<PAGE>
[COVER MAP]
<PAGE>
PERFORMANCE AND PORTFOLIO REVIEW BY FUND
PROTECTIVE GLOBAL INCOME FUND(4)
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
PERFORMANCE REVIEW--Over the six-month period ended June 30, 1999, the Fund
generated a -1.61% 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 -0.25%.
The greatest contributor to under performance was the Fund's underweight
Japanese bond allocation. Despite ongoing fears of further fiscal stimulus (and
therefore increased bond supply) the Bank of Japan continued to supply liquidity
to the market, driving short interest rates, (I.E. 1 year or less), to below 10
basis points. This liquidity found its way progressively along the yield curve,
as banks took the opportunity to purchase longer dated bonds--thereby driving
down yields.
Also contributing to under-performance was the dramatic flattening in the U.S.
yield curve between 10 and 30 year maturities. Unfortunately, the positive
impact of the Fund's underweight duration position in the U.S. was more than
offset by the negative impact of the flattening yield curve, as portfolios were
overweight in the 10-year sector relative to the 30-year sector.
PORTFOLIO HIGHLIGHTS
- - U.S. INFLATION PROTECTED BONDS (TIPS): In January, we took the opportunity to
acquire some TIPS for the Fund in preference to U.S. Treasuries. This trade
proved beneficial, as we correctly predicted that implied inflation was too
low to be consistent with stronger growth and recovering energy prices.
Although real yields on these securities did rise marginally, these
securities outperformed Treasuries, as implied inflation increased from 0.9%
to 2.15%.
- - NORWEGIAN BONDS: The portfolio's holding in Norwegian bonds benefited the
portfolio, as the spread relative to the Euro benchmark curve narrowed
considerably. Having originally implemented the trade at 147 basis points
over the spread, it eventually narrowed to 81 basis points before closing the
position. The outperformance followed an announcement by Norwegian government
that increased the chance of further rate cuts.
- - SHORT-TERM U.S. TREASURIES: Although this position was damaged by the
flattening of the U.S. Treasury yield curve witnessed in June, overall, the
decision to underweight Treasuries has been beneficial.
OUTLOOK
Continued benign inflation and tentative signs of a slowing U.S. economy have
reduced the chance of Federal Reserve tightening in August, which should benefit
Treasuries. Over the longer term, we believe that the U.S. economy will remain
strong, and that could dampen sentiment for Treasuries.
In Europe, while we agree that the economy will start to recover in the second
half of 1999, inflation remains very well behaved. Market sentiment is currently
fragile and European bonds are unlikely to rally substantially without a
sustainable recovery of euro currency. However the 100 basis points of rate
hikes priced into the curve by this time next year seems too pessimistic in our
view. As a result, we have taken the opportunity to place a small Europe-U.S.
relative value trade for the portfolio, based on the relative economical
fundamentals of U.S. and Europe. We will consider a larger position if the Euro
starts to appreciate. The European Central Bank is likely to continue to provide
an accommodative monetary background to protect the moderate pace of economic
recovery currently in evidence.
In Japan, we continue to see a very accommodative fiscal and monetary policy
framework. This is causing Japanese government bonds to trade in a specific
range, though volatility remains high.
- ------------
(1,4) Please see page 11 for disclosures.
2
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
BOND ALLOCATION AS OF JUNE 30, 1999*
<TABLE>
<CAPTION>
<S> <C>
PERCENTAGE OF
COUNTRY OF ISSUER NET ASSETS
United States..................................... 19.8%
Germany........................................... 16.3
Japan............................................. 14.8
United Kingdom.................................... 12.0
France............................................ 11.8
Italy............................................. 4.2
Canada............................................ 2.7
Denmark........................................... 2.0
The Netherlands................................... 1.5
Sweden............................................ 1.2
</TABLE>
Goldman Sachs Fixed Income Portfolio Management Team
July 29, 1999
- ------------
* Please see page 11 for disclosures.
3
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND(3)
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
PERFORMANCE REVIEW -- Over the six-month period ended June 30, 1999, the Fund
generated a 3.12% 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 5.34%.
The Portfolio's underperformance versus its benchmark was due to sector and
asset allocation strategies. The Portfolio was hurt by its underweight position
in Japan and Asia in favor of the weaker-performing European market. And
performance was further muted due to a strong shift in investor sentiment from
growth to value and other cyclical issues as the year progressed.
In Europe, most equity markets rebounded to start the year, as most central
banks lowered interest rates to facilitate convergence in advance of the
monetary union. In addition, countries like France, Italy and Germany used lower
interest rates as a means to improve consumer and business confidence to try to
stave off a recession. The euphoria surrounding the launch of the euro was short
lived, as the markets retreated on news of the peso devaluation, rising U.S.
interest rates and data indicating sluggish production in much of the region.
The Japanese market advanced strongly during the period on the back of improved
investors sentiment. Expectations for earnings recovery in the late 1998 were
substantially enhanced by a number of statistics indicating that the worst was
behind us.
Asian stocks produced strong results, as signs pointed to economies in the
region rebounding much faster than anticipated. Investors who were previously
underweight in the region moved to increase their exposure, creating an
attractive investment environment.
PORTFOLIO HIGHLIGHTS
- - SHIN-ETSU CHEMICAL: Shin-Etsu Chemical, 1.2% of net assets, is one of the
leading manufacturers of semiconductor silicon wafers and PVC (polyvinyl
chloride). Its wafer sales are recovering and are expected to buttress their
profits for the next few years. In addition, their valuations are reasonable
compared to those of many other cyclicals.
- - CHINA TELECOM: One of the key portfolio holdings in Asia is China Telecom,
0.4% of net assets. Listed on the Hong Kong stock exchange, China Telecom is
the dominant provider of mobile phone services in mainland China. The firm
has over 90% market share in the three provinces it operates in, and
continues to grow new subscriptions at a remarkable rate. Looking ahead, a
rumored bond issue is likely to be used to acquire providers in other parts
of China, extending China Telecom's dominance.
- - STMICROELECTRONICS: STMicroelectronics, 1.1% of net assets, a French
semiconductor producer, has appreciated 93% during the first half of the
year. This company is one of the largest leading independent semiconductor
producers globally and, as such, has benefited from an upturn in the
semiconductor cycle. The company has a diverse portfolio of products, with a
focus on semi-custom devices and micro-controllers. These products are
produced in conjunction with customers, thereby reducing the company's
vulnerability to competitive pressures.
OUTLOOK
EUROPE -- We continue to invest in quality stocks that we believe are
undervalued and have strong growth opportunities. Such stocks are located in a
wide variety of sectors. At present, the most favored sector is
telecommunications, where both technological advance and consolidation on both a
European and global level are proceeding at a rapid pace. In addition, certain
electronic, service and leisure companies remain favored selections. While the
sector rotation towards value stocks has made the past quarter challenging, we
continue to believe in the structural growth of the aforementioned sectors.
JAPAN -- For the time being, we remain cautious on the market, given the recent
rally and the concerns of equity valuations. Based on the current price levels,
the market seems to have discounted much of the earnings recovery expected to
materialize in late 1999. On a positive note, many companies are in the process
of implementing restructuring plans
- ------------
(1,3) Please see page 11 for disclosures.
4
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
that they announced several months back--the benefits of which could improve
earnings. Key to the sustainability of market strength in Japan will be the
profit trend in coming years. If we become convinced of the sustainability of
corporate earning growth next year onward and beyond, we may need to revise our
stance.
ASIA -- Our outlook on Asia as a region has improved, although it is important
to note that intra-regional discrepancies still exist. We believe that several
countries have "bottomed out" and are now showing signs of recovery following
the crises of 1998. On a cautious note, we recognize that a recovery in Asia is
very dependent on the continued strength of the U.S. market. Consequently, we
will be closely monitoring all economic data coming out of the U.S. in an effort
to determine its impact on the Asian markets.
PORTFOLIO COMPOSITION--TOP 10 PORTFOLIO HOLDINGS AS OF JUNE 30, 1999*
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PERCENTAGE OF
COMPANY COUNTRY LINE OF BUSINESS NET ASSETS
Vodafone Group PLC United Kingdom Telecommunications................. 2.4%
Glaxo Wellcome PLC United Kingdom Pharmaceuticals.................... 2.0
Nokia OYJ Finland Telecommunications................. 1.9
British Telecommunications PLC United Kingdom Telecommunications................. 1.8
UBS AG Switzerland Major Regional Banks............... 1.8
Skandia Forsakings AB Sweden Financial Services................. 1.8
Ericsson LM Telephone Sweden Telephone.......................... 1.8
VNU N.V. The Netherlands Publishing -- Newspapers........... 1.8
Rhone-Poulenc SA France Drugs & Health Care................ 1.8
Securitas AB Sweden Business Services.................. 1.7
</TABLE>
Goldman Sachs International Equity Portfolio Management Team
July 29, 1999
- ------------
* Please see page 11 for disclosures
5
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND(4)
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW -- Over the six-month period ended June 30, 1999, the Fund
generated a 12.95% 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 12.38%.
The Fund's outperformance was noteworthy, as it occurred during a period when
investors rotated out of larger-cap growth stocks in favor of smaller-cap
issues. The Fund's selective positions in the technology sector also aided
performance. Overall, the Fund was able to capture solid gains in the sector,
while avoiding some of the volatility that occurred during the period.
PORTFOLIO HIGHLIGHTS
- - AES CORP. -- The Fund's holding in AES Corp. was beneficial throughout the
reporting period. AES is the leading developer, owner and operator of
independent power plants and electric utilities worldwide. Early in the year
the company was aided by receding fears of a global financial crisis. And, as
investor sentiment shifted to more cyclical issues during the second quarter,
AES was able to build on its strong performance record.
- - MICROSOFT AND CISCO SYSTEMS -- The Fund's technology holdings have continued
to perform strongly. Our strategy is to focus on technology companies that
have dominant market share, long product lifecycles and recurring revenues.
Our holdings in Microsoft and Cisco Systems fit the bill perfectly, and they
are two very solid holdings for the Fund thus far in 1999.
OUTLOOK
Though the Fund's management team neither makes nor relies on economic forecasts
to make investment decisions, it is generally bullish on the U.S. economy. Over
the last decade, global communication has increased, resulting from significant
technological advances as well as a generally peaceful world political
environment. The management team believes that this trend, combined with
favorable demographic trends, will benefit U.S. companies over the long term.
More fundamentally, however, the team continues to focus on the core business
characteristics which provide a foundation for long-term growth, such as
strength of franchise, quality of management, and free cash flow, along with
favorable demographic trends. The team believes that the enduring competitive
advantage of the companies it owns -- based on the criteria mentioned above --
have the potential to withstand even an uncertain market environment.
PORTFOLIO COMPOSITION--TOP 10 PORTFOLIO HOLDINGS AS OF JUNE 30, 1999*
<TABLE>
<CAPTION>
<S> <C> <C>
PERCENTAGE OF
COMPANY LINE OF BUSINESS NET ASSETS
Microsoft Corp. Computer Software & Services............ 3.9%
AT&T Corp.-Liberty Media Group Telecommunications...................... 3.1
General Electric Co. Diversified Manufacturing............... 2.7
AES Corp. Electric Utilities...................... 2.6
Time Warner, Inc. Diversified Operations.................. 2.5
Bristol Myers Squibb Co. Drugs & Health Care..................... 2.3
Qualcomm, Inc. Telecommunications...................... 2.2
Pfizer, Inc. Drugs & Health Care..................... 2.1
Cisco Systems, Inc. Computer Hardware/Software & Services... 2.0
State Street Corp. Financial Services...................... 2.0
</TABLE>
Goldman Sachs Growth Equity Investment Management Team
July 29, 1999
- ------------
(1,4,*) Please see page 11 for disclosures
6
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND(4)
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW--Over the six-month period ended June 30, 1999, the Fund
generated an 11.76% 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 12.38%.
The last six months have been a study in contrasts in the U.S. equity market and
for the Fund. During the first quarter of 1999 the stock market rose, but the
rally was extremely narrow--limited mostly to a few very large growth companies
and the technology sector. In contrast, the Fund's strategy is to invest
primarily in companies whose share prices appear discounted relative to
long-term value due to near-term uncertainty or pessimism in the marketplace. As
a result of this value bias, the Fund underperformed the S&P 500 Index during
the first quarter.
However, in April we saw a reversal of fortune, as investors abruptly shifted
gears and took a renewed interest in economically sensitive and generally less
expensive stocks. This dramatic change continued throughout the second quarter,
and during that period the Fund's 10.09% return handily outperformed its
benchmark's return of 7.05%.
The Fund received positive contributions from many of its stock selections. For
example, our energy holdings significantly outperformed the market and other
stocks in the industry. We built up a significant position in the energy sector
early in the year due to our view that oil stocks reflected unsustainable low
oil prices. As oil prices began to rise in March several of the Fund's
oil-related stocks contributed solid gains to the portfolio. Successful stock
selection in forest products, motor vehicles and drugs also fueled performance
in the first six months of the year. We took advantage of strong performance to
take profits from Georgia Pacific Corp., which benefited from a rebound in
pricing outlook and forecasts of substantially higher earnings in the near term.
Among autos, LucasVarity was acquired; this boosted the stock past our target
price. Finally, we benefited from pharmaceutical holdings such as Bristol Myers
Squibb, Eli Lilly (0.3% of net assets) and Warner Lambert.
PORTFOLIO HIGHLIGHTS
- - FEDERATED DEPARTMENT STORES--Federated has been a strong performer for the
Fund. It has benefited from the strong economy and sales that have exceeded
industry expectations. Federated was also aided by investor optimism
regarding the benefits of its recent acquisition of Fingerhut and its
developing electronic commerce strategy.
- - AT&T CORPORATION--AT&T's stock had become discounted due to concern whether
it would engage in a bidding war for MediaOne's cable assets. In early May,
Comcast withdrew its competitive bid and AT&T's stock rose sharply,
benefiting the performance of the Fund. We believe the company still has
significant oppor-
tunity to improve its margins and that many investors are still
underestimating the long-term earnings potential of the company.
- - PHILIP MORRIS COMPANIES--Philip Morris experienced a number of setbacks early
in the year due to regulatory and legal issues. However, its stock rebounded
following settlements of various lawsuits. The company's stock performance is
still tied to investor sentiment regarding litigation exposure. However, we
believe that investors have overestimated the ultimate financial impact of
liabilities to which tobacco companies will be subject. And we believe that
Philip Morris still trades at a deep discount to the long-term value of its
generous cash flow, even when figuring substantial future liabilities into
our estimates.
OUTLOOK
We continue to improve the Fund's level of diversification and liquidity in
order to provide returns more consistent with its peer group and the S&P 500
Index. Within this risk management framework, we maintain a value orientation
and hope to continue to add value through stock selection and fundamental
research. We believe that our holdings, which collectively sell at a discount to
the S&P 500, offer both a margin of downside protection and significant upside
return potential over the business cycle.
- ------------
(1,4) Please see page 11 for disclosures
7
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PORTFOLIO COMPOSITION--TOP 10 PORTFOLIO HOLDINGS AS OF JUNE 30, 1999*
<TABLE>
<CAPTION>
<S> <C> <C>
PERCENTAGE OF
COMPANY LINE OF BUSINESS NET ASSETS
Philip Morris Cos., Inc. Tobacco................................. 2.8%
Bank of America Corp. Banks................................... 2.5
First Union Corp. Banks................................... 2.4
Bank One Corp. Banks................................... 2.4
General Motors Corp. Automobile.............................. 2.3
Browning-Ferris Industries, Inc. Environmental Control................... 2.2
AT&T Corp. Telecommunications...................... 2.2
Federated Department Stores, Inc. Retail.................................. 2.1
Royal Dutch Petroleum Co. Oil..................................... 2.0
GTE Corp. Telecommunications...................... 1.9
</TABLE>
Goldman Sachs Value Management Team
July 29, 1999
- ------------
* Please see page 11 for disclosures
8
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW--Over the six-month period ended June 30, 1999, the Fund
generated a 13.50% cumulative total return.(1) Over the same time period the
Fund's benchmark, the Standard & Poor's 500 Index (with dividends reinvested)
generated a 12.38% cumulative total return.
The CORE strategy is a well-defined investment process that has historically
provided consistent, risk-managed performance. The diversification of our models
typically adds value, because when one theme doesn't work, others usually do.
For example, when momentum stocks underperform, value stocks typically advance
more than average.
The Fund's investment process and diversification of themes were key benefits
during the reporting period, as we experienced dramatic shifts in investor
sentiment. During the first quarter of the year the stock market's rally was
extremely narrow, limited mostly to a few very large growth companies and the
technology sector. Early in the second quarter, investors rotated assets into
value-oriented, smaller-cap and cyclical issues, but again favored large-cap
growth by the time the quarter ended. In the first quarter, the momentum theme
of our quantitative process helped us to select winning stocks, although as the
market's preferences shifted, these results were difficult to maintain. Overall,
during the first six months of the year the Fund was able to outperform its
benchmark by 112 basis points.
OUTLOOK
Despite a period of shifting investor preference and above average return
dispersion (the difference between the best- and worst-performing stocks), the
Fund's investment process led to excess returns during the period, as it has
done in the past. Going forward, we continue to believe that cheaper stocks
should outpace more expensive ones, good momentum stocks should do better than
poor momentum stocks, and lower-risk stocks should perform better than higher
risk stocks. As such, we anticipate remaining fully invested and expect that the
value we add over time will be due to stock selection, as opposed to sector or
size allocations.
PORTFOLIO COMPOSITION--TOP 10 PORTFOLIO HOLDINGS AS OF JUNE 30, 1999*
<TABLE>
<CAPTION>
<S> <C> <C>
PERCENTAGE OF
COMPANY LINE OF BUSINESS NET ASSETS
Microsoft Corp. Computer Software & Services............ 5.0%
International Business Machines, Inc. Computer Hardware/Software & Services... 3.3
Exxon Corp. Oil..................................... 3.3
General Electric Co. Diversified Manufacturing............... 3.1
Eastman Kodak Co. Photography............................. 2.3
AT&T Corp. Telecommunications...................... 2.3
Bank of America Corp. Banks................................... 2.1
Cisco Systems, Inc. Computer Hardware/Software & Services... 1.8
American International Group, Inc. Insurance............................... 1.8
Providian Financial Corp. Financial Services...................... 1.8
</TABLE>
Goldman Sachs Quantitative Equity Management Team
July 29, 1999
- ------------
(1,*) Please see page 11 for disclosures
9
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND(2,4)
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PERFORMANCE REVIEW
Over the six-month period ended June 30, 1999, the Fund generated a cumulative
total return of 14.13%.(1) Over the same time period, the Fund's benchmark, the
Russell 2000 Index, generated a 9.28% cumulative total return.
In the first quarter, small cap stocks continued to underperform the broader
market, which was being led by a short list of large and liquid growth and
technology stocks. By the end of the first quarter the Russell 2000 Index was
selling at a 39% price-to-earnings discount to the S&P 500 Index, while, on
average, it has sold at a price-to-earnings premium over the past two decades.
Then, during the second quarter the Fund experienced substantial broad-based
gains and enjoyed double-, and in some cases even triple-digit returns, from our
holdings. There were many drivers behind the turnaround. Monetary easing by
central banks around the globe mitigated liquidity concerns surrounding the 1998
financial crises and restored investor confidence in both domestic and global
growth. Signs of global economic strength inspired investors to venture towards
discounted segments of the market such as economically-sensitive industrials,
value stocks and small cap names. During the second quarter the Fund's 25.4%
return substantially outperformed the 15.6% return of its benchmark.
Year-to-date, the Fund is outperforming its benchmark by 485 basis points.
PORTFOLIO HIGHLIGHTS
- - INACOM, a provider of information services and products, was plagued with
integration issues in the first quarter following its February acquisition of
Vanstar. However, subsequent improvements in volume growth became apparent
and the stock appreciated 63% during this most recent quarter.
- - CMP GROUP, a Fund utility holding, recently sold its generation assets,
boasted attractive cash reserves and became the acquisition target of Energy
East Corp. Though the companies have not yet completed regulatory procedures
for the acquisition, the announced deal caused the stock to rise
substantially.
- - UCAR INTERNATIONAL, a leading manufacturer of graphite and carbon electrodes
for steel and aluminum production, rallied as confidence in global steel
production improved during the second quarter. Cost-cutting has enabled the
company to achieve the lowest production costs in the industry, and with its
competitors cutting capacity, UCAR could stand to benefit from improved
demand and pricing.
OUTLOOK
In recent months, we were reassured to see the Fund's value strategy perform up
to expectations. As in the past, we have seen investors overreact to uncertainty
or temporary disappointments and drive stock prices and valuations to
unsustainably low levels. When stocks are priced according to such low
expectations, they are more likely to possess limited downside with significant
upside, and these are the investment opportunities for which we search. During
such times, even modest improvements in market conditions or fundamentals can
prompt sharp rebounds, as we saw with many of our holdings. Despite a tremendous
recovery in the second quarter, we believe that significant upside potential
remains in several of our holdings and in the overall portfolio. We believe the
Fund remains significantly discounted relative to both its universe and to large
cap stocks.
<TABLE>
<CAPTION>
FUND RUSSELL 2000 S&P 500
--------- ------------- -----------
<S> <C> <C> <C>
P/E TRAILING 12 MO. 15.7x 27.8x 32.8x
P/E 1 YR. FORECAST 14.3x 20.1x 26.2x
PRICE/BOOK 1.9x 2.4x 5.2x
</TABLE>
We will continue with our disciplined first-hand fundamental research process:
to seek out the neglected and misunderstood companies that we believe possess
the potential to deliver superior long-term returns.
- ------------
(1,2,4) Please see page 11 for disclosures.
10
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND
MANAGED BY GOLDMAN SACHS ASSET MANAGEMENT
PORTFOLIO COMPOSITON--TOP 10 PORTFOLIO HOLDINGS AS OF JUNE 30, 1999*
<TABLE>
<CAPTION>
<S> <C> <C>
PERCENTAGE OF
COMPANY LINE OF BUSINESS NET ASSETS
InaCom Corp. Computer Software & Services............ 2.7%
Pacific Century Financial Corp. Banks................................... 2.6
General Semiconductor, Inc. Semiconductors.......................... 2.6
CMP Group, Inc. Electric Utilities...................... 2.5
ESG Re Ltd. Insurance............................... 2.5
Burlington Industries, Inc. Textiles................................ 2.3
UCAR International, Inc. Steel................................... 2.3
PXRE Corp. Insurance............................... 2.1
Mortons Restaurant Group, Inc. Restaurants............................. 2.0
Quest Diagnostics, Inc. Drugs & Health Care..................... 2.0
</TABLE>
Goldman Sachs Value Management Team
July 29, 1999
- ---------------
* OPINIONS EXPRESSED REPRESENT OUR PRESENT OPINIONS ONLY. REFERENCE TO
INDIVIDUAL SECURITIES 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, REFERENCES 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) Results represent past performance and do not indicate future results. The
value of an investment and the return on an investment will fluctuate, and
redemption proceeds may be higher or lower than an investor's original cost.
Total return is calculated assuming a purchase of shares at net asset value
per share on the last day of the prior 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.
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 reflect any fees and charges imposed in
connection with a variable annuity or variable life insurance contract. If the
performance information included the effect of these charges or had Protective
Life Insurance Company or Protective Investment Advisors, Inc. not reimbursed
certain Fund expenses, total returns would be lower.
(2) The stocks of smaller companies are often associated with higher risks and
greater volatility than stocks of larger companies. At times the funds may
be unable to sell certain of its portfolio securities without a substantial
drop in price, if at all.
(3) Emerging market securities are volatile. They are subject to substantial
currency fluctuations and sudden economic and political developments. At
times, the Fund may be unable to sell certain of its portfolio securities
without a substantial drop in price, if at all.
(4) The Fund's foreign investments may be more volatile than an investment in
U.S. securities and are subject to the risks of currency fluctuations and
political developments.
11
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ----------------------------------- ---------- ------------
<S> <C> <C> <C>
CORPORATE BONDS--31.4%
CANADA--0.5%
North America Capital Corp.
8.250%, 11/17/2003.............. GBP 200 $ 328,400
------------
FRANCE--0.4%
Credit National Interfinance BV
7.000%, 11/14/2005.............. USD 300 294,355
------------
GERMANY--5.2%
Baden-Wuerttembergishe Bank AG
5.375%, 02/05/2010.............. DEM 2,000 1,081,890
Bayerische Landesbank Girozent
6.625%, 06/25/2007.............. USD 1,800 1,774,440
LB Rheinland-Pfalz Girozent
5.750%, 10/16/2003.............. EUR 511 561,656
------------
3,417,986
------------
JAPAN--6.3%
Asian Development Bank
5.625%, 02/18/2002.............. JPY 200,000 1,868,144
European Investment Bank
2.125%, 09/20/2007.............. JPY 120,000 1,020,796
International Bank for
Reconstruction & Development
5.250%, 03/20/2002.............. JPY 80,000 743,450
5.750%, 02/06/2008.............. USD 200 188,165
2.000%, 02/18/2008.............. JPY 40,000 339,131
------------
4,159,686
------------
SPAIN--0.6%
Instituto De Credito Official
6.000%, 05/19/2008.............. USD 400 381,433
------------
THE NETHERLANDS--1.5%
Nederlandse Waterschapsbank
6.125%, 02/13/2008.............. USD 1,000 954,731
------------
UNITED KINGDOM--5.3%
Abbey National Treasury
8.000%, 04/02/2003.............. GBP 700 1,168,319
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ----------------------------------- ---------- ------------
<S> <C> <C> <C>
</TABLE>
UNITED KINGDOM--(CONTINUED)
<TABLE>
<S> <C> <C> <C>
B.A.T. International Finance
4.875%, 02/25/2009.............. EUR 500 $ 486,358
Bank Nederlandse Gemeenten N.V.
6.375%, 03/30/2005.............. GBP 300 480,147
Cable & Wireless PLC
6.500%, 12/16/2003.............. USD 400 393,634
Diageo Capital PLC
6.000%, 03/27/2003.............. USD 200 194,720
Imperial Tobacco
Group PLC
7.125%, 04/01/2009.............. USD 400 377,320
Royal Bank of Scotland
5.250%, 07/22/2008.............. DEM 800 418,110
------------
3,518,608
------------
UNITED STATES--11.6%
Ameritech Capital Fund
5.875%, 02/19/2003.............. USD 1,100 1,073,380
Associates Corp. of North America
5.800%, 04/20/2004.............. USD 400 385,476
Bank of America Corp.
6.625%, 06/15/2004.............. USD 600 601,482
Conoco, Inc.
5.900%, 04/15/2004.............. USD 400 390,312
Delphi Automotive Systems Corp.
6.125%, 05/01/2004.............. USD 500 486,235
Ford Motor Credit Co.
6.125%, 04/28/2003.............. USD 700 690,158
Highwoods Realty LP
6.750%, 12/01/2003.............. USD 300 289,617
Household Finance Corp.
6.125%, 02/27/2003.............. USD 600 575,899
MEPC Finance, Inc.
7.500%, 05/01/2003.............. USD 500 513,615
Merrill Lynch & Co., Inc.
6.000%, 02/12/2003.............. USD 400 394,252
Prudential Insurance Company of
America
6.375%, 07/23/2006.............. USD 600 571,440
Sprint Capital Corp.
6.375%, 05/01/2009.............. USD 800 751,145
TRW Inc.
7.125%, 06/01/2009.............. USD 600 582,720
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ----------------------------------- ---------- ------------
<S> <C> <C> <C>
CORPORATE BONDS--(CONTINUED)
UNITED STATES--(CONTINUED)
Tyco International Ltd.
6.125%, 11/01/2008.............. USD 400 $ 373,292
------------
7,679,023
------------
TOTAL CORPORATE BONDS--
(Cost $21,505,904) 20,734,222
------------
GOVERNMENT AND AGENCY SECURITIES--53.9%
CANADA--2.1%
Ontario Hydro
6.100%, 01/30/2008.............. USD 1,000 957,900
Province of Quebec
5.750%, 02/15/2009.............. USD 500 457,900
------------
1,415,800
------------
DENMARK--1.9%
Kingdom of Denmark
8.000%, 05/15/2003.............. DKK 8,000 1,261,013
------------
FRANCE--11.1%
Government of France
4.500%, 07/12/2003.............. EUR 4,700 4,961,344
8.500%, 04/25/2023.............. EUR 1,600 2,334,617
------------
7,295,961
------------
GERMANY--10.8%
Federal Republic of Germany
4.500%, 08/19/2002.............. EUR 2,400 2,534,870
5.250%, 01/04/2008.............. EUR 2,300 2,509,021
6.250%, 01/04/2024.............. EUR 1,800 2,060,965
------------
7,104,856
------------
ITALY--4.1%
Republic of Italy
4.500%, 04/15/2001.............. EUR 1,500 1,577,700
5.125%, 07/29/2003.............. JPY 80,000 772,544
6.750%, 07/01/2007.............. EUR 300 347,738
------------
2,697,982
------------
JAPAN--8.2%
Government of Japan
0.900%, 12/22/2008.............. JPY 720,000 5,412,053
------------
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ----------------------------------- ---------- ------------
<S> <C> <C> <C>
NEW ZEALAND--0.4%
New Zealand Government
8.000%, 11/15/2006.............. NZD 500 $ 287,333
------------
SWEDEN--1.2%
Kingdom of Sweden
9.000%, 04/20/2009.............. SEK 5,000 764,560
------------
UNITED KINGDOM--6.4%
U.K. Treasury
9.500%, 10/25/2004.............. GBP 1,600 2,982,087
7.750%, 09/08/2006.............. GBP 700 1,254,209
------------
4,236,296
------------
UNITED STATES--7.7%
Federal National Mortgage
Association
2.125%, 10/09/2007.............. JPY 50,000 422,832
United States
Treasury Bonds
11.250%, 02/15/2015............. USD 700 1,047,809
6.750%, 08/15/2026.............. USD 1,200 1,284,744
United States
Treasury Notes
7.000%, 07/15/2006.............. USD 1,100 1,165,142
3.625%, 01/15/2008.............. USD 617 599,264
5.625%, 05/15/2008.............. USD 600 587,718
------------
5,107,509
------------
TOTAL GOVERNMENT AND AGENCY SECURITIES--
(Cost $37,254,559) 35,583,363
------------
SHORT TERM INVESTMENTS--14.7%
COMMERCIAL PAPERS--2.2%
GERMANY--0.7%
Deutsche Bank
5.150%, 01/20/2000.............. USD 500 483,166
THE NETHERLANDS--0.7%
Rabobank Nederland
5.130%, 01/20/2000.............. USD 500 483,166
UNITED STATES--0.8%
Halifax Corp.
5.140%, 01/20/2000.............. USD 500 483,166
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
PROTECTIVE GLOBAL INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ----------------------------------- ---------- ------------
<S> <C> <C> <C>
SHORT TERM INVESTMENTS--(CONTINUED)
TIME DEPOSIT--12.5%
State Street Bank and Trust Co.
Eurodollar Time Deposit
5.250%, 07/01/1999.............. USD 8,244 $ 8,244,000
------------
TOTAL SHORT TERM INVESTMENTS--
(Cost $9,701,988) 9,693,498
------------
TOTAL INVESTMENTS--
(Cost $68,462,451)--100.0% $66,011,083
------------
------------
</TABLE>
See Glossary of Terms on page 46.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ------------ ------------
<S> <C> <C>
COMMON STOCK--99.1%
AUSTRALIA--2.4%
Brambles Industries Ltd................. 18,600 $ 489,362
Broken Hill Proprietary Co. Ltd......... 14,900 172,369
Fosters Brewing Group Ltd............... 162,634 457,774
Lend Lease Corp......................... 10,360 142,058
National Australia Bank Ltd............. 47,700 788,301
News Corp............................... 45,700 389,407
Tab Corp Holdings Ltd................... 54,578 367,282
Telstra Corp. Ltd....................... 14,300 81,835
Westpac Banking Corp. Ltd............... 120,929 783,413
Woolworths Ltd.......................... 143,114 475,393
------------
4,147,194
------------
DENMARK--0.7%
ISS International Service System AS,
Class B.............................. 23,446 1,251,589
------------
FINLAND--1.9%
Nokia Oyj............................... 38,050 3,334,027
------------
FRANCE--10.8%
Accor SA................................ 2,904 728,939
Alstom.................................. 38,381 1,206,734
AXA FA.................................. 17,530 2,137,776
Carrefour Supermarche SA................ 4,434 651,338
Dexia France............................ 9,155 1,224,979
Elf Aquitaine SA........................ 8,870 1,301,140
Rhone-Poulenc SA........................ 67,329 3,075,385
SEITA................................... 35,817 2,067,630
Societe Generale........................ 11,277 1,986,695
Total SA................................ 14,023 1,808,397
Vivendi................................. 33,154 2,684,588
------------
18,873,601
------------
GERMANY--3.2%
Mannesmann AG........................... 19,487 2,906,759
Preussag AG............................. 50,337 2,703,464
------------
5,610,223
------------
HONG KONG--3.5%
Cheung Kong Holdings Ltd................ 81,000 720,362
China Telecom Ltd....................... 254,000 705,501
CLP Holdings Ltd........................ 66,000 320,702
Hang Seng Bank Ltd...................... 54,000 603,782
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ------------ ------------
<S> <C> <C>
</TABLE>
HONG KONG--(CONTINUED)
<TABLE>
<S> <C> <C>
Hong Kong & China Gas Co. Ltd........... 297,000 $ 430,651
Hong Kong Telecom Ltd................... 257,000 667,459
Hutchison Whampoa Ltd................... 145,000 1,312,898
New World Development Co. Ltd........... 184,000 551,388
Sun Hung Kai Properties Ltd............. 75,000 683,918
------------
5,996,661
------------
IRELAND--1.0%
Bank of Ireland......................... 101,953 1,713,099
------------
ITALY--1.9%
Monte dei Paschi di Siena SPA*.......... 117,370 520,261
Seat Pagine Gialle SPA.................. 1,468,223 1,248,652
Unicredito Italiano SPA................. 366,636 1,610,053
------------
3,378,966
------------
JAPAN--24.1%
Aderans Co.............................. 34,000 1,453,088
Asahi Glass Co. Ltd..................... 109,000 707,324
Bank of Tokyo Mitsubishi Ltd............ 134,000 1,908,589
Bridgestone Corp........................ 44,000 1,331,239
Canon, Inc.............................. 80,000 2,301,397
Circle K Japan Co....................... 46,800 1,949,839
Fuji Photo Film Co...................... 33,000 1,249,401
Honda Motor Co. Ltd..................... 17,000 720,923
Inaba Denkisangyo Co.................... 100 1,542
Kao Corp................................ 48,000 1,349,095
Kirin Brewery Co. Ltd................... 107,000 1,282,549
Konami Co. Ltd.......................... 11,000 454,658
Mirai Industry Co....................... 10 149
Mitsui Marine & Fire.................... 400,000 1,967,430
NEC Corp................................ 105,000 1,306,316
NGK Insulators Ltd...................... 149,000 1,556,882
Nintendo Co............................. 13,700 1,926,403
Nippon Telegraph & Telephone Corp....... 206 2,401,091
NTT Corp................................ 19 257,585
NTT Mobile Communications Network, Inc.
*.................................... 76 1,017,773
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ------------ ------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
JAPAN--(CONTINUED)
Rohm Co. Ltd............................ 15,000 $ 2,349,756
Shin-Etsu Chemical Co. Ltd.............. 61,000 2,042,242
SMC Corp................................ 15,900 1,780,979
Taisho Pharmaceutical Co. Ltd........... 27,000 892,783
Takefuji Corp........................... 21,700 2,244,085
TDK Corp................................ 20,000 1,830,206
Terumo Corp............................. 49,000 1,091,634
Toppan Forms Co. Ltd.................... 87,000 1,654,129
Yamanouchi Pharmaceutical Co. Ltd....... 70,000 2,679,177
Yoshinoya D&C Co. Ltd................... 9 162,189
------------
41,870,453
------------
NEW ZEALAND--0.1%
Telecom Corp. of New Zealand Ltd........ 44,000 188,696
------------
PORTUGAL--0.4%
Electricidade de Portugal SA............ 39,356 708,355
------------
SINGAPORE--1.2%
City Developments Ltd................... 50,000 320,212
Development Bank of Singapore Ltd....... 33,000 403,290
Natsteel Electronics Ltd................ 79,000 345,799
Singapore Airlines Ltd.................. 26,000 247,474
Singapore Press Holdings Ltd............ 28,000 477,086
Singapore Technologies Engineering
Ltd.................................. 163,000 184,835
Singapore Telecommunications Ltd........ 36,000 61,763
------------
2,040,459
------------
SPAIN--2.8%
Acerinox SA............................. 32,054 936,765
Endesa SA............................... 55,425 1,181,549
Telefonica SA........................... 58,536 2,825,809
------------
4,944,123
------------
SWEDEN--6.3%
Ericsson LM Telephone, Series B......... 98,031 3,146,831
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ------------ ------------
<S> <C> <C>
</TABLE>
SWEDEN--(CONTINUED)
<TABLE>
<S> <C> <C>
Forenings Sparbanken Sverige AB, Class
A.................................... 115,327 $ 1,630,256
Securitas AB, Class B................... 204,531 3,059,894
Skandia Forsakrings AB.................. 168,241 3,151,174
------------
10,988,155
------------
SWITZERLAND--4.5%
Nestle SA............................... 1,265 2,278,480
Novartis AG............................. 1,591 2,322,404
UBS AG.................................. 10,610 3,165,739
------------
7,766,623
------------
THE NETHERLANDS--13.3%
Benckiser N.V., Class B................. 44,513 2,374,613
Equant N.V. *........................... 17,837 1,643,822
Fortis N.V.............................. 47,187 1,456,850
Getronics N.V........................... 65,880 2,533,133
Ing Groep N.V........................... 40,011 2,165,381
Koninklijke (Royal) Philips Electronics
N.V.................................. 12,857 1,267,711
Koninklijke KPN N.V..................... 53,667 2,517,180
STMicroelectronics N.V.................. 28,246 1,880,984
TNT Post Group N.V...................... 83,303 1,987,958
VNU N.V................................. 77,784 3,107,116
Wolters Kluwer N.V...................... 54,854 2,182,686
------------
23,117,434
------------
UNITED KINGDOM--21.0%
Allied Zurich PLC....................... 193,850 2,436,810
AstraZeneca Group PLC................... 72,271 2,794,389
BP Amoco PLC............................ 130,791 2,341,970
British Telecommunications PLC.......... 191,304 3,202,387
Carlton Communications PLC.............. 138,157 1,145,470
Diageo PLC.............................. 131,105 1,377,351
General Electric Co. PLC................ 74,241 754,209
Glaxo Wellcome PLC...................... 126,372 3,511,789
Great Universal Stores PLC.............. 100,741 1,123,461
Halifax PLC............................. 162,424 1,935,518
Hays PLC................................ 87,030 917,741
HSBC Holdings PLC....................... 49,338 1,744,360
Lloyds TSB Group PLC.................... 115,921 1,574,137
Misys PLC............................... 163,438 1,398,872
Rentokil Group PLC...................... 187,489 727,003
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
PROTECTIVE INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ------------ ------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
UNITED KINGDOM--(CONTINUED)
Select Appointments Holdings PLC........ 174,745 $ 2,085,095
Shell Transport & Trading Co. PLC....... 204,777 1,536,432
Stagecoach Holdings PLC................. 267,240 955,155
Unilever PLC............................ 104,341 925,952
Vodafone Group PLC...................... 210,744 4,145,673
------------
36,633,774
------------
TOTAL COMMON STOCK-- (Cost $157,058,740)
172,563,432
------------
PREFERRED STOCK--0.7%
GERMANY--0.7%
Henkel KGAA Vorzig...................... 16,904 1,153,568
------------
TOTAL PREFERRED STOCK-- (Cost $1,341,230)
1,153,568
------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
------------
<S> <C> <C>
SHORT TERM INVESTMENT--0.2%
TIME DEPOSIT--0.2%
State Street Bank and Trust Co.
Eurodollar Time Deposit 5.250%,
07/01/1999........................... $ 362 362,000
------------
TOTAL SHORT TERM INVESTMENT--(Cost $362,000)
362,000
------------
TOTAL INVESTMENTS-- (Cost $158,761,970)--100.0%
$174,079,000
------------
------------
</TABLE>
* Denotes non-income producing security.
ANALYSIS OF INDUSTRY CLASSIFICATIONS
<TABLE>
<CAPTION>
% OF
INDUSTRY INVESTMENTS VALUE
- ---------------------------------------- ----------- ---------------
<S> <C> <C>
Airlines 0.1% $ 247,474
Alcohol 0.3 457,774
Auto Components 1.7 2,888,121
Automobile 1.4 2,501,902
Beverages 0.7 1,282,549
Broadcast Media 0.7 1,145,470
Business Services 5.3 9,299,340
Chemical Products 1.8 3,195,810
Commercial Services 0.7 1,251,589
Communication Services 1.8 3,106,592
Computer Hardware/Software & Services 3.2 5,575,828
Cosmetics 1.6 2,802,183
Diversified Operations 5.1 8,843,894
Drugs & Health Care 3.7 6,489,423
Electric Utilities 1.3 2,210,606
Electrical Equipment 0.0 1,542
Electronics 5.3 9,148,195
Electronics--Semiconductors 1.3 2,349,756
Energy 0.7 1,301,140
Engineering 0.1 184,836
Finance & Banking 3.4 5,834,276
Financial Services 10.1 17,625,237
Foods 2.2 3,818,020
Household Products 1.9 3,300,565
Insurance 2.6 4,574,586
Insurance Brokers 1.1 1,967,430
Leisure Time 0.9 1,550,879
Major Regional Banks 4.2 7,292,507
Manufacturing--Diversified 2.8 4,820,966
Media & Communications 0.2 389,407
Office Equipment & Supplies 1.3 2,301,397
Oil 1.4 2,341,970
Oil & Gas Services 1.3 2,239,048
Petroleum Services 0.9 1,536,432
Pharmaceuticals 5.7 9,878,138
Photography 0.7 1,249,401
Printing 1.0 1,654,129
Publishing--Newspapers 3.3 5,766,888
Real Estate 1.3 2,275,880
Retail 2.4 4,200,030
Steel 0.5 936,765
Telecommunications 9.1 15,783,006
Telephone 1.8 3,146,831
Tobacco 1.2 2,067,630
Toys 1.1 1,926,403
Transportation 0.6 955,155
Time Deposits 0.2 362,000
--- ---------------
TOTAL 100% $ 174,079,000
--- ---------------
--- ---------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- -------------
<S> <C> <C>
COMMON STOCK--97.6%
BANKS--3.8%
Bank of America Corp.................... 31,100 $ 2,280,019
Bank One Corp........................... 54,206 3,228,645
Citigroup, Inc.......................... 58,725 2,789,437
-------------
8,298,101
-------------
BEVERAGES--2.5%
Coca Cola Co............................ 47,800 2,987,500
PepsiCo, Inc............................ 62,100 2,402,494
-------------
5,389,994
-------------
BROADCAST MEDIA--5.6%
Cablevision Systems Corp., Class A *.... 28,400 1,988,000
CBS Corp................................ 75,300 3,270,843
Chancellor Media Corp. *................ 38,800 2,138,850
Clear Channel Communications, Inc. *.... 20,884 1,439,691
EchoStar Communications Corp., Class A
*.................................... 6,900 1,058,719
Infinity Broadcasting Corp., Class A
*.................................... 77,900 2,317,525
-------------
12,213,628
-------------
BUSINESS SERVICES--4.6%
Automatic Data Processing, Inc.......... 23,700 1,042,800
Ecolab, Inc............................. 35,300 1,539,962
First Data Corp......................... 71,000 3,474,562
Galileo International, Inc.............. 27,400 1,464,188
Service Corp. International............. 133,200 2,564,100
-------------
10,085,612
-------------
CHEMICALS--1.3%
Air Products & Chemicals, Inc........... 9,500 382,375
Du Pont (E.I.) de Nemours & Co.......... 22,800 1,557,525
Minnesota Mining & Manufacturing Co..... 11,300 982,394
-------------
2,922,294
-------------
COMPUTER HARDWARE/SOFTWARE & SERVICES--5.9%
CheckFree Holdings Corp. *.............. 14,600 402,413
Cisco Systems, Inc. *................... 68,200 4,398,900
EMC Corp. *............................. 16,500 907,500
International Business Machines, Inc.... 32,900 4,252,325
Sun Microsystems, Inc. *................ 42,300 2,913,412
-------------
12,874,550
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- -------------
<S> <C> <C>
COMPUTER SOFTWARE & SERVICES--5.6%
At Home Corp., Series A *............... 28,368 $ 1,530,099
Microsoft Corp. *....................... 94,700 8,540,756
Sterling Commerce, Inc. *............... 34,400 1,255,600
Verisign, Inc. *........................ 9,400 810,750
-------------
12,137,205
-------------
COSMETICS--1.5%
Avon Products, Inc...................... 59,100 3,280,050
-------------
DIVERSIFIED MANUFACTURING--2.7%
General Electric Co..................... 52,500 5,932,500
-------------
DIVERSIFIED OPERATIONS--2.5%
Time Warner, Inc........................ 72,900 5,358,150
-------------
DRUGS & HEALTH CARE--11.2%
American Home Products Corp............. 61,200 3,519,000
Bristol Myers Squibb Co................. 71,060 5,005,289
Eli Lilly & Co.......................... 21,200 1,518,450
Johnson & Johnson Co.................... 23,200 2,273,600
Merck & Co., Inc........................ 31,800 2,353,200
Pfizer, Inc............................. 40,900 4,488,775
Schering-Plough Corp.................... 37,000 1,961,000
Warner-Lambert Co....................... 47,500 3,295,312
-------------
24,414,626
-------------
ELECTRIC UTILITIES--2.6%
AES Corp. *............................. 96,400 5,603,250
-------------
ENVIRONMENTAL CONTROL--1.5%
Waste Management, Inc................... 59,900 3,219,625
-------------
FINANCIAL SERVICES--7.9%
Ambac Financial Group, Inc.............. 13,800 788,325
Federal Home Loan Mortgage Corp......... 62,900 3,648,200
Federal National Mortgage Assn.......... 49,900 3,411,912
MBNA Corp............................... 107,100 3,279,938
State Street Corp....................... 51,300 4,379,737
The CIT Group, Inc., Class A............ 22,100 638,138
Wells Fargo Co.......................... 26,900 1,149,975
-------------
17,296,225
-------------
FOODS--2.7%
Nabisco Holdings Corp., Class A......... 41,200 1,781,900
Ralston Purina Co....................... 81,200 2,471,525
Wrigley (WM) Jr. Co..................... 17,240 1,551,600
-------------
5,805,025
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- -------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
HOTELS--1.2%
Marriott International, Inc., Class A... 45,300 $ 1,693,088
Starwood Hotels & Resorts Worldwide,
Inc.................................. 29,200 892,425
-------------
2,585,513
-------------
HOUSEHOLD PRODUCTS--3.3%
Colgate-Palmolive Co.................... 37,100 3,663,625
Procter & Gamble Co..................... 25,100 2,240,175
The Clorox Co........................... 12,500 1,335,156
-------------
7,238,956
-------------
INSURANCE--1.9%
American International Group, Inc....... 21,365 2,501,040
Hartford Life, Inc., Class A............ 15,500 815,688
Nationwide Financial Services, Inc.,
Class A.............................. 20,900 945,725
-------------
4,262,453
-------------
MULTIMEDIA--2.2%
MediaOne Group, Inc. *.................. 52,600 3,912,125
Walt Disney Co.......................... 26,800 825,775
-------------
4,737,900
-------------
OIL--3.9%
Atlantic Richfield Co................... 5,500 459,594
Exxon Corp.............................. 20,900 1,611,912
Mobil Corp.............................. 11,100 1,098,900
Schlumberger Ltd........................ 51,200 3,260,800
Texaco, Inc............................. 27,900 1,743,750
Unocal Corp............................. 11,100 439,838
-------------
8,614,794
-------------
PUBLISHING--1.8%
Valassis Communications, Inc.*.......... 78,150 2,862,244
Ziff-Davis, Inc.--ZD *.................. 73,700 1,137,744
-------------
3,999,988
-------------
PUBLISHING--NEWSPAPERS--3.0%
A.H. Belo Corp., Series A............... 83,600 1,645,875
Central Newspapers, Inc., Class A....... 36,600 1,377,075
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- -------------
<S> <C> <C>
PUBLISHING--NEWSPAPERS--(CONTINUED)
Gannett Co., Inc........................ 21,900 $ 1,563,112
New York Times Co., Class A............. 34,900 1,284,756
Tribune Co.............................. 8,900 775,413
-------------
6,646,231
-------------
RECREATIONAL PRODUCTS/LEISURE--0.4%
Hasbro, Inc............................. 30,600 854,888
-------------
RESTAURANTS--0.5%
McDonald's Corp......................... 24,000 991,500
-------------
RETAIL--5.9%
CVS Corp................................ 18,400 933,800
Home Depot, Inc......................... 26,300 1,694,706
Tandy Corp.............................. 77,000 3,763,375
Wal-Mart Stores, Inc.................... 85,600 4,130,200
Walgreen Co............................. 81,000 2,379,375
-------------
12,901,456
-------------
SEMICONDUCTORS--1.6%
Intel Corp.............................. 57,200 3,403,400
-------------
TELECOMMUNICATIONS--9.5%
AT&T Corp.--Liberty Media Group *....... 182,100 6,692,175
Comcast Corp., Class A.................. 51,800 1,991,062
Crown Castle International
Corp. *.............................. 65,000 1,352,813
Lucent Technologies, Inc................ 29,700 2,002,894
MCI WorldCom, Inc. *.................... 47,000 4,044,937
Qualcomm, Inc........................... 33,200 4,764,200
-------------
20,848,081
-------------
TOBACCO--0.5%
Philip Morris Cos., Inc................. 28,900 1,161,419
-------------
TOTAL COMMON STOCK--
(Cost $155,943,120) 213,077,414
-------------
DEPOSITORY RECEIPTS--0.4%
OIL--0.4%
Royal Dutch Petroleum Co................ 14,100 849,525
-------------
TOTAL DEPOSITORY RECEIPTS--
(Cost $710,801) 849,525
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
PROTECTIVE CAPITAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ---------------------------------------- ---------- -------------
<S> <C> <C>
SHORT TERM INVESTMENTS--2.0%
REPURCHASE AGREEMENT--2.0%
State Street Bank and Trust Co.
4.70%, 07/01/99, maturity
value of $4,324,565, dated
06/30/99, (collateralized by
$3,075,000 United States
Treasury Bond, 13.875%,
05/15/11, with a value of
$4,416,469).......................... $ 4,324 $ 4,324,000
-------------
TOTAL SHORT TERM INVESTMENTS--
(Cost $4,324,000) 4,324,000
-------------
TOTAL INVESTMENTS--
(Cost $160,977,921)--100.0% $218,250,939
-------------
-------------
</TABLE>
* Denotes non-income producing security.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
COMMON STOCK--86.3%
AEROSPACE/DEFENSE--2.2%
Boeing Co............................... 41,100 $ 1,816,106
Northrop Grumman Corp................... 55,400 3,673,712
Raytheon Co., Class A................... 40,300 2,775,663
-------------
8,265,481
-------------
AUTO COMPONENTS--2.4%
Autozone, Inc.*......................... 33,100 997,138
Dana Corp............................... 8,400 386,925
Delphi Automotive Systems Corp.......... 235,442 4,370,392
TRW, Inc................................ 63,200 3,468,100
-------------
9,222,555
-------------
AUTOMOBILE--2.3%
General Motors Corp..................... 132,800 8,764,800
-------------
AUTO SUPPLIERS--1.7%
Federal-Mogul Corp...................... 122,200 6,354,400
-------------
BANKS--7.3%
Bank of America Corp.................... 129,500 9,493,969
Bank One Corp........................... 152,900 9,107,106
First Union Corp........................ 194,500 9,141,500
-------------
27,742,575
-------------
BROADCAST MEDIA--0.7%
CBS Corp................................ 64,900 2,819,094
-------------
BUSINESS SERVICES--0.9%
Dun & Bradstreet Corp................... 96,200 3,409,088
-------------
CHEMICALS--0.7%
Minnesota Mining & Manufacturing Co..... 32,800 2,851,550
-------------
COMPUTER HARDWARE/
SOFTWARE & SERVICES--2.1%
Compaq Computer Corp.................... 118,200 2,799,862
Hewlett Packard Co...................... 40,100 4,030,050
NCR Corp.*.............................. 21,100 1,029,944
-------------
7,859,856
-------------
DRUGS & HEALTH CARE--5.5%
American Home Products Corp............. 53,200 3,059,000
Baxter International, Inc............... 94,600 5,735,125
Eli Lilly & Co.......................... 13,700 981,263
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
</TABLE>
DRUGS & HEALTH CARE--(CONTINUED)
<TABLE>
<S> <C> <C>
Merck & Co., Inc........................ 69,300 $ 5,128,200
Pharmacia & Upjohn, Inc................. 106,600 6,056,212
-------------
20,959,800
-------------
ELECTRIC UTILITIES--6.2%
Entergy Corp............................ 179,700 5,615,625
FPL Group, Inc.......................... 66,100 3,610,713
Pacificorp.............................. 318,100 5,845,087
PG&E Corp............................... 70,900 2,304,250
Unicom Corp............................. 157,300 6,065,881
-------------
23,441,556
-------------
ELECTRICAL EQUIPMENT--1.1%
General Motors Corp., Class H........... 76,600 4,308,750
-------------
ENVIRONMENTAL CONTROL--3.3%
Browning-Ferris Industries, Inc......... 195,000 8,385,000
Waste Management, Inc................... 74,800 4,020,500
-------------
12,405,500
-------------
FINANCIAL SERVICES--2.4%
Federal National Mortgage Assn.......... 28,800 1,969,200
KeyCorp................................. 61,700 1,982,112
National City Corp...................... 27,200 1,781,600
Wells Fargo Co.......................... 75,600 3,231,900
-------------
8,964,812
-------------
FOODS--4.6%
Archer Daniels Midland Co............... 398,700 6,154,931
ConAgra Inc............................. 251,700 6,701,512
H.J. Heinz Co........................... 23,300 1,167,913
Nabisco Group Holdings Corp............. 167,200 3,270,850
-------------
17,295,206
-------------
HEALTHCARE MANAGEMENT--5.0%
Aetna, Inc.............................. 63,200 5,652,450
Columbia/HCA Healthcare Corp............ 115,300 2,630,281
HEALTHSOUTH Corp.*...................... 263,700 3,939,019
Tenet Healthcare Corp.*................. 362,300 6,725,194
-------------
18,946,944
-------------
HOTELS--1.0%
Starwood Hotels & Resorts Worldwide,
Inc.................................. 129,600 3,960,900
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
HOUSEHOLD PRODUCTS--0.1%
Unilever N.V............................ 3,760 $ 262,260
-------------
INSURANCE--6.8%
Allstate Corp........................... 155,700 5,585,738
CIGNA Corp.............................. 50,200 4,467,800
Hartford Financial Services Group,
Inc.................................. 69,600 4,058,550
Loews Corp.............................. 82,300 6,511,987
Provident Cos., Inc..................... 56,400 2,256,000
XL Capital Ltd., Class A................ 54,100 3,056,650
-------------
25,936,725
-------------
MULTIMEDIA--1.0%
MediaOne Group, Inc..................... 52,300 3,889,813
-------------
OFFICE EQUIPMENT & SUPPLIES--0.5%
Xerox Corp.............................. 34,800 2,055,375
-------------
OIL--3.2%
Atlantic Richfield Co................... 33,800 2,824,413
Exxon Corp.............................. 44,900 3,462,912
Occidental Petroleum Corp............... 136,200 2,877,225
Texaco, Inc............................. 14,900 931,250
USX-Marathon Group...................... 63,100 2,054,694
-------------
12,150,494
-------------
PAPER & FOREST PRODUCTS--0.7%
International Paper Co.................. 50,200 2,535,100
-------------
PETROLEUM SERVICES--0.5%
Tosco Corp.............................. 73,800 1,914,188
-------------
PRINTING--0.4%
R. R. Donnelley & Sons Co............... 39,300 1,456,556
-------------
PUBLISHING--NEWSPAPERS--1.0%
New York Times Co., Class A............. 104,900 3,861,631
-------------
RETAIL--5.4%
Federated Department Stores, Inc.*...... 151,600 8,025,325
May Department Stores Co................ 47,550 1,943,606
Sears Roebuck & Co...................... 36,700 1,635,444
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
</TABLE>
RETAIL--(CONTINUED)
<TABLE>
<S> <C> <C>
TJX Companies, Inc...................... 128,900 $ 4,293,981
Toys "R" Us, Inc.*...................... 220,000 4,551,250
-------------
20,449,606
-------------
SEMICONDUCTORS--1.3%
Intel Corp.............................. 81,200 4,831,400
-------------
TELECOMMUNICATIONS--10.4%
Ameritech Corp.......................... 89,400 6,570,900
AT&T Corp............................... 149,665 8,353,178
Bell Atlantic Corp...................... 86,300 5,641,862
BellSouth Corp.......................... 40,600 1,903,125
GTE Corp................................ 95,900 7,264,425
SBC Communications, Inc................. 120,300 6,977,400
U S West, Inc........................... 48,600 2,855,250
-------------
39,566,140
-------------
TEXTILES--1.5%
Sara Lee Corp........................... 250,400 5,680,950
-------------
TOBACCO--3.4%
Philip Morris Cos., Inc................. 267,100 10,734,081
R.J. Reynolds Tobacco Holdings, Inc.*... 68,433 2,155,633
-------------
12,889,714
-------------
TRANSPORTATION--0.7%
Burlington Northern Santa Fe Corp....... 80,900 2,507,900
-------------
TOTAL COMMON STOCK-- (Cost $308,906,479)
327,560,719
-------------
DEPOSITORY RECEIPTS--2.4%
AUTOMOBILE--0.3%
Volvo AB................................ 40,200 1,180,875
-------------
OIL--2.1%
Royal Dutch Petroleum Co................ 129,200 7,784,300
-------------
TOTAL DEPOSITORY RECEIPTS-- (Cost $6,840,446)
8,965,175
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
PROTECTIVE GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
SHORT TERM INVESTMENTS--11.3%
REPURCHASE AGREEMENT--10.9%
State Street Bank and Trust Co. 4.70%,
07/01/99, maturity value of
$41,483,415 dated 06/30/99,
(collateralized by $29,460,000 United
States Treasury Bond, 13.875%,
05/15/11, with a value of
$42,311,925)......................... $ 41,478 $ 41,478,000
-------------
U.S. GOVERNMENT SECURITY--0.4%
United States Treasury Bills 4.972%,
12/09/1999**......................... 1,500 1,468,068
-------------
TOTAL SHORT TERM INVESTMENTS-- (Cost $42,945,900)
42,946,068
-------------
TOTAL INVESTMENTS-- (Cost $358,692,825)--100.0%
$379,471,962
-------------
-------------
</TABLE>
OTHER INFORMATION--
At June 30, 1999, the Growth & Income Fund had open options contracts written as
follows:
<TABLE>
<CAPTION>
Expiration Number
Date/ Strike of
Call Options Price Contracts Value
- -------------------------- --------------- --------- ---------
<S> <C> <C> <C>
Cigna Corp................ Jul 99/3.34 47 $ 0
Columbia/HCA (27,706)
Health Care........... Aug 99/2.50 403
Ratheon Co................ Aug 99/3.09 83 (8,300)
---------
$ (36,006)
---------
---------
</TABLE>
At June 30, 1999, the Growth & Income Fund had open futures contracts as
follows:
<TABLE>
<CAPTION>
Unrealized
Future Expiration Contracts Market Value Gain
- --------- ---------------- --------------- ------------ -----------
<S> <C> <C> <C> <C>
S&P 500 September 1999 66 $ 22,798,050 $1,018,744
</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.
23
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
COMMON STOCK--97.8%
AEROSPACE/DEFENSE--1.0%
Honeywell, Inc.......................... 4,300 $ 498,263
United Technologies Corp................ 38,300 2,745,631
-------------
3,243,894
-------------
AGRICULTURE EQUIPMENT--0.5%
Caterpillar, Inc........................ 15,800 948,000
Deere & Co.............................. 18,600 737,025
-------------
1,685,025
-------------
AIRLINES--0.6%
AMR Corp.*.............................. 13,400 914,550
Delta Air Lines, Inc.................... 19,800 1,140,975
-------------
2,055,525
-------------
AUTOMOBILE--2.4%
Ford Motor Co........................... 71,000 4,007,062
Hertz Corp.............................. 39,300 2,436,600
Navistar International, Inc.*........... 30,000 1,500,000
-------------
7,943,662
-------------
BANKS--5.3%
Bank of America Corp.................... 91,652 6,719,237
Bank One Corp........................... 17,820 1,061,404
Chase Manhattan Corp.................... 31,800 2,754,675
Citigroup, Inc.......................... 106,700 5,068,250
Firstar Corp............................ 14,400 403,200
U.S. Bancorp............................ 34,800 1,183,200
-------------
17,189,966
-------------
BEVERAGES--0.5%
Pepsico, Inc............................ 39,000 1,508,813
-------------
BUILDING PRODUCTS--0.6%
Lowe's Companies, Inc................... 37,400 2,120,112
-------------
BUSINESS SERVICES--1.0%
Automatic Data Processing, Inc.......... 45,600 2,006,400
First Data Corp......................... 22,700 1,110,881
-------------
3,117,281
-------------
CHEMICALS--2.7%
Dow Chemical Co......................... 42,900 5,442,937
Du Pont (E.I.) de Nemours & Co.......... 25,600 1,748,800
Rohm & Haas Co.......................... 14,700 630,263
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
</TABLE>
CHEMICALS--(CONTINUED)
<TABLE>
<S> <C> <C>
Solutia, Inc............................ 45,600 $ 971,850
-------------
8,793,850
-------------
COMPUTER HARDWARE/SOFTWARE &
SERVICES--9.0%
Cisco Systems, Inc.*.................... 93,200 6,011,400
Computer Sciences Corp.................. 5,200 359,775
EMC Corp.*.............................. 33,000 1,815,000
Hewlett Packard Co...................... 22,400 2,251,200
International Business Machines, Inc.... 84,600 10,934,550
Lexmark International Group, Inc., Class
A*................................... 70,600 4,664,012
Novell, Inc.*........................... 62,500 1,656,250
Sun Microsystems, Inc.*................. 17,900 1,232,863
Unisys Corp.*........................... 14,300 556,806
-------------
29,481,856
-------------
COMPUTER SOFTWARE & SERVICES--5.6%
America Online, Inc..................... 5,800 640,900
Intuit, Inc.*........................... 3,500 315,438
Microsoft Corp.*........................ 182,400 16,450,200
Rational Software Corp.*................ 28,600 942,012
-------------
18,348,550
-------------
CONSUMER GOODS--0.6%
Fortune Brands, Inc..................... 44,000 1,820,500
-------------
DIVERSIFIED MANUFACTURING--3.1%
General Electric Co..................... 90,600 10,237,800
-------------
DIVERSIFIED OPERATIONS--2.2%
ACX Technologies, Inc.*................. 17,000 276,250
PPG Industries, Inc..................... 9,400 555,188
Seagram Co. Ltd......................... 31,200 1,571,700
Tyco International Ltd.................. 50,531 4,787,812
-------------
7,190,950
-------------
DRUGS & HEALTH CARE--10.0%
Abbott Laboratories..................... 47,200 2,147,600
Allergan, Inc........................... 22,900 2,541,900
American Home Products Corp............. 26,200 1,506,500
Amgen, Inc.*............................ 61,800 3,762,075
Bard (C.R.), Inc........................ 6,800 325,125
Bausch & Lomb, Inc...................... 17,800 1,361,700
Biogen, Inc*............................ 21,400 1,376,287
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
DRUGS & HEALTH CARE--(CONTINUED)
Bristol Myers Squibb Co................. 56,400 $ 3,972,675
Cardinal Health, Inc.................... 28,050 1,798,706
Eli Lilly & Co.......................... 10,400 744,900
Johnson & Johnson Co.................... 42,400 4,155,200
Medtronic, Inc.......................... 4,200 327,075
Merck & Co., Inc........................ 34,800 2,575,200
Pfizer, Inc............................. 31,400 3,446,150
Schering-Plough Corp.................... 42,000 2,226,000
Warner-Lambert Co....................... 4,500 312,188
-------------
32,579,281
-------------
ELECTRIC UTILITIES--1.7%
Ameren Corp............................. 53,100 2,037,712
Dominion Resources, Inc................. 17,500 757,969
Edison International.................... 43,000 1,150,250
Unicom Corp............................. 42,200 1,627,338
-------------
5,573,269
-------------
ELECTRICAL EQUIPMENT--0.9%
General Motors Corp., Class H........... 50,200 2,823,750
-------------
FINANCIAL SERVICES--5.9%
American General Corp................... 4,300 324,113
Associates First Capital Corp., Class
A.................................... 34,646 1,535,251
Bear Stearns Companies, Inc............. 7,200 336,600
Capital One Financial Corp.............. 9,000 501,187
Charles Schwab Corp..................... 40,600 4,460,925
Countrywide Credit Industries, Inc...... 19,900 850,725
Federal Home Loan Mortgage Corp......... 5,500 319,000
Merrill Lynch & Co., Inc................ 3,700 295,769
Morgan Stanley, Dean Witter, Discover &
Co................................... 38,100 3,905,250
Paine Webber Group, Inc................. 6,800 317,900
Providian Financial Corp................ 61,450 5,745,575
State Street Corp....................... 9,800 836,675
-------------
19,428,970
-------------
FOODS--1.6%
Archer Daniels Midland Co............... 32,100 495,544
Hormel Foods Corp....................... 13,100 527,275
IBP, Inc................................ 24,800 589,000
Nabisco Group Holdings Corp............. 97,400 1,905,387
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
</TABLE>
FOODS--(CONTINUED)
<TABLE>
<S> <C> <C>
Nabisco Holdings Corp., Class A......... 41,200 $ 1,781,900
-------------
5,299,106
-------------
HEALTHCARE MANAGEMENT--0.8%
Columbia/HCA Healthcare Corp............ 34,600 789,313
United HealthCare Corp.................. 20,500 1,283,812
Wellpoint Health Networks, Inc., Class
A*................................... 7,600 645,050
-------------
2,718,175
-------------
HOUSEHOLD PRODUCTS--2.5%
Procter & Gamble Co..................... 26,800 2,391,900
The Clorox Co........................... 22,300 2,381,919
Unilever NV............................. 50,535 3,524,816
-------------
8,298,635
-------------
INSURANCE--5.2%
Allstate Corp........................... 24,810 890,059
American International Group, Inc....... 50,179 5,874,079
CIGNA Corp.............................. 20,300 1,806,700
Equitable Companies, Inc................ 31,400 2,103,800
Hartford Financial Services Group,
Inc.................................. 28,800 1,679,400
Hartford Life, Inc., Class A............ 11,300 594,662
Marsh & McLennan Companies, Inc......... 16,600 1,253,300
Travelers Property Casualty Corp., Class
A.................................... 67,200 2,629,200
-------------
16,831,200
-------------
INTERGRATED OIL--0.1%
Chevron Corp............................ 3,000 285,563
-------------
LEISURE TIME--0.9%
Carnival Corp........................... 40,800 1,978,800
Royal Caribbean Cruises Ltd............. 15,200 665,000
Sabre Group Holdings, Inc., Class A*.... 5,500 378,125
-------------
3,021,925
-------------
MACHINERY--0.6%
Ingersoll-Rand Co....................... 29,300 1,893,512
-------------
METALS--0.1%
ALCOA, Inc.............................. 5,200 321,750
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
MINING--0.1%
Barrick Gold Corp....................... 18,400 $ 356,500
-------------
MULTIMEDIA--0.4%
Viacom, Inc., Class B*.................. 24,000 1,056,000
Walt Disney Co.......................... 10,543 324,856
-------------
1,380,856
-------------
OFFICE EQUIPMENT & SUPPLIES--1.0%
Xerox Corp.............................. 57,000 3,366,562
-------------
OIL--5.3%
Exxon Corp.............................. 141,200 10,890,050
Mobil Corp.............................. 34,600 3,425,400
Schlumberger Ltd........................ 40,000 2,547,500
Texaco, Inc............................. 5,200 325,000
-------------
17,187,950
-------------
PACKAGING & CONTAINERS--0.4%
Avery Dennison Corp..................... 21,200 1,279,950
-------------
PHOTOGRAPHY--2.3%
Eastman Kodak Co........................ 113,200 7,669,300
-------------
RECREATIONAL PRODUCTS/LEISURE--0.2%
Hasbro, Inc............................. 19,400 541,988
-------------
RESTAURANTS--0.5%
Tricon Global Restaurants, Inc.*........ 33,300 1,802,362
-------------
RETAIL--5.5%
Best Buy Co., Inc.*..................... 34,600 2,335,500
Circuit City Stores, Inc................ 11,300 1,050,900
CVS Corp................................ 12,400 629,300
Dayton Hudson Corp...................... 48,000 3,120,000
Federated Department Stores, Inc.*...... 34,100 1,805,169
Home Depot, Inc......................... 60,800 3,917,800
Tandy Corp.............................. 15,600 762,450
Wal-Mart Stores, Inc.................... 88,400 4,265,300
-------------
17,886,419
-------------
RETAIL--FOOD CHAINS--1.8%
Albertson's, Inc........................ 18,700 964,219
Kroger Co.*............................. 66,400 1,855,050
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
</TABLE>
RETAIL--FOOD CHAINS--(CONTINUED)
<TABLE>
<S> <C> <C>
Safeway, Inc.*.......................... 60,110 $ 2,975,445
-------------
5,794,714
-------------
SEMICONDUCTORS--2.1%
Applied Materials, Inc.*................ 27,600 2,038,950
Intel Corp.............................. 78,400 4,664,800
-------------
6,703,750
-------------
STEEL--0.3%
Bethleham Steel Corp.*.................. 66,800 513,525
Nucor Corp.............................. 6,600 313,088
-------------
826,613
-------------
TELECOMMUNICATIONS--10.9%
Ameritech Corp.......................... 34,600 2,543,100
AT&T Corp............................... 132,450 7,392,366
BCE, Inc................................ 6,500 320,531
Bell Atlantic Corp...................... 17,400 1,137,525
BellSouth Corp.......................... 83,900 3,932,812
GTE Corp................................ 58,200 4,408,650
Lucent Technologies, Inc................ 61,200 4,127,175
MCI WorldCom, Inc.*..................... 42,200 3,631,838
Qualcomm, Inc........................... 12,500 1,793,750
SBC Communications, Inc................. 27,500 1,595,000
Sprint Corp. (FON Group)................ 72,000 3,802,500
Telephone & Data Systems, Inc........... 5,100 372,619
Vodafone Airtouch Plc................... 3,550 699,350
-------------
35,757,216
-------------
TOBACCO--1.0%
Philip Morris Cos., Inc................. 58,000 2,330,875
R.J. Reynolds Tobacco Holdings, Inc.*... 32,466 1,022,690
-------------
3,353,565
-------------
TRANSPORTATION--0.2%
Burlington Northern Santa Fe Corp....... 25,400 787,400
-------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26
<PAGE>
PROTECTIVE CORE U.S. EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
UTILITIES--0.4%
KeySpan Corp............................ 26,800 $ 706,850
Public Service Enterprise Group, Inc.... 11,600 474,150
-------------
1,181,000
-------------
TOTAL COMMON STOCK-- (Cost $217,023,226)
319,689,065
-------------
DEPOSITORY RECEIPTS--1.4%
OIL--1.4%
Royal Dutch Petroleum Co................ 74,800 4,506,700
-------------
TOTAL DEPOSITORY RECEIPTS-- (Cost $3,341,456)
4,506,700
-------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<S> <C> <C>
SHORT TERM INVESTMENTS--0.8%
REPURCHASE AGREEMENT--0.7%
State Street Bank and Trust Co. 4.70%,
07/01/99, maturity value of
$2,394,313 dated 06/30/99,
(collateralized by $1,705,000 United
States Treasury Bond, 13.875%,
05/15/11, with a value of
$2,448,806).......................... $ 2,394 2,394,000
-------------
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (000) VALUE
- ---------------------------------------- --------- -------------
<S> <C> <C>
U.S. GOVERNMENT SECURITY--0.1%
United States Treasury Bills
4.745%, 12/09/1999**.................. $ 40 $ 39,149
4.904%, 12/09/1999**.................. 40 39,148
4.973%, 12/09/1999**.................. 40 39,148
-------------
117,445
-------------
TOTAL SHORT TERM INVESTMENTS-- (Cost $2,511,425)
2,511,445
-------------
TOTAL INVESTMENTS-- (Cost $222,876,107)--100.0%
$326,707,210
-------------
-------------
</TABLE>
OTHER INFORMATION--
At June 30, 1999, 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 1999 6 $2,072,550 $ 66,372
</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.
27
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- ------------
<S> <C> <C>
COMMON STOCK--92.9%
AEROSPACE--2.5%
AVTEAM, Inc., Class A*.................. 125,300 $ 916,256
TriStar Aerospace Co.*.................. 191,700 1,581,525
------------
2,497,781
------------
AGRICULTURE EQUIPMENT--2.9%
AGCO Corp............................... 85,100 962,694
Titan International, Inc................ 162,300 1,927,313
------------
2,890,007
------------
AIR FREIGHT, TRUCK & OTHER--2.8%
Allied Holdings, Inc.*.................. 111,700 907,563
Hub Group, Inc., Class A*............... 41,400 928,912
Landstar Systems, Inc.*................. 25,300 913,172
------------
2,749,647
------------
BANKS--3.2%
Pacific Century Financial Corp.......... 121,600 2,622,000
Sovereign Bancorp, Inc.................. 48,700 590,488
------------
3,212,488
------------
BUILDING CONSTRUCTION--1.6%
Stone & Webster, Inc.................... 60,300 1,605,488
------------
CHEMICALS--1.6%
Methanex Corp.*......................... 414,000 1,552,500
------------
COMMERCIAL SERVICES--0.4%
ADVO, Inc.*............................. 18,000 373,500
Opinion Research Corp.*................. 6,300 35,437
------------
408,937
------------
COMMUNICATION SERVICES--0.4%
MDC Communications Corp., Class A*...... 34,000 412,250
------------
COMPUTER HARDWARE--2.7%
Belden, Inc............................. 57,700 1,381,194
Hutchinson Technology, Inc.*............ 48,300 1,340,325
------------
2,721,519
------------
COMPUTER SOFTWARE & SERVICES--5.4%
BancTec, Inc.*.......................... 89,800 1,610,787
Black Box Corp.*........................ 9,800 491,225
InaCom Corp.*........................... 208,336 2,630,242
Progress Software Corp.*................ 22,500 635,625
------------
5,367,879
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- ------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING--3.2%
Lydall, Inc.*........................... 98,600 $ 1,133,900
Milacron, Inc........................... 48,200 891,700
Wolverine Tube, Inc.*................... 48,100 1,208,512
------------
3,234,112
------------
DRUGS & HEALTH CARE--7.5%
Haemonetics Corp.*...................... 52,100 1,045,256
HealthPlan Services Corp................ 136,000 926,500
Matria Healthcare, Inc.*................ 205,300 1,488,425
Perrigo Co.*............................ 108,700 828,838
Quest Diagnostics, Inc.*................ 71,700 1,962,787
Varian Medical Systems, Inc............. 48,400 1,222,100
------------
7,473,906
------------
EDUCATION--1.9%
Career Education Corp.*................. 54,800 1,852,925
------------
ELECTRIC UTILITIES--2.5%
CMP Group, Inc.......................... 96,100 2,516,619
------------
ELECTRICAL EQUIPMENT--1.8%
Varian, Inc.*........................... 136,000 1,836,000
------------
GAMING COMPANIES--0.7%
GTECH Holdings Corp.*................... 31,100 732,794
------------
HEALTH CARE--4.4%
American Physician Partners, Inc.*...... 164,400 1,181,625
Beverly Enterprises, Inc.*.............. 193,900 1,563,319
Foundation Health Systems, Inc.*........ 50,200 753,000
Integrated Health Services, Inc......... 104,600 836,800
------------
4,334,744
------------
HOTELS--1.9%
Prime Hospitality Corp.*................ 153,800 1,845,600
------------
INSURANCE--10.1%
ESG Re Ltd.............................. 165,500 2,482,500
Frontier Insurance Group, Inc., Class
A.................................... 64,100 985,538
Penn Treaty American Corp.*............. 45,000 1,082,812
PXRE Corp............................... 114,600 2,077,125
Radian Group, Inc....................... 28,737 1,402,725
SCPIE Holdings, Inc..................... 35,700 1,164,712
Zenith National Insurance Corp.......... 37,400 920,975
------------
10,116,387
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
PROTECTIVE SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- ------------
<S> <C> <C>
COMMON STOCK--(CONTINUED)
MACHINERY--1.8%
UNOVA, Inc.*............................ 113,900 $ 1,808,162
------------
OIL & GAS DRILLING--1.0%
Swift Energy Co.*....................... 91,200 974,700
------------
OIL REFINING--1.2%
Valero Energy Corp...................... 57,800 1,239,088
------------
PUBLISHING--NEWSPAPERS--1.3%
Lee Enterprises, Inc.................... 41,900 1,277,950
------------
REAL ESTATE--1.9%
Insignia Financial Group, Inc.*......... 93,266 979,293
RFS Hotel Investors, Inc................ 74,000 929,625
------------
1,908,918
------------
RESTAURANTS--2.1%
Avado Brands, Inc....................... 12,300 103,012
Mortons Restaurant Group, Inc.*......... 103,900 1,980,594
------------
2,083,606
------------
RETAIL--8.9%
Brookstone, Inc.*....................... 49,200 762,600
Fleming Cos., Inc....................... 97,900 1,138,088
Friedman's, Inc., Class A............... 221,500 1,924,281
J. Baker, Inc........................... 133,900 1,154,887
Movado Group, Inc....................... 54,637 1,413,732
Reebok International Ltd.*.............. 86,000 1,601,750
Syms Corp.*............................. 106,100 862,063
------------
8,857,401
------------
SEMICONDUCTORS--9.9%
General Semiconductor, Inc.*............ 281,600 2,569,600
Kemet Corp.*............................ 58,900 1,351,019
Marshall Industries*.................... 25,800 927,187
MEMC Electronic Materials, Inc.*........ 93,600 1,140,750
Silicon Valley Group, Inc.*............. 30,800 517,825
Varian Semiconductor Equipment
Associates, Inc.*.................... 91,600 1,557,200
Vishay Intertechnology, Inc............. 86,956 1,826,081
------------
9,889,662
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------------------- ---------- ------------
<S> <C> <C>
STEEL--4.0%
Carbide/Graphite Group, Inc.*........... 55,500 $ 794,344
Ispat International N.V., Class A....... 78,300 866,193
UCAR International, Inc.*............... 90,300 2,280,075
------------
3,940,612
------------
TEXTILES--2.3%
Burlington Industries, Inc.*............ 256,200 2,321,813
------------
TRANSPORTATION--1.0%
Teekay Shipping Corp.................... 55,600 979,950
------------
TOTAL COMMON STOCK-- (Cost $88,495,279)
92,643,445
------------
DEPOSITORY RECEIPTS--1.7%
MACHINERY--1.7%
Denison International PLC*.............. 113,400 1,743,525
------------
TOTAL DEPOSITORY RECEIPTS-- (Cost $1,882,837)
1,743,525
------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
----------
<S> <C> <C>
SHORT TERM INVESTMENT--5.4%
REPURCHASE AGREEMENT--5.4%
State Street Bank and TrustCo. 4.70%,
07/01/99, maturity value of
$5,337,697 dated 06/30/99,
(collateralized by $3,795,000 United
States Treasury Bond, 13.875%,
05/15/11, with a value of
$5,450,569).......................... $ 5,337 5,337,000
------------
TOTAL SHORT TERM INVESTMENT--(Cost $5,337,000)
5,337,000
------------
TOTAL INVESTMENTS-- (Cost $95,715,116)--100.0%
$99,723,970
------------
------------
</TABLE>
* Denotes non-income producing security.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
29
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL
INCOME FUND
-----------
<S> <C>
ASSETS
Investments--securities,
at value (Note B)... $66,011,083
Investments--repurchase
agreements (Note
B).................. 0
Cash, including
foreign currency at
value............... 17,261
Dividends
receivable.......... 0
Interest receivable... 1,115,834
Receivable for
securities sold..... 929,235
Unrealized
appreciation on
forward currency
contracts (Note
F).................. 772,800
Receivable for fund
shares sold......... 0
Foreign income tax
reclaim
receivable.......... 0
Receivable for
variation margin.... 0
Receivable due from
Protective
Investment Advisors
(Note C)............ 28,229
-----------
TOTAL ASSETS........ 68,874,442
-----------
LIABILITIES
Options written, at
market*............. 0
Unrealized
depreciation on
forward currency
contracts (Note
F).................. 54,254
Payable for securities
purchased........... 4,148,959
Investment management
fee payable (Note
C).................. 58,265
Accounts payable and
accrued expenses.... 10,545
Payable for fund
shares redeemed..... 9,173
-----------
TOTAL LIABILITIES... 4,281,196
-----------
NET ASSETS........ $64,593,246
-----------
-----------
NET ASSETS
Paid-in capital....... $62,777,281
Undistributed net
investment income
(Note B)............ 1,514,914
Accumulated net
realized gain (loss)
on investments,
futures, foreign
currency
transactions and
options............. 2,033,493
Net unrealized
appreciation
(depreciation) of:
Investments......... (2,451,368)
Futures............. 0
Foreign currency
translations...... 718,926
Options............. 0
-----------
NET ASSETS........ $64,593,246
-----------
-----------
NET ASSET VALUE PER SHARE
Offering and
redemption price per
share (based on
shares of capital
stock outstanding,
par value $.001 per
share).............. $ 10.478
Total shares
outstanding at end
of period........... 6,164,477
Cost of investments... $68,462,451
</TABLE>
- ------------
* Premiums received for the Growth and Income Fund were $142,180.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
<TABLE>
<CAPTION>
INTERNATIONAL CORE U.S. SMALL CAP
EQUITY CAPITAL GROWTH AND EQUITY VALUE
FUND GROWTH FUND INCOME FUND FUND FUND
-------------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments--securities,
at value (Note B)... $174,079,000 $ 213,926,939 $ 337,993,962 $ 324,313,210 $ 94,386,970
Investments--repurchase
agreements (Note
B).................. 0 4,324,000 41,478,000 2,394,000 5,337,000
Cash, including
foreign currency at
value............... 1,514,112 600 353 45 875
Dividends
receivable.......... 154,914 125,835 629,039 280,835 17,545
Interest receivable... 53 564 5,415 312 697
Receivable for
securities sold..... 364,757 57,574 5,635,421 789,151 2,204,099
Unrealized
appreciation on
forward currency
contracts (Note
F).................. 190,408 0 0 0 0
Receivable for fund
shares sold......... 1,107 200,298 4 59,701 958
Foreign income tax
reclaim
receivable.......... 226,545 0 0 3,324 0
Receivable for
variation margin.... 0 0 412,500 37,500 0
Receivable due from
Protective
Investment Advisors
(Note C)............ 92,742 27,600 42,941 36,832 17,857
-------------------- ---------------- ---------------- ---------------- ----------------
TOTAL ASSETS........ 176,623,638 218,663,410 386,197,635 327,914,910 101,966,001
-------------------- ---------------- ---------------- ---------------- ----------------
LIABILITIES
Options written, at
market*............. 0 0 36,006 0 0
Unrealized
depreciation on
forward currency
contracts (Note
F).................. 343,877 0 0 0 0
Payable for securities
purchased........... 422,142 0 1,221,892 725,251 2,705,053
Investment management
fee payable (Note
C).................. 158,064 135,295 250,217 205,214 62,237
Accounts payable and
accrued expenses.... 50,844 15,353 28,343 24,223 10,336
Payable for fund
shares redeemed..... 112,595 0 64,615 0 42,507
-------------------- ---------------- ---------------- ---------------- ----------------
TOTAL LIABILITIES... 1,087,522 150,648 1,601,073 954,688 2,820,133
-------------------- ---------------- ---------------- ---------------- ----------------
NET ASSETS........ $175,536,116 $ 218,512,762 $ 384,596,562 $ 326,960,222 $ 99,145,868
-------------------- ---------------- ---------------- ---------------- ----------------
-------------------- ---------------- ---------------- ---------------- ----------------
NET ASSETS
Paid-in capital....... $139,040,427 $ 151,776,878 $ 329,945,915 $ 208,947,429 $ 105,658,438
Undistributed net
investment income
(Note B)............ 790,826 170,752 3,117,382 1,013,596 232,639
Accumulated net
realized gain (loss)
on investments,
futures, foreign
currency
transactions and
options............. 20,551,004 9,292,114 29,629,210 13,101,722 (10,754,063)
Net unrealized
appreciation
(depreciation) of:
Investments......... 15,317,030 57,273,018 20,779,137 103,831,103 4,008,854
Futures............. 0 0 1,018,744 66,372 0
Foreign currency
translations...... (163,171) 0 0 0 0
Options............. 0 0 106,174 0 0
-------------------- ---------------- ---------------- ---------------- ----------------
NET ASSETS........ $175,536,116 $ 218,512,762 $ 384,596,562 $ 326,960,222 $ 99,145,868
-------------------- ---------------- ---------------- ---------------- ----------------
-------------------- ---------------- ---------------- ---------------- ----------------
NET ASSET VALUE PER SHARE
Offering and
redemption price per
share (based on
shares of capital
stock outstanding,
par value $.001 per
share).............. $ 14.752 $ 23.565 $ 15.724 $ 25.148 $ 9.878
Total shares
outstanding at end
of period........... 11,899,377 9,272,933 24,459,707 13,001,335 10,037,160
Cost of investments... $158,761,970 $ 160,977,921 $ 358,692,825 $ 222,876,107 $ 95,715,116
</TABLE>
- ------------
* Premiums received for the Growth and Income Fund were $142,180.
31
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL
INCOME FUND
-----------
<S> <C>
INVESTMENT INCOME
Dividend income....... $ 0
Interest income....... 1,746,615
Foreign taxes
withheld............ (4,835)
-----------
TOTAL INVESTMENT
INCOME............ 1,741,780
EXPENSES
Investment management
fee (Note C)........ 350,692
Custodian fees and
expenses............ 45,464
Transfer agent fee.... 1,004
Audit fee............. 5,624
Directors fee (Note
C).................. 1,054
Printing expense...... 991
Miscellaneous
expense............. 19
-----------
Total operating
expenses before
reimbursement..... 404,848
Expense
reimbursement
borne by
Protective
Investment
Advisors, Inc.
(Note C)........ (54,156)
-----------
NET EXPENSES...... 350,692
-----------
NET INVESTMENT
INCOME.......... 1,391,088
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS,
FOREIGN CURRENCY, OPTIONS AND
FUTURES TRANSACTIONS
Net realized gain
(loss) on:
Investments......... (917,906)
Futures............. 0
Foreign currency
transactions...... 2,672,884
Options............. 0
-----------
Total net realized
gain (loss)..... 1,754,978
Change in unrealized
appreciation
(depreciation) of:
Investments......... (4,930,260)
Futures............. 0
Foreign currency
translations...... 736,003
Options............. 0
-----------
Total change in
unrealized
appreciation
(depreciation)... (4,194,257)
-----------
NET REALIZED AND
UNREALIZED GAIN
(LOSS).......... (2,439,279)
-----------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $(1,048,191)
-----------
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAP
EQUITY CAPITAL GROWTH AND CORE U.S. VALUE
FUND GROWTH FUND INCOME FUND EQUITY FUND FUND
-------------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividend income....... $ 2,008,391 $ 784,497 $ 3,625,146 $ 2,093,230 $ 411,625
Interest income....... 54,471 122,788 772,073 123,381 185,378
Foreign taxes
withheld............ (216,756) (1,838) (47,665) (78,176) (3,041)
-------------------- --------------- --------------- --------------- ---------------
TOTAL INVESTMENT
INCOME............ 1,846,106 905,447 4,349,554 2,138,435 593,962
EXPENSES
Investment management
fee (Note C)........ 950,438 737,350 1,506,357 1,170,378 361,323
Custodian fees and
expenses............ 184,209 33,205 49,577 44,974 24,841
Transfer agent fee.... 504 504 1,004 1,004 504
Audit fee............. 10,335 9,102 21,987 15,034 7,453
Directors fee (Note
C).................. 2,925 1,855 6,434 2,688 1,630
Printing expense...... 2,355 4,215 7,479 5,206 1,858
Miscellaneous
expense............. 10 11 15 87 0
-------------------- --------------- --------------- --------------- ---------------
Total operating
expenses before
reimbursement..... 1,150,776 786,242 1,592,853 1,239,371 397,609
Expense
reimbursement
borne by
Protective
Investment
Advisors, Inc.
(Note C)........ (200,338) (48,892) (86,496) (68,993) (36,286)
-------------------- --------------- --------------- --------------- ---------------
NET EXPENSES...... 950,438 737,350 1,506,357 1,170,378 361,323
-------------------- --------------- --------------- --------------- ---------------
NET INVESTMENT
INCOME.......... 895,668 168,097 2,843,197 968,057 232,639
-------------------- --------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCY, OPTIONS AND FUTURES TRANSACTIONS
Net realized gain
(loss) on:
Investments......... 17,622,858 6,561,193 24,959,539 11,868,859 (6,863,907)
Futures............. 0 0 418,637 65,323 0
Foreign currency
transactions...... 296,133 0 1,000 0 0
Options............. 0 0 19,906 0 27,382
-------------------- --------------- --------------- --------------- ---------------
Total net realized
gain (loss)..... 17,918,991 6,561,193 25,399,082 11,934,182 (6,836,525)
Change in unrealized
appreciation
(depreciation) of:
Investments......... (13,488,841) 16,752,772 12,371,754 24,455,986 18,326,676
Futures............. 0 0 1,018,744 (119,193) 0
Foreign currency
translations...... 94,976 0 0 0 0
Options............. 0 0 106,174 0 0
-------------------- --------------- --------------- --------------- ---------------
Total change in
unrealized
appreciation
(depreciation)... (13,393,865) 16,752,772 13,496,672 24,336,793 18,326,676
-------------------- --------------- --------------- --------------- ---------------
NET REALIZED AND
UNREALIZED GAIN
(LOSS).......... 4,525,126 23,313,965 38,895,754 36,270,975 11,490,151
-------------------- --------------- --------------- --------------- ---------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 5,420,794 $ 23,482,062 $41,738,951 $ 37,239,032 $ 11,722,790
-------------------- --------------- --------------- --------------- ---------------
-------------------- --------------- --------------- --------------- ---------------
</TABLE>
33
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
GLOBAL INCOME FUND INTERNATIONAL EQUITY FUND
SIX MONTHS SIX MONTHS
ENDED 6/30/99 YEAR ENDED ENDED 6/30/99 YEAR ENDED
(UNAUDITED) 12/31/98 (UNAUDITED) 12/31/98
--------------- ------------- --------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income.............. $ 1,391,088 $ 2,618,142 $ 895,668 $ 576,061
Net realized gain
(loss) on
investments,
futures, foreign
currency related
transactions and
options............ 1,754,978 1,291,114 17,918,991 11,378,684
Net change in
unrealized
appreciation
(depreciation)....... (4,194,257) 1,571,605 (13,393,865) 15,914,754
--------------- ------------- --------------- -------------
Net increase (decrease)
in net assets
resulting from
operations.......... (1,048,191) 5,480,861 5,420,794 27,869,499
--------------- ------------- --------------- -------------
DISTRIBUTIONS TO
SHAREHOLDERS (NOTE B):
From net investment
income.............. 0 (1,431,569) 0 (74,421)
From net realized gain
on investments...... 0 (1,581,576) 0 (8,233,041)
--------------- ------------- --------------- -------------
Net decrease in net
assets resulting
from distributions.... 0 (3,013,145) 0 (8,307,462)
--------------- ------------- --------------- -------------
CAPITAL STOCK
TRANSACTIONS:
Net proceeds from
sales............... 5,344,957 13,043,638 3,408,505 26,827,493
Net proceeds from
reinvestment
of distributions..... 0 3,013,145 0 8,307,462
Cost of shares
redeemed............ (2,466,077) (4,595,043) (8,278,115) (11,598,983)
--------------- ------------- --------------- -------------
Net increase (decrease)
in net assets from
capital stock
transactions........... 2,878,880 11,461,740 (4,869,610) 23,535,972
--------------- ------------- --------------- -------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.......... 1,830,689 13,929,456 551,184 43,098,009
Net assets at beginning
of period.............. 62,762,557 48,833,101 174,984,932 131,886,923
--------------- ------------- --------------- -------------
NET ASSETS AT END OF
PERIOD*................ $64,593,246 $62,762,557 $175,536,116 $ 174,984,932
--------------- ------------- --------------- -------------
--------------- ------------- --------------- -------------
SHARES ISSUED AND
REPURCHASED:
Shares sold........... 501,973 1,226,140 235,795 1,893,779
Shares issued to
shareholders from
reinvestment of
distributions...... 0 283,126 0 584,358
Shares repurchased.... (230,879) (434,859) (569,061) (837,232)
--------------- ------------- --------------- -------------
Net increase
(decrease)............. 271,094 1,074,407 (333,266) 1,640,905
--------------- ------------- --------------- -------------
--------------- ------------- --------------- -------------
- ------------
*Includes undistributed
(overdistributed)
distributions of net
investment income...... $ 1,514,914 $ 123,826 $ 790,826 $ (104,842)
--------------- ------------- --------------- -------------
--------------- ------------- --------------- -------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
<TABLE>
<CAPTION>
CAPITAL GROWTH FUND GROWTH AND INCOME FUND CORE U.S. EQUITY FUND
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 6/30/99 YEAR ENDED ENDED 6/30/99 YEAR ENDED ENDED 6/30/99 YEAR ENDED
(UNAUDITED) 12/31/98 (UNAUDITED) 12/31/98 (UNAUDITED) 12/31/98
--------------- ------------- --------------- ------------- --------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment
income.............. $ 168,097 $ 587,769 $ 2,843,197 $ 4,926,779 $ 968,057 $ 1,547,122
Net realized gain
(loss) on
investments,
futures, foreign
currency related
transactions and
options............ 6,561,193 5,617,719 25,399,082 20,454,794 11,934,182 3,920,197
Net change in
unrealized
appreciation
(depreciation)....... 16,752,772 27,519,154 13,496,672 (39,609,065) 24,336,793 38,251,808
--------------- ------------- --------------- ------------- --------------- -------------
Net increase (decrease)
in net assets
resulting from
operations.......... 23,482,062 33,724,642 41,738,951 (14,227,492) 37,239,032 43,719,127
--------------- ------------- --------------- ------------- --------------- -------------
DISTRIBUTIONS TO
SHAREHOLDERS (NOTE B):
From net investment
income.............. 0 (587,870) 0 (4,661,662) 0 (1,553,374)
From net realized gain
on investments...... 0 (2,717,132) 0 (26,790,863) 0 (2,708,751)
--------------- ------------- --------------- ------------- --------------- -------------
Net decrease in net
assets resulting
from distributions.... 0 (3,305,002) 0 (31,452,525) 0 (4,262,125)
--------------- ------------- --------------- ------------- --------------- -------------
CAPITAL STOCK
TRANSACTIONS:
Net proceeds from
sales............... 41,425,121 50,895,298 4,381,708 75,138,167 28,025,224 52,591,612
Net proceeds from
reinvestment
of distributions..... 0 3,305,002 0 31,452,525 0 4,262,125
Cost of shares
redeemed............ (1,543,287) (4,513,550) (49,814,121) (29,123,341) (1,297,923) (10,526,909)
--------------- ------------- --------------- ------------- --------------- -------------
Net increase (decrease)
in net assets from
capital stock
transactions........... 39,881,834 49,686,750 (45,432,413) 77,467,351 26,727,301 46,326,828
--------------- ------------- --------------- ------------- --------------- -------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.......... 63,363,896 80,106,390 (3,693,462) 31,787,334 63,966,333 85,783,830
Net assets at beginning
of period.............. 155,148,866 75,042,476 388,290,024 356,502,690 262,993,889 177,210,059
--------------- ------------- --------------- ------------- --------------- -------------
NET ASSETS AT END OF
PERIOD*................ $218,512,762 $ 155,148,866 $384,596,562 $ 388,290,024 $326,960,222 $ 262,993,889
--------------- ------------- --------------- ------------- --------------- -------------
--------------- ------------- --------------- ------------- --------------- -------------
SHARES ISSUED AND
REPURCHASED:
Shares sold........... 1,908,031 2,785,364 297,894 4,535,739 1,186,148 2,568,758
Shares issued to
shareholders from
reinvestment of
distributions...... 0 158,431 0 2,230,595 0 190,614
Shares repurchased.... (68,242) (254,257) (3,438,169) (1,784,688) (54,343) (516,364)
--------------- ------------- --------------- ------------- --------------- -------------
Net increase
(decrease)............. 1,839,789 2,689,538 (3,140,275) 4,981,646 1,131,805 2,243,008
--------------- ------------- --------------- ------------- --------------- -------------
--------------- ------------- --------------- ------------- --------------- -------------
- ------------
*Includes undistributed
(overdistributed)
distributions of net
investment income...... $ 170,752 $ 2,655 $ 3,117,382 $ 274,185 $ 1,013,596 $ 45,539
--------------- ------------- --------------- ------------- --------------- -------------
--------------- ------------- --------------- ------------- --------------- -------------
</TABLE>
35
<PAGE>
PROTECTIVE INVESTMENT COMPANY
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
SIX MONTHS
ENDED 6/30/99 YEAR ENDED
(UNAUDITED) 12/31/98
--------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income................ $ 232,639 $ 497,853
Net realized gain (loss) on
investments,
futures, foreign currency related
transactions and options............ (6,836,525) 2,865,968
Net change in unrealized appreciation
(depreciation)...................... 18,326,676 (21,853,516)
--------------- -------------
Net increase (decrease) in net assets
resulting from operations............ 11,722,790 (18,489,695)
--------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE B):
From net investment income........... 0 (510,298)
From net realized gain on
investments........................ 0 (7,958,253)
In excess of net realized gain on
investments........................ 0 (3,918,953)
--------------- -------------
Net decrease in net assets resulting
from distributions................... 0 (12,387,504)
--------------- -------------
CAPITAL STOCK TRANSACTIONS:
Net proceeds from sales.............. 1,121,365 20,266,376
Net proceeds from reinvestment
of distributions.................... 0 12,387,504
Cost of shares redeemed.............. (13,489,460) (9,969,055)
--------------- -------------
Net increase (decrease) in net assets
from capital
stock transactions.................... (12,368,095) 22,684,825
--------------- -------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ (645,305) (8,192,374)
Net assets at beginning of period....... 99,791,173 107,983,547
--------------- -------------
NET ASSETS AT END OF PERIOD*............ $ 99,145,868 $ 99,791,173
--------------- -------------
--------------- -------------
SHARES ISSUED AND REPURCHASED:
Shares sold.......................... 126,647 1,712,251
Shares issued to shareholders from
reinvestment of distributions....... 0 1,477,611
Shares repurchased................... (1,616,967) (871,563)
--------------- -------------
Net increase (decrease)................. (1,490,320) 2,318,299
--------------- -------------
--------------- -------------
- ------------
*Includes undistributed
(overdistributed) distributions
of net investment income.............. $ 232,639 $ 0
--------------- -------------
--------------- -------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
36
<PAGE>
PROTECTIVE INVESTMENT COMPANY
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS FOR THE
ENDED YEAR ENDED PERIOD
6/30/99 ------------------------------------------ 3/14/94* TO
GLOBAL INCOME FUND (UNAUDITED) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- --------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period............... $ 10.650 $ 10.134 $ 10.177 $ 10.074 $ 9.558 $ 10.000
----------- --------- --------- --------- --------- -------------
Income (loss) from investment operations:
Net investment income............................ 0.225 0.422 0.558 0.628 0.607 0.367
Net realized and unrealized gain (loss).......... (0.397) 0.631 0.455 0.310 0.968 (0.442)
----------- --------- --------- --------- --------- -------------
Total from investment operations................. (0.172) 1.053 1.013 0.938 1.575 (0.075)
----------- --------- --------- --------- --------- -------------
LESS DISTRIBUTIONS:
From net investment income....................... 0.000 (0.255) (0.917) (0.628) (0.553) (0.367)
In excess of net investment income............... 0.000 (0.000) 0.000 (0.036) (0.323) 0.000
From net realized gain........................... 0.000 (0.282) (0.139) (0.171) (0.183) 0.000
----------- --------- --------- --------- --------- -------------
Total distributions................................ 0.000 (0.537) (1.056) (0.835) (1.059) (0.367)
----------- --------- --------- --------- --------- -------------
Net asset value, end of period..................... $ 10.478 $ 10.650 $ 10.134 $ 10.177 $ 10.074 $ 9.558
----------- --------- --------- --------- --------- -------------
----------- --------- --------- --------- --------- -------------
TOTAL RETURN (A)................................... (1.61)% 10.40% 9.94% 9.48% 16.94% (0.74)%
RATIOS & SUPPLEMENTAL DATA
Net Assets, end of period (000's).................. $ 64,593 $ 62,763 $ 48,833 $ 37,675 $ 31,085 $ 17,281
Ratios to average net assets:
Net expenses (b)................................. 1.10% 1.10% 1.10% 1.10% 1.10% 1.10%
Gross expenses (b)............................... 1.27% 1.28% 1.32% 1.42% 1.50% 2.12%
Net investment income (b)........................ 4.36% 4.71% 5.27% 5.71% 5.94% 5.58%
Portfolio Turnover Rate............................ 92% 194% 369% 214% 295% 210%
<CAPTION>
SIX MONTHS FOR THE
ENDED YEAR ENDED PERIOD
6/30/99 ------------------------------------------ 3/14/94* TO
INTERNATIONAL EQUITY FUND (UNAUDITED) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- --------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period............... $ 14.305 $ 12.452 $ 12.865 $ 11.045 $ 9.581 $ 10.000
----------- --------- --------- --------- --------- -------------
Income (loss) from investment operations:
Net investment income............................ 0.075 (0.018) 0.038 0.140 0.067 0.048
Net realized and unrealized gain (loss).......... 0.372 2.584 0.525 1.955 1.817 (0.467)
----------- --------- --------- --------- --------- -------------
Total from investment operations................. 0.447 2.566 0.563 2.095 1.884 (0.419)
----------- --------- --------- --------- --------- -------------
LESS DISTRIBUTIONS:
From net investment income....................... 0.000 (0.006) (0.238) (0.005) (0.076) 0.000
In excess of net investment income............... 0.000 0.000 0.000 0.000 (0.344) 0.000
From net realized gain........................... 0.000 (0.707) (0.738) (0.270) 0.000 0.000
----------- --------- --------- --------- --------- -------------
Total distributions................................ 0.000 (0.713) (0.976) (0.275) (0.420) 0.000
----------- --------- --------- --------- --------- -------------
Net asset value, end of period..................... $ 14.752 $ 14.305 $ 12.452 $ 12.865 $ 11.045 $ 9.581
----------- --------- --------- --------- --------- -------------
----------- --------- --------- --------- --------- -------------
TOTAL RETURN (A)................................... 3.12% 20.65% 4.42% 19.00% 19.66% (4.18)%
RATIOS & SUPPLEMENTAL DATA
Net Assets, end of period (000's).................. $ 175,536 $ 174,985 $ 131,887 $ 96,736 $ 58,842 $ 27,385
Ratios to average net assets:
Net expenses (b)................................. 1.10% 1.10% 1.10% 1.10% 1.10% 1.10%
Gross expenses (b)............................... 1.33% 1.39% 1.37% 1.38% 1.55% 2.24%
Net investment income (b)........................ 1.04% 0.37% 0.34% 0.52% 0.96% 1.25%
Portfolio Turnover Rate............................ 52% 79% 34% 38% 40% 33%
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
<PAGE>
PROTECTIVE INVESTMENT COMPANY
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS FOR THE
ENDED YEAR ENDED PERIOD
6/30/99 ------------------------------- 6/13/95* TO
CAPITAL GROWTH FUND (UNAUDITED) 12/31/98 12/31/97 12/31/96 12/31/95
----------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period...... $ 20.873 $ 15.820 $ 12.647 $ 10.613 $ 10.000
----------- --------- --------- --------- -----------
Income from investment operations:
Net investment income................... 0.018 0.081 0.104 0.134 0.080
Net realized and unrealized gain........ 2.674 5.427 4.243 2.209 0.613
----------- --------- --------- --------- -----------
Total from investment operations........ 2.692 5.508 4.347 2.343 0.693
----------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
From net investment income.............. 0.000 (0.081) (0.104) (0.134) (0.080)
In excess of net investment income...... 0.000 (0.000) (0.000) (0.002) (0.000)
From net realized gain.................. 0.000 (0.374) (1.070) (0.125) 0.000
In excess of net realized gain.......... 0.000 0.000 0.000 (0.048) 0.000
----------- --------- --------- --------- -----------
Total distributions....................... 0.000 (0.455) (1.174) (0.309) (0.080)
----------- --------- --------- --------- -----------
Net asset value, end of period............ $ 23.565 $ 20.873 $ 15.820 $ 12.647 $ 10.613
----------- --------- --------- --------- -----------
----------- --------- --------- --------- -----------
TOTAL RETURN (A).......................... 12.95% 34.76% 34.57% 22.05% 6.93%
RATIOS & SUPPLEMENTAL DATA
Net Assets, end of period (000's)......... $ 218,513 $ 155,149 $ 75,042 $ 30,299 $ 10,716
Ratios to average net assets:
Net expenses (b)........................ 0.80% 0.80% 0.80% 0.80% 0.80%
Gross expenses (b)...................... 0.85% 0.86% 0.97% 1.02% 1.62%
Net investment income (b)............... 0.18% 0.54% 0.90% 1.54% 2.57%
Portfolio Turnover Rate................... 16% 28% 61% 35% 5%
</TABLE>
<TABLE>
<CAPTION>
SIX MONTHS FOR THE
ENDED YEAR ENDED PERIOD
6/30/99 ------------------------------------------ 3/14/94* TO
GROWTH AND INCOME FUND (UNAUDITED) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- --------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period............... $ 14.068 $ 15.762 $ 14.183 $ 12.197 $ 9.661 $ 10.000
----------- --------- --------- --------- --------- -------------
Income (loss) from investment operations:
Net investment income............................ 0.118 0.193 0.132 0.266 0.246 0.114
Net realized and unrealized gain (loss).......... 1.538 (0.651) 4.030 2.987 2.854 (0.300)
----------- --------- --------- --------- --------- -------------
Total from investment operations................. 1.656 (0.458) 4.162 3.253 3.100 (0.186)
----------- --------- --------- --------- --------- -------------
LESS DISTRIBUTIONS:
From net investment income....................... 0.000 (0.183) (0.131) (0.266) (0.246) (0.114)
From net realized gain........................... 0.000 (1.053) (2.452) (1.001) (0.318) (0.031)
In excess of net realized gain................... 0.000 (0.000) (0.000) (0.000) (0.000) (0.008)
----------- --------- --------- --------- --------- -------------
Total distributions................................ 0.000 (1.236) (2.583) (1.267) (0.564) (0.153)
----------- --------- --------- --------- --------- -------------
Net asset value, end of period..................... $ 15.724 $ 14.068 $ 15.762 $ 14.183 $ 12.197 $ 9.661
----------- --------- --------- --------- --------- -------------
----------- --------- --------- --------- --------- -------------
TOTAL RETURN (A)................................... 11.76% (2.92)% 29.84% 26.82% 32.29% (1.86)%
RATIOS & SUPPLEMENTAL DATA
Net Assets, end of period (000's).................. $ 384,597 $ 388,290 $ 356,503 $ 210,587 $ 128,076 $ 42,305
Ratios to average net assets:
Net expenses (b)................................. 0.80% 0.80% 0.80% 0.80% 0.80% 0.80%
Gross expenses (b)............................... 0.85% 0.85% 0.85% 0.88% 0.93% 1.31%
Net investment income (b)........................ 1.51% 1.25% 0.88% 2.11% 2.36% 2.21%
Portfolio Turnover Rate............................ 47% 116% 69% 49% 55% 36%
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
38
<PAGE>
PROTECTIVE INVESTMENT COMPANY
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS FOR THE
ENDED YEAR ENDED PERIOD
6/30/99 ------------------------------------------ 3/14/94* TO
CORE U.S. EQUITY FUND (UNAUDITED) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period..... $ 22.157 $ 18.409 $ 15.437 $ 13.109 $ 9.839 $ 10.000
----------- --------- --------- --------- --------- -----------
Income (loss) from investment operations:
Net investment income.................. 0.074 0.132 0.170 0.180 0.143 0.093
Net realized and unrealized gain
(loss)............................... 2.917 3.981 4.568 2.706 3.470 (0.039)
----------- --------- --------- --------- --------- -----------
Total from investment operations....... 2.991 4.113 4.738 2.886 3.613 0.054
----------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
From net investment income............. 0.000 (0.133) (0.165) (0.180) (0.143) (0.093)
From net realized gain................. 0.000 (0.232) (1.601) (0.378) (0.200) (0.120)
In excess of net realized gain......... 0.000 0.000 0.000 0.000 0.000 (0.002)
----------- --------- --------- --------- --------- -----------
Total distributions...................... 0.000 (0.365) (1.766) (0.558) (0.343) (0.215)
----------- --------- --------- --------- --------- -----------
Net asset value, end of period........... $ 25.148 $ 22.157 $ 18.409 $ 15.437 $ 13.109 $ 9.839
----------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- -----------
TOTAL RETURN (A)......................... 13.50% 22.33% 30.95% 21.94% 36.73% 0.53%
RATIOS & SUPPLEMENTAL DATA
Net Assets, end of period (000's)........ $ 326,960 $ 262,994 $ 177,210 $ 101,624 $ 56,723 $ 17,717
Ratios to average net assets:
Net expenses (b)....................... 0.80% 0.80% 0.80% 0.80% 0.80% 0.80%
Gross expenses (b)..................... 0.85% 0.85% 0.86% 0.91% 1.01% 1.81%
Net investment income (b).............. 0.66% 0.71% 1.06% 1.44% 1.69% 2.44%
Portfolio Turnover Rate.................. 22% 48% 61% 34% 60% 56%
<CAPTION>
SIX MONTHS FOR THE
ENDED YEAR ENDED PERIOD
6/30/99 ------------------------------------------ 3/14/94* TO
SMALL CAP VALUE FUND (UNAUDITED) 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
----------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period..... $ 8.657 $ 11.726 $ 10.022 $ 9.345 $ 8.951 $ 10.000
----------- --------- --------- --------- --------- -----------
Income (loss) from investment operations:
Net investment income.................. 0.023 0.049 0.040 0.030 0.079 0.038
Net realized and unrealized gain
(loss)............................... 1.198 (1.885) 3.162 1.840 0.502 (1.025)
----------- --------- --------- --------- --------- -----------
Total from investment operations....... 1.221 (1.836) 3.202 1.870 0.581 (0.987)
----------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
From net investment income............. 0.000 (0.051) (0.038) (0.030) (0.079) (0.038)
From net realized gain................. 0.000 (0.792) (1.460) (1.163) (0.031) (0.001)
In excess of net realized gain......... 0.000 (0.390) 0.000 0.000 (0.077) (0.023)
----------- --------- --------- --------- --------- -----------
Total distributions...................... 0.000 (1.233) (1.498) (1.193) (0.187) (0.062)
----------- --------- --------- --------- --------- -----------
Net asset value, end of period........... $ 9.878 $ 8.657 $ 11.726 $ 10.022 $ 9.345 $ 8.951
----------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- -----------
TOTAL RETURN (A)......................... 14.13% (15.32)% 32.20% 20.22% 6.46% (9.87)%
RATIOS & SUPPLEMENTAL DATA
Net Assets, end of period (000's)........ $ 99,146 $ 99,791 $ 107,984 $ 64,433 $ 43,830 $ 21,813
Ratios to average net assets:
Net expenses (b)....................... 0.80% 0.80% 0.80% 0.80% 0.80% 0.80%
Gross expenses (b)..................... 0.88% 0.89% 0.89% 0.94% 1.00% 1.62%
Net investment income (b).............. 0.52% 0.45% 0.38% 0.31% 1.09% 1.07%
Portfolio Turnover Rate.................. 38% 96% 99% 100% 60% 17%
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
39
<PAGE>
PROTECTIVE INVESTMENT COMPANY
FINANCIAL HIGHLIGHTS (CONTINUED)
NOTES TO FINANCIAL HIGHLIGHTS
* COMMENCEMENT OF OPERATIONS.
(A) 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 AND PROTECTIVE INVESTMENT ADVISORS, INC. NOT
REIMBURSED CERTAIN FUND EXPENSES.
(B) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
40
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999 (UNAUDITED)
NOTE A - ORGANIZATION
Protective Investment Company (the "Company") was incorporated in the State of
Maryland on September 2, 1993 and is registered under the Investment Company Act
1940, as amended, as an open-end management investment company. The Company
currently offers six separately managed pools of assets which have differing
investment objectives and policies. The Company currently issues shares in six
funds: Global Income Fund, International Equity Fund, Capital Growth Fund,
Growth and Income Fund, CORE U.S. Equity Fund and Small Cap Value Fund
(individually a "Fund" and collectively the "Funds"). The Company previously
offered the Money Market Fund in addition to the six Funds described above. The
Money Market Fund was liquidated on April 28, 1999 after Protective Life
Insurance Company received permission from the SEC to redeem its shares. Shares
redeemed in the amount of $7,288,776 were transferred to the Oppenheimer Money
Fund/VA immediately following the redemption. The Company had no operations
prior to March 2, 1994, other than those relating to organizational matters. The
initial capital contribution of $50,000, $10,000 per fund, 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 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.
The Company offers each fund of its stock to separate accounts of Protective
Life and Protective Life Annuity Insurance Company as funding vehicles for
certain variable annuity and variable life contracts issued by Protective Life
and Protective Life and Annuity through separate accounts.
NOTE B - SIGNIFICANT ACCOUNTING POLICIES
The accounting policies adopted by the Company are in conformity with generally
accepted accounting principles for investment companies. 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 sale
41
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
price available prior to the time a Fund's net asset value is determined.
Foreign portfolio securities prices are furnished by quotation services
expressed in the local currency's value and are translated into U.S. dollars at
the current rate of exchange.
REPURCHASE AGREEMENTS - In connection with transactions in repurchase
agreements, the Company's custodian takes possession of the underlying
collateral securities, the value or market price of which is at least equal to
the principal amount, including interest, of the repurchase transaction. To the
extent that any repurchase transaction exceeds one business day, the value of
the collateral is marked-to-market on a daily basis to ensure the adequacy of
the collateral. In the event of default of the obligation to repurchase, the
Fund has the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. Under certain circumstances, in the event of
default or bankruptcy by the other party to the agreement, realization and/or
retention of the collateral or proceeds may be subject to delay due to legal
proceedings and the Fund may suffer a loss.
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. The Funds accrete discounts on fixed income securities
using the straight line method.
INVESTMENT INCOME - Dividend income is recorded on the ex-dividend date, or, in
the case of dividend income on foreign securities, on the ex-dividend date or
when the Fund becomes aware of its declaration. Interest income is recorded on
the accrual basis.
FOREIGN CURRENCY TRANSLATIONS - The accounting records of the Funds are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
at the prevailing rate of exchange at period end. Purchases and sales of
securities, income receipts and expense payments are translated into U.S.
dollars at the prevailing exchange rate on the respective dates of transactions.
The Funds do not isolate the portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in their market prices. Such fluctuations are included in net
realized and unrealized gain or loss from investments. Net realized exchange
gains (losses) from foreign currency transactions represent net realized
exchange gains (losses) from forward foreign currency contracts, disposition of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amount of net investment income recorded on the funds accounting records and the
U.S. dollar equivalent amounts actually received or paid. Net unrealized foreign
exchange gains and losses arise from changes in the fair value of assets and
liabilities, other than investments in securities, as a result of changes in
exchange rates.
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. 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. 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
42
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
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.
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 - The Company's 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. 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
43
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
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 paid-in capital to reflect the tax characterization.
NOTE C - AGREEMENTS AND FEES
The Company has entered into an investment management agreement with Protective
Investment Advisors, Inc. ("PIA" or 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%; and Small Cap Value Fund, .80%.
In order to limit expenses, PIA 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% and Small Cap Value Fund, .80%.
During the period ended June 30, 1999, the amount of such expenses assumed by
PIA was $495,161. PIA may terminate its obligations to pay such expenses upon
120 days notice to the Company.
Goldman Sachs Asset Management acts as the investment adviser (the "Adviser") of
Capital Growth Fund, Growth and Income Fund, CORE U.S. Equity Fund and Small Cap
Value 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 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.
Directors of the Company who are not interested persons receive an annual fee of
$2,000 and $2,000 for each meeting attended. Beginning with the third quarter of
1999, these fees will be increased to an annual fee of $5,000 and $2,500 for
each meeting attended.
44
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
NOTE D - INVESTMENT TRANSACTIONS
Purchases and proceeds from sales and maturities of investments, excluding
short-term securities, for the six months ended June 30, 1999, 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............ $ 50,098,255 $ 11,221,433 $ 34,733,089 $ 19,860,491
International Equity Fund..... 89,499,359 0 90,886,827 0
Capital Growth Fund........... 69,443,341 684,004 28,999,509 0
Growth and Income Fund........ 160,126,972 1,965,918 244,751,003 0
CORE U.S. Equity Fund......... 94,409,454 321,252 64,055,132 0
Small Cap Value Fund.......... 32,125,030 0 36,006,071 0
</TABLE>
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, 1999 were as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
IDENTIFIED GROSS UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
------------ ------------ --------------- ---------------
<S> <C> <C> <C> <C>
Global Income Fund............ $ 68,462,451 $ 33,705 $ (2,485,073) $ (2,451,368)
International Equity Fund..... 158,761,970 21,272,527 (5,955,497) 15,317,030
Capital Growth Fund........... 160,977,921 60,457,215 (3,184,197) 57,273,018
Growth and Income Fund........ 358,692,825 33,755,960 (12,976,823) 20,779,137
CORE U.S. Equity Fund......... 222,876,107 108,378,662 (4,547,559) 103,831,103
Small Cap Value Fund.......... 95,715,116 15,122,983 (11,114,129) 4,008,854
</TABLE>
For the six months ended June 30, 1999, Goldman Sachs, the Funds' Advisor,
earned approximately $1,050, $33,859, and $8,102 of brokerage commissions from
portfolio transactions executed on behalf of the Capital Growth Fund, Growth and
Income Fund, and Small Cap Value Funds, respectively.
NOTE E - SHAREHOLDER TRANSACTIONS
The authorized capital stock of the Company consists of 1 billion shares, par
value $.001 per share. 600 million of the authorized shares have been divided
into, and may be issued in, six 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 and Small Cap Value Fund, 100 million
shares.
45
<PAGE>
PROTECTIVE INVESTMENT COMPANY
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
NOTE F - FORWARD FOREIGN CURRENCY CONTRACTS
At June 30, 1999, 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 6/30/99 UNREALIZED
ON ORIGINATION U.S. $ APPRECIATION
FOREIGN CURRENCY PURCHASE CONTRACTS DATE VALUE (DEPRECIATION)
- ----------------------------------- --------------- ------------- ---------------
<S> <C> <C> <C>
AUD, expiring 07/16/99-09/13/99 (5
contracts)....................... $ 2,443,036 $ 2,451,376 $ 8,340
CAD, expiring 08/16/99-08/23/99 (2
contracts)....................... 2,444,937 2,433,300 (11,637)
EUR, expiring 09/10/99 (2
contracts)....................... 1,625,281 1,612,629 (12,652)
SEK, expiring 09/22/99 (1
contract)........................ 786,759 785,458 (1,301)
--------------- ------------- ---------------
7,300,013 7,282,763 (17,250)
---------------
<CAPTION>
FOREIGN CURRENCY SALE CONTRACTS
- -----------------------------------
<S> <C> <C> <C>
CHF, expiring 08/20/99 (1
contract)........................ $ 1,517,878 $ 1,456,543 $ 61,335
DKK, expiring 07/14/99 (1
contract)........................ 1,313,037 1,250,960 62,077
EUR, expiring 07/26/99-09/22/99 (7
contracts)....................... 18,276,279 17,801,044 475,235
GBP, expiring 09/29/99 (1
contract)........................ 6,370,220 6,346,157 24,063
JPY, expiring 08/18/99-12/20/99 (6
contracts)....................... 11,769,480 11,695,814 73,666
NZD, expiring 08/13/99 (1
contract)........................ 344,280 324,240 20,040
--------------- ------------- ---------------
39,591,174 38,874,758 716,416
---------------
Offsetting forward currency
contracts not yet settled (27
contracts) 19,380
---------------
NET UNREALIZED APPRECIATION $ 718,546
---------------
---------------
<CAPTION>
INTERNATIONAL EQUITY FUND
- ----------------------------------- U.S. $ COST 6/30/99 UNREALIZED
ON ORIGINATION U.S. $ APPRECIATION
FOREIGN CURRENCY PURCHASE CONTRACTS DATE VALUE (DEPRECIATION)
- ----------------------------------- --------------- ------------- ---------------
<S> <C> <C> <C>
EUR, expiring 07/26/99-08/20/99 (3
contracts)....................... $ 4,490,332 $ 4,351,492 $ (138,840)
JPY, expiring 08/18/99 (1
contract)........................ 3,873,823 3,873,091 (732)
--------------- ------------- ---------------
8,364,155 8,224,583 (139,572)
---------------
<CAPTION>
FOREIGN CURRENCY SALE CONTRACTS
- -----------------------------------
<S> <C> <C> <C>
CHF, expiring 08/20/99 (1
contract)........................ $ 4,042,732 $ 3,879,373 $ 163,359
HKD, expiring 09/10/99-12/08/99 (2
contracts)....................... 5,685,696 5,759,014 (73,318)
--------------- ------------- ---------------
9,728,428 9,638,387 90,041
---------------
Offsetting forward currency
contracts not yet settled (27
contracts) (103,938)
---------------
NET UNREALIZED DEPRECIATION $ (153,469)
---------------
---------------
</TABLE>
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
- --------------------------------------------------
<S> <C>
AUD - Australian Dollar HKD - Hong Kong Dollar
CAD - Canadian Dollar JPY - Japanese Yen
CHF - Swiss Franc NZD - New Zealand Dollar
DEM - Deutsche Mark SEK - Swedish Krona
DKK - Danish Krone USD - United States Dollar
EUR - Euro Currency
GBP - Great British Pound
</TABLE>
46
<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, DIRECTOR, VICE PRESIDENT AND COMPLIANCE OFFICER
Jerry W. DeFoor, VICE PRESIDENT AND CHIEF ACCOUNTING OFFICER
Kevin B. Borie, TREASURER
Steve M. Callaway, SECRETARY
---------------
INVESTMENT MANAGER
Protective Investment Advisors, Inc.
---------------
INVESTMENT ADVISERS
Goldman Sachs Asset Management
Goldman Sachs Asset Management International
---------------
PRINCIPAL UNDERWRITER
Investment Distributors, Inc.
---------------
Protective Investment Advisors, Inc., Investment Distributors, Inc.,
Protective Life Insurance Company and Protective Life and Annuity Insurance
Company
are each subsidiaries of Protective Life Corporation
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.
