<PAGE>
PROTECTIVE INVESTMENT COMPANY
SEMI-ANNUAL REPORT
JUNE 30, 1998
<PAGE>
PERFORMANCE AND PORTFOLIO REVIEW BY FUND
PROTECTIVE CORE U.S. EQUITY FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW--Over the six month period ended June 30, 1998, the Fund
generated a 18.23% cumulative total return,(1) outperforming the 17.71%
cumulative total return of its benchmark, the Standard & Poor's 500 Index (with
dividends reinvested) by 52 basis points. Throughout the fiscal period,
successful stock selection helped the Fund's returns as the quantitative model
emphasized stocks with characteristics that fared well in the macroeconomic
environment. Early on, of the three investment themes considered by our
model--Value, Momentum and Low Risk--the Fund favored Value and Low Risk, given
increased market volatility, low equity risk premiums and a slowing economy.
PORTFOLIO HIGHLIGHTS--The CORE investment process analyzes each stock's value,
momentum and risk characteristics. As mentioned previously, above-average
emphasis was placed on the Value and Low Risk themes throughout the period under
review, while the Momentum theme was underweighted.
- - In general, the position on Value and Momentum, combined with the
qualitative stock insights provided by the Goldman Sachs Global Investment
Research Department, produced positive performance results.
- - The Low Risk theme generated slightly mixed results, as some relatively
volatile stocks turned in better-than-expected performance.
OUTLOOK-- The model uses a dynamic weighting scheme that translates current
economic conditions into tangible data that identifies which factors should be
emphasized or avoided. The current market is characterized by a strong but
slowing economy, a low dividend yield, a flat yield curve, below-average equity
risk and market default premia, and high market volatility. Therefore, we are
placing a higher-than-average weight on value and fundamental research factors
(such as quality of management) and less emphasis on growth and momentum.
Top 10 Portfolio Holdings as of June 30, 1998*
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
PERCENTAGE
COMPANY LINE OF BUSINESS OF NET
ASSETS
- ------------------------------------------------------------------------------------------
<S> <C> <C>
General Electric Co. Diversified Manufacturing 3.5%
AMR Corp. Airlines 2.3
NationsBank Corp. Banks 1.9
Exxon Corp. Integrated Oil 1.9
Microsoft Corp. Computer Hardware/Software & Services 1.9
American International Group Inc. Insurance 1.8
Ford Motor Co. Automobile 1.7
Dayton Hudson Corp. Retail 1.6
General Motors Corp. Automobile 1.6
Xerox Corp. Office Equipment & Supplies 1.6
- ------------------------------------------------------------------------------------------
</TABLE>
Goldman Sachs Quantitative Equity Management Team
July 31, 1998
2
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW--Over the six-month period ended June 30, 1998, the Fund
generated a 7.87% cumulative total return.(1) Over the same time period, the
Fund's benchmark, the Standard & Poor's 500 Index (with dividends reinvested),
generated a cumulative total return of 17.71%.
The primary reasons for the Fund's underperformance versus the benchmark were
our mid-cap bias and value discipline in an environment of mega-cap, growth
companies leading the performance of the S&P 500.
PORTFOLIO HIGHLIGHTS
- - UNICOM AND NORTHEAST UTILITIES -- These two utility holdings appreciated
significantly over the period. These stocks had previously suffered from
company-specific problems which, in our view, were over-discounted in the
marketplace. Given that the resolutions to these problems are within sight,
the market has rewarded the companies with substantially higher valuations.
- - CHASE MANHATTAN BANK -- Chase has been a top performer throughout the
period, up more than 35% as of June 30, 1998. The stock's strong
performance has been driven not only by industry-wide appreciation, but
also by Chase's announcements of a new capital allocation structure and
cost management program.
- - UNION CARBIDE -- Union Carbide, a commodity chemical company, recovered
from early-June lows over rumors that it was an acquisition target.
Furthermore, as we approach trough profit margins the outlook for the
company seems less bleak than previously expected. (This investment
illustrates well our goals as value investors. We seek companies which, due
to near-term uncertainty or cyclically out of favor status, trade at a
substantial discount to their long-term earning potential.)
OUTLOOK--Although the Fund's short-term performance has trailed the market, we
believe that our rigorous research has the potential to produce strong long-term
appreciation. Most importantly, when the current excesses are wrung from the
system, we believe that our research discipline has the potential to dampen
volatility and preserve capital.
Top 10 Portfolio Holdings as of June 30, 1998*
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
PERCENTAGE
COMPANY LINE OF BUSINESS OF NET
ASSETS
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Quantum Corp. Computer Hardware 4.0%
CIGNA Corp. Insurance 3.9
Aetna Inc. Insurance 3.9
Lockheed Martin Corp. Aerospace/Defense 3.9
RJR Nabisco Holdings Corp. Tobacco 3.8
Loews Corp. Insurance 3.4
Fluor Corp. Engineering 3.3
Union Carbide Corp. Chemicals 3.3
Philip Morris Cos., Inc. Tobacco 3.2
NationsBank Corp. Banks 3.1
- ------------------------------------------------------------------------------------------
</TABLE>
Goldman Sachs U.S. Value Portfolio Management Team
July 31, 1998
3
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW -- Over the six-month period ended June 30, 1998, the Fund
generated a 21.64% cumulative total return.(1) Over the same time period, the
Fund's benchmark, the Standard & Poor's 500 Index (with dividends reinvested),
generated a cumulative total return of 17.71%. Fund performance is attributable
primarily to specific stock selection.
PORTFOLIO COMPOSITION -- In recent months, investors have been attempting to
distinguish, from the rest of the marketplace, businesses that can sustain
growth in the face of Asia's crisis. As the market has assigned a premium to
consistency and sustainability of above-average earnings growth, we have reaped
some of the benefits of our long-term outlook and focus on enduring competitive
advantage.
PORTFOLIO HIGHLIGHTS
- - TELE-COMMUNICATIONS INC. -- The June 23, 1998 announcement of the
acquisition of TCI by AT&T was a watershed event. The transaction was a
reaffirmation of our long-standing belief in the strategic competitive
advantage held by cable television operators through their broadband
network.
- - LIBERTY MEDIA GROUP -- Liberty (now known as Tele-Communications Inc.
Liberty Media Unit) may be the greatest beneficiary of the proposed
AT&T/TCI transaction. Prior to the AT&T/TCI deal, Liberty will merge with
its sister company, TCI Ventures, in a no-premium share swap. This merger
will consolidate all non-cable assets of the TCI family of companies. We
believe this transaction greatly enhances Liberty's already attractive
future.
- - HOME DEPOT -- Home Depot, currently our second largest retail holding, is a
prime customer provider. A combination of a knowledgeable staff with
product expertise and low costs to the customer has placed Home Depot at
the forefront of its business niche.
OUTLOOK -- The outlook for the economy and the stock market appears favorable,
with expectations of low inflation, stable interest rates and modest economic
growth. In this environment, we will continue to seek companies that are
strategically poised for long-term growth. In the near term, given high levels
of global volatility, we believe that the portfolio will benefit from the
ownership of high quality companies with stable earnings growth and enduring
competitive advantage.
Top 10 Portfolio Holdings as of June 30, 1998*
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
PERCENTAGE
COMPANY LINE OF BUSINESS OF NET
ASSETS
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Bristol-Myers Squibb Co. Drugs & Health Care 2.7%
Microsoft Corp. Computer Software & Services 2.7
Warner Lambert Co. Drugs & Health Care 2.5
General Electric Co. Diversified Manufacturing 2.4
State Street Corp. Financial Services 2.4
BankAmerica Corp. Banks 2.2
Liberty Media Group Telecommunications 2.2
Pfizer, Inc. Drugs & Health Care 2.2
Banc One Corp. Banks 2.1
American Home Products Corp. Drugs & Health Care 2.1
- ------------------------------------------------------------------------------------------
</TABLE>
Goldman Sachs U.S. Active Equity Growth Management Team
July 31, 1998
4
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
Over the six-month period ended June 30, 1998, the Fund generated a 9.26%
cumulative total return,(1) compared with a 4.66% (without dividends reinvested)
return for the Russell 2000 Index, which tracks the stock price performance of
small cap companies. Fund performance is attributable to specific stock
selection and consolidation activity that occurred during the period under
review.
PORTFOLIO HIGHLIGHTS
- - BROOKSTONE -- Brookstone produced solid results in its traditional, airport
and resort stores over the period, increasing investor confidence in the
company's long-term earning prospects.
- - QUEST DIAGNOSTICS, INC. -- Spun-off from Corning in 1996, Quest is one of
the top three clinical laboratories in the U.S. During the last half of the
period, the company's stock appreciated over 30% as a result of its
announcement of a strategic alliance with Premier, Inc. The move is
intended to provide substantial revenues and earnings benefit to Quest.
- - TRIGON HEALTHCARE -- Virginia's largest managed care organization, Trigon
reported strong membership growth and margin improvement. The resulting
price appreciation, up 50% for the three month period ended June 30,
allowed us an opportunity to trim the position.
OUTLOOK -- Our search for undiscovered and misunderstood companies continues to
generate additional investment opportunities in a variety of industries.
Investors' continued focus on easily traded, brand-name companies amid
uncertainty over the effect of the Asian crisis leaves many stocks behind for
patient, value-oriented investors. Small capitalization stocks as a group remain
undervalued relative to large cap stocks and to their own earnings and cash flow
potential. We are optimistic about future performance based on the strong
earnings growth and free cash flow we expect from many of our top holdings and
the new investment opportunities we continue to find.
TOP 10 PORTFOLIO HOLDINGS AS OF JUNE 30, 1998*
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
PERCENTAGE
COMPANY LINE OF BUSINESS OF NET
ASSETS
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Quest Diagnostics, Inc. Drugs & Health Care 3.6%
Healthplan Services Corp. Drugs & Health Care 3.6
Friedman's Inc. Retail 3.3
ESG Re Ltd. Insurance 2.7
Philip Services Corp. Commercial Services 2.2
Integrated Health Services, Inc. Health Care 2.2
Allied Holdings, Inc. Air Freight, Truck & Other 2.1
ARM Financial Group, Inc. Insurance 2.0
Syms Corp. Retail 2.0
Titan International, Inc. Agriculture Equipment 1.9
- ------------------------------------------------------------------------------------------
</TABLE>
Goldman Sachs U.S. Active Equity Growth Management Team
July 31, 1998
5
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
PERFORMANCE REVIEW -- Over the six-month period ended June 30, 1998, the Fund
generated a 19.75% cumulative total return.(1) Over the same time period, the
Fund's benchmark, the FT/S&P-Actuaries Europe & Pacific ("Europac") Index
unhedged, generated a cumulative total return of 14.94%. The Fund's strong
performance versus the benchmark during the fiscal period can be attributed
primarily to successful stock selection across regions, as well the Fund's
overweight position in Europe.
REGIONAL ALLOCATIONS -- During the period under review, the Fund maintained an
overweight position in Europe versus the benchmark. The presence of trends and
events--including good economic growth--contributed to a strong market in this
region. Conversely, the Fund was underweight in Asia and Japan. In the Asian
region, we chose to concentrate the Fund's holdings in Australia and New
Zealand, which remain more resilient to ongoing economic problems in other
countries within the region. In Japan, an unfavorable earnings outlook prompted
us to maintain an underweight position throughout the period.
PORTFOLIO HIGHLIGHTS
- - SECURITAS (Sweden) -- Securitas, a pan-European security services company,
has demonstrated strong cash generation and earnings growth due to good
underlying structural demand for increasingly sophisticated, higher
value-added security services. Moreover, the company has the advantage of
operating in a highly fragmented marketplace, providing significant
reinvestment opportunities through acquisition.
- - SMC (Japan) -- SMC's management has implemented a strategy that is focused
on expanding its global sales network, a move that has already contributed
to the company's rising market share in the business of manufacturing
pneumatic control devices.
- - NINTENDO (Japan) -- Nintendo, one of the largest video game manufacturers
in the industry, has the potential to demonstrate strong earnings growth
over the next few years as new games software for the company's Nintendo-64
platform is introduced.
- - YAMANOUCHI PHARMACEUTICAL (Japan) -- Management at Yamanouchi, the
developer of the anti-ulcer drug famotidine, has grown more focused on
improving the company's returns on capital. Further adding to the
attractiveness of the company is the fact that Yamanouchi is currently in
the process of developing several new drugs with global potential.
MARKET OUTLOOK
- - EUROPE -- We remain most positive on Europe. Europe's economic prospects
are strong, and ongoing restructuring among European businesses is
generating strong corporate earnings. Moreover, we believe that there will
be a considerable amount of merger and acquisition activity, both pre- and
post-monetary union, as European businesses seek critical mass in a single
European market. Finally, the laws of supply and demand should also work
in European stocks' favor. Presently, national pension systems in Europe
are underfunded, and governments are increasingly encouraging individuals
to invest privately in mutual funds for retirement--in effect, creating an
"equity culture." At the same time, equity supply in Europe is tightening
as more and more European companies are participating in share buyback
programs. These two factors combined should further bode well for European
equity market performance.
- - JAPAN -- In Japan, corporate earnings for the fiscal year ended March 1998
came in somewhat lower than previously anticipated. This was primarily due
to a rapid slowdown in the domestic economy and the deterioration in Asian
economies during the second half of the year. Although the earnings outlook
does not look promising for the first half of this year we expect profit
levels to edge up in the second half, especially for electronics-related
companies against the backdrop of expected recovery in the personal
computer market during the latter part of the year. We are less sanguine
about domestic demand related stocks, for we believe strong recovery in the
domestic market is not yet in the offing. Therefore, we will limit the
portfolio's
6
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
exposure to domestic stocks that possess attractive valuations. It is
worth noting that a growing number of the Japanese companies have announced
their intentions to change their Articles of Incorporation to buy back
shares. We believe it is a positive sign that a growing number of Japanese
companies have gradually become conscious of the advancement of
shareholders' value, which should be supportive of the equity market in the
long run.
- - ASIA -- In the near-term, we intend to keep a close eye on markets in Asia.
Although it is expected that the pace of bankruptcy and balance sheet
restructuring will increase--which is positive for the region over the long
term--a weakening yen is a near-term negative for the region's currencies
and markets. Therefore, we intend to maintain a defensive investment
stance. To this end, we will continue to focus on companies with strong
balance sheets and dominant business franchises.
<TABLE>
<CAPTION>
Top 10 Portfolio Holdings as of June 30, 1998*
- --------------------------------------------------------------------------------------------------------------------------
PERCENTAGE OF NET
COMPANY COUNTRY LINE OF BUSINESS ASSETS
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Rentokil Group PLC United Kingdom Business Services 4.4%
AEGON N.V. The Netherlands Insurance 4.1
Securitas AB, Class B Sweden Business Services 3.7
Bank of Ireland Ireland Commercial Banks 3.5
Forenings Sparbanken Sverige
AB, Class A Sweden Commercial Banks 3.3
Verenigde Nederlandse
Uitgeversbedrijven Verenigd
Bezit (VNU) The Netherlands Media 3.3
Misys PLC United Kingdom Business Services 3.2
Adecco SA Switzerland Business Services 3.0
Adidas Solomon AG Germany Textile 2.9
Elf Aquitane SA France Energy 2.8
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Goldman Sachs International Equity Management Team
July 31, 1998
7
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
PERFORMANCE REVIEW -- Over the six-month period ended June 30, 1998, the Fund
generated a 4.39% cumulative total return.(1) Over the same time period, the
Fund's benchmark, the J.P. Morgan Global Government Bond Index (hedged into U.S.
dollars), generated a cumulative total return of 5.02%. Fund performance versus
its benchmark is attributable in part to the Fund's overweight position in UK
gilts versus German bonds. UK gilts underperformed as stronger than expected
average hourly earnings figures raised concerns of increasing inflationary
pressures. Additionally, the Fund's underweight position in Japanese yen
detracted from performance, as intervention in the currency markets helped push
the yen higher against both the U.S. dollar and the German deutschemark.
PORTFOLIO HIGHLIGHTS
- - JAPANESE BONDS -- The Fund held a broad range of yen-denominated bonds
throughout the period. Despite yields reaching new all-time lows, Japan
faces enormous economic structural changes. We believe these changes, as
well as the recent installation of Prime Minister Keizo Obuchi, will
continue to place downward pressure on an already severely depressed
economy. In turn, this could lead to further deflationary pressures that
may force the Bank of Japan to maintain an accommodative monetary policy
stance for the foreseeable future. In view of this, we intend to maintain
our underweight position in Japanese bonds.
- - GERMAN 10-YEAR MATURITIES--In the German market, we chose to invest
primarily in 10-year maturities, as the relatively steep yield curve
offered favorable running yields (the difference between short rates and,
in this case, 10-year rates). This opportunity presented itself because
the slope of the curve reflected a 75-basis point rate increase discounted
by the market in anticipation of the introduction of the Euro on January 1,
1999.
- - EUROPEAN SPREAD PRODUCTS -- The team purchased European spread products
(non-government bonds issued by government-backed entities) during the
period, focusing on those that it believes will have broad-based appeal as
European countries are united under EMU. The elimination of different
currencies will put an end to exchange rate risk, and should encourage
investors to look beyond national boundaries to investments in other
countries. Among the issuers that should benefit are the heavily
government-owned utility companies, as well as banks that provide export
financing.
OUTLOOK -- The U.S economy remains firm with a strong consumer sector. Data on
inventories and employment indicates some weaker numbers coming through. In this
environment, we believe the Fed will remain on hold (a view we feel was
reinforced by Federal Reserve Chairman Alan Greenspan's July Humphrey Hawkins
testimony). We intend to maintain an overweight position in Europe, as we view
these markets positively. Inflationary pressures are less obvious than those in
the U.S., most notably in the labor market, and therefore, interest rates are
likely to remain on hold. Finally, as mentioned previously (see "Portfolio
Highlights"), we intend to maintain an underweight position in Japan.
<TABLE>
<CAPTION>
Bond Allocation as of June 30, 1998*
- ----------------------------------------------------------------------
COUNTRY OF ISSUER Percentage of Net Assets
- ----------------------------------------------------------------------
<S> <C>
United States 25.8%
United Kingdom 16.2
Germany 11.5
Italy 7.4
France 7.3
Denmark 6.4
Spain 6.0
Japan 5.5
Australia 4.2
Canada 2.0
</TABLE>
Goldman Sachs Global Income Management Team
July 31, 1998
8
<PAGE>
PROTECTIVE MONEY MARKET FUND(2)
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW AND COMPOSITION -- As of June 30, 1998, the 7-day current
yield of the Protective Money Market Fund was 4.90%. We expect to maintain a
weighted average maturity in a range between 15 to 30 days in order to best meet
the objectives of the Fund.
OUTLOOK -- We continue to see a tug-of-war between the Asian crisis and the
strong domestic economy. One of the most noteworthy indications of this
continued drag from Asia is the fact that the Fed left rates unchanged in the
July 1st Federal Open Market Committee (FOMC) meeting, a move that came as a
surprise to virtually no one.
The strength of the U.S. economy contrasted with the Asian crisis is also
visible in the variance between the 29-year high reached in consumer confidence,
versus the relatively low National Purchasing Manager's Index (NAPM), which came
in below 50%. Consumer confidence illustrates the perceived strength of the
U.S. economy by the American public, while the NAPM number indicates the impact
of the economic drag of Asia in the U.S.
Goldman Sachs Money Market Investment Management Team
July 31, 1998
- ---------------
*OPINIONS EXPRESSED REPRESENT OUR PRESENT OPINIONS ONLY. REFERENCE TO
INDIVIDUAL SECURITIES IN THIS REPORT SHOULD NOT BE CONSTRUED AS A COMMITMENT
THAT SUCH SECURITIES WILL BE RETAINED IN THE FUND. FROM TIME TO TIME THE FUND
MAY CHANGE THE INDIVIDUAL SECURITIES IT HOLDS, THE NUMBER OR TYPES OF SECURITIES
HELD AND THE MARKETS IN WHICH IT INVESTS. REFERENCES TO INDIVIDUAL SECURITIES
DO NOT CONSTITUTE A RECOMMENDATION TO THE INVESTOR TO BUY, HOLD OR SELL SUCH
SECURITIES. IN ADDITION, REFERENCE TO PAST PERFORMANCE OF THE FUND DO NOT
INDICATE FUTURE RETURNS, WHICH ARE NOT GUARANTEED AND WILL VARY. FURTHERMORE,
THE VALUE OF SHARES OF THE FUND MAY FALL AS WELL AS RISE.
(1) Fund results represent past performance and do not indicate future results.
Total return is calculated assuming a purchase of shares at net asset value per
share on the first day of the fiscal period 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. 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 insurance or annuity contract. If the performance
information included the effect of these charges, performance numbers would be
lower.
(2) The Fund's units are not insured or guaranteed by the U.S. government. The
Fund is managed to maintain a constant Net Asset Value of $1.00 per unit, but
there can be no assurance that this will be maintained.
9
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) U.S. $ VALUE
- -------------------- ---------- ------------
<S> <C> <C> <C>
CORPORATE BONDS--18.1%
GERMANY--2.1%
Baden-Wuerttembergische Bank AG
5.375%, 02/05/2010 . . . DEM 2,000 $1,133,494
----------
JAPAN--2.3%
International Bank for
Reconstruction & Development
2.000%, 02/18/2008 . . . JPY 170,000 1,274,816
----------
UNITED KINGDOM--3.2%
Abbey National Treasury
8.000%, 04/02/2003 . . . GBP 700 1,214,080
Bank Ned Gemeenten
6.375%, 03/30/2005 . . . GBP 300 494,649
----------
1,708,729
----------
UNITED STATES--10.5%
Ameritech Capital Fund
5.875%, 02/19/2003 . . . USD 1,100 1,092,080
Federal National Mortgage Assn.
2.125%, 10/09/2007 . . . JPY 250,000 1,879,113
Ford Motor Credit Co.
6.125%, 04/28/2003 . . . USD 700 700,049
5.875%, 04/28/2005 . . . USD 1,600 1,588,752
Merrill Lynch & Co. Inc.
6.000%, 02/12/2003 . . . USD 400 398,448
----------
5,658,442
----------
TOTAL CORPORATE BONDS--
(Cost $7,912,835) . . . . 7,896,368
GOVERNMENT AND AGENCY SECURITIES--76.0%
AUSTRALIA--4.3%
Commonwealth of Australia
8.750%, 08/15/2008 . . . AUD 3,000 2,314,068
----------
CANADA--2.0%
Government of Canada
6.000%, 06/01/2008 . . . CAD 1,500 1,069,281
----------
DENMARK--6.5%
Kingdom of Denmark
8.000%, 05/15/2003 . . . DKK 17,000 2,830,322
8.000%, 03/15/2006 . . . DKK 4,000 696,994
----------
3,527,316
----------
FRANCE--7.5%
Government of France
4.750%, 03/12/2002 . . . FRF 8,000 1,342,971
5.500%, 10/25/2007 . . . FRF 15,600 2,704,719
----------
4,047,690
----------
GERMANY--9.6%
Bayerische Landesbank Girozent
6.625%, 06/25/2007 . . . DEM 1,800 1,877,796
Federal Republic of Germany
5.375%, 02/22/1999 . . . DEM 2,000 1,120,297
6.250%, 01/04/2024 . . . DEM 2,600 1,624,775
LB Rheinland--Pfalz Giro
5.750%, 10/16/2003 . . . DEM 1,000 582,051
----------
5,204,919
----------
ITALY--7.6%
Republic of Italy
8.500%, 08/01/2004 . . . ITL 4,500,000 3,011,144
6.750%, 07/01/2007 . . . ITL 600,000 379,738
Republic of Italy
5.125%, 07/29/2003 . . . JPY 80,000 692,847
----------
4,083,729
----------
JAPAN--3.2%
Asian Development Bank
5.625%, 02/18/2002 . . . JPY 100,000 843,459
European Investment Bank
2.125%, 09/20/2007 . . . JPY 120,000 902,061
----------
1,745,520
----------
SPAIN--6.2%
Government of Spain
10.300%, 06/15/2002 . . . ESP 300,000 2,360,776
3.100%, 09/20/2006 . . . ESP 120,000 974,181
----------
3,334,957
----------
UNITED KINGDOM--13.3%
U.K. Treasury
6.750%, 11/26/2004 . . . GBP 2,000 3,470,889
7.750%, 09/08/2006 . . . GBP 1,200 2,225,293
9.000%, 08/06/2012 . . . GBP 700 1,522,714
----------
7,218,896
----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) U.S. $ VALUE
- -------------------- ---------- ------------
<S> <C> <C> <C>
CORPORATE BONDS--(CONTINUED)
UNITED STATES--15.8%
Nederlandse Waterschapsbank
6.125%, 02/13/2008 . . . USD 1,000 $1,006,000
Ontario Hydro
6.100%, 01/30/2008 . . . USD 1,000 1,000,600
United States Treasury Bonds
6.750%, 08/15/2026 . . . USD 800 915,872
6.500%, 11/15/2026 . . . USD 1,000 1,110,470
United States Treasury Notes
6.250%, 02/15/2003 . . . USD 500 514,530
6.500%, 08/15/2005 . . . USD 1,100 1,160,841
7.000%, 07/15/2006 . . . USD 2,600 2,839,278
-----------
8,547,591
-----------
TOTAL GOVERNMENT
AND AGENCY SECURITIES--
(Cost $42,957,660) . . . 42,973,080
-----------
SHORT TERM INVESTMENT--5.9%
TIME DEPOSIT--5.9%
State Street Bank and Trust Co.
Eurodollar Time Deposit
5.750%, 07/01/1998 . . . USD 3,187 3,187,000
-----------
TOTAL SHORT TERM INVESTMENT--
(Cost $3,187,000) . . . . 3,187,000
TOTAL INVESTMENTS--
(Cost $54,057,495)--100.0% $54,056,448
-----------
-----------
</TABLE>
See Glossary of Terms on page 41.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES U.S. $ VALUE
- -------------------- ------ ------------
<S> <C> <C>
COMMON STOCK--92.2%
AUSTRALIA--3.3%
Fosters Brewing Group, Ltd. . 368,934 $ 870,260
Lend Lease Corp. . . . . . . . 29,580 599,512
Tab Corp Holdings, Ltd. . . . 127,695 653,950
Tab Ltd. * . . . . . . . . . . 178,000 262,974
Westpac Banking Corp. Ltd. . . 230,929 1,411,989
Woodside Petroleum Ltd. . . . 128,800 644,418
Woolworths Ltd. . . . . . . . 326,114 1,062,785
-----------
5,505,888
-----------
DENMARK--0.7%
Novo Nordisk AS . . . . . . . 8,795 1,213,721
-----------
FRANCE--11.4%
Alcatel Alsthom . . . . . . . 15,973 3,252,355
Dexia France . . . . . . . . . 29,435 3,963,162
Elf Aquitaine SA . . . . . . . 33,680 4,735,267
SGS-Thomson Microelectronics N.V. * 38,625 2,737,617
Societe Generale . . . . . . . 20,365 4,234,217
-----------
18,922,618
-----------
GERMANY--3.0%
Adidas Solomon AG . . . . . . 28,069 4,894,896
-----------
HONG KONG--1.7%
Asia Satellite Telecom Holdings Ltd. 478,500 790,501
Cheung Kong Holdings Ltd. . . 170,000 835,958
Dao Heng Bank Group Ltd. . . . 310,000 440,113
Hong Kong Electric Holdings Ltd. 217,500 673,722
-----------
2,740,294
-----------
IRELAND--3.6%
Bank of Ireland . . . . . . . 294,873 6,034,017
-----------
ITALY--3.7%
Mondadori Editore . . . . . . 53,595 633,457
Telecom Italia . . . . . . . . 661,380 4,046,265
Telecom Italia (savings shares) 443,130 1,496,429
-----------
6,176,151
-----------
JAPAN--18.2%
Aderans Co. . . . . . . . . . 50,300 1,105,894
Canon Inc. . . . . . . . . . . 105,000 2,392,059
Circle K Japan Co. . . . . . . 25,700 897,744
Inaba Denkisangyo Co. . . . . 43,100 438,886
Itoen Ltd. . . . . . . . . . . 60,900 1,893,903
Kokuyo Co. . . . . . . . . . . 66,000 1,121,718
Max Co. . . . . . . . . . . . 69,000 601,822
JAPAN--(continued)
Mirai Industry Co. . . . . . . 43,010 362,383
Mitsui Marine & Fire . . . . . 434,000 2,187,734
NGK Insulators, Ltd. . . . . . 208,000 1,812,685
Nintendo Co. . . . . . . . . . 26,400 2,453,461
Rohm Co. Ltd. . . . . . . . . 18,000 1,855,066
Sankyo Co. . . . . . . . . . . 99,000 2,262,530
Sanyo Shinpan Finance Co. Ltd. 13,800 489,043
Shimachu Co. . . . . . . . . . 56,200 926,709
SMC Corp. . . . . . . . . . . 29,500 2,250,850
Takefuji Corp. . . . . . . . . 28,100 1,300,644
TDK Corp. . . . . . . . . . . 32,000 2,372,170
Toppan Forms Company, Ltd. . . 159,000 2,083,662
Yamanouchi Pharmaceutical Co., Ltd. 68,000 1,421,277
-----------
30,230,240
-----------
THE NETHERLANDS--9.2%
AEGON N.V. . . . . . . . . . . 77,188 6,721,080
Baan Co. N.V. * . . . . . . . 11,345 407,979
Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit 151,072 5,492,176
Wolters Kluwer N.V. . . . . . 19,505 2,679,029
-----------
15,300,264
-----------
NEW ZEALAND--0.6%
Telecom Corp. of New Zealand . 80,200 331,353
Telecom Corp. of New Zealand I/R 312,200 669,307
-----------
1,000,660
-----------
PORTUGAL--2.0%
Electricidade de Portugal SA . 140,383 3,265,464
-----------
SINGAPORE--0.3%
Parkway Holdings Ltd. . . . . 296,000 514,706
-----------
SPAIN--2.4%
Banco Santander SA . . . . . . 156,664 4,009,822
-----------
SWEDEN--9.2%
Ericsson LM Telephone . . . . 121,430 3,547,291
Forenings Sparbanken Sverige AB,
Class A . . . . . . . . . 183,769 5,529,659
Securitas AB, Class B . . . . 125,886 6,163,300
-----------
15,240,250
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES U.S. $ VALUE
- -------------------- ------ ------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
SWITZERLAND--4.9%
Adecco SA . . . . . . . . . . 10,719 $4,841,707
Novartis AG . . . . . . . . . 1,961 3,268,549
-----------
8,110,256
-----------
UNITED KINGDOM--18.0%
Electrocomponents PLC . . . . 320,163 2,512,508
Great Universal Stores PLC . . 289,862 3,823,462
Hays PLC . . . . . . . . . . . 157,436 2,641,853
Lloyds TSB Group PLC . . . . . 133,583 1,870,220
Misys PLC . . . . . . . . . . 93,768 5,331,019
Rentokil Group PLC . . . . . . 1,018,220 7,327,525
Select Appointments Holdings PLC 156,805 2,238,538
Siebe PLC . . . . . . . . . . 206,255 4,122,276
-----------
29,867,401
-----------
TOTAL COMMON STOCK--
(Cost $122,920,096) . . . 153,026,648
-----------
PREFERRED STOCK--5.0%
GERMANY--5.0%
Fresenius AG . . . . . . . . . 18,698 3,545,824
Henkel KGAA Vorzig . . . . . . 47,093 4,661,122
-----------
8,206,946
-----------
TOTAL PREFERRED STOCK--
(Cost $5,297,239) . . . . 8,206,946
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
-----
<S> <C> <C>
SHORT TERM INVESTMENT--2.8%
TIME DEPOSIT--2.8%
State Street Bank and Trust Co.
Eurodollar Time Deposit
5.750%, 07/01/1998 . . . $4,668 4,668,000
------------
TOTAL SHORT TERM INVESTMENT--
(Cost $4,668,000) . . . . 4,668,000
------------
TOTAL INVESTMENTS--
(Cost $132,885,335)--100.0% $165,901,594
------------
------------
* Denotes non-income producing security.
<CAPTION>
ANALYSIS OF INDUSTRY CLASSIFICATIONS
INDUSTRY % OF INVESTMENTS VALUE
- -------- ---------------- -----
<S> <C> <C>
Alcoholic Beverages. . . . . . 0.5% $ 870,260
Auto Components. . . . . . . . 1.1 1,812,685
Business Services. . . . . . . 17.2 28,543,942
Chemical Products. . . . . . . 2.8 4,661,122
Commercial Banks . . . . . . . 11.6 19,295,820
Computer/Office Equipment. . . 6.5 10,721,402
Conglomerates. . . . . . . . . 0.3 514,706
Consumer Goods . . . . . . . . 1.4 2,372,170
Electrical Equipment . . . . . 2.5 4,229,669
Electronics. . . . . . . . . . 4.5 7,544,077
Energy . . . . . . . . . . . . 2.9 4,735,267
Engineering. . . . . . . . . . 2.5 4,122,276
Entertainment/Leisure/Toy. . . 2.0 3,370,385
Financial Services . . . . . . 7.7 12,849,108
Food/Wholesale . . . . . . . . 1.8 2,956,688
Health Care. . . . . . . . . . 4.8 8,028,094
Insurance. . . . . . . . . . . 5.4 8,908,814
Machinery. . . . . . . . . . . 1.4 2,250,850
Media. . . . . . . . . . . . . 5.3 8,804,662
Oil . . . . . . . . . . . . . 0.4 644,418
Pharmaceuticals. . . . . . . . 0.9 1,421,277
Printing . . . . . . . . . . . 1.3 2,083,662
Real Estate. . . . . . . . . . 0.5 835,958
Retail Trade . . . . . . . . . 4.1 6,753,809
Textile. . . . . . . . . . . . 3.0 4,894,896
Time Deposit . . . . . . . . . 2.8 4,668,000
Utility. . . . . . . . . . . . 4.8 8,007,577
----- ------------
Totals . . . . . . . . . . . . 100.0 $165,901,594
----- ------------
----- ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--92.8%
AEROSPACE/DEFENSE--0.4%
Boeing Co. . . . . . . . . . . 11,000 $ 490,188
------------
AUTO SUPPLIERS--0.4%
Lear Seating Corp. * . . . . . 9,600 492,600
------------
BANKS--7.3%
Banc One Corp. . . . . . . . . 43,406 2,422,597
BankAmerica Corp. . . . . . . 29,400 2,541,263
Citicorp . . . . . . . . . . . 6,900 1,029,825
First Union Corp. . . . . . . 18,800 1,095,100
NationsBank Corp. . . . . . . 16,600 1,269,900
------------
8,358,685
------------
BEVERAGES--3.2%
Coca Cola Co. . . . . . . . . 25,800 2,205,900
Pepsico, Inc. . . . . . . . . 34,700 1,429,206
------------
3,635,106
------------
BROADCAST MEDIA--4.6%
A.H. Belo Corp. . . . . . . . 67,400 1,642,875
Cablevision Systems Corp. * . 8,400 701,400
CBS Corp. . . . . . . . . . . 14,100 447,675
Chancellor Media Corp. * . . . 12,300 610,772
HBO & Co. . . . . . . . . . . 18,800 662,700
Jacor Communications Inc. * . 19,300 1,138,700
------------
5,204,122
------------
BUSINESS SERVICES--4.4%
Ecolab Inc. . . . . . . . . . 27,600 855,600
Envoy Corp. * . . . . . . . . 12,900 611,138
First Data Corp. . . . . . . . 41,800 1,392,462
Galileo International, Inc. . 17,100 770,569
Service Corp. International . 31,100 1,333,412
------------
4,963,181
------------
CHEMICALS--2.6%
BetzDearborn, Inc. . . . . . . 14,700 608,212
E I Du Pont De Nemours & Co. . 6,000 447,750
Minnesota Mining & Manufacturing Co. 6,300 517,781
Monsanto Co. . . . . . . . . . 9,400 525,225
Sherwin-Williams Co. . . . . . 15,800 523,375
Sigma-Aldrich Corp. . . . . . 9,100 319,638
------------
2,941,981
------------
COMPUTER SOFTWARE & SERVICES--5.5%
Cisco Systems, Inc. * . . . . 14,200 $1,307,288
EMC Corp. * . . . . . . . . . 24,300 1,088,944
Microsoft Corp. * . . . . . . 27,900 3,023,662
Peoplesoft, Inc. * . . . . . . 8,400 394,800
Sterling Commerce, Inc. * . . 9,500 460,750
------------
6,275,444
------------
COSMETICS--1.9%
Avon Products Inc. . . . . . . 12,000 930,000
Gillette Co. . . . . . . . . . 21,400 1,213,112
------------
2,143,112
------------
DIVERSIFIED MANUFACTURING--2.4%
General Electric Co. . . . . . 30,300 2,757,300
------------
DIVERSIFIED OPERATIONS--0.4%
American Standard Cos. Inc. * 10,500 469,219
------------
DRUGS & HEALTH CARE--12.1%
American Home Products Corp. . 46,800 2,421,900
Bristol Myers Squibb Co. . . . 26,880 3,089,520
Johnson & Johnson Co. . . . . 20,500 1,511,875
Pfizer, Inc. . . . . . . . . . 22,800 2,478,075
Schering-Plough Corp. . . . . 14,700 1,346,887
Warner Lambert Co. . . . . . . 41,400 2,872,125
------------
13,720,382
------------
ELECTRIC UTILITIES--1.7%
AES Corp. * . . . . . . . . . 37,400 1,965,837
------------
FINANCIAL SERVICES--7.9%
Federal Home Loan Mortgage Corp. 28,100 1,322,456
Federal National Mortgage Assn. 21,500 1,306,125
H&R Block, Inc. . . . . . . . 12,900 543,413
MBNA Corp. . . . . . . . . . . 64,100 2,115,300
State Street Corp. . . . . . . 38,400 2,668,800
The CIT Group Inc. . . . . . . 13,800 517,500
Waddell & Reed Financial Inc. 23,500 562,531
------------
9,036,125
------------
FOODS--3.3%
Nabisco Holdings Corp. Class A 20,500 739,281
Ralston Purina Co. . . . . . . 14,700 1,717,144
Wrigley (WM) Jr. Co. . . . . . 13,440 1,317,120
------------
3,773,545
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK (CONTINUED)
HOUSEHOLD PRODUCTS--3.3%
Clorox Co. . . . . . . . . . . 5,500 $ 524,563
Colgate-Palmolive Co. . . . . 15,400 1,355,200
Procter & Gamble Co. . . . . . 20,100 1,830,356
------------
3,710,119
------------
INSURANCE--4.3%
Aetna Inc. . . . . . . . . . . 16,173 1,231,170
Ambac Financial Group, Inc. . 9,600 561,600
American International Group Inc. 5,500 803,000
Hartford Life Inc. . . . . . . 9,300 529,519
Nationwide Financial Services Inc. 13,200 673,200
SunAmerica Inc. . . . . . . . 19,900 1,143,006
------------
4,941,495
------------
MANUFACTURING--0.7%
Hasbro Inc. . . . . . . . . . 21,100 829,494
------------
MULTIMEDIA--3.5%
Gannett Co. . . . . . . . . . 19,400 1,378,613
Time Warner, Inc. . . . . . . 14,800 1,264,475
Tribune Co. . . . . . . . . . 6,900 474,806
Walt Disney Co. . . . . . . . 8,100 851,006
------------
3,968,900
------------
OFFICE EQUIPMENT & SUPPLIES--0.3%
Xerox Corp. . . . . . . . . . 3,200 325,200
------------
OIL--4.7%
Atlantic Richfield Co. . . . . 4,400 343,750
Exxon Corp. . . . . . . . . . 11,600 827,225
Mobil Corp. . . . . . . . . . 8,800 674,300
Schlumberger, Ltd. . . . . . . 33,400 2,281,637
Texaco, Inc. . . . . . . . . . 15,400 919,188
Unocal Corp. . . . . . . . . . 8,900 318,175
------------
5,364,275
------------
PUBLISHING--1.9%
Valassis Communications Inc. * 43,200 1,665,900
Ziff-Davis Inc. * . . . . . . 35,900 498,112
------------
2,164,012
------------
PUBLISHING--NEWSPAPERS--1.8%
Central Newspapers, Inc. . . . 13,700 955,575
New York Times Co. . . . . . . 13,900 1,101,575
------------
2,057,150
------------
RESTAURANTS--1.1%
Marriott International Inc., Class A 37,200 1,204,350
------------
RETAIL--6.5%
CVS Corp. . . . . . . . . . . 15,000 584,063
Federated Dept. Stores Inc. * 8,100 435,881
Home Depot Inc. . . . . . . . 7,550 627,122
Rite Aid Corp. . . . . . . . . 15,900 597,244
Tandy Corp. . . . . . . . . . 40,700 2,159,644
Wal-Mart Stores, Inc. . . . . 26,400 1,603,800
Walgreen Co. . . . . . . . . . 32,200 1,330,262
------------
7,338,016
------------
SEMICONDUCTORS--0.7%
Intel Corp. . . . . . . . . . 10,200 756,075
------------
TELECOMMUNICATIONS--4.7%
Lucent Technologies Inc. . . . 24,000 1,996,500
Tele-Communications Inc. Liberty
Media Unit, Series A * . 64,700 2,511,169
Tele-Communications Inc. TCI
Unit, Series A * . . . . 21,735 835,439
------------
5,343,108
------------
TOBACCO--1.2%
Philip Morris Cos. Inc. . . . 33,400 1,315,125
------------
TOTAL COMMON STOCK--
(Cost $76,882,601) . . . 105,544,146
------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
-----
<S> <C> <C>
SHORT TERM INVESTMENT--7.2%
REPURCHASE AGREEMENT--7.2%
State Street Bank and Trust Co.
5.680%, 07/01/1998, Maturity
Value of $8,174,290, dated
06/30/1998, (Collateralized by
$6,350,000 United States Treasury
Note, 8.125%, 06/30/1998, with a
value of $8,341,246). . . $8,173 8,173,000
------------
TOTAL SHORT TERM INVESTMENT--
(Cost $8,173,000) . . . . 8,173,000
------------
TOTAL INVESTMENTS--
(Cost $85,055,601)--100.0% $113,717,146
------------
------------
</TABLE>
* Denotes non-income producing security.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--95.0%
AEROSPACE/DEFENSE--8.6%
Boeing Co. . . . . . . . . . . 155,740 $ 6,940,164
Lockheed Martin Corp. . . . . 153,500 16,251,812
Raytheon Co., Class A . . . . 223,100 12,856,138
------------
36,048,114
------------
AIRLINES--0.0%
Continental Airlines Inc., Class B * 200 12,175
------------
AUTO SUPPLIERS--2.6%
Lear Seating Corp. * . . . . . 212,100 10,883,381
------------
BANKS--8.1%
Chase Manhattan Corp. . . . . 168,600 12,729,300
NationsBank Corp. . . . . . . 170,500 13,043,250
Republic New York Corp. . . . 127,000 7,993,062
------------
33,765,612
------------
CHEMICALS--5.3%
IMC Global, Inc. . . . . . . . 272,400 8,206,050
Union Carbide Corp. . . . . . 259,000 13,824,125
------------
22,030,175
------------
COMPUTER HARDWARE--4.0%
Quantum Corp. * . . . . . . . 803,000 16,662,250
------------
COMPUTER SOFTWARE & SERVICES--2.2%
Seagate Technology, Inc. * . . 391,800 9,329,738
------------
DRUGS & HEALTH CARE--4.5%
Foundation Health Systems Inc. * 301,700 7,957,337
Tenet Healthcare Corp. * . . . 345,600 10,800,000
------------
18,757,337
------------
ELECTRIC UTILITIES--6.5%
Entergy Corp. . . . . . . . . 337,800 9,711,750
Northeast Utilities . . . . . 307,300 5,204,894
Unicom Corp. . . . . . . . . . 346,500 12,149,156
------------
27,065,800
------------
ELECTRONICS--2.3%
Avnet Inc. . . . . . . . . . . 173,000 9,460,938
------------
ENGINEERING--3.3%
Fluor Corp. . . . . . . . . . 274,100 13,979,100
------------
FINANCIAL SERVICES--2.2%
American General Corp. . . . . 131,700 9,375,394
------------
GAS & PIPELINE UTILITIES--2.3%
Enron Corp. . . . . . . . . . 178,500 9,650,156
------------
INSURANCE--11.2%
Aetna Inc. . . . . . . . . . . 214,700 16,344,037
CIGNA Corp. . . . . . . . . . 239,700 16,539,300
Loews Corp. . . . . . . . . . 162,100 14,122,963
------------
47,006,300
------------
LEISURE TIME--0.8%
Circus Circus Enterprises, Inc. * 186,200 3,153,763
------------
OIL--2.0%
Texaco, Inc. . . . . . . . . . 137,800 8,224,938
------------
PAPER & FOREST PRODUCTS--2.9%
Georgia Pacific Corp. . . . . 163,400 9,630,387
Georgia Pacific Corp. (Timber) 108,800 2,509,200
Stone Container Corp. . . . . 13,600 212,500
------------
12,352,087
------------
PETROLEUM SERVICES--2.6%
Tosco Corp. . . . . . . . . . 366,000 10,751,250
------------
REAL ESTATE--1.0%
LNR Property Corp. . . . . . . 169,600 4,346,000
------------
RETAIL--2.8%
Sears Roebuck & Co. . . . . . 151,200 9,232,650
Supervalu Inc. . . . . . . . . 59,300 2,631,437
------------
11,864,087
------------
STEEL--1.7%
AK Steel Holding Corp. . . . . 18,100 323,538
Ispat International N.V. * . . 370,200 6,941,250
------------
7,264,788
------------
TEXTILE--2.6%
Fruit of the Loom Inc. Class A * 332,100 11,021,569
------------
TIRES & RUBBER--2.4%
Goodyear Tire & Rubber Co. . . 154,700 9,968,481
------------
TOBACCO--9.1%
Philip Morris Cos., Inc. . . . 337,500 13,289,062
RJR Nabisco Holdings Corp. . . 678,400 16,112,000
UST, Inc. . . . . . . . . . . 321,700 8,685,900
------------
38,086,962
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--(CONTINUED)
TRANSPORTATION--4.0%
Canadian Pacific Ltd. . . . . 426,000 $12,087,750
CNF Transportation, Inc. . . . 110,200 4,683,500
------------
16,771,250
------------
TOTAL COMMON STOCK--
(Cost $371,406,883) . . . 397,831,645
------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
-----
<S> <C> <C>
SHORT TERM INVESTMENT--5.0%
REPURCHASE AGREEMENT--5.0%
State Street Bank and Trust Co.
5.680%, 07/01/1998, maturity
value of $21,078,325, dated
06/30/1998, (Collateralized by
$16,365,000 United States
Treasury Note, 8.125%,
06/30/1998, with a value of
$21,496,786) . . . . . . $21,075 21,075,000
------------
TOTAL SHORT TERM INVESTMENT--
(Cost $21,075,000) . . . 21,075,000
------------
TOTAL INVESTMENTS--
(Cost $392,481,883)--100.0% $418,906,645
------------
------------
</TABLE>
* Denotes non-income producing security.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--96.1%
AEROSPACE/DEFENSE--2.0%
General Motors Corp.--Class H 45,000 $ 2,120,625
Raytheon Co., Class A . . . . 16,667 960,436
United Technologies Corp. . . 16,900 1,563,250
------------
4,644,311
------------
AGRICULTURE EQUIPMENT--1.6%
Case Corp. . . . . . . . . . . 26,000 1,254,500
Caterpillar Inc. . . . . . . . 25,800 1,364,175
Deere & Co. . . . . . . . . . 21,800 1,152,675
------------
3,771,350
------------
AIRLINES--4.4%
Alaska Air Group, Inc. * . . . 30,400 1,658,700
America West Holdings Corp. * 71,600 2,045,075
AMR Corp. * . . . . . . . . . 63,400 5,278,050
Delta Air Lines Inc. . . . . . 9,900 1,279,575
------------
10,261,400
------------
AUTOMOBILE--4.0%
Ford Motor Co. . . . . . . . . 66,100 3,899,900
General Motors Corp. . . . . . 55,900 3,734,819
Hertz Corp. . . . . . . . . . 37,400 1,657,287
------------
9,292,006
------------
AUTO SUPPLIERS--0.3%
Coltec Industries Inc. * . . . 30,700 610,163
------------
BANKS--7.5%
BankAmerica Corp. . . . . . . 28,800 2,489,400
Chase Manhattan Corp. . . . . 31,800 2,400,900
Citicorp . . . . . . . . . . . 9,100 1,358,175
First Chicago NBD Corp. . . . 11,000 974,875
First Union Corp. . . . . . . 38,400 2,236,800
H. F. Ahmanson & Co. . . . . . 26,100 1,853,100
NationsBank Corp. . . . . . . 59,062 4,518,243
U.S. Bancorp . . . . . . . . . 34,800 1,496,400
------------
17,327,893
------------
BEVERAGES--2.2%
Coca Cola Co. . . . . . . . . 39,800 3,402,900
Pepsico, Inc. . . . . . . . . 39,000 1,606,312
------------
5,009,212
------------
BUSINESS SERVICES--0.9%
Automatic Data Processing Inc. 14,900 1,085,837
Interim Services, Inc. * . . . 32,400 1,040,850
------------
2,126,687
------------
CHEMICALS--2.8%
Dow Chemical Co. . . . . . . . 16,000 $1,547,000
E I Du Pont De Nemours & Co. . 25,600 1,910,400
IMC Global, Inc. . . . . . . . 58,600 1,765,325
Solutia, Inc. . . . . . . . . 45,600 1,308,150
------------
6,530,875
------------
COMMERCIAL SERVICES--1.0%
Dun & Bradstreet Corp. . . . . 63,500 2,293,937
------------
COMPUTER HARDWARE/SOFTWARE
& SERVICES--3.7%
International Business Machines Inc. 22,200 2,548,837
Learning Company, Inc. * . . . 56,200 1,664,925
Microsoft Corp. * . . . . . . 40,600 4,400,025
------------
8,613,787
------------
CONGLOMERATES--0.4%
Textron Inc. . . . . . . . . . 12,600 903,263
------------
CONSUMER GOODS--0.7%
American Greetings Corp. . . . 31,400 1,599,437
------------
COSMETICS--0.6%
Gillette Co. . . . . . . . . . 26,600 1,507,888
------------
DIVERSIFIED MANUFACTURING--4.0%
General Electric Co. . . . . . 90,600 8,244,600
Owens Illinois, Inc. * . . . . 23,500 1,051,625
------------
9,296,225
------------
DIVERSIFIED OPERATIONS--0.2%
ACX Technologies, Inc. * . . . 19,400 421,950
------------
DRUGS & HEALTH CARE--8.6%
Abbott Laboratories . . . . . 47,200 1,929,300
American Home Products Corp. . 26,200 1,355,850
Bristol Myers Squibb Co. . . . 28,200 3,241,237
Cardinal Health Inc. . . . . . 18,700 1,753,125
Eli Lilly & Co. . . . . . . . 16,800 1,109,850
Johnson & Johnson Co. . . . . 23,400 1,725,750
Merck & Co., Inc. . . . . . . 23,200 3,103,000
Pfizer, Inc. . . . . . . . . . 23,600 2,565,025
Schering-Plough Corp. . . . . 24,600 2,253,975
Tenet Healthcare Corp. * . . . 33,400 1,043,750
------------
20,080,862
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--(CONTINUED)
ELECTRIC UTILITIES--4.5%
Ameren Corp. . . . . . . . . . 74,800 $ 2,973,300
Dominion Resources Inc. . . . 34,800 1,418,100
Duke Energy Corp. . . . . . . 17,000 1,007,250
Edison International . . . . . 43,000 1,271,187
Pinnacle West Capital Corp. . 30,800 1,386,000
Texas Utilities Co. . . . . . 23,100 961,537
Unicom Corp. . . . . . . . . . 42,200 1,479,637
------------
10,497,011
------------
ELECTRONICS--0.4%
Hewlett Packard Co. . . . . . 14,700 880,162
------------
FINANCIAL--1.8%
Countrywide Credit Industries, Inc. 24,800 1,258,600
Donaldson, Lufkin & Jenrette, Inc. 24,800 1,260,150
Providian Financial Corp. . . 22,100 1,736,231
------------
4,254,981
------------
FINANCIAL SERVICES--5.6%
Associates First Capital Corp. 17,323 1,331,706
Bear Stearns Companies, Inc. . 23,800 1,353,625
Federal National Mortgage Assn. 27,000 1,640,250
Lehman Brothers Holdings, Inc. 22,800 1,768,425
Merrill Lynch & Co. Inc. . . . 38,100 3,514,725
Morgan Stanley, Dean Witter,
Discover & Co. . . . . . 38,100 3,481,388
------------
13,090,119
------------
FOODS--1.1%
Archer Daniels Midland Co. . . 76,000 1,472,500
Interstate Bakeries Corp. . . 35,200 1,168,200
------------
2,640,700
------------
HEALTHCARE MANAGEMENT--1.2%
Columbia/HCA Healthcare Corp. 34,600 1,007,725
Wellpoint Health Networks Inc. * 24,600 1,820,400
------------
2,828,125
------------
HOME FURNISHING & SERVICES--0.5%
Ethan Allen Interiors Inc. . . 25,200 1,258,425
------------
HOUSEHOLD PRODUCTS--1.1%
Procter & Gamble Co. . . . . . 26,800 2,440,475
------------
INSURANCE--6.9%
Allstate Corp. . . . . . . . . 12,405 $1,135,833
American International Group Inc. 28,950 4,226,700
Equitable Companies, Inc. . . 31,400 2,353,038
Everest Reinsurance Holdings, Inc. 35,700 1,372,219
Hartford Financial Services Group, Inc. 14,400 1,647,000
Travelers Group, Inc. . . . . 33,540 2,033,363
Travelers Property Casualty Corp. 74,300 3,185,613
------------
15,953,766
------------
INTERGRATED OIL--4.6%
Columbia Gas Systems, Inc. . . 24,600 1,368,375
Exxon Corp. . . . . . . . . . 61,900 4,414,244
Mobil Corp. . . . . . . . . . 34,600 2,651,225
Sun Co. Inc. . . . . . . . . . 34,000 1,319,625
Texaco Inc. . . . . . . . . . 15,600 931,125
------------
10,684,594
------------
MULTIMEDIA--1.5%
A.H. Belo Corp. . . . . . . . 43,600 1,062,750
King World Productions Inc. . 34,700 884,850
Walt Disney Co. . . . . . . . 15,681 1,647,485
------------
3,595,085
------------
OFFICE EQUIPMENT & SUPPLIES--2.0%
Herman Miller Inc. . . . . . . 42,600 1,035,712
Xerox Corp. . . . . . . . . . 36,000 3,658,500
------------
4,694,212
------------
OIL & GAS SERVICES--1.5%
BJ Services Co. * . . . . . . 24,600 714,937
Camco International Inc. . . . 18,900 1,471,837
Ensco International Inc. . . . 30,500 529,938
Global Marine, Inc. * . . . . 44,400 829,725
------------
3,546,437
------------
PACKAGING & CONTAINERS--0.5%
Avery Dennison Corp. . . . . . 21,200 1,139,500
------------
PHOTOGRAPHY--0.7%
Eastman Kodak Co. . . . . . . 23,500 1,716,969
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--(CONTINUED)
RETAIL--8.2%
Best Buy Co., Inc. * . . . . . 40,200 $ 1,452,225
Dayton Hudson Corp. . . . . . 78,400 3,802,400
Federated Dept. Stores Inc. * 34,100 1,835,006
Home Depot, Inc. . . . . . . . 20,550 1,706,934
Ingram Micro Inc. * . . . . . 25,900 1,146,075
Kroger Co. * . . . . . . . . . 47,300 2,027,988
Ross Stores, Inc. . . . . . . 30,400 1,307,200
Safeway, Inc. * . . . . . . . 60,110 2,445,726
Wal-Mart Stores Inc. . . . . . 54,100 3,286,575
------------
19,010,129
------------
SEMICONDUCTORS--0.9%
Intel Corp. . . . . . . . . . 28,800 2,134,800
------------
STEEL--0.4%
Bethleham Steel Corp. * . . . 78,900 981,319
------------
TELECOMMUNICATIONS--5.7%
Ameritech Corp. . . . . . . . 30,800 1,382,150
AT&T Corp. . . . . . . . . . . 52,600 3,004,775
BellSouth Corp. . . . . . . . 20,700 1,389,488
GTE Corp. . . . . . . . . . . 58,200 3,237,375
MCI Communications Corp. . . . 28,100 1,633,313
Sprint Corp. . . . . . . . . . 16,500 1,163,250
Worldcom Inc. . . . . . . . . 28,400 1,375,625
------------
13,185,976
------------
TEXTILES--0.4%
Sara Lee Corp. . . . . . . . . 15,800 883,813
------------
TOBACCO--1.7%
Philip Morris Cos. Inc. . . . 53,400 2,102,625
RJR Nabisco Holdings Corp. . . 26,800 636,500
Universal Corp. . . . . . . . 29,400 1,098,825
------------
3,837,950
------------
TOTAL COMMON STOCK--
(Cost $154,998,449) . . . 223,545,794
DEPOSITORY RECEIPTS--1.3%
OIL--1.3%
Royal Dutch Petroleum Co. . . 54,400 2,981,800
------------
TOTAL DEPOSITORY RECEIPTS--
(Cost $2,202,040) . . . . 2,981,800
------------
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
-------------------- ----- -----
<S> <C> <C>
SHORT TERM INVESTMENTS--2.6%
REPURCHASE AGREEMENT--2.5%
State Street Bank and Trust Co.
5.680%, 07/01/1998, Maturity
Value of $5,893,930, dated
06/30/1998, (Collateralized by
$4,580,000 United States Treasury
Note, 8.125%, 08/15/1998, with
a value of $6,016,205). . $5,893 $5,893,000
------------
U.S. GOVERNMENT SECURITIES--0.1%
United States Treasury Bills
4.895%, 09/17/1998 . . . . . . 50** 49,470
5.070%, 09/18/1998 . . . . . . 150** 148,357
------------
197,827
------------
TOTAL SHORT TERM INVESTMENTS--
(Cost $6,090,827) . . . . 6,090,827
------------
TOTAL INVESTMENTS--
(Cost $163,291,316)--100.0% $232,618,421
------------
------------
</TABLE>
OTHER INFORMTION--
At June 30, 1998, the CORE U.S. Equity Fund had open futures contracts as
follows:
<TABLE>
<CAPTION>
Market Unrealized
Future Expiration Contracts Value Gain
- ------ ---------- --------- ----- ----
<S> <C> <C> <C> <C>
S&P 500 September 1998 19 $5,334,984 $94,267
</TABLE>
* Denotes non-income producing security.
** Security has been pledged (in whole or in part) to cover initial margin
requirements for futures contracts.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--90.1%
AEROSPACE--0.8%
TriStar Aerospace Co. * . . . 61,300 $ 950,150
------------
AGRICULTURE EQUIPMENT--1.9%
Titan International, Inc. . . 141,900 2,412,300
------------
AIR FREIGHT, TRUCK & OTHER--3.9%
Allied Holdings, Inc. * . . . 126,300 2,660,194
Hub Group, Inc. * . . . . . . 5,300 111,962
Landstar Systems, Inc. * . . . 60,500 2,113,719
------------
4,885,875
------------
BUSINESS SERVICES--0.4%
Scientific Games Holdings Corp. * 21,100 485,300
------------
COMMERCIAL PRODUCTS--1.0%
Norwood Promotional Products, Inc. * 35,700 714,000
Synthetic Industries, Inc. * . . . 39,300 572,306
------------
1,286,306
------------
COMMERCIAL SERVICES--4.2%
BridgeStreet Accomodations, Inc. * 45,000 208,125
Carbide/Graphite Group, Inc. * 77,500 2,155,469
Opinion Research Corp. * . . . 8,600 69,875
Philip Services Corp. * . . . 681,400 2,810,775
------------
5,244,244
------------
COMMUNICATION SERVICES--2.7%
MDC Communications Corp. * . . 123,800 1,183,837
Pegasus Communications Corp. * 54,000 1,134,000
Rogers Cantel Mobile
Communications, Inc. * . 34,100 426,250
Telephone & Data Systems, Inc. 16,600 653,625
------------
3,397,712
------------
COMPUTER HARDWARE--1.9%
Advanced Digital Information Corp. * 76,700 1,092,975
UNOVA Inc. * . . . . . . . . . 56,200 1,208,300
------------
2,301,275
------------
COMPUTER SOFTWARE & SERVICES--1.5%
ATL Products, Inc. * . . . . . 29,200 761,025
Black Box Corp. * . . . . . . 33,000 1,095,188
------------
1,856,213
------------
DIVERSIFIED MANUFACTURING--0.7%
Scott Technologies, Inc. * . . 60,000 900,000
------------
DRUGS & HEALTH CARE--10.4%
HealthPlan Services Corp. . . 255,800 $4,476,500
Matria Healthcare, Inc. * . . 404,200 1,414,700
Perrigo Co. * . . . . . . . . 141,200 1,420,825
Physicians Resource Group, Inc. * 221,900 1,012,419
Quest Diagnostics, Inc. * . . 208,500 4,560,937
------------
12,885,381
------------
EDUCATION--0.6%
Career Education Corp. * . . . 31,600 774,200
------------
ELECTRIC UTILITIES--2.1%
Central Maine Power Co. . . . 71,500 1,394,250
Northeast Utilities . . . . . 73,400 1,243,212
------------
2,637,462
------------
ELECTRONICS--1.1%
CHS Electronics, Inc. * . . . 46,500 831,188
Stoneridge Inc. * . . . . . . 31,000 565,750
------------
1,396,938
------------
ENTERTAINMENT--1.8%
Metromedia International Group, Inc. * 87,200 1,040,950
Platinum Entertainment, Inc. * 81,500 601,063
Playboy Enterprises, Inc. * . 29,400 521,850
------------
2,163,863
------------
FINANCIAL SERVICES--1.7%
Annaly Mortgage Management, Inc. 34,400 311,750
Pacific Century Financial Corp. 74,900 1,797,600
------------
2,109,350
------------
FOODS--0.3%
Ralcorp Holdings, Inc. * . . . 22,400 422,800
------------
GAMING COMPANIES--0.6%
GTECH Holdings Corp. * . . . . 21,500 724,281
------------
HEALTH CARE--2.9%
American Physician Partners, Inc. * 110,800 775,600
Integrated Health Services, Inc. 72,000 2,700,000
Trigon Healthcare, Inc. * . . 4,300 155,606
------------
3,631,206
------------
HOME FURNISHING & SERVICES--0.3%
Congoleum Corp. * . . . . . . 37,400 355,300
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
COMMON STOCK--(CONTINUED)
HOSPITAL MANAGEMENT--2.6%
Mariner Health Group, Inc. * . 115,300 $ 1,916,862
Sun Healthcare Group, Inc. * . 85,500 1,250,438
------------
3,167,300
------------
HOTELS--2.7%
Boykin Lodging Co. . . . . . . 39,000 845,813
Prime Hospitality Corp. * . . 128,600 2,242,462
ResortQuest International, Inc. * 19,100 311,569
------------
3,399,844
------------
HOUSEHOLD PRODUCTS--1.2%
American Safety Razor Co. * . 101,700 1,487,363
------------
INSURANCE--11.0%
American Safety Insurance Group, Ltd. * 53,900 633,325
Amerin Corp. * . . . . . . . 22,000 642,125
ARM Financial Group, Inc. . . 115,600 2,557,650
ESG Re Ltd. . . . . . . . . . 157,300 3,401,612
GAINSCO, Inc. . . . . . . . . 25,300 166,031
Penn Treaty American Corp. * . 4,600 144,900
SCPIE Holdings, Inc. . . . . . 35,700 1,209,338
Seibels Bruce Group, Inc. * . 108,800 802,400
Symons International Group, Inc. * 121,500 2,278,125
Terra Nova (Bermuda) Holdings Ltd. 59,500 1,866,813
------------
13,702,319
------------
MACHINERY--1.1%
AVTEAM, Inc. * . . . . . . . . 131,100 1,409,325
------------
MANUFACTURING--1.4%
Fedders Corp. . . . . . . . . 121,100 809,856
Fedders Corp. - Class A. . . . 144,000 918,000
------------
1,727,856
------------
NETWORKING PRODUCTS--1.8%
Hypercom Corp. * . . . . . . . 128,200 1,282,000
Vanstar Corp. * . . . . . . . 66,300 965,494
------------
2,247,494
------------
PACKAGING & CONTAINER--0.3%
Shorewood Packaging Corp. * . 23,800 377,825
------------
REAL ESTATE--4.2%
Insignia Financial Group, Inc. * 69,400 $ 1,700,300
Prime Retail, Inc. . . . . . . 125,900 1,502,931
RFS Hotel Investors, Inc. . . 104,700 1,989,300
------------
5,192,531
------------
RESTAURANTS--3.2%
Friendly Ice Cream Corp. * . . 76,700 1,294,312
Mortons Restaurant Group, Inc. * 78,300 1,884,094
Ryan's Family Steak Houses, Inc. * 78,400 803,600
------------
3,982,006
------------
RETAIL--10.6%
Brookstone, Inc. * . . . . . . 118,700 1,780,500
Finlay Enterprises, Inc. * . . 29,000 699,625
Friedman's, Inc. * . . . . . . 253,000 4,190,313
J. Baker, Inc. . . . . . . . . 188,500 2,179,531
Loehmann's Holdings, Inc. * . 180,400 868,175
Movado Group, Inc. . . . . . . 32,537 984,244
Syms Corp. * . . . . . . . . . 174,200 2,482,350
------------
13,184,738
------------
SAVINGS & LOAN HOLDING COMPANIES--0.0%
Northwest Bancorp, Inc. . . . 300 4,744
------------
SEMICONDUCTORS--6.2%
General Semiconductor, Inc. * 111,000 1,096,125
Hadco Corp. * . . . . . . . . 42,700 995,444
Kemet Corp. * . . . . . . . . 138,600 1,823,456
MEMC Electronic Material, Inc. * 147,000 1,525,125
Vishay Intertechnology, Inc. . 122,585 2,198,868
------------
7,639,018
------------
STEEL--1.0%
UCAR International, Inc. * . . 42,400 1,237,550
------------
TELECOMMUNICATIONS--1.4%
CommScope, Inc. * . . . . . . 104,800 1,696,450
------------
TEXTILE--0.6%
Pluma, Inc. * . . . . . . . . 111,700 746,994
------------
TOTAL COMMON STOCK--
(Cost $106,815,208) . . . 112,023,513
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ -----
<S> <C> <C>
DEPOSITORY RECEIPTS--3.6%
BUILDING CONSTRUCTION--1.8%
Groupe AB SA * . . . . . . . . 400,300 $ 2,251,687
------------
MACHINERY--1.8%
Denison International PLC * . 112,900 2,229,775
------------
TOTAL DEPOSITORY RECEIPTS--
(Cost $6,166,168) . . . . 4,481,462
------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
-----
<S> <C> <C>
SHORT TERM INVESTMENT--6.3%
REPURCHASE AGREEMENT--6.3%
State Street Bank and Trust Co.
5.680%, 07/01/1998, Maturity Value
of $7,816,233, dated 06/30/1998,
(Collateralized by $6,070,000 United
States Treasury Note, 8.125%,
06/30/1998, with a value of
$7,973.423) . . . . . . . $7,815 7,815,000
------------
TOTAL SHORT TERM INVESTMENT--
(Cost $7,815,000) . . . . 7,815,000
------------
TOTAL INVESTMENTS--
(Cost $120,796,376)--100.0% $124,319,975
------------
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
23
<PAGE>
PROTECTIVE MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
-------------------- ----- -----
<S> <C> <C>
GOVERNMENT AND AGENCY SECURITIES--100.0%
FEDERAL AGENCIES--100.0%
Federal Farm Credit Bank
5.390%, 07/10/1998 . . . $ 700,000 $ 699,057
5.400%, 07/23/1998 . . . 343,000 341,868
------------
1,040,925
------------
Federal Home Loan Bank
5.390%, 07/07/1998 . . . 700,000 699,371
5.380%, 07/17/1998 . . . 543,000 541,702
------------
1,241,073
------------
Federal Home Loan Mortgage Corp.
5.460%, 07/01/1998 . . . 200,000 200,000
5.480%, 07/09/1998 . . . 500,000 499,391
5.420%, 07/10/1998 . . . 500,000 499,322
5.450%, 07/10/1998 . . . 100,000 99,864
5.460%, 07/17/1998 . . . 200,000 199,515
------------
1,498,092
------------
Federal National Mortgage Assn.
5.440%, 07/16/1998 . . . 700,000 698,413
5.450%, 07/27/1998 . . . 100,000 99,606
------------
798,019
------------
Tennessee Valley Authority
5.390%, 07/13/1998 . . . 500,000 499,102
5.380%, 08/21/1998 . . . 500,000 496,189
------------
995,291
------------
TOTAL GOVERNMENT AND AGENCY
SECURITIES--
(Cost $5,573,400) . . . . 5,573,400
------------
TOTAL INVESTMENTS--
(Cost $5,573,400)--100.0% $ 5,573,400
------------
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
(THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY.)
25
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL INTERNATIONAL
INCOME FUND EQUITY FUND
----------- -------------
<S> <C> <C>
ASSETS
Investments in securities, at value (Note B). . . . . . . . . $54,056,448 $ 165,901,594
Cash, including foreign currency at value . . . . . . . . . . 33,539 1,083,054
Dividends receivable. . . . . . . . . . . . . . . . . . . . . 0 276,610
Interest receivable . . . . . . . . . . . . . . . . . . . . . 943,586 745
Receivable for securities sold. . . . . . . . . . . . . . . . 0 1,988,602
Receivable for currency sold. . . . . . . . . . . . . . . . . 0 96,932
Unrealized appreciation on forward currency contracts (Note F) 918,746 653,595
Receivable for fund shares sold . . . . . . . . . . . . . . . 38,662 134,316
Foreign income tax reclaim receivable . . . . . . . . . . . . 492 184,689
Receivable due from Protective Life (Note C). . . . . . . . . 5,192 28,713
Other assets. . . . . . . . . . . . . . . . . . . . . . . . . 13,711 0
----------- -------------
TOTAL ASSETS. . . . . . . . . . . . . . . . . . . . . . . . 56,010,376 170,348,850
----------- -------------
LIABILITIES
Unrealized depreciation on forward currency contracts (Note F) 436,798 177,527
Payable for securities purchased. . . . . . . . . . . . . . . 377,429 2,515,059
Payable for variation margin. . . . . . . . . . . . . . . . . 0 0
Payable for currency purchased. . . . . . . . . . . . . . . . 0 94,586
Investment management fee payable (Note C). . . . . . . . . . 49,423 148,681
Accounts payable and accrued expenses . . . . . . . . . . . . 13,134 5,818
Payable for fund shares redeemed. . . . . . . . . . . . . . . 7,733 73,627
Due to custodian. . . . . . . . . . . . . . . . . . . . . . . 0 0
----------- -------------
TOTAL LIABILITIES . . . . . . . . . . . . . . . . . . . . . 884,517 3,015,298
----------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . $55,125,859 $ 167,333,552
----------- -------------
----------- -------------
NET ASSETS
Paid-in capital (Note E). . . . . . . . . . . . . . . . . . . $52,520,383 $ 129,384,307
Undistributed net investment income (Note B). . . . . . . . . 498,003 956,644
Accumulated net realized gain (loss) on
investments and foreign currency transactions . . . . . . . 1,638,581 3,503,212
Net unrealized appreciation (depreciation) of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . (1,047) 33,016,259
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0
Foreign currency translations . . . . . . . . . . . . . . . 469,939 473,130
----------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . $55,125,859 $ 167,333,552
----------- -------------
----------- -------------
NET ASSET VALUE PER SHARE
Offering and redemption price per share (based on
shares of capital stock outstanding,
par value $.001 per share). . . . . . . . . . . . . . . . . $ 10.578 $ 14.912
Total shares outstanding at end of period . . . . . . . . . . 5,211,364 11,221,373
Cost of investments . . . . . . . . . . . . . . . . . . . . . $54,057,495 $ 132,885,335
</TABLE>
26
<PAGE>
<TABLE>
<CAPTION>
CAPITAL GROWTH AND CORE U.S.
GROWTH FUND INCOME FUND EQUITY FUND
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS
Investments in securities, at value (Note B). . . . . . . . . $113,717,146 $418,906,645 $232,618,421
Cash, including foreign currency at value . . . . . . . . . . 535 745 0
Dividends receivable. . . . . . . . . . . . . . . . . . . . . 74,963 922,728 237,628
Interest receivable . . . . . . . . . . . . . . . . . . . . . 1,289 3,325 930
Receivable for securities sold. . . . . . . . . . . . . . . . 0 1,350,968 0
Receivable for currency sold. . . . . . . . . . . . . . . . . 0 0 0
Unrealized appreciation on forward currency contracts (Note F) 0 0 0
Receivable for fund shares sold . . . . . . . . . . . . . . . 89,276 338,274 331,098
Foreign income tax reclaim receivable . . . . . . . . . . . . 47 0 1,294
Receivable due from Protective Life (Note C). . . . . . . . . 9,309 19,186 9,452
Other assets. . . . . . . . . . . . . . . . . . . . . . . . . 0 0 0
------------ ------------ ------------
TOTAL ASSETS. . . . . . . . . . . . . . . . . . . . . . . . 113,892,565 421,541,871 233,198,823
------------ ------------ ------------
LIABILITIES
Unrealized depreciation on forward currency contracts (Note F) 0 0 0
Payable for securities purchased. . . . . . . . . . . . . . . 563,077 14,693 0
Payable for variation margin. . . . . . . . . . . . . . . . . 0 0 39,008
Payable for currency purchased. . . . . . . . . . . . . . . . 0 0 0
Investment management fee payable (Note C). . . . . . . . . . 70,420 272,741 148,055
Accounts payable and accrued expenses . . . . . . . . . . . . 31,030 32,805 8,629
Payable for fund shares redeemed. . . . . . . . . . . . . . . 55,909 153,426 37,990
Due to custodian. . . . . . . . . . . . . . . . . . . . . . . 0 0 55
------------ ------------ ------------
TOTAL LIABILITIES . . . . . . . . . . . . . . . . . . . . . 720,436 473,665 233,737
------------ ------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . $113,172,129 $421,068,206 $232,965,086
------------ ------------ ------------
------------ ------------ ------------
NET ASSETS
Paid-in capital (Note E). . . . . . . . . . . . . . . . . . . $ 82,496,393 $334,346,492 $157,891,948
Undistributed net investment income (Note B). . . . . . . . . 252,870 2,193,864 836,428
Accumulated net realized gain (loss) on
investments and foreign currency transactions . . . . . . . 1,761,321 58,103,088 4,815,338
Net unrealized appreciation (depreciation) of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . 28,661,545 26,424,762 69,327,105
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0 94,267
Foreign currency translations . . . . . . . . . . . . . . . 0 0 0
------------ ------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . $113,172,129 $421,068,206 $232,965,086
------------ ------------ ------------
------------ ------------ ------------
NET ASSET VALUE PER SHARE
Offering and redemption price per share (based on
shares of capital stock outstanding,
par value $.001 per share). . . . . . . . . . . . . . . . . $ 19.243 $ 17.004 $ 21.764
Total shares outstanding at end of period . . . . . . . . . . 5,881,194 24,762,978 10,704,012
Cost of investments . . . . . . . . . . . . . . . . . . . . . $ 85,055,601 $392,481,883 $163,291,316
<CAPTION>
SMALL CAP MONEY
VALUE FUND MARKET FUND
---------- -----------
<S> <C> <C>
ASSETS
Investments in securities, at value (Note B). . . . . . . . . $124,319,975 $5,573,400
Cash, including foreign currency at value . . . . . . . . . . 23 0
Dividends receivable. . . . . . . . . . . . . . . . . . . . . 20,822 0
Interest receivable . . . . . . . . . . . . . . . . . . . . . 1,233 0
Receivable for securities sold. . . . . . . . . . . . . . . . 1,581,573 0
Receivable for currency sold. . . . . . . . . . . . . . . . . 0 0
Unrealized appreciation on forward currency contracts (Note F) 0 0
Receivable for fund shares sold . . . . . . . . . . . . . . . 266,108 0
Foreign income tax reclaim receivable . . . . . . . . . . . . 0 0
Receivable due from Protective Life (Note C). . . . . . . . . 7,162 2,246
Other assets. . . . . . . . . . . . . . . . . . . . . . . . . 0 0
------------ ----------
TOTAL ASSETS. . . . . . . . . . . . . . . . . . . . . . . . 126,196,896 5,575,646
------------ ----------
LIABILITIES
Unrealized depreciation on forward currency contracts (Note F) 0 0
Payable for securities purchased. . . . . . . . . . . . . . . 616,890 0
Payable for variation margin. . . . . . . . . . . . . . . . . 0 0
Payable for currency purchased. . . . . . . . . . . . . . . . 0 0
Investment management fee payable (Note C). . . . . . . . . . 83,083 3,153
Accounts payable and accrued expenses . . . . . . . . . . . . 1,920 4,158
Payable for fund shares redeemed. . . . . . . . . . . . . . . 74,890 321,682
Due to custodian. . . . . . . . . . . . . . . . . . . . . . . 0 22,720
------------ ----------
TOTAL LIABILITIES . . . . . . . . . . . . . . . . . . . . . 776,783 351,713
------------ ----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . $125,420,113 $5,223,933
------------ ----------
------------ ----------
NET ASSETS $102,811,913 $5,223,934
Paid-in capital (Note E). . . . . . . . . . . . . . . . . . . 295,470 0
Undistributed net investment income (Note B). . . . . . . . .
Accumulated net realized gain (loss) on 18,789,131 (1)
investments and foreign currency transactions . . . . . . .
Net unrealized appreciation (depreciation) of: 3,523,599 0
Investments . . . . . . . . . . . . . . . . . . . . . . . . 0 0
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0
Foreign currency translations . . . . . . . . . . . . . . . ------------ ----------
$125,420,113 $5,223,933
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . ------------ ----------
------------ ----------
NET ASSET VALUE PER SHARE
Offering and redemption price per share (based on
shares of capital stock outstanding,
par value $.001 per share). . . . . . . . . . . . . . . . . $ 12.811 $ 1.000
Total shares outstanding at end of period . . . . . . . . . . 9,790,131 5,223,934
Cost of investments . . . . . . . . . . . . . . . . . . . . . $120,796,376 $5,573,400
</TABLE>
27
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL INTERNATIONAL
INCOME FUND EQUITY FUND
----------- -------------
<S> <C> <C>
INVESTMENT INCOME
Dividend income . . . . . . . . . . . . . . . . . . . . . . . $ 0 $ 1,661,599
Interest income . . . . . . . . . . . . . . . . . . . . . . . 1,489,632 181,682
Foreign taxes withheld. . . . . . . . . . . . . . . . . . . . (5,702) (219,322)
----------- -------------
TOTAL INVESTMENT INCOME . . . . . . . . . . . . . . . . . . 1,483,930 1,623,959
EXPENSES
Investment management fee (Note C). . . . . . . . . . . . . . 283,052 834,516
Custodian fees and expenses . . . . . . . . . . . . . . . . . 19,132 142,474
Audit fee . . . . . . . . . . . . . . . . . . . . . . . . . . 3,412 9,226
Printing expense. . . . . . . . . . . . . . . . . . . . . . . 1,209 3,269
Transfer agent fee. . . . . . . . . . . . . . . . . . . . . . 1,133 1,133
Directors' fee (Note C) . . . . . . . . . . . . . . . . . . . 805 2,179
Legal fee . . . . . . . . . . . . . . . . . . . . . . . . . . 600 1,622
Miscellaneous expense . . . . . . . . . . . . . . . . . . . . 34 87
----------- -------------
Total operating expenses before reimbursement . . . . . . . 309,377 994,506
Expenses borne by Protective Life (Note C). . . . . . . . . (26,325) (159,990)
----------- -------------
NET EXPENSES . . . . . . . . . . . . . . . . . . . . . . 283,052 834,516
----------- -------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . 1,200,878 789,443
----------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FOREIGN CURRENCY,
OPTIONS AND FUTURES TRANSACTIONS
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . 944,676 4,945,032
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0
Foreign currency transactions . . . . . . . . . . . . . . . 484,799 (154,508)
----------- -------------
Total net realized gain. . . . . . . . . . . . . . . . . 1,429,475 4,790,524
Change in unrealized appreciation (depreciation) of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . 250,923 20,358,617
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0
Foreign currency translations . . . . . . . . . . . . . . . (672,241) 497,802
----------- -------------
Total change in unrealized appreciation (depreciation) . (421,318) 20,856,419
----------- -------------
NET REALIZED AND UNREALIZED GAIN . . . . . . . . . . . . 1,008,157 25,646,943
----------- -------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . $ 2,209,035 $ 26,436,386
----------- -------------
----------- -------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
<TABLE>
<CAPTION>
CAPITAL GROWTH AND CORE U.S.
GROWTH FUND INCOME FUND EQUITY FUND
<S> ----------- ------------ -----------
INVESTMENT INCOME <C> <C>
Dividend income . . . . . . . . . . . . . . . . . . . . . . . $ 503,320 $ 3,312,268 $ 1,477,933
Interest income . . . . . . . . . . . . . . . . . . . . . . . 117,435 482,603 133,858
Foreign taxes withheld. . . . . . . . . . . . . . . . . . . . 0 (9,594) (7,319)
----------- ------------ -----------
TOTAL INVESTMENT INCOME . . . . . . . . . . . . . . . . . . 620,755 3,785,277 1,604,472
EXPENSES
Investment management fee (Note C). . . . . . . . . . . . . . 370,639 1,603,831 819,835
Custodian fees and expenses . . . . . . . . . . . . . . . . . 40,041 46,314 21,506
Audit fee . . . . . . . . . . . . . . . . . . . . . . . . . . 5,247 24,909 12,386
Printing expense. . . . . . . . . . . . . . . . . . . . . . . 1,859 8,826 4,389
Transfer agent fee. . . . . . . . . . . . . . . . . . . . . . 1,133 1,133 1,133
Directors' fee (Note C) . . . . . . . . . . . . . . . . . . . 1,240 5,884 2,925
Legal fee . . . . . . . . . . . . . . . . . . . . . . . . . . 922 4,379 2,177
Miscellaneous expense . . . . . . . . . . . . . . . . . . . . 27 190 93
----------- ------------ -----------
Total operating expenses before reimbursement . . . . . . . 421,108 1,695,466 864,444
Expenses borne by Protective Life (Note C). . . . . . . . . (50,469) (91,635) (44,609)
----------- ------------ -----------
NET EXPENSES . . . . . . . . . . . . . . . . . . . . . . 370,639 1,603,831 819,835
----------- ------------ -----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . 250,116 2,181,446 784,637
----------- ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FOREIGN CURRENCY,
OPTIONS AND FUTURES TRANSACTIONS
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . 1,930,985 47,540,240 4,232,002
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0 627,242
Foreign currency transactions . . . . . . . . . . . . . . . 0 0 0
----------- ------------ -----------
Total net realized gain. . . . . . . . . . . . . . . . . 1,930,985 47,540,240 4,859,244
Change in unrealized appreciation (depreciation) of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . 15,660,453 (21,591,686) 28,048,273
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0 64,225
Foreign currency translations . . . . . . . . . . . . . . . 0 0 0
----------- ------------ -----------
Total change in unrealized appreciation (depreciation) . 15,660,453 (21,591,686) 28,112,498
----------- ------------ -----------
NET REALIZED AND UNREALIZED GAIN . . . . . . . . . . . . 17,591,438 25,948,554 32,971,742
----------- ------------ -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . $17,841,554 $ 28,130,000 $33,756,379
----------- ------------ -----------
----------- ------------ -----------
<CAPTION>
SMALL CAP MONEY
VALUE FUND MARKET FUND
<S> ----------- -----------
INVESTMENT INCOME <C> <C>
Dividend income . . . . . . . . . . . . . . . . . . . . . . . $ 430,027 $ 0
Interest income . . . . . . . . . . . . . . . . . . . . . . . 333,352 134,685
Foreign taxes withheld. . . . . . . . . . . . . . . . . . . . 0 0
----------- -----------
TOTAL INVESTMENT INCOME . . . . . . . . . . . . . . . . . . 763,379 134,685
EXPENSES
Investment management fee (Note C). . . . . . . . . . . . . . 481,769 14,790
Custodian fees and expenses . . . . . . . . . . . . . . . . . 20,638 11,747
Audit fee . . . . . . . . . . . . . . . . . . . . . . . . . . 7,549 251
Printing expense. . . . . . . . . . . . . . . . . . . . . . . 2,675 89
Transfer agent fee. . . . . . . . . . . . . . . . . . . . . . 1,133 1,133
Directors' fee (Note C) . . . . . . . . . . . . . . . . . . . 1,783 60
Legal fee . . . . . . . . . . . . . . . . . . . . . . . . . . 1,327 44
Miscellaneous expense . . . . . . . . . . . . . . . . . . . . 58 5
----------- -----------
Total operating expenses before reimbursement . . . . . . . 516,932 28,119
Expenses borne by Protective Life (Note C). . . . . . . . . (35,163) (13,329)
----------- -----------
NET EXPENSES . . . . . . . . . . . . . . . . . . . . . . 481,769 14,790
----------- -----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . 281,610 119,895
----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FOREIGN CURRENCY,
OPTIONS AND FUTURES TRANSACTIONS
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . . . . . . . . . . . . 13,696,846 23
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0
Foreign currency transactions . . . . . . . . . . . . . . . 0 0
----------- -----------
Total net realized gain. . . . . . . . . . . . . . . . . 13,696,846 23
Change in unrealized appreciation (depreciation) of:
Investments . . . . . . . . . . . . . . . . . . . . . . . . (4,012,095) 0
Futures . . . . . . . . . . . . . . . . . . . . . . . . . . 0 0
Foreign currency translations . . . . . . . . . . . . . . . 0 0
----------- -----------
Total change in unrealized appreciation (depreciation) . (4,012,095) 0
----------- -----------
NET REALIZED AND UNREALIZED GAIN . . . . . . . . . . . . 9,684,751 23
----------- -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . $ 9,966,361 $ 119,918
----------- -----------
----------- -----------
</TABLE>
29
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GLOBAL INCOME FUND INTERNATIONAL EQUITY FUND
SIX MONTHS SIX MONTHS
ENDED 6/30/98 YEAR ENDED ENDED 6/30/98 YEAR ENDED
(UNAUDITED) 12/31/97 (UNAUDITED) 12/31/97
----------- ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . $ 1,200,878 $ 2,251,590 $ 789,443 $ 405,919
Net realized gain on:
Investments . . . . . . . . . . . . . 944,676 1,219,339 4,945,032 5,301,387
Futures . . . . . . . . . . . . . . . 0 0 0 0
Foreign currency transactions . . . . 484,799 618,184 (154,508) 1,931,104
Options . . . . . . . . . . . . . . . 0 (6,074) 0 0
----------- ----------- ------------ ------------
Total net realized gain . . . . . . . . 1,429,475 1,831,449 4,790,524 7,232,491
Change in unrealized appreciation
(depreciation) of:
Investments . . . . . . . . . . . . . 250,923 (856,081) 20,358,617 (3,738,515)
Futures . . . . . . . . . . . . . . . 0 0 0 0
Foreign currency translations . . . . (672,241) 921,509 497,802 18,097
----------- ----------- ------------ ------------
Total change in unrealized
appreciation (depreciation). . . . (421,318) 65,428 20,856,419 (3,720,418)
----------- ----------- ------------ ------------
Net increase in net assets
resulting from operations. . . . . 2,209,035 4,148,467 26,436,386 3,917,992
----------- ----------- ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM: (NOTE B)
Net investment income . . . . . . . . 0 (3,996,275) 0 (2,629,399)
Net realized gain on investments. . . 0 (605,051) 0 (6,951,138)
----------- ----------- ------------ ------------
Total dividends and distributions
to shareholders. . . . . . . . . . 0 (4,601,326) 0 (9,580,537)
FUND SHARE TRANSACTIONS (NOTE E). . . . 4,083,723 11,611,243 9,010,243 40,813,851
----------- ----------- ------------ ------------
TOTAL INCREASE IN NET ASSETS. . . . . 6,292,758 11,158,384 35,446,629 35,151,306
Net assets
Beginning of period . . . . . . . . . 48,833,101 37,674,717 131,886,923 96,735,617
----------- ----------- ------------ ------------
END OF PERIOD (1) . . . . . . . . . . $55,125,859 $48,833,101 $167,333,552 $131,886,923
----------- ----------- ------------ ------------
----------- ----------- ------------ ------------
(1) Including undistributed (distributions in
excess of) net investment income . $ 498,003 $ (702,875) $ 956,644 $ 167,201
----------- ----------- ------------ ------------
----------- ----------- ------------ ------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
<TABLE>
<CAPTION>
CAPITAL GROWTH FUND GROWTH AND INCOME FUND
SIX MONTHS SIX MONTHS
ENDED 6/30/98 YEAR ENDED ENDED 6/30/98 YEAR ENDED
(UNAUDITED) 12/31/97 (UNAUDITED) 12/31/97
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . $ 250,116 $ 458,089 $ 2,181,446 $ 2,550,416
Net realized gain on:
Investments . . . . . . . . . . . . . 1,930,985 4,504,363 47,540,240 53,904,717
Futures . . . . . . . . . . . . . . . 0 124,702 0 0
Foreign currency transactions . . . . 0 15 0 (500)
Options . . . . . . . . . . . . . . . 0 0 0 0
------------ ----------- ------------ ------------
Total net realized gain . . . . . . . . 1,930,985 4,629,080 47,540,240 53,904,217
Change in unrealized appreciation
(depreciation) of:
Investments . . . . . . . . . . . . . 15,660,453 9,112,024 (21,591,686) 12,856,048
Futures . . . . . . . . . . . . . . . 0 (26,975) 0 0
Foreign currency translations . . . . 0 0 0 0
------------ ----------- ------------ ------------
Total change in unrealized
appreciation (depreciation). . . . 15,660,453 9,085,049 (21,591,686) 12,856,048
------------ ----------- ------------ ------------
Net increase in net assets
resulting from operations. . . . . 17,841,554 14,172,218 28,130,000 69,310,681
------------ ----------- ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM: (NOTE B)
Net investment income . . . . . . . . 0 (455,335) 0 (2,537,498)
Net realized gain on investments. . . 0 (4,704,337) 0 (47,393,437)
------------ ----------- ------------ ------------
Total dividends and distributions
to shareholders. . . . . . . . . . 0 (5,159,672) 0 (49,930,935)
FUND SHARE TRANSACTIONS (NOTE E). . . . 20,288,099 35,730,473 36,435,516 126,536,130
------------ ----------- ------------ ------------
TOTAL INCREASE IN NET ASSETS. . . . . 38,129,653 44,743,019 64,565,516 145,915,876
Net assets
Beginning of period . . . . . . . . . 75,042,476 30,299,457 356,502,690 210,586,814
------------ ----------- ------------ ------------
END OF PERIOD (1) . . . . . . . . . . $113,172,129 $75,042,476 $421,068,206 $356,502,690
------------ ----------- ------------ ------------
------------ ----------- ------------ ------------
(1) Including undistributed (distributions in
excess of) net investment income . $ 252,870 $ 2,754 $ 2,193,864 $ 12,418
------------ ----------- ------------ ------------
------------ ----------- ------------ ------------
<CAPTION>
CORE U.S. EQUITY FUND
SIX MONTHS
ENDED 6/30/98 YEAR ENDED
(UNAUDITED) 12/31/97
------------ ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . $ 784,637 $ 1,497,231
Net realized gain on:
Investments . . . . . . . . . . . . . 4,232,002 12,647,298
Futures . . . . . . . . . . . . . . . 627,242 537,573
Foreign currency transactions . . . . 0 0
Options . . . . . . . . . . . . . . . 0 0
------------ ------------
Total net realized gain . . . . . . . . 4,859,244 13,184,871
Change in unrealized appreciation
(depreciation) of:
Investments . . . . . . . . . . . . . 28,048,273 21,397,509
Futures . . . . . . . . . . . . . . . 64,225 14,517
Foreign currency translations . . . . 0 0
------------ ------------
Total change in unrealized
appreciation (depreciation). . . . 28,112,498 21,412,026
------------ ------------
Net increase in net assets
resulting from operations. . . . . 33,756,379 36,094,128
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM: (NOTE B)
Net investment income . . . . . . . . 0 (1,468,909)
Net realized gain on investments. . . 0 (13,999,983)
------------ ------------
Total dividends and distributions
to shareholders. . . . . . . . . . 0 (15,468,892)
FUND SHARE TRANSACTIONS (NOTE E). . . . 21,998,648 54,961,243
------------ ------------
TOTAL INCREASE IN NET ASSETS. . . . . 55,755,027 75,586,479
Net assets
Beginning of period . . . . . . . . . 177,210,059 101,623,580
------------ ------------
END OF PERIOD (1) . . . . . . . . . . $232,965,086 $177,210,059
------------ ------------
------------ ------------
(1) Including undistributed (distributions in
excess of) net investment income . $ 836,428 $ 51,791
------------ ------------
------------ ------------
</TABLE>
31
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND MONEY MARKET FUND
SIX MONTHS SIX MONTHS
ENDED 6/30/98 YEAR ENDED ENDED 6/30/98 YEAR ENDED
(UNAUDITED) 12/31/97 (UNAUDITED) 12/31/97
------------ ------------ ---------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income . . . . . . . . . $ 281,610 $ 326,302 $ 119,895 $ 217,214
Net realized gain (loss) on:
Investments . . . . . . . . . . . . . 13,696,846 16,132,010 23 6
Futures . . . . . . . . . . . . . . . 0 0 0 0
Foreign currency transactions . . . . 0 0 0 0
Options . . . . . . . . . . . . . . . 0 0 0 0
------------ ------------ ---------- -----------
Total net realized gain . . . . . . . . 13,696,846 16,132,010 23 6
Change in unrealized appreciation
(depreciation) of:
Investments . . . . . . . . . . . . . (4,012,095) 6,548,104 0 0
Futures . . . . . . . . . . . . . . . 0 0 0 0
Foreign currency translations . . . . 0 0 0 0
------------ ------------ ---------- -----------
Total change in unrealized
appreciation (depreciation). . . . (4,012,095) 6,548,104 0 0
------------ ------------ ---------- -----------
Net increase in net assets
resulting from operations. . . . . 9,966,361 23,006,416 119,918 217,220
------------ ------------ ---------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM: (NOTE B)
Net investment income . . . . . . . . 0 (312,710) (119,895) (217,214)
Net realized gains on investments . . 0 (11,888,468) (24) (6)
------------ ------------ ---------- -----------
Total dividends and distributions
to shareholders. . . . . . . . . . 0 (12,201,178) (119,919) (217,220)
FUND SHARE TRANSACTIONS (NOTE E). . . . 7,470,205 32,745,138 1,601,993 (2,498,719)
------------ ------------ ---------- -----------
TOTAL INCREASE IN NET ASSETS. . . . . 17,436,566 43,550,376 1,601,992 (2,498,719)
Net assets
Beginning of period . . . . . . . . . 107,983,547 64,433,171 3,621,941 6,120,660
------------ ------------ ---------- -----------
END OF PERIOD (1) . . . . . . . . . . $125,420,113 $107,983,547 $5,223,933 $ 3,621,941
------------ ------------ ---------- -----------
------------ ------------ ---------- -----------
(1) Including undistributed (distributions in
excess of) net investment income . $ 295,470 $ 13,860 $ 0 $ 0
------------ ------------ ---------- -----------
------------ ------------ ---------- -----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
(THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY.)
33
<PAGE>
PROTECTIVE INVESTMENT COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OF COMMON STOCK OUTSTANDING FOR THE PERIOD INDICATED
<TABLE>
<CAPTION>
Net Asset Total
Value at Net Realized and from
Beginning Investment Unrealized Investment
of Period Income(3) Gain (Loss) Operations
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Income Fund
1/1/98 - 6/30/98 (unaudited). $10.134 $0.241 $0.203 $0.444
1/1/97 - 12/31/97 . . . . . . 10.177 0.558 0.455 1.013
1/1/96 - 12/31/96 . . . . . . 10.074 0.628 0.310 0.938
1/1/95 - 12/31/95 . . . . . . 9.558 0.607 0.968 1.575
3/14/94 - 12/31/94 (1). . . . 10.000 0.367 (0.442) (0.075)
- -------------------------------------------------------------------------------------------------
International Equity Fund
1/1/98 - 6/30/98 (unaudited). $12.452 $0.070 $2.390 $2.460
1/1/97 - 12/31/97 . . . . . . 12.865 0.038 0.525 0.563
1/1/96 - 12/31/96 . . . . . . 11.045 0.140 1.955 2.095
1/1/95 - 12/31/95 . . . . . . 9.581 0.067 1.817 1.884
3/14/94 - 12/31/94 (1). . . . 10.000 0.048 (0.467) (0.419)
- -------------------------------------------------------------------------------------------------
Capital Growth Fund
1/1/98 - 6/30/98 (unaudited). $15.820 $0.042 $3.381 3.423
1/1/97 - 12/31/97 . . . . . . 12.647 0.104 4.243 4.347
1/1/96 - 12/31/96 . . . . . . 10.613 0.134 2.209 2.343
6/13/95 - 12/31/95 (2) . . . 10.000 0.080 0.613 0.693
- -------------------------------------------------------------------------------------------------
Growth and Income Fund
1/1/98 - 6/30/98 (unaudited). $15.762 $0.088 $1.154 $1.242
1/1/97 - 12/31/97 . . . . . . 14.183 0.132 4.030 4.162
1/1/96 - 12/31/96 . . . . . . 12.197 0.266 2.987 3.253
1/1/95 - 12/31/95 . . . . . . 9.661 0.246 2.854 3.100
3/14/94 - 12/31/94 (1). . . . 10.000 0.114 (0.300) (0.186)
- -------------------------------------------------------------------------------------------------
CORE U.S. Equity Fund
1/1/98 - 6/30/98 (unaudited). $18.409 $0.073 $3.282 $3.355
1/1/97 - 12/31/97 . . . . . . 15.437 0.170 4.568 4.738
1/1/96 - 12/31/96 . . . . . . 13.109 0.180 2.706 2.886
1/1/95 - 12/31/95 . . . . . . 9.839 0.143 3.470 3.613
3/14/94 - 12/31/94 (1). . . . 10.000 0.093 (0.039) 0.054
- -------------------------------------------------------------------------------------------------
Small Cap Value Fund
1/1/98 - 6/30/98 (unaudited). $11.726 $0.029 $1.056 $1.085
1/1/97 - 12/31/97 . . . . . . 10.022 0.040 3.162 3.202
1/1/96 - 12/31/96 . . . . . . 9.345 0.030 1.840 1.870
1/1/95 - 12/31/95 . . . . . . 8.951 0.079 0.502 0.581
3/14/94 - 12/31/94 (1). . . . 10.000 0.038 (1.025) (0.987)
- -------------------------------------------------------------------------------------------------
Money Market Fund
1/1/98 - 6/30/98 (unaudited) . . . $1.000 $0.024 $0.000 $0.024
1/1/97 - 12/31/97 . . . . . . 1.000 0.049 0.000 0.049
1/1/96 - 12/31/96 . . . . . . 1.000 0.047 0.000 0.047
1/1/95 - 12/31/95 . . . . . . 1.000 0.052 0.000 0.052
3/14/94 - 12/31/94 (1). . . . 1.000 0.031 0.000 0.031
- -------------------------------------------------------------------------------------------------
<CAPTION>
Distributions
Dividends in excess
from Net of Net Distributions
Investment Investment from Net
Income Income Realized Gains
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Income Fund
1/1/98 - 6/30/98 (unaudited). $0.000 $0.000 $0.000
1/1/97 - 12/31/97 . . . . . . (0.917) 0.000 (0.139)
1/1/96 - 12/31/96 . . . . . . (0.628) (0.036) (0.171)
1/1/95 - 12/31/95 . . . . . . (0.553) (0.323) (0.183)
3/14/94 - 12/31/94 (1). . . . (0.367) 0.000 0.000
- -------------------------------------------------------------------------------------
International Equity Fund
1/1/98 - 6/30/98 (unaudited). $0.000 $0.000 $0.000
1/1/97 - 12/31/97 . . . . . . (0.238) 0.000 (0.738)
1/1/96 - 12/31/96 . . . . . . (0.005) 0.000 (0.270)
1/1/95 - 12/31/95 . . . . . . (0.076) (0.344) 0.000
3/14/94 - 12/31/94 (1). . . . 0.000 0.000 0.000
- -------------------------------------------------------------------------------------
Capital Growth Fund
1/1/98 - 6/30/98 (unaudited). $0.000 $0.000 $0.000
1/1/97 - 12/31/97 . . . . . . (0.104) 0.000 (1.070)
1/1/96 - 12/31/96 . . . . . . (0.134) (0.002) (0.125)
6/13/95 - 12/31/95 (2) . . . (0.080) 0.000 0.000
- -------------------------------------------------------------------------------------
Growth and Income Fund
1/1/98 - 6/30/98 (unaudited). $0.000 $0.000 $0.000
1/1/97 - 12/31/97 . . . . . . (0.131) 0.000 (2.452)
1/1/96 - 12/31/96 . . . . . . (0.266) 0.000 (1.001)
1/1/95 - 12/31/95 . . . . . . (0.246) 0.000 (0.318)
3/14/94 - 12/31/94 (1). . . . (0.114) 0.000 (0.031)
- -------------------------------------------------------------------------------------
CORE U.S. Equity Fund
1/1/98 - 6/30/98 (unaudited). $0.000 $0.000 $0.000
1/1/97 - 12/31/97 . . . . . . (0.165) 0.000 (1.601)
1/1/96 - 12/31/96 . . . . . . (0.180) 0.000 (0.378)
1/1/95 - 12/31/95 . . . . . . (0.143) 0.000 (0.200)
3/14/94 - 12/31/94 (1). . . . (0.093) 0.000 (0.120)
- -------------------------------------------------------------------------------------
Small Cap Value Fund
1/1/98 - 6/30/98 (unaudited). $0.000 $0.000 0.000
1/1/97 - 12/31/97 . . . . . . (0.038) 0.000 (1.460)
1/1/96 - 12/31/96 . . . . . . (0.030) 0.000 (1.163)
1/1/95 - 12/31/95 . . . . . . (0.079) 0.000 (0.031)
3/14/94 - 12/31/94 (1). . . . (0.038) 0.000 (0.001)
- -------------------------------------------------------------------------------------
Money Market Fund
1/1/98 - 6/30/98 (unaudited) . . . $(0.024) $0.000 0.000
1/1/97 - 12/31/97 . . . . . . (0.049) 0.000 0.000
1/1/96 - 12/31/96 . . . . . . (0.047) 0.000 0.000
1/1/95 - 12/31/95 . . . . . . (0.052) 0.000 0.000
3/14/94 - 12/31/94 (1). . . . (0.031) 0.000 0.000
- -------------------------------------------------------------------------------------
</TABLE>
(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 Protective Life
Insurance Company ("Protective Life") and Investment Distributors Advisory
Services, Inc. ("IDASI"). Had Protective Life and IDASI 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:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Period Ended Year Ended Year Ended Year Ended Period Ended
06/30/98 12/31/97 12/31/96 12/31/95(1) 12/31/94 (2)
(a) (b) (a) (b) (a) (b) (a) (b) (a) (b)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Global Income Fund $0.236 1.20% $0.539 1.32% $0.598 1.42% $0.577 1.50% $0.320 2.12%
International Equity Fund 0.056 1.31 (0.008) 1.37 0.110 1.38 0.032 1.55 0.004 2.24
Capital Growth Fund 0.034 0.92 0.086 0.97 0.115 1.02 0.055 1.62 - -
Growth and Income Fund 0.085 0.84 0.126 0.85 0.257 0.88 0.236 0.93 0.097 1.31
CORE U.S. Equity Fund 0.069 0.84 0.162 0.86 0.166 0.91 0.125 1.01 0.055 1.81
Small Cap Value Fund 0.025 0.86 0.032 0.89 0.018 0.94 0.065 1.00 0.009 1.62
Money Market Fund 0.022 1.14 0.038 1.42 0.041 1.27 0.046 1.17 0.018 2.24
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Net Investment Income per share without reimbursement of expenses. Ratio
of operating expenses to average net assets without reimbursement of
expenses.
(b) Ratio of operating expenses to average net assets without reimbursement of
expenses.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
<TABLE>
<CAPTION>
Distributions Ratio Ratio of Net
in Excess Net Asset Net Assets of Operating Investment
of Value at End Expenses Income to Portfolio
Net Realized Total End Total of Period to Average Average Turnover
Gains Distributions of Period Return (4) (000) Net Assets (3) Net Assets Rate
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$0.000 $0.000 $10.578 4.39% $55,126 1.10%(5) 4.67%(5) 106%(6)
0.000 (1.056) 10.134 9.94 48,833 1.10 5.27 369
0.000 (0.835) 10.177 9.48 37,675 1.10 5.71 214
0.000 (1.059) 10.074 16.94 31,085 1.10 5.94 295
0.000 (0.367) 9.558 (0.74) 17,281 1.10 (5) 5.58 (5) 210 (6)
- ----------------------------------------------------------------------------------------------------------------------------
$0.000 $0.000 $14.912 19.75% $167,334 1.10%(5) 1.04%(5) 37%(6)
0.000 (0.976) 12.452 4.42 131,887 1.10 0.34 34
0.000 (0.275) 12.865 19.00 96,736 1.10 0.52 38
0.000 (0.420) 11.045 19.66 58,842 1.10 0.96 40
0.000 0.000 9.581 (4.18) 27,385 1.10 (5) 1.25 (5) 33 (6)
- ----------------------------------------------------------------------------------------------------------------------------
$0.000 $0.000 $19.243 21.64% $113,172 0.80%(5) 0.54%(5) 6%(6)
0.000 (1.174) 15.820 34.57 75,042 0.80 0.90 61
(0.048) (0.309) 12.647 22.05 30,299 0.80 1.54 35
0.000 (0.080) 10.613 6.93 10,716 0.80 (5) 2.57 (5) 5 (6)
- ----------------------------------------------------------------------------------------------------------------------------
$0.000 $0.000 $17.004 7.87% $421,068 0.80%(5) 1.09%(5) 36%(6)
0.000 (2.583) 15.762 29.84 356,503 0.80 0.88 69
0.000 (1.267) 14.183 26.82 210,587 0.80 2.11 49
0.000 (0.564) 12.197 32.29 128,076 0.80 2.36 55
(0.008) (0.153) 9.661 (1.86) 42,305 0.80 (5) 2.21 (5) 36 (6)
- ----------------------------------------------------------------------------------------------------------------------------
$0.000 $0.000 $21.764 18.23% $232,965 0.80%(5) 0.77%(5) 19%(6)
0.000 (1.766) 18.409 30.95 177,210 0.80 1.06 61
0.000 (0.558) 15.437 21.94 101,624 0.80 1.44 34
0.000 (0.343) 13.109 36.73 56,723 0.80 1.69 60
(0.002) (0.215) 9.839 0.53 17,717 0.80 (5) 2.44 (5) 56 (6)
- ----------------------------------------------------------------------------------------------------------------------------
$0.000 $0.000 $12.811 9.26% $125,420 0.80%(5) 0.47%(5) 50%(6)
0.000 (1.498) 11.726 32.20 107,984 0.80 0.38 99
0.000 (1.193) 10.022 20.22 64,433 0.80 0.31 100
(0.077) (0.187) 9.345 6.46 43,830 0.80 1.09 60
(0.023) (0.062) 8.951 (9.87) 21,813 0.80 (5) 1.07 (5) 17 (6)
- ----------------------------------------------------------------------------------------------------------------------------
$0.000 $(0.024) $1.000 2.44% $5,224 0.60%(5) 4.86%(5) N/A
0.000 (0.049) 1.000 4.96 3,622 0.60 4.84 N/A
0.000 (0.047) 1.000 4.82 6,121 0.60 4.72 N/A
0.000 (0.052) 1.000 5.32 5,070 0.60 5.19 N/A
0.000 (0.031) 1.000 3.14 3,618 0.60 (5) 3.80 (5) N/A
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(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 return for a
period of less than one year is not annualized. Total return would
have been lower had Protective Life not reimbursed certain Fund expenses.
(5) Annualized.
(6) Non-Annualized.
35
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1998 (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 shares in
seven funds: Global Income Fund, International Equity Fund, Capital Growth Fund,
Growth and Income Fund, CORE U.S. Equity Fund (formerly the Select Equity Fund),
Small Cap Value Fund (formerly the Small Cap Equity Fund) and Money Market Fund
(individually a "Fund" and collectively 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, CORE U.S. Equity Fund and Small Cap Value
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
Protective Life Insurance Company ("Protective Life") in exchange for an initial
contribution of $1,000,000. Effective May 1, 1997, the name of the Select
Equity Fund was changed to the CORE U.S. Equity Fund. Effective May 1, 1998, the
name of the Small Cap Equity Fund was changed to the Small Cap Value Fund.
The Company offers each class of its stock to separate accounts of Protective
Life and American Foundation Life Insurance Company as funding vehicles for
certain variable annuity and variable life contracts issued by Protective Life
and American Foundation Life through separate accounts.
NOTE B - SIGNIFICANT ACCOUNTING POLICIES
The accounting policies are in conformity with generally accepted accounting
principles for investment companies. The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial
statements.
USE OF ESTIMATES - The preparation of financial statements in accordance with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
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 contracts are
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
36
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
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 delay due to legal proceedings.
INVESTMENT TRANSACTIONS - Investment security transactions are recorded on trade
date. 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. Interest income, adjusted for accretion of discounts and
amortization of premiums calculated ratably, is earned from settlement date and
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 Funds as an unrealized gain or loss. A
Forward may be closed prior to the contractual settlement date by entering into
an offsetting position in the same currency with the same settlement terms. The
unrealized gain or loss resulting from the offsetting transaction is not
realized until the contractual settlement date. On the contractual settlement
date the Fund recognizes a realized gain or loss equal to the difference between
the value of the Forward when entered into and the value of the Forward on the
contractual settlement date. The Funds 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 Funds 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, to hedge the U.S. dollar
value of portfolio securities denominated in a foreign currency 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 a 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 a 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, an index's value or a foreign currency's value or to seek to increase the
Funds' total returns.
37
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
FUTURES CONTRACTS - In order to gain exposure to or protect against declines in
security values, the Funds may buy and sell futures contracts. The Funds may
also buy or write put or call options on these futures contracts. A Fund
generally sells futures contracts to hedge against declines in the value of
portfolio securities. A Fund may also purchase futures contracts to gain
exposure to market changes as it may be more efficient or cost effective than
actually buying securities. The Funds segregate assets to cover its
commitments under such futures contracts. Upon entering into a futures
contract, a Fund is required to deposit either cash or securities in an amount
(initial margin) equal to a certain percentage of the contract value.
Subsequent payments (variation margin) are made or received by the Fund each
day. The variation margin payments are equal to the daily changes in the
contract value and are recorded as unrealized gains and losses. The Funds
recognize a realized gain or loss when the contract is closed. Risks of
entering into futures contracts (and related options) include the possibility
that there may be an illiquid market and that a change in the value of the
contract or option may not correlate with changes in the value of the underlying
securities.
EXPENSES - Expenses directly attributable to a Fund are charged to that Fund.
Expenses not directly attributable to a Fund are 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, Global Income Fund,
Growth and Income Fund, Capital Growth Fund, CORE U.S. Equity Fund and Small Cap
Value Fund; and declared daily and distributed monthly for Money Market Fund.
Distributions from net realized 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. 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 for futures and options, foreign currency transactions and losses
deferred due to wash sales. 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%; CORE U.S. Equity
Fund, .80%; Small Cap Value Fund, .80%; and Money Market Fund, .60%.
In order to limit expenses, IDASI 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%; CORE U.S. Equity Fund, .80%; Small Cap Value Fund, .80%; and
Money Market Fund, .60%. IDASI may terminate its obligations to pay such
expenses upon 120 days notice to the Company. Prior to May 1, 1998, Protective
Life paid such expenses.
38
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
Goldman Sachs Asset Management acts as the investment adviser (the "Adviser") of
Capital Growth Fund, Growth and Income Fund, CORE U.S. Equity Fund, Small Cap
Value Fund and Money Market 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 $100 million, .30% of the next
$100 million, and .25% of assets in excess of $200 million; Capital Growth
Fund, Growth and Income Fund, CORE U.S. Equity Fund and Small Cap Value Fund,
.40% of the first $100 million, .30% of the next $100 million, and .20% of
assets in excess of $200 million; and Money Market Fund, .35% of the first $100
million, .25% of the next $100 million, and .15% of assets in excess of $200
million.
Directors of the Company who are not interested persons receive an annual fee of
$2,000 and $2,000 for each meeting attended.
NOTE D - INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities, for the six months ended June 30, 1998, 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 . . . . . . $ 47,029,754 $9,566,182 $33,254,705 $15,678,493
International Equity Fund. . . 64,418,742 0 53,974,071 0
Capital Growth Fund. . . . . . 24,709,403 0 5,803,014 0
Growth and Income Fund . . . . 168,682,539 0 138,507,518 0
CORE U.S. Equity Fund. . . . . 59,478,409 0 37,956,675 0
Small Cap Value Fund . . . . . 63,008,737 0 54,407,783 0
</TABLE>
Purchases and sales, including maturities, of short-term securities by the Money
Market Fund for the six months ended June 30, 1998 were $40,146,038 and
$36,273,000, 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, 1998 were as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
IDENTIFIED GROSS UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
<S> <C> <C> <C> <C>
Global Income Fund . . . . . . $54,068,317 $674,208 $686,077 $(11,869)
International Equity Fund. . . 132,924,338 42,164,710 9,187,454 32,977,256
Capital Growth Fund. . . . . . 85,086,365 29,890,392 1,259,611 28,630,781
Growth and Income Fund . . . . 392,605,924 47,601,485 21,300,764 26,300,721
CORE U.S. Equity Fund. . . . . 163,297,643 72,603,841 3,283,063 69,320,778
Small Cap Value Fund . . . . . 120,864,004 15,398,010 11,942,039 3,455,971
Money Market Fund. . . . . . . 5,573,400 0 0 0
</TABLE>
For the six months ended June 30, 1998, Goldman Sachs, the Funds' Advisor,
earned approximately $430, $1,854, $32,971, and $4,895 of brokerage commissions
from portfolio transactions executed on behalf of the International Equity Fund,
Capital Growth Fund, Growth and Income Fund, and Small Cap Value Funds,
respectively.
39
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
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;
CORE U.S. Equity Fund, 100 million shares; Small Cap Value Fund, 100 million
shares; and Money Market Fund, 100 million shares.
Transactions in shares were as follows:
<TABLE>
<CAPTION>
GLOBAL INCOME FUND GLOBAL INCOME FUND
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold or exchanged in. . 662,829 $6,894,500 1,217,747 $12,870,879
Shares issued to shareholders in
reinvestment of dividends. . 0 0 453,698 4,601,326
Shares redeemed or exchanged out (270,441) (2,810,777) (554,438) (5,860,962)
--------- ---------- ---------- -----------
Net increase . . . . . . . . . 392,388 $4,083,723 1,117,007 $11,611,243
--------- ---------- ---------- -----------
--------- ---------- ---------- -----------
<CAPTION>
INTERNATIONAL EQUITY FUND INTERNATIONAL EQUITY FUND
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold or exchanged in. . 1,198,450 $16,911,077 3,085,412 $42,023,523
Shares issued to shareholders in
reinvestment of dividends. . 0 0 774,291 9,580,537
Shares redeemed or exchanged out (568,815) (7,900,834) (787,248) (10,790,209)
--------- ---------- ---------- -----------
Net increase . . . . . . . . . 629,635 $9,010,243 3,072,455 $40,813,851
--------- ---------- ---------- -----------
--------- ---------- ---------- -----------
<CAPTION>
CAPITAL GROWTH FUND CAPITAL GROWTH FUND
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold or exchanged in. . 1,322,689 $23,583,588 2,255,062 $34,225,506
Shares issued to shareholders in
reinvestment of dividends. . 0 0 333,159 5,159,672
Shares redeemed or exchanged out (185,101) (3,295,489) (240,475) (3,654,705)
--------- ---------- ---------- -----------
Net increase . . . . . . . . . 1,137,588 $20,288,099 2,347,746 $35,730,473
--------- ---------- ---------- -----------
--------- ---------- ---------- -----------
<CAPTION>
GROWTH AND INCOME FUND GROWTH AND INCOME FUND
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold or exchanged in. . 3,113,173 $53,008,034 5,741,493 $97,578,882
Shares issued to shareholders in
reinvestment of dividends. . 0 0 3,252,805 49,930,935
Shares redeemed or exchanged out (968,531) (16,572,518) (1,223,841) (20,973,687)
--------- ---------- ---------- -----------
Net increase . . . . . . . . . 2,144,642 $36,435,516 7,770,457 $126,536,130
--------- ---------- ---------- -----------
--------- ---------- ---------- -----------
</TABLE>
40
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
CORE U.S. EQUITY FUND CORE U.S. EQUITY FUND
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold or exchanged in. . 1,464,455 $29,894,718 2,828,740 $51,406,215
Shares issued to shareholders in
reinvestment of dividends. . 0 0 859,034 15,468,892
Shares redeemed or exchanged out (386,965) (7,896,070) (644,366) (11,913,864)
--------- ---------- ---------- -----------
Net increase . . . . . . . . . 1,077,490 $21,998,648 3,043,408 $54,961,243
--------- ---------- ---------- -----------
--------- ---------- ---------- -----------
<CAPTION>
SMALL CAP VALUE FUND SMALL CAP VALUE FUND
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold or exchanged in. . 1,082,825 $13,830,602 2,449,808 $29,170,745
Shares issued to shareholders in
reinvestment of dividends. . 0 0 1,057,540 12,201,178
Shares redeemed or exchanged out (501,875) (6,360,397) (727,471) (8,626,785)
--------- ---------- ---------- -----------
Net increase . . . . . . . . . 580,950 $7,470,205 2,779,877 $32,745,138
--------- ---------- ---------- -----------
--------- ---------- ---------- -----------
<CAPTION>
MONEY MARKET FUND MONEY MARKET FUND
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1998 DECEMBER 31, 1997
------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------ ------- ------ -------
<S> <C> <C> <C> <C>
Shares sold or exchanged in. . 7,561,208 $7,561,208 9,024,876 $9,024,875
Shares issued to shareholders in
reinvestment of dividends. . 119,921 119,921 217,219 217,220
Shares redeemed or exchanged out (6,079,136) (6,079,136) (11,740,814) (11,740,814)
--------- ---------- ---------- -----------
Net increase (decrease). . . . 1,601,993 $1,601,993 (2,498,719) $(2,498,719)
--------- ---------- ---------- -----------
--------- ---------- ---------- -----------
</TABLE>
41
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
NOTE F - FORWARD FOREIGN CURRENCY CONTRACTS
At June 30, 1998, 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 6/30/98 UNREALIZED
ON ORIGINATION U.S. $ APPRECIATION
FOREIGN CURRENCY PURCHASE CONTRACTS DATE VALUE (DEPRECIATION)
- ----------------------------------- -------------- ---------- --------------
<S> <C> <C> <C>
DEM, expiring 07/16/1998-09/29/1998 (8 contracts). $3,036,808 $3,042,434 $5,626
GRD, expiring 11/10/1998 (2 contracts) . . . . . . 763,062 756,827 (6,235)
PHP, expiring 08/12/1998 (1 contract). . . . . . . 533,000 513,437 (19,563)
SGD, expiring 09/25/1998 (1 contract). . . . . . . 39,409 38,742 (667)
THB, expiring 09/22/1998 (2 contracts) . . . . . . 425,000 394,310 (30,690)
---------- ---------- --------
4,797,279 4,745,750 (51,529)
--------
FOREIGN CURRENCY SALE CONTRACTS
- -------------------------------
AUD, expiring 07/17/1998 (3 contracts) . . . . . . 2,196,560 2,315,351 (118,791)
CAD, expiring 08/24/1998 (2 contracts) . . . . . . 1,108,268 1,107,927 341
CHF, expiring 08/28/1998 (1 contract). . . . . . . 2,572,499 2,464,326 108,173
DEM, expiring 07/23/1998-11/10/1998 (4 contracts). 5,261,616 5,188,046 73,570
DKK, expiring 07/16/1998 (2 contracts) . . . . . . 3,544,486 3,480,309 64,177
ESP, expiring 09/10/1998 (1 contract). . . . . . . 2,383,306 2,341,982 41,324
FRF, expiring 07/30/1998 (2 contracts) . . . . . . 4,155,559 4,103,193 52,365
GBP, expiring 09/29/1998 (3 contracts) . . . . . . 9,702,215 9,716,569 (14,353)
ITL, expiring 08/13/1998 (2 contracts) . . . . . . 3,506,366 3,452,767 53,599
JPY, expiring 07/23/1998-09/22/1998 (3 contracts). 6,652,987 6,306,735 346,252
MYR, expiring 09/22/1998 (2 contracts) . . . . . . 425,000 369,653 55,347
SGD, expiring 08/12/1998 (1 contract). . . . . . . 888,300 857,298 31,002
---------- ---------- --------
42,397,162 41,704,156 693,006
--------
Offsetting forward currency contracts not yet
settled (23 contracts) . . . . . . . . . . . . . . (159,529)
--------
NET UNREALIZED APPRECIATION (DEPRECIATION) . . . . $481,948
--------
--------
<CAPTION>
INTERNATIONAL EQUITY FUND U.S. $ COST 6/30/98 UNREALIZED
ON ORIGINATION U.S. $ APPRECIATION
FOREIGN CURRENCY PURCHASE CONTRACTS DATE VALUE (DEPRECIATION)
- ----------------------------------- -------------- ---------- --------------
<S> <C> <C> <C>
DEM, expiring 07/23/1998-09/29/1998 (2 contracts) $9,484,149 $9,415,245 $(68,904)
FOREIGN CURRENCY SALE CONTRACTS
- -------------------------------
CHF, expiring 08/28/1998 (2 contracts) 7,704,142 7,386,473 317,669
GBP, expiring 09/29/1998 (1 contract) 2,013,393 2,042,615 (29,222)
HKD, expiring 08/10/1998 (3 contracts) 3,039,986 3,048,944 (8,958)
---------- ---------- --------
12,757,521 12,478,032 279,489
--------
Offsetting forward currency contracts
not yet settled (8 contracts). . . . . . . . 265,483
--------
NET UNREALIZED APPRECIATION (DEPRECIATION) $476,068
--------
--------
</TABLE>
GLOSSARY OF TERMS
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DEM - Deutsche Mark
DKK - Danish Krone
ESP - Spanish Peseta
FRF - French Franc
GBP - Great British Pound
GRD - Greek Drachma
HKD - Hong Kong Dollar
ITL - Italian Lira
JPY - Japanese Yen
MYR - Malaysian Ringgit
PHP - Philippine Peso
SGD - Singapore Dollar
THB - Thailand Baht
USD - United States Dollar
42
<PAGE>
(THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY.)
43
<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
Richard J. Bielen, VICE PRESIDENT AND COMPLIANCE OFFICER, DIRECTOR
Jerry W. DeFoor, VICE PRESIDENT AND CHIEF ACCOUNTING OFFICER
John O'Sullivan, TREASURER
Steve M. Callaway, SECRETARY
---------------
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 insurance and
annuity contracts.
