<PAGE>
OCC ACCUMULATION TRUST
MANAGED BY
[LOGO OF OPCAP ADVISORS]
We are pleased to report on the investment activities and results of the
portfolios in the OCC Accumulation Trust in 1997, an excellent year for
investors. The U.S. stock market rose sharply for the third year in a row, and
long-term Treasury bonds advanced also, providing total returns well above the
rate of inflation. International stock markets as a group provided positive
returns, although generally below those of the U.S. stock market.
All the equity portfolios in the OCC Accumulation Trust performed well in
this strong market environment, with each ranking in the upper half of its
mutual fund category. We consider this performance to be quite favorable,
especially in light of our risk-averse investment approach which does not always
keep up with the popular stock market indexes when prices are rising sharply. By
investing in superior businesses that we consider to be undervalued, we seek to
achieve consistent results in rising markets and avoid large losses in declining
markets. Our objective is to deliver superior investment returns over time, with
less volatility and risk than the market indexes. In fact, each of the equity
portfolios in the OCC Accumulation Trust has an excellent long-term performance
record.
A dominant factor driving the U.S. stock market for most of 1997 was a
continued favorable economic environment of low inflation, declining interest
rates, moderate economic growth and improving corporate profits. However, late
in the year investment markets worldwide were affected by the Asian 'financial
crisis.' The U.S. stock market became more volatile in November and December and
stock prices in some markets outside the United States fell precipitously,
especially in Asia.
We believe it is unlikely the Asian crisis will drag the U.S. economy into
a severe recession. Nonetheless, we would not be surprised to see a high level
of stock market volatility until the full extent and impact of the Asian
economic downturn becomes more clear. We are not overly concerned about this
prospect, since volatility creates opportunities to buy stocks we like at
favorable prices.
We continue to invest for the long term in superior businesses that are
reasonably valued, especially those which generate a high level of cash
throughout the economic cycle. By being disciplined in our value approach, we
seek to control risk and match or exceed our benchmarks regardless of economic
or market trends.
<PAGE>
EQUITY PORTFOLIO
The Equity Portfolio had a favorable year in 1997, delivering a strong
performance relative to its peers in Lipper's Variable Insurance Products
Performance Service Report capital appreciation category. The Portfolio's total
return of 26.6% compared with an average total return of 21.5% for the funds in
this Lipper universe. The Portfolio's performance was 13th among the 44 funds in
the Lipper capital appreciation category.
Like most other diversified funds, the Portfolio trailed the 33.4% return
of the Standard & Poor's 500 Index with dividends included (S&P 500). The S&P
500 is an unmanaged index of 500 of the largest corporations weighted by market
capitalization, and its strong 1997 gain was driven primarily by a limited
number of large-capitalization stocks.
While we are never happy to lag the S&P 500, we believe our performance
relative to the index was satisfactory given our above-average cash position and
the risk-averse nature of our investment philosophy. We do not necessarily
expect to keep pace with the S&P 500 in periods of rapidly increasing stock
prices. Our philosophy is more attuned to the idea of achieving consistent
results in rising markets and avoiding large losses in declining markets. In
this way, we seek to deliver superior returns over time, with less risk than the
S&P 500.
In the second half of 1997, the Portfolio provided a total return of 11.4%
compared with 10.6% for the
S&P 500.
The Portfolio has delivered excellent returns in its Lipper category over
extended periods. For the five years ended December 31, 1997, its average annual
total return of 19.4%* compared with an average annual total return of 16.5% for
the funds in the Lipper capital appreciation category and an average annual
total return of 20.3% for the S&P 500. The Portfolio's five-year performance was
fifth among the 22 funds in this Lipper category. Since its inception on August
1, 1988, the Portfolio has generated an average annual total return of 17.6%*,
compared with 17.8% for the S&P 500. Returns for the Portfolio take into account
expenses incurred by the Portfolio, but not other charges imposed by the
Variable Accounts.
We have achieved these results by being disciplined in our philosophy of
investing in superior companies which have strong competitive positions,
generate high cash flow and effectively deploy that cash to benefit
shareholders. Moreover, we want to buy the shares of these superior companies at
reasonable prices. Unlike more aggressive investors, we will not overpay for a
stock, no matter how much we like the company. Paying too much simply makes it
harder to achieve an investment profit.
As the stock market rose in 1997, we maintained an above-average cash
position because it became somewhat difficult to find superior companies that
were underpriced. As of December 31, 1997, the Portfolio's net assets were
allocated 87% to common stocks and 13% to cash and cash equivalents. This cash
position provides a resource to purchase quality stocks opportunistically when
they become available at prices we like. We believe the Portfolio's large cash
position should serve shareholders well in the weeks ahead if the Asian
financial crisis continues to buffet the stock market.
During the second half of 1997, we established new positions in a number of
companies, including Omnicom Group, Textron, Inc., Sysco Corp. and Diageo plc,
among others. Diageo is a premier global consumer products company formed
through the merger of two consumer products giants--Grand Metropolitan plc and
Guinness plc. Its well-known brands include Burger King, Pillsbury, Guinness and
Smirnoff.
Among the positions that were reduced or eliminated during the half were
Boeing Co., CSX Corp. and Shaw Industries.
The Portfolio's five largest equity positions at December 31, 1997 were
ACE, Ltd., a Bermuda-based provider of excess directors and officers liability
insurance, representing 5.6% of the Portfolio's net assets; EXEL Ltd., a
strongly capitalized specialty insurance company headquartered in Bermuda, 5.4%
of net assets; Lockheed Martin Corp., a major aerospace and defense contractor,
3.8% of net assets; General Re Corp., a leading insurance company, 3.7% of net
assets; and Caterpillar, Inc., which manufactures earth-moving equipment and
diesel engines, 3.4% of net assets.
<PAGE>
Major equity industry positions at the end of December were in the
insurance sector, 22.0% of the Portfolio's net assets; miscellaneous financial
services, 6.3% of net assets; banking, 5.9% of net assets; food services, 5.5%
of net assets; and machinery, 5.4% of net assets.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
OCC ACCUMULATION TRUST EQUITY PORTFOLIO FROM INCEPTION (8/1/88)*
THROUGH 12/31/97 AND TOTAL RETURN ON S&P 500 INDEX+
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------
1 YEAR 5 YEAR SINCE AUGUST 1, 1988*
------ ------ ---------------------
26.6% 19.4% 17.6%
[PERFORMANCE GRAPH]
Date S&P 500 Index+ Equity Portfolio
-------- -------------- ----------------
8/1/88 $10,000 $10,000
12/31/88 $10,383 $10,190
12/31/89 $13,673 $12,500
12/31/90 $13,249 $12,223
12/31/91 $17,285 $16,038
12/31/92 $18,602 $18,909
12/31/93 $20,475 $20,393
12/31/94 $20,746 $21,171
12/31/95 $28,542 $29,396
12/31/96 $35,095 $36,264
12/31/97 $46,804 $45,920
The performance graph does not reflect charges imposed by the Variable Accounts.
Past performance is not predictive of future performance.
Assumes reinvestment of all dividends and distributions.
+ With dividends
* Based on results of the OCC Accumulation Trust and its predecessor. On
September 16, 1994, an investment company which had commenced operations on
August 1, 1988, called Quest for Value Accumulation Trust (the 'Old Trust'), was
effectively divided into two investment funds--the Old Trust and the present OCC
Accumulation Trust (the 'Present Trust')--at which time the Present Trust
commenced operations. The total net assets of the Equity Portfolio immediately
after the transaction were $86,789,755 in the Old Trust and $3,764,598 in the
Present Trust. For the period prior to September 16, 1994, the performance
figures for the Equity Portfolio of the Present Trust reflect the performance of
the Equity Portfolio of the Old Trust.
<PAGE>
SMALL CAP PORTFOLIO
The Small Cap Portfolio performed well in 1997. Its total return of 22.2%
exceeded the 19.6% average total return for the small cap funds monitored by
Lipper's Variable Insurance Products Performance Analysis Service and trailed
slightly the 22.4% return of the Russell 2000 Index with dividends included
(Russell 2000), a widely followed benchmark which includes smaller
capitalization stocks. The Portfolio's performance was 22nd among the 59 funds
in the Lipper small cap fund category.
The small cap market sprang to life in the third quarter, outperforming
large capitalization stocks, then lagged in the fourth quarter due in part to
investor concerns about the impact of the Asian financial crisis. Apart from the
third quarter, small caps as a class have now underperformed large caps for
three years. We believe many quality small cap issues are undervalued at this
time.
We achieved strong returns in 1997 despite maintaining a relatively
defensive investment posture throughout the year. At December 31, 1997, the
Portfolio's net assets were allocated 12% to cash and cash equivalents and 88%
to common stocks. By being somewhat defensive in our investment posture, and by
continuing to invest in reasonably valued companies based on their business
fundamentals, we avoided the dramatic price volatility experienced by many small
cap investors in 1997.
The Portfolio's total return in the second half of 1997 was 6.6%, compared
with 11.0% for the Russell 2000.
For the five years ended December 31, 1997, the Portfolio provided an
average annual total return of 14.6%*, compared with an average of 17.0% for the
funds in the Lipper small cap category and 16.4% for the Russell 2000. The
Portfolio's five-year performance was sixth among the eight funds in this Lipper
universe. From its inception on August 1, 1988 through December 31, 1997, the
Portfolio generated an average annual total return of 15.5%*, exceeding the
14.0% average annual total return of the Russell 2000. Returns for the Portfolio
take into account expenses incurred by the Portfolio, but not separate account
charges imposed by the insurance company.
The five stocks which contributed most to performance in 1997 were E.W.
Blanch Holdings, Keystone International, ACC Corp., International Imaging
Materials and WestPoint Stevens. The five which detracted most were Nu-Kote
Holding, Katz Media Group, Repap Enterprises, Moneygram Payment Systems and
CommScope. CommScope is the only one of those five still owned by the Portfolio.
It manufactures electronic and fiber-optic cables for telecommunications and
cable television.
We invest in companies that have a significant record of earnings and
revenue growth, generate sizable free cash flow, have high cash flow returns on
assets and have quality balance sheets. We purchase these companies at
attractive multiples relative to the market and to where they have traded in the
past.
WestPoint Stevens highlights the characteristics we look for in a company.
It is the leading U.S. manufacturer of sheets and towels. It is well managed and
strongly profitable, has excellent growth prospects and is attuned to the
interests of shareholders. Generating significant free cash flow, the company
reinvests a portion of this money in its business at high rates of return and
uses a portion for an aggressive share repurchase program. By reducing the
number of shares outstanding, it increases the value of those remaining. Despite
these superior business characteristics, the stock trades at what we consider to
be a modest valuation.
In the second half of the year, we established new positions or added to
existing positions in an array of companies such as Watkins-Johnson Co., which
makes semiconductor manufacturing equipment and electronic products; Belden,
Inc., which manufactures wire and cable; and National Patent Development Corp.,
a holding company which owns General Physics, a provider of training to business
and government.
We eliminated or reduced such stocks as EG&G, Inc., Exabyte Corp., Jason,
Inc. and Security Capital Industrial Trust.
At December 31, 1997, the Portfolio's five largest equity positions were
Wang Laboratories, Inc., a systems integration and computer maintenance firm,
representing 4.1% of net assets; RenaissanceRe Holdings, a Bermuda-based
insurance company, 3.5% of net assets; A. Schulman, Inc., which produces
plastics and resins, 3.0% of net assets; The BISYS Group, Inc., which provides
data processing services for financial institutions, 2.6% of net assets; and
Flowserve Corp., which manufactures fluid handling equipment including pumps and
valves, 2.5% of net assets.
<PAGE>
Major equity industry positions were in the insurance sector, representing
16.0% of the Portfolio's net assets; manufacturing, 10.2% of net assets;
electronics, 7.9% of net assets; technology, 7.2% of net assets; and
machinery/engineering, 5.9% of net assets.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
OCC ACCUMULATION TRUST SMALL CAP PORTFOLIO FROM INCEPTION (8/1/88)*
THROUGH 12/31/97 AND TOTAL RETURN ON RUSSELL 2000 INDEX+
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------
1 YEAR 5 YEAR SINCE AUGUST 1, 1988*
------ ------ ---------------------
22.2% 14.6% 15.5%
[PERFORMANCE GRAPH]
Date Small Cap Portfolio Russell 2000 Index+
-------- ------------------- -------------------
8/1/88 $10,000 $10,000
12/31/88 $10,190 $ 9,936
12/31/89 $12,060 $11,549
12/31/90 $10,883 $ 9,295
12/31/91 $16,120 $13,575
12/31/92 $19,584 $16,076
12/31/93 $23,405 $19,113
12/31/94 $23,169 $18,778
12/31/95 $26,698 $24,121
12/31/96 $31,696 $28,099
12/31/97 $38,745 $34,383
The performance graph does not reflect charges imposed by the Variable Accounts.
Past performance is not predictive of future performance.
Assumes reinvestment of all dividends and distributions.
+ With dividends
* Based on results of the OCC Accumulation Trust and its predecessor. On
September 16, 1994, an investment company which had commenced operations on
August 1, 1988, called Quest for Value Accumulation Trust (the 'Old Trust'), was
effectively divided into two investment funds--the Old Trust and the present OCC
Accumulation Trust (the 'Present Trust')--at which time the Present Trust
commenced operations. The total net assets of the Small Cap Portfolio
immediately after the transaction were $139,812,573 in the Old Trust and
$8,129,274 in the Present Trust. For the period prior to September 16, 1994, the
performance figures for the Small Cap Portfolio of the Present Trust reflect the
performance of the Small Cap Portfolio of the Old Trust.
<PAGE>
MANAGED PORTFOLIO
The Managed Portfolio continued in 1997 as one of the top-performing funds
in Lipper's Variable Insurance Products Performance Analysis Service Report
flexible portfolio funds category, and was ranked number two in this category
for the five years ended December 31, 1997.
In 1997, the Portfolio had a total return of 22.3%, exceeding the average
total return of 18.9% for the funds in the Lipper flexible portfolio category.
The Portfolio's performance was 16th among the 84 flexible portfolio funds
monitored by Lipper. The Portfolio invests in stocks, bonds and cash
equivalents, with a bias toward stocks, which have outperformed other classes of
investments for nearly every five-year period since the Depression.
Like most funds, the Portfolio trailed the return of 33.4% with dividends
included for the Standard & Poor's 500 Index (S&P 500) in 1997. The S&P 500 is
an unmanaged index of 500 of the largest corporations weighted by market
capitalization, and its strong 1997 gain was driven primarily by a limited
number of large-capitalization stocks. The Portfolio's total return in the
second half of the year was 7.3%, compared with 10.6% for the S&P 500.
Our goal is to be long-term investors in superior businesses that can
increase the value of shareholders' capital through all market conditions. The
objectives of our strategy are: a) preserve capital, don't lose it; and b)
generate excellent returns for the Portfolio's shareholders. By consistently
applying this philosophy, we have generated highly favorable returns over
extended periods.
For instance, for the five years ended December 31, 1997, the Portfolio's
average annual return total return was 19.9%*, compared with an average annual
total return of 13.3% for the funds in the Lipper flexible portfolio category
and the average annual return of 20.3% for the S&P 500. The Portfolio's
five-year performance ranked second among the 55 funds in this Lipper universe.
Since its inception on August 1, 1988, the Portfolio has provided an average
annual total return of 20.3%*, surpassing the 17.8% average annual return for
the S&P 500. Returns for the Portfolio take into account expenses incurred by
the Portfolio, but not other charges imposed by the Variable Accounts.
We performed well in 1997 despite having a large cash position in a rising
stock market. The Portfolio's cash reserve of 28% of assets at the end of
December is a buffer against market volatility. We plan to use this cash to buy
stocks we like whenever they are available at attractive prices.
The recent volatility of the U.S. dollar and other currencies, coupled with
the Asian financial crisis, have caused some investors to be concerned about the
outlook for large U.S. multinational companies. As a result, some of these
companies' stocks fared worse in 1997 than more purely domestic companies. Such
companies owned by the Portfolio include McDonald's Corp. and Citicorp. While
one cannot take lightly the impact of the current economic difficulties in Asia,
we believe each of the multinational businesses owned by the Portfolio will
benefit substantially over the longer term, even if experiencing some short-term
earnings weakness. For instance, one of McDonald's biggest challenges in Asia
had been the very high cost of store locations in cities. These locations are
now 'on sale' for roughly half price in many locations.
During the second half of the year, we established a new position in the
common stock of Diageo plc, a premier global consumer products company. Diageo
was formed through the recent merger of two consumer products giants--Grand
Metropolitan plc and Guinness plc. Its well-known brands include Burger King,
Pillsbury and Smirnoff, among many others.
Another new position was Dow Chemical Co., a leading producer of chemicals
and plastics. Dow is in the process of divesting its underperforming businesses
to concentrate on those businesses with the highest returns and strongest
prospects. This contrasts with a strategy throughout most of the 1980s of
seeking to increase revenues and grow the company's so-called specialty
businesses without regard to return on capital. In addition to its new strategy
of focusing on its strengths, Dow is increasing shareholder value by
repurchasing shares.
During the half, we also established new positions in such stocks as Nike,
Inc., Solutia, Inc. and Time Warner, Inc.
We sold the Portfolio's holdings of Freeport McMoRan Copper & Gold and
Union Pacific Corp. and reduced several other holdings.
<PAGE>
The Portfolio's five largest equity positions at December 31, 1997 were
McDonald's Corp., a premier fast-food company with growing global markets,
representing 4.0% of net assets; Time Warner, Inc., a leading media and
entertainment company, 4.0% of net assets; Federal Home Loan Mortgage Corp.
(Freddie Mac), the second largest insurer of home mortgages in the United
States, 3.9% of net assets; Wells Fargo & Co., a leading bank in the Western
United States, representing 3.9% of net assets; and Caterpillar, Inc., which
manufactures earth-moving equipment and diesel engines, 3.9% of net assets.
Major equity industry positions were in the banking sector, 12.5% of the
Portfolio's net assets; chemicals, 9.5% of net assets; miscellaneous financial
services, 8.4% of net assets; food services, 6.6% of net assets; and aerospace
and defense, 5.9% of net assets.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
OCC ACCUMULATION TRUST MANAGED PORTFOLIO FROM INCEPTION (8/1/88)*
THROUGH 12/31/97 AND TOTAL RETURN ON S&P 500 INDEX+
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------
1 YEAR 5 YEAR SINCE AUGUST 1, 1988*
------ ------ ---------------------
22.3% 19.9% 20.3%
[PERFORMANCE GRAPH]
Date Managed Portfolio S&P 500 Index
-------- ----------------- -------------
8/1/88 $10,000 $10,000
12/31/88 $10,440 $10,383
12/31/89 $13,839 $13,673
12/31/90 $13,336 $13,249
12/31/91 $19,468 $17,285
12/31/92 $23,098 $18,602
12/31/93 $25,498 $20,475
12/31/94 $26,165 $20,746
12/31/95 $38,082 $28,542
12/31/96 $46,755 $35,095
12/31/97 $57,180 $46,804
The performance graph does not reflect charges imposed by the Variable Accounts.
Past performance is not predictive of future performance.
Assumes reinvestment of all dividends and distributions.
+ With dividends
* Based on results of the OCC Accumulation Trust and its predecessor. On
September 16, 1994, an investment company which had commenced operations on
August 1, 1988, called Quest for Value Accumulation Trust (the 'Old Trust'), was
effectively divided into two investment funds--the Old Trust and the present OCC
Accumulation Trust (the 'Present Trust')--at which time the Present Trust
commenced operations. The total net assets of the Managed Portfolio immediately
after the transaction were $682,601,380 in the Old Trust and $51,345,102 in the
Present Trust. For the period prior to September 16, 1994, the performance
figures for the Managed Portfolio of the Present Trust reflect the performance
of the Managed Portfolio of the Old Trust.
<PAGE>
U.S. GOVERNMENT INCOME PORTFOLIO
The U.S. Government Income Portfolio is intended for investors seeking high
current income from investments in Government securities. The Portfolio invests
in debt obligations issued or guaranteed by the U.S. Government and its agencies
or intermediaries. These issues are considered to carry the least credit risk.
The Portfolio invests primarily in intermediate-term securities and places a
priority on maintaining a relatively stable net asset value per share.
In 1997, the total return of the Portfolio was 7.0%, compared with 7.9% for
the Lehman Brothers Intermediate Government Bond Index (Lehman Index) and an
average of 8.7% for the funds in the Lipper U.S. Government fund category. The
Portfolio provided an average annual total return of 7.7% from its inception on
January 3, 1995 through December 31, 1997, versus 8.6% for the Lehman Index.
Returns take into account expenses incurred by the Portfolio, but not separate
account charges imposed by the insurance company.
We have been taking steps to improve the Portfolio's performance and
deliver favorable returns to shareholders. Most importantly, we have been
refocusing the Portfolio to longer bond maturities to capture higher yields. The
average maturity of the Portfolio was approximately 6.3 years at December 31,
1997, up from approximately 3.8 years a year earlier.
In addition, we have been increasing the Portfolio's holdings of U.S.
Treasury securities, where we find attractive value at this time. Prices of U.S.
Treasuries benefited late in the year from a 'flight to quality' in the wake of
the Asian financial crisis. At the end of December 1997, the Portfolio's assets
were allocated 49% to U.S. Treasury securities, 33% to U.S. Government agency
securities, 10% to mortgage-related securities, 7% to corporate notes, and 1% to
cash and cash equivalents.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
OCC ACCUMULATION TRUST U.S. GOVERNMENT INCOME PORTFOLIO FROM INCEPTION (1/3/95)
THROUGH 12/31/97 AND TOTAL RETURN ON LEHMAN INTERMEDIATE GOV'T. BOND INDEX
AVERAGE ANNUAL TOTAL RETURN
-------------------------------------------
1 YEAR 5 YEAR SINCE JANUARY 3, 1995
------ ------ ---------------------
7.0% N/A 7.7%
[PERFORMANCE GRAPH]
Lehman Intermediate
U.S. Government Government Bond
Date Income Portfolio Index
-------- ---------------- -------------------
1/3/95 $10,000 $10,000
12/31/95 $11,313 $11,441
12/31/96 $11,655 $11,906
12/31/97 $12,475 $12,825
The performance graph does not reflect charges imposed by the Variable Accounts.
Past performance is not predictive of future performance.
Assumes reinvestment of all dividends and distributions.
<PAGE>
MONEY MARKET PORTFOLIO
The Money Market Portfolio seeks maximum current income consistent with
stability of principal and liquidity. The seven-day compounded yield of the
Portfolio was 4.45% as of December 31, 1997. The average dollar-weighted
portfolio maturity was 14 days.
We manage the Portfolio conservatively, recognizing that shareholders of
money market funds view liquidity and safety of principal as their most
important objectives. Safety of principal is our first priority. Rather than
subjecting the Money Market Portfolio to additional risk to achieve a higher
return, we maintain a rigorous approach to analyzing and investing in quality
credits. These include the short-term securities of leading financial
institutions and industrial companies in the United States and abroad, as well
as marketable obligations of the United States Government, its agencies and
instrumentalities. At December 31, 1997, 78% of the Portfolio's net assets were
allocated to short-term corporate notes, with the remaining assets invested in
U.S. Government agency securities.
Although the Money Market Portfolio seeks to maintain its share price at
$1.00, an investment in the Portfolio is not guaranteed or insured by the U.S.
Government, and there is no assurance that the Portfolio will maintain a
constant price of $1.00 per share.
<PAGE>
OCC ACCUMULATION TRUST DECEMBER 31, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
EQUITY PORTFOLIO
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY NOTES -- 4.3%
$ 380,000 Federal Farm Credit Bank, 5.58%, 2/11/98 $ 377,585
875,000 Federal Home Loan Bank, 5.76%, 1/16/98 872,900
------------
Total U.S. Government Agency Notes (cost -- $1,250,485) $ 1,250,485
------------
SHORT-TERM CORPORATE NOTES -- 8.6%
AUTOMOTIVE -- 1.8%
$ 515,000 General Motors Acceptance Corp., 5.78%, 1/7/98 $ 514,504
------------
MACHINERY/ENGINEERING -- 1.2%
355,000 Deere (John) Capital Corp., 5.75%, 1/7/98 354,660
------------
MISCELLANEOUS FINANCIAL SERVICES -- 4.6%
155,000 American Express Credit Corp., 5.70%, 1/8/98 154,828
1,175,000 Associates Corp., N.A., 5.75%, 1/26/98 1,170,308
------------
1,325,136
------------
RETAIL -- 1.0%
275,000 Sears Roebuck Acceptance Corp., 5.88%, 1/22/98 274,057
------------
Total Short-Term Corporate Notes (cost -- $2,468,357) $ 2,468,357
------------
- -------------------------------------------------------------------------------
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS -- 87.3%
ADVERTISING -- 2.6%
17,600 Omnicom Group $ 745,800
------------
AEROSPACE/DEFENSE -- 3.8%
11,000 Lockheed Martin Corp. 1,083,500
------------
AUTOMOTIVE -- 2.1%
17,560 LucasVarity Corp. plc ADR 612,405
------------
BANKING -- 5.9%
6,556 Citicorp 828,924
2,533 Wells Fargo & Co. 859,795
------------
1,688,719
------------
BUILDING & CONSTRUCTION -- 2.6%
10,000 Armstrong World Industries, Inc. 747,500
------------
CHEMICALS -- 4.2%
7,000 du Pont (E.I.) de Nemours & Co. 420,438
7,698 Hercules, Inc. 385,381
8,910 Monsanto Co. 374,220
982 Solutia, Inc. 26,207
------------
1,206,246
------------
COMPUTER SERVICES -- 1.2%
12,000 Sabre Group Holdings, Inc.* $ 346,500
------------
CONGLOMERATES -- 3.3%
4,312 General Electric Co. 316,393
10,000 Textron, Inc. 625,000
------------
941,393
------------
CONSUMER PRODUCTS -- 1.2%
5,844 Avon Products, Inc. 358,676
------------
DRUGS & MEDICAL PRODUCTS -- 2.4%
14,042 Becton, Dickinson & Co. 702,100
------------
ELECTRONICS -- 2.7%
8,076 Arrow Electronics, Inc.* 261,965
8,000 Avnet, Inc. 528,000
------------
789,965
------------
FOOD SERVICES -- 5.5%
4,300 Diageo plc ADR 162,862
13,500 McDonald's Corp. 644,625
17,000 Sysco Corp. 774,563
------------
1,582,050
------------
HEALTH & HOSPITALS -- 3.2%
27,750 Tenet Healthcare Corp.* 919,219
------------
INSURANCE -- 22.0%
16,700 ACE Ltd. 1,611,550
7,372 AFLAC, Inc. 376,894
1,893 American International Group, Inc. 205,864
14,000 Everest Reinsurance Holdings, Inc. 577,500
24,452 EXEL Ltd. 1,549,645
5,000 General Re Corp. 1,060,000
7,000 Mid Ocean Ltd. 379,750
13,000 RenaissanceRe Holdings Ltd. 573,625
------------
6,334,828
------------
LEISURE -- 2.7%
14,000 Carnival Corp. 775,250
------------
MACHINERY/ENGINEERING -- 5.4%
20,000 Caterpillar, Inc. 971,250
16,000 Dover Corp. 578,000
------------
1,549,250
------------
MISCELLANEOUS FINANCIAL SERVICES -- 6.3%
19,912 Countrywide Credit Industries, Inc. 853,727
22,620 Federal Home Loan Mortgage Corp. 948,626
------------
1,802,353
------------
PRINTING/PUBLISHING -- 3.1%
11,000 Donnelley (R.R.) & Sons Co. 409,750
12,000 Reed International, Inc., plc ADR 493,500
------------
903,250
------------
* Non-income producing security.
<PAGE>
OCC ACCUMULATION TRUST DECEMBER 31, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
RETAIL -- 2.5%
13,888 May Department Stores Co. $ 731,724
------------
TELECOMMUNICATIONS -- 1.2%
6,000 Sprint Corp. 351,750
------------
TRANSPORTATION -- 3.4%
4,300 AMR Corp.* 552,550
16,000 Canadian Pacific Ltd. 436,000
------------
988,550
------------
Total Common Stocks (cost -- $17,243,294) $ 25,161,028
------------
Total Investments (cost -- $20,962,136) 100.2% $ 28,879,870
Liabilities in Excess of Other Assets (0.2) (59,892)
----- ------------
Total Net Assets 100.0% $ 28,819,978
----- ------------
----- ------------
SMALL CAP PORTFOLIO
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY NOTES -- 2.6%
$ 2,645,000 Federal Home Loan Bank, 5.72%, 1/2/98 $ 2,644,580
240,000 Federal Home Loan Mortgage Corp.,
5.38%, 1/6/98 239,820
------------
Total U.S. Government Agency Notes (cost -- $2,884,400) $ 2,884,400
------------
SHORT-TERM CORPORATE NOTES -- 12.9%
AUTOMOTIVE -- 1.7%
$ 1,931,000 Ford Motor Credit Co., 5.88%, 1/6/98 $ 1,929,423
------------
CONGLOMERATES -- 2.4%
General Electric Capital Corp.,
1,113,000 5.50%, 1/6/98 1,112,150
1,549,000 5.80%, 1/6/98 1,547,752
------------
2,659,902
------------
MACHINERY/ENGINEERING -- 3.6%
4,000,000 Deere (John) Capital Corp., 5.75%, 1/7/98 3,996,167
------------
MISCELLANEOUS FINANCIAL SERVICES -- 5.2%
Household Financial Corp.,
470,000 5.80%, 1/13/98 469,092
3,162,000 5.85%, 1/13/98 3,155,834
2,091,000 Norwest Financial Inc., 5.72%, 2/3/98 2,080,036
------------
5,704,962
------------
Total Short-Term Corporate Notes (cost -- $14,290,454) $ 14,290,454
------------
- -------------------------------------------------------------------------------
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS -- 88.1%
AUTOMOTIVE -- 1.2%
25,900 Borg-Warner Automotive, Inc. $ 1,346,800
------------
BUILDING & CONSTRUCTION -- 2.7%
100,000 Champion Enterprises, Inc.* 2,056,250
60,200 Chicago Bridge & Iron Co. 978,250
------------
3,034,500
------------
CHEMICALS -- 5.6%
34,600 McWhorter Technologies, Inc.* 890,950
132,800 Schulman (A.), Inc. 3,336,600
73,400 Triarc Companies, Inc.* 2,000,150
------------
6,227,700
------------
COMPUTER SERVICES -- 4.4%
85,300 BA Merchants Services, Inc.* 1,514,075
59,367 BancTec, Inc.* 1,591,778
50,600 National Data Corp. 1,827,925
------------
4,933,778
------------
DRUGS & MEDICAL PRODUCTS -- 2.3%
36,400 Dentsply International, Inc. 1,110,200
37,800 SpaceLabs Medical, Inc.* 718,200
36,800 Vital Signs, Inc. 717,600
------------
2,546,000
------------
ELECTRONICS -- 7.9%
83,100 Exar Corp.* 1,371,150
143,500 General Semiconductor, Inc.* 1,659,219
27,120 Oak Industries, Inc.* 805,125
23,200 Tracor, Inc.* 704,700
91,700 Watkins-Johnson Co. 2,378,469
49,900 Watts Industries, Inc. 1,412,793
22,000 Woodhead Industries, Inc. 412,500
------------
8,743,956
------------
ENERGY -- 6.6%
46,600 Basin Exploration, Inc. 827,150
87,700 Cabot Oil & Gas Corp. 1,704,669
46,300 KCS Energy, Inc. 960,725
19,300 Newfield Exploration Co.* 449,931
35,800 Nuevo Energy Co.* 1,458,850
53,100 St. Mary Land & Exploration Co. 1,858,500
------------
7,259,825
------------
HEALTH & HOSPITALS -- 3.1%
98,500 Magellan Health Services, Inc.* 2,117,750
51,300 Trigon Healthcare, Inc.* 1,340,213
------------
3,457,963
------------
INSURANCE -- 16.0%
83,300 CNA Surety Corp.* 1,285,944
51,500 Corvel Corp.* 1,944,125
55,522 Delphi Financial Group, Inc.* 2,498,490
19,000 Enhance Financial Services Group, Inc. 1,130,500
57,000 E.W. Blanch Holdings, Inc. 1,962,937
78,600 Gryphon Holdings, Inc.* 1,316,550
46,000 Horace Mann Educators Corp. 1,308,125
86,800 RenaissanceRe Holdings Ltd. 3,830,050
95,600 United Wisconsin Services, Inc. 2,461,700
------------
17,738,421
------------
* Non-income producing security.
<PAGE>
OCC ACCUMULATION TRUST DECEMBER 31, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
SHARES VALUE
- -------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY/ENGINEERING -- 5.9%
50,000 Ametek, Inc. $ 1,350,000
99,100 Flowserve Corp. 2,768,606
56,200 Kaydon Corp. 1,833,525
14,200 Medusa Corp. 593,738
------------
6,545,869
------------
MANUFACTURING -- 10.2%
243,900 Baldwin Technology, Inc. (Class A)* 1,219,500
26,300 Belden, Inc. 927,075
61,700 Easco, Inc. 817,525
63,900 Guilford Mills, Inc. 1,749,263
141,000 Lydall, Inc.* 2,749,500
83,300 National Patent Development Corp.* 1,155,787
81,200 OmniQuip International, Inc. 1,618,925
38,200 Roper Industries, Inc. 1,079,150
------------
11,316,725
------------
MISCELLANEOUS FINANCIAL SERVICES -- 2.6%
85,300 The BISYS Group, Inc.* 2,836,225
------------
PAPER PRODUCTS -- .8%
42,300 Rock-Tenn Co. 867,150
------------
PRINTING/PUBLISHING -- 3.0%
29,400 Bowne & Co., Inc. 1,172,325
19,800 Harland (John. H.) Co. 415,800
120,000 Hollinger International, Inc. 1,680,000
------------
3,268,125
------------
REAL ESTATE -- .2%
114 Security Capital Group, Inc. (Class A)* 179,798
------------
RETAIL -- .4%
13,000 Longs Drugs Stores Corp. 417,625
------------
TECHNOLOGY -- 7.2%
201,500 Auspex Systems, Inc.* 2,015,000
32,400 Harman International Industries, Inc. 1,374,975
204,900 Wang Laboratories, Inc.* 4,533,412
------------
7,923,387
------------
TELECOMMUNICATIONS -- 3.4%
13,700 ACC Corp.* 691,850
101,000 CommScope, Inc.* 1,357,187
36,200 TCA Cable TV, Inc. 1,665,200
------------
3,714,237
------------
TEXTILES/APPAREL -- 3.7%
34,000 Burlington Industries, Inc.* 469,625
106,800 Paxar Corp. 1,581,975
42,500 Westpoint Stevens, Inc. (Class A)* 2,008,125
------------
4,059,725
------------
TRANSPORTATION -- .9%
63,750 Interpool, Inc. 944,297
------------
Total Common Stocks (cost -- $87,731,210) $ 97,362,106
------------
Total Investments (cost -- $104,906,064) 103.6% $114,536,960
Liabilities in Excess of Other Assets (3.6) (3,972,454)
----- ------------
Total Net Assets 100.0% $110,564,506
----- ------------
----- ------------
MANAGED PORTFOLIO
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY NOTES -- 1.0%
$ 4,810,000 Federal Home Loan Bank, 5.68%, 1/6/98
(cost -- $4,806,225) $ 4,806,225
------------
SHORT-TERM CORPORATE NOTES -- 27.3%
AUTOMOTIVE -- 7.3%
Ford Motor Credit Co.,
$17,670,000 5.71%, 1/5/98 $ 17,658,789
1,425,000 5.75%, 1/28/98 1,418,855
15,000,000 General Motors Acceptance Corp., 5.78%, 1/7/98 14,985,550
------------
34,063,194
------------
INSURANCE -- 1.0%
4,695,000 Prudential Funding Corp., 5.73%, 2/2/98 4,671,087
------------
MACHINERY/ENGINEERING -- 3.6%
17,000,000 Deere (John) Capital Corp., 5.55%, 2/4/98 16,910,892
------------
MISCELLANEOUS FINANCIAL SERVICES -- 11.9%
15,000,000 Associates Corp., N.A., 5.75%, 1/26/98 14,940,104
Household Finance Corp.,
3,790,000 5.80%, 1/12/98 3,783,283
4,952,000 5.85%, 1/12/98 4,943,149
Merrill Lynch & Co., Inc.,
2,980,000 5.84%, 1/15/98 2,973,232
13,020,000 5.88%, 1/15/98 12,990,228
15,770,000 Norwest Financial Inc., 5.72%, 2/2/98 15,689,818
------------
55,319,814
------------
RETAIL -- 2.6%
Sears Roebuck Acceptance Corp.,
5,095,000 5.88%, 1/22/98 5,077,524
7,135,000 5.90%, 1/22/98 7,110,444
------------
12,187,968
------------
TECHNOLOGY -- .9%
4,270,000 IBM Credit Corp., 5.55%, 2/2/98 4,248,934
------------
Total Short-Term Corporate Notes (cost -- $127,401,889) $127,401,889
------------
U.S. TREASURY NOTES AND BONDS -- .4%
$700,000 6.25%, 8/15/23 $ 721,000
630,000 7.875%, 4/15/98 634,234
297,500 7.875%, 8/15/01 318,045
------------
Total U.S. Treasury Notes and Bonds (cost -- $1,509,392) $ 1,673,279
------------
* Non-income producing security.
<PAGE>
OCC ACCUMULATION TRUST DECEMBER 31, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
SHARES VALUE
- -------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- .0%
RETAIL -- .0%
2,478 Venture Stores, Inc., $3.25 Conv. Pfd.
(cost -- $102,527) $ 26,948
------------
COMMON STOCKS -- 71.3%
AEROSPACE/DEFENSE -- 5.9%
250,000 Boeing Co. $ 12,234,375
155,000 Lockheed Martin Corp. 15,267,500
------------
27,501,875
------------
BANKING -- 12.5%
155,000 BankBoston Corp. 14,560,313
127,000 Citicorp 16,057,562
21,000 First Empire State Corp. 9,765,000
53,000 Wells Fargo & Co. 17,990,188
------------
58,373,063
------------
CHEMICALS -- 9.5%
50,000 Dow Chemical Co. 5,075,000
290,000 du Pont (E.I.) de Nemours & Co. 17,418,125
70,000 Hercules, Inc. 3,504,375
310,000 Monsanto Co. 13,020,000
200,000 Solutia, Inc. 5,337,500
------------
44,355,000
------------
CONGLOMERATES -- 1.5%
180,000 Tenneco, Inc. 7,110,000
------------
CONSUMER PRODUCTS -- 3.9%
325,200 Mattel, Inc. 12,113,700
150,000 Nike, Inc. 5,887,500
------------
18,001,200
------------
DRUGS & MEDICAL PRODUCTS -- 1.4%
130,000 Becton, Dickinson & Co. 6,500,000
------------
ENERGY -- .5%
70,000 Triton Energy Ltd.* 2,043,125
20,000 Union Pacific Resources Group, Inc. 485,000
------------
2,528,125
------------
FOOD SERVICES -- 6.6%
325,000 Diageo plc ADR 12,309,375
390,000 McDonald's Corp. 18,622,500
------------
30,931,875
------------
INSURANCE -- 3.8%
74,700 ACE Ltd. 7,208,550
138,600 EXEL Ltd. 8,783,775
15,400 Transamerica Corp. 1,640,100
------------
17,632,425
------------
MACHINERY/ENGINEERING -- 3.8%
370,000 Caterpillar, Inc. 17,968,125
------------
MEDIA/BROADCAST -- 4.0%
300,000 Time Warner, Inc. 18,600,000
------------
MISCELLANEOUS FINANCIAL SERVICES -- 8.4%
70,000 American Express Co. $ 6,247,500
130,000 Countrywide Credit Industries, Inc. 5,573,750
430,000 Federal Home Loan Mortgage Corp. 18,033,125
160,600 Federal National Mortgage Assoc. 9,164,237
------------
39,018,612
------------
PAPER PRODUCTS -- 2.1%
220,000 Champion International Corp. 9,968,750
------------
PRINTING/PUBLISHING -- .2%
25,000 Donnelley (R.R.) & Sons Co. 931,250
------------
REAL ESTATE -- .5%
1,399 Security Capital Group Inc. (Class A) * 2,209,763
------------
TECHNOLOGY -- 4.6%
75,000 Computer Associates International, Inc. 3,965,625
75,000 Intel Corp. 5,268,750
420,000 National Semiconductor Corp.* 10,893,750
60,000 Unitrode Corp. * 1,290,000
------------
21,418,125
------------
TELECOMMUNICATIONS -- 2.1%
346,420 Tele-Communications, Inc. (Class A) * 9,808,016
------------
Total Common Stocks (cost -- $260,773,590) $332,856,204
------------
Total Investments (cost -- $394,593,623) 100.0% $466,764,545
Other Assets in Excess of Liabilities 0.0 26,679
----- ------------
Total Net Assets 100.0% $466,791,224
----- ------------
----- ------------
U.S. GOVERNMENT INCOME PORTFOLIO
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------
U.S. TREASURY NOTES -- 48.7%
$ 300,000 5.75%, 8/15/03 $ 300,186
480,000 5.875%, 1/31/99 481,123
475,000 5.875%, 11/30/01 476,928
160,000 6.00%, 9/30/98 160,450
540,000 6.25%, 4/30/01 548,435
1,150,000 6.50%, 10/15/06 1,204,085
125,000 7.25%, 5/15/04 134,902
85,000 7.50%, 2/15/05 93,420
------------
Total U.S. Treasury Notes (cost -- $3,326,146) $ 3,399,529
------------
* Non-income producing security.
<PAGE>
OCC ACCUMULATION TRUST DECEMBER 31, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY NOTES -- 32.8%
Federal Farm Credit Bank,
$ 20,000 5.58%, 2/11/98 $ 19,873
75,000 8.65%, 10/1/99 78,445
Federal Home Loan Bank,
345,000 6.90%, 2/7/07 363,437
100,000 8.09%, 12/28/04 111,547
155,000 8.60%, 8/25/99 161,756
Federal Home Loan Mortgage Corp.,
175,000 6.22%, 3/24/03 177,242
300,000 7.71%, 6/21/04 306,609
125,000 7.75%, 11/7/01 132,734
150,000 8.115%, 1/31/05 167,601
Federal National Mortgage Assoc.,
60,000 5.375%, 6/10/98 59,935
150,000 9.20%, 9/11/00 162,421
150,000 Private Export Funding Corp., 9.10%, 10/30/98 153,914
Student Loan Marketing Assoc.,
75,000 7.00%, 3/3/98 75,140
100,000 7.20%, 11/9/00 103,578
Tennessee Valley Authority,
150,000 6.00%, 11/1/00 150,587
65,000 8.375%, 10/1/99 67,701
------------
Total U.S. Government Agency Notes (cost -- $2,255,250) $ 2,292,520
------------
MORTGAGE-RELATED SECURITIES -- 10.6%
$ 278,913 Federal Home Loan Mortgage Corp., 6.00%, 9/1/12 $ 274,381
Federal National Mortgage Assoc.,
167,835 6.50%, 5/1/26 166,051
166,421 7.00%, 1/1/10 169,801
6,033 9.00%, 8/1/02 6,201
14,507 9.50%, 12/1/06 15,097
34,042 9.50%, 3/1/19 36,776
66,899 9.50%, 12/1/19 72,146
------------
Total Mortgage-Related Securities (cost -- $724,254) $ 740,453
------------
CORPORATE NOTES -- 6.7%
CONGLOMERATES -- 1.5%
$ 100,000 General Electric Capital Corp., 8.375%, 3/1/01 $ 106,372
------------
MISCELLANEOUS FINANCIAL SERVICES -- 5.2%
125,000 Associates Corp., N.A., 5.25%, 3/30/00 122,722
125,000 International Lease Finance Corp., 6.125%, 11/1/99 124,923
100,000 Lehman Brothers Holdings, Inc., 8.50%, 5/1/07 111,259
------------
358,904
------------
Total Corporate Notes (cost -- $452,401) $ 465,276
------------
Total Investments (cost -- $6,758,051) 98.8% $ 6,897,778
Other Assets in Excess of Liabilities 1.2 85,497
----- ------------
Total Net Assets 100.0% $ 6,983,275
----- ------------
----- ------------
MONEY MARKET PORTFOLIO
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY NOTES -- 23.0%
$ 475,000 Federal Home Loan Bank, 5.78%, 1/8/98 $ 474,466
25,000 Federal Home Loan Mortgage Corp., 5.38%, 1/6/98 24,981
------------
Total U.S. Government Agency Notes (amortized cost -- $499,447) $ 499,447
------------
SHORT-TERM CORPORATE NOTES -- 77.6%
BANKING -- 22.8%
$150,000 Abbey National North America, 5.48%, 2/3/98 $ 149,246
160,000 Banque Nationale De Paris (NY), 5.56%, 1/5/98 159,901
184,000 Halifax plc, 5.55%, 1/5/98 183,887
------------
493,034
------------
ENTERTAINMENT -- 4.6%
100,000 Walt Disney Co., 5.72%, 1/13/98 99,809
------------
MACHINERY/ENGINEERING -- 4.6%
100,000 Deere (John) Capital Corp., 5.77%, 1/9/98 99,872
------------
MISCELLANEOUS FINANCIAL SERVICES -- 20.7%
100,000 Associates Corp., N.A., 5.78%, 1/5/98 99,936
100,000 Beneficial Corp., 5.65%, 1/8/98 99,890
100,000 Merrill Lynch & Co., Inc., 5.85%, 1/14/98 99,789
150,000 Morgan Stanley Dean Witter Discover, 5.51%, 1/15/98 149,678
------------
449,293
------------
SOVEREIGN -- 13.4%
180,000 Canadian Wheat Board, 5.45%, 1/6/98 179,864
110,000 Sweden (Kingdom of), 5.22%, 3/16/98 108,752
------------
288,616
------------
TELECOMMUNICATIONS -- 4.6%
100,000 American Telephone & Telegraph Co., 5.71%, 1/12/98 99,826
------------
TOBACCO/BEVERAGES/FOOD PRODUCTS -- 6.9%
150,000 Coca Cola Co., 5.44%, 1/22/98 149,524
------------
Total Short-Term Corporate Notes (amortized cost -- $1,679,974) $ 1,679,974
------------
Total Investments (amortized cost -- $2,179,421) 100.6% $ 2,179,421
Liabilities in Excess of Other Assets (0.6) (13,354)
----- ------------
Total Net Assets 100.0% $ 2,166,067
----- ------------
----- ------------
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
<TABLE>
<CAPTION>
U.S. GOVERNMENT MONEY
EQUITY SMALL CAP MANAGED INCOME MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ ---------------- ----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (cost --
$20,962,136, $104,906,064,
$394,593,623, $2,179,421 and
$6,758,051, respectively)... $28,879,870 $114,536,960 $466,764,545 $6,897,778 $2,179,421
Cash.......................... 8,823 -- 30,991 1,486 7,664
Receivable from investments
sold........................ -- 1,419,920 -- -- --
Receivable from fund shares
sold........................ 17,071 101,168 349,124 5,740 --
Dividends receivable.......... 29,714 34,329 159,492 -- --
Interest receivable........... -- -- 36,006 98,362 --
Other assets.................. 240 357 2,020 238 151
----------- ------------ ------------ ---------------- ----------
Total Assets........ 28,935,718 116,092,734 467,342,178 7,003,604 2,187,236
----------- ------------ ------------ ---------------- ----------
LIABILITIES
Payable for investments
purchased................... -- 5,323,098 -- -- --
Payable for fund shares
redeemed.................... 75,053 62,271 103,403 3,121 4,917
Investment advisory fee
payable..................... 21,901 79,892 338,529 4,102 1,405
Due to custodian.............. -- 17,756 -- -- --
Other payables and accrued
expenses.................... 18,786 45,211 109,022 13,106 14,847
----------- ------------ ------------ ---------------- ----------
Total Liabilities... 115,740 5,528,228 550,954 20,329 21,169
----------- ------------ ------------ ---------------- ----------
Total Net Assets.... $28,819,978 $110,564,506 $466,791,224 $6,983,275 $2,166,067
----------- ------------ ------------ ---------------- ----------
----------- ------------ ------------ ---------------- ----------
COMPOSITION OF NET ASSETS
Par value ($.01 per share).... $ 7,892 $ 41,923 $ 110,147 $ 6,644 $ 21,663
Paid-in-capital in excess of
par......................... 19,247,103 96,160,907 374,290,916 6,839,414 2,144,595
Accumulated undistributed net
investment income........... 311,417 397,655 4,115,641 -- --
Accumulated net realized gain
(loss) on investments....... 1,335,832 4,333,125 16,103,598 (2,510) (191)
Net unrealized appreciation on
investments................. 7,917,734 9,630,896 72,170,922 139,727 --
----------- ------------ ------------ ---------------- ----------
Total Net Assets.... $28,819,978 $110,564,506 $466,791,224 $6,983,275 $2,166,067
----------- ------------ ------------ ---------------- ----------
----------- ------------ ------------ ---------------- ----------
Fund shares outstanding....... 789,233 4,192,273 11,014,702 664,374 2,166,257
----------- ------------ ------------ ---------------- ----------
Net asset value per share..... $ 36.52 $ 26.37 $ 42.38 $ 10.51 $ 1.00
----------- ------------ ------------ ---------------- ----------
----------- ------------ ------------ ---------------- ----------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
<TABLE>
<CAPTION>
U.S. GOVERNMENT MONEY
EQUITY SMALL CAP MANAGED INCOME MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ----------- --------------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (net of foreign
withholding taxes of
$3,194, $2,271, $0, $0
and $0, respectively).... $ 326,208 $ 426,467 $ 3,032,861 $ -- $ --
Interest.................... 231,179 573,593 3,621,915 383,125 242,856
---------- ----------- ----------- --------------- ---------
Total investment income.. 557,387 1,000,060 6,654,776 383,125 242,856
---------- ----------- ----------- --------------- ---------
OPERATING EXPENSES
Investment advisory fees
(note 2A)................ 199,896 498,382 2,321,835 35,757 17,502
Custodian fees (note 1G).... 16,039 34,542 47,889 10,306 8,874
Transfer and dividend
disbursing agent fees.... 9,239 10,328 11,706 4,929 8,560
Audit fees.................. 8,978 10,100 15,700 9,600 9,600
Trustees' fees and
expenses................. 9,614 19,188 28,217 -- --
Reports and notices to
shareholders............. 2,138 9,571 28,817 750 767
Legal fees.................. 443 1,253 5,500 97 100
Miscellaneous............... 1,175 20,651 80,936 1,834 817
---------- ----------- ----------- --------------- ---------
Total operating
expenses............... 247,522 604,015 2,540,600 63,273 46,220
Less: Investment advisory
fees waived (note 2A).. -- -- -- (8,028) (3,123)
Less: Expenses offset
(note 1G).............. (1,552) (1,611) (1,465) (292) (359)
---------- ----------- ----------- --------------- ---------
Net operating
expenses............ 245,970 602,404 2,539,135 54,953 42,738
---------- ----------- ----------- --------------- ---------
Net investment income.. 311,417 397,656 4,115,641 328,172 200,118
---------- ----------- ----------- --------------- ---------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS -- NET
Net realized gain (loss) on
investments.............. 1,335,830 4,341,925 16,103,603 13,044 (178)
Net change in unrealized
appreciation
(depreciation) on
investments.............. 4,175,591 6,375,677 32,559,342 124,161 --
---------- ----------- ----------- --------------- ---------
Net realized gain
(loss) and change in
unrealized
appreciation
(depreciation) on
investments ....... 5,511,421 10,717,602 48,662,945 137,205 (178)
---------- ----------- ----------- --------------- ---------
Net increase in net assets
resulting from operations... $5,822,838 $11,115,258 $52,778,586 $ 465,377 $ 199,940
---------- ----------- ----------- --------------- ---------
---------- ----------- ----------- --------------- ---------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
EQUITY PORTFOLIO SMALL CAP PORTFOLIO MANAGED PORTFOLIO
------------------------ ------------------------- --------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
------------------------ ------------------------- --------------------------
1997 1996 1997 1996 1997 1996
----------- ----------- ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income...................... $ 311,417 $ 188,895 $ 397,656 $ 226,925 $ 4,115,641 $ 2,161,819
Net realized gain (loss) on investments.... 1,335,830 672,433 4,341,925 1,679,412 16,103,603 6,639,637
Net change in unrealized appreciation
(depreciation) on investments............ 4,175,591 2,218,378 6,375,677 2,142,715 32,559,342 18,285,659
----------- ----------- ------------ ----------- ------------ ------------
Net increase in net assets resulting from
operations............................. 5,822,838 3,079,706 11,115,258 4,049,052 52,778,586 27,087,115
----------- ----------- ------------ ----------- ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Net investment income...................... (188,895) (111,781) (226,926) (211,870) (2,161,818) (1,378,070)
Net realized gains......................... (672,432) (223,969) (1,600,321) (544,700) (6,639,642) (878,874)
----------- ----------- ------------ ----------- ------------ ------------
Total dividends and distributions to
shareholders........................... (861,327) (335,750) (1,827,247) (756,570) (8,801,460) (2,256,944)
----------- ----------- ------------ ----------- ------------ ------------
FUND SHARE TRANSACTIONS
Net proceeds from sales.................... 10,880,025 9,184,397 70,252,565 17,604,938 260,261,576 79,297,599
Proceeds from shares issued in connection
with the reorganization of the Bond
Portfolio (see note 1)................... -- -- -- -- -- --
Reinvestment of dividends and
distributions............................ 861,327 335,750 1,827,247 756,533 8,801,460 2,256,944
Cost of shares redeemed.................... (7,725,883) (1,457,087) (5,059,988) (3,401,674) (26,977,032) (24,844,767)
----------- ----------- ------------ ----------- ------------ ------------
Net increase (decrease) in net assets
from fund share transactions........... 4,015,469 8,063,060 67,019,824 14,959,797 242,086,004 56,709,776
----------- ----------- ------------ ----------- ------------ ------------
Total increase (decrease) in net
assets............................. 8,976,980 10,807,016 76,307,835 18,252,279 286,063,130 81,539,947
NET ASSETS
Beginning of year.......................... 19,842,998 9,035,982 34,256,671 16,004,392 180,728,094 99,188,147
----------- ----------- ------------ ----------- ------------ ------------
End of year (including undistributed net
investment income of $311,417 and
$188,895; $397,655 and $226,925;
$4,115,641 and $2,161,818; $0 and $0 and
$0 and $0, respectively)................. $28,819,978 $19,842,998 $110,564,506 $34,256,671 $466,791,224 $180,728,094
----------- ----------- ------------ ----------- ------------ ------------
----------- ----------- ------------ ----------- ------------ ------------
SHARES ISSUED AND REDEEMED
Issued..................................... 328,269 339,540 2,800,876 837,586 6,451,958 2,403,077
Shares issued in connection with the
reorganization of the Bond Portfolio (see
note 1).................................. -- -- -- -- -- --
Issued in reinvestment of dividends and
distributions............................ 28,807 13,029 83,857 38,520 243,943 73,016
Redeemed................................... (227,653) (53,448) (207,710) (164,530) (672,569) (775,472)
----------- ----------- ------------ ----------- ------------ ------------
Net increase (decrease).................. 129,423 299,121 2,677,023 711,576 6,023,332 1,700,621
----------- ----------- ------------ ----------- ------------ ------------
----------- ----------- ------------ ----------- ------------ ------------
<CAPTION>
U.S. GOVERNMENT
INCOME PORTFOLIO MONEY MARKET PORTFOLIO
----------------------- -------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
----------------------- -------------------------
1997 1996 1997 1996
----------- ---------- ------------ -----------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income...................... $ 328,172 $ 130,053 $ 200,118 $ 181,416
Net realized gain (loss) on investments.... 13,044 (7,891 ) (178) (14 )
Net change in unrealized appreciation
(depreciation) on investments............ 124,161 (26,424 ) -- --
----------- ---------- ------------ -----------
Net increase in net assets resulting from
operations............................. 465,377 95,738 199,940 181,402
----------- ---------- ------------ -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Net investment income...................... (328,172 ) (130,053 ) (200,118) (181,416 )
Net realized gains......................... (7,663 ) -- -- (46 )
----------- ---------- ------------ -----------
Total dividends and distributions to
shareholders........................... (335,835 ) (130,053 ) (200,118) (181,462 )
----------- ---------- ------------ -----------
FUND SHARE TRANSACTIONS
Net proceeds from sales.................... 2,093,607 2,180,216 7,068,886 6,146,104
Proceeds from shares issued in connection
with the reorganization of the Bond
Portfolio (see note 1)................... 2,172,639 -- -- --
Reinvestment of dividends and
distributions............................ 335,840 130,663 200,008 182,704
Cost of shares redeemed.................... (1,170,351 ) (297,024 ) (10,381,691) (5,405,790 )
----------- ---------- ------------ -----------
Net increase (decrease) in net assets
from fund share transactions........... 3,431,735 2,013,855 (3,112,797) 923,018
----------- ---------- ------------ -----------
Total increase (decrease) in net
assets............................. 3,561,277 1,979,540 (3,112,975) 922,958
NET ASSETS
Beginning of year.......................... 3,421,998 1,442,458 5,279,042 4,356,084
----------- ---------- ------------ -----------
End of year (including undistributed net
investment income of $311,417 and
$188,895; $397,655 and $226,925;
$4,115,641 and $2,161,818; $0 and $0 and
$0 and $0, respectively)................. $6,983,275 $3,421,998 $ 2,166,067 $5,279,042
----------- ---------- ------------ -----------
----------- ---------- ------------ -----------
SHARES ISSUED AND REDEEMED
Issued..................................... 202,361 209,939 7,068,886 6,146,104
Shares issued in connection with the
reorganization of the Bond Portfolio (see
note 1).................................. 212,587 -- -- --
Issued in reinvestment of dividends and
distributions............................ 32,289 12,589 200,008 182,704
Redeemed................................... (112,598 ) (28,592 ) (10,381,691) (5,405,790 )
----------- ---------- ------------ -----------
Net increase (decrease).................. 334,639 193,936 (3,112,797) 923,018
----------- ---------- ------------ -----------
----------- ---------- ------------ -----------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1997
(1) ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
OCC Accumulation Trust (the 'Trust') was organized May 12, 1994 as a
Massachusetts business trust and is registered under the Investment Company Act
of 1940, as amended, as a diversified, open-end, management investment company.
The Equity Portfolio, the Small Cap Portfolio, the Managed Portfolio, the U.S.
Government Income Portfolio and the Money Market Portfolio (collectively, the
'Portfolios') are five of seven portfolios offered in the Trust. The
accompanying financial statements and notes thereto are those of the Portfolios.
The Trust is an investment vehicle for variable annuity and variable life
insurance contracts of various life insurance companies, and qualified pension
and retirement plans. Each portfolio is authorized to issue an unlimited number
of shares of beneficial interest at $.01 par value.
On February 26, 1997, the Securities and Exchange Commission approved an
Order of Substitution (the 'Order') of shares of the U.S. Government Income
Portfolio for shares of the OCC Accumulation Trust Bond Portfolio ('Bond
Portfolio'). Pursuant to the Order, the Bond Portfolio transferred all of its
net assets to shareholders of the Bond Portfolio which were exchanged for shares
of the U.S. Government Income Portfolio with a value equivalent to the value of
the net assets received by the U.S. Government Income Portfolio, including
unrealized depreciation of securities of $2,273. In connection with the Order,
the shareholders of the Bond Portfolio received 212,587 shares of the U.S.
Government Income Portfolio. Immediately prior to the Order, the aggregate net
assets of the U.S. Government Income Portfolio were $3,870,116.
On October 14, 1997, the shareholders of the Trust approved a new
investment advisory agreement with OpCap Advisors (the 'Adviser'). This
agreement was substantially similar to the existing agreement and became
effective on November 5, 1997. On November 4, 1997, PIMCO Advisors L.P. and its
affiliates, acquired a one-third managing general partner interest in
Oppenheimer Capital, whose subsidiary, OpCap Advisors, serves as Adviser to the
Trust. On November 30, 1997, Oppenheimer Capital merged with a subsidiary of
PIMCO Advisors and, as a result, Oppenheimer Capital became an indirect
wholly-owned subsidiary of PIMCO Advisors. On November 3, 1997, CIBC Wood Gundy
Securities Corp. acquired the business of Oppenheimer & Co., Inc., which is now
called CIBC Oppenheimer Corp. Accordingly, CIBC Oppenheimer Corp. is no longer
affiliated with OpCap Advisors or the Trust.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements:
(A) VALUATION OF INVESTMENTS
The Money Market Portfolio: Portfolio securities are valued at amortized
cost, which approximates market value. The amortized cost method involves
valuing a security at cost on the date of purchase and thereafter assuming a
constant dollar amortization to maturity of the difference between the principal
amount due at maturity and the initial cost of the security. The Equity, Small
Cap, Managed and U.S. Government Income Portfolios: Investment securities, other
than debt securities, listed on a national securities exchange or traded in the
over-the-counter National Market System are valued each business day at the last
reported sale price; if there are no such reported sales, the securities are
valued at their last quoted bid price. Other securities traded over-the-counter
and not part of the National Market System are valued at the last quoted bid
price. Investment debt securities (other than short-term obligations) are valued
each business day by an independent pricing service (approved by the Board of
Trustees) using methods which include current market quotations from a major
market maker in the securities and trader-reviewed 'matrix' prices. Short-term
debt securities having a remaining maturity of sixty days or less are valued at
amortized cost or amortized value, which approximates market value. Any
securities or other assets for which market quotations are not readily available
are valued at their fair value as determined in good faith by the Board of
Trustees. The ability of issuers of debt instruments to meet their obligations
may be affected by economic developments in a specific industry or region.
<PAGE>
OCC ACCUMULATION TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1997
(1) ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
(B) FEDERAL INCOME TAXES
It is the Trust's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its taxable income to shareholders; accordingly, no Federal
income tax provision is required.
(C) INVESTMENT TRANSACTIONS AND OTHER INCOME
Investment transactions are accounted for on the trade date. In determining
the gain or loss from the sale of investments, the cost of investments sold has
been determined on the basis of identified cost. Dividend income is recorded on
the ex-dividend date and interest income is accrued as earned. Discounts or
premiums on debt securities purchased are accreted or amortized to interest
income over the lives of the respective securities.
(D) DIVIDENDS AND DISTRIBUTIONS
The Equity, Small Cap and Managed Portfolios: Dividends and distributions
to shareholders from net investment income and net realized capital gains, if
any, are declared and paid at least annually. The U.S. Government Income and
Money Market Portfolios: Dividends from net investment income are declared daily
and paid monthly. Distributions from net realized capital gains, if any, are
declared and paid at least annually.
The Trust's portfolios record dividends and distributions to its
shareholders on the ex-dividend date. The amount of dividends and distributions
is determined in accordance with Federal income tax regulations, which may
differ from generally accepted accounting principles. These 'book-tax'
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the capital accounts based on their Federal income tax treatment;
temporary differences do not require reclassification. To the extent dividends
and/or distributions exceed current and accumulated earnings and profits for
Federal income tax purposes, they are reported as dividends and/or distributions
of paid-in-capital or tax return of capital. At December 31, 1997, the Trust's
portfolios did not have any permanent book-tax differences.
(E) ALLOCATION OF EXPENSES
Expenses specifically identifiable to a particular portfolio are borne by
that portfolio. Other expenses are allocated to each portfolio based on its net
assets in relation to the total net assets of all applicable portfolios of the
Trust or on another reasonable basis.
(F) USE OF ESTIMATES
The preparation of the financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
(G) EXPENSES OFFSET
The Portfolios benefit from an expense offset arrangement with its
custodian bank where uninvested cash balances earn credits that reduce monthly
fees. Had these cash balances been invested in income producing securities, they
would have generated income for the Portfolios.
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
(A) The investment advisory fee is accrued daily and payable monthly to the
Adviser, and is computed as a percentage of each Portfolio's net assets as of
the close of business each day at the following annual rates: .80%
<PAGE>
OCC ACCUMULATION TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1997
(2) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES (CONTINUED)
for each of the Equity, Small Cap and Managed Portfolios on the first $400
million, .75% on the next $400 million and .70% thereafter; .60% for the U.S.
Government Income Portfolio and .40% for the Money Market Portfolio. The Adviser
has agreed to waive that portion of each advisory fee and to assume any
necessary expense to limit total operating expenses of each Portfolio to 1.00%
(net of expenses offset) of average net assets on an annual basis.
(B) Total brokerage commissions paid by the Equity, Small Cap and Managed
Portfolios amounted to $21,025, $213,701 and $224,795, respectively, of which
CIBC Oppenheimer Corp. received $5,221, $76,787 and $82,229, respectively, for
the year ended December 31, 1997.
(3) PURCHASES AND SALES OF SECURITIES
For the year ended December 31, 1997, purchases and sales of investment
securities, other than short-term securities, were as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT
EQUITY SMALL CAP MANAGED INCOME MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
---------- ----------- ------------ --------------- ------------
<S> <C> <C> <C> <C> <C>
Purchases... $9,063,484 $94,834,620 $202,762,481 $8,217,249 $55,993,887
Sales....... 6,761,706 36,458,722 73,100,691 4,678,959 59,337,929
</TABLE>
- ------------------
* All short-term securities and maturities.
(4) UNREALIZED APPRECIATION (DEPRECIATION) AND COST OF INVESTMENTS FOR FEDERAL
INCOME TAX PURPOSES
At December 31, 1997, the composition of unrealized appreciation
(depreciation) on investment securities and the cost of investments for Federal
income tax purposes were as follows:
<TABLE>
<CAPTION>
APPRECIATION (DEPRECIATION) NET TAX COST
------------ -------------- ----------- ------------
<S> <C> <C> <C> <C>
Equity Portfolio..... $ 7,958,426 ($ 40,692) $ 7,917,734 $ 20,962,136
Small Cap Portfolio.. 11,747,701 (2,125,803) 9,621,898 104,915,602
Managed Portfolio.... 76,339,940 (4,169,018) 72,170,922 394,593,623
U.S. Government
Income Portfolio... 137,995 (779) 137,216 6,760,526
Money Market
Portfolio.......... -- -- -- 2,179,421
</TABLE>
(5) CAPITAL LOSS CARRY-FORWARDS
At December 31, 1997, the Money Market Portfolio's accumulated net realized
capital losses available as a reduction against future net realized capital
gains were $47 of which $14 will expire in 2004 and $33 will expire in 2005.
Capital losses incurred after October 31, 1997 are deemed to arise on the first
business day of the following tax year. During the fiscal year ended December
31, 1997, the Money Market Portfolio incurred and elected to defer $145 in net
capital losses. To the extent these capital loss carry-forwards are used to
offset future net capital gains, the gains offset will not be distributed to
shareholders. Additionally, the U.S. Government Income Portfolio utilized $6,203
of net capital loss carry-forward during the fiscal year ended December 31,
1997.
<PAGE>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
-------------------------------------- -------------------------------------------
NET DISTRIBUTIONS
REALIZED TO TOTAL
AND TOTAL DIVIDENDS TO SHAREHOLDERS DIVIDENDS
NET ASSET UNREALIZED INCOME (LOSS) SHAREHOLDERS FROM NET AND
VALUE, NET GAIN (LOSS) FROM FROM NET REALIZED DISTRIBUTIONS
BEGINNING INVESTMENT ON INVESTMENT INVESTMENT GAINS ON TO SHARE-
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME INVESTMENTS HOLDERS
--------- ---------- ----------- ------------- ------------ -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
EQUITY PORTFOLIO
Year Ended December 31, 1997...... $30.07 $0.39 $7.34 $7.73 ($0.28) ($1.00) ($ 1.28)
Year Ended December 31, 1996...... 25.05 0.21 5.52 5.73 (0.24) (0.47) (0.71)
Year Ended December 31, 1995...... 18.12 0.31 6.71 7.02 (0.09) -- (0.09)
September 16, 1994 (3) to December
31, 1994......................... 18.57 0.09 (0.54) (0.45) -- -- --
<CAPTION>
RATIOS
---------------------------------
RATIO
OF NET
OPERATING RATIO
EXPENSES OF NET
NET NET TO INVESTMENT
ASSET ASSETS, AVERAGE INCOME
VALUE END OF NET TO PORTFOLIO AVERAGE
END OF TOTAL PERIOD ASSETS AVERAGE TURNOVER COMMISSION
PERIOD RETURN* (000'S) (5) NET ASSETS RATE RATE
------ ------- -------- --------- ------------ --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
EQUITY PORTFOLIO
Year Ended December 31, 1997...... $36.52 26.6% $28,820 0.99%(2) 1.25%(2) 32% $0.0557
Year Ended December 31, 1996...... 30.07 23.4% 19,843 0.93%(1) 1.29%(1) 36% 0.0588
Year Ended December 31, 1995...... 25.05 38.9% 9,036 0.72%(1) 1.74%(1) 31% --
September 16, 1994 (3) to December
31, 1994......................... 18.12 (2.4%) 4,281 0.72%(1,4) 1.80%(1,4) 6% --
</TABLE>
(1) During the periods noted above, the Adviser waived a portion or all of its
fees and assumed a portion of the Portfolio's operating expenses. If such
waivers and assumptions had not been in effect, the ratios of net operating
expenses to average net assets and the ratios of net investment income to
average net assets would have been 1.05% and 1.15%, respectively, for the
year ended December 31, 1996, 1.26% and 1.20%, respectively, for the year
ended December 31, 1995 and 2.09% and 0.43%, annualized, respectively, for
the period September 16, 1994 (commencement of operations) to December 31,
1994.
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
-------------------------------------- -------------------------------------------
NET DISTRIBUTIONS
REALIZED TO TOTAL
AND TOTAL DIVIDENDS TO SHAREHOLDERS DIVIDENDS
NET ASSET UNREALIZED INCOME (LOSS) SHAREHOLDERS FROM NET AND
VALUE, NET GAIN (LOSS) FROM FROM NET REALIZED DISTRIBUTIONS
BEGINNING INVESTMENT ON INVESTMENT INVESTMENT GAINS ON TO SHARE-
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME INVESTMENTS HOLDERS
--------- ---------- ----------- ------------- ------------ -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
SMALL CAP PORTFOLIO
Year Ended December 31, 1997...... $22.61 $0.08 $4.73 $4.81 ($0.13) ($0.92) ($ 1.05)
Year Ended December 31, 1996...... 19.91 0.14 3.45 3.59 (0.25) (0.64) (0.89)
Year Ended December 31, 1995...... 17.38 0.26 2.37 2.63 (0.05) (0.05) (0.10)
September 16, 1994 (3) to December
31, 1994......................... 17.49 0.06 (0.17) (0.11) -- -- --
<CAPTION>
RATIOS
---------------------------------
RATIO
OF NET
OPERATING RATIO
EXPENSES OF NET
NET NET TO INVESTMENT
ASSET ASSETS, AVERAGE INCOME
VALUE END OF NET TO PORTFOLIO AVERAGE
END OF TOTAL PERIOD ASSETS AVERAGE TURNOVER COMMISSION
PERIOD RETURN* (000'S) (5) NET ASSETS RATE RATE
------ ------- -------- --------- ------------ --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
SMALL CAP PORTFOLIO
Year Ended December 31, 1997...... $26.37 22.2% $110,565 0.97%(2) 0.64%(2) 68% $0.0549
Year Ended December 31, 1996...... 22.61 18.7% 34,257 0.93%(1) 1.03%(1) 50% 0.0493
Year Ended December 31, 1995...... 19.91 15.2% 16,004 0.74%(1) 1.75%(1) 69% --
September 16, 1994 (3) to December
31, 1994......................... 17.38 (0.6%) 9,210 0.74%(1,4) 1.22%(1,4) 32% --
</TABLE>
(1) During the periods noted above, the Adviser waived a portion or all of its
fees and assumed a portion of the Portfolio's operating expenses. If such
waivers and assumptions had not been in effect, the ratios of net operating
expenses to average net assets and the ratios of net investment income to
average net assets would have been 1.01% and 0.92%, respectively, for the
year ended December 31, 1996, 0.99% and 1.50%, respectively, for the year
ended December 31, 1995 and 1.64% and 0.32%, annualized, respectively, for
the period September 16, 1994 (commencement of operations) to December 31,
1994.
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
-------------------------------------- -------------------------------------------
NET DISTRIBUTIONS
REALIZED TO TOTAL
AND TOTAL DIVIDENDS TO SHAREHOLDERS DIVIDENDS
NET ASSET UNREALIZED INCOME (LOSS) SHAREHOLDERS FROM NET AND
VALUE, NET GAIN (LOSS) FROM FROM NET REALIZED DISTRIBUTIONS
BEGINNING INVESTMENT ON INVESTMENT INVESTMENT GAINS ON TO SHARE-
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME INVESTMENTS HOLDERS
--------- ---------- ----------- ------------- ------------ -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
MANAGED PORTFOLIO
Year Ended December 31, 1997...... $36.21 $0.34 $7.45 $7.79 ($0.40) ($1.22) ($ 1.62)
Year Ended December 31, 1996...... 30.14 0.43 6.31 6.74 (0.41) (0.26) (0.67)
Year Ended December 31, 1995...... 20.83 0.42 9.02 9.44 (0.13) -- (0.13)
September 16, 1994 (3) to December
31, 1994......................... 21.80 0.14 (1.11) (0.97) -- -- --
<CAPTION>
RATIOS
---------------------------------
RATIO
OF NET
OPERATING RATIO
EXPENSES OF NET
NET NET TO INVESTMENT
ASSET ASSETS, AVERAGE INCOME
VALUE END OF NET TO PORTFOLIO AVERAGE
END OF TOTAL PERIOD ASSETS AVERAGE TURNOVER COMMISSION
PERIOD RETURN* (000'S) (5) NET ASSETS RATE RATE
------ ------- -------- --------- ------------ --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
MANAGED PORTFOLIO
Year Ended December 31, 1997...... $42.38 22.3% $466,791 0.87%(2) 1.42%(2) 32% $0.0571
Year Ended December 31, 1996...... 36.21 22.8% 180,728 0.84%(1) 1.66%(1) 27% 0.0592
Year Ended December 31, 1995...... 30.14 45.6% 99,188 0.66%(1) 1.85%(1) 22% --
September 16, 1994 (3) to December
31, 1994......................... 20.83 (4.4%) 54,943 0.66%(1,4) 2.34%(1,4) 8% --
</TABLE>
(1) During the periods noted above, the Adviser waived a portion of its fees. If
such waivers had not been in effect, the ratios of net operating expenses to
average net assets and the ratios of net investment income to average net
assets would have been 0.85% and 1.65%, respectively, for the year ended
December 31, 1996, 0.74% and 1.77%, respectively, for the year ended
December 31, 1995 and 0.96% and 2.04%, annualized, respectively, for the
period September 16, 1994 (commencement of operations) to December 31, 1994.
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
-------------------------------------- -------------------------------------------
NET DISTRIBUTIONS
REALIZED TO TOTAL
AND TOTAL DIVIDENDS TO SHAREHOLDERS DIVIDENDS
NET ASSET UNREALIZED INCOME (LOSS) SHAREHOLDERS FROM NET AND
VALUE, NET GAIN (LOSS) FROM FROM NET REALIZED DISTRIBUTIONS
BEGINNING INVESTMENT ON INVESTMENT INVESTMENT GAINS ON TO SHARE-
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME INVESTMENTS HOLDERS
--------- ---------- ----------- ------------- ------------ -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT INCOME PORTFOLIO
Year Ended December 31, 1997...... $10.38 $0.57 $0.14 $0.71 ($0.57) ($0.01) ($ 0.58)
Year Ended December 31, 1996...... 10.62 0.55 (0.24) 0.31 (0.55) -- (0.55)
January 3, 1995 (3) to December
31, 1995......................... 10.00 0.60 0.68 1.28 (0.60) (0.06) (0.66)
<CAPTION>
RATIOS
---------------------------------
RATIO
OF NET
OPERATING RATIO
EXPENSES OF NET
NET NET TO INVESTMENT
ASSET ASSETS, AVERAGE INCOME
VALUE END OF NET TO PORTFOLIO AVERAGE
END OF TOTAL PERIOD ASSETS AVERAGE TURNOVER COMMISSION
PERIOD RETURN* (000'S) (5) NET ASSETS RATE RATE
------ ------- -------- --------- ------------ --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT INCOME PORTFOLIO
Year Ended December 31, 1997...... $10.51 7.0% $6,983 0.93%(1,2) 5.51%(1,2) 80% --
Year Ended December 31, 1996...... 10.38 3.0% 3,422 0.96%(1) 5.27%(1) 31% --
January 3, 1995 (3) to December
31, 1995......................... 10.62 13.1% 1,442 0.75%(1,4) 5.75%(1,4) 65% --
</TABLE>
(1) During the periods noted above, the Adviser waived a portion or all of its
fees and assumed a portion of the Portfolio's operating expenses. If such
waivers and assumptions had not been in effect, the ratios of net operating
expenses to average net assets and the ratios of net investment income to
average net assets would have been 1.06% and 5.37%, respectively, for the
year ended December 31, 1997, 2.34% and 3.87%, respectively, for the year
ended December 31, 1996 and 4.73% and 1.77%, annualized, respectively, for
the period January 3, 1995 (commencement of operations) to December 31,
1995.
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
-------------------------------------- -------------------------------------------
NET DISTRIBUTIONS
REALIZED TO TOTAL
AND TOTAL DIVIDENDS TO SHAREHOLDERS DIVIDENDS
NET ASSET UNREALIZED INCOME (LOSS) SHAREHOLDERS FROM NET AND
VALUE, NET GAIN (LOSS) FROM FROM NET REALIZED DISTRIBUTIONS
BEGINNING INVESTMENT ON INVESTMENT INVESTMENT GAINS ON TO SHARE-
OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME INVESTMENTS HOLDERS
--------- ---------- ----------- ------------- ------------ -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
Year Ended December 31, 1997...... $1.00 $0.05 ($0.00) $0.05 ($0.05) -- ($ 0.05)
Year Ended December 31, 1996...... 1.00 0.04 (0.00) 0.04 (0.04) ($0.00) (0.04)
Year Ended December 31, 1995...... 1.00 0.05 0.00 0.05 (0.05) -- (0.05)
September 16, 1994 (3) to December
31, 1994......................... 1.00 0.01 -- 0.01 (0.01) -- (0.01)
<CAPTION>
RATIOS
---------------------------------
RATIO
OF NET
OPERATING RATIO
EXPENSES OF NET
NET NET TO INVESTMENT
ASSET ASSETS, AVERAGE INCOME
VALUE END OF NET TO PORTFOLIO AVERAGE
END OF TOTAL PERIOD ASSETS AVERAGE TURNOVER COMMISSION
PERIOD RETURN* (000'S) (5) NET ASSETS RATE RATE
------ ------- -------- --------- ------------ --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
Year Ended December 31, 1997...... $1.00 4.7% $2,166 0.98%(1,2) 4.57%(1,2) -- --
Year Ended December 31, 1996...... 1.00 4.5% 5,279 1.01%(1) 4.43%(1) -- --
Year Ended December 31, 1995...... 1.00 5.1% 4,356 1.00%(1) 4.94%(1) -- --
September 16, 1994 (3) to December
31, 1994......................... 1.00 1.2% 3,520 1.00%(1,4) 4.13%(1,4) -- --
</TABLE>
(1) During the periods noted above, the Adviser waived a portion or all of its
fees and assumed a portion of the Portfolio's operating expenses. If such
waivers and assumptions had not been in effect, the ratios of net operating
expenses to average net assets and the ratios of net investment income to
average net assets would have been 1.06% and 4.50%, respectively, for the
year ended December 31, 1997, 1.30% and 4.13%, respectively, for the year
ended December 31, 1996, 1.14% and 4.80%, respectively, for the year ended
December 31, 1995 and 2.03% and 3.10%, annualized, respectively, for the
period September 16, 1994 (commencement of operations) to December 31, 1994.
- ------------------
(2) Average net assets for the year ended December 31, 1997 were $24,986,972,
$62,297,759, $290,421,930, $5,959,450 and $4,375,569 for the Equity, Small
Cap, Managed, U.S. Government Income and Money Market Portfolios,
respectively.
(3) Commencement of operations.
(4) Annualized.
(5) For fiscal periods ending after September 1, 1995, the ratios are calculated
to include expenses offset by earnings credits from a custodian bank (See
note 1G in Notes to Financial Statements).
* Assumes reinvestment of all dividends and distributions. Aggregate (not
annualized) total return is shown for any period shorter than one year.
