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SEMI ANNUAL REPORT
JUNE 30, 1995
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PROTECTIVE INVESTMENT COMPANY
SEMI-ANNUAL REPORT
June 30, 1995
(Unaudited)
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PROTECTIVE INVESTMENT COMPANY
LETTER TO INVESTORS
DEAR INVESTORS:
In this semiannual report, we welcome this opportunity to review
the performance and strategies of the investment portfolios
offered by the Protective Investment Company for the six-month
period ended June 30, 1995. Our investment advisers, Goldman
Sachs Asset Management (GSAM) and Goldman Sachs Asset Management
International (GSAMI), will also provide an overview of the
investment environment during the period.
U.S. STOCK MARKET ENJOYS SIGNIFICANT RALLY
In marked contrast to last year, the U.S. stock market staged a
significant rally during the first half of 1995, making this one
of the best periods since the bull market cycle began in 1991.
Many investors returned to the stock market as interest rates
stabilized after the seventh tightening by the Federal Reserve
(the "Fed") on February 1, 1995. Enthusiasm was sustained as
reported earnings for S&P 500 companies remained very strong
during the first quarter of 1995, and were nearly equally as
strong for the second quarter. Estimates for earnings growth for
the second half of the year are considerably more subdued as the
economy has slowed markedly during the past few months.
Consensus appears to be building that this is the "soft landing"
(slower growth with inflation contained) many had hoped for.
Larger U.S. companies outperformed smaller companies by a wide
margin, with technology, financial services and companies that
realized substantial revenues from exports leading the way for
most of the period. The S&P 500 stock index (with income
reinvested), which is often used as a broad indicator of large
U.S. stocks, rose 20.21% during the period under review. In
contrast, the Russell 2000 (with income reinvested), a leading
benchmark consisting of smaller U.S. companies, increased 14.42%
for the period. However, it is interesting to note that for the
second quarter, the gap between the two indices narrowed, with
the S&P 500 increasing 9.54% and the Russell 2000 up 9.37%.
DESPITE GENERALLY SLOWER ECONOMIC GROWTH, THE FED REMAINED
NEUTRAL DURING THE FIRST HALF OF 1995 AND THE BOND MARKET RALLIED
Slower economic growth coupled with relatively contained
inflation characterized the period and fueled a major bond rally
that gained momentum in late April and early May. Throughout the
first half of 1995, the Fed remained resolutely neutral. But on
July 6, the Fed decreased the Federal Funds rate (the rate that
banks charge one another for overnight borrowing) by 25 basis
points to 5.75% in an effort to stem the slowdown. A snapshot of
key economic indicators for the first half of 1995 shown below
shows a sharp slowdown during much of the period, with some
indications of growth at the very end of June.
- - During the first quarter, Gross Domestic Product (GDP)
increased a relatively modest 2.7% compared with 5.1% for the
fourth quarter of 1994 and was nearly flat (0.5%) for the
second quarter.
- - Inflation, as measured by the Consumer Price Index (CPI),
increased gradually to an estimated annualized rate of 3.2%
from December through June, compared with 2.6% for 1994.
- - Auto sales were soft, with declines due mainly to the rise in
rates on auto loans.
- - Factory output slowed after a significant buildup in
inventories and very high plant capacity utilization during
the fourth quarter of 1994.
- - Orders for durable goods plunged 4.6% in April, the steepest
drop since December 1991, and then rose 2.7% in May.
- - Sales and starts of single-family homes declined from January
through April, each reaching its lowest level in two years.
The trend reversed sharply in May, with sales of new and
existing homes rising approximately 20% and 4.5%,
respectively.
- - Unemployment declined slightly from 5.7% in January to 5.6%
in June.
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RESUMPTION OF GROWTH BY YEAR END A POSSIBILITY
Opinion is divided regarding when the economy will resume its
ascent, with some expecting a turnaround by year end. The
factors that could contribute to this positive outlook include
the recent decrease in short-term rates by the Fed, the decrease
in long-term interest rates that could eventually strengthen home
building and other interest rate-sensitive sectors, the potential
for U.S. export growth to continue and indications that a
stimulative fiscal policy may be adopted based on continuing
discussions in Congress regarding tax reform.
A WEAKENED DOLLAR DECLINED TO POST-WORLD WAR II LOWS
At the end of 1994, the dollar was relatively strong, partially
as a consequence of the Fed's tightening policy. In February
1995, the dollar weakened dramatically, stemming from the general
economic slowdown, the U.S. trade imbalance with Japan and
concern regarding the devaluation of the Mexican peso. From
January through April, the dollar fell approximately 18% against
the yen and 12% against the deutsche mark, hitting postwar lows
during that period. In May, the dollar recovered a small portion
of its losses and held its own in June, making the second quarter
significantly more stable than the first. The positive side of
the weaker dollar is that it has been good news for U.S. exports,
which are relatively cheap in terms of most foreign currencies.
As our exports rise, the U.S. trade imbalance should gradually
improve, which, in turn, should also help the dollar.
THE INTERNATIONAL MARKET ENVIRONMENT: A MIXED PICTURE WITH A
STRONGER FINISH FOR SOME MARKETS
For the first half of 1995, international equity markets started
in the doldrums but, in some cases, ended dramatically improved.
The Japanese market declined the most significantly. During the
period, many foreign bond markets rallied, with dollar-bloc
countries (Canada and Australia) outperforming the U.S.
> European stock markets were less volatile during the first
half of 1995 compared with a weak ending for 1994. From mid-
March forward, a sustained rally in Europe favored certain stock
markets (namely Italy, Spain, the U.K. and Sweden) to a greater
degree than others (Germany, France and Austria). In general,
the European economic recovery has proceeded at a moderate pace,
with inflation benign and unemployment remaining high. Political
uncertainties, stemming from such factors as elections in France,
the struggle for leadership in Britain and large budget deficits
that spurred fears of inflation in Italy and Sweden, caused
investors to seek what were perceived to be safe havens in
deutsche marks and Swiss francs based on those countries'
political and economic stability. The bond market in the U.K.
traded in line with the German bond market during the period
under review, although the pound saw some weakness. Markets
around the world seemed to be telling governments that they
cannot run big deficits without paying the consequences.
> In Japan, the economy was hindered by the strong yen that
contributed to a decline in exports. In addition, significant
costs and concerns resulting from the devastating earthquake in
Kobe took a heavy toll. Domestic consumption declined and the
trend for Japanese companies to outsource production to less
expensive markets in Southeast Asia increased. During the first
half of the year, the Nikkei 225 declined by approximately 22%
amid significant downward revisions in earnings growth based on
the assumption the yen would remain strong. The market saw
significant differentials in sector performance, with strong
returns in banking and construction stocks early in the year at
the expense of currency-sensitive export sectors such as
electronics. This trend reversed later in the period.
> Asian stock markets experienced mixed performance and low
volumes, despite stable economic fundamentals in the region. The
period began with a violent sell-off in Asia during January,
caused in part by the devaluation of the Mexican peso and
weakness in other Latin American markets, which had an unfounded
"spillover" effect on the Asian stock markets. A great deal of
foreign cash that had been sitting on the sidelines was quickly
invested once the market showed signs of an upturn in May, thus
fueling a rally. In addition, the strong performance of the U.S.
equity market encouraged increased investor interest in the
relatively inexpensive markets of Asia.
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PERFORMANCE AND PORTFOLIO REVIEW BY FUND
SELECT EQUITY FUND
OBJECTIVE AND STRATEGIES: The Select Equity Fund seeks to
provide a total return, net of investment expenses, that exceeds
the total return of the Standard & Poor's 500 stock index. The
Fund invests in a diversified portfolio of stocks with
representation from a broad range of industry groups, with sector
weightings, capitalizations and risk characteristics similar to
the S&P 500. To select investments, the Fund utilizes a
disciplined approach that combines fundamental investment
research provided by the Goldman Sachs Investment Research
Department with quantitative analysis generated by a proprietary
model developed by the Fund's investment adviser, GSAM and a
variety of other quantitative techniques which seek to maximize
the Fund's reward to risk ratio. Those stocks ranked highly both
by GSAM's quantitative analysis and Goldman Sachs Research are
selected for the Fund's portfolio.
PERFORMANCE REVIEW: For the six months ended June 30, 1995, the
Select Equity Fund had a total return based on net asset value of
20.82%* compared with a total return of 20.21% for the S&P 500
stock index, the Fund's benchmark. Both the Fund and the
benchmark reflected the strong stock market rally thus far in
1995. The Fund's slight outperformance during the period can be
primarily attributed to successful stock selection.
PORTFOLIO COMPOSITION: The Fund is fully invested in a broadly
diversified list of securities, with sector weightings generally
in line with those of the S&P 500 with the exception of a slight
overweighting in finance and basic industries and a slight
underweighting in consumer services as of June 30. The Fund's
valuation characteristics remain attractive relative to the S&P
500. For example, as of June 30, 1995, the Fund had a lower
price/earnings ratio based on 1995 estimated earnings (13.2x
versus 14.5x for the S&P) and a lower price/book ratio (2.5x
versus 2.7x).
The best performing stocks during the first half of 1995 had, on
average, low multiples to earnings and book value, strong
earnings momentum, positive earnings estimate revisions and large
capitalizations. Top performers in the Fund included stocks from
diverse industries: PHILIP MORRIS, PEPSICO, DUPONT, SCHERING
PLOUGH and CITICORP, as well as some high-flying technology
stocks like INTEL, IBM and HEWLETT PACKARD.
OUTLOOK: Despite a strong bull market, GSAM remains positive on
U.S. equities. Although valuation indicators are somewhat high,
continued strong earnings growth with low inflation are expected
to continue. In GSAM's opinion, neither a recession nor rising
interest rates, either of which could curtail the market, seem
imminent. The Fund remains fully invested in a diversified group
of stocks with good valuation and momentum characteristics.
GROWTH AND INCOME FUND
OBJECTIVE AND STRATEGIES: The Growth and Income Fund seeks long-
term capital appreciation and current income primarily through
investments in a diversified portfolio of common stocks and other
equity securities. The Fund is managed with a value style, which
means GSAM focuses on companies whose stocks are inexpensive
relative to their expected earnings, and have free cash flows and
the ability to pay dividends. Investments may include well-known
companies that are temporarily out of favor due to cyclical
economic conditions or are experiencing near-term difficulties
that the portfolio managers judge to be temporary in nature. In-
depth fundamental research of a company's financial structure,
its competitive position in the market and its management's
commitment to increasing shareholder value are all critical parts
of the Fund's investment approach.
PERFORMANCE REVIEW AND HOLDINGS: For the six months ended June
30, 1995 the Growth and Income Fund had a total return based on
net asset value of 19.29%* compared with the S&P 500 stock
index's return of 20.21%.
Top-performing stocks during the period, particularly during the
second quarter, included major holdings MCDONNELL DOUGLAS and
PHILIP MORRIS, both of which reported greater than expected
earnings and in the case of Philip Morris, a perceived easing on
the litigation front. ENTERGY, a utility holding company that
provides gas and electric services to customers in Arkansas,
Louisiana, Mississippi and East Texas, also performed well.
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Despite being 6% underweighted in the technology sector (the best
performing market sector during the period) relative to the S&P
500, the Fund has benefited from its technology holdings
including COMPAQ COMPUTER and DELL COMPUTER. Recently, the
Fund's position in ADVANCED MICRO DEVICES was sold after the
stock hit GSAM's target price for fair valuation.
Weaker performers during the period included TENET HEALTHCARE and
BRUNSWICK CORP., both of which declined by more than 10% during
the second quarter. As of June 30, the Fund continued to hold
these stocks on the belief that they will do well longer term.
After GSAM revised its earnings estimates downward, the Fund's
investments in PLAYTEX, TEXAS UTILITIES and UST were sold.
OUTLOOK: The Fund's investment adviser takes a long-term view of
the market, and therefore the Fund's investment focus will remain
the same: on stocks that are judged to be inexpensive compared
with their estimated future earnings and ability to pay
dividends. While over the short term, the market favors
different investment styles and sectors, GSAM remains confident
that the Fund's emphasis on undervalued, well-established
companies will prove rewarding over the long term.
SMALL CAP EQUITY FUND
OBJECTIVE AND STRATEGIES: The Small Cap Equity Fund's objective
is long-term capital appreciation, primarily through investments
in equity securities of U.S. companies with market
capitalizations of $1 billion or less. The Fund is managed using
a "business value" approach to investing, which means we look for
attractive companies with high or improving returns on capital
that GSAM believes can achieve solid, sustainable growth, as well
as generate free cash after investing for future growth. This
approach differs markedly from many growth-oriented, small-cap
funds that invest in companies with high multiples on the basis
of rapid, but frequently unsustainable, growth rates. Using its
own rigorous fundamental research, which includes meeting with a
company's management and interviewing a company's competitors,
customers and suppliers, GSAM builds the Fund's portfolio one
stock at a time.
PERFORMANCE REVIEW AND HOLDINGS: During the period under review,
the Small Cap Equity Fund had a total return of 1.83%* based on
net asset value compared with 14.42% for the Russell 2000, the
Fund's benchmark. The Fund underperformed the benchmark
partially due to disappointing results of a number of holdings
and partially due to its significant underweighting in the
technology sector, which led the market during the period, and
its overweighting in retailing stocks, which lagged the market.
Among the portfolio's retail stocks that saw declines were J.
BAKER (men's apparel and family and women's shoes), LEVITZ
FURNITURE (furniture) reflecting the downturn in new home sales
and TJX COMPANIES (off-price women's apparel and accessories).
In general, consumer spending slowed significantly during the
period, which impacted these and other retail stocks.
FOAMEX INTERNATIONAL (foam products) also did poorly because of a
combination of lower demand due to declines in consumer products
and automotive sales, and an increase in the cost of raw
materials which is expected to ease in the future. The company
authorized a significant stock repurchase plan during the period.
On the other hand, patience paid off in a number of cases where
there were substantial rebounds in a number of the Fund's
holdings during the past few months. These included ABT BUILDING
PRODUCTS (specialty building materials), which rallied
significantly during the past few months despite a sluggish
housing market; USA MOBILE COMMUNICATIONS (Midwest-based provider
of paging products), which rose due to a tender offer from Arch
Communications and was subsequently sold by the Fund; SONIC CORP.
(drive-in restaurants), whose continued strong earnings finally
convinced the market of the value we saw in the company; and
FIGGIE INTERNATIONAL (industrial conglomerate), where new
management has been selling less profitable businesses to pay
down debt and restructure the company. After more than a year of
disappointing earnings, Figgie is expected to report a profit for
the third quarter and the stock has responded favorably.
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Another investment with good news to report was MUSICLAND STORES
CORP. (discount music retailer). Musicland stock rebounded as
investors gained more confidence in the company's new growth
strategy instituted in the latter part of 1994. Specifically,
Musicland is using cash generated by its mature stores located in
shopping malls to finance its rapidly growing "super-stores"
(called Mediaplay, or On Cue), which feature sales of CDs, videos
and books in much larger facilities.
OUTLOOK: The Fund's portfolio managers believe that small-cap
stocks are currently undervalued, both compared with their own
earnings potential and compared with larger U.S. stocks, and are
positioned to achieve better returns in both relative and
absolute terms going forward. The Fund's investment style
continues to emphasize undiscovered or undervalued stocks, and
therefore may tend to invest in some sectors, such as retail
stocks, early in the cycle. However, GSAM's portfolio managers
are patient investors prepared to hold stocks they consider
fundamentally sound in the pursuit of the Fund's objective of
long-term growth. GSAM remains committed to a disciplined,
stock-by-stock approach, which we believe will uncover attractive
opportunities for investors over time.
CAPITAL GROWTH FUND
OBJECTIVE AND STRATEGIES: The Capital Growth Fund seeks long-
term growth of capital primarily through investments in stocks
considered to have long-term capital appreciation potential.
Typically, the portfolio is expected to be relatively
concentrated. GSAM, the Fund's investment adviser, employs a
value-oriented investment style and uses firsthand fundamental
research to identify attractive companies whose stocks are
significantly underpriced in the market in relation to their
long-term earnings and cash flow potential. GSAM's investment
approach seeks to exploit what they view as a "value gap" - the
difference between the current price of a company and its
appraisal of the company's true business value. There are a
variety of reasons such a gap may exist: a company may be
overlooked by the market because it is obscure, because its
business is complex and difficult to understand, or because it is
experiencing temporary problems. By its very nature, such an
approach calls for patience and a long-term investment horizon.
PERFORMANCE REVIEW AND HOLDINGS: The Capital Growth Fund
commenced operations on June 14, 1995 and hence has no
significant performance history. Since inception through June
30, the Fund returned 2.40%* based on net asset value compared
with a 1.58% return for the S&P 500 stock index for the same
period.
Several of the Fund's larger holdings to date are described
below. As of June 30, the Fund held 29 securities.
The Fund established positions in a number of forest and paper
companies that have enjoyed strong demand and a recovery in
prices from depressed levels. These include GEORGIA-PACIFIC,
CHAMPION INTERNATIONAL and STONE CONTAINER. Despite a run-up in
prices that those stocks have already experienced in 1995, GSAM's
portfolio managers still believe there is more upside potential.
MCDONNELL DOUGLAS and NORTHROP GRUMMAN, two aerospace/defense
companies, are also among the Fund's holdings. Both have
experienced rising cash flow that has been spent on nondefense
acquisitions and aggressive share repurchase programs, which have
benefited shareholders.
The Fund also owns GENERAL MOTORS stock on the expectation that
the company's aggressive cost-cutting initiatives will pay off in
higher earnings when automobile sales rebound later in the
economic cycle.
The portfolio is overweighted in retail stocks, which have
generally lagged the market during the first half of 1995,
reflecting lackluster consumer spending. Among the Fund's
holdings: CHARMING SHOPPES (a retailer of moderately priced
women's apparel), SERVICE MERCHANDISE (retail catalog stores) and
TJX COMPANIES, (off-price women's apparel and accessories). One
of the Fund's retail investments, DILLARD DEPARTMENT STORES,
operating primarily in the southern and midwestern regions of the
U.S., has already proven to be a notable exception in retailing,
surpassing many of its peers in recent months.
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OUTLOOK: Having experienced four years of economic recovery,
some slowing is to be expected and may contribute to the
durability of the upward trend over time. The Fund's portfolio
managers believe the bull market will continue for some time to
come, with occasional corrections from time to time. In their
opinion, medium and smaller companies currently offer better
relative value than their larger counterparts. Consistent with
GSAM's approach to stock selection, the Fund will continue to
seek companies that are undervalued but offer outstanding long-
term appreciation potential.
INTERNATIONAL EQUITY FUND
OBJECTIVE AND STRATEGIES: The International Equity Fund seeks
long-term capital appreciation by investing in equity securities
of companies based outside the U.S. that the Fund's portfolio
management team believes have the potential to achieve superior
returns over the long term. The Fund focuses on selecting
attractively valued companies with strong, competitive positions
in industries that are expected to grow. GSAMI's bottom-up
approach focuses on individual companies, rather than on making
investment choices based on our view of a particular country or
industry sector. Currency risk, inherent in any international
investment, is managed by a separate team of currency specialists
based in London.
PERFORMANCE REVIEW AND HOLDINGS: For the six months ended June
30, 1995, the International Equity Fund had a total return of
6.61%* based on net asset value compared with a return of 1.85%
for the Fund's benchmark, the Financial Times-Actuaries Europe &
Pacific Index ("Europac") unhedged. Europac is a capitalization-
weighted composite of approximately 1,500 stocks from 20
companies in Europe and the Asia-Pacific region and is calculated
on a monthly basis.
The Fund performed better than the Index due primarily to
successful stock selection. The Fund was also helped by its
overweighting in some of the better performing European markets,
such as Sweden. As of June 30, approximately 88% of the Fund's
assets were invested in 39 stocks based in 15 different
countries. Its five largest country allocations were Japan
(30.2%), the U.K. (10.9%), Sweden (7.9%), Spain (6.9%) and Hong
Kong (6.1%).
> JAPAN. Japan's economic problems affected the stock prices
in general during the period. However, GSAMI remains confident
that the portfolio's Japanese holdings, concentrated in companies
that were taking aggressive steps to reduce costs and optimize
the use of their assets, will eventually prove successful. AIWA
is a good example of one of the Fund's newer Japanese holdings.
New management at the company has reduced costs, shifting both
Research & Development and production from Japan to lower cost
manufacturers in Southeast Asia. The company is a leader in
audio electronics and mini-components, a lucrative niche market.
Other successful Japanese investments during the period included
MIRAI (a large producer of electric cable conduits, wiring boxes
and other electrical accessories), HOYA (the world's leading
manufacturer of optical glass) and MAX (office equipment
manufacturer), all of which outperformed the market.
> EUROPE. As of June 30, the Fund continued to be overweighted
in Europe. Among the portfolio's strongest performers were
SECURITAS (Sweden), the largest security services company in
Europe, FRESENIUS (a major producer of kidney dialysis
equipment), and ELECTROCOMPONENTS (U.K.), the leading catalog
provider of electronic components and other equipment to
businesses in the U.K. and Europe. The Fund's largest holding is
REPSOL, a well-managed Spanish oil and gas producer, which has
shown a consistently high return on equity and remains
attractively valued. In contrast, VOLVO (Sweden) was
disappointing during the period, hurt by the weakness of the U.S.
dollar, which depressed automobile exports, and by general
difficulties in the automotive sector. However, GSAMI added to
the Fund's position in Volvo stock on price weakness, based on
the belief that the company is fundamentally strong and that
management's plan to restructure to core businesses will
ultimately prove successful.
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> ASIA-PACIFIC. The Fund's exposure in the Asia-Pacific region
remained intact but was specifically reduced in Hong Kong in
favor of greater diversification in Korea, Indonesia and the
Philippines where valuations were attractive. A large portion of
the Fund's holdings of Hong Kong-based CONSOLIDATED ELECTRIC
POWER OF ASIA was sold to take profits as the stock hit GSAMI's
target price, and a significant position in KOREA MOBILE
TELECOMMUNICATIONS (KMT) was added. KMT is the sole provider of
cellular telecommunications in Korea and controls half of the
pager market, both of which should see significant growth
potential.
OUTLOOK: The outlook for international markets appears to be
improving. Currently, in the opinion of GSAMI, Europe is likely
to see continuing reasonable levels of economic growth with low
inflation. However, unlike the U.S. stock markets, which may be
reaching a near-term peak, many European stock markets are still
10% to 20% off their highs, which were set during 1993, and thus
still offer what GSAMI believes are attractive valuations. Near
term, the Japanese market continues to suffer from a liquidity
crisis in the domestic economy and from the strong yen. However,
during the first few weeks of July, the Nikkei 225 stock index
rallied over 12% on news that the Bank of Japan cut short-term
interest rates - a sign that many believe indicates the Japanese
government's commitment to provide monetary and fiscal stimulus
to help improve Japan's economic troubles. In any event, GSAMI
believes the Fund's holdings are undervalued and have the
potential to appreciate over the long term.
GLOBAL INCOME FUND
OBJECTIVE AND STRATEGIES: The investment objective of the Global
Income Fund is to generate a high total return, composed of both
current income and capital appreciation. The Fund may invest in
government and other high-quality, fixed income securities issued
in the U.S. and in foreign markets. The Fund also engages in
currency transactions to hedge exchange rate risk and enhance
return when possible.
PERFORMANCE REVIEW AND STRATEGIES: For the six months ended June
30, 1995, the Global Income Fund had a total return of 9.01%*
compared with its benchmark, the J.P. Morgan Government Bond
Index (hedged into U.S. dollars), which returned 9.82%.
The Fund participated in generally positive performance from
global bond markets during the period, including the U.S. bond
rally. In addition, several currency strategies employed during
the period contributed to the Fund's positive returns. These
included unhedging the Fund's yen and deutsche mark exposures
(correctly anticipating that the dollar would decline) and taking
a long position in deutsche marks and Swiss francs versus other
European currencies, such as the Italian lira, the French franc
and the Spanish peseta (correctly anticipating that the deutsche
marks and Swiss francs would strengthen). The following is a
summary of the Fund's portfolio positions:
- - As of June 30, the Fund's largest single-country position was
in U.S. bonds (25.8%) and the Fund's overall dollar-bloc
exposure (U.S. and Canada) was 36.5% (compared with
approximately 39% and 41%, respectively, for the Index).
Specifically, the Fund's exposure in the U.S. market was
reduced after the market rallied during the first quarter of
1995.
- - Just under one-quarter of the Fund's portfolio was in
continental European bonds and an additional 9.6% was in U.K
bonds. We favor the core European markets over higher
yielding countries, based on concerns regarding inflation and
deficits.
- - The Fund's position in Australian bonds was liquidated during
the period amid concerns about Australia's current-account
(trade) deficit.
- - The Fund's position in Canadian bonds (10.7%) was
significantly overweighted compared with the Index (2.6%),
based on GSAM's belief that Canadian bonds will outperform
during the coming months.
- - Despite the likelihood that the yen will remain firm, the
Fund had a 6.1% position in Japanese bonds (significantly
underweighted compared with approximately 17% for the Index)
based on the belief that those factors had already been
discounted by the market. The portfolio held a call option
to protect it in the event the Japanese market unexpectedly
rallied, which worked to the Fund's benefit in February.
- - During the period, a new position in European Currency Units
(ECU) of 2.9% was added to the portfolio because the ECU's
price was cheap versus its theoretical price. The ECU is an
international currency that includes all European Union
member currencies except the Spanish peseta and the
Portuguese escudo.
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OUTLOOK: Going forward, the Fund is marginally underweighted
compared with the benchmark with regard to dollar-bloc countries
based on the belief that the U.S. economy is in a near-term
trading range, with the bond rally largely behind us and
moderately higher yields after mid-year probable. In addition,
GSAMI expects Canadian bonds to outperform U.S. Treasuries.
GSAMI expects the Fund to remain underweighted in Japan and
overweighted in core European markets, which should benefit from
weak economic activity, currency strength and potential monetary
easing in the near term.
MONEY MARKET FUND
OBJECTIVE: The Money Market Fund is designed to preserve
capital, maximize current income and maintain liquidity. The
Fund invests in high-quality money market securities, including
certificates of deposit and bankers' acceptances, high-quality
commercial paper and other short-term obligations of U.S.
corporations, state and municipal governments, and other
issuers, and repurchase agreements relating to these securities.
The Fund may also invest in securities issued or guaranteed by
the U.S. government or its agencies. However, please note that
the Fund's shares are not guaranteed or insured by the U.S.
government and the Company cannot assure that it will maintain a
stable net asset value of $1.00 per share.
PERFORMANCE REVIEW AND COMPOSITION: As of June 30, 1995, the
Money Market Fund's 30-day yield was 5.32% and its average
maturity was 28 days.
OUTLOOK: Recent economic data point to slower economic growth in
general, with evidence of rebounding demand occurring in specific
areas, such as strengthening sales of new and existing homes,
vehicles and other retail sectors, as well as orders for capital
goods. Therefore, the pressure for additional easing by the
Federal Reserve has abated somewhat for the time being, though
another slight interest rate cut remains possible by year-end.
Given our neutral to positive outlook, the Fund is expected to
maintain a weighted average life between 30 to 50 days.
In conclusion, we want to thank you for your support. The Funds'
investment advisers will continue to use a disciplined investment
approach to pursue each Fund's specific objectives while doing
their best to carefully manage risk.
Sincerely,
Carolyn King
Chairman and President
Protective Investment Company
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* Total return is calculated assuming a purchase of shares at net
asset value per share on the first day and a sale at net asset
value per share on the last day of each period reported.
Distributions are assumed, for purposes of this calculation, to
be reinvested at the net asset value per share on the respective
payment dates of each Fund. Results represent past performance
and do not indicate future results. The value of an investment
and the return on an investment will fluctuate and redemption
proceeds may be higher or lower than an investor's original cost.
Further, all performance data is historical and includes changes
in share price and reinvestment of dividends and capital gains.
Performance numbers are net of all Fund operating expenses but do
not include any insurance charges imposed in connection with your
variable annuity contract. If the performance information
included the effect of the insurance charges, performance numbers
would be lower.
8
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNTS
SECURITY DESCRIPTION (000) U.S. $ VALUE
-------------------- ----- ------------
<S> <C> <C>
GOVERNMENT AND AGENCY SECURITIES - 82.2%
BELGIUM - 3.4%
Kingdom of Belgium
6.500%, 03/31/2005. . . . . . . . . BEL 25,000 $ 815,405
------------
CANADA - 10.7%
Government of Canada
7.500%, 09/01/2000. . . . . . . . . CAD 3,500 2,544,343
------------
DENMARK - 3.7%
Kingdom of Denmark
9.000%, 11/15/2000. . . . . . . . . DKK 4,500 865,154
------------
FRANCE - 9.6%
Government of France
8.500%, 03/28/2000. . . . . . . . . FRF 2,250 488,374
8.500%, 11/25/2002. . . . . . . . . 5,000 1,091,975
8.500%, 03/15/2002. . . . . . . . . XEU 500 689,222
------------
2,269,571
------------
GERMANY - 9.0%
Federal Republic of Germany
8.375%, 05/21/2001. . . . . . . . . DEM 1,500 1,172,861
7.375%, 01/03/2005. . . . . . . . . 1,300 961,675
------------
2,134,536
------------
JAPAN - 6.1%
Japan Government
6.600%, 06/20/2001. . . . . . . . . JPY 100,000 1,451,853
------------
NEW ZEALAND - 4.3%
New Zealand
8.000%, 04/15/2004. . . . . . . . . NZD 1,500 1,026,675
------------
UNITED KINGDOM - 9.6%
U.K. Treasury
9.000%, 03/03/2000. . . . . . . . . GBP 900 1,474,940
8.500%, 12/07/2005. . . . . . . . . 500 794,923
------------
2,269,863
------------
UNITED STATES - 25.8%
United States Treasury Notes
6.875%, 07/31/1999. . . . . . . . . US$ 1,750 $ 1,804,688
6.750%, 04/30/2000. . . . . . . . . 650 669,702
6.250%, 02/15/2003. . . . . . . . . 1,400 1,403,722
7.875%, 11/15/2004. . . . . . . . . 2,000 2,227,500
------------
6,105,612
------------
TOTAL GOVERNMENT AND AGENCY
SECURITIES - (Cost $18,839,632) 19,483,012
------------
TIME DEPOSIT - 19.1%
United States - 19.1%
State Street Bank and Trust Co.
Eurodollar Time Deposit
6.125%, 07/03/1995. . . . . . . . . US$ 4,532 4,532,000
------------
TOTAL TIME DEPOSIT - (Cost $4,532,000) 4,532,000
------------
TOTAL INVESTMENTS -
(Cost $23,371,632) -- 101.3% 24,015,012
OTHER ASSETS LESS LIABILITIES -- (1.3)% (319,228)
------------
------------
NET ASSETS -- 100.0% $ 23,695,784
------------
------------
</TABLE>
See Glossary of Terms on page 39.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
9
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES U.S. $ VALUE
-------------------- ------ ------------
<S> <C> <C>
COMMON STOCK - 79.9%
AUSTRIA - 2.8%
Oester Elektrizita. . . . . . . . . . . . 15,575 $ 1,141,740
------------
BELGIUM - 1.8%
Colruyt SA. . . . . . . . . . . . . . . . 2,600 722,070
------------
DENMARK - 2.1%
Tele Danmark AS-B share . . . . . . . . . 15,000 835,031
------------
FRANCE - 1.5%
Seita . . . . . . . . . . . . . . . . . . 19,800 595,065
------------
HONG KONG - 6.1%
Consolidated Electric
Power of Asia . . . . . . . . . . . . . 352,200 817,027
HSBC Holdings . . . . . . . . . . . . . . 90,000 1,154,398
National Mutual Asia. . . . . . . . . . . 756,000 483,626
------------
2,455,051
------------
IRELAND - 1.5%
Bank Of Ireland . . . . . . . . . . . . . 107,129 613,870
------------
JAPAN - 30.2%
Aiwa Co.. . . . . . . . . . . . . . . . . 43,000 1,040,241
Futaba Corp.. . . . . . . . . . . . . . . 11,000 498,466
Hoya Corp.. . . . . . . . . . . . . . . . 40,000 1,180,080
Inaba Denkisangyo . . . . . . . . . . . . 27,000 637,243
Max Co. . . . . . . . . . . . . . . . . . 41,000 875,738
Mirai Industry Co.. . . . . . . . . . . . 27,000 627,685
Mitsubishi Electric Corp. . . . . . . . . 163,000 1,146,424
Mitsubishi Heavy Industries . . . . . . . 165,000 1,121,548
Mitsui Marine & Fire. . . . . . . . . . . 149,000 977,626
Santen Pharmaceutical Co. . . . . . . . . 49,000 1,306,821
Shimachu Co.. . . . . . . . . . . . . . . 39,000 989,497
Taikisha. . . . . . . . . . . . . . . . . 45,000 642,554
Yamatake Honeywell. . . . . . . . . . . . 35,000 454,331
York Benimaru Co. . . . . . . . . . . . . 16,900 638,187
------------
12,136,441
------------
NETHERLANDS - 6.0%
N.V. GTI Holdings . . . . . . . . . . . . 2,000 192,320
Randstad Holdings N.V. .. . . . . . . . . 14,900 1,053,914
Wolters Kluwer N.V. . . . . . . . . . . . 13,226 1,166,824
------------
2,413,058
------------
SPAIN - 6.9%
Banco Popular Espana. . . . . . . . . . . 8,360 $ 1,242,353
Repsol SA . . . . . . . . . . . . . . . . 48,315 1,519,754
------------
2,762,107
------------
SWEDEN - 7.9%
Arjo AB * . . . . . . . . . . . . . . . . 7,090 62,345
Hoganas AB, Class B . . . . . . . . . . . 44,000 858,454
Securitas AB, Class B . . . . . . . . . . 29,700 1,028,331
Volvo AB. . . . . . . . . . . . . . . . . 63,500 1,208,369
------------
3,157,499
------------
SWITZERLAND - 2.2%
Cie Financier Richemont AG. . . . . . . . 700 863,222
------------
UNITED KINGDOM - 10.9%
British Airport Authority PLC . . . . . . 103,595 813,431
Electrocomponents . . . . . . . . . . . . 123,075 1,174,940
Rentokil Group PLC. . . . . . . . . . . . 259,000 1,112,649
Siebe . . . . . . . . . . . . . . . . . . 126,200 1,263,004
------------
4,364,024
------------
TOTAL COMMON STOCK -
(Cost $29,978,073) 32,059,178
------------
PREFERRED STOCK - 2.8%
GERMANY - 2.8%
Fresenius AG. . . . . . . . . . . . . . . 1,706 1,150,986
------------
TOTAL PREFERRED STOCK -
(Cost $622,981) 1,150,986
------------
AMERICAN DEPOSITORY
RECEIPTS - 5.1%
KOREA - 3.1%
Korea Mobile Telecomm Corp. * . . . . . . 35,000 1,247,050
------------
------------
PHILIPPINES - 2.0%
Philippine Long Distance
Telephone Co.. . . . . . . . . . . . 11,000 789,250
------------
TOTAL DEPOSITORY
RECEIPTS - (Cost $1,592,647) 2,036,300
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION CONTRACTS U.S. $ VALUE
-------------------- --------- ------------
<S> <C> <C>
OPTION PURCHASED - 0.0%
JAPAN - 0.0%
Nikkei 300 Call @ JPY 328.55,
Expiring 12/22/95. . . . . . . . . . 1,656,946 $ 196
------------
TOTAL OPTION PURCHASED -
(Cost $290,747) 196
------------
PRINCIPAL
AMOUNT
(000)
-----
TIME DEPOSIT - 16.8%
UNITED STATES - 16.8%
State Street Bank and Trust Co.
Eurodollar Time Deposit
6.125%, 07/03/1995 . . . . . US $ 6,734 6,734,000
-----------
TOTAL TIME DEPOSIT - (Cost $6,734,000) 6,734,000
-----------
TOTAL INVESTMENTS -
(Cost $39,218,448) -- 104.6% 41,980,660
OTHER ASSETS LESS LIABILITIES -- (4.6)% (1,838,906)
-------------
NET ASSETS -- 100.0% $40,141,754
------------
------------
<FN>
* Denotes non-income producing security.
See Glossary of Terms on page 39.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK - 81.1%
AEROSPACE/DEFENSE - 6.3%
McDonnell Douglas Corp. . . . . . . . . . 500 $ 38,375
Northrop Grumman Corp.. . . . . . . . . . 500 26,063
------------
64,438
------------
AUTO PARTS - 3.1%
Lear Seating Corp. *. . . . . . . . . . . 1,400 32,025
------------
AUTOMOBILE - 2.8%
General Motors Corp.. . . . . . . . . . . 600 28,125
------------
CHEMICALS - 3.1%
Geon Co.. . . . . . . . . . . . . . . . . 1,100 31,625
------------
CONSTRUCTION & MINING
EQUIPMENT - 3.4%
Harnischfeger Industries, Inc. . . . . . 1,000 34,625
------------
DOMESTIC OIL - 1.8%
Tenneco Inc.. . . . . . . . . . . . . . . 400 18,400
------------
ELECTRONICS - 3.8%
Varian Associates Inc.. . . . . . . . . . 700 38,675
------------
FINANCIAL SERVICES - 1.4%
Penncorp Financial Group Inc. . . . . . . 800 14,800
------------
HOUSEHOLD PRODUCTS - 3.8%
Snap On Inc.. . . . . . . . . . . . . . . 1,000 38,750
------------
INDUSTRIAL MACHINERY - 6.1%
Keystone International Inc. . . . . . . . 1,500 29,438
Stewart & Stevenson
Services Inc. . . . . . . . . . . . 900 32,737
------------
62,175
------------
INSURANCE - PROPERTY &
CASUALTY - 2.0%
Partner Re Holdings . . . . . . . . . . . 800 20,900
------------
MANUFACTURING - 3.3%
Millipore Corp. . . . . . . . . . . . . . 500 33,750
------------
PAPER AND FOREST PRODUCTS - 10.5%
Champion International Corp. . . . . . . 500 26,062
Georgia-Pacific Corp. . . . . . . . . . . 500 43,375
Stone Container Corp. * . . . . . . . . . 1,800 38,250
------------
107,687
------------
PLASTICS - 2.5%
First Brands Corp.. . . . . . . . . . . . 600 25,725
------------
PUBLISHING - 2.9%
Valassis Communications Inc. *. . . . . . 1,800 $ 30,150
------------
RETAIL - SPECIALTY - 3.2%
Musicland Stores Inc. * . . . . . . . . . 2,000 20,500
Service Merchandise Co. Inc. *. . . . . . 2,300 12,075
------------
32,575
------------
RETAIL - SPECIALTY APPAREL
STORE - 10.2%
Ann Taylor Stores Corp. * . . . . . . . . 400 9,300
Charming Shoppes Inc. . . . . . . . . . . 6,100 32,025
Dillard Dept Stores Inc.. . . . . . . . . 1,200 35,250
TJX Cos Inc.. . . . . . . . . . . . . . . 2,100 27,825
------------
104,400
------------
STEEL - 2.9%
Quanex Corp.. . . . . . . . . . . . . . . 1,200 29,700
------------
TOBACCO - 1.9%
Universal Corp. Virginia. . . . . . . . . 900 18,900
------------
TRANSPORTATION - 6.1%
Consolidated Freightways Inc. . . . . . . 1,400 30,975
Kirby Corp. * . . . . . . . . . . . . . . 2,000 31,750
------------
62,725
------------
TOTAL COMMON STOCK -
(Cost $807,712) . . . . . . . . . . 830,150
------------
PRINCIPAL
AMOUNT
(000)
---
SHORT TERM INVESTMENT - 18.8%
REPURCHASE AGREEMENT - 18.8%
State Street Bank and Trust Co.
6.000%, 07/03/1995 . . . . . . . . . $ 193 193,000
------------
(Dated 06/30/1995, collateralized by
$195,000 United States Treasury Note,
6.50%, 05/15/1997, with a value of
$199,052)
TOTAL SHORT TERM
INVESTMENT - (Cost $193,000) 193,000
------------
TOTAL INVESTMENTS -
(Cost $1,000,712) -- 99.9% 1,023,150
OTHER ASSETS LESS LIABILITIES -- 0.1% 873
------------
NET ASSETS -- 100.0% $ 1,024,023
------------
------------
<FN>
* Denotes non-income producing security.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK - 85.4%
AEROSPACE/DEFENSE - 6.6%
Lockheed Corp.. . . . . . . . . . . . . . 16,820 $ 1,061,762
McDonnell Douglas Corp. . . . . . . . . . 34,600 2,655,550
Northrop Grumman Corp.. . . . . . . . . . 32,600 1,699,275
------------
5,416,587
------------
AUTO PARTS - 0.6%
Lear Seating Corp. *. . . . . . . . . . . 22,700 519,263
------------
AUTOMOBILE - 3.8%
Ford Motor Co.. . . . . . . . . . . . . . 64,400 1,915,900
General Motors Corp.. . . . . . . . . . . 25,200 1,181,250
-----------
3,097,150
-----------
BROKERAGE FIRMS - 1.0%
Lehman Brothers Holdings Inc. . . . . . . 36,600 800,625
------------
CHEMICALS - 2.0%
Geon Co.. . . . . . . . . . . . . . . . . 57,700 1,658,875
------------
COMMUNICATION SERVICES - 0.4%
Tele Communications Inc. *. . . . . . . . 13,500 316,406
------------
COMPUTER HARDWARE - 1.6%
Dell Computer Corp. * . . . . . . . . . . 21,700 1,304,713
------------
COMPUTER SOFTWARE &
SERVICES - 1.9%
Compaq Computer Corp. * . . . . . . . . . 34,200 1,551,825
------------
CONTAINERS - 4.4%
Owens Illinois Inc. * . . . . . . . . . . 82,900 1,077,700
Stone Container Corp. * . . . . . . . . . 120,700 2,564,875
------------
3,642,575
------------
DOMESTIC OIL - 2.1%
Ashland Inc.. . . . . . . . . . . . . . . 18,900 663,863
Atlantic Richfield Co.. . . . . . . . . . 9,800 1,075,550
------------
1,739,413
------------
ELECTRIC COMPANIES - 4.7%
CMS Energy Corp.. . . . . . . . . . . . . 32,200 792,925
Entergy Corp. . . . . . . . . . . . . . . 57,400 1,384,775
Long Island Lighting Co.. . . . . . . . . 110,800 1,717,400
------------
3,895,100
------------
ELECTRONICS - 1.4%
Loral Corp. . . . . . . . . . . . . . . . 22,500 $1,164,375
------------
FINANCIAL SERVICES - 4.2%
Federal National Mortgage Assn. . . . . . 4,100 386,938
North American Mortgage Co. . . . . . . . 17,100 395,437
Standard Federal Bancorporation . . . . . 21,500 722,937
Travelers Inc.. . . . . . . . . . . . . . 45,300 1,981,875
------------
3,487,187
------------
FOODS - 2.5%
Chiquita Brands International Inc. . . . 148,100 2,073,400
------------
HEALTHCARE - 6.5%
Columbia HCA Healthcare Corp. . . . . . . 38,900 1,682,425
FHP International Corp. * . . . . . . . . 64,250 1,477,750
Tenet Healthcare Corp. *. . . . . . . . . 129,000 1,854,375
U.S. Healthcare Inc.. . . . . . . . . . . 9,900 303,187
------------
5,317,737
------------
HOMEBUILDING - 0.7%
Centex Corp.. . . . . . . . . . . . . . . 9,200 259,900
Lennar Corp.. . . . . . . . . . . . . . . 15,000 281,250
------------
541,150
------------
HOUSEWARES - 1.0%
National Presto Industries Inc. . . . . . 17,400 789,525
------------
INSURANCE BROKERS - 2.1%
Lincoln National Corp. Inc. . . . . . . . 35,800 1,566,250
U.S. Life Corp. . . . . . . . . . . . . . 3,500 140,875
------------
1,707,125
------------
INSURANCE - PROPERTY &
CASUALTY - 2.2%
Home State Holdings Inc. *. . . . . . . . 23,700 234,038
Partner Re Holdings . . . . . . . . . . . 60,200 1,572,725
------------
1,806,763
------------
LEISURE TIME - 2.7%
Brunswick Corp. . . . . . . . . . . . . . 93,500 1,589,500
Outboard Marine Corp. . . . . . . . . . . 30,900 606,412
------------
2,195,912
------------
LIQUOR - 2.1%
Anheuser Busch Cos. Inc.. . . . . . . . . 31,200 1,774,500
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS (continued)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK (continued)
MAJOR REGIONAL BANKS - 4.6%
BankAmerica Corp. . . . . . . . . . . . . 23,800 $1,252,475
Nationsbank Corp. . . . . . . . . . . . . 34,700 1,860,787
Shawmut National Corp.. . . . . . . . . . 20,500 653,438
----------
3,766,700
----------
OIL - 1.4%
Exxon Corp. . . . . . . . . . . . . . . . 7,300 515,562
Royal Dutch Petroleum Co. . . . . . . . . 900 109,688
Texaco Inc. . . . . . . . . . . . . . . . 8,400 551,250
----------
1,176,500
----------
PAPER AND FOREST PRODUCTS - 4.1%
Champion International Corp. . . . . . . 21,000 1,094,625
Georgia Pacific Corp. . . . . . . . . . . 26,800 2,324,900
----------
3,419,525
----------
PETROLEUM SERVICES - 2.4%
Tosco Corp. . . . . . . . . . . . . . . . 61,700 1,966,687
----------
PUBLISHING - 1.5%
Valassis Communications Inc. *. . . . . . 72,800 1,219,400
----------
REAL ESTATE INVESTMENT
TRUSTS - 0.4%
Haagen Alexander Properties Inc. . . . . 25,800 296,700
United Mobile Homes Inc.. . . . . . . . . 1 5
----------
296,705
----------
RETAIL - FOOD CHAINS - 1.5%
Fleming Cos Inc.. . . . . . . . . . . . . 29,100 771,150
Supervalu Inc . . . . . . . . . . . . . . 14,800 431,050
----------
1,202,200
----------
RETAIL - SPECIALTY APPAREL
STORE - 4.3%
J C Penney Inc.. . . . . . . . . . . . . 45,900 2,203,200
Melville Corp.. . . . . . . . . . . . . . 39,700 1,359,725
----------
3,562,925
----------
SAVINGS AND LOAN HOLDING
COMPANIES - 1.3%
Greenpoint Financial Corp.. . . . . . . . 47,100 1,112,738
----------
STEEL - 0.6%
Quanex Corp.. . . . . . . . . . . . . . . 19,100 472,725
----------
TIRES & RUBBER - 0.9%
Goodyear Tire and Rubber. . . . . . . . . 18,600 $ 767,250
----------
TOBACCO - 5.6%
Philip Morris Cos. Inc. . . . . . . . . . 29,500 2,194,063
RJR Nabisco Holdings Corp.. . . . . . . . 85,580 2,385,542
----------
4,579,605
----------
TRANSPORTATION - 2.3%
Consolidated Freightways Inc. . . . . . . 87,300 1,931,513
----------
TOTAL COMMON STOCK -
(Cost $63,729,443) . . . . . . . . . 70,274,679
----------
PREFERRED STOCK - 0.7%
FOODS - 0.3%
Chiquita Brands International Inc. . . . 5,800 255,200
----------
TOBACCO - 0.4%
RJR Nabisco Holdings Corp.. . . . . . . . 50,900 311,763
----------
TOTAL PREFERRED STOCK -
(Cost $591,287) . . . . . . . . . . . 566,963
----------
PRINCIPAL
AMOUNT
(000)
-----
SHORT TERM INVESTMENT - 16.0%
REPURCHASE AGREEMENT - 16.0%
State Street Bank and Trust Co.
6.000%, 07/03/1995. . . . . . . . . . $13,157 13,157,000
-----------
(Dated 06/30/1995, collateralized by
$13,110,000 United States Treasury
Note, 6.875%, 10/31/1996,
with a value of $13,421,363)
TOTAL SHORT TERM
INVESTMENT - (Cost $13,157,000) . . . 13,157,000
-----------
TOTAL INVESTMENTS -
(Cost $77,477,730) -- 102.1% . . . . . 83,998,642
OTHER ASSETS LESS LIABILITIES -- (2.1)%. . (1,690,605)
-----------
NET ASSETS -- 100.0% . . . . . . . . . . . $82,308,037
-----------
-----------
</TABLE>
* Denotes non-income producing security.
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
PROTECTIVE SELECT EQUITY FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
Security Description Shares Value
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK - 93.9%
AEROSPACE/DEFENSE - 3.5%
Allied Signal Inc. . . . . . . . . . . . 7,400 $ 329,300
McDonnell Douglas Corp.. . . . . . . . . 1,500 115,125
Rockwell International Corp. . . . . . . 10,800 494,100
United Technologies Corp.. . . . . . . . 3,800 296,875
-------------
1,235,400
-------------
AUTO PARTS - 0.5%
Varity Corp. * . . . . . . . . . . . . . 3,700 162,800
-------------
AUTOMOBILE - 1.0%
General Motors Corp. . . . . . . . . . . 7,600 356,250
-------------
BEVERAGES - 2.5%
Coca Cola Co.. . . . . . . . . . . . . . 4,900 312,375
Pepsico Inc. . . . . . . . . . . . . . . 11,900 542,937
-------------
855,312
-------------
BROADCAST MEDIA - 1.7%
Capital Cities ABC Inc.. . . . . . . . . 5,400 583,200
-------------
BUSINESS SERVICES - 0.8%
First Data Corp. . . . . . . . . . . . . 4,600 261,625
-------------
CHEMICALS - 5.0%
Dow Chemical Co. . . . . . . . . . . . . 9,500 682,812
E I Du Pont De Nemours & Co. . . . . . . 8,300 570,625
Monsanto Co. . . . . . . . . . . . . . . 4,700 423,588
Morton International Inc.. . . . . . . . 2,300 67,275
-------------
1,744,300
-------------
COMMERCIAL SERVICES - 1.0%
Omnicom Group. . . . . . . . . . . . . . 5,900 357,688
-------------
COMMUNICATION SERVICES - 0.1%
Harte Hanks Communications . . . . . . . 1,700 42,925
-------------
COMPUTER SOFTWARE &
SERVICES - 4.4%
International Business
Machines, Inc. . . . . . . . . . . . . 10,700 1,027,200
Microsoft Corp. *. . . . . . . . . . . . 5,800 524,175
-------------
1,551,375
-------------
CONGLOMERATES - 0.8%
ITT Corp.. . . . . . . . . . . . . . . . 2,400 282,000
-------------
CONTAINERS - PAPER - 1.3%
Ball Corp. . . . . . . . . . . . . . . . 7,900 $ 275,513
Temple Inland Inc. . . . . . . . . . . . 4,000 190,500
-------------
466,013
-------------
ELECTRIC COMPANIES - 2.6%
Public Service Co. * . . . . . . . . . . 20,200 287,850
Unicom Corp. . . . . . . . . . . . . . . 23,200 617,700
-------------
905,550
-------------
ELECTRICAL EQUIPMENT - 1.3%
Philips Electronics N.V. . . . . . . . . 10,700 457,425
-------------
ELECTRONICS - 4.4%
Hewlett Packard Co.. . . . . . . . . . . 6,700 499,150
Intel Corp.. . . . . . . . . . . . . . . 9,000 569,812
Motorola Inc.. . . . . . . . . . . . . . 3,000 201,375
Texas Instruments Inc. . . . . . . . . . 2,000 267,750
-------------
1,538,087
-------------
ENTERTAINMENT - 1.4%
Disney (Walt) Co. (The). . . . . . . . . 8,900 495,062
-------------
FINANCIAL SERVICES - 4.5%
Allstate Corp. . . . . . . . . . . . . . 10,800 319,950
American General Corp. . . . . . . . . . 10,300 347,625
AT&T Capital Corp. . . . . . . . . . . . 10,400 278,200
Dean Witter Discover & Co. . . . . . . . 6,600 310,200
Federal Home Loan
Mortgage Corp. . . . . . . . . . . . 500 34,375
Federal National Mortgage Assn.. . . . . 1,200 113,250
Household International Inc. . . . . . . 3,300 163,350
-------------
1,566,950
-------------
FOODS - 2.0%
Conagra Inc. . . . . . . . . . . . . . . 2,600 90,675
CPC International Inc. . . . . . . . . . 6,000 370,500
Kellogg Co . . . . . . . . . . . . . . . 3,400 242,675
-------------
703,850
-------------
GAS & PIPELINE UTILITIES - 1.7%
Enron Corp.. . . . . . . . . . . . . . . 7,000 245,875
Williams Cos. Inc. . . . . . . . . . . . 9,500 331,312
-------------
577,187
-------------
GAS EXPLORATION - 0.4%
Kerr Mcgee Corp. . . . . . . . . . . . . 2,800 150,150
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
<TABLE>
<CAPTION>
Security Description Shares Value
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK (continued)
HEALTHCARE - 0.5%
American Home Products Corp. . . . . . . 1,300 $100,588
Columbia HCA Healthcare Corp.. . . . . . 1,800 77,850
-------------
178,438
-------------
HOUSEHOLD PRODUCTS - 1.8%
Corning Inc. . . . . . . . . . . . . . . 3,700 121,175
Procter & Gamble Co. . . . . . . . . . . 7,200 517,500
-------------
638,675
-------------
INDUSTRIAL MACHINERY - 1.1%
Giddings & Lewis Inc.. . . . . . . . . . 6,900 123,338
Tecumseh Products Co.. . . . . . . . . . 5,800 255,200
-------------
378,538
-------------
INSURANCE BROKERS - 1.3%
Exel LTD.. . . . . . . . . . . . . . . . 4,900 254,800
MGIC Investment Corp.. . . . . . . . . . 4,200 196,875
-------------
451,675
-------------
INSURANCE - PROPERTY &
CASUALTY - 0.6%
CMAC Investment Corp.. . . . . . . . . . 5,100 221,213
-------------
MACHINERY - 1.1%
Caterpillar Inc. . . . . . . . . . . . . 6,100 391,925
-------------
MAJOR REGIONAL BANKS - 5.7%
BankAmerica Corp.. . . . . . . . . . . . 6,200 326,275
Chemical Banking Corp. . . . . . . . . . 3,000 141,750
Citicorp . . . . . . . . . . . . . . . . 5,600 324,100
Corestates Financial Corp. . . . . . . . 14,900 519,637
First Interstate Bancorp . . . . . . . . 4,300 345,075
MBNA Corp. . . . . . . . . . . . . . . . 1,600 54,000
Nationsbank Corp.. . . . . . . . . . . . 5,400 289,575
-------------
2,000,412
-------------
MANUFACTURING - 2.8%
Dover Corp.. . . . . . . . . . . . . . . 5,500 400,125
Millipore Corp.. . . . . . . . . . . . . 1,100 74,250
Minnesota Mining & Manufacturing Co. . . 5,700 326,325
Nacco Industries Inc.. . . . . . . . . . 2,100 125,737
Nucor Corp . . . . . . . . . . . . . . . 1,100 58,850
-------------
985,287
-------------
MEDICAL PRODUCTS & SUPPLIES - 0.3%
St. Jude Medical Inc.* . . . . . . . . . 2,200 110,275
-------------
MISCELLANEOUS - 1.2%
Kennametal Inc.. . . . . . . . . . . . . 12,000 $423,000
-------------
MULTI-LINE INSURANCE - 2.2%
American International
Group Inc. . . . . . . . . . . . . . . 4,400 501,600
Loews Corp . . . . . . . . . . . . . . . 2,300 278,300
-------------
779,900
-------------
OIL - 5.8%
Amoco Corp.. . . . . . . . . . . . . . . 6,900 459,713
Exxon Corp.. . . . . . . . . . . . . . . 9,500 670,937
Mobil Corp.. . . . . . . . . . . . . . . 4,300 412,800
Royal Dutch Petroleum Co.. . . . . . . . 3,800 463,125
-------------
2,006,575
-------------
PACKAGING & CONTAINER - 2.2%
Aptargroup Inc.. . . . . . . . . . . . . 11,200 359,800
Avery Dennison Corp. . . . . . . . . . . 9,900 396,000
-------------
755,800
-------------
PAPER AND FOREST PRODUCTS - 3.3%
Alco Standard Corp.. . . . . . . . . . . 4,000 319,500
Champion International Corp. . . . . . . 5,300 276,262
International Paper Co.. . . . . . . . . 6,600 565,950
-------------
1,161,712
-------------
PETROLEUM SERVICES - 0.4%
Coastal Corp . . . . . . . . . . . . . . 4,000 121,500
PHARMACEUTICALS - 5.8%
Bristol Myers Squibb Co. . . . . . . . . 1,000 68,125
Johnson & Johnson Co.. . . . . . . . . . 4,400 297,550
Eli Lilly & Co.. . . . . . . . . . . . . 4,500 353,250
Merck & Co. Inc. . . . . . . . . . . . . 7,400 362,600
Pfizer Inc.. . . . . . . . . . . . . . . 4,400 406,450
Schering Plough Corp.. . . . . . . . . . 12,200 538,325
-------------
2,026,300
-------------
PHOTOGRAPHY - 0.4%
Eastman Kodak Co.. . . . . . . . . . . . 2,000 121,250
-------------
POLLUTION CONTROL - 0.8%
Browning Ferris Industries Inc.. . . . . 7,300 263,713
-------------
RAILROADS & EQUIPMENT - 0.3%
Union Pacific Corp.. . . . . . . . . . . 2,100 116,288
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
<TABLE>
<CAPTION>
Security Description Shares Value
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK (continued)
RETAIL - FOOD CHAINS - 0.9%
Albertsons Inc.. . . . . . . . . . . . . 3,200 $95,200
Safeway Inc. * . . . . . . . . . . . . . 5,700 213,038
-------------
308,238
-------------
RETAIL - GENERAL MERCHANDISE - 1.1%
Wal Mart Stores Inc. . . . . . . . . . . 14,700 393,225
-------------
RETAIL - SPECIALTY - 1.4%
Harcourt Gen Inc . . . . . . . . . . . . 3,500 148,750
Staples Inc. * . . . . . . . . . . . . . 10,000 288,750
Walgreen Co. . . . . . . . . . . . . . . 1,000 50,125
-------------
487,625
-------------
RETAIL - SPECIALTY APPAREL
STORE - 0.9%
Sears Roebuck & Co.. . . . . . . . . . . 5,400 323,325
-------------
STEEL - 0.2%
Inland Steel Industries Inc. . . . . . . 2,500 76,250
-------------
TELECOMMUNICATIONS -
LONG DISTANCE - 3.8%
American Telephone & Telegraph Corp. . . 19,200 1,020,000
MCI Communications Corp. . . . . . . . . 4,100 90,200
Sprint Corp. . . . . . . . . . . . . . . 6,200 208,475
-------------
1,318,675
-------------
TELEPHONE - 2.8%
Airtouch Communications Inc* . . . . . . 14,800 421,800
Ameritech Corp.. . . . . . . . . . . . . 12,300 541,200
-------------
963,000
-------------
TEXTILE - 0.3%
Nike Inc.. . . . . . . . . . . . . . . . 1,100 92,400
-------------
TOBACCO - 2.5%
Philip Morris Cos. Inc.. . . . . . . . . 11,900 885,062
-------------
TOYS - 0.3%
Mattel Inc.. . . . . . . . . . . . . . . 4,400 114,400
-------------
TRANSPORTATION - 1.2%
Federal Express Corp. *. . . . . . . . . 6,900 419,175
-------------
TOTAL COMMON STOCK -
(Cost $29,114,014) . . . . . . . . . . 32,807,000
-------------
AMERICAN DEPOSITORY
RECEIPTS - 2.2%
ELECTRIC COMPANIES - 1.2%
Empresa Nacional De Electric . . . . . . 8,200 $403,850
-------------
PETROLEUM SERVICES - 1.0%
Norsk Hydro AS . . . . . . . . . . . . . 8,300 346,525
-------------
TOTAL DEPOSITORY
RECEIPTS - (Cost $678,074) . . . . . . 750,375
-------------
Principal
Amount
(000)
-----------
SHORT TERM INVESTMENT - 12.1%
REPURCHASE AGREEMENT - 12.1%
State Street Bank and Trust Co.
6.000%, 07/03/1995 . . . . . . . . . . $ 4,231 4,231,000
-------------
(Dated 06/30/1995, collateralized by
$4,445,000, United States Treasury
Note, 4.75%, 10/31/1998, with a value
of $4,316,051)
TOTAL SHORT TERM
INVESTMENT - (Cost $4,231,000) . . . . 4,231,000
-------------
TOTAL INVESTMENTS -
(Cost $34,023,088) - 108.2%. . . . . . 37,788,375
OTHER ASSETS LESS LIABILITIES -(8.2)% (2,849,374)
-------------
NET ASSETS - 100.0% . . . . . . . . . . $34,939,001
-------------
-------------
<FN>
* DENOTES NON-INCOME PRODUCING SECURITY.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
<TABLE>
<CAPTION>
Security Description Shares Value
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK - 75.0%
ADVERTISING - 1.2%
Dimac Corp. *. . . . . . . . . . . . . . 26,700 $413,850
BUILDING MATERIALS - 3.7%
ABT Building Products Corp.. . . . . . . *48,700 864,425
Congoleum Corp. *. . . . . . . . . . . . 28,600 382,525
-------------
1,246,950
-------------
COMMERCIAL SERVICES - 0.4%
International Post Ltd. *. . . . . . . . 31,200 124,800
COMMUNICATION -
EQUIPMENT/MANUFACTURERS - 2.9%
IPC Information Systems Inc. * . . . . . 23,000 287,500
Micom Communications * . . . . . . . . . 52,799 343,193
Plantronics Inc. * . . . . . . . . . . . 13,100 350,425
-------------
981,118
-------------
COMMUNICATION SERVICES - 2.7%
Black Box Corp. *. . . . . . . . . . . . 63,300 902,025
-------------
COMPUTER SOFTWARE &
SERVICES - 0.6%
Lotus Development Corp. *. . . . . . . . 2,500 159,375
Opinion Research Corp. * . . . . . . . . 8,600 49,988
-------------
209,363
-------------
ELECTRICAL EQUIPMENT - 0.2%
Holophane Corp. *. . . . . . . . . . . . 3,600 79,200
-------------
FOODS - 4.6%
Alpine Lace Brands Inc. *. . . . . . . . 5,300 49,356
Brothers Gourmet Coffees Inc. * . . . . 35,100 254,475
Chiquita Brands
International Inc. . . . . . . . . . . 53,200 744,800
Morningstar Group Inc. * . . . . . . . . 70,000 507,500
-------------
1,556,131
-------------
HEALTHCARE - 1.1%
Grancare Inc. *. . . . . . . . . . . . . 18,700 301,537
Physicians Clinical Labs Inc. *. . . . . 16,400 86,100
-------------
387,637
-------------
HOUSEHOLD PRODUCTS - 1.3%
American Safety Razor Co. *. . . . . . . 37,400 439,450
-------------
HOUSEWARES - 1.5%
Levitz Furniture Inc. *. . . . . . . . . 70,900 496,300
-------------
INSURANCE BROKERS - 4.5%
20th Century Industries * . . . . . . . 54,500 $ 681,250
Paul Revere Corp.. . . . . . . . . . . . 49,900 848,300
-------------
1,529,550
-------------
LEISURE TIME - 4.6%
International Family
Entertainment Inc. * . . . . . . . . . 19,900 313,425
Recoton Corp. * . . . . . . . . . . . . 26,600 518,700
Trump Hotels & Casino Resorts *. . . . . 53,000 708,875
-------------
1,541,000
-------------
MACHINERY - 1.2%
DT Industries Inc. . . . . . . . . . . . 35,100 412,425
-------------
MANUFACTURING - 3.3%
Figgie International
Holdings Inc., Class A * . . . . . . . 52,200 450,225
Figgie International
Holdings Inc., Class B * . . . . . . . 2,800 21,700
Foamex International Inc. *. . . . . . . 88,100 644,231
-------------
1,116,156
-------------
OIL - 2.0%
Total Petroleum North
America Ltd. . . . . . . . . . . . . . 59,900 658,900
-------------
POLLUTION CONTROL - 1.1%
Chambers Development Inc. *. . . . . . . 60,100 386,894
-------------
PUBLISHING - 3.0%
American Publishing Co.. . . . . . . . . 92,700 996,525
-------------
REAL ESTATE INVESTMENT
TRUSTS - 0.9%
Centerpoint Properties Corp. . . . . . . 14,700 303,188
-------------
RESTAURANTS - 4.3%
IHOP Corp. * . . . . . . . . . . . . . . 25,900 666,925
Quantum Restaurant Group Inc. *. . . . . 28,200 320,775
Sonic Corp. *. . . . . . . . . . . . . . 16,900 464,750
-------------
1,452,450
-------------
RETAIL - SPECIALTY - 13.9%
Brookstone Inc. *. . . . . . . . . . . . 31,800 218,625
Ernst Home Center Inc. * . . . . . . . . 107,800 795,025
Finlay Enterprises Inc. *. . . . . . . . 52,600 742,975
J. Baker Inc.. . . . . . . . . . . . . . 86,500 875,812
Musicland Stores Inc. * . . . . . . . . 68,100 698,025
-------------
<FN>
* DENOTES NON-INCOME PERODUCING SECURITY
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
<TABLE>
<CAPTION>
Security Description Shares Value
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK (continued)
RETAIL - SPECIALTY (continued)
North American Watch Corp. . . . . . . . 28,400 $401,150
Service Merchandise Co. Inc. * . . . . . 66,900 351,225
Shoe Carnival Inc. * . . . . . . . . . . 32,600 187,450
Supercuts Inc. * . . . . . . . . . . . . 51,100 402,413
-------------
4,672,700
-------------
RETAIL - SPECIALTY APPAREL
STORE - 4.8%
Ann Taylor Stores Corp. *. . . . . . . . 19,700 458,025
Charming Shoppes Inc.. . . . . . . . . . 67,600 354,900
TJX Cos Inc. . . . . . . . . . . . . . . 61,300 812,225
-------------
1,625,150
-------------
STEEL - 0.6%
UNR Industries Inc. . . . . . . . . . . 11,200 82,600
Webco Industries Inc. *. . . . . . . . . 20,900 130,625
-------------
213,225
-------------
TEXTILE - 4.7%
Authentic Fitness Corp. *. . . . . . . . 50,800 850,900
Haggar Corp. . . . . . . . . . . . . . . 20,000 390,000
Norton McNaughton Inc. * . . . . . . . . 21,600 334,800
-------------
1,575,700
-------------
TOYS - 0.9%
American Recreation Co.
Holdings Inc. *. . . . . . . . . . . . 37,900 303,200
-------------
TRANSPORTATION - 5.0%
Consolidated Freightways Inc.. . . . . . 30,400 672,600
Landstar Sys Inc. *. . . . . . . . . . . 39,300 1,011,975
-------------
1,684,575
-------------
TOTAL COMMON STOCK -
(Cost $26,441,319) . . . . . . . . . . 25,308,462
-------------
AMERICAN DEPOSITORY
RECEIPTS - 1.0%
COMMERCIAL SERVICES - 1.0%
Automated Security
Holdings PLC * . . . . . . . . . . . . 218,906 328,359
-------------
TOTAL DEPOSITORY
RECEIPTS - (Cost $597,665) . . . . . . 328,359
-------------
SHORT TERM INVESTMENT - 22.4%
REPURCHASE AGREEMENT - 22.4%
State Street Bank and Trust Co.
6.000%, 07/03/1995 . . . . . . . . . . $ 7,555 $7,555,000
-------------
(Dated 06/30/1995, collateralized by
$7,495,000, United States Treasury
Note, 6.125%, 07/31/1996, with a
value of $7,708,637)
TOTAL SHORT TERM
INVESTMENT - (Cost $7,555,000) . . . . 7,555,000
-------------
U.S. GOVERNMENT OBLIGATION - 3.0%
United States Treasury Bill
4.750%, 07/06/1995 . . . . . . . . . . . 1,000 999,341
TOTAL U.S. GOVERNMENT
OBLIGATION - (Cost $999,341) . . . . . 999,341
-------------
TOTAL INVESTMENTS -
(Cost $35,593,325) - 101.4%. . . . . . 34,191,162
OTHER ASSETS LESS LIABILITIES - (1.4)% . (455,919)
-------------
NET ASSETS - 100.0%. . . . . . . . . . . $33,735,243
-------------
-------------
<FN>
* DENOTES NON-INCOME PRODUCING SECURITY.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount
Security Description (000) Value
-------------------- -------- ------------
<S> <C> <C>
GOVERNMENT AND AGENCY SECURITIES - 99.5%
FEDERAL AGENCIES - 99.5%
Federal Farm Credit Bank
5.900%, 07/18/1995 . . . . . . . . . . . . $ 150 $ 149,582
5.720%, 07/25/1995 . . . . . . . . . . . . 1,050 1,045,996
Federal Home Loan Bank
5.860%, 07/07/1995 . . . . . . . . . . . . 125 124,878
5.870%, 07/07/1995 . . . . . . . . . . . . 100 99,902
5.930%, 07/10/1995 . . . . . . . . . . . . 250 249,629
5.870%, 07/12/1995 . . . . . . . . . . . . 350 349,372
5.850%, 07/19/1995 . . . . . . . . . . . . 200 199,415
Federal Home Loan Mortgage
5.680%, 08/18/1995 . . . . . . . . . . . . 250 248,107
5.700%, 08/21/1995 . . . . . . . . . . . . 825 818,338
Federal National Mortgage Assn.
5.900%, 07/25/1995 . . . . . . . . . . . . 100 99,607
5.870%, 07/28/1995 . . . . . . . . . . . . 150 149,340
5.870%, 08/02/1995 . . . . . . . . . . . . 600 596,869
5.830%, 08/14/1995 . . . . . . . . . . . . 100 99,288
5.810%, 08/17/1995 . . . . . . . . . . . . 225 223,293
Tennessee Valley Authority
5.890%, 07/13/1995 . . . . . . . . . . . . 800 798,429
------------
5,252,045
------------
TOTAL GOVERNMENT AND AGENCY SECURITIES -
(Cost $5,252,045) . . . . . . . . . . . . 5,252,045
------------
TOTAL INVESTMENTS -
(Cost $5,252,045) - 99.5% . . . . . . . . 5,252,045
OTHER ASSETS LESS LIABILITIES - 0.5% 25,785
------------
NET ASSETS - 100.0%. . . . . . . . . . . . . $5,277,830
------------
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
(THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY)
21
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
Global International
Income Fund Equity Fund
----------- -------------
<S> <C> <C>
ASSETS
Investments in securities, at value (Note B).......... $24,015,012 $41,980,660
Investments in repurchase agreements (Note B)......... 0 0
Cash, including foreign currency at value............. 24,605 34,919
Receivable for forward currency contracts (Note F).... 65,492,057 32,844,441
Receivable for securities sold........................ 777,032 0
Interest receivable................................... 361,026 1,146
Foreign income tax reclaim receivable................. 38,319 31,540
Receivable for fund shares sold....................... 17,976 52,973
Receivable due from Investment Manager (Note C)....... 7,395 20,703
Receivable for currency sold.......................... 147 209,719
Dividends receivable.................................. 0 99,253
----------- -----------
TOTAL ASSETS....................................... 90,733,569 75,275,354
LIABILITIES
Payable for forward currency contracts (Note F)....... 65,658,294 33,215,396
Payable for securities purchased...................... 1,329,846 1,589,235
Accounts payable and accrued expenses................. 25,710 80,615
Investment management fee payable (Note C)............ 20,937 34,599
Payable for fund shares redeemed...................... 2,851 4,036
Payable for currency purchased........................ 147 209,719
----------- -----------
TOTAL LIABILITIES.................................. 67,037,785 35,133,600
----------- -----------
NET ASSETS......................................... $23,695,784 $40,141,754
----------- -----------
----------- -----------
NET ASSETS
Paid-in capital (Note E).............................. $23,011,644 $38,186,144
Undistributed (overdistributed) net investment
income (Note B).................................... (19,522) 39,574
Accumulated net realized gain (loss) on:
Investments and foreign currency transactions...... 219,760 (475,793)
Net unrealized appreciation (depreciation) of:
Investments........................................ 643,380 2,762,212
Foreign currency translations...................... (159,478) (370,383)
----------- -----------
NET ASSETS......................................... $23,695,784 $40,141,754
----------- -----------
----------- -----------
NET ASSET VALUE PER SHARE
Offering and redemption price per share (based on
shares of capital stock outstanding,
par value $.001 per share)......................... $ 10.098 $ 10.215
Total shares outstanding at end of period............. 2,346,511 3,929,743
Cost of investments................................... $23,371,632 $39,218,448
</TABLE>
22
<PAGE>
<TABLE>
<CAPTION>
Capital Growth and Select Small Cap Money
Growth Fund Income Fund Equity Fund Equity Fund Market Fund
---------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (Note B).......... $830,150 $70,841,642 $33,557,375 $26,636,162 $5,252,045
Investments in repurchase agreements (Note B)......... 193,000 13,157,000 4,231,000 7,555,000 0
Cash, including foreign currency at value............. 760 64 87 647 49,803
Receivable for forward currency contracts (Note F).... 0 0 0 0 0
Receivable for securities sold........................ 0 310,579 1,213,962 99,747 0
Interest receivable................................... 32 2,193 705 1,523 0
Foreign income tax reclaim receivable................. 0 281 1,638 0 0
Receivable for fund shares sold....................... 0 219,867 55,253 52,654 0
Receivable due from Investment Manager (Note C)....... 724 11,425 6,513 6,125 1,884
Receivable for currency sold.......................... 0 0 0 0 0
Dividends receivable.................................. 433 135,160 70,488 11,395 0
---------- ----------- ----------- ----------- ----------
TOTAL ASSETS....................................... 1,025,099 84,678,211 39,137,021 34,363,253 5,303,732
LIABILITIES
Payable for forward currency contracts (Note F)....... 0 0 0 0 0
Payable for securities purchased...................... 0 2,272,936 4,146,728 575,937 0
Accounts payable and accrued expenses................. 723 32,883 27,242 26,263 23,183
Investment management fee payable (Note C)............ 353 50,219 20,976 20,759 2,536
Payable for fund shares redeemed...................... 0 14,136 3,074 5,051 183
Payable for currency purchased........................ 0 0 0 0 0
---------- ----------- ----------- ----------- ----------
TOTAL LIABILITIES.................................. 1,076 2,370,174 4,198,020 628,010 25,902
---------- ----------- ----------- ----------- ----------
NET ASSETS......................................... $1,024,023 $82,308,037 $34,939,001 $33,735,243 $5,277,830
---------- ----------- ----------- ----------- ----------
---------- ----------- ----------- ----------- ----------
NET ASSETS
Paid-in capital (Note E).............................. $1,000,000 $73,893,877 $30,627,726 $34,924,992 $5,277,830
Undistributed (overdistributed) net investment
income (Note B).................................... 1,585 0 247,944 186,237 0
Accumulated net realized gain (loss) on:
Investments and foreign currency transactions...... 0 1,893,248 298,044 26,177 0
Net unrealized appreciation (depreciation) of:
Investments........................................ 22,438 6,520,912 3,765,287 (1,402,163) 0
Foreign currency translations...................... 0 0 0 0 0
---------- ----------- ----------- ----------- ----------
NET ASSETS......................................... $1,024,023 $82,308,037 $34,939,001 $33,735,243 $5,277,830
---------- ----------- ----------- ----------- ----------
---------- ----------- ----------- ----------- ----------
NET ASSET VALUE PER SHARE
Offering and redemption price per share (based on
shares of capital stock outstanding,
par value $.001 per share)......................... $ 10.240 $ 11.402 $ 11.887 $ 9.115 $ 1.000
Total shares outstanding at end of period............. 100,000 7,218,939 2,939,256 3,701,040 5,277,830
Cost of investments................................... $1,000,712 $77,477,730 $34,023,088 $35,593,325 $5,252,045
</TABLE>
23
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Global International
Income Fund Equity Fund
----------- -------------
<S> <C> <C>
INVESTMENT INCOME
Interest income...................... $754,221 $114,138
Dividend income...................... 0 378,107
Foreign taxes withheld............... (235) (46,367)
----------- -----------
TOTAL INVESTMENT INCOME............ 753,986 445,878
EXPENSES
Investment management fee (Note C)... 110,200 176,395
Custodian fees and expenses.......... 28,961 99,706
Legal fee............................ 6,437 10,226
Audit fee............................ 5,186 8,241
Directors' fees (Note C)............. 2,317 3,681
Printing expense..................... 2,252 3,579
Transfer agent fee................... 923 1,459
Miscellaneous expense................ 644 1,022
---------- -----------
Total operating expenses
before reimbursement............... 156,920 304,309
Expenses borne by the
investment manager (Note C)........ (46,720) (127,914)
---------- ----------
NET EXPENSES..................... 110,200 176,395
---------- ----------
NET INVESTMENT INCOME............ 643,786 269,483
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT, FOREIGN CURRENCY AND OPTION
TRANSACTIONS......................
Net realized gain (loss) on:
Investments......................... 443,075 (873,839)
Foreign currency transactions....... (51,957) 741,520
Options............................. 0 (66,424)
Change in unrealized appreciation
(depreciation) of:
Investments......................... 890,389 2,560,173
Foreign currency translations....... (218,645) (255,773)
Options............................. 0 (40,215)
---------- ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS)....................... 1,062,862 2,065,442
---------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS................... $1,706,648 $2,334,925
----------- ------------
----------- ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
<TABLE>
<CAPTION>
Capital Growth and Select Small Cap Money
Growth Fund Income Fund Equity Fund Equity Fund Market Fund
------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME $ 1,505 $274,539 $ 52,434 $244,507 $114,562
Interest income...................... 433 703,075 297,823 48,967 0
Dividend income...................... 0 (1,036) (5,204) (588) 0
Foreign taxes withheld............... --------- -------- -------- --------- ---------
1,938 976,578 345,053 292,86 114,562
TOTAL INVESTMENT INCOME............
EXPENSES
Investment management fee (Note C)... 353 234,655 97,109 106,649 11,696
Custodian fees and expenses.......... 0 21,847 19,188 16,186 7,832
Legal fee............................ 233 16,315 6,831 8,188 1,360
Audit fee............................ 207 13,193 5,523 6,602 1,097
Directors' fees (Note C)............. 84 5,874 2,459 2,948 489
Printing expense..................... 81 5,711 2,391 2,865 476
Transfer agent fee................... 96 2,251 946 1,164 201
Miscellaneous expense................ 23 1,631 685 819 137
--------- --------- --------- --------- ---------
Total operating expenses
before reimbursement............... 1,077 301,477 135,132 145,421 23,288
Expenses borne by the
investment manager (Note C)........ (724) (66,822) (38,023) (38,772) (11,592)
--------- --------- ---------- ---------- ---------
NET EXPENSES..................... 353 234,655 97,109 106,649 11,696
--------- --------- ---------- ---------- --------
NET INVESTMENT INCOME............ 1,585 741,923 247,944 186,237 102,866
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT, FOREIGN CURRENCY AND OPT
TRANSACTIONS......................
Net realized gain (loss) on:
Investments......................... 0 1,928,428 301,120 82,463 0
Foreign currency transactions....... 0 0 0 0 0
Options............................. 0 0 0 0 0
Change in unrealized appreciation
(depreciation) of: 22,438 7,335,509 4,100,879 199,990 0
Investments......................... 0 0 0 0 0
Foreign currency translations....... 0 0 0 0 0
Options........................... -------- ---------- ---------- ---------- --------
NET REALIZED AND UNREALIZED
GAIN (LOSS)....................... 22,438 9,263,937 4,401,999 282,453 0
-------- ----------- ---------- ---------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS................... $ 24,023 $10,005,860 $4,649,943 $468,690 $102,866
--------- ----------- ----------- ---------- ----------
--------- ----------- ----------- ---------- ----------
</TABLE>
25
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GLOBAL INCOME FUND INTERNATIONAL EQUITY FUND
SIX MONTHS SIX MONTHS
ENDED 6/30/95 PERIOD ENDED ENDED 6/30/95 PERIOD ENDED
(UNAUDITED) 12/31/94* (UNAUDITED) 12/31/94*
------------- ------------ ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.............................. $ 643,786 $ 451,353 $ 269,483 $ 137,125
Net realized gain (loss) on:
Investments........................................ 443,075 (259,299) (873,839) (442,903)
Foreign currency transactions...................... (51,957) 63,610 741,520 (206,507)
Options............................................ 0 4,831 (66,424) 5,326
Change in unrealized appreciation (depreciation) of:
Investments........................................ 890,389 (247,009) 2,560,173 492,590
Foreign currency translations...................... (218,645) 59,167 (255,773) (114,610)
Options............................................ 0 0 (40,215) (250,336)
------------ ---------- ------------- -----------
Net increase (decrease) in net assets
resulting from operations......................... 1,706,648 72,653 2,334,925 (379,315)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (643,808) (451,353) 0 0
Net realized gain on investments................... 0 0 0 0
In excess of net realized gains.................... 0 0 0 0
------------ ------------ ------------ ------------
Total dividends and distributions to shareholders.. (643,808) (451,353) 0 0
Fund share transactions (Note E)..................... 5,351,472 17,650,172 10,421,768 27,754,376
------------ ------------ ------------ ------------
Total increase in net assets....................... 6,414,312 17,271,472 12,756,693 27,375,061
Net assets
Beginning of period................................ 17,281,472 10,000 27,385,061 10,000
------------ ------------ ------------ ------------
End of period (1).................................. $23,695,784 $17,281,472 $40,141,754 $27,385,061
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
(1)Including undistributed (overdistributed)
net investment income.............................. $(19,522) $(19,500) $ 39,574 $(229,909)
------------ ----------- ----------- ------------
------------ ----------- ----------- ------------
<FN>
* For the period from March 14, 1994 (commencement of operations) through December 31, 1994.
** For the period from June 13, 1995 (commencement of operations) through June 30, 1995.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
CAPITAL
GROWTH FUND GROWTH AND INCOME FUND SELECT EQUITY FUND
------------ -------------------------- ----------------------------
PERIOD SIX MONTHS
ENDED ENDED SIX MONTHS
6/30/95** 6/30/95 PERIOD ENDED ENDED 6/30/95 PERIOD ENDED
(UNAUDITED) (UNAUDITED) 12/31/94* (UNAUDITED) 12/31/94*
------------- ------------- -------------- -------------- ------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income.......................... $ 1,585 $ 741,923 $ 331,204 $ 247,944 $ 163,171
Net realized gain (loss) on:
Investments.................................... 0 1,928,428 134,697 301,120 211,953
Foreign currency transactions.................. 0 0 0 0 0
Options........................................ 0 0 0 0 0
Change in unrealized appreciation (depreciation) of:
Investments.................................... 22,438 7,335,509 (814,597) 4,100,879 (335,592)
Foreign currency translations.................. 0 0 0 0 0
Options........................................ 0 0 0 0 0
----------- ----------- ------------ ----------- ------------
Net increase (decrease) in net assets
resulting from operations..................... 24,023 10,005,860 (348,696) 4,649,943 39,532
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.......................... 0 (741,923) (331,204) 0 (163,171)
Net realized gain on investments............... 0 0 (134,697) 0 (211,953)
In excess of net realized gains................ 0 0 (35,180) 0 (3,076)
----------- ------------- ------------- ----------- ------------
Total dividends and distributions to
shareholders................................. 0 (741,923) (501,081) 0 (378,200)
Fund share transactions (Note E)................. 1,000,000 30,738,982 43,144,895 12,571,609 18,046,117
----------- ------------- ------------- ----------- ------------
Total increase in net assets................... 1,024,023 40,002,919 42,295,118 17,221,552 17,707,449
Net assets
Beginning of period............................ 0 42,305,118 10,000 17,717,449 10,000
----------- ------------- ------------- ----------- ------------
End of period (1).............................. $1,024,023 $82,308,037 $42,305,118 $34,939,001 $17,717,449
----------- ------------- ------------- ------------ ------------
----------- ------------- ------------- ------------ ------------
(1)Including undistributed (overdistributed)
net investment income.......................... $ 1,585 $ 0 $ 0 $247,944 $ 0
----------- ------------- ------------- ------------ ------------
----------- ------------- ------------- ------------ ------------
</TABLE>
27
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
SMALL CAP EQUITY FUND MONEY MARKET FUND
------------------------------ --------------------------------
SIX MONTHS SIX MONTHS
ENDED 6/30/95 PERIOD ENDED ENDED 6/30/95 PERIOD ENDED
(UNAUDITED) 12/31/94* (UNAUDITED) 12/31/94*
------------- ------------ ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income............................ $ 186,237 $ 92,044 $ 102,866 $ 115,674
Net realized gain (loss) on:
Investments...................................... 82,463 1,583 0 248
Foreign currency transactions.................... 0 0 0 0
Options.......................................... 0 0 0 0
Change in unrealized appreciation (depreciation of):
Investments...................................... 199,990 (1,602,153) 0 0
Foreign currency translations.................... 0 0 0 0
Options.......................................... 0 0 0 0
------------ -------------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations....................... 468,690 (1,508,526) 102,866 115,922
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................ 0 (92,044) (102,866) (115,674)
Net realized gain on investments................. 0 (1,583) 0 (245)
In excess of net realized gains.................. 0 (56,286) 0 0
------------ ------------- ------------ -----------
Total dividends and distributions
to shareholders................................. 0 (149,913) (102,866) (115,919)
Fund share transactions (Note E)................... 11,453,807 23,461,185 1,659,339 3,608,488
------------ -------------- ------------ ----------
Total increase in net assets..................... 11,922,497 21,802,746 1,659,339 3,608,491
Net assets
Beginning of period.............................. 21,812,746 10,000 3,618,491 10,000
------------ ------------ ------------ -------------
End of period (1)................................ $33,735,243 $21,812,746 $ 5,277,830 $ 3,618,491
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
(1)Including undistributed
net investment income............................ $186,237 $ 0 $ 0 $ 0
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
<FN>
*For the period from March 14, 1994 (commencement of operations)
through December 31, 1994.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
(THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY.)
29
<PAGE>
PROTECTIVE INVESTMENT COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OF COMMON STOCK OUTSTANDING FOR THE PERIOD INDICATED
<TABLE>
<CAPTION>
Realized and
Net Asset Unrealized Total Dividends Dividends
Value at Net Gain (Loss) from from Net from Net
Beginning Investment on Investment Investment Realized
of Period Income (3)(6) Investments(6) Operations Income Capital Gains
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Global Income Fund
1/1/95 - 6/30/95 (Unaudited)....... $ 9.558 $0.309 $0.540 $0.849 $(0.309) $0.000
3/14/94 - 12/31/94 (1)............. 10.000 0.367 (0.442) (0.075) (0.367) 0.000
- ---------------------------------------------------------------------------------------------------------------------------------
International Equity Fund
1/1/95 - 6/30/95 (Unaudited)....... 9.581 0.034 0.600 0.634 0.000 0.000
3/14/94 - 12/31/94 (1)............. 10.000 0.048 (0.467) (0.419) 0.000 0.000
- ---------------------------------------------------------------------------------------------------------------------------------
Capital Growth Fund
6/13/95 - 6/30/95 (2) (Unaudited).. 10.000 0.016 0.224 0.240 0.000 0.000
- ---------------------------------------------------------------------------------------------------------------------------------
Growth and Income Fund
1/1/95 - 6/30/95 (Unaudited)....... 9.661 0.118 1.741 1.859 (0.118) 0.000
3/14/94 - 12/31/94 (1)............. 10.000 0.114 (0.300) (0.186) (0.114) (0.031)
- ---------------------------------------------------------------------------------------------------------------------------------
Select Equity Fund
1/1/95 - 6/30/95 (Unaudited)....... 9.839 0.084 1.964 2.048 0.000 0.000
3/14/94 - 12/31/94 (1)............. 10.000 0.093 (0.039) 0.054 (0.093) (0.120)
- ---------------------------------------------------------------------------------------------------------------------------------
Small Cap Equity Fund
1/1/95 - 6/30/95 (Unaudited)....... 8.951 0.050 0.114 0.164 0.000 0.000
3/14/94 - 12/31/94 (1)............. 10.000 0.038 (1.025) (0.987) (0.038) (0.001)
- ---------------------------------------------------------------------------------------------------------------------------------
Money Market Fund
1/1/95 - 6/30/95 (Unaudited)....... 1.000 0.026 0.000 0.026 (0.026) 0.000
3/14/94 - 12/31/94 (1)............. 1.000 0.031 0.000 0.031 (0.031) 0.000
- ---------------------------------------------------------------------------------------------------------------------------------
<FN>
(1) Investment operations commenced on March 14, 1994.
(2) Investment operations commenced on June 13, 1995.
(3) Net Investment Income and Ratio of Operating Expenses to Average Net
Assets is after reimbursement of certain fees
and expenses by the Investment Manager. Had the Investment Manager
not undertaken to reimburse expenses related to the Funds,
net investment income per share and the ratio of operating expenses
to average net assets would have been as follows: For the six months
ended June 30, 1995: Global Income Fund, $0.289 and 1.57%;
International Equity Fund, $0.002 and 1.90%; Capital Growth Fund,
$0.009 and 2.44%; Growth and Income Fund, $0.109 and 1.03%; Select
Equity Fund, $0.071 and 1.11%; Small Cap Equity Fund, $.040 and
1.09%; and Money Market Fund, $0.024 and 1.20%, respectively. For
the period ending December 31, 1994: Global Income Fund, $0.320 and
2.12%; International Equity Fund, $0.004 and 2.24%; Growth and
Income Fund, $0.097 and 1.13%; Select Equity Fund, $0.055 and
1.81%; Small Cap Equity Fund, $0.009 and 1.62%; and Money Market
Fund, $0.018 and 2.24%, respectively.
(4) Total return is calculated assuming a purchase of shares at net
asset value per share on the first day and a sale at net asset value per
share on the last day of each period reported. Distributions are
assumed, for the purposes of this calculation, to be reinvested at the
net asset value per share on the respective payment dates of each Fund.
Total investment return for a period of less than one year is not
annualized.
(5) Annualized.
(6) The per share computation is a mathematical computation which
may appear inconsistent with the statement of operations.
</TABLE>
30
<PAGE>
PROTECTIVE INVESTMENT COMPANY
FINANCIAL HIGHLIGHTS (continued)
FOR A SHARE OF COMMON STOCK OUTSTANDING FOR THE PERIOD INDICATED
<TABLE>
Ratio
Distri- Ratio of of Net
butions Net Operating Investment
In Excess Asset Expenses Income to
of Net Total Value at Total Net Asset to Average Average Portfolio
Realized Distri- End Investment End Net Assets Net Assets Turnover
Gains butions of Period Return (4) of Period (3)(5) (5) Rate
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Global Income Fund
1/1/95 - 6/30/95 (Unaudited).... $0.000 $(0.309) $10.098 9.01% $23,696 1.10% 6.43% 193%
3/14/94 - 12/31/94 (1).......... 0.000 (0.367) 9.558 (0.74) 17,281 1.10 5.58 210
- ----------------------------------------------------------------------------------------------------------------------------------
International Equity Fund
1/1/95 - 6/30/95 (Unaudited).... 0.000 0.000 10.215 6.61 40,142 1.10 1.74 25
3/14/94 - 12/31/94 (1).......... 0.000 (0.048) 9.581 (4.18) 27,385 1.10 1.25 33
- ----------------------------------------------------------------------------------------------------------------------------------
Capital Growth Fund
6/13/95 - 6/30/95 (2)
(Unaudited)..................... 0.000 0.000 10.240 2.40 1,024 0.80 3.60 N/A
- ----------------------------------------------------------------------------------------------------------------------------------
Growth and Income Fund
1/1/95 - 6/30/95 (Unaudited).... 0.000 (0.118) 11.402 19.29 82,308 0.80 2.53 48
3/14/94 - 12/31/94 (1).......... (0.008) (0.153) 9.661 (1.86) 42,305 0.80 2.21 36
- ----------------------------------------------------------------------------------------------------------------------------------
Select Equity Fund
1/1/95 - 6/30/95 (Unaudited).... 0.000 0.000 11.887 20.82 34,939 0.80 2.04 50
3/14/94 - 12/31/94 (1).......... (0.002) (0.215) 9.839 0.53 17,717 0.80 2.44 56
- ----------------------------------------------------------------------------------------------------------------------------------
Small Cap Equity Fund
1/1/95 - 6/30/95 (Unaudited).... 0.000 0.000 9.115 1.83 33,735 0.80 1.40 19
3/14/94 - 12/31/94 (1).......... (0.023) (0.062) 8.951 (9.87) 21,813 0.80 1.07 17
- ----------------------------------------------------------------------------------------------------------------------------------
Money Market Fund
1/1/95 - 6/30/95 (Unaudited).... 0.000 (0.026) 1.000 2.64 5,278 0.60 5.29 N/A
3/14/94 - 12/31/94 (1).......... 0.000 (0.031) 1.000 3.14 3,618 0.60 3.80 N/A
- ----------------------------------------------------------------------------------------------------------------------------------
<FN>
(1) Investment operations commenced on March 14, 1994.
(2) Investment operations commenced on June 13, 1995.
(3) Net Investment Income and Ratio of Operating Expenses to Average Net
Assets is after reimbursement of certain fees
and expenses by the Investment Manager. Had the Investment Manager
not undertaken to reimburse expenses related to the Funds,
net investment income per share and the ratio of operating expenses
to average net assets would have been as follows: For the six months
ended June 30, 1995: Global Income Fund, $0.289 and 1.57%;
International Equity Fund, $0.002 and 1.90%; Capital Growth Fund,
$0.009 and 2.44%; Growth and Income Fund, $0.109 and 1.03%; Select
Equity Fund, $0.071 and 1.11%; Small Cap Equity Fund, $.040 and
1.09%; and Money Market Fund, $0.024 and 1.20%, respectively. For
the period ending December 31, 1994: Global Income Fund, $0.320 and
2.12%; International Equity Fund, $0.004 and 2.24%; Growth and
Income Fund, $0.097 and 1.13%; Select Equity Fund, $0.055 and
1.81%; Small Cap Equity Fund, $0.009 and 1.62%; and Money Market
Fund, $0.018 and 2.24%, respectively.
(4) Total return is calculated assuming a purchase of shares at net
asset value per share on the first day and a sale at net asset value per
share on the last day of each period reported. Distributions are
assumed, for the purposes of this calculation, to be reinvested at the
net asset value per share on the respective payment dates of each Fund.
Total investment return for a period of less than one year is not
annualized.
(5) Annualized.
(6) The per share computation is a mathematical computation which
may appear inconsistent with the statement of operations.
</TABLE>
31
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1995 (UNAUDITED)
NOTE A - ORGANIZATION
Protective Investment Company (the "Company") was incorporated in the State
of Maryland on September 2, 1993 as an open-end management investment
company. The Company offers seven separately managed pools of assets
which have differing investment objectives and policies. The Company
currently issues seven classes of its shares: Global Income Fund,
International Equity Fund, Capital Growth Fund, Growth and Income Fund,
Select Equity Fund, Small Cap Equity Fund and Money Market Fund
(collectively a "Fund" and the "Funds"). The Company had no operations
prior to March 2, 1994, other than those relating to organizational
matters. The initial capital contribution of $60,000, $10,000 per class,
resulting in 1,000 shares being issued by the Global Income Fund,
International Equity Fund, Growth and Income Fund, Select Equity Fund and
Small Cap Equity Fund and 10,000 shares being issued by the Money Market
Fund, was provided on March 2, 1994 by Protective Life Insurance Company.
The Company commenced investment operations on March 14, 1994. On June
13, 1995 the Capital Growth Fund commenced investment operations by
issuing 100,000 shares of stock to the Company in exchange for an
initial contribution of $1,000,000.
The Company offers each class of its stock to a separate account of
Protective Life Insurance Company ("Protective Life") as funding
vehicles for certain variable annuity contracts issued by Protective Life
through the separate account.
NOTE B - SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Company in the preparation of its financial statements.
VALUATION OF INVESTMENTS - The Company's portfolio securities traded on a
national securities exchange are valued at the last sale price, or, if no
sale occurs, at the mean between the closing bid and closing asked prices.
Portfolio securities traded over-the-counter are valued at the last sale
price, or, if no sale occurs, at the mean between the last bid and asked
prices. Debt securities with a remaining maturity of 61 days or more
are valued on the basis of dealer-supplied quotations or by a pricing
service selected by Goldman Sachs Asset Management, investment adviser to
the Company, and approved by the board of directors of the Company.
Short-term securities and debt securities with a remaining maturity of 60
days or less are valued at their amortized cost which approximates market
value. Options and futures contracts are valued at the last sale price
on the market where any such options or futures contract is principally
traded. Options traded over-the-counter are valued based upon prices
provided by market makers in such securities or dealers in such
currencies. Securities for which current market quotations are unavailable
or for which quotations are not deemed by the investment adviser to be
representative of market values are valued at fair value as determined in
good faith pursuant to procedures established by the board of directors.
FOREIGN SECURITIES - Foreign securities traded on a recognized
securities exchange are valued at the last sale price in the principal
market where they are traded, or, if closing prices are unavailable, at
the last bid price available prior to the time a Fund's net asset value is
determined. Foreign portfolio securities prices are furnished by
quotation services expressed in the local currency's value and are
translated into U.S. dollars at the current rate of exchange.
REPURCHASE AGREEMENTS - In connection with transactions in repurchase
agreements, the Company's custodian takes possession of the underlying
collateral securities, the value or market price of which is at least equal
to the principal amount, including interest, of the repurchase transaction.
To the extent that any repurchase transaction exceeds one business day,
the value of the collateral is marked-to-market on a daily basis to ensure
the adequacy of the collateral. In the event of default of the obligation
to repurchase, the Fund has the right to liquidate the collateral and apply
the proceeds in satisfaction of the obligation. Under certain
circumstances, in the event of default or bankruptcy by the other party
to the agreement, realization and/or retention of the collateral or
proceeds may be subject to legal proceedings.
32
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
INVESTMENT TRANSACTIONS - Investment security transactions are
recorded on the date of purchase or sale. Realized gains and losses from
security transactions are determined on the basis of identified cost.
INVESTMENT INCOME - Dividend income is recorded on the ex-dividend date,
or, in the case of dividend income on foreign securities, on the ex-dividend
date or when the Fund becomes aware of its declaration. Interest income is
recorded on the accrual basis.
FOREIGN CURRENCY TRANSLATIONS - The records of the Funds are
maintained in U.S. dollars. Foreign currency amounts are translated into
U.S. dollars at a current rate of exchange of such currency to determine
the value of investments, other assets and liabilities on the date of
any determination of net asset value of the Funds. Purchases and sales
of securities and income and expenses are converted at the prevailing
rate of exchange on the respective dates of such transactions. Net
realized gain or loss on foreign currency includes net realized currency
gains and losses recognized between accrual and payment dates. Unrealized
currency gains and losses on securities held are not segregated for
financial statement presentation.
Upon the purchase or sale of a security denominated in a foreign
currency, the Funds may enter into a foreign currency exchange
contract for the purchase or sale, for a fixed amount of U.S. dollars, of
an amount of the foreign currency required to settle the security
transaction. Accordingly, the Company would not realize currency gains
or losses between the trade and settlement dates on such security
transactions.
The net U.S. dollar value of foreign currency underlying all
contractual commitments held by the Funds on each day and the
resulting net unrealized appreciation, depreciation and related net
receivable or payable amounts are determined by using forward currency
exchange rates supplied by a quotation service.
FORWARD CURRENCY CONTRACTS - A forward foreign currency contract
("Forward") is an agreement between two parties to buy and sell a
currency at a set price on a future date. The market value of the
Forward fluctuates with changes in currency exchange rates. The
Forward is marked-to-market daily and the change in the market value is
recorded by the Fund as an unrealized gain or loss. When the Forward
is closed, the Fund records a realized gain or loss equal to the
difference between the value at the time it was opened and the value at
the time it was closed. The Fund could be exposed to risk if a
counterparty is unable to meet the terms of the contract or if the value of
the currency changes unfavorably. The Fund may enter into Forwards in
connection with planned purchases and sales of securities, to hedge
specific receivables or payables against changes in future exchange rates
or to hedge the U.S. dollar value of portfolio securities denominated
in a foreign currency. The Funds purchase and sell forward currency
contracts in order to hedge against the fluctuation of foreign
currencies and, in certain circumstances, to increase the Funds total
returns.
CALL AND PUT OPTIONS - A call option written by a Fund obligates the Fund
to sell specified currency or security to the option holder at a specified
price at any time before the expiration date. A put option written by a
Fund obligates the Fund to purchase specified currency or security from
the option holder at a specified price at any time before the expiration
date. These transactions involve a risk that a Fund may, upon exercise of
the option, be required to sell currency or securities at a price that
is less than its market value or be required to purchase currency or
securities at a price that exceeds its market value. A Fund may also
realize gains or losses by entering into closing purchase transactions
identical to call or put options that have been written by the Fund
in order to terminate its obligation under a call or put option. In
determining the amount of gain or loss realized, the option premium
paid and related transactions costs are added to the exercise price. The
Funds enter into option transactions to hedge against the fluctuation
in a security's value, index's value or foreign currency's value or to seek
to increase the Funds total returns.
33
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
EXPENSES - Expenses directly attributable to a Fund are charged to that
Fund. Expenses not directly attributable to a Fund are split evenly
among the affected Funds, allocated on the basis of relative average net
assets, or otherwise allocated among the Funds as the board of directors
may direct or approve.
DISTRIBUTIONS - Distributions from net investment income are declared and
distributed at least annually for International Equity Fund, Capital
Growth Fund, Select Equity Fund and Small Cap Equity Fund; declared and
distributed quarterly for Growth and Income Fund; declared and
distributed monthly for Global Income Fund; and declared daily and
distributed monthly for Money Market Fund. Distributions from net realized
capital gains, if any, are declared and distributed at least annually.
Distributions are recorded on the ex-dividend date.
FEDERAL INCOME TAXES - Each Fund of the Company is treated as a
separate entity for federal tax purposes. Each Fund intends to
qualify each year as a regulated investment company under Subchapter M of
the Internal Revenue Code, as amended. By so qualifying, the Funds will
not be subject to federal income taxes to the extent that they distribute
all of their taxable income, including realized capital gains, for the
fiscal year. In addition, by distributing during each calendar year
substantially all of their net investment income, capital gains and
certain other amounts, if any, the Funds will not be subject to a federal
excise tax. Income distributions and capital gains distributions of a Fund
are determined in accordance with income tax regulations which may differ
from generally accepted accounting principles. These differences are
primarily due to differing treatments of income and gains on various
securities held by a Fund, timing differences and/or differing
characterization of distribution made by the Funds. Any permanent book
and tax basis differences at fiscal year-end have been reclassified
to reflect the tax characterization.
NOTE C - AGREEMENTS AND FEES
The Company has entered into an investment management agreement with
Investment Distributors Advisory Services, Inc. (the "Investment
Manager"), a wholly-owned subsidiary of Protective Life Corporation, under
which the Company agrees to pay for business management and
administrative services furnished by the Investment Manager. For its
services to the Company, the Investment Manager receives a monthly
management fee based on the average daily net assets of each Fund at the
following annual rates: Global Income Fund, 1.10%; International Equity
Fund, 1.10%; Capital Growth Fund, .80%; Growth and Income Fund, .80%; Select
Equity Fund, .80%; Small Cap Equity Fund, .80%; and Money Market Fund, .60%.
In order to limit expenses, Protective Life has voluntarily undertaken to
pay certain operating expenses of the Company or of any Fund to the extent
that such expenses (excluding brokerage or other portfolio transaction
expenses or expenses of litigation, indemnification, taxes or other
extraordinary expenses, as accrued for each Fund) exceed the following
percentages of that Fund's estimated average daily net assets on an
annualized basis: Global Income Fund, 1.10%; International Equity
Fund, 1.10%; Capital Growth Fund, .80%; Growth and Income Fund, .80%;
Select Equity Fund, .80%; Small Cap Equity Fund, .80%; and Money Market
Fund, .60%. The Investment Manager may end its obligation to pay such
expense upon 120 days notice to the Company.
Goldman Sachs Asset Management acts as the investment adviser (the
"Adviser") of Capital Growth Fund, Growth and Income Fund, Money Market
Fund, Select Equity Fund and Small Cap Equity Fund. Goldman Sachs Asset
Management-International acts as the Adviser to Global Income Fund and
International Equity Fund. Each Adviser has entered into an investment
advisory agreement for each Fund with the Investment Manager under
which the Adviser manages the investment portfolios of the Funds of which
it is Adviser. As compensation for its services, the Advisers receive a
monthly fee from the Investment Manager based on the average daily net
assets of each Fund at the following annual rates: Global Income Fund
and International Equity Fund, .40% of the first $50 million, .30% of the
next $100 million, .25% of the next $100 million, and .20% of the assets
in excess of $250 million;
34
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
Capital Growth Fund, Growth and Income Fund, Select Equity Fund and Small
Cap Equity Fund, .40% of the first $50 million, .30% of the next $150
million, and .20% of assets in excess of $200 million; and Money Market
Fund, .35% of the first $50 million, .25% of the next $100 million, .20%
of the next $100 million, and .15% of assets in excess of $250 million.
Directors of the Company who are not interested persons receive an annual
fee of $2,000 and $1,500 for each meeting attended.
NOTE D - INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments,
excluding short-term securities, for the period from January 1, 1995 to
June 30, 1995, except for the Capital Growth Fund, which commenced
operations on June 13, 1995, were as follows:
<TABLE>
<CAPTION>
Non-U.S. U.S. Non-U.S. U.S.
Government Government Government Government
Purchases Purchases Sales Sales
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Global Income Fund.............. $30,342,155 $ 5,785,895 $23,792,926 $7,924,766
International Equity Fund......... 17,266,737 0 7,169,242 0
Capital Growth Fund............... 807,713 0 0 0
Growth and Income Fund............ 49,907,133 0 24,914,341 0
Select Equity Fund.............. 23,598,526 0 11,554,201 0
Small Cap Equity Fund............. 14,016,631 0 3,553,769 0
</TABLE>
Purchases and sales, including maturities, of short-term securities by the
Money Market Fund for the period from January 1, 1995 to June 30, 1995 were
$19,405,181 and $17,862,677, respectively.
The identified cost of investments in securities owned by each Fund for
federal income tax purposes and their respective gross unrealized appreciation
and depreciation at June 30, 1995 were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Net Unrealized
Identified ----------------------------------- Appreciation
Cost Appreciation (Depreciation) (Depreciation)
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Global Income Fund............... $23,371,632 $ 703,096 $(59,716) $643,380
International Equity Fund........ 39,025,832 4,069,364 (1,307,152) 2,762,212
Capital Growth Fund.............. 1,000,713 29,693 (7,255) 22,438
Growth and Income Fund........... 77,477,729 7,402,226 (881,314) 6,520,912
Select Equity Fund............... 34,023,088 3,897,592 (132,305) 3,765,287
Small Cap Equity Fund............ 35,593,325 1,753,239 (3,155,402) (1,402,163)
Money Market Fund................ 5,252,045 0 0 0
</TABLE>
In addition, the following Funds had capital loss carryforwards: Global
Income Fund, $123,300, and International Equity Fund, $247,765. The capital
loss carryforwards may be utilized to offset capital gains through December
31, 2002.
NOTE E - SHAREHOLDER TRANSACTIONS
The authorized capital stock of the Company consists of 1 billion shares,
par value $.001 per share. 700 million of the authorized shares have
been divided into, and may be issued in, seven designated classes as
follows: Global Income Fund, 100 million shares; International Equity
Fund, 100 million shares; Capital Growth Fund, 100 million shares; Growth
and Income Fund, 100 million shares; Select Equity Fund, 100 million shares;
Small Cap Equity Fund, 100 million shares; and Money Market Fund, 100
million shares.
35
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
Transactions in shares were as follows:
<TABLE>
<CAPTION>
Global Income Fund Global Income Fund
Six Months Ended March 14, 1994* to
June 30, 1995 December 31, 1994
----------------------------------- ------------------------------------
Shares Dollars Shares Dollars
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold........................ 585,771 $5,817,778 1,975,710 $19,281,417
Shares issued to shareholders in
reinvestment of dividends...... 64,928 643,808 46,868 451,352
Shares redeemed.................... (112,340) (1,110,114) (215,426) (2,082,597)
--------- ----------- ---------- ------------
Net increase....................... 538,359 $5,351,472 1,807,152 $17,650,172
--------- ----------- ---------- ------------
--------- ----------- ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
International Equity Fund International Equity Fund
Six Months Ended March 14, 1994* to
June 30, 1995 December 31, 1994
----------------------------------- ------------------------------------
Shares Dollars Shares Dollars
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold....................... 1,231,210 $ 11,956,220 2,926,579 $ 28,423,406
Shares issued to shareholders in
reinvestment of dividends..... 0 0 0 0
Shares redeemed................... (159,658) (1,534,452) (69,388) (669,030)
---------- ------------- ---------- --------------
Net increase...................... 1,071,552 $ 10,421,768 2,857,191 $ 27,754,376
---------- ------------- ---------- --------------
---------- ------------- ---------- --------------
</TABLE>
<TABLE>
<CAPTION>
Capital Growth Fund
June 13, 1995* to
June 30, 1995
Shares Dollars
-----------------------------------
Shares Dollars
--------------- --------------
<S> <C> <C>
Shares sold....................... 100,000 $1,000,000
Shares issued to shareholders in
reinvestment of dividends..... 0 0
Shares redeemed................... 0 0
------- ----------
Net increase...................... 100,000 $1,000,000
------- ----------
------- ----------
</TABLE>
<TABLE>
<CAPTION>
Growth and Income Fund Growth and Income Fund
Six Months Ended March 14, 1994* to
June 30, 1995 December 31, 1994
----------------------------------- ------------------------------------
Shares Dollars Shares Dollars
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold....................... 2,943,954 $ 31,808,519 4,404,799 $ 43,422,513
Shares issued to shareholders in
reinvestment of dividends.... 66,981 741,925 51,337 501,081
Shares redeemed................... (170,860) (1,811,462) (78,272) (778,699)
---------- ------------- ---------- -------------
Net increase...................... 2,840,075 $ 30,738,982 4,377,864 $ 43,144,895
---------- ------------- ---------- -------------
---------- ------------- ---------- -------------
</TABLE>
36
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
Select Equity Fund Select Equity Fund
Six Months Ended March 14, 1994* to
June 30, 1995 December 31, 1994
----------------------------------- ------------------------------------
Shares Dollars Shares Dollars
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold....................... 1,224,679 $ 13,496,413 1,816,889 $ 18,229,784
Shares issued to shareholders in
reinvestment of dividends.... 0 0 38,441 378,199
Shares redeemed................... (86,251) (924,804) (55,502) (561,866)
---------- ------------- ---------- -------------
Net increase...................... 1,138,428 $ 12,571,609 1,799,828 $ 18,046,117
---------- ------------- ---------- -------------
---------- ------------- ---------- -------------
</TABLE>
<TABLE>
<CAPTION>
Small Cap Equity Fund Small Cap Equity Fund
Six Months Ended March 14, 1994* to
June 30, 1995 December 31, 1994
----------------------------------- ------------------------------------
Shares Dollars Shares Dollars
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold....................... 1,375,981 $ 12,467,321 2,469,183 $23,792,481
Shares issued to shareholders in
reinvestment of dividends...... 0 0 16,747 149,912
Shares redeemed................... (111,780) (1,013,514) (50,091) (481,208)
---------- ------------- ---------- ------------
Net increase...................... 1,264,201 $ 11,453,807 2,435,839 $23,461,185
---------- ------------- ---------- ------------
---------- ------------- ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
Money Market Fund Money Market Fund
Six Months Ended March 14, 1994* to
June 30, 1995 December 31, 1994
----------------------------------- ------------------------------------
Shares Dollars Shares Dollars
--------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold....................... 4,578,439 $ 4,578,439 19,446,623 $ 19,446,623
Shares issued to shareholders in
reinvestment of dividends...... 102,861 102,861 115,976 115,976
Shares redeemed................... (3,021,961) (3,021,961) (15,954,111) (15,954,111)
----------- ------------ ------------ ------------
Net increase...................... 1,659,339 $ 1,659,339 3,608,488 $ 3,608,488
----------- ------------ ------------ ------------
----------- ------------ ------------ ------------
<FN>
* Commencement of investment operations.
</TABLE>
37
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
NOTE F - FORWARD FOREIGN CURRENCY CONTRACTS
At June 30, 1995, outstanding forward exchange currency contracts, which
contractually obligate the Fund to deliver currencies at a specified date,
were as follows:
<TABLE>
<CAPTION>
GLOBAL INCOME FUND U.S. $ Cost U.S. $ Unrealized
- ------------------ on Origination Current Appreciation
Foreign Currency Purchase Contracts Date Value (Depreciation)
- ----------------------------------- -------------- ----------- --------------
<S> <C> <C> <C>
AUD, expiring 09/19/1995 ............. $ 1,131,900 $ 1,131,900 $ 0
CAD, expiring 08/14/1995 ............. 3,480,827 3,481,125 298
CHF, expiring 08/14/1995 ............. 1,874,196 1,874,196 0
DEM, expiring 07/7/1995-09/11/1995 ... 10,151,679 10,248,111 96,432
DKK, expiring 09/13/1995 ............. 403,563 403,563 0
ESP, expiring 08/04/1995 ............. 1,084,478 1,084,478 0
FRF, expiring 08/30/1995 ............. 490,484 490,484 0
GBP, expiring 08/04/1995-09/11/1995 .. 1,833,184 1,825,353 (7,831)
ITL, expiring 07/11/1995-07/12/1995 .. 2,859,584 2,815,558 (44,026)
JPY, expiring 09/11/1995 ............. 997,741 1,019,690 21,949
SEK, expiring 07/07/1995 ............. 1,028,673 1,028,673 0
----------- ----------- ---------
25,336,309 25,403,131 66,822
---------
Foreign Currency Sale Contracts
- -------------------------------
AUD, expiring 09/19/1995.............. 1,140,000 1,131,900 8,100
BEL, expiring 09/08/1995-10/31/1995 .. 1,968,317 1,999,023 (30,706)
CAD, expiring 07/11/1995-08/14/1995 .. 5,989,651 6,009,133 (19,482)
CHF, expiring 07/12/1995-08/14/1995 .. 1,990,063 1,874,196 115,867
DEM, expiring 07/07/1995-09/18/1995 .. 10,162,877 10,302,660 (139,783)
DKK, expiring 09/13/1995 ............. 1,317,657 1,334,346 (16,689)
ESP, expiring 08/04/1995 ............. 1,045,091 1,084,478 (39,387)
FRF, expiring 08/30/1995-09/11/1995 .. 4,291,681 4,414,458 (122,777)
GBP, expiring 08/04/1995-09/11/1995 .. 4,220,800 4,167,988 52,812
ITL, expiring 07/11/1995-08/08/1995 .. 2,792,580 2,815,558 (22,978)
JPY, expiring 07/17/1995 ............. 2,424,988 2,424,765 223
NZD, expiring 08/13/1995 ............. 1,046,196 1,047,720 (1,524)
SEK, expiring 07/07/1995 ............. 1,007,319 1,028,672 (21,353)
XEU, expiring 07/20/1995 ............. 691,706 687,088 4,618
----------- ----------- ---------
40,088,926 40,321,985 (233,059)
---------
$(166,237)
---------
---------
INTERNATIONAL EQUITY FUND U.S. $ Cost U.S. $ Unrealized
- ------------------------- on Origination Current Appreciation
Foreign Currency Purchase Contracts Date Value (Depreciation)
- ----------------------------------- -------------- ----------- --------------
DEM, expiring 07/07/1995-09/08/1995 .. $ 7,262,392 $ 7,284,617 $ 22,225
JPY, expiring 07/17/1995 ............. 994,189 985,369 (8,820)
SEK, expiring 07/07/1995 ............. 688,984 688,984 0
----------- ----------- ---------
8,945,565 8,958,970 13,405
---------
</TABLE>
38
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1995
NOTE F - FORWARD FOREIGN CURRENCY CONTRACTS (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY FUND U.S. $ Cost U.S. $ Unrealized
- ------------------------- on Origination Current Appreciation
Foreign Currency Sale Contracts Date Value (Depreciation)
- ------------------------------- -------------- ----------- --------------
<S> <C> <C> <C>
BEL, expiring 09/08/1995.............. $ 700,141 $ 716,657 $ (16,516)
DEM, expiring 07/07/1995-09/18/1995 .. 10,733,422 10,911,886 (178,464)
FRF, expiring 09/11/1995 ............. 580,000 610,394 (30,394)
HKD, expiring 07/18/1995 ............. 2,190,810 2,190,029 781
JPY, expiring 07/17/1995 ............. 6,638,848 6,725,815 (86,967)
SEK, expiring 07/07/1995 ............. 3,042,250 3,115,050 (72,800)
----------- ----------- ---------
23,885,471 24,269,831 (384,360)
---------
$(370,955)
---------
---------
</TABLE>
GLOSSARY OF TERMS
- -----------------
AUD - Australian Dollar
BEL - Belgian Franc
CAD - Canadian Dollar
CHF - Swiss Franc
DEM - Deutsche Mark
DKK - Danish Kronner
ESP - Spanish Peseta
FRF - French Franc
GBP - Great British Pound
HKD - Hong Kong Dollar
ITL - Italian Lira
JPY - Japanese Yen
NZD - New Zealand Dollar
SEK - Swedish Krona
US$ - United States Dollar
XEU - European Currency Unit
39
<PAGE>
PROTECTIVE INVESTMENT COMPANY
_______________
DIRECTORS AND OFFICERS
D. Warren Bailey, DIRECTOR
G. Ruffner Page, Jr., DIRECTOR
Cleophus Thomas, Jr., DIRECTOR
Carolyn King, PRESIDENT AND CHAIRMAN
R. Stephen Briggs, DIRECTOR
John D. Johns, EXECUTIVE VICE PRESIDENT
Richard J. Bielen, VICE PRESIDENT AND COMPLIANCE OFFICER
Jerry W. DeFoor, VICE PRESIDENT, CHIEF ACCOUNTING OFFICER AND TREASURER
Lizabeth R. Nichols, VICE PRESIDENT, SECRETARY AND COMPLIANCE OFFICER
_______________
INVESTMENT MANAGER
Investment Distributors Advisory Services, Inc.
_______________
INVESTMENT ADVISERS
Goldman Sachs Asset Management
Goldman Sachs Asset Management International
_______________
The information contained in this report is intended for general informational
purposes only. This report is not authorized for distribution to prospective
investors unless preceded or accompanied by current Company and Separate Account
prospectuses which contain important information concerning the Company, the
Separate Account and its current public offering of variable annuity contracts.
40
<PAGE>
PROTECTIVE [LOGO]
PROTECTIVE LIFE INSURANCE COMPANY
We Protect The Future.
P.O. Box 2606
Birmingham, Alabama 35202
