ANNUAL
REPORT
December 31, 1996
WRIGHT MANAGED BLUE CHIP SERIES TRUST
Wright Managed Blue Chip Series Trust is a diversified, open-end management
investment company, that is designed to be the funding vehicle for various
insurance contracts to be offered by PFL Life Insurance Company and other
participating insurance companies. Shares of the Trust will be offered
exclusively to the separate accounts of such insurance companies. Four managed
investment portfolios of the Trust and their investment objectives are described
below:
Wright Near Term Bond Portfolio (WNTBP) seeks high total return, to the extent
consistent with reasonable safety, by investing primarily in debt securities
directly issued or guaranteed by the U.S. Government. The Portfolio expects to
maintain an average weighted portfolio maturity of five years or less.
Wright Total Return Bond Portfolio (WTRBP) seeks high total return, consisting
of current income and capital appreciation, by investing primarily in
obligations issued, or guaranteed by the U.S. Government and its agencies or
instrumentalities and in high-grade corporate debt securities of any maturity.
Wright Selected Blue Chip Portfolio (WSBCP) seeks long-term capital appreciation
and, as a secondary objective, reasonable, current income by investing primarily
in equity securities of well-established U.S. companies that meet the investment
adviser's quality standards.
Wright International Blue Chip Portfolio (WIBCP) seeks long-term capital
appreciation by investing primarily in equity securities of well-established,
non-U.S. companies that meet the investment adviser's quality standards.
TABLE OF CONTENTS
Investment Objectives.....Inside Front Cover
Report to Shareholders.................... 1
Wright Near Term Bond Portfolio
Portfolio of Investments................ 3
Financial Statements.................... 4
Wright Total Return Bond Portfolio
Portfolio of Investments................ 7
Financial Statements.................... 8
Wright Selected Blue Chip Portfolio
Portfolio of Investments............... 11
Financial Statements................... 14
Wright International Blue Chip Portfolio
Portfolio of Investments............... 17
Financial Statements................... 19
Notes to Financial Statements............ 22
<PAGE>
WRIGHT MANAGED BLUE CHIP SERIES TRUST
===============================================================================
January 1997
Dear Shareholders:
The great bull market in stocks continued in force through the end of 1996
and into the early trading sessions of 1997. The bull market actually dates back
at least to October 1990, when the major stock market averages began what was to
become an unprecedented six-year run without a 10% correction. The past two
years have been especially noteworthy: eight straight positive quarters; the Dow
Jones Industrial Average passing the 4000, 5000 and 6000 milestones; in total a
68% advance in the DJIA, the best two-year showing in 40 years. A record $220
billion flowed into stock mutual funds during the year, bringing the 1995-96
total to $350 billion. The Federal Reserve's repeated decision not to raise
interest rates during 1996 contributed to 1996's positive investor psychology.
Except for Japan, the world's major stock markets experienced significant
increases in price levels during 1996. Notwithstanding Tokyo's awful performance
during 1996 and further weakness early in 1997, investor sentiment may begin to
shift toward lagging markets some time this year. In any event, it is clear that
global economic fundamentals are beginning to lean a little in the direction of
foreign markets. Investors will probably be well served over the course of
1997-98 by a healthy allocation to quality foreign equities.
The U.S. bond market was weak in the first quarter of 1996, was flat over
the middle six months, and improved during the fourth quarter. Bond market
values rose sharply in October and November before giving up some of the gains
to profit taking in December. For the entire year, bond market performance was
disappointing, as fears of inflation and Fed tightening sent interest rates
higher. During the fourth quarter, these concerns lessened, and at year end
long-term Treasury bond yields were some 50 basis points below last summer's
peak levels.
In economic terms, 1996 was close to the "best of all worlds" and 1997 may
look a lot like 1996. Real GDP growth on the order of 2 1/2% is forecast for
1997, the same as has been averaged since the expansion began in 1991; for the
sixth straight year, inflation is expected to remain at or under 3% during 1997.
At least as far as Wall Street is concerned, this combination of moderate growth
and low inflation is as close to the optimal trajectory for the U.S. economy as
we have been in more than two decades. Expansions in Europe and Japan may become
more convincing in the year ahead, but surplus global capacity will keep
inflation pressures under control. If our forecasts of moderate global growth
and low inflation hold up, the Federal Reserve may be content to keep interest
rates at 1995-96 levels in the year ahead.
The coming year will probably be challenging for the stock market. The
economic backdrop is favorable for stocks, but perhaps not so positive as to
sustain the bull market in stocks without some interim profit taking this year.
After six years of pretty steady advances, the U.S. stock market may be due for
a 10% correction. Longer term, the outlook remains favorable for high-quality
stocks. Rising productivity and profitability, low inflation, the possibility of
greater fiscal discipline out of Washington and other world capitals, and a
population increasingly inclined toward saving and investment constitute a
positive environment for equity securities into the 21st century.
As always, it should be understood that past performance does not guarantee
future results and that 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. Investing internationally entails additional risks, such as
currency fluctuations and potential political instability.
Sincerely,
Peter M. Donovan, President
<PAGE>
WRIGHT MANAGED BLUE CHIP SERIES TRUST
WRIGHT NEAR TERM BOND PORTFOLIO
Growth of $10,000 invested 2/1/94* through 12/31/96
Annual Total Return
Lst 1 Yr Since Incept*
Wright Near Term Bond Portfolio +2.8% +3.2%
Lehman Gov't/Corp Index +2.9% +5.4%
Morningstar Gov't (1-5 Yrs) Funds +3.2% +3.8%
The cumulative total return of a U.S. $10,000 investment in the WRIGHT NEAR
TERM BOND PORTFOLIO on 2/1/94 would have grown to $10,969 by December 31, 1996.
The following plotting points are used for comparison in the total
investment return mountain chart.
Date Wright Near Term Lehman Gov't/Corp Morningstar Gov't
Bond Portfolio Index (1-5 Yrs) Funds
01/31/94 $10,000 $10,000 $10,000
12/31/94 $9,623 $9,506 $9,694
12/31/95 $10,673 $11,335 $10,799
12/31/96 $10,969 $11,664 $11,146
WRIGHT MANAGED BLUE CHIP SERIES TRUST
WRIGHT TOTAL RETURN BOND PORTFOLIO
Growth of $10,000 invested 1/1/94* through 12/31/96
Annual Total Return
Last 1 Yr Since Incept*
Wright Total Return Bond Portfolio +1.1% +3.1%
Lehman Gov't/Corp Index +2.9% +5.8%
Lipper Fixed Income Funds +4.7% +5.3%
The cumulative total return of a U.S. $10,000 investment in the WRIGHT
TOTAL RETURN BOND PORTFOLIO on 1/1/94 would have grown to $10,973 by December
31, 1996
The following plotting points are used for comparison in the total
investment return mountain chart.
Date Wright Total Return Lehman Gov't/Corp Lipper Fixed
Bond Portfolio Index Income Funds
12/31/93 $10,000 $10,000 $10,000
12/31/94 $9,290 $9,649 $9,672
12/31/95 $10,859 $11,506 $11,144
12/31/96 $10,973 $11,840 $11,667
WRIGHT MANAGED BLUE CHIP SERIES TRUST
WRIGHT SELECTED BLUE CHIP PORTFOLIO
Growth of $10,000 invested 2/1/94* through 12/31/96
Annual Total Return
Lst 1 Yr Since Incept*
Wright Selected Blue Chip Portfolio +22.8% +13.7%
Lipper Growth Funds +19.2% +14.7%
NYSE +21.9% +17.2%
Wright U.S. Fiduciary Equity Index +19.1% +15.1%
The cumulative total return of a U.S. $10,000 investment in the WRIGHT
SELECTED BLUE CHIP PORTFOLIO on 2/1/94 would have grown to $14,532 by December
31, 1996.
The following plotting points are used for comparison in the total
investment return mountain chart.
Date Wright Selected Lipper Equity NYSE Wright U.S. Fid
Blue Chip Port. Growth Funds Index Equity Index
01/31/94 $10,000 $10,000 $10,000 $10,000
12/31/94 $9,374 $9,571 $9,666 $9,815
12/31/95 $11,834 $12,518 $13,037 $12,673
12/31/96 $14,532 $14,925 $15,894 $15,095
WRIGHT MANAGED BLUE CHIP SERIES TRUST
WRIGHT INTERNATIONAL BLUE CHIP PORTFOLIO
Growth of $10,000 invested 2/1/94* through 12/31/96
Annual Total Return
Lst 1 Yr Since Incept*
Wright Int'l Blue Chip Portfolio +17.4% +6.1%
FT World Ex U.S. Index +6.5% +5.7%
Wright Int'l Fiduciary Equity Index +5.7% +3.7%
The cumulative total return of a U.S. $10,000 investment in the WRIGHT
INTERNATIONAL BLUE CHIP PORTFOLIO on 2/1/94 would have grown to $11,887 by
December 31, 1996.
The following plotting points are used for comparison in the total
investment return mountain chart.
Date Wright Int'l FT World Ex U.S Wright Int'l
Blue Chip Port. Index Fiduciary Equity
Index
01/31/94 $10,000 $10,000 $10,000
12/31/94 $9,154 $9,993 $9,955
12/31/95 $10,126 $11,037 $10,515
12/31/96 $11,887 $11,755 $11,118
NOTES: *: For comparison with other averages, the investment results are shown
from the first month-end since the Fund's inception. The investment results of
Wright Managed Blue Chip Series Trust, Lipper's average of 775 Equity Growth
Funds and 1645 Fixed Income Funds and Morningstar's average of 114 Government
General Funds with average maturities of one to five years are net of all fees
and expenses charged to the Funds. No fees or expenses have been deducted from
the other averages. The Total Investment Return is the % return of an initial
$10,000 investment made at the beginning of the period to the ending redeemable
value assuming all dividends and distributions are reinvested. Past performance
is not predictive of future performance.
<PAGE>
WRIGHT NEAR TERM BOND PORTFOLIO (WNTBP)
PORTFOLIO OF INVESTMENTS
December 31, 1996
<TABLE>
<CAPTION>
Face Coupon Maturity Market Current Yield To
Amount Description Rate Date Price Value Yield(1) Maturity(1)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 25,000 U.S. Treasury Note 4.750% 2/15/97 $ 99.891 $ 24,973 4.76% 5.48%
55,00 U.S. Treasury Note 5.625% 8/31/97 100.031 55,017 5.62% 5.51%
50,0 U.S. Treasury Note 6.000% 9/30/98 100.250 50,125 5.99% 5.82%
100,00 U.S. Treasury Note 5.875% 3/31/99 99.906 99,906 5.88% 5.92%
100,00 U.S. Treasury Note 5.625% 2/28/01 98.016 98,016 5.74% 6.18%
40,00 Fed. Nat'l Mortgage Assoc. 7.000% 8/11/99 100.562 40,225 6.96% 6.82%
100,00 Fed. Nat'l Mortgage Assoc. 5.861% 1/01/27 100.531 100,531 5.83% N/C
50,00 Fed. Farm Credit Banks 8.650% 10/01/99 106.172 53,086 8.15% 6.09%
50,00 Fed. Home Loan Banks 7.780% 2/03/00 104.344 52,172 7.46% 6.24%
40,00 Student Loan Marketing
Assoc. 7.500% 3/08/00 103.609 41,444 7.24% 6.24%
----------
Total Investments (identified cost, $612,547) -- 94.3% $615,495 6.24% 6.01%
====== ======
Other Assets, less Liabilities -- 5.7% 36,958
----------
Net Assets -- 100.0% $652,453
==========
Average Maturity -- 2.9 Years(1)
</TABLE>
(1) Unaudited.
See notes to financial statements
<PAGE>
WRIGHT NEAR TERM BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
- ----------------------------------------------------------------------------
ASSETS:
Investments --
Identified cost.................... $ 612,547
Unrealized appreciation............ 2,948
---------
Total value (Note 1A)............ $ 615,495
Cash................................. 25,727
Interest receivable.................. 10,879
Deferred organizational costs (Note 1E) 3,529
Receivable from Investment Adviser... 4,128
---------
Total Assets....................... $ 659,758
---------
LIABILITIES:
Payable for Fund shares reacquired... $ 516
Trustees fees payable................ 63
Accrued expenses..................... 6,726
---------
Total Liabilities.................. $ 7,305
---------
NET ASSETS.............................. $ 652,453
=========
NET ASSETS CONSIST OF:
Paid-in capital......................... $ 663,980
Accumulated net realized loss on investment
transactions......................... (14,475)
Unrealized appreciation of investments.. 2,948
---------
Net assets applicable to
outstanding shares ................ $ 652,453
=========
SHARES OF BENEFICIAL INTEREST
OUTSTANDING.......................... 67,238
=========
NET ASSET VALUE, OFFERING PRICE,
AND REDEMPTION PRICE PER SHARE
OF BENEFICIAL INTEREST............... $9.70
=========
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1996
- -------------------------------------------------------------------------
INVESTMENT INCOME:
Income --
Interest................................... $ 21,271
---------
Expenses --
Investment Adviser fee (Note 3)............ $ 1,772
Administrator fee (Note 3) ................ 197
Compensation of Trustees not affiliated with
the Investment Adviser or Administrator 2,666
Custodian fee (Note 1D).................... 18,144
Amortization of organization expense
(Note 1E)................................ 1,753
Audit...................................... 9,300
Legal...................................... 719
Printing................................... 745
Registration costs......................... 813
Miscellaneous.............................. 818
---------
Total expenses......................... $ 36,927
---------
Deduct --
Reduction of Custodian fee (Note 1D)....... $ 2,294
Reduction of Investment Adviser fee (Note 3) 1,772
Reduction of Administrator fee (Note 3). 197
Allocation of expense to the
Investment Adviser (Note 3).............. 29,128
---------
Total deducted......................... $ 33,391
---------
Net expenses........................... $ 3,536
---------
Net investment income................ $ 17,735
---------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investment transactions. $ 560
Change in unrealized appreciation
of investments.............................. (8,161)
---------
Net realized and unrealized loss........... $ (7,601)
---------
Net increase in net assets from operations $ 10,134
=========
See notes to financial statements
<PAGE>
WRIGHT NEAR TERM BOND PORTFOLIO
<TABLE>
<CAPTION>
Year Ended December 31,
-----------------------------------
STATEMENTS OF CHANGES IN NET ASSETS 1996 1995
- -------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
From operations --
<S> <C> <C>
Net investment income........................................ $ 17,735 $ 16,003
Net realized gain (loss) on investment transactions.......... 560 (9,163)
Change in unrealized appreciation of investments............. (8,161) 29,353
---------- ----------
Increase in net assets from operations..................... $ 10,134 $ 36,193
Distributions to shareholders from net investment income (Note 2) (17,735) (16,003)
Net increase (decrease) from fund share transactions (Note 4).. 333,490 (145,114)
---------- ----------
Net increase (decrease) in net assets...................... $ 325,889 $ (124,924)
NET ASSETS:
At beginning of year........................................... 326,564 451,488
---------- ----------
At end of year................................................. $ 652,453 $ 326,564
=========== ===========
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT NEAR TERM BOND PORTFOLIO
<TABLE>
<CAPTION>
For the Period from
Year Year January 6, 1994
Ended Ended (start of business) to
FINANCIAL HIGHLIGHTS Dec. 31, 1996 Dec. 31, 1995 December 31, 1994
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of year............... $ 9.880 $ 9.330 $ 10.000
----------- ----------- ----------
Income from Investment Operations:
Net investment income(1)...................... $ 0.440 $ 0.448 $ 0.324
Net realized and unrealized gain (loss)....... (0.180) 0.550 (0.670)
----------- ----------- ----------
Total income (loss) from investment operations $ 0.260 $ 0.998 $ (0.346)
----------- ----------- ----------
Less Distributions to Shareholders:
From net investment income.................... $ (0.440) $ (0.448) $ (0.324)
----------- ----------- ----------
Net asset value, end of year..................... $ 9.700 $ 9.880 $ 9.330
========== ========== ==========
Total Return(3).................................. 2.72% 10.9% (3.2%)
Ratios/Supplemental Data:
Net assets, end of year (000 omitted)......... $652 $327 $451
Ratio of net expenses to average net assets... 1.48%(4) 1.39%(4) 0.90% (2)
Ratio of net investment income to average net assets 4.49% 4.61% 3.43% (2)
Portfolio Turnover Rate....................... 61% 94% 52%
<FN>
(1)During each of the periods presented, the Investment Adviser and the
Administrator reduced their fees, and the Investment Adviser was allocated a
portion of the Portfolio's operating expenses. Had such actions not been
undertaken, the net investment loss per share and the ratios would have been
as follows:
Net investment loss per share................ $ (0.331) $ (0.438) $ (0.095)
========== ========== ==========
Ratios (As a percentage of average net assets):
Expenses.................................... 9.35% 10.51% 5.34% (2)
========== ========== ==========
Net investment loss......................... (3.38%) (4.51%) (1.01%) (2)
========== ========== ==========
(2)Annualized.
(3)Total investment return is calculated assuming a purchase at the net asset
value on the first day and a sale at the net asset value on the last day of
each period reported. Dividends and distributions, if any, are assumed to be
invested at the net asset value on the payable date. The total investment
return does not reflect expenses that apply to the separate account or
related policies. If these charges had been included, the total return would
be reduced.
(4)During the years ended December 31, 1996 and 1995, custodian fees were
reduced by credits resulting from cash balances the Portfolio maintained with
the custodian (Note 1D). The computation of net expenses to average daily net
assets reported above is computed without consideration of such credits, in
accordance with reporting regulations in effect beginning in 1995. If these
credits were considered, the ratio of expenses to average net assets would
have been reduced to 0.89% and 0.90%, respectively.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT TOTAL RETURN BOND PORTFOLIO (WTRBP)
PORTFOLIO OF INVESTMENTS
December 31, 1996
<TABLE>
<CAPTION>
Face Coupon Maturity Market Current Yield To
Amount Description Rate Date Price Value Yield(1)Maturity(1)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 50,000 Federal Farm Credit Bank 5.270% 2/01/99 $ 98.516 $ 49,258 5.35% 6.14%
50,000 Federal Home Loan Banks 7.780% 2/03/00 104.344 52,172 7.46% 6.24%
50,000 Tennessee Valley Authority 6.125% 7/15/03 96.906 48,453 6.32% 6.70%
25,000 Bellsouth Telecommunication7.000% 2/01/05 101.516 25,379 6.90% 6.74%
50,000 Fed.Nat'l Mortgage Assoc. 7.490% 3/02/05 105.094 52,547 7.13% 6.61%
135,000 U.S. Treasury Bond 6.500% 8/15/05 100.641 135,865 6.46% 6.41%
30,000 Duke Power Co. 7.000% 9/01/05 99.526 29,858 7.03% 7.08%
110,000 U.S. Treasury Bond 5.875% 11/15/05 96.422 106,064 6.09% 6.41%
20,000 AT&T Corp. 7.750% 3/01/07 106.028 21,206 7.31% 6.89%
50,000 U.S. Treasury Bond 7.500% 11/15/16 108.250 54,125 6.93% 6.74%
175,000 GNMA Pool #442193 7.500% 12/15/26 100.031 175,054 7.50% N/C
----------
Total Investments (identified cost, $740,896) -- 95.0% $749,981 6.73% 6.47%
====== ======
Other Assets, less Liabilities -- 5.0% 39,511
----------
Net Assets -- 100.0% $789,492
==========
Average Maturity -- 13.4 Years(1)
(1) Unaudited.
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
- ------------------------------------------------------------------------------
ASSETS:
Investments --
Identified cost.................... $ 740,896
Unrealized appreciation............ 9,085
---------
Total value (Note 1A)............ $ 749,981
Cash................................. 26,054
Interest receivable.................. 13,029
Deferred organizational costs (Note 1E) 3,404
Receivable from Investment Adviser... 3,698
---------
Total Assets....................... $ 796,166
---------
LIABILITIES:
Payable for Fund shares reacquired... $ 672
Trustees fees payable................ 63
Accrued expenses..................... 5,939
---------
Total Liabilities.................. $ 6,674
---------
NET ASSETS.............................. $ 789,492
=========
NET ASSETS CONSIST OF:
Paid-in capital......................... $ 795,808
Accumulated net realized loss on investment
transactions......................... (15,365)
Unrealized appreciation of investments.. 9,085
Distributions in excess of net
investment income...................... (36)
---------
Net assets applicable to outstanding
shares............................. $ 789,492
=========
SHARES OF BENEFICIAL INTEREST
OUTSTANDING.......................... 83,411
=========
NET ASSET VALUE, OFFERING PRICE,
AND REDEMPTION PRICE PER SHARE
OF BENEFICIAL INTEREST............... $9.47
=========
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1996
- --------------------------------------------------------------------------
INVESTMENT INCOME:
Income --
Interest............................. $ 37,009
---------
Expenses --
Investment Adviser fee (Note 3)...... $ 2,936
Administrator fee (Note 3) .......... 326
Amortization of organization expense
(Note 1E).......................... 1,748
Compensation of Trustees not affiliated with
the Investment Adviser or Administrator 1,490
Custodian fee (Note 1D).............. 19,819
Audit services....................... 6,800
Legal................................ 719
Printing............................. 573
Registration costs................... 796
Miscellaneous........................ --
---------
Total expenses................... $ 35,207
---------
Deduct --
Reduction of Custodian fee (Note 1D). $ 2,375
Reduction of Investment Adviser fee
(Note 3)............................ 2,936
Reduction of Administrator fee (Note 3) 326
Allocation of expense to the
Investment Adviser (Note 3)........ 23,698
---------
Total deducted................... $ 29,335
---------
Net expenses..................... $ 5,872
---------
Net investment income.......... $ 31,137
---------
REALIZED AND UNREALIZED LOSS:
Net realized loss on investment
transactions........................... $ (831)
Change in unrealized appreciation of
investments............................ (17,000)
---------
Net realized and unrealized loss..... $ (17,831)
---------
Net increase in net assets from
operations......................... $ 13,306
=========
See notes to financial statements
<PAGE>
WRIGHT TOTAL RETURN BOND PORTFOLIO
<TABLE>
<CAPTION>
Year Ended December 31,
-----------------------------------
STATEMENTS OF CHANGES IN NET ASSETS 1996 1995
- ------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
From operations --
<S> <C> <C>
Net investment income........................................ $ 31,137 $ 22,992
Net realized loss on investment transactions................. (831) (13,757)
Change in unrealized appreciation of investments............. (17,000) 65,400
---------- ----------
Increase in net assets from operations..................... $ 13,306 $ 74,635
---------- ----------
Distributions to shareholders --
From net investment income (Note 2).......................... $ (31,137) $ (22,992)
In excess of net investment income........................... (36) --
---------- ----------
Total distributions........................................ $ (31,173) $ (22,992)
---------- ----------
Net increase (decrease) from fund share transactions (Note 4).. $ 269,677 $ (34,344)
---------- ----------
Net increase in net assets................................. $ 251,810 $ 17,299
NET ASSETS:
At beginning of year........................................... 537,682 520,383
---------- ----------
At end of year................................................. $ 789,492 $ 537,682
========== ===========
DISTRIBUTIONS IN EXCESS
OF NET INVESTMENT INCOME.......................................... $ (36) $ --
========== ===========
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT TOTAL RETURN BOND PORTFOLIO
<TABLE>
<CAPTION>
For the Period from
Year Year Year Dec. 7, 1993
Ended Ended Ended (start of business) to
FINANCIAL HIGHLIGHTS Dec. 31, 1996 Dec. 31, 1995 Dec. 31, 1994 Dec. 31, 1993(2)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of year...... $ 9.830 $ 8.840 $ 9.930 $ 10.000
---------- ---------- ---------- ----------
Income from Investment Operations:
Net investment income(1)............. $ 0.447 $ 0.469 $ 0.398 $ 0.019
Net realized and unrealized gain (loss)
on investments.................... (0.360) 0.990 (1.090) (0.070)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations...................... $ 0.087 $ 1.459 $ (0.692) $ (0.051)
------------ ---------- ---------- ----------
Less Distributions to Shareholders:
From net investment income........... $ (0.447) $ (0.469) $ (0.398) $ (0.019)
------------ ---------- ---------- ----------
Net asset value, end of year............ $ 9.470 $ 9.830 $ 8.840 $ 9.930
============ ========== ========== ==========
Total Return(3)......................... 1.0% 16.9% (7.1%) (0.5%)
Ratios/Supplemental Data:
Net assets, end of year (000 omitted) $ 789 $ 538 $ 520 $ 167
Ratio of net expenses to average net assets(1)1.26%(5) 1.26%(5) 0.90% 0.70%(4)
Ratio of net investment income to average
net assets(1)...................... 4.77% 5.09% 4.49% 2.50%(4)
Portfolio Turnover Rate.............. 51% 186% 23% 0%
<FN>
(1)During the years ended December 31, 1996, 1995 and 1994, the Investment
Adviser and the Administrator reduced their fees, and the Investment Adviser
was allocated a portion of the Portfolio's operating expenses. Had such
actions not been undertaken, the net investment income (loss) per share and
the ratios would have been as follows:
Net investment income (loss) per share $ 0.060 $ (0.187) $ (0.143)
========== ========== ==========
Ratios (As a percentage of average net assets):
Expenses........................... 5.39% 8.38% 7.00%
========== ========== ==========
Net investment income (loss)....... 0.64% (2.03%) (1.61%)
========== ========== ==========
(2) Calculations based on average shares outstanding methodology.
(3)Total investment return is calculated assuming a purchase at the net asset
value on the first day and a sale at the net asset value on the last day of
each period reported. Dividends and distributions, if any, are assumed to be
invested at the net asset value on the payable date. The total investment
return does not reflect expenses that apply to the separate account or
related policies. If these charges had been included, the total return would
be reduced.
(4) Annualized.
(5)During the years ended December 31, 1996 and 1995, custodian fees were
reduced by credits resulting from cash balances the Portfolio maintained with
the custodian (Note 1D). The computation of net expenses to average daily net
assets reported above is computed without consideration of such credits, in
accordance with reporting regulations in effect beginning in 1995. If these
credits were considered, the ratio of expenses to average net assets in each
period would have been reduced to 0.90%.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT SELECTED BLUE CHIP PORTFOLIO (WSBCP)
PORTFOLIO OF INVESTMENTS
December 31, 1996
Shares Value
- ------------------------------------------------------------------------------
Equity Interests -- 92.7%
APPAREL -- 2.0%
VF Corp...................... 800 $ 54,000
-----------
AUTOMOTIVE -- 4.5%
Eaton Corporation............ 900 $ 62,775
Echlin Inc................... 1,800 56,925
-----------
$ 119,700
-----------
CHEMICALS -- 8.2%
Goodyear Tire & Rubber....... 1,000 $ 51,375
Morton International Inc..... 1,300 52,975
PPG Industries, Incorporated. 900 50,513
Rohm & Haas Company.......... 800 65,300
-----------
$ 220,163
-----------
CONSTRUCTION -- 8.1%
Fleetwood Enterprises, Inc... 1,900 $ 52,250
Medusa....................... 1,500 51,562
Toll Brothers................ 3,000 58,500
Vulcan Materials Co.......... 900 54,788
-----------
$ 217,100
-----------
DIVERSIFIED -- 2.0%
Crane Co..................... 1,800 $ 52,200
-----------
DRUGS, COSMETICS & HEALTH CARE -- 3.9%
Alberto Culver Company....... 1,500 $ 61,875
Bristol-Myers Squibb Co...... 400 43,500
-----------
$ 105,375
-----------
ELECTRONICS -- 9.2%
Cohu Inc..................... 2,500 $ 58,125
Compaq Computer.............. 700 51,975
Raytheon Company............. 900 43,313
Seagate Technology, Inc...... 1,300 51,350
Sun Microsystems, Inc.*...... 1,600 41,100
-----------
$ 245,863
-----------
FINANCIAL -- 15.8%
Bancorp Hawaii, Inc.......... 1,400 $ 58,800
A.G. Edwards, Inc............ 1,900 63,887
First Hawaiian, Inc.......... 1,900 66,500
First Virginia Banks, Inc.... 1,200 57,450
Southern National Corp....... 1,700 61,625
Southtrust Corp.............. 1,700 59,288
Star Banc Corp............... 600 55,125
-----------
$ 422,675
-----------
MACHINERY & EQUIPMENT -- 6.0%
Briggs & Stratton Corp....... 1,200 $ 52,800
Ingersoll Rand Co............ 1,200 53,400
Pitney Bowes, Inc............ 1,000 54,500
-----------
$ 160,700
-----------
METAL PRODUCERS -- 2.1%
Carpenter Technology......... 1,500 $ 54,937
-----------
METAL PRODUCTS MANUFACTURERS -- 4.3%
Snap-On Inc.................. 1,500 $ 53,437
Trinity Industries........... 1,600 60,000
-----------
$ 113,437
-----------
<PAGE>
PRINTING & PUBLISHING -- 3.9%
Banta Corporation............ 1,800 $ 41,175
Bowne & Co................... 2,500 61,562
-----------
$ 102,737
-----------
RECREATION -- 7.5%
International Dairy Queen*... 2,400 $ 48,000
Luby's Cafeterias Inc........ 700 13,913
Kingworld Productions Inc.... 1,400 51,625
Ryan's Family Steak Houses... 5,700 39,187
Sturm Ruger & Company, Inc... 2,400 46,500
-----------
$ 199,225
-----------
RETAILERS -- 2.4%
Family Dollar Stores......... 3,100 $ 63,163
-----------
TRANSPORTATION - 3.6%
ASA Holdings, Inc............ 1,900 $ 41,562
Illinois Central Corp........ 1,700 54,400
-----------
$ 95,962
-----------
UTILITIES -- 7.5%
DQE Inc...................... 1,600 $ 46,400
Duke Power Company........... 1,100 50,875
Nipsco Industries............ 1,400 55,475
Wisconsin Energy............. 1,800 48,375
-----------
$ 201,125
-----------
MISCELLANEOUS -- 1.7%
Marshall Industries*......... 1,500 $ 45,938
-----------
TOTAL EQUITY INTERESTS -- 92.7%
(identified cost, $2,107,703) $ 2,474,300
OTHER ASSETS
LESS LIABILITIES -- 7.3% 194,164
-----------
NET ASSETS -- 100.0% $ 2,668,464
============
* Non-income-producing security.
See notes to financial statements
<PAGE>
WRIGHT SELECTED BLUE CHIP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
- ---------------------------------------------------------------------------
ASSETS:
Investments --
Identified cost.................... $2,107,703
Unrealized appreciation............ 366,597
--------
Total value (Note 1A)............ $2,474,300
Cash................................. 195,086
Dividends receivable................. 4,237
Deferred organizational costs (Note 1E) 3,534
---------
Total Assets....................... $2,677,157
---------
LIABILITIES:
Payable for Fund shares reacquired... $ 2,392
Trustees fees payable................ 63
Accrued expenses..................... 6,238
---------
Total Liabilities.................. $ 8,693
---------
NET ASSETS.............................. $2,668,464
==========
NET ASSETS CONSIST OF:
Paid-in capital......................... $1,834,508
Accumulated net realized gain on investment
transactions......................... 427,875
Undistributed net investment income..... 39,484
Unrealized appreciation of investments.. 366,597
---------
Net assets applicable to outstanding
shares............................. $ 2,668,464
==========
SHARES OF BENEFICIAL INTEREST
OUTSTANDING.......................... 190,586
==========
NET ASSET VALUE, OFFERING PRICE,
AND REDEMPTION PRICE PER SHARE
OF BENEFICIAL INTEREST............... $14.00
==========
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1996
- -------------------------------------------------------------------------
INVESTMENT INCOME:
Income --
Dividends............................ $ 57,614
---------
Expenses --
Investment Adviser fee (Note 3)...... $ 16,989
Administrator fee (Note 3)........... 1,307
Amortization of organization expense
(Note 1E).......................... 1,753
Compensation of Trustees not affiliated with
the Investment Adviser or Administrator 1,459
Custodian fee (Note 1D).............. 18,775
Audit................................ 8,100
Legal................................ 719
Printing............................. 530
Registration costs................... 781
Miscellaneous........................ 1,201
---------
Total expenses................... $ 51,614
---------
Deduct --
Reduction of Custodian fee (Note 1D). $ 5,565
Reduction of Investment Adviser fee
(Note 3)............................ 16,989
Reduction of Administrator fee (Note 3) 1,307
---------
Total deducted................... $ 23,861
---------
Net expenses..................... $ 27,753
---------
Net investment income.......... $ 29,861
---------
REALIZED AND UNREALIZED GAIN:
Net realized gain on investment
transactions ......................... $ 427,875
Change in unrealized appreciation of
investments .......................... 92,485
---------
Net realized and unrealized gain..... $ 520,360
---------
Net increase in net assets from
operations........................ $ 550,221
==========
See notes to financial statements
<PAGE>
WRIGHT SELECTED BLUE CHIP PORTFOLIO
<TABLE>
<CAPTION>
Year Ended December 31,
-----------------------------------
STATEMENTS OF CHANGES IN NET ASSETS 1996 1995
- ---------------------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS:
From operations --
<S> <C> <C>
Net investment income........................................ $ 29,861 $ 16,862
Net realized gain on investment transactions................. 427,875 79,060
Change in unrealized appreciation of investments............. 92,485 300,016
---------- ----------
Increase in net assets from operations..................... $ 550,221 $ 395,938
Distributions to shareholders from net investment income (Note 2) (2,069) (13,333)
Distributions to shareholders from net realized gain on
investment transactions (Note 2)............................. -- (54,284)
Undistributed net investment income included in price of shares
sold and redeemed (Note 1F).................................. 2,519 3,662
Net increase (decrease) from fund share transactions (exclusive of
amounts allocated to net investment income) (Note 4)......... (121,037) 454,382
---------- ----------
Net increase in net assets................................. $ 429,634 $ 786,365
NET ASSETS:
At beginning of year........................................... 2,238,830 1,452,465
---------- ----------
At end of year................................................. $2,668,464 $2,238,830
========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
INCLUDED IN NET ASSETS......................................... $ 39,484 $ 9,173
========== ===========
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT SELECTED BLUE CHIP PORTFOLIO
<TABLE>
<CAPTION>
For the Period from
Year Year January 6, 1994
Ended Ended (start of business) to
FINANCIAL HIGHLIGHTS Dec. 31, 1996 Dec. 31, 1995 December 31, 1994
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of year............... $ 11.410 $ 9.320 $ 10.000
----------- ----------- ----------
Income from Investment Operations:
Net investment income(1)...................... $ 0.170 $ 0.100 $ 0.092
Net realized and unrealized gain (loss) on
investments................................. 2.430 2.345 (0.712)
----------- ----------- ----------
Total income (loss) from investment operations $ 2.600 $ 2.445 $ (0.620)
----------- ----------- ----------
Less Distributions to Shareholders:
From net investment income.................... $ (0.010) $ (0.070) $ (0.060)
From net realized gain on investment transactions -- (0.285) --
----------- ----------- ----------
Total distributions......................... $ (0.010) $ (0.355) $ (0.060)
----------- ----------- ----------
Net asset value, end of year..................... $ 14.000 $ 11.410 $ 9.320
========== ========== ==========
Total Return(3).................................. 22.8% 26.3% (6.2%)
Ratios/Supplemental Data:
Net assets, end of year (000 omitted)......... $ 2,668 $ 2,239 $ 1,452
Ratio of net expenses to average net assets(1) 1.27%(4) 1.60% (4) 1.15% (2)
Ratio of net investment income to average net assets(1) 1.14% 0.96% 1.16% (2)
Portfolio Turnover Rate....................... 68% 64% 74%
Average commision rate paid (5)............... $ 0.0784 -- --
<FN>
(1)During each of the periods presented, the Investment Adviser and the
Administrator reduced their fees, and the Investment Adviser was allocated a
portion of the Portfolio's operating expenses. Had such actions not been
undertaken, the net investment income (loss) per share and the ratios would
have been as follows:
Net investment income (loss) per share........... $ 0.066 $ (0.017) $ (0.078)
========== ========== ==========
Ratios (As a percentage of average net assets):
Expenses...................................... 1.97% 2.72% 3.30% (2)
========== ========== ==========
Net investment income (loss).................. 0.44% (0.16%) (0.99%)(2)
========== ========== ==========
(2) Annualized.
(3)Total investment return is calculated assuming a purchase at the net asset
value on the first day and a sale at the net asset value on the last day of
each period reported. Dividends and distributions, if any, are assumed to be
invested at the net asset value on the payable date. The total investment
return does not reflect expenses that apply to the separate account or
policies.
If these charges had been included, the total return would be reduced.
(4)During the years ended December 31, 1996 and 1995, custodian fees were
reduced by credits resulting from cash balances the Portfolio maintained with
the custodian (Note 1D). The computation of net expenses to average daily net
assets reported above is computed without consideration of such credits, in
accordance with reporting regulations in effect beginning in 1995. If these
credits were considered, the ratio of expenses to average net assets would
have been reduced to 1.06% and 1.15%, respectively.
(5)Average commission rate paid is computed by dividing the total dollar amount
of commissions paid during the fiscal year by the total number of shares
purchased and sold during the fiscal year for which commissions were charged.
For fiscal years beginning on or after September 1, 1995, a Fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT INTERNATIONAL BLUE CHIP PORTFOLIO (WIBCP)
PORTFOLIO OF INVESTMENTS
December 31, 1996
Shares Value
- ----------------------------------------------------------------------------
EQUITY INTERESTS -- 93.4%
AUSTRALIA -- 5.6%
Australian Gas & Light Co.... 4,700 $ 26,745
Broken Hill Proprietary (ADR) 700 19,775
F.H. Faulding (ADR).......... 1,320 35,688
-----------
$ 82,208
-----------
CANADA -- 3.7%
Newbridge Networks Corp...... 800 $ 22,675
Thomson Corporation.......... 14,000 30,898
-----------
$ 53,573
-----------
CHILE -- 1.5%
Embotelladora Andina SA...... 700 $ 21,350
-----------
DENMARK -- 4.4%
Carlsberg AS - B............. 500 $ 33,796
Icopal....................... 120 30,539
-----------
$ 64,335
-----------
FINLAND-- 2.2%
Orion A/S - B................ 850 $ 32,722
-----------
FRANCE -- 9.3%
L'Air Liquide SA............. 110 $ 17,184
L'Oreal (ADR)................ 396 29,768
LVMH Moet-Hennessy
Louis Vuitton............. 500 28,000
Pernod-Ricard................ 500 27,676
Synthelabo................... 300 32,459
-----------
$ 135,087
-----------
GERMANY -- 4.3%
Bayerische Motoren Werke A... 50 $ 34,872
Douglas Holding AG........... 700 27,527
-----------
$ 62,399
-----------
HONG KONG -- 7.8%
Hang Lung Devel. Co. (ADR)... 2,700 $ 29,670
Hong Kong Aircraft Engineering 5,600 17,232
Hong Kong & China Gas Co. (ADR) 14,686 28,384
Hong Kong Electric Hold. (ADR) 5,700 18,938
Swire Pacific Limited (ADR).. 2,100 20,023
-----------
$ 114,247
-----------
IRELAND -- 2.5%
Greencore PLC................ 5,500 $ 35,833
-----------
JAPAN -- 8.5%
Chudenko Corp................ 1,000 $ 28,829
Kurita Water Industries Ltd.. 1,100 22,217
Santen Pharmaceutical Co., Ltd 1,100 22,787
Seven Eleven Japan........... 363 21,204
Yurtec Corporation .......... 2,100 28,458
-----------
$ 123,495
-----------
MALAYSIA -- 3.7%
Amsteel Corporation Berhad*.. 21,600 $ 16,079
Genting Berhad (ADR)......... 2,000 13,779
Perlis Plantations Berhad (ADR) 7,500 23,312
-----------
$ 53,170
-----------
MEXICO -- 3.8%
Cifra SA..................... 9,400 $ 11,487
Kimberly Clark de Mexico..... 700 27,175
Telefonos de Mexico.......... 500 16,500
-----------
$ 55,162
-----------
<PAGE>
NETHERLANDS -- 10.1%
Elsevier (ADR)............... 1,200 $ 20,288
Getronics N.V................ 1,240 33,673
Heineken N.V................. 150 26,559
Koninklijke Ahold (ADR)...... 521 32,172
Unilever NV.................. 200 35,050
-----------
$ 147,742
-----------
SINGAPORE -- 1.6%
Singapore Press Holdings .... 1,200 $ 23,674
-----------
SOUTH AFRICA -- 1.4%
South African Breweries Limited 800 $ 20,267
-----------
SPAIN -- 2.4%
Empresa Nacional de Electricidad
(ADR)..................... 500 $ 35,000
-----------
SWEDEN -- 4.8%
Astra AB..................... 640 $ 30,856
Atlas Copco AB A-Free........ 1,600 38,688
-----------
$ 69,544
-----------
SWITZERLAND -- 3.8%
Nestles (ADR)................ 400 $ 21,404
Novartis AG (ADR)............ 600 34,251
-----------
$ 55,655
-----------
UNITED KINGDOM -- 12.0%
Cable & Wireless (ADR)....... 1,030 $ 25,364
Christian Salvesen (ADR) .... 1,130 27,701
Halma*....................... 9,866 31,955
Marks & Spencer (ADR)........ 700 35,290
Polypipe PLC ................ 8,000 31,821
Wolseley .................... 2,854 22,704
-----------
$ 174,835
-----------
TOTAL EQUITY INTERESTS -- 93.4%
(identified cost, $1,176,038) $ 1,360,298
OTHER ASSETS
LESS LIABILITIES -- 6.6% 96,774
-----------
NET ASSETS -- 100.0% $ 1,457,072
===========
* Non-income-producing security.
ADR - American Depository Receipt
See notes to financial statements
<PAGE>
WRIGHT INTERNATIONAL BLUE CHIP PORTFOLIO (WIBCP)
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
- -------------------------------------------------------------------------
ASSETS:
Investments --
Identified cost.................... $1,176,038
Unrealized appreciation........... 184,260
---------
Total value (Note 1A)............ $1,360,298
Cash................................. 98,129
Foreign cash......................... 25,744
Dividends receivable................. 2,637
Deferred organizational costs (Note 1E) 3,529
Receivable from Investment Adviser... 486
Receivable for foreign taxes withheld 668
---------
Total assets....................... $1,491,491
---------
LIABILITIES:
Payable for investments purchased.... $ 25,744
Payable for Fund shares reacquired... 1,247
Trustees fees payable................ 63
Accrued expenses..................... 7,365
---------
Total liabilities.................. $ 34,419
---------
NET ASSETS.............................. $1,457,072
==========
NET ASSETS CONSIST OF:
Paid-in capital......................... $1,190,337
Accumulated net realized gain on investment
transactions......................... 80,381
Undistributed net investment income..... 2,053
Unrealized appreciation of investments and
foreign currency..................... 184,301
---------
Net assets applicable to outstanding
shares ............................$ 1,457,072
==========
SHARES OF BENEFICIAL INTEREST
OUTSTANDING.......................... 123,399
==========
NET ASSET VALUE, OFFERING PRICE,
AND REDEMPTION PRICE PER SHARE
OF BENEFICIAL INTEREST............... $11.81
==========
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1996
- ------------------------------------------------------------------------
INVESTMENT INCOME:
Income --
Dividends............................ $ 20,551
Less: Foreign taxes.................. (2,117)
---------
Gross income....................... $ 18,434
---------
Expenses --
Investment Adviser fee (Note 3)...... $ 10,298
Administrator fee (Note 3)........... 644
Amortization of organization expense
(Note 1E).......................... 1,753
Compensation of Trustees not affiliated with
the Investment Adviser or Administrator 1,490
Custodian fee (Note 1D).............. 28,341
Audit................................ 10,600
Legal................................ 719
Printing............................. 1,002
Registration costs................... 750
Miscellaneous........................ 620
---------
Total expenses................... $ 56,217
---------
Deduct --
Reduction of Custodian fee (Note 1D). $ 6,009
Reduction of Investment Adviser fee
(Note 3)........................... 10,298
Reduction of Administrator fee (Note 3) 644
Allocation of expense to the Investment
Adviser (Note 3)................... 15,486
---------
Total deducted................... $ 32,437
---------
Net expenses..................... $ 23,780
---------
Net investment loss............ $ (5,346)
---------
REALIZED AND UNREALIZED GAIN:
Net realized gain on investment
transactions......................... $ 89,355
Change in unrealized appreciation of
investments and foreign currency..... 126,226
---------
Net realized and unrealized gain..... $ 215,581
---------
Net increase in net assets from
operations......................... $ 210,235
==========
See notes to financial statements
<PAGE>
WRIGHT INTERNATIONAL BLUE CHIP PORTFOLIO
<TABLE>
<CAPTION>
Year Ended December 31,
-----------------------------------
STATEMENTS OF CHANGES IN NET ASSETS 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
From operations --
<S> <C> <C>
Net investment income (loss)................................. $ (5,346) $ 755
Net realized gain (loss) on investments...................... 89,355 (3,923)
Change in unrealized appreciation of investments and
foreign currency........................................... 126,226 130,826
---------- ----------
Increase in net assets from operations..................... $ 210,235 $ 127,658
Undistributed net investment loss included in price of shares
sold and redeemed (Note 1F).................................. (240) (344)
Distributions to shareholders from net investment income (Note 2) -- (2,477)
Tax distribution from paid-in capital (Note 2)................. -- (4,280)
Net increase (decrease) from fund share transactions (exclusive of
amounts allocated to net investment income) (Note 4)......... (117,794) 15,368
---------- ----------
Net increase in net assets................................. $ 92,201 $ 135,925
NET ASSETS:
At beginning of year........................................... 1,364,871 1,228,946
---------- ----------
At end of year................................................. $1,457,072 $1,364,871
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
INCLUDED IN NET ASSETS........................................... $ 2,053 $ 2,946
=========== ===========
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT INTERNATIONAL BLUE CHIP PORTFOLIO
<TABLE>
<CAPTION>
For the Period from
Year Year January 6, 1994
Ended Ended (start of business) to
FINANCIAL HIGHLIGHTS Dec. 31, 1996 Dec. 31, 1995 December 31, 1994
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of year............... $ 10.060 $ 9.140 $ 10.000
----------- ----------- ----------
Income from Investment Operations:
Net investment income (loss)(1)............... $ (0.043) $ 0.003 $ 0.031
Net realized and unrealized gain (loss) on investments 1.793 0.967 (0.886)
----------- ----------- ----------
Total income (loss) from investment operations $ 1.750 $ 0.970 $ (0.855)
----------- ----------- ----------
Less distributions to shareholders:
From net investment income.................. $ -- $ (0.005) $ (0.005)
In excess of net investment income.......... -- (0.013) --
Tax distribution from paid-in capital....... -- (0.032) --
----------- ----------- ----------
Total disributions declared to shareholders. $ -- $ (0.050) $ (0.005)
----------- ----------- ----------
Net asset value, end of year..................... $ 11.810 $ 10.060 $ 9.140
========== ========== ==========
Total Return(3).................................. 17.4% 10.6% (8.1%)
Ratios/Supplemental Data:
Net assets, end of year (000 omitted)......... $ 1,457 $ 1,365 $ 1,229
Ratio of net expenses to average net assets(1) 2.31%(4) 2.28% (4) 1.80% (2)
Ratio of net investment income (loss) to average net
assets(1).................................... (0.42)% 0.06% 0.19% (2)
Portfolio Turnover Rate....................... 44% 31% 0%
Average commission rate paid (5).............. $ 0.0773 -- --
<FN>
(1)During each of the periods presented, the Investment Adviser and the
Administrator reduced their fees, and the Investment Adviser was allocated a
portion of the Portfolio's operating expenses. Had such actions not been
undertaken, the net investment loss per share and the ratios would have been
as follows:
Net investment loss per share................... $ (0.253) $ (0.920) $ (0.434)
========== ========== ==========
Ratios (As a percentage of average net assets):
Expenses...................................... 4.37% 4.18% 4.65% (2)
========== ========== ==========
Net investment loss........................... (2.47%) (1.85%) (2.66%)(2)
========== ========== ==========
(2) Annualized.
(3)Total investment return is calculated assuming a purchase at the net asset
value on the first day and a sale at the net asset value on the last day of
each period reported. Dividends and distributions, if any, are assumed to be
invested at the net asset value on the payable date. The total investment
return does not reflect expenses that apply to the separate account or
related policies. If these charges had been included, the total return would
be reduced.
(4)During the years ended December 31, 1996 and 1995, custodian fees were
reduced by credits resulting from cash balances the Portfolio maintained with
the custodian (Note 1D). The computation of net expenses to average daily net
assets reported above is computed without consideration of such credits, in
accordance with reporting regulations in effect beginning in 1995. If these
credits were considered, the ratio of expenses to average net assets in each
period would have been reduced to 1.85% and 1.96%,respectively.
(5)Average commission rate paid is computed by dividing the total dollar amount
of commissions paid during the fiscal year by the total number of shares
purchased and sold during the fiscal year for which commissions were charged.
For fiscal years beginning on or after September 1, 1995, a Fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
WRIGHT MANAGED BLUE CHIP SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(1) SIGNIFICANT ACCOUNTING POLICIES
The Wright Managed Blue Chip Series Trust (the "Trust") is registered under
the Investment Company Act of 1940, as amended, as an open-end, management
investment company. The Trust presently consists of four diversified separate
portfolios: Wright Near Term Bond Portfolio (WNTBP), Wright Total Return Bond
Portfolio (WTRBP), Wright Selected Blue Chip Portfolio (WSBCP), and Wright
International Blue Chip Portfolio (WIBCP) (the "Portfolios"). The shares of the
Portfolios are sold only to variable accounts established by PFL Life Insurance
Company and other participating insurance companies. The following is a summary
of significant accounting policies consistently followed by the Trust in the
preparation of its financial statements. The policies are in conformity with
generally accepted accounting principles.
A. Investment Valuations -- Securities, other than fixed-income
investments, listed on securities exchanges or in the NASDAQ National
Market, are valued at closing sale prices. Unlisted or listed
securities for which closing sale prices are not available are valued
at the last reported bid price. Fixed income investments (other than
short-term obligations) including listed investments, and investments
for which price quotations are available, will normally be valued on
the basis of market valuations furnished by a pricing service.
Investments for which valuations are not readily available will be
appraised at their fair value as determined in good faith by or at the
direction of the Trustees. Short-term obligations maturing in sixty
days or less are valued at amortized cost, which approximates value.
B. Foreign Currency Translation -- Investment security valuations, other
assets, and liabilities initially expressed in foreign currencies are
translated each business day into U.S. dollars based upon current
exchange rates. Purchases and sales of foreign investment securities
and income and expenses are translated into U.S. dollars based upon
currency exchange rates prevailing on the respective dates of such
transactions. The Trust does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on
investments from the fluctuations arising from changes in market prices
of securities held. Such fluctuations are included with the net
realized and unrealized gain or loss from investments.
C. Taxes -- The Trust's policy is to comply with the provisions of the
Internal Revenue Code (the Code) available to regulated investment
companies and distribute to shareholders each year all of its taxable
income, including any net realized gain on investments. Accordingly,
no provision for federal income tax is necessary. Withholding taxes on
foreign dividends have been provided for in accordance with the Trust's
understanding of the applicable country's tax rules and rates. At
December 31, 1996, the Trust, for federal income tax purposes,
had a capital loss carryover of $14,459 for WNTBP and $15,365 for
WTRBP, which will reduce taxable income arising from future net
realized gain on investments, if any, to the extent permitted by the
Code, and thus will reduce the amount of the distribution to
shareholders which would otherwise be necessary to
<PAGE>
relieve the respective Portfolio of any liability for federal income or
excise tax. Pursuant to the Code, such capital loss carryovers will
expire as follows:
12/31 WNTBP WTRBP
----------------------------------------------------------------
2002 $ 5,296 $ 641
2003 9,163 13,858
2004 -- 866
----------------------------------------------------------------
D. Expense Reduction -- The Portfolios have entered into an arrangement
with its custodian agent whereby interest earned on uninvested cash
balances are used to offset custodian fees. All significant reductions
are reported as a reduction of expenses in the Statement of Operations.
E. Deferred Organization Expenses -- Costs incurred by the Portfolios in
connection with their organization are being amortized on a straight
line basis over five years from the date the Portfolio commenced
operations.
F. Equalization -- The WSBCP and WIBCP Portfolios follow the accounting
practice known as equalization by which a portion of the proceeds from
sales and costs of redemptions of Portfolio shares, equivalent on a
per-share basis to the amount of undistributed net investment income on
the date of the transaction, is credited or charged to undistributed
net investment income. As a result, undistributed net investment income
per share is unaffected by sales or redemptions of Portfolio shares.
G. Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expense during the
reporting period. Actual results could differ from those estimates.
H. Other -- Investment transactions are accounted for on a trade date
basis. Interest income is determined on the basis of interest accrued
and discount earned, adjusted for amortization of premium or accretion
of discount on long-term debt securities when required for federal
income tax purposes. Dividend income and distributions to shareholders
are recorded on the ex-dividend date. However, if the ex-dividend date
has passed, certain dividends from foreign securities are recorded as
the Portfolios are informed of the ex-dividend date.
(2) DISTRIBUTIONS
Dividends from investment income of WSBCP and WIBCP are expected to be
declared annually. Dividends from investment income of WNTBP and WTRBP will be
declared daily and paid monthly. However, the Trustees may decide to declare
dividends at other intervals. All net realized long- or short-term capital gains
<PAGE>
of each Portfolio, if any, will be declared and distributed at least annually.
All distributions will be distributed in the form of additional full and
fractional shares of the Portfolios and not in cash. Differences in the
recognition or classification of income between the financial statements and tax
earnings and profits, which result in temporary overdistributions for financial
statement purposes, are classified as distributions in excess of net investment
income or accumulated net realized gains. Distributions in excess of tax basis
earnings and profits are reported in the financial statements as a return of
capital. Permanent differences between book and tax accounting treatments may
result in reclassifications among various components of net assets.
During the year ended December 31, 1996, for WIBC, $4,693 was reclassified
to undistributed net investment income,$625 was reclassified to paid in capital,
and $5,318 was reclassified from accumulated undistributed net realized gain on
investment and foreign currency transactions, due to differences between book
and tax accounting.
The change had no effect on net assets, net realized gain on investment
transactions, change in unrealized appreciation on investments and foreign
currency and net investment loss.
(3) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has engaged Wright Investors' Service ("Wright") to perform
investment management, investment advisory, and other services ("Investment
Adviser"). For its services, Wright is compensated based upon a percentage of
average monthly net assets which rate is adjusted as average monthly net assets
exceed certain levels. The Trust also has engaged Eaton Vance Management ("Eaton
Vance" or "Administrator") to act as administrator of the Trust. Under the
Administration Agreement, Eaton Vance is responsible for managing the business
affairs of the Trust and is compensated based upon a percentage of average
monthly net assets which rate is reduced as average monthly net assets exceed
certain levels. For the year ended December 31, 1996, the effective annual rate
for advisory and administration charges for each Portfolio was as follows:
WNTBP WTRBP WSBCP WIBCP
- -------------------------------------------------------------------------------
Investment Advisory 0.45% 0.45% 0.65% 0.80%
Administration 0.05% 0.05% 0.05% 0.05%
- -------------------------------------------------------------------------------
To enhance the net income of the Portfolios, Wright and Eaton Vance reduced
their fees and Wright made an assumption of a portion of each Portfolio's
expenses as follows:
<TABLE>
<CAPTION>
WNTBP WTRBP WSBCP WIBCP
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Reduction of Investment Adviser fees $ 1,772 $ 2,936 $16,989 $10,298
Allocation of expense to the Investment Adviser 29,128 23,698 -- 15,486
Reduction of Administrator fees 197 326 1,307 644
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
Certain of the Trustees and officers of the Trust are directors/trustees
and/or officers of the above organizations.
<PAGE>
(4) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value).
Transactions in Portfolio shares were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1996 December 31, 1995
-------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------
Wright Near Term Bond Portfolio --
<S> <C> <C> <C> <C>
Sales.................................. 58,895 $ 573,302 14,521 $ 141,743
Issued to shareholders in payment
of distributions declared............ 1,825 17,735 1,644 16,003
Redemptions............................ (26,542) (257,547) (31,513) (302,860)
-------- ---------- -------- ----------
Net increase (decrease)............ 34,178 $ 333,490 (15,348) $ (145,114)
========= =========== ========= ===========
Wright Total Return Bond Portfolio --
Sales.................................. 54,345 $ 510,526 18,926 $ 183,254
Issued to shareholders in payment
of distributions declared............ 3,309 31,173 2,433 22,992
Redemptions............................ (28,919) (272,022) (25,529) (240,590)
-------- ---------- -------- ----------
Net increase (decrease)............ 28,735 $ 269,677 (4,170) $ (34,344)
========= =========== ========= ===========
Wright Selected Blue Chip Portfolio --
Sales.................................. 62,148 $ 764,506 74,735 $ 808,309
Issued to shareholders in payment
of distributions declared............ 172 2,069 5,957 67,617
Redemptions............................ (68,010) (887,612) (40,303) (421,544)
-------- ---------- -------- ----------
Net increase (decrease)............ (5,690) $ (121,037) 40,389 $ 454,382
========= =========== ========= ===========
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1996 December 31, 1995
-------------------------------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------
Wright International Blue Chip Portfolio --
<S> <C> <C> <C> <C>
Sales.................................. 45,060 $ 493,518 46,535 $ 453,824
Issued to shareholders in payment
of distributions declared............ -- -- 678 6,757
Redemptions............................ (57,376) (611,312) (46,025) (445,213)
-------- ---------- -------- ----------
Net increase (decrease)............ (12,316) $ (117,794) 1,188 $ 15,368
========= =========== ========= ===========
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(5) INVESTMENT TRANSACTIONS
Purchases and sales and maturities of investments, other than short-term
obligations, for the year ended December 31, 1996, were as follows:
<TABLE>
<CAPTION>
Wright Wright Wright Wright
Near Term Total Return Selected International
Bond Portfolio Bond Portfolio Blue Chip Portfolio Blue Chip Portfolio
- -------------------------------------------------------------------------------------------------------------------
Purchases --
<S> <C> <C> <C> <C>
Non-U.S. Gov't Obligations.... $ 101,578 $ 55,000 $ 1,678,194 $ 463,692
============= ============= ============= =============
U.S. Gov't Obligations........ $ 463,202 $ 535,259 $ -- $ --
============= ============= ============= =============
Sales --
Non-U.S. Gov't Obligations.... $ -- $ 289,648 $ 1,671,897 $ 499,758
============= ============= ============= =============
U.S. Gov't Obligations........ $ 200,146 $ -- $ -- $ --
============= ============= ============= =============
</TABLE>
<PAGE>
(6) FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES
The cost and unrealized appreciation (depreciation) in value of the
investments owned at December 31, 1996, as computed on a federal income tax
basis, are as follows:
<TABLE>
<CAPTION>
Wright Wright Wright Wright
Near Term Total Return Selected International
Bond Portfolio Bond Portfolio Blue Chip PortfolioBlue Chip Portfolio
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate Cost................... $ 612,563 $ 740,896 $ 2,107,703 $ 1,176,038
============= ============= ============= =============
Gross unrealized appreciation.... $ 4,526 $ 12,574 $ 408,437 $ 249,748
Gross unrealized depreciation.... (1,594) (3,489) (41,840) (65,488)
------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation).............. $ 2,932 $ 9,085 $ 366,597 $ 184,260
============= ============= ============= =============
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
(7) RISKS ASSOCIATED WITH FOREIGN INVESTMENTS
The Wright International Blue Chip Portfolio invests in securities issued
by companies whose principal business activities are outside the United States
which may involve significant risks not present in domestic investments. For
example, there is generally less publicly available information about foreign
companies, particularly those not subject to the disclosure and reporting
requirements of the U.S. securities laws. Foreign issuers are generally not
bound by uniform accounting, auditing, and financial reporting requirements and
standards of practice comparable to those applicable to domestic issuers.
Investments in foreign securities also involve the risk of possible adverse
changes in investment or exchange control regulations, expropriation or
confiscatory taxation, limitation on the removal of funds or other assets of the
Trust, political or financial instability or diplomatic and other developments
which could affect such investments. Foreign stock markets, while growing in
volume and sophistication, are generally not as developed as those in the United
States, and securities of some foreign issuers (particularly those located in
developing countries) may be less liquid and more volatile than securities of
comparable U.S. companies. In general, there is less overall governmental
supervision and regulation of foreign securities markets, broker-dealers, and
issuers than in the United States.
<PAGE>
Settlement of securities transactions in foreign countries may be delayed
and is generally less frequent than in the United States, which could affect the
liquidity of the Trust's assets. The Trust may be unable to sell securities
where the registration process is incomplete and may experience delays in
receipt of dividends.
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Trustees and Shareholders of
The Wright Managed Blue Chip Series Trust:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of The Wright Managed Blue Chip Series Trust (the
"Trust") (comprising, respectively, the Wright Near Term Bond Portfolio, Wright
Total Return Bond Portfolio, Wright Selected Blue Chip Portfolio and Wright
International Blue Chip Portfolio series) as of December 31, 1996, the related
statements of operations for the year then ended, the statements of changes in
net assets for the years ended December 31, 1996 and 1995, and the financial
highlights for each of the years in the four-year period ended December 31,
1996. These financial statements and financial highlights are the responsibility
of the Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of the securities owned at
December 31, 1996, by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other audit procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the above respective
Portfolios constituting The Wright Managed Blue Chip Series Trust as of December
31, 1996, the results of their operations, the changes in their net assets, and
their financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
January 31, 1997
ANNUAL REPORT
Officers and Trustees of the Funds
Peter M. Donovan, President and Trustee
H. Day Brigham, Jr., Vice President , Secretary and Trustee
A. M. Moody III, Vice President and Trustee
Judith R. Corchard, Vice President
Winthrop S. Emmet, Trustee
Lloyd F. Pierce, Trustee
Raymond Van Houtte, Trustee
James L. O'Connor, Treasurer
William J. Austin, Jr., Assistant Treasurer
Administrator
Eaton Vance Management
24 Federal Street
Boston, Massachusetts 02110
Investment Adviser
Wright Investors' Service
1000 Lafayette Boulevard
Bridgeport, Connecticut 06604
Custodian and Transfer Agent
Investors Bank & Trust Company
89 South Street
Boston, Massachusetts 02111
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, Massachusetts 02110
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of a mutual fund unless
accompanied or preceded by a Fund's current prospectus. Shares of the
Trust are only available to the separate accounts of insurance
companies
