<PAGE>
CIGNA INTERNATIONAL STOCK FUND
ANNUAL REPORT TO SHAREHOLDERS
FOR THE YEAR ENDED DECEMBER 31, 1995
[HORIZONTAL GLOBE APPEARS HERE]
<PAGE>
CIGNA INTERNATIONAL STOCK FUND Management's Discussion and Analysis (Unaudited)
The year was a difficult one for International equities. A strong performance
in the last quarter of 1995 provides some optimism for 1996. The year started
badly as the Japanese equity market was rocked by the repercussions of the Great
Hansin earthquake. The collapse of Baring Brothers through unauthorized long
positions on the Japanese equity market compounded the problem. A rally in the
Yen to all time highs against the U.S. Dollar was yet another concern for equity
investors in Japan. Indeed the performance of the Japanese equity market in
1995 was a tale of two very different halves. The first half saw equity prices
collapse and the Yen rally substantially leaving returns in U.S. Dollars almost
unchanged. In the second half of 1995, a combination of a determined foreign
exchange intervention with a reliquification of the Japanese financial system
saw the Yen fall and the stock market rally, reversing the moves of the previous
period. By the year end the Dollar had returned to levels at which it started
the year, as had the Nikkei index.
The European markets enjoyed the best returns of developed markets in 1995. The
outstanding market in Europe was Switzerland which rallied 9.3% in the final
quarter, capping the year with a remarkable 42.2%. Of the other major European
markets, Germany and the UK returned 15.3% and 19.2% for the year.
In Asia, Singapore, a market which has been lackluster performer all year,
performed strongly in the quarter rallying 8.2%, the return for the year though
was only a modest 7.3%. The account is overweight Singapore and a stronger move
in the quarter augurs well for a better 1996.
The Scandinavian markets were most volatile during the year. Sweden, Norway and
Finland provided negative returns in the last quarter. The most volatile market
was Finland. This market fell 23% in the final quarter, leavings its
performance flat over the year (at one stage the market was up more than 40%).
The performance of Nokia (the dominant stock in this market) collapsed late in
the year and was the main cause of this roller-coaster ride in Finland.
During 1995, the Fund's performance was affected by its underweight position in
Europe relative to Asia. The Asian markets including Japan were somewhat
disappointing. The account reduced its weighting in emerging markets early in
1995 which was a positive contributor to performance.
The outlook for equities is mildly optimistic in 1996. We anticipate a better
year for the markets in the Asian region. We are particularly positive on the
outlook for Japan and Singapore. Conditions are right for Japan to end its long
bear market if monetary conditions remain easy. Rising unemployment is an
indication that the long awaited restructuring of corporate Japan is starting to
pick up momentum. Japan is also one of the few markets around the world which
should experience positive earnings momentum in 1996 and 1997. The outlook for
emerging markets is also improved as two years of under performance has improved
valuations relative to developed markets and global liquidity conditions are
likely to remain easy.
The major risk to a stronger 1996 would be an unexpected rise in interest rates
or a weak earnings performance. Politics will also be important as elections in
the U.S. and possibly Japan will induce a cautious investment approach from
investors.
- --------------------------------------------------------------------------------
[PERFORMANCE GRAPH APPEARS HERE]
GROWTH OF A HYPOTHETICAL $100,000 INVESTMENT (Unaudited)
1/11/93 - 12/31/95
<TABLE>
<CAPTION>
- -----------------------------
AVERAGE ANNUAL TOTAL RETURN
1 Year Life of Fund
<S> <C>
3.40% 15.07%
- -----------------------------
</TABLE>
<TABLE>
<CAPTION>
CIGNA Lipper
Point of International EAFE Index - International
Measurement Stock Fund Total Return Funds
- ----------- ------------- ------------ -------------
<S> <C> <C> <C>
01/11/93 100000 100000 100000
03/31/93 112200 108790 111990
06/30/93 120000 114523.233 123260
09/30/93 132300 125231.1552855 131420
12/31/93 142734.2 139401.06050605 132560
03/31/94 142950.3 138007.04990099 137186.344
06/30/94 149973.5 139276.71476008 144185.512
09/30/94 150865.9 145209.90280886 144331.328
12/31/94 146687.3 145209.90280886 143244.336
03/31/95 137464.8 142538.04059718 146032.2093833
06/30/95 139708.1 148549.73057347 147202.37945956
09/30/95 151292.1 156013.51957784 153453.73681273
12/31/95 151668.3 158874.15466318 159788.95766097
</TABLE>
CIGNA International Stock Fund's performance figures are historical and reflect
reinvestment of all dividends and capital gains distributions, and changes in
net asset value. The Fund does not charge a sales load. The Fund's investment
return and principal value will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. Past performance
cannot guarantee comparable future results. The Fund's performance has been
compared with the total return performance for the Morgan Stanley Capital
Markets Europe, Australia, Far East Index (EAFE) and with the Lipper
International Funds. The EAFE index performance does not reflect brokerage
charges or other investment expenses. The Lipper International Funds average
total return consists of funds which invest their assets in securities whose
primary trading markets are outside the United States. The average total return
is reduced by brokerage charges, advisory fees and other fund expenses.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
EQUITIES AND EQUIVALENTS - 98.0%
ARGENTINA - 0.6%
YPF Sociedad Anomima ADR** (Oil & Gas) 2,000 $ 43,250
-------------
AUSTRALIA - 7.2%
AWA Ltd. (Electrical Equipment) 70,000 26,015
Ausmelt Ltd. (Metal) 15,000 36,234
Black Hill Mineral N.L. (Mining)* 200,000 1,487
Broken Hill Proprietary Co., Ltd. (Diversified Resources) 6,600 93,206
Charters Towers Gold Mines N.L. (Gold Mining)* 50,000 20,812
Fosters Brewing (Brewing) 60,000 98,558
Goldfield Ltd. (Gold Mining) 16,667 41,872
Meekatharra Minerals (Mining) 200,000 44,596
Norminco Ltd. (Mining)* 250,000 13,007
Pasminco Ltd. (Mining) 41,789 51,250
Savage Resources Ltd. (Mining)* 28,300 19,562
Star Mining Corp. (Mining)* 370,000 46,752
TNT (Transportation) 25,000 33,076
Venture Exploration N.L. (Mining)* 70,000 17,170
-------------
543,597
-------------
CHILE - 0.3%
Compania de Telecomucicacion ADR** (Telecommunications) 250 20,719
-------------
FRANCE - 7.0%
AXA (Insurance) 650 43,802
Carrefour (Food Retailing) 57 34,582
Compagnie Bancaire (Finance) 375 41,964
Credit Commerciale de France (Banking) 815 41,591
Legrand (Electrical & Electronics) 245 37,823
Lyonnaise Des Eaux (Water Utility) 410 39,476
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
Primagaz (Business & Public Services) 590 $ 46,867
Promodes (Merchandising) 155 36,431
Rexel (Merchandising) 210 35,465
Societe Generale de Banque (Banking) 345 42,623
Sodexho (Leisure & Training) 165 48,520
Technip (Business & Public Services) 590 40,602
Total (Oil) 615 41,507
------------
531,253
------------
GERMANY - 4.0%
AVA Alig Handels (Food Retailing) 100 33,810
BHF Bank (Banking) 1,500 41,303
Continental Gummi Fin (Tires & Cables) Warrants* 250 7,494
Deutsche Bank AG (Banking) 900 42,644
Dresdner Bank AG (Banking) 1,500 40,049
Henkel KGAA (Household Detergents & Adhesives) 110 41,370
Hochtief AG (Construction) 65 27,731
Holzman (Construction) 68 23,939
Merrill Lynch Outperformance (Banking) Warrants* 2,500 9,515
Metallgesellschaft (Metal) 1,750 38,306
------------
306,161
------------
HONG KONG - 3.6%
Cheung Kong (Real Estate) 15,000 91,367
HSBC Holdings (Banking) 2,855 43,199
Hang Seng Bank (Banking) 5,000 44,778
Hong Kong Electric Holdings Ltd. (Electric Utility) 10,000 32,784
Hutchison Whampoa Ltd. (Conglomerate) 10,000 60,912
-------------
273,040
-------------
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDIA - 0.8%
India Fund (Investment Company) 15,000 $ 58,239
-----------
ITALY - 2.3%
Credito Italiano (Banking) 32,650 38,034
Eni SPA (Oil) 10,750 37,568
First Bank San Paolo (Banking) 5,350 31,666
Italgas (Gas Utility) 13,000 39,537
Telecom Italia (Telecommunications) 18,125 28,190
-----------
174,995
-----------
JAPAN - 31.2%
Asahi Bank (Banking) 15,000 188,862
Bridgestone Corp. (Tire & Rubber) 6,000 95,303
Canon, Inc. (Precision Instrument) 5,000 90,557
Canon Aptex Inc. (Machinery) 7,700 137,966
Catena Corp. (Office Furnishings) 4,000 54,237
CI Kasei Co. (Miscellaneous) 5,000 45,521
Daifuku Co., Ltd. (Industrial Machinery) 5,000 70,702
Fujitsu Ltd. (Electronics) 8,000 89,104
Kawasumi Labs Inc. (Healthcare) 8,000 94,528
Komori Corp. (Industrial Machinery) 3,000 75,545
Kyocera Corp. (Electronics) 2,000 148,571
Matsumotokiyoshi (Retail Grocery) 3,000 82,228
Miroku Joho Service Co., Ltd. (Accounting Soft Services) 4,000 66,247
Mitsubishi Material Corp.(Non-ferrous Metals) 15,000 77,724
Mitsui Fudosan Co. (Real Estate) 8,000 98,402
Nikko Co. (Machinery) 6,000 49,104
Nikko Securities Co., Ltd. (Investments) 8,000 103,051
Nippon Chutetsukan (Construction & Mining Equipment) 10,000 49,879
Obayashi Road Corp. (Construction) 12,000 90,189
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Omron Corp. (Electrical & Electronic Equipment) 6,000 $ 138,305
Sanwa Bank Ltd. (Banking) 5,000 101,695
Sankyo Co., Ltd. (Machinery) 2,600 120,872
Tokio Marine & Fire Insurance Ltd. (Insurance) 7,000 91,525
Tonami Transport (Transportation) 15,000 95,593
Xebio Co., Ltd. (Retail Trade) 3,000 106,053
------------
2,361,763
------------
MALAYSIA - 3.7%
Genting Berhad (Entertainment) 5,000 41,737
Malaysia Assurance (Insurance) 11,250 50,941
Malaysia Mining CP (Metals - Non Ferrous) 30,000 43,233
Metacorp Berhad (Chemical) 16,666 43,311
Park May BHD (Transportation) 10,000 20,475
Renong BHD (Multi - Industry) 54,000 79,946
------------
279,643
------------
MEXICO - 1.2%
Cemex (Cement) 6,750 23,142
Desc (Miscellaneous) 2,702 9,964
Desc De C V (Miscellaneous) 10,000 36,876
Telefonos de Mexico ADR** (Telecommunications) 750 23,906
------------
93,888
------------
NETHERLANDS - 3.3%
Bolswessanen (Food & Beverages) 1,500 32,249
Gist Brocades (Health & Household) 2,000 59,575
Pirelli Tyre Holdings (Tyres & Cables)* 10,000 87,244
Royal Dutch Petroleum (Energy) 350 48,900
</TABLE>
The Notes to FInancial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
Unilever NV (Food & Beverage) 180 $ 25,294
-----------
253,262
-----------
NEW ZEALAND - 1.9%
Boag (J) & Sons (Brewing)* 30,000 7,845
Carter Holt Harvey Ltd. (Forest Products) 33,879 73,092
Sanford (Agriculture) 10,000 19,809
Sanford Ltd. (Agriculture) 1,000 817
Zuelig New Zealand Ltd. (Miscellaneous) 110,000 43,149
-----------
144,712
-----------
NORWAY - 1.2%
Norsk Hydro (Energy) 1,000 41,995
Saga Petroleum (Energy) 4,000 53,362
-----------
95,357
-----------
SINGAPORE - 10.2%
City Developments Ltd. (Real Estate) 10,000 72,817
Comfort Group (Transportation) 100,000 84,836
DBS Land (Real Estate) 30,000 101,378
Electronic Resources (Electronics) 30,000 27,571
Hong Leong Finance (Financial Services) 10,000 34,076
Keppel Corp., Ltd. (Conglomerate) 10,000 89,077
Natsteel Ltd. (Iron/Steel) 30,000 61,506
Overseas-Chinese Banking Corp., Ltd. (Banking) 3,000 37,540
Singapore Airlines Ltd. (Airlines) 5,000 46,660
Times Publishing (Publishing) 7,000 16,232
United Overseas Bank Ltd. (Banking) 7,424 71,379
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
<S> <C> <C>
United Overseas Land Ltd. (Real Estate) 35,000 $ 66,561
Wing Tai Holdings (Real Estate) 30,000 61,294
-----------
770,927
-----------
SOUTH AFRICA - 0.7%
Western Area Gold Mining (Mining) 3,000 50,610
-----------
SPAIN - 2.7%
Amper SA (Electrical & Electronics)* 2,850 33,716
BCO Bilbao Vizcaya (Banking) 1,050 37,828
Iberdrola SA (Utilities) 5,100 46,669
Repsol SA (Energy) 1,475 48,336
Sevillana De Electricite (Utility) 5,150 39,994
-----------
206,543
-----------
SWEDEN - 1.0%
Assi Doman (Forest Products) 1,500 32,532
ICB Shipping (Shipping)* 5,500 47,216
-----------
79,748
-----------
SWITZERLAND - 3.8%
Biber Holding (Paper Products) 1,250 21,673
Danzas Holding (Transportation) 50 55,483
Interdiscount Holding (Stores) 350 21,998
Magazine Globus (Stores) 25 15,388
Movenpick Holdings (Leisure) 120 44,213
Sulzer AG (Engineering) 75 42,913
Winterthur (SBC) (Food) Warrants* 3,500 32,998
</TABLE>
The Notes to Financial Statements are an integral part of these statemnets.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Winterthur (Insurance) 75 $ 53,446
-----------
288,112
-----------
THAILAND - 0.9%
Thai Fund (Investment Company) 3,073 68,758
-----------
UNITED KINGDOM - 10.2%
Associated British Ports Holdings PLC (Transportation) 4,000 17,953
BAT Industries PLC (Tobacco) 10,250 90,259
BTR PLC (Diversified) Warrants* 229 72
Barclays Bank PLC (Banking) 7,000 80,230
British Telecommunications PLC (Telecommunications) 5,300 29,056
Courtaulds Textiles PLC (Apparel & Textiles) 2,000 12,626
Glaxo Holdings PLC (Pharmaceutical) 5,000 71,051
Grand Metropolitan (Spirit & Wines) 8,000 57,587
Hanson PLC (Diversified) 16,700 49,797
Ladbroke Group PLC (Leisure) 2,100 4,778
Prudential Corp. PLC (Life Assurance) 16,200 104,285
SmithKline Beecham PLC (Pharmaceutical) 6,000 66,159
Standard Chartered (Banking) 7,000 59,574
TESCO PLC (Retail Grocery) 17,700 81,641
Whitbread PLC (Brewing) 5,000 52,842
-----------
777,910
-----------
UNITED STATES - 0.1%
U.S Industry Inc New (Miscellaneous Industrial) 167 3,069
-----------
VENEZEULA - 0.1%
Corimon C A S A C A ADR** (Pollution Control) 1,000 3,750
-----------
</TABLE>
The Notes to Financial Statements are an integral part of these statemnets.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
VALUE
- -----------------------------------------------------------------------------------------------------------------------
<S> <C>
TOTAL INVESTMENTS IN SECURITIES - 98.0%
(Total Cost - $6,869,880) $ 7,429,306
Cash and Other Assets Less Liabilities - 2.0% 151,769
------------
NET ASSETS - 100.0%
(equivalent to $11.27 per share based on 672,885
shares outstanding) $ 7,581,075
============
</TABLE>
* Non-income Producing Securities.
** An American Depository Receipt (ADR) is a certificate issued by a U.S. bank
representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
The Notes to Financial Statements are an integral part of these statemnets.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<S> <C>
ASSETS:
Investments in securities at value (Cost - $6,869,880) $ 7,429,306
Foreign currency (Cost - $115,916) 115,009
Cash on deposit with custodian 38,857
Dividends receivable 20,751
Net unrealized appreciation of forward foreign
exchange contracts 5,905
Receivable from advisor 3,131
Investment for deferred compensation plan (Cost - $8,501) 9,036
Other assets 1,101
-------------
TOTAL ASSETS 7,623,096
-------------
LIABILITIES:
Payable for deferred compensation plan 9,036
Other accrued expenses 32,985
-------------
TOTAL LIABILITIES 42,021
-------------
NET ASSETS (applicable to 672,885 shares of beneficial
interest with par value of $.001 per share issued and
outstanding; unlimited number of shares authorized) $ 7,581,075
=============
Shares outstanding 672,885
=============
Net asset value, offering price and redemption price per share $ 11.27
=============
COMPONENTS OF NET ASSETS:
Capital paid in $ 7,087,048
Distributions in excess of net investment income (131,871)
Net unrealized appreciation of investments, deferred
compensation plan, forward foreign exchange contracts,
foreign currencies and other net assets 565,055
Accumulated net realized gain on investments 60,843
-------------
NET ASSETS $ 7,581,075
=============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<S> <C>
INVESTMENT INCOME
INCOME:
Dividends (net of foreign taxes withheld of $15,993) $ 108,572
Interest 23
-------------
108,595
EXPENSES:
Custodian fees and expenses 76,604
Investment advisory fees 57,492
Auditing and legal fees 23,396
Administrative services 19,204
Other 9,602
-------------
Total expenses 186,298
Less expenses waived by investment advisor (104,082)
-------------
Net expenses 82,216
-------------
NET INVESTMENT INCOME 26,379
-------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain from securites transactions 295,350
Net realized gain on foreign currencies and forward
foreign exchange contracts 62,249
Net unrealized depreciation of investments, deferred
compensation plan, forward foreign exchange
contracts, foreign currencies and other net assets (137,808)
-------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FOREIGN CURRENCY 219,791
-------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 246,170
=============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended December 31,
1995 1994
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 26,379 $ 23,685
Net realized gain from securities transactions
and foreign currency transactions 357,599 900,988
Net unrealized depreciation of investments, deferred
compensation plan, forward foreign exchange
contracts, foreign currencies and other net assets (137,808) (725,785)
------------- -------------
Net increase in net assets from operations 246,170 198,888
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (26,379) (20,707)
In excess of net investment income (143,621) -
From net realized capital gains (388,162) (977,504)
------------- -------------
Total distributions to shareholders (558,162) (998,211)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 558,162 998,211
------------- -------------
Net increase from capital share transactions 558,162 998,211
------------- -------------
Net increase in net assets 246,170 198,888
NET ASSETS:
Beginning of period 7,334,905 7,136,017
------------- -------------
End of period (including overdistributed net investment
income of $131,871 and $55,008, respectively) $ 7,581,075 $ 7,334,905
============= =============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND Notes to Financial Statements
1. SIGNIFICANT ACCOUNTING POLICIES. CIGNA International Stock Fund (the
"Fund") was organized as the sole series of CIGNA Institutional Funds Group, a
Massachusetts business trust (the "Trust") on August 10, 1992 and is registered
under the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The Fund's objective is to provide long-term
growth of capital by investing primarily in common stocks, preferred stocks and
convertible debt of companies based outside the United States. The preparation
of financial statements in accordance with generally accepted accounting
principles requires management to make estimates and assumptions that affect the
reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates. The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its
financial statements.
A. SECURITY VALUATION - Equity securities, including warrants, that are listed
on a United States or foreign securities exchange are valued at the last sale
price or, if there is no such price available, at the last bid price. Portfolio
securities that are traded on foreign securities exchanges are generally valued
at the preceding closing prices of such securities on their respective
exchanges. A security that is listed or traded on more than one exchange is
valued on the exchange determined to be the primary market for such security by
the Board of Trustees or its delegates. Other equity securities traded in the
over-the-counter market, including listed securities whose primary markets are
believed to be over-the-counter, are valued at the most recent bid price which
may be based on valuations furnished from a pricing service or from independent
securities dealers. Short-term investments with remaining maturities of up to
and including 60 days are valued at amortized cost, which approximates market.
Short-term investments that mature in more than 60 days are valued at current
market quotations. Other securities and assets of the Fund are appraised at
fair value as determined in good faith by, or under the authority of, the
Trustees.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME - Security transactions
are accounted for on the trade date (date the order to buy or sell is executed).
Dividend income is recorded on the ex-dividend date, and interest income is
recorded on the accrual basis. Securities gains and losses are determined on
the basis of identified cost. The cost for Federal income tax purposes is
substantially the same.
C. FEDERAL TAXES - It is the Fund's policy to continue to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income and capital gains, if any,
to its shareholders. Therefore, no Federal income or excise taxes on realized
income have been accrued.
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS - Dividends and distributions
are recorded by the Fund on the ex-dividend date. The timing and
characterization of certain income and capital gains distributions are
determined in accordance with federal tax regulations which may differ from
generally accepted accounting principles. To the extent that such differences
are permanent, a reclass to paid in capital may be required.
E. CURRENCY TRANSLATION AND FORWARD CURRENCY CONTRACTS - Foreign currency
amounts are translated into U.S. dollars at the prevailing exchange rates as
follows: assets and liabilities at the rate of exchange at the end of the
period, purchases and sales of securities and expenses at the rate of exchange
prevailing on the dates of such transactions. The Fund from time to time may
enter into foreign currency transactions to convert to and from different
foreign currencies and to convert foreign currencies to and from the U.S.
dollar. The Fund enters into these transactions either on a spot basis at the
spot rate prevailing in the foreign currency exchange market or uses forward
currency exchange contracts to purchase or sell foreign currencies. Realized
and unrealized gains and losses on foreign currency transactions represent
foreign exchange gains and losses arising from the sale of holdings of foreign
currencies, foreign currency exchange rate fluctuations between trade dates and
settlement dates on securities transactions, and the difference between the
amounts of interest and dividends recorded on the books of the Fund and the
amount actually received.
<PAGE>
CIGNA INTERNATIONAL STOCK FUND Notes to Financial Statements (Continued)
2. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES. Investment
advisory fees were paid or accrued to CIGNA Investments, Inc. (CII), certain
officers and directors of which are affiliated with the Fund. Such advisory
fees are based on an annual rate of 0.80% applied to the average daily net
assets of the Fund. CII has voluntarily agreed to reimburse such portion of its
fee and absorb other expenses as is necessary to cause the total annual
operating expenses of the Fund not to exceed 1.25% of the Fund's average daily
net assets.
The Fund reimburses CII for a portion of the compensation and related expenses
of the Fund's Treasurer and Secretary and certain persons who assist in carrying
out the responsibilities of those offices. For the year ended December 31,
1995, the Fund paid or accrued $19,204.
CII is an indirect, wholly-owned subsidiary of CIGNA Corporation.
3. TRUSTEES' FEES. Trustees' fees represent remuneration paid or accrued to
trustees who are not employees of CIGNA Corporation or any of its affiliates.
Trustees may elect to defer receipt of all or a portion of their fees which are
invested in mutual fund shares in accordance with a deferred compensation plan.
4. PURCHASES AND SALES OF SECURITIES. Purchases and sales of securities,
excluding short-term obligations, aggregated $4,392,958 and $4,203,462,
respectively, for the year ended December 31, 1995. As of December 31, 1995, the
cost of securities for Federal income tax purposes was $6,922,544. At December
31, 1995, unrealized appreciation for Federal income tax purposes aggregated
$506,762, of which $1,196,228 related to appreciated securities and $689,466
related to depreciated securities.
5. FORWARD CURRENCY CONTRACTS. During the year, the Fund has entered into
various forward currency contracts under which it has been obligated to exchange
currencies at certain specified dates. Risks arise from the possible inability
of the counterparties to meet the terms of their contracts and from the movement
of currency values. The outstanding contract at December 31, 1995 was as
follows:
<TABLE>
<CAPTION>
Settlement Contract to Unrealized
----------------------------------
Date Receive Deliver Appreciation
------------ ---------------- ---------------- ------------
<S> <C> <C> <C>
2/22/96 JPY 30,132,300 $300,000 $5,905
</TABLE>
JPY = Japanese Yen
6. CAPITAL STOCK. The Fund offers an unlimited number of shares of beneficial
interest with a par value of $.001 per share. All of the shares outstanding at
December 31, 1995 were owned by an affiliate of CII. The only transaction in
capital stock for the period from January 1, 1994 to December 31, 1995 was the
reinvestment of a dividend and distribution in the amount of $558,162 and
$998,211 in 49,745 and 82,890 additional shares on December 29, 1995 and
December 28, 1994, respectively.
7. POST OCTOBER LOSSES. Under current tax law, certain net foreign currency
exchange losses realized after October 31 may be deferred and may be deferred
and treated as occurring on the first day of the following year. For the year
ended December 31, 1995, the Fund may elect to defer losses of $69,814 occurring
between November 1, 1995 and December 31, 1995.
<PAGE>
CIGNA International Stock Fund Notes to Financial Statements (Continued)
8. FINANCIAL HIGHLIGHTS. The following selected per share data is computed on
the basis of a share outstanding throughout each period:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
January 11, 1993
Year Ended December 31, through
1995 1994 December 31, 1993*
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.77 $ 13.21 $ 10.00
INCOME FROM INVESTMENT OPERATIONS
Net investment income** 0.15 0.04 0.09
Net realized and unrealized gains on securities
transactions, foriegn currencies and forward
foreign exchange contracts 0.23 0.33 4.18
------------- ------------- ------------------
TOTAL FROM INVESTMENT OPERATIONS 0.38 0.37 4.27
------------- ------------- ------------------
LESS DISTRIBUTIONS:
Distributions from net investment income (0.15) (0.04) (0.09)
Distributions in excess of net investment income (0.12) - (0.02)
Distributions from capital gains (0.61) (1.77) (0.95)
------------- ------------- ------------------
TOTAL DISTRIBUTIONS (0.88) (1.81) (1.06)
------------- ------------- ------------------
NET ASSET VALUE, END OF PERIOD $ 11.27 $ 11.27 $ 13.21
------------- ------------- ------------------
TOTAL INVESTMENT RETURN 3.40% 2.77% 42.73%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted) $ 7,581 $ 7,335 $ 7,136
Ratio of operating expenses to average net assets 1.41% a 1.25% a 1,25% a
Ratio of net investment income to average net assets 0.37% b 0.32% b 0.75% b
Portfolio turnover 63% 63% 66%
</TABLE>
a. Ratios of expenses to average net assets prior to expense reimbursements
were 2.59%, 2.35% and 2.67%, respectively, for 1995, 1994 and 1993. Per
share expenses prior to reduction were $0.28, $0.29 and $0.30, respectively.
b. Ratios of net investment income to average net assets prior to expense
reimbursements were (1.08)%, (0.78)% and (0.73)%, respectively, for 1995,
1994 and 1993. Per share net investment loss amounts prior to reduction were
$(0.12), $(0.10) and $(0.08), respectively.
* Commencement of operations.
** Net investment income per share has been calculated in accordance with SEC
requirements, with the exception that end of year
accumulated/(overdistributed) net investment income has not been adjusted to
reflect current year permanent differences between financial and tax
accounting.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of CIGNA International Stock Fund
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, 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 CIGNA International Stock Fund at
December 31, 1995, the results of its operations for the year then ended, the
changes in its net assets and the financial highlights for each of the periods
indicated, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1995 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
February 15, 1996
