Merrill Lynch & Co., Inc. 1,519,700
27,417 Morgan Stanley Dean Witter & Co. 3,913,777
7,000 Paine Webber Group, Inc. 271,688
5,800 T. Rowe Price Associates, Inc. 214,238
----------
6,664,957
----------
Forest Products & Paper - 0.9%
2,600 Bemis Co. 90,675
2,700 Boise Cascade Corp. 109,350
4,700 Champion International Corp. 291,106
10,600 Fort James Corp. 290,175
8,300 Georgia-Pacific Corp. 421,225
7,300 Ikon Office Solutions, Inc. 49,731
20,392 International Paper Co. 1,150,874
26,840 Kimberly-Clark Corp. 1,751,310
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-12
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Forest Products & Paper (continued)
5,200 Louisiana Pacific Corp. $ 74,100
5,000 Mead Corp. 217,188
8,400 Pactiv Corp.* 89,250
1,500 Potlatch Corp. 66,938
2,800 Temple Inland, Inc. 184,625
4,850 Westvaco Corp. 158,231
11,600 Weyerhaeuser Co. 833,025
5,500 Willamette Industries, Inc. 255,406
----------
6,033,209
----------
Commercial Services - 0.9%
9,100 Allied Waste Industries, Inc.* 80,194
34,733 Cendant Corp.* 922,595
7,900 Dun & Bradstreet Corp. 233,050
6,400 Ecolab, Inc. 250,400
6,900 Equifax, Inc. 162,581
20,600 First Data Corp. 1,015,838
3,800 Fluor Corp. 174,325
21,600 Halliburton Co. 869,400
4,800 H&R Block, Inc. 210,000
12,100 Paychex, Inc. 484,000
2,300 Perkinelmer, Inc. 95,881
13,000 Pitney Bowes, Inc. 628,063
5,600 Quintiles Transnational Corp.* 104,650
6,200 R. R. Donnelley & Sons Co. 153,838
13,200 Service Corp. International 91,575
30,435 Waste Management, Inc. 523,102
----------
5,999,492
----------
Aerospace & Defense - 0.9%
45,838 Boeing Co. 1,905,142
9,900 General Dynamics Corp. 522,225
38,875 Honeywell International Inc. 2,242,602
19,282 Lockheed Martin Corp. 421,794
3,500 Northrop Grumman Corp. 189,219
7,400 Textron, Inc. 567,488
----------
5,848,470
----------
Metals - 0.8%
10,700 Alcan Aluminum, Ltd. 440,706
18,100 Alcoa, Inc. 1,502,300
4,551 Allegheny Technologies Inc. 102,113
19,200 Barrick Gold Corp. 339,600
6,400 Bethlehem Steel Corp.* 53,600
4,600 Cooper Industries, Inc. 186,013
3,150 Crane Co. 62,606
6,150 Engelhard Corp. 116,081
7,900 Freeport-McMoRan Copper & Gold, Inc.* 166,888
12,600 Homestake Mining Co. 98,438
9,300 Inco, Ltd.* 218,550
21,900 Masco Corp. 555,713
8,111 Newmont Mining Corp. 198,720
4,200 Nucor Corp. 230,213
4,000 Phelps Dodge Corp. 268,500
15,900 Placer Dome, Inc. 170,925
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Metals (continued)
3,200 Reynolds Metals Co. $ 245,200
4,220 USX - U.S. Steel Group 139,260
4,200 Worthington Industries, Inc. 69,563
----------
5,164,989
----------
Entertainment & Leisure - 0.8%
30,200 Carnival Corp. 1,443,938
6,300 Harrah's Entertainment, Inc.* 166,556
9,450 Hasbro, Inc. 180,141
20,512 Mattel, Inc. 269,220
101,329 Walt Disney Co. 2,963,873
----------
5,023,728
----------
Household Products - 0.6%
12,100 Corning, Inc. 1,560,144
8,000 Fortune Brands Inc. 264,500
14,700 Illinois Tool Works, Inc. 993,169
13,733 Newell Rubbermaid, Inc. 398,257
7,300 Owens-Illinois, Inc.* 182,956
10,675 Rohm & Haas Co. 434,339
2,900 Snap-On, Inc. 77,031
2,700 Tupperware Corp. 45,731
----------
3,956,127
----------
Restaurants - 0.5%
6,300 Darden Restaurants, Inc. 114,188
66,400 McDonald's Corp. 2,676,750
7,610 Tricon Global Restaurants, Inc.* 293,936
5,700 Wendy's International, Inc. 117,563
----------
3,202,437
----------
Apparel Retailers - 0.5%
41,950 Gap, Inc. 1,929,700
8,100 Kohls Corp.* 584,719
10,500 Limited, Inc. 454,781
6,700 Nordstrom, Inc. 175,456
----------
3,144,656
----------
Transportation - 0.4%
4,400 Brunswick Corp. 97,900
22,352 Burlington Northern Santa Fe Corp. 542,036
10,600 CSX Corp. 332,575
1,600 Fleetwood Enterprises, Inc. 33,000
5,400 Kansas City Southern Industries, Inc. 402,975
18,500 Norfolk Southern Corp. 379,250
3,000 Ryder System, Inc. 73,313
12,200 Union Pacific Corp. 532,225
----------
2,393,274
----------
Electrical Equipment - 0.3%
15,500 Eastman Kodak Co. 1,026,875
2,000 National Service Industries, Inc. 59,000
2,000 Polaroid Corp. 37,625
2,700 Thomas & Betts Corp. 86,063
32,500 Xerox Corp. 737,344
----------
1,946,907
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-13
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Airlines - 0.3%
7,300 AMR Corp.* $ 489,100
6,500 Delta Air Lines, Inc. 323,781
14,700 FDX Corp. 601,781
24,612 Southwest Airlines, Inc. 398,407
3,400 US Airways Group, Inc.* 109,013
----------
1,922,082
----------
Advertising - 0.3%
13,700 Interpublic Group of Companies, Inc. 790,319
8,800 Omnicom Group, Inc. 880,000
----------
1,670,319
----------
Food Retailers - 0.3%
20,742 Albertson's, Inc. 668,930
1,700 Great Atlantic & Pacific Tea Co. 47,388
40,700 Kroger Co. 768,213
7,300 Winn-Dixie Stores, Inc. 174,744
----------
1,659,275
----------
Health Care Providers - 0.2%
27,600 Columbia/HCA Healthcare Corp. 809,025
18,800 HEALTHSOUTH Corp.* 101,050
5,000 Manor Care, Inc.* 80,000
15,100 Tenet Healthcare Corp.* 354,850
3,100 Wellpoint Health Networks Inc.* 204,406
----------
1,549,331
----------
Textiles, Clothing & Fabrics - 0.2%
2,900 Liz Claiborne, Inc. 109,113
13,700 Nike, Inc., Class B 679,006
2,600 Reebok International, Ltd.* 21,288
1,600 Russell Corp. 26,800
900 Springs Industries, Inc. 35,944
5,800 V.F. Corp. 174,000
----------
1,046,151
----------
Home Construction, Furnishings & Appliances - 0.1%
4,100 Johnson Controls, Inc. 233,188
9,500 Leggett & Platt, Inc. 203,656
4,200 Maytag Corp. 201,600
2,100 Pulte Corp. 47,250
3,600 Whirlpool Corp. 234,225
----------
919,919
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------------
Lodging - 0.1%
18,100 Hilton Hotels Corp. $ 174,213
12,200 Marriott International, Inc., Class A 385,063
9,300 Mirage Resorts, Inc.* 142,406
------------
701,682
------------
Containers & Packaging - 0.0%
1,500 Ball Corp. 59,063
5,800 Crown Cork & Seal Co., Inc. 129,775
------------
188,838
------------
Heavy Construction - 0.0%
2,800 Centex Corp. 69,125
2,000 Foster Wheeler Corp. 17,750
2,200 Kaufman And Broad Home Corp. 53,213
2,800 McDermott International, Inc. 25,375
------------
165,463
------------
Total Common Stocks 604,984,341
------------
(Cost $400,583,411)
INVESTMENT COMPANY - 3.2%
20,546,114 SSgA Prime Money Market Fund 20,546,114
------------
Total Investment Company 20,546,114
------------
(Cost $20,546,114)
<CAPTION>
Par Value
---------
<C> <S> <C>
COMMERCIAL PAPER (B) - 1.6%
Industrial - 1.6%
$10,000,000 Invensys, Plc 5.65%, 02/07/00 (A) 9,938,792
------------
Total Commercial Paper 9,938,792
------------
(Cost $9,938,792)
U.S. GOVERNMENT OBLIGATIONS (B) (1) - 0.2%
U.S. Treasury Bill - 0.2%
500,000 5.56%, 12/07/00 476,267
235,000 4.80%, 06/22/00 222,370
430,000 5.33%, 12/07/00 406,526
535,000 5.51%, 12/07/00 506,106
------------
Total U.S. Government Obligations 1,611,269
------------
(Cost $1,611,269)
Total Investments - 99.8% 637,080,516
------------
(Cost $432,679,586)
Net Other Assets and Liabilities - 0.2% 1,149,706
------------
Total Net Assets - 100.0% $638,230,222
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At December 31, 1999, these secu-
rities amounted to $9,938,792 or 1.6% of net assets.
(B) Effective yield at time of purchase
See Notes to Financial Statements.
------------------------------------------------------
F-14
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
(1) Securities have been deposited as initial margin on futures contracts. At
December 31, 1999, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Contract Expiration Aggregate Market Value at
Purchased Type Date Cost December 31, 1999
- --------- -------- ---------- --------- -----------------
<S> <C> <C> <C> <C>
86 S & P 500 Mar-2000 $30,929,150 $31,910,300
<CAPTION>
=========== =================
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $434,692,897. Net unrealized appreciation (depreciation) aggregated
$202,387,619, of which $224,935,212 related to appreciated investment securi-
ties and $(22,547,593) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$143,386,271 and $113,896,842 of non-governmental issuers, respectively
At December 31, 1999, the value of the securities loaned amounted to
$17,635,001. The value of collateral amounted to $18,163,274.
See Notes to Financial Statements.
- --------------------------------------------
F-15
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ---------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE BACKED OBLIGATIONS
(A) - 30.0%
Fannie Mae - 22.0%
$9,701,198 6.00%, 05/01/01 - 02/01/29 Aaa $9,028,112
9,108,500 6.50%, 06/01/04 - 10/01/28 Aaa 8,677,079
49,446,513 7.00%, 08/01/10 - 12/01/11 Aaa 24,291,803
381,972 7.38%, 08/17/03 Aaa 382,717
7,725,854 7.50%, 10/01/25 - 10/01/28 Aaa 7,683,018
1,953,956 8.00%, 04/01/09 - 04/01/23 Aaa 1,973,806
313,870 8.50%, 07/01/08 Aaa 322,752
295,398 9.00%, 02/01/10 Aaa 305,827
200,223 10.00%, 10/01/20 - 12/01/20 Aaa 214,678
----------
52,879,792
----------
Ginnie Mae - 6.0%
7,768,524 6.50%, 09/15/08 - 02/15/29 Aaa 7,328,452
1,422,364 7.00%, 05/15/23 - 06/15/23 Aaa 1,385,654
4,149,007 7.00%, 01/25/00, TBA (D) Aaa 4,007,684
813,685 8.00%, 08/15/22 - 09/15/26 Aaa 823,844
759,633 9.50%, 02/15/06 Aaa 791,372
----------
14,337,006
----------
Freddie Mac - 2.0%
2,105,159 7.00%, 08/01/10 - 12/01/11 Aaa 2,089,204
1,232,226 7.90%, 07/01/16 Aaa 1,217,593
697,445 8.00%, 04/01/07 - 08/01/09 Aaa 706,004
248,063 8.75%, 05/01/17 Aaa 260,832
545,595 9.50%, 03/01/01 - 02/01/21 Aaa 573,363
----------
4,846,996
----------
Total U.S. Government Agency Mortgage
Backed Obligations 72,063,794
----------
(Cost $74,147,461)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 16.3%
U.S. Treasury Bond - 8.4%
4,835,000 5.50%, 08/15/28 Aaa 4,126,373
9,905,000 7.13%, 02/15/23 (E) Aaa 10,313,581
3,215,000 7.25%, 05/15/16 Aaa 3,360,681
1,500,000 7.50%, 11/15/16 Aaa 1,604,532
650,000 7.63%, 11/15/22 Aaa 712,969
90,000 7.75%, 01/31/00 Aaa 90,197
----------
20,208,333
----------
Fannie Mae - 4.2%
3,400,000 6.00%, 05/15/08 Aaa 3,177,718
7,500,000 6.50%, 04/29/09 Aaa 7,027,080
----------
10,204,798
----------
U.S. Treasury Note - 3.7%
6,350,000 5.63%, 02/28/01 Aaa 6,312,300
1,740,000 5.75%, 08/15/03 Aaa 1,703,570
300,000 6.25%, 02/15/07 Aaa 295,219
</TABLE>
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ---------------------------------------------------------------------------
U.S. Treasury Note - (continued)
$ 250,000 6.50%, 08/15/05 Aaa $ 250,000
230,000 6.63%, 03/31/02 Aaa 231,581
----------
8,792,670
----------
Total U.S. Government and Agency
Obligations 39,205,801
----------
(Cost $42,196,124)
CORPORATE NOTES AND BONDS - 36.9%
Banking - 4.7%
925,000 BankBoston Corp.
6.38%, 04/15/08 A 851,736
1,500,000 BCH Cayman Islands, Ltd., Yankee
Subordinated Note, Guaranteed
6.50%, 02/15/06 Ba 1,400,803
1,000,000 Centura Banks, Inc.
6.50%, 03/15/09 Baa 905,511
2,000,000 Chase Manhattan Corp.
6.38%, 02/15/08 Aaa 1,857,390
1,000,000 Compass Trust I, Series A
8.23%, 01/15/27 Ba 949,158
1,750,000 MBNA Corp.
6.96%, 09/12/02 Baa 1,716,078
1,775,000 Providian National Bank
6.75%, 03/15/02 Aaa 1,730,510
2,000,000 Province of Alberta
4.875%, 10/29/03 Baa 1,867,820
----------
11,279,006
----------
Media - Broadcasting &
Publishing - 4.4%
1,675,000 Comcast Cable Communications, Inc.
8.13%, 05/01/04 Baa 1,711,406
1,125,000 Hearst-Argyle Television, Inc.,
Senior Note
7.00%, 01/15/18 A 1,009,843
2,000,000 Liberty Media Group
7.88%, 07/15/09 Baa 1,990,938
2,275,000 News America Holdings, Inc.
7.38%, 10/17/08 A 2,215,390
675,000 Time Warner Entertainment Co., LP,
Senior Debenture
8.38%, 03/15/23 Baa 703,937
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Baa 1,246,434
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Baa 836,747
1,000,000 USA Networks, Inc.
6.75%, 11/15/05 Ba 955,258
----------
10,669,953
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-16
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
Telephone Systems - 3.5%
$1,575,000 AT & T Capital Corp., MTN
6.25%, 05/15/01 Baa $1,558,485
1,225,000 LCI International, Inc., Senior Note
7.25%, 06/15/07 A 1,175,580
2,275,000 MCI WorldCom, Inc.
7.75%, 04/01/07 Baa 2,319,101
1,800,000 Sprint Capital Corp.
5.70%, 11/15/03 A 1,709,266
1,575,000 U.S. West Capital Funding, Inc.
6.13%, 07/15/02 Baa 1,535,242
----------
8,297,674
----------
Securities Broker - 3.4%
2,500,000 Bear Stearns Cos., Inc., Senior Note
6.15%, 03/02/04 A 2,384,903
2,045,000 Donaldson, Lufkin & Jenrette, Inc.,
Senior Note
6.88%, 11/01/05 Baa 1,967,239
2,275,000 Morgan Stanley Dean Witter & Co.
5.63%, 01/20/04 Aa 2,147,793
1,700,000 Paine Webber Group, Inc., Senior
Note
6.55%, 04/15/08 Baa 1,549,195
----------
8,049,130
----------
Forest Products & Paper - 2.5%
1,900,000 Abitibi-Consolidated,
Yankee Debenture
7.40%, 04/01/18 Baa 1,663,422
1,225,000 Chesapeake Corp.
7.20%, 03/15/05 Baa 1,128,586
800,000 Georgia-Pacific Corp.
9.95%, 06/15/02 Baa 846,065
1,000,000 International Paper Co.
6.88%, 04/15/29 A 871,787
1,500,000 Tennessee Gas Pipeline Co.,
Debentures
7.50%, 04/01/17 Baa 1,414,553
----------
5,924,413
----------
Beverages, Food & Tobacco - 2.1%
1,700,000 J. Seagram & Sons, Inc.
7.60%, 12/15/28 Aaa 1,601,771
1,500,000 Ralston Purina Co., Debenture
7.75%, 10/01/15 A 1,495,137
2,000,000 Safeway, Inc.
7.50%, 09/15/09 Baa 1,974,992
----------
5,071,900
----------
</TABLE>
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- -----------------------------------------------------------------------------
Electric Utilities - 1.8%
$2,195,000 Connecticut Light & Power Co.
7.88%, 10/01/24 Baa $2,207,615
1,000,000 Ohio Edison Co.
7.38%, 09/15/02 Baa 1,003,163
580,000 Texas Utilities Co.
7.38%, 10/01/25 Baa 517,905
800,000 Texas-New Mexico Power Co., Senior
Note
6.25%, 01/15/09 Baa 680,830
----------
4,409,513
----------
Financial Services - 1.8%
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa 1,420,872
1,750,000 Money Store, Inc.
8.05%, 04/15/02 A 1,781,168
1,035,000 Travelers Group, Inc.
7.25%, 05/01/01 Baa 1,038,819
----------
4,240,859
----------
Retailers - 1.7%
2,450,000 Dillards, Inc.
6.13%, 11/01/03 Baa 2,303,806
2,000,000 Saks, Inc.
7.00%, 07/15/04 Baa 1,892,790
----------
4,196,596
----------
Airlines - 1.6%
1,300,000 AMR Corp., Debenture
9.50%, 05/15/01 Baa 1,331,818
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Ba 2,051,547
407,839 United Air Lines, Inc.
9.30%, 03/22/08 Baa 427,778
----------
3,811,143
----------
Metals - 1.1%
2,500,000 USX Corp.
9.80%, 7/1/01 Baa 2,593,503
----------
Insurance - 1.0%
1,000,000 AON Capital Trust, Series A
8.21%, 01/01/27 A 1,006,822
1,500,000 Conseco Finance Trust III
8.80%, 04/01/27 A 1,358,321
----------
2,365,143
----------
Oil & Gas - 0.9%
800,000 Union Pacific Resources Group, Inc.
6.50%, 05/15/05 A 757,507
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 (B) BBB 1,498,481
----------
2,255,988
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-17
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------------
Communications - 0.8%
$2,275,000 Lucent Technologies, Inc.
6.45%, 03/15/29 Aaa $1,981,516
----------
Commercial Services - 0.8%
2,000,000 Cox Enterprises Inc.
6.63%, 6/14/02 Baa 1,973,558
----------
Computer Software & Processing - 0.8%
1,850,000 Sun Microsystems, Inc.
7.35%, 8/15/04 Baa 1,842,802
----------
Computers & Information - 0.7%
2,000,000 International Business Machines
Corp.
6.50%, 01/15/28 A 1,770,482
----------
Automotive - 0.7%
400,000 Ford Motor Credit Corp.
5.80%, 01/12/09 Aaa 354,600
1,300,000 Ford Motor Credit Corp.
6.25%, 12/08/05 Aaa 1,229,558
----------
1,584,158
----------
Heavy Machinery - 0.6%
1,550,000 Black & Decker Corp.
6.63%, 11/15/00 Baa 1,545,925
----------
Industrial - Diversified - 0.6%
1,500,000 Tyco International Group, SA, Yankee
Subordinated Note
6.25%, 06/15/03 Baa 1,421,964
----------
Pharmaceuticals - 0.6%
1,500,000 Watson Pharmaceuticals, Inc., Senior
Note
7.13%, 05/15/08 A 1,395,398
----------
Chemicals - 0.5%
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Baa 1,238,953
----------
Home Construction, Furnishings & Appliances - 0.3%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa 807,149
----------
Total Corporate Notes
and Bonds 88,726,726
----------
(Cost $92,619,714)
</TABLE>
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) - 14.5%
$2,350,000 BankBoston RV Asset Backed Trust,
Series 1997-1, Class A8
6.54%, 02/15/09 Aaa $2,327,769
636,685 Barnett Auto Trust, Series 1997-A,
Class A-3
6.03%, 11/15/01 Aaa 636,742
1,148,392 Bear Stearns Mortgage Securities,
Inc., Series 1995-1, Class 1A
6.48%, 05/25/10 Aaa 1,118,786
2,100,000 Bear Stearns Mortgage Securities,
Inc.
7.06%, 06/15/09 Baa 2,049,604
1,250,000 Bear Stearns Mortgage Securities,
Inc., Series 1996-3, Class A10
7.75%, 06/25/27 Baa 1,238,813
473,490 Carco Auto Loan Master Trust, Series
1997-1, Class A
6.69%, 08/15/04 Aaa 473,012
1,575,000 Chase Credit Card Master Trust,
Series 1997-5, Class A
6.19%, 8/15/05 Baa 1,547,438
2,500,000 Citibank Credit Card Master Trust
5.80%, 02/07/05 Baa 2,412,750
1,500,000 Citibank Credit Card Master Trust
6.65%, 11/15/06 Baa 1,473,600
1,066,529 COMM, Series 1999-1, Class A1
6.15%, 02/15/08 A 1,020,551
1,000,000 Copelco Capital Funding Corp.,
Series 1999-A, Class A4
5.80%, 04/15/03 Aaa 975,350
2,200,000 Discover Card Master Trust I, Series
1993-3, Class A
6.20%, 5/16/06 Aaa 2,139,500
2,500,000 Diversified REIT Trust, Series 1999-
1A, Class A2 (F)
6.78%, 05/26/07 A 2,321,875
1,170,016 DLJ Commercial Mortgage Corp.,
Series 1998-CF2, Class A1A
5.88%,11/12/31 Baa 1,104,284
1,661,393 Financial Asset Securitization,
Inc., Series 1997-NAM1, Class FXA2
7.75%, 05/25/27 Aaa 1,647,205
1,500,000 First Security Auto Owner Trust,
Series 1999-1, Class A4
5.74%, 06/15/04 Baa 1,462,245
1,110,389 GMAC Commercial Mortgage Securities,
Inc., Series 1996-C1, Class A2A, CMO
6.79%, 09/15/03 Aaa 1,101,805
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-18
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) - (continued)
$ 150,014 Green Tree Financial Corp., Series
1994-1, Class A3
6.90%, 04/15/19 Aa $ 150,074
155,876 Green Tree Recreation Equipment &
Consumer Trust, Series 1996-A, Class
A1
5.55%, 02/15/18 Aaa 151,576
580,875 Green Tree Recreation Equipment &
Consumer Trust, Series1997-B, Class
A1
6.55%, 07/15/28 (B) AAA 574,253
200,722 Olympic Automobile Receivables
Trust, Series 1996-A, Class A4
5.85%, 07/15/01 Baa 200,688
2,500,000 Residential Funding Mortgage
Securities I, Series 1999-S7, Class
A11
6.50%, 03/25/29 Ba 2,400,400
1,100,000 Sithe/Independence Funding Corp.,
Series A
9.00%, 12/30/13 Aaa 1,124,442
700,000 Southwest Gas Co., Debenture, Series
F
9.75%, 06/15/02 Baa 733,515
2,750,000 Toyota Auto Receivables Owner Trust
6.15%, 08/16/04 Aaa 2,720,163
140,048 Vendee Mortgage Trust, Series 1997-
1, Class 2B CMO
7.50%, 03/15/13 NR 139,890
1,575,000 WFS Financial Owner Trust, Series
1998-B, Class A4
6.05%, 04/20/03 Aaa 1,553,738
----------
Total Asset-Backed and Mortgage-
Backed Securities 34,800,068
----------
(Cost $35,675,990)
Financial Services - 6.5%
1,510,000 Ciesco L P
5.97%, 01/24/00 A 1,489,216
2,638,000 Homeside Lending, Inc.
6.06%, 01/25/00 A 2,601,143
11,700,000 Westways Funding I (F)
6.18%, 01/19/00 A 11,545,346
----------
15,635,705
----------
</TABLE>
COMMERCIAL PAPER (C) - 10.4%
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
Banking - 2.1%
$5,000,000 Compass Securitization LLC
5.80%, 01/24/00 A $ 4,979,056
------------
Automotive - 1.8%
3,534,000 Enterprise Funding Corp. (F)
5.92%, 01/25/00 A 3,493,320
1,000,000 Republic Industrial Funding Corp.
6.20%, 01/19/00 NR 991,561
------------
4,484,881
------------
Total Commercial Paper 25,099,642
------------
(Cost $25,099,642)
<CAPTION>
Shares
------
<C> <S> <C> <C>
INVESTMENT COMPANY - 0.0%
Investment Company - 0.0%
67,306 SSgA Prime Money Market Fund NR 67,306
------------
Total Investment Company 67,306
------------
(Cost $67,306)
Total Investments - 108.1% 259,963,337
------------
(Cost $269,806,237)
Net Other Assets And Liabilities) - (8.1)% (19,421,872)
------------
Total Net Assets - 100.0% $240,541,465
============
</TABLE>
- ------------------
(A) Pass Through Certificates
(B) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(C) Effective yield at time of purchase
(D) Forward Commitment
(E) Designated as Collateral on Forward Commitment
(F) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At December 31, 1999, these secu-
rities amounted to $17,360,541 or 7.22% of net assets.
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REIT Real Estate Investment Trust
See Notes to Financial Statements.
- --------------------------------------------
F-19
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $269,847,416. Net unrealized appreciation (depreciation) aggregated
$(9,884,079), of which $572,398 related to appreciated investment securities
and $(10,456,477) related to depreciated investment securities.
For the period ended December 31, 1999, the Portfolio has elected to defer
$271,256 of capital losses attributable to Post-October losses.
At December 31, 1999, the Portfolio had a capital loss carryforward of $319,390
which expires in 2007.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $58,200,975
and $28,560,818 of non-governmental issuers, respectively, and $167,170,746 and
$151,227,591 of U.S. Government and Agency issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$20,798,694. The value of collateral amounted to $21,251,480.
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings S&P Ratings
<S> <C> <C> <C>
Aaa 52.2% AAA 0.2%
Aa 0.9 BBB 0.6
A 18.2
Baa 24.4
Ba 3.0
NR (Not Rated) 0.5
------ -------
99.2% 0.8%
====== =======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-20
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ----------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGE BACKED OBLIGATIONS (A) - 14.9%
Fannie Mae - 8.4%
$1,250,000 6.15%, 06/25/20 $1,226,812
3,449,357 6.50%, 05/01/08 - 09/01/14 3,354,040
346,918 7.00%, 01/01/10 - 05/01/17 345,162
230,103 7.38%, 08/17/03 230,552
651,582 7.50%, 03/01/07 657,093
459,037 8.00%, 04/01/09 - 09/01/21 464,073
1,023,093 8.40%, 02/25/09 1,037,754
----------
7,315,486
----------
Freddie Mac - 4.1%
1,690,673 6.28%, 06/15/09 1,616,284
625,312 6.50%, 06/01/04 - 06/01/23 605,004
243,487 7.50%, 02/01/07 246,086
324,260 7.90%, 07/01/16 320,409
578,074 8.00%, 09/01/08 - 06/01/19 585,023
72,076 9.50%, 03/01/01 73,034
134,355 10.00%, 03/01/21 144,090
----------
3,589,930
----------
Ginnie Mae - 2.4%
66,973 6.50%, 06/15/09 65,625
1,846,813 7.00%, 06/15/09 - 06/15/12 1,838,926
181,578 9.50%, 02/15/06 188,726
----------
2,093,277
----------
Total U.S. Government Agency Mortgage Backed
Obligations 12,998,693
----------
(Cost $13,275,038)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 76.9%
Fannie Mae - 10.6%
4,078,000 5.13%, 02/13/04 3,826,302
550,000 5.84%, 03/15/01 546,246
1,425,000 6.18%, 03/15/01 1,420,753
1,713,000 6.38%, 06/15/09 1,632,347
1,850,000 6.45%, 04/23/01 1,849,776
----------
9,275,424
----------
Federal Farm Credit Bank - 7.1%
1,125,000 5.72%, 02/04/03 1,093,704
1,600,000 5.75%, 02/20/03 1,555,914
1,550,000 6.65%, 08/08/03 1,542,820
2,000,000 6.71%, 04/25/01 2,006,146
----------
6,198,584
----------
Federal Home Loan Bank - 7.1%
1,500,000 5.25%, 04/25/02 1,458,319
1,500,000 5.61%, 01/23/03 1,455,403
1,500,000 5.95%, 01/19/06 1,424,998
1,350,000 6.19%, 05/06/08 1,274,220
550,000 6.55%, 03/07/05 541,845
----------
6,154,785
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
Freddie Mac - 6.1%
$2,500,000 5.13%, 10/15/08 $2,185,147
2,200,000 5.75%, 06/15/01 - 07/15/03 2,162,315
1,000,000 6.87%, 03/03/03 1,003,887
----------
5,351,349
----------
Tennessee Valley Authority, Series D - 1.3%
1,100,000 6.00%, 11/01/00 1,095,856
----------
U.S. Treasury Bond - 1.5%
1,100,000 10.75%, 08/15/05 1,313,125
----------
U.S. Treasury Note - 43.2%
750,000 5.25%, 08/15/03 722,813
7,000,000 5.75%, 11/30/02 - 08/15/03 6,870,176
3,250,000 6.00%, 07/31/02 - 08/15/09 3,186,408
975,000 6.13%, 08/15/07 950,321
5,750,000 6.25%, 02/28/02 5,748,206
4,275,000 6.38%, 09/30/01 4,283,016
7,415,000 6.50%, 05/31/01 - 10/15/06 7,425,190
750,000 6.63%, 04/30/02 755,391
5,350,000 6.88%, 05/15/06 5,443,625
2,250,000 7.25%, 05/15/04 2,318,906
----------
37,704,052
----------
Total U.S. Government and
Agency Obligations 67,093,175
----------
(Cost $69,938,443)
ASSET BACKED SECURITIES (A) - 8.2%
1,250,000 American Express Credit Account Master Trust, Series
1999-1, Class A
5.60%, 11/15/06 1,188,000
1,500,000 American Express Master Trust, Series 1998-1,
Class A
5.90%, 04/15/04 1,455,960
2,300,000 Chase Credit Card Master Trust, Series 1997-2,
Class A
6.30%, 04/15/03 2,297,930
1,500,000 Discover Card Master Trust I, Series 1998-2, Class A
5.80%, 09/16/03 1,481,249
24,940 Green Tree Recreation Equipment & Consumer Trust,
Series 1996-A, Class A1
5.55%, 02/15/18 24,252
722,863 Premier Auto Trust, Series 1996-4, Class A4
6.40%, 10/06/01 723,369
----------
Total Asset Backed Securities 7,170,760
----------
(Cost $7,313,405)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-21
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ----------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANY - 0.2%
156,791 SSgA Prime Money Market Fund $ 156,791
-----------
Total Investment Company 156,791
-----------
(Cost $156,791)
Total Investments - 100.2% 87,419,419
-----------
(Cost $90,683,677)
Net Other Assets and Liabilities -
(0.2)% (172,652)
-----------
Total Net Assets - 100.0% $87,246,767
===========
</TABLE>
- ------------------
(A) Pass Through Certificates
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $90,736,744. Net unrealized appreciation (depreciation) aggregated
$(3,317,325), of which $7,789 related to appreciated investment securities and
$(3,325,114) related to depreciated investment securities.
At December 31, 1999, the Portfolio had a capital loss carryforwards which
expire as follows: $1,176,161 in 2002; $515,322 in 2003; $461,593 in 2004;
$64,602 in 2005; $307,677 in 2007.
For the period ended December 31, 1999, the Portfolio has elected to defer
$161,924 of capital losses attributable to Post-October losses.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $2,518,140
and $742,242 of non-governmental issuers, respectively and $48,805,549 and
$33,513,708 of U.S. Government and Agency issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$22,250,690. The value of collateral amounted to $22,985,563.
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 98.8%
NR (Not Rated) 0.2
------
100.0%
======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-22
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
CORPORATE NOTES - 47.6%
Banking - 12.5%
$4,000,000 Bankers Trust Corp.
9.50%, 06/14/00 $4,058,769
1,500,000 Bayerische Landesbank NY
6.25%, 03/15/00 1,500,205
6,000,000 Chase Manhattan Corp. MTN
4.96%, 01/20/00* 6,000,048
10,000,000 Comerica Bank
6.53%, 09/25/00* 9,998,077
5,000,000 First National Bank of Chicago, Euro MTN
7.00%, 05/08/00 5,027,230
9,000,000 First Union National Bank, MTN
6.27%, 09/27/00* 8,994,991
2,750,000 Fleet Boston Financial Corp., MTN
6.38%, 08/11/00 2,751,470
7,000,000 Key Bank National Association, MTN
5.13%, 03/22/00 6,999,321
2,000,000 KeyCorp
6.30%, 04/20/00 2,000,852
2,000,000 Norwest Financial, Inc.
6.88%, 06/15/00 2,009,553
15,000,000 Wilmington Trust Corp.
6.02%, 10/01/00 14,993,533
----------
64,334,049
----------
Securities Broker - 11.6%
1,575,000 Bear Stearns Cos., Inc., MTN
6.50%, 06/15/00 1,580,975
5,000,000 Bear Stearns Cos., Inc., MTN
5.00%, 02/02/00* 5,000,000
2,000,000 Donaldson, Lufkin & Jenrette, Inc., MTN
6.31%, 05/26/00 2,003,276
1,300,000 Goldman Sachs and Co. (A)
5.56%, 01/11/01 1,289,258
4,000,000 Goldman Sachs and Co. (A)
5.04%, 02/07/00* 4,000,000
7,000,000 Lehman Brothers Holdings, Inc., MTN
7.29%, 09/25/00 7,037,945
4,236,000 Merrill Lynch & Co., Inc., MTN
6.47%, 02/15/00* 4,238,121
675,000 Merrill Lynch & Co., Inc., MTN
6.70%, 08/01/00 677,556
14,000,000 Morgan Stanley Dean Witter & Co., MTN
6.08%, 02/14/00* 14,000,000
10,000,000 Paine Webber Group, Inc., MTN
6.64%, 12/12/00* 10,000,000
6,750,000 Paine Webber Group, Inc., MTN
7.00%, 03/01/00 6,764,318
2,000,000 Paine Webber Group, Inc., MTN
7.00%, 03/01/00 2,001,946
1,000,000 Salomon Smith Barney Holdings, Inc.
6.63%, 01/30/00 1,002,772
----------
59,596,167
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------------------
Financial Services - 9.2%
$1,000,000 Abbey National Treasury Service PLC
5.13%, 05/04/00 $ 996,329
1,000,000 Beneficial Corp., MTN
5.09%, 01/10/00* 1,000,025
1,000,000 Countrywide Funding Corp.
7.31%, 08/28/00 1,006,733
7,000,000 Heller Financial, Inc.
6.49%, 09/18/00* 6,995,170
10,000,000 Heller Financial, Inc.
5.90%, 08/07/00 9,996,833
23,000,000 Homeside Lending, Inc., MTN
6.27%, 08/16/00* 23,002,865
2,000,000 Household Finance Corp.
6.37%, 06/30/00 2,002,796
2,000,000 Household Finance Corp.
6.75%, 06/01/00 2,008,733
----------
47,009,484
----------
Telephone Systems - 3.1%
11,885,000 GTE Corp.
6.16%, 06/12/00* 11,880,251
2,356,000 GTE Corp.
9.38%, 12/01/00 2,419,519
1,500,000 Nynex Capital Funding Corp.
9.40%, 06/01/00 1,522,393
----------
15,822,163
----------
Electric Utilities - 2.9%
15,000,000 National Rural Utilities Cooperative Finance Corp.
6.14%, 06/26/00* 15,000,091
----------
Automotive - 2.3%
6,000,000 American Honda Finance Corp. (A)
5.00%, 01/20/00* 5,999,876
6,000,000 American Honda Finance Corp. (A)
5.78%, 08/02/00* 5,999,314
----------
11,999,190
----------
Aerospace & Defense - 1.9%
10,000,000 Textron Financial Corp. (A)
5.92%, 05/12/00* 10,000,000
----------
Heavy Machinery - 1.7%
4,000,000 Caterpillar Financial Services Corp., MTN
6.28%, 05/01/00 4,010,484
4,500,000 John Deere Capital Corp.
5.68%, 04/10/00 4,502,473
----------
8,512,957
----------
Retailers - 0.9%
3,700,000 Sears Roebuck Acceptance, MTN
5.88%, 05/08/00 3,697,381
1,000,000 Wal-Mart Stores, Inc.
5.85%, 06/01/00 1,000,760
----------
4,698,141
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-23
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------
Commercial Services - 0.6%
$3,000,000 International Lease Finance Corp.
6.63%, 06/01/00 $ 3,013,592
-----------
Transportation - 0.6%
3,000,000 Richmond County Development Authority
5.65%, 06/01/00 2,997,934
-----------
Computers & Information - 0.3%
1,500,000 International Business Machines Corp.
5.79%, 03/20/00* 1,498,932
-----------
Total Corporate Notes 244,482,700
-----------
(Cost $244,482,700)
COMMERCIAL PAPER (B) - 37.3%
Financial Services - 10.5%
1,212,000 Associates Financial Services
5.95%, 01/27/00 1,190,566
5,000,000 Fairway Finance Corp. (A)
5.84%, 03/09/00 4,858,056
14,000,000 Finova Capital Corp.
5.08%, 02/25/00* 14,000,000
5,000,000 Franklin Resources, Inc. (A)
6.75%, 02/14/00 4,949,375
6,000,000 Pegasus Four Ltd. (A)
6.20%, 01/12/00 5,915,267
5,536,000 Swiss Re Financial Products
5.80%, 02/15/00 5,494,973
10,000,000 Tulip Funding Corp. (A)
6.18%, 01/26/00 9,847,217
1,820,000 Variable Funding Capital (A)
6.60%, 01/10/00 1,811,325
3,000,000 Westways Funding I (A)
6.17%, 01/31/00 2,954,239
2,684,000 Westways Funding V (A)
6.20%, 01/12/00 2,645,634
-----------
53,666,652
-----------
Securities Broker - 9.4%
11,000,000 Bear Stearns Cos., Inc.
5.28%, 03/30/00* 11,000,000
15,000,000 Donaldson, Lufkin & Jenrette, Inc.
6.20%, 02/29/00 14,839,833
11,550,000 Goldman Sachs and Co. (A)
6.60%, 12/21/00 11,550,000
2,500,000 Lehman Brothers Holdings, Inc.
5.75%, 03/27/00 2,405,365
5,000,000 Lehman Brothers Holdings, Inc.
5.58%, 02/14/00 4,831,825
4,000,000 Morgan Stanley Dean Witter & Co.
5.43%, 01/31/00 3,878,127
-----------
48,505,150
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Education - 3.8%
$7,000,000 Arizona Student Loan
7.05%, 01/05/00 $ 6,990,404
5,000,000 Massachusetts College of Pharmacy
5.85%, 06/08/00 4,870,000
7,830,000 Massachusetts College of Pharmacy
5.85%, 06/06/00 7,627,692
-----------
19,488,096
-----------
Commercial Services - 3.5%
8,500,000 Block Financial Corp. (A)
6.17%, 01/31/00 8,380,542
10,000,000 Block Financial Corp. (A)
6.15%, 01/31/00 9,856,500
-----------
18,237,042
-----------
Chemicals - 2.9%
15,000,000 Akzo Nobel, Inc.
5.80%, 03/13/00 14,690,775
-----------
Oil & Gas - 1.9%
10,000,000 Equilon Enterprises, LLC
5.74%, 01/24/00 9,760,833
-----------
Automotive - 1.7%
1,630,000 Enterprise Funding Corp. (A)
5.95%, 01/18/00 1,614,644
1,546,000 Enterprise Funding Corp. (A)
5.95%, 01/27/00 1,529,136
5,575,000 Enterprise Funding Corp. (A)
6.20%, 02/11/00 5,519,312
-----------
8,663,092
-----------
Forest Products & Paper - 1.7%
4,500,000 Jefferson Smurfit Financial
6.80%, 01/21/00 4,480,450
1,000,000 Jefferson Smurfit Financial
6.95%, 01/18/00 996,139
1,200,000 Jefferson Smurfit Financial
6.80%, 01/24/00 1,193,880
2,000,000 Jefferson Smurfit Financial
6.80%, 01/28/00 1,988,289
-----------
8,658,758
-----------
Industrial - 1.0%
5,000,000 Invensys, Plc (A)
5.65%, 02/07/00 4,970,181
-----------
Electric Utilities - 0.9%
5,000,000 Florida Power & Light Group Capital, Inc. (A)
5.45%, 01/31/00 4,848,611
-----------
Total Commercial Paper 191,489,190
-----------
(Cost $191,489,190)
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-24
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 12.1%
$15,000,000 Abbey National Treasury Service PLC
6.31%, 01/31/00 $15,005,661
5,000,000 Bankers Trust Corp.
6.16%, 04/10/00* 4,999,702
10,000,000 Barclays Bank, Plc, Yankee CD
4.89%, 05/12/00* 9,997,879
10,000,000 CIC Floating Rate CD
5.82%, 08/02/00* 9,998,857
3,000,000 Commerzbank, AG, Yankee CD
4.99%, 01/25/00 2,999,978
8,000,000 European American Bank
5.28%, 05/12/00 7,999,166
10,000,000 National Bank Canada NY
6.10%, 11/22/00 9,994,035
1,215,000 Toronto Dominion Bank NY
5.18%, 02/29/00 1,213,994
-----------
Total Certificates of Deposit 62,209,272
-----------
(Cost $62,209,272)
U.S. GOVERNMENT AGENCY OBLIGATIONS (B) - 3.6%
Federal Home Loan Bank - 2.7%
900,000 4.85%, 01/27/00 899,590
8,000,000 5.19%, 03/24/00* 8,000,670
5,000,000 5.22%, 03/17/00 5,000,000
-----------
13,900,260
-----------
Fannie Mae - 0.9%
5,000,000 5.62%, 09/01/00 4,785,347
-----------
Total U.S. Government Agency Obligations 18,685,607
-----------
(Cost $18,685,607)
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANIES - 3.4%
17,438,366 Scudder Institutional Money Market Fund 17,438,366
3,830 SSgA Prime Money Market Fund 3,830
-----------
Total Investment Companies 17,442,196
-----------
(Cost $17,442,196)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------------
ASSET BACKED AND MORTGAGE BACKED SECURITIES - 1.7%
$1,514,163 Fidelity Equipment Lease Trust, Series 1999-1,
Class A1 (A), CMO
5.16%, 06/16/00 $ 1,514,163
1,839,743 Fidelity Equipment Lease Trust, Series 1999-2,
Class A1 (A), CMO
6.13%, 12/15/00 1,839,743
5,000,000 SMM Trust, 1999-C (A)
6.42%, 01/26/00* 5,000,000
------------
Total Asset Backed and Mortgage Backed Securities 8,353,906
------------
(Cost $8,353,906)
MUNICIPAL OBLIGATIONS - 0.2%
1,000,000 New Jersey State Municipal
6.38%, 08/01/00 1,004,020
------------
Total Municipal Obligations 1,004,020
------------
(Cost $1,004,020)
Total Investments - 105.9% 543,666,891
------------
(Cost $543,666,891)
Net Other Assets and Liabilities - (5.9)% (30,061,012)
------------
Total Net Assets - 100.0% $513,605,879
============
</TABLE>
- ------------------
* Variable rate security. The rate shown reflects rate in effect at
December 31, 1999.
(A) 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 December 31, 1999,
these securities amounted to $116,892,393 or 22.76% of net assets.
(B) Effective yield at time of purchase
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
See Notes to Financial Statements.
- --------------------------------------------
F-25
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $543,666,891.
At December 31, 1999, the Portfolio had a capital loss carryforwards which
expire as follows: $347 in 2002; $144 in 2003; $35,977 in 2004; $8,154 in 2005;
$52,338 in 2006.
OTHER INFORMATION
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings
(Unaudited)
<S> <C>
Aaa 96.79%
NR (Not Rated) 3.21
------
100.00%
======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-26
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
- --------------------------------------------
F-27
<PAGE>
Allmerica Investment Trust
STATEMENTS OF ASSETS AND LIABILITIES (in 000's) . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select
Aggressive International
Growth Fund Equity Fund
- ---------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investments:
Investments at cost.................................. $ 749,669 $ 430,165
Net unrealized appreciation (depreciation)........... 275,614 230,498
---------- ---------
Total investments at value........................... 1,025,283 660,663
Cash and foreign currency*............................ 10 17,991
Short-term investments held as collateral for
securities loaned.................................... 92,598 48,600
Receivable for investments sold....................... 735 20
Receivable for shares sold............................ 1,173 1,555
Receivable for variation margin....................... -- --
Interest and dividend receivables..................... 598 529
Receivable for expense reimbursement.................. -- --
Deferred organizational expense....................... -- --
Dividend tax reclaim receivables...................... -- 633
---------- ---------
Total Assets......................................... 1,120,397 729,991
---------- ---------
LIABILITIES:
Payable for investments purchased..................... 10,884 --
Payable for shares repurchased........................ 107 253
Collateral for securities loaned...................... 92,598 48,600
Net unrealized depreciation on forward currency
contracts............................................ -- 981
Advisory fee payable.................................. 638 482
Accrued expenses and other payables................... 471 334
---------- ---------
Total Liabilities.................................... 104,698 50,650
---------- ---------
NET ASSETS............................................ $1,015,699 $ 679,341
========== =========
NET ASSETS consist of
Paid-in capital....................................... $ 533,575 $ 423,297
Undistributed (distribution in excess of) net
investment income (loss)............................. -- 3,722
Accumulated (distribution in excess of) net realized
gain (loss) on investments sold, foreign currency
transactions and futures contracts................... 206,510 22,791
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in foreign
currency and futures contracts....................... 275,614 229,531
---------- ---------
TOTAL NET ASSETS...................................... $1,015,699 $ 679,341
========== =========
Shares of beneficial interest outstanding
(unlimited authorization, no par value) (in 000's).... 297,774 334,405
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)....................... $ 3.411 $ 2.031
========== =========
</TABLE>
- ------------------------------------
* Cost $17,967 for Select International Equity Fund.
See Notes to Financial Statements.
- --------------------------------------------
F-28
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Equity Investment Grade Government Money
Growth Index Income Bond Market
Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 735,056 $432,680 $269,806 $90,684 $543,667
307,746 204,401 (9,843) (3,264) --
----------
-------- -------- ------- --------
1,042,802 637,081 259,963 87,420 543,667
22,438 3 8 4 3
73,234 18,163 21,251 22,986 --
24,740 -- 36 26 --
461 714 -- -- --
-- 73 -- -- --
981 704 3,454 1,318 5,495
-- -- -- -- --
-- -- -- -- --
15 9 -- -- --
----------
-------- -------- ------- --------
1,164,671 656,747 284,712 111,754 549,165
----------
-------- -------- ------- --------
14,240 -- 21,376 -- 22,164
5 -- 1,316 1,370 13,257
73,234 18,163 21,251 22,986 --
-- -- -- -- --
367 144 90 40 100
528 210 138 111 38
----------
-------- -------- ------- --------
88,374 18,517 44,171 24,507 35,559
----------
-------- -------- ------- --------
$1,076,297 $638,230 $240,541 $87,247 $513,606
========== ======== ======== ======= ========
$ 665,263 $368,050 $251,016 $93,252 $513,703
206 247 -- -- --
103,082 64,551 (632) (2,740) (97)
307,746 205,382 (9,843) (3,265) --
---------- -------- -------- ------- --------
$1,076,297 $638,230 $240,541 $87,247 $513,606
========== ======== ======== ======= ========
325,117 157,214 228,917 86,290 513,705
$ 3.310 $ 4.060 $ 1.051 $ 1.011 $ 1.000
========== ======== ======== ======= ========
</TABLE>
------------------------------------------------------
F-29
<PAGE>
Allmerica Investment Trust
STATEMENTS OF OPERATIONS (in 000's) . For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select
Aggressive International
Growth Fund Equity Fund
- ---------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Interest............................................. $ 671 $ 615
Dividends............................................ 2,378 9,810
Securities lending income............................ 267 121
Less net foreign taxes withheld...................... -- (1,180)
--------- ---------
Total investment income.............................. 3,316 9,366
--------- ---------
EXPENSES
Investment advisory fees............................. 6,804 4,936
Custodian and Fund accounting fees................... 233 447
Legal fees........................................... 12 8
Audit fees........................................... 59 45
Trustees' fees and expenses.......................... 16 11
Reports to shareholders.............................. 162 121
Amortization of organization costs................... -- --
Miscellaneous........................................ 13 10
--------- ---------
Total expense before reductions and waiver........... 7,299 5,578
Less reductions...................................... (271) (54)
Less reimbursement/waiver............................ -- --
--------- ---------
Total expenses net of reductions and waiver.......... 7,028 5,524
--------- ---------
NET INVESTMENT INCOME (LOSS).......................... (3,712) 3,842
--------- ---------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments sold......... 208,801 31,286
Net realized gain (loss) on futures contracts........ -- --
Net realized gain (loss) on foreign currency
transactions........................................ -- 2,399
Net change in unrealized appreciation (depreciation)
of assets and liabilities in foreign currency....... -- 570
Net change in unrealized appreciation (depreciation)
of investments and futures contracts................ 76,344 126,449
--------- ---------
NET GAIN (LOSS) ON INVESTMENTS........................ 285,145 160,704
--------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................... $ 281,433 $ 164,546
========= =========
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-30
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Equity Investment Grade Government Money
Growth Index Income Bond Market
Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 687 $ 138 $16,469 $ 5,881 $22,442
9,616 7,248 70 35 269
101 22 22 25 --
(106) (71) -- -- --
-------- -------- ------- ------- -------
10,298 7,337 16,561 5,941 22,711
-------- -------- ------- ------- -------
4,048 1,531 1,060 478 1,020
249 235 100 69 112
14 8 4 1 6
77 39 14 8 18
19 11 5 2 8
130 100 56 25 66
-- -- -- -- --
15 9 3 1 2
-------- -------- ------- ------- -------
4,552 1,933 1,242 584 1,232
(335) (9) -- -- --
-- -- -- -- --
-------- -------- ------- ------- -------
4,217 1,924 1,242 584 1,232
-------- -------- ------- ------- -------
6,081 5,413 15,319 5,357 21,479
-------- -------- ------- ------- -------
104,952 64,558 (638) (500) --
-- 548 -- -- --
-- -- -- -- --
-- -- -- -- --
135,166 35,155 (16,613) (4,565) --
-------- -------- ------- ------- -------
240,118 100,261 (17,251) (5,065) --
-------- -------- ------- ------- -------
$246,199 $105,674 $(1,932) $ 292 $21,479
======== ======== ======= ======= =======
</TABLE>
------------------------------------------------------
F-31
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Aggressive Select International
Growth Fund Equity Fund Growth Fund
- ---------------------------------------------------------------------------------------------------------
Years Ended
Years Ended December 31, Years Ended December 31, December 31,
1999 1998 1999 1998 1999 1998
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning
of year................ $ 752,741 $ 604,123 $ 505,553 $ 397,915 $ 860,333 $ 728,679
----------- ----------- ------------ ------------ ----------- ---------
Increase (decrease) in
net assets
resulting from
operations:
Net investment income
(loss)................ (3,712) (2,428) 3,842 4,550 6,081 8,521
Net realized gain
(loss) on investments
sold and foreign
currency
transactions.......... 208,801 (367) 33,685 (7,626) 104,952 86,003
Net change in
unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency...... 76,344 71,945 127,019 70,083 135,166 45,169
----------- ----------- ------------ ------------ ----------- ---------
Net increase in net
assets resulting from
operations............ 281,433 69,150 164,546 67,007 246,199 139,693
----------- ----------- ------------ ------------ ----------- ---------
Distributions to
shareholders from:
Net investment income.. -- -- -- (6,430) (6,015) (8,516)
Distribution in excess
of net investment
income................ -- -- -- -- -- --
Net realized gain on
investments........... -- -- -- -- (86,927) (8,113)
----------- ----------- ------------ ------------ ----------- ---------
Total distributions... -- -- -- (6,430) (92,942) (16,629)
----------- ----------- ------------ ------------ ----------- ---------
Capital share
transactions:
Net proceeds from sales
of shares............. 182,716 102,931 402,948 141,035 32,074 28,087
Issued to shareholders
in reinvestment of
distributions......... -- -- -- 6,430 92,942 16,629
Cost of shares
repurchased........... (201,191) (23,463) (393,706) (100,404) (62,309) (36,126)
----------- ----------- ------------ ------------ ----------- ---------
Net increase from
capital share
transactions......... (18,475) 79,468 9,242 47,061 62,707 8,590
----------- ----------- ------------ ------------ ----------- ---------
Total increase
(decrease) in net
assets............... 262,958 148,618 173,788 107,638 215,964 131,654
----------- ----------- ------------ ------------ ----------- ---------
NET ASSETS at the end of
year................... $ 1,015,699 $ 752,741 $ 679,341 $ 505,553 $ 1,076,297 $ 860,333
=========== =========== ============ ============ =========== =========
Undistributed
(distribution in excess
of) net investment
income (loss).......... $ -- $ -- $ 3,722 $ (2,522) $ 206 $ 140
=========== =========== ============ ============ =========== =========
OTHER INFORMATION:
Share transactions:
Sold................... 65,884 46,519 241,959 94,467 10,842 11,374
Issued to shareholders
in reinvestment of
distributions......... -- -- -- 4,119 30,570 6,073
Repurchased............ (74,092) (12,098) (235,513) (67,343) (20,806) (14,496)
----------- ----------- ------------ ------------ ----------- ---------
Net increase in shares
outstanding.......... (8,208) 34,421 6,446 31,243 20,606 2,951
=========== =========== ============ ============ =========== =========
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-32
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Equity Index Investment Grade Government Money Market
Fund Income Fund Bond Fund Fund
- ---------------------------------------------------------------------------------------------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31, Years Ended December 31,
1999 1998 1999 1998 1999 1998 1999 1998
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 481,877 $ 297,191 $ 230,623 $ 189,503 $ 81,018 $ 55,513 $ 336,253 $ 260,619
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
5,413 4,376 15,319 12,894 5,357 3,812 21,479 14,920
65,106 11,411 (638) 1,767 (500) 434 -- (52)
35,155 80,293 (16,613) 1,626 (4,565) 654 -- ---
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
105,674 96,080 (1,932) 16,287 292 4,900 21,479 14,868
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(5,166) (4,471) (15,569) (12,840) (5,445) (3,785) (21,479) (14,920)
-- -- -- -- -- -- -- (2)
(811) (11,585) (202) -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(5,977) (16,056) (15,771) (12,840) (5,445) (3,785) (21,479) (14,922)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
119,018 115,271 33,939 39,047 29,433 29,432 1,057,803 327,728
5,977 16,056 15,771 12,840 5,445 3,785 21,479 14,922
(68,339) (26,665) (22,089) (14,214) (23,496) (8,827) (901,929) (266,962)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
56,656 104,662 27,621 37,673 11,382 24,390 177,353 75,688
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
156,353 184,686 9,918 41,120 6,229 25,505 177,353 75,634
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 638,230 $ 481,877 $ 240,541 $ 230,623 $ 87,247 $ 81,018 $ 513,606 $ 336,253
=========== =========== =========== =========== =========== =========== =========== ===========
$ 247 $ -- $ -- $ 224 $ -- $ 82 $ -- $ --
=========== =========== =========== =========== =========== =========== =========== ===========
32,647 39,162 30,980 34,443 27,893 27,717 1,057,803 327,728
1,592 4,832 14,656 11,381 5,286 3,562 21,479 14,922
(18,416) (10,552) (20,503) (12,431) (22,773) (8,436) (901,929) (266,962)
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
15,823 33,442 25,133 33,393 10,406 22,843 177,353 75,688
=========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
------------------------------------------------------
F-33
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
--------------------------------------------- -----------------------------------------------------------------
Net Realized
Net and Distributions
Asset 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 Year (Loss)(/1/) Investments Operations Income Gains Excess Capital Distributions
------------ --------- ----------- ------------ ---------- ---------- ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select
Aggressive
Growth Fund
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
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)
Growth Fund
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
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
1999 $0.951
1998 0.235
1997 0.188
1996 0.189
1995 0.451
Select
International
Equity Fund
1999 0.489
1998 0.201
1997 (0.015)
1996 0.220
1995 0.173
Growth Fund
1999 0.485
1998 0.409
1997 0.083
1996 0.157
1995 0.362
Equity Index
Fund
1999 0.652
1998 0.655
1997 0.588
1996 0.338
1995 0.359
</TABLE>
- ------------------
(A) Including reimbursements, waivers, and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(1) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $(0.009) in 1998 and $(0.010) in 1997
for Select Aggressive Growth Fund; $0.011 in 1999, $0.014 in 1998, $0.015
in 1997 and $0.011 in 1996 for Select International Equity Fund; and $0.019
in 1999, $0.027 in 1998, $0.038 in 1997 and $0.046 in 1996 for Growth Fund.
(2) Distributions in excess of net realized capital gains.
(3) Distributions in excess of net investment income.
See Notes to Financial Statements.
- --------------------------------------------
F-34
<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>
$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%
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%
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%
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-35
<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 Year (Loss) Investments Operations Income Gains Excess Capital Distributions
------------ --------- ---------- ------------ ---------- ---------- ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Grade
Income Fund
1999 $1.132 $0.068 $(0.079) $(0.011) $(0.069) $ (0.001) $-- $ -- $(0.070)
1998 1.112 0.067 0.020 0.087 (0.067) -- -- -- (0.067)
1997 1.084 0.071 0.028 0.099 (0.071) -- -- -- (0.071)
1996 1.117 0.070 (0.033) 0.037 (0.070) -- -- -- (0.070)
1995 1.012 0.071 0.106 0.177 (0.071) -- (0.001)(/1/) -- (0.072)
Government
Bond Fund
1999 1.068 0.058 (0.056) 0.002 (0.059) -- -- -- (0.059)
1998 1.047 0.058 0.021 0.079 (0.058) -- -- -- (0.058)
1997 1.036 0.061 0.011 0.072 (0.061) -- -- -- (0.061)
1996 1.062 0.062 (0.026) 0.036 (0.062) -- -- -- (0.062)
1995 0.997 0.062 0.066 0.128 (0.062) -- (0.001)(/1/) -- (0.063)
Money Market
Fund
1999 1.000 0.051 -- 0.051 (0.051) -- -- -- (0.051)
1998 1.000 0.054 -- 0.054 (0.054) -- -- -- (0.054)
1997 1.000 0.053 -- 0.053 (0.053) -- -- -- (0.053)
1996 1.000 0.052 -- 0.052 (0.052) -- -- -- (0.052)
1995 1.000 0.057 -- 0.057 (0.057) -- -- -- (0.057)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
------------ ----------
<S> <C>
Investment Grade
Income Fund
1999 $(0.081)
1998 0.020
1997 0.028
1996 (0.033)
1995 0.105
Government
Bond Fund
1999 (0.057)
1998 0.021
1997 0.011
1996 (0.026)
1995 0.065
Money Market
Fund
1999 --
1998 --
1997 --
1996 --
1995 --
</TABLE>
- ------------------------------------
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(1) Distributions in excess of net investment income.
See Notes to Financial Statements.
- --------------------------------------------
F-36
<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 Year Investment Expenses Fee Turnover
of Year Return (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------ ---------- ------------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$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 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 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-37
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940 ("the 1940 Act"), as amended, as an open-end, diversified
management investment company established as a Massachusetts business trust.
The Trust is intended to serve as an investment medium for (i) variable life
insurance policies and variable annuity contracts offered by insurance compa-
nies, (ii) certain qualified pension and retirement plans, as permitted by
Treasury Regulations; and (iii) life insurance companies and advisers to the
Portfolios and their affiliates. The Trust is comprised of fourteen managed
investment portfolios. The accompanying financial statements and financial
highlights are those of the Select Aggressive Growth, Select International
Equity, Growth, Equity Index, Investment Grade Income, Government Bond and
Money Market Funds (individually a "Portfolio", collectively, the "Portfo-
lios").
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions at
the date of the financial statements. Actual results could differ from those
estimates.
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
Security Valuation: Securities which are traded on a recognized exchange (in-
cluding securities traded through the National Market System) are valued at the
last sale price on the securities exchange on which securities are primarily
traded or, if there were no sales that day, at the mean of the closing bid and
asked price. Over-the-counter securities that are not traded through the
National Market System are valued on the basis of the bid price at the close of
business each day. Short-term investments that mature in 60 days or less are
valued at amortized cost. Corporate debt securities and debt securities of the
U.S. Government and its agencies (other than short-term investments) are valued
by an independent pricing service approved by the Board of Trustees which util-
izes market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. If not valued by a pricing
service, such securities are valued at prices obtained from independent bro-
kers. Investments with prices that cannot be readily obtained are carried at
fair value as determined in good faith under consistently applied procedures
established by and under the supervision of the Board of Trustees. The invest-
ments of the Money Market Fund are valued utilizing the amortized cost valua-
tion method, permitted in accordance with Rule 2a-7 under the 1940 Act. This
method involves valuing a portfolio security initially at its cost and thereaf-
ter assuming a constant amortization to maturity of any discount or premium.
Forward Foreign Currency Contracts: The Select International Equity Fund may
enter into forward foreign currency contracts whereby the Portfolio agrees to
exchange a specific currency at a specific price at a future date in an attempt
to hedge against fluctuations in the value of the underlying currency of cer-
tain portfolio instruments. Forward foreign currency contracts are valued at
the daily exchange rate of the underlying currency with any fluctuations
recorded as unrealized gains or losses. Receivables and payables of forward
foreign currency contracts are presented on a net basis in the Statements 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.
- --------------------------------------------
F-38
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
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
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.
Dividend income is recorded on the ex-dividend date, except that certain divi-
dends 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 tax year ending December 31, 1999. In addi-
tion, by distributing during each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, each Port-
folio will not be subject to Federal excise tax. Therefore, no Federal income
tax provision is required. Withholding taxes on foreign dividend income and
gains have been paid or provided for in accordance with the applicable
country's tax rules and rates.
Distributions to Shareholders: Dividends from net investment income are
declared and reinvested daily for the Money Market Fund, declared and distrib-
uted quarterly for the Growth, Equity Index, Investment Grade Income and Gov-
ernment Bond Funds, and annually for the Select Aggressive Growth and Select
International Equity Funds. All Portfolios declare and distribute all net real-
ized capital gains, if any, at least annually. Distributions to shareholders
are recorded on ex-dividend date. Income and capital gains distributions are
determined in accordance with income tax regulations, which may differ from
generally accepted accounting principles. These differences are primarily due
to differing book and tax treatments in the timing of the recognition of gains
or losses, including "Post-October Losses" foreign currency gains and losses
and losses deferred due to wash sales; and permanent differences due to differ-
ing treatments for paydown gains/losses on mortgage-backed securities, market
discount, and non-taxable dividends. Any taxable income or gain remaining at
fiscal year end is distributed in the following year. Permanent book and tax
basis differences relating to shareholder distributions will result in reclas-
sifications to paid in capital. 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 purposes of calculating net invest-
ment 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
------------------------------------------------------
F-39
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
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 gener-
ally cash, and is invested in short term investments. Lending portfolio securi-
ties involves possible delays in receiving additional collateral or in the
recovery of the securities or possible loss of rights in the collateral. Infor-
mation regarding the value of the securities loaned and the value of the col-
lateral at period end is included under the caption "Other Information" at the
end of each applicable Portfolio's schedule of investments. Prior to April,
1999 Bankers Trust Company was the Portfolios lending agent.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: The Investment Grade Income Fund, Government Bond Fund and
Money Market Fund may enter into contracts to purchase securities for a fixed
price at a specified future date beyond customary settlement time ("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.
3. INVESTMENT ADVISORY, 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 advisor 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 International
Equity 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
Growth 0.60% 0.60% 0.40% 0.35% 0.35% 0.35%
Prior to September 1,
1999
- ---------------------------------------------------------------------------------------------------------
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
After September 1, 1999
- ---------------------------------------------------------------------------------------------------------
Select Aggressive Growth 1.00% 0.90% 0.80% 0.70% 0.70% 0.65%
</TABLE>
- --------------------------------------------
F-40
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- --------------------------------------------------------------
<S> <C> <C> <C>
Equity Index 0.35% 0.30% 0.25%
Government Bond 0.50% 0.50% 0.50%
Money Market 0.35% 0.25% 0.20%
<CAPTION>
First Next Over
Portfolio $50,000,000 $50,000,000 $100,000,000
- --------------------------------------------------------------
<S> <C> <C> <C>
Investment Grade Income 0.50% 0.45% 0.40%
</TABLE>
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for
the payment of all fees to the Sub-Advisers. The Sub-Advisers for each of the
Portfolios are as follows:
<TABLE>
<S> <C>
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Select International Equity Bank of Ireland Asset Management (U.S.) Limited
Growth Miller Anderson & Sherrerd, LLP
Equity Index Allmerica Asset Management, Inc.
Investment Grade Income Allmerica Asset Management, Inc. (wholly-owned subsidiary of First Allmerica)
Government Bond Allmerica Asset Management, Inc.
Money Market Allmerica Asset Management, Inc.
</TABLE>
Miller Anderson & Sherrerd, LLP also manages certain assets for First Allmerica
and its affiliates.
Effective April 1, 1999, IBT provides portfolio accounting and custody services
to the Trust and receives fees and reimbursement of certain out-of-pocket
expenses for its services from the Trust. The Manager has entered into an
Administrative Services Agreement with IBT, whereby IBT performs certain admin-
istrative services for the Portfolios and is entitled to receive an administra-
tive fee and certain out-of-pocket expenses. The Manager is solely responsible
for the payment of the administrative fee to IBT. Prior to April 1, 1999, First
Data Investor Services Group, Inc. performed fund administration and fund
accounting services for the Trust, and custodian services were performed by
Bankers Trust Company. 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.
------------------------------------------------------
F-41
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
4. REIMBURSEMENT OF EXPENSES AND WAIVER OF FEES
In the event normal operating expenses of each Portfolio excluding taxes,
interest, broker commissions, and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations as a percentage of
average net assets (Select Aggressive Growth Fund--1.35%, Select International
Equity Fund--1.50%, Growth Fund--1.20%, Equity Index Fund--0.60%, Investment
Grade Income Fund--1.00%, Government Bond Fund--1.00%, and Money Market Fund--
0.60%), the Manager will voluntarily reimburse fees and any expenses in excess
of the expense limitations. Expense limitations may be removed or revised at
any time after a Portfolio's first fiscal year of operations without prior
notice to existing shareholders.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the bro-
kers will rebate a portion of brokerage commissions. Such amounts earned by the
Portfolios, under such agreements, are presented as a reduction of expenses in
the Statement 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 AND EMERGING MARKETS
All Portfolios except the Government Bond Fund may purchase securities of for-
eign issuers. The Money Market Fund may invest in only U.S. dollar denominated
foreign securities. Investing in foreign securities involves special risks not
typically associated with investing in securities of U.S. issuers. The risks
include revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign issuers and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. issuers.
Investing in emerging markets may involve special risks and considerations not
typically associated with investing in the developed markets. These risks
include revaluation of currencies, high rates of inflation, repatriation
restrictions on income and capital, and future adverse political and economical
developments. Moreover, securities issued in these markets may be less liquid,
subject to government ownership controls, subject to delayed settlements, and
their prices more volatile than those of comparable securities in the United
States.
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options trans-
actions, and forward foreign currency contracts involves risk other than that
reflected in the Statement of Assets and Liabilities. Risks associated with
these instruments include the potential for an imperfect correlation between
the movements in the price of the instruments and the price of the underlying
securities and interest rates, an illiquid secondary market for the instruments
or inability of counterparties to perform under terms of the contracts, and
changes in the value of foreign currency relative to the U.S.
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F-42
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
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dollar. The Select International Equity Fund may enter into these forward con-
tracts primarily to protect the Portfolio from adverse currency movement.
9. PLAN OF SUBSTITUTION
An application has been filed with the Securities and Exchange Commission
("SEC") seeking an order approving the substitution of shares of the Investment
Grade Income Fund ("IGIF") for all of the shares of the Select Income Fund
("SIF"). To the extent required by law, approvals of such substitution will
also be obtained from the state insurance regulators in certain jurisdictions.
The effect of the substitution will be to replace SIF shares with IGIF shares.
After the proposed substitution, the name of IGIF will be changed to the Select
Investment Grade Income Fund. The substitution is planned to be effective on or
about July 1, 2000.
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F-43
<PAGE>
Allmerica Investment Trust
REPORT OF INDEPENDENT ACCOUNTANTS
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To the Board of Trustees and Shareholders of Allmerica Investment Trust
In our opinion, the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments (except for Moody's and S&P Ratings), and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Select Aggressive Growth Fund, Select International Equity Fund, Growth
Fund, Equity Index Fund, Investment Grade Income Fund, Government Bond Fund and
Money Market Fund (seven of the funds constituting the Allmerica Investment
Trust, hereafter referred to as the "Trust") at December 31, 1999, the results
of each of their operations, the changes in each of their net assets and the
financial highlights for the periods indicated, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Trust's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards gen-
erally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial state-
ments, assessing the accounting principles used and significant estimates made
by management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2000
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F-44
<PAGE>
Allmerica Investment Trust
REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------
The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an invest-
or's shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is not insured or guaranteed by the Fed-
eral Deposit Insurance Corporation or any other government agency. Although the
Portfolio seeks to preserve the value of your investment at a stable net asset
value of $1.00 per share, it is possible to lose money by investing in the
Portfolio.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Portfolios and are not autho-
rized for distribution to prospective investors in the flexible premium vari-
able life insurance or annuity products of Allmerica Financial Life Insurance
and Annuity Company or First Allmerica Financial Life Insurance Company unless
accompanied or preceded by effective prospectuses for the flexible premium
variable insurance or annuity products of Allmerica Financial Life Insurance
and Annuity Company or First Allmerica Financial Life Insurance Company,
Allmerica Investment Trust, Variable Insurance Products Fund, Variable Insur-
ance Products Fund II, Delaware Group Premium Fund International Equity Series,
and T. Rowe Price International Stock Portfolio, which include important infor-
mation related to charges and expenses.
CLIENT NOTICES
- --------------------------------------------------------------------------------
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. Seperate account financial statements are not
provided.
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F-45
<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.
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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
