<PAGE>
OCC ACCUMULATION TRUST
o MANAGED PORTFOLIO
ANNUAL REPORT
1999
MANAGED BY
[LOGO]
<PAGE>
OCC ACCUMULATION TRUST
MANAGED BY
[LOGO]
OpCap ADVISORS
1999 ANNUAL REPORT
The stock market in 1999 was characterized by two contradictory trends: the
rapid price escalation of many technology stocks, especially those associated
with e-commerce and the Internet, and a widespread malaise among stocks in most
other industry sectors. The Standard & Poor's 500 Index (the "S&P 500") rose
21.0% during the year, returning more than 20% for a record fifth consecutive
year. However, this performance distorted the overall direction of the market.
Without its technology stock component, the S&P 500 would have been down 1% in
1999. In fact, approximately 60% of the stocks on the New York Stock Exchange
declined in price during the year.
The year was especially challenging for value investors such as ourselves.
Quality companies with strong competitive positions, high cash flow and
favorable earnings prospects--the types of companies in which we invest
generally did very well. The stocks of these companies, however, were out of
favor, trailing the market indexes by a wide margin. As a result, our investment
returns generally fell short of our benchmarks in 1999.
We have always been thoughtful in our value style to give consideration to
companies across the breadth of the market, including technology companies. In
fact, we did well with several technology investments during the past year,
including Computer Associates and Motorola in the United States and Ericsson and
Alcatel in Europe. However, in the current ebullient market for technology
stocks, it has become increasingly difficult to find value in the sector.
Regardless of whether the current technology stock craze turns out to be a
bubble that bursts, the technology industry is growing rapidly and creating
enormous economic wealth. Our challenge as value investors, therefore, is to
identify solid companies that stand to benefit from this growth.
At OpCap Advisors, we continue to invest in our people and our operation to
ensure we have the necessary resources to meet this challenge. Our firm has
moved aggressively to hire additional investment personnel and has made
important reallocations of people and resources to best apply investment skills
not only to technology stocks, but to other industry sectors as well. We have
established "sector" groups, involving the integration of our domestic and
international analysts, to ensure timely and complete coverage of investment
opportunities wherever they may exist.
By remaining disciplined in our value style, and taking the necessary actions to
keep pace with an ever-evolving stock market, we are focused on delivering
excellent long-term investment results without taking large risks. We believe
many of the stocks we own are significantly undervalued, providing opportunities
for substantial profits as undervalued securities of financially solid, growing
companies return to favor.
As the new year begins, the U.S. economy remains strong, perhaps too strong, and
there are indications of excessive optimism in the stock market. Inflation has
been kept low for the past several years by an internationally competitive
environment, major improvements in technology, corporate mergers and
restructurings, and low inflation expectations. Recently, however, some of these
factors have reversed. Commodity prices have rebounded strongly, while energy
and import prices are on the rise. These factors suggest to us that inflationary
pressures could increase somewhat in the months ahead and that the Federal
Reserve is likely to raise interest rates further, on top of the four rate
increases implemented since June 1999. We believe these conditions will favor
our value style of investing, which emphasizes companies that can generate a
high level of cash flow throughout the economic cycle.
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
While continuing its excellent long-term performance record, results of the
Managed Portfolio in 1999 were disappointing and did not meet our expectations.
The Portfolio provided a total return of 5.0% in the year, compared with a
return of 21.0% for the Standard & Poor's 500 Index with dividends included (the
"S&P 500"). The S&P 500 is an unmanaged index of 500 of the largest corporations
weighted by market capitalization. The Portfolio's return in the second half of
the year was (2.1)%, compared with a rise of 7.7% for the S&P 500.
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. Results in the year and the half were
hindered, in particular, by our limited holdings of technology stocks, which
dominated the market's advance in 1999. We seek to be thoughtful in our value
style of investing to give consideration to companies across the breadth of the
market, including technology companies. However, in the current ebullient market
for tech stocks, it has become difficult to find value in the sector despite the
enormous economic wealth being created by the technology industry. We continue
to look for opportunities to purchase technology stocks where prices bear some
reasonable relationship to underlying value.
For the three years ended December 31, 1999, the Portfolio delivered an average
annual total return of 11.2%, compared with 27.6% for the S&P 500. For the five
years ended December 31, 1999, the Portfolio's average annual total return of
19.7% compared with 28.5% for the S&P 500. For the ten years ended December 31,
1999, the Portfolio provided an average annual total return of 16.6%*, versus
18.2% for the S&P 500, while the Portfolio's average annual total return from
its inception on August 1, 1988 through December 31, 1999 was 17.7%*, compared
with 19.0% for the S&P 500. We believe these longer-term results are favorable
in light of our risk-averse investment style and the fact that the Portfolio
invests in bonds and short-term securities, not just stocks. Returns for the
Portfolio take into account expenses incurred by the Portfolio, but not other
charges imposed by the Variable Accounts.
Our investment philosophy is based on the premise that companies create wealth
by generating cash flow at high rates. That wealth is delivered to shareholders
by managements who use this cash wisely, such as for share repurchase or astute
acquisitions. Our criteria in buying the stocks of these companies include:
o Good businesses with growing free cash flow
o Management motivated to create wealth for shareholders
o Securities that can be purchased inexpensively
The objective of our approach is to acquire stocks for substantially less than
they are worth. While our investment style sometimes requires patience, we
believe the intrinsic value of a company--which is based on cash flow, earnings,
strength of balance sheet, competitive strengths and other factors--almost
always ends up being reflected over time in its share price.
During the second half of 1999, we established a new position in the common
stock of Anadarko Petroleum, an oil and gas exploration and production company.
Anadarko is well managed and, in our view, the share price is inexpensive in
relation to the company's business prospects. Eliminations in the six months
included Motorola and Time Warner.
At December 31, 1999, approximately 20% of the Portfolio's assets were invested
in financial service, banking and insurance stocks, sectors that did not perform
well in 1999 due to investor concerns regarding the impact of higher interest
rates. If the U. S. economy remains on its current course, we expect the Federal
Reserve to raise short-term interest rates further, and we are therefore
monitoring our exposure to financial stocks to make sure we
- ----------
* 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>
are not overly vulnerable. During the past six months, we repositioned the
Portfolio's financial holdings, taking money from superlative performers such as
Citigroup and using it to purchase stocks such as Freddie Mac whose share price
was down in 1999 despite continued strong earnings growth.
The Portfolio need not be fully invested in stocks and can own more defensive
income-producing instruments. At December 31, 1999, the Portfolio's net assets
were allocated 70% to common stocks and securities convertible into common
stocks, 10% to U.S Government/Agency securities, and 20% to short-term
investments. This represents a reduction in stocks and an increase in U.S.
Government/Agency securities and short-term investments during the fourth
quarter.
Our larger-than-normal cash position reflects our caution in adding to equity
holdings at a time when technology stocks keep rising and many other stocks
continue to languish. We think there are many opportunities in today's market to
buy quality businesses with solid fundamentals inexpensively, and that many of
these companies will improve their earnings as the economies of Asia and Europe
strengthen. We believe also, however, that we have the luxury of being
opportunistic about waiting for attractive prices and building our positions
over time given the current malaise of many non-tech issues.
The Portfolio's five largest equity positions at December 31, 1999 were Wells
Fargo, a financial conglomerate comprising one of the larger banks in the
Midwest and West, together with national mortgage and consumer finance
companies, representing 5.0% of the Portfolio's net assets; du Pont, a
diversified technology and industrial company, 4.9% of net assets; McDonald's, a
premier fast-food company with growing global markets, 4.8% of net assets;
Freddie Mac, the second largest insurer of home mortgages in the United States,
4.4% of net assets; and Computer Associates International, which designs and
markets computer software, 4.3% of net assets.
Major industry positions were: financial services, representing 10.4% of the
Portfolio's net assets at December 31, 1999; banking, 6.8% of net assets; food
services, 6.8% of net assets; chemicals, 6.0% of net assets; and technology,
5.9% of net assets.
We remain optimistic about the outlook for our style of value investing and
believe the Portfolio is positioned to perform well in the months ahead. For
2000, the consensus estimate of per share earnings growth for the S&P 500 stocks
is approximately 10%, while we expect our companies to increase their earnings
by 15% or more on average. In addition, the companies we own have strong
competitive positions, and on average their share prices trade at discounts to
the S&P 500. We believe the market will ultimately shift back to an emphasis on
company earnings and other fundamentals, benefiting our value approach.
<PAGE>
OCC ACCUMULATION TRUST -- MANAGED PORTFOLIO
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN
THE PORTFOLIO AND THE S&P 500 INDEX+
PERIODS ENDED DECEMBER 31, 1999
[LINE CHART APPEARS HERE]
AVERAGE ANNUAL TOTAL RETURN
1 YEAR 5 YEAR* SINCE AUGUST 1, 1988*
5.0% 19.7% 17.7%
Date Managed Portfolio S&P 500 Index
8/1/88 $10,000 $ 9,660
12/31/88 $10,440 $10,381
12/31/89 $13,839 $13,670
12/31/90 $13,336 $13,235
12/31/91 $19,468 $17,266
12/31/92 $23,098 $18,586
12/31/93 $25,498 $20,457
12/31/94 $26,165 $20,726
12/31/95 $38,082 $28,515
12/31/96 $46,755 $35,061
12/31/97 $57,180 $46,763
12/31/98 $61,252 $60,128
12/31/99 $64,322 $72,774
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
+ The S&P 500 Index is an unmanaged index that is not available for direct
investment. It includes reinvested 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>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES VALUE
- ------------- -------------
<S> <C> <C>
COMMON STOCK -- 69.4%
AEROSPACE/DEFENSE -- 4.1%
790,000 Boeing Co.......................................................................... $32,834,375
--------------
BANKING -- 6.8%
35,000 M & T Bank Corp.................................................................... 14,498,750
995,000 Wells Fargo & Co................................................................... 40,235,312
--------------
54,734,062
--------------
CHEMICALS -- 6.0%
598,000 du Pont (E.I.) de Nemours & Co..................................................... 39,393,250
254,700 Monsanto Co........................................................................ 9,073,687
--------------
48,466,937
--------------
CONGLOMERATES -- 3.8%
180,000 Minnesota Mining & Manufacturing Co................................................ 17,617,500
165,000 Textron, Inc....................................................................... 12,653,438
--------------
30,270,938
--------------
DRUGS & MEDICAL PRODUCTS -- 2.4%
481,000 American Home Products Corp........................................................ 18,969,437
--------------
ENERGY -- 0.2%
52,500 Anadarko Petroleum Corp............................................................ 1,791,562
--------------
FOOD SERVICES -- 6.8%
490,000 Diageo plc ADR..................................................................... 15,680,000
964,400 McDonald's Corp.................................................................... 38,877,375
--------------
54,557,375
--------------
INSURANCE -- 2.9%
243,000 ACE Ltd............................................................................ 4,055,062
377,960 XL Capital Ltd..................................................................... 19,606,675
--------------
23,661,737
--------------
MACHINERY/ENGINEERING -- 2.0%
335,400 Caterpillar, Inc................................................................... 15,784,763
--------------
MANUFACTURING -- 2.5%
600,000 ITT Industries, Inc................................................................ 20,062,500
--------------
MEDIA/BROADCASTING -- 3.9%
110,000 AMFM*.............................................................................. 8,607,500
687,400 News Corp. Ltd. ADR+............................................................... 22,984,938
--------------
31,592,438
--------------
FINANCIAL SERVICES -- 10.4%
560,000 Citigroup, Inc..................................................................... 31,115,000
755,000 Federal Home Loan Mortgage Corp.................................................... 35,532,188
453,800 Household International............................................................ 16,904,050
--------------
83,551,238
--------------
PAPER PRODUCTS -- 1.5%
195,200 Champion International Corp........................................................ 12,090,200
--------------
</TABLE>
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
(CONTINUED)
<TABLE>
<CAPTION>
SHARES VALUE
- ------------- --------------
<S> <C> <C>
COMMON STOCK (CONCLUDED)
PRINTING/PUBLISHING -- 1.0%
324,000 Donnelley (R.R.) & Sons Co......................................................... $ 8,039,250
--------------
REAL ESTATE -- 0.6%
1,399 Security Capital Group Inc., (Class A)*............................................ 867,122
326,000 Security Capital Group Inc., (Class B)*............................................ 4,075,000
--------------
4,942,122
--------------
TECHNOLOGY -- 5.9%
488,000 Compaq Computer Corp............................................................... 13,206,500
490,000 Computer Associates International, Inc............................................. 34,269,375
--------------
47,475,875
--------------
TELECOMMUNICATIONS -- 5.2%
225,000 Bell Atlantic Corp................................................................. 13,851,563
419,400 Sprint Corp. (FON Group)........................................................... 28,230,863
--------------
42,082,426
--------------
TRANSPORTATION -- 2.5%
260,000 UAL Corp.*......................................................................... 20,166,250
--------------
WASTE DISPOSAL -- 0.9%
410,000 Waste Management Inc............................................................... 7,046,875
--------------
Total Common Stock (cost - $515,389,244)........................................... 558,120,360
--------------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
- -------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES -- 9.8%
Federal National Mortgage Association,
$80,000 6.50%, 8/15/04 (cost - $79,039,592)................................................ 79,000,000
--------------
U.S. TREASURY NOTES AND BONDS -- 0.1%
700 6.25 %, 8/15/23................................................................... 659,967
298 7.875%, 8/15/01.................................................................... 304,938
--------------
Total U.S. Treasury Notes and Bonds (cost - $878,426).............................. 964,905
--------------
</TABLE>
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
(CONCLUDED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(000) VALUE
- ------------- --------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 19.2%
CORPORATE NOTES -- 8.6%
AUTOMOTIVE -- 5.3%
Ford Motor Credit Corp.,
$14,460 5.71%-5.94%, 1/28/00............................................................... $ 14,396,007
General Motors Acceptance Corp.,
28,570 6.07%, 1/13/00..................................................................... 28,512,193
--------------
42,908,200
--------------
FINANCIAL SERVICES -- 3.3%
American Express Credit Corp.,
26,449 5.85%-6.00%, 1/28/00............................................................... 26,330,171
--------------
Total Corporate Notes (cost - $69,238,371)......................................... 69,238,371
--------------
U.S. GOVERNMENT AGENCY NOTES -- 10.6%
Federal Home Loan Bank Discount Notes,
17,443 1.50%, 1/3/00....................................................................... 17,441,546
1,515 4.15%, 1/18/00...................................................................... 1,512,031
12,735 5.00%, 1/31/00...................................................................... 12,681,938
25,458 5.58%, 1/19/00-1/21/00.............................................................. 25,380,694
20,170 5.66%, 1/31/00...................................................................... 20,074,865
8,375 5.78%, 1/19/00...................................................................... 8,350,796
--------------
Total U.S. Government Agency Notes (cost - $85,441,870)............................. 85,441,870
--------------
Total Short-Term Investments (cost - $154,680,241).................................. 154,680,241
--------------
Total Investments (cost - $749,987,503).................................. 98.5% 792,765,506
Other assets less liabilities............................................ 1.5 11,701,750
--------- --------------
Net Assets............................................................... 100.0% $ 804,467,256
--------- --------------
--------- --------------
</TABLE>
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* Non-income producing security
+ Preferred stock
ADR -- American Depositary Receipt
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value (cost - $749,987,503)....................................................... $792,765,506
Cash.............................................................................................. 2,703
Receivable for invesments sold.................................................................... 16,114,120
Dividends and interest receivable................................................................. 2,425,142
Receivable for shares of beneficial interest sold................................................. 268,310
Prepaid expenses.................................................................................. 3,082
------------
Total Assets.................................................................................... 811,578,863
------------
LIABILITIES:
Payable for investments purchased................................................................. 6,564,120
Payable for shares of beneficial interest redeemed................................................ 228,015
Investment advisory fee payable................................................................... 100,127
Accrued expenses.................................................................................. 219,345
------------
Total Liabilities............................................................................... 7,111,607
------------
Net Assets...................................................................................... $804,467,256
------------
------------
COMPOSITION OF NET ASSETS:
Beneficial interest shares of $0.01 par value (unlimited number authorized)....................... $ 184,293
Paid-in-capital in excess of par.................................................................. 695,877,809
Undistributed net investment income............................................................... 10,021,902
Accumulated net realized gain on investments...................................................... 55,605,249
Net unrealized appreciation on investments........................................................ 42,778,003
------------
Net Assets...................................................................................... $804,467,256
------------
------------
Shares outstanding................................................................................ 18,429,335
------------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE.................................... $43.65
------------
------------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Dividends (net of foreign withholding taxes of $109,285)........................................ $ 9,259,335
Interest........................................................................................ 7,327,964
------------
Total investment income...................................................................... 16,587,299
------------
EXPENSES:
Investment advisory fees........................................................................ 6,116,104
Trustees' fees and expenses..................................................................... 161,716
Reports to shareholders......................................................................... 94,904
Custodian fees.................................................................................. 86,993
Transfer agent fees............................................................................. 58,706
Audit and tax service fees...................................................................... 32,315
Legal fees...................................................................................... 11,576
Miscellaneous................................................................................... 8,655
------------
Total expenses............................................................................... 6,570,969
Less: expense offset......................................................................... (5,572)
------------
Net expenses................................................................................. 6,565,397
------------
Net investment income...................................................................... 10,021,902
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments................................................................ 58,154,646
Net change in unrealized appreciation/depreciation on investments............................... (29,206,986)
------------
Net realized and unrealized gain on investments.............................................. 28,947,660
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.............................................. $38,969,562
------------
------------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------
1999 1998
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income......................................................... $ 10,021,902 $ 11,467,184
Net realized gain on investments.............................................. 58,154,646 23,587,489
Net change in unrealized appreciation/depreciation on investments............. (29,206,986) (185,933)
------------ ------------
Net increase in net assets resulting from operations........................ 38,969,562 34,868,740
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................................................... (11,467,176) (4,115,649)
Net realized gains............................................................ (25,731,928) (16,508,556)
------------ ------------
Total dividends and distributions to shareholders........................... (37,199,104) (20,624,205)
------------ ------------
SHARE TRANSACTIONS:
Net proceeds from the sale of shares.......................................... 142,108,078 339,789,141
Reinvestment of dividends and distributions................................... 37,199,104 20,624,205
Cost of shares redeemed....................................................... (153,697,507) (64,361,982)
------------ ------------
Net increase in net assets from share transactions.......................... 25,609,675 296,051,364
------------ ------------
Total increase in net assets............................................. 27,380,133 310,295,899
NET ASSETS:
Beginning of year............................................................. 777,087,123 466,791,224
------------ ------------
End of year (including undistributed net investment income of $10,021,902 and
$11,467,176, respectively).................................................. $804,467,256 $777,087,123
------------ ------------
------------ ------------
SHARES ISSUED AND REDEEMED
Issued........................................................................ 3,293,544 7,796,148
Issued in reinvestment of dividends and distributions......................... 916,460 476,642
Redeemed...................................................................... (3,547,618) (1,520,543)
------------ ------------
Net increase................................................................ 662,386 6,752,247
------------ ------------
------------ ------------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.................. $43.74 $42.38 $36.21 $30.14 $20.83
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............................. 0.56 0.60 0.34 0.43 0.42
Net realized and unrealized gain on investments... 1.47 2.40 7.45 6.31 9.02
-------- -------- -------- -------- --------
Total income from investment operations......... 2.03 3.00 7.79 6.74 9.44
-------- -------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................. (0.65) (0.33) (0.40) (0.41) (0.13)
Net realized gains................................ (1.47) (1.31) (1.22) (0.26) --
-------- -------- -------- -------- --------
Total dividends and distributions to
shareholders.................................. (2.12) (1.64) (1.62) (0.67) (0.13)
-------- -------- -------- -------- --------
Net asset value, end of year........................ $43.65 $43.74 $42.38 $36.21 $30.14
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL RETURN (1).................................... 5.0% 7.1% 22.3% 22.8% 45.6%
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's)..................... $804,467 $777,087 $466,791 $180,728 $99,188
Ratio of expenses to average net assets (2)......... 0.83% 0.82% 0.87% 0.84%(3) 0.66%(3)
Ratio of net investment income to average net
assets............................................ 1.27% 1.74% 1.42% 1.66%(3) 1.85%(3)
Portfolio Turnover.................................. 50% 37% 32% 27% 22%
</TABLE>
- ----------
(1) Assumes reinvestment of all dividends and distributions.
(2) For fiscal years ended after September 1, 1995, ratios are inclusive of
expenses offset by earnings credits from custodian bank (See 1G in Notes to
Financial Statements).
(3) During the fiscal years indicated above, the Adviser waived a portion of its
fees. If such waivers had not been in effect, the ratios of net 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, and 0.74% and 1.77%, respectively, for the year ended
December 31, 1995.
See accompanying notes to financial statements.
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
(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 Trust is authorized to issue an unlimited number of shares of beneficial
interest at $.01 par value. The Trust is comprised of: the Equity Portfolio, the
Small Cap Portfolio, the Global Equity Portfolio, the Managed Portfolio (the
"Portfolio"), the U.S. Government Income Portfolio and the Mid Cap Portfolio.
OpCap Advisors (the "Adviser"), a subsidiary of Oppenheimer Capital, serves as
the Trust's investment adviser. The accompanying financial statements and notes
thereto are those of the Portfolio. 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.
The following is a summary of significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements:
(A) VALUATION OF INVESTMENTS
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. 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 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.
(B) FEDERAL INCOME TAXES
It is the Portfolio'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 using the effective interest method.
(D) DIVIDENDS AND DISTRIBUTIONS
Dividends and distributions to shareholders from net investment income and net
realized capital gains, if any, are declared and paid at least annually.
The Portfolio records 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
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
(CONTINUED)
(1) ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONCLUDED)
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 as a tax return of capital.
(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 another reasonable basis.
(F) USE OF ESTIMATES
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
(G) EXPENSE OFFSET
The Portfolio benefits from an expense offset arrangement with its custodian
bank whereby uninvested cash balances earn credits that reduce cusodian fees.
Had these cash balances been invested in income producing securities, they would
have generated income for the Portfolio.
(H) TRUSTEES' RETIREMENT PLAN
The Trustees have adopted a Retirement Plan (the "Plan") effective January 1,
1999. The Plan provides for payments upon retirement to independent Trustees
based on the average annual compensation paid to them during their five highest
paid years of service. An independent Trustee must serve for a minimum of seven
years (or such lessor period as may be approved by the Board of Trustees) to
become eligible to receive benefits. For the year ended December 31, 1999, the
Portfolio accrued $71,695 in connection with the Plan.
(2) INVESTMENT ADVISORY FEE
The investment advisory fee is accrued daily and payable monthly to the Adviser,
and is computed as a percentage of the Portfolio's net assets as of the close of
business each day at the annual rate of 0.80% on the first $400 million, 0.75%
on the next $400 million and 0.70% thereafter. The Adviser is contractually
obligated to waive that portion of the advisory fee and to assume any necessary
expense to limit total operating expenses of the Portfolio to 1.00% of average
net assets (net of any expense offset) on an annual basis.
(3) INVESTMENTS IN SECURITIES
For federal income tax purposes, the cost of securities owned at December 31,
1999 was $750,744,255. Accordingly, net unrealized appreciation of investments
of $42,021,251 was comprised of gross appreciation of $89,115,329 for those
investments having an excess of value over cost and gross depreciation of
$47,094,078 for those investments having an excess of cost over value.
For the year ended December 31, 1999, purchases and sales of investment
securities, other than short-term securities, aggregated $323,838,798 and
$350,171,550, respectively.
<PAGE>
OCC ACCUMULATION TRUST
MANAGED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
(CONCLUDED)
(4) ACQUISITION OF INVESTMENT ADVISER
On October 31, 1999, PIMCO Advisors Holdings L.P. ("PAH"), its operating
subsidiary, PIMCO Advisors L.P. ("PIMCO Advisors"), and Allianz AG ("Allianz")
announced that they have reached a definitive agreement for Allianz, a German
insurance company, to acquire majority ownership of PIMCO Advisors, including
all of the interests held by PAH (the "Allianz Transaction"). For the Portfolio,
the change of control as a result of the consummation of the Allianz Transaction
(expected to close by the end of the first quarter of 2000) will result in the
automatic termination of the current investment advisory agreement with OpCap
Advisors, an indirect wholly-owned subsidiary of PIMCO Advisors. The Board of
Trustees has approved a new agreement with OpCap Advisors to become effective
upon consummation of the Allianz Transaction. The new agreement will be
submitted for approval by the stockholders of the Portfolio.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees of
OCC Accumulation Trust -- Managed Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Managed Portfolio (one of the
portfolios of OCC Accumulation Trust, hereafter referred to as the "Portfolio")
at December 31, 1999, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
the financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States of America, which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
February 11, 2000
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<PAGE>
OCC ACCUMULATION TRUST
1345 AVENUE OF THE AMERICAS
NEW YORK, NY 10105
TRUSTEES AND PRINCIPAL OFFICERS
Joseph M. LaMotta Trustee, President
V. Lee Barnes Trustee
Paul Y. Clinton Trustee
Thomas W. Courtney Trustee
Lacy B. Herrmann Trustee
Theodore T. Mason Trustee
Steven Calabria Vice President
Bernard H. Garil Vice President
Mark F. Degenhart Vice President and Portfolio Manager
John C. Giusio, Jr. Vice President
Richard J. Glasebrook, II Vice President and Portfolio Manager
Colin Glinsman Vice President and Portfolio Manager
Louis Goldstein Vice President and Portfolio Manager
Benjamin D. Gutstein Vice President and Portfolio Manager
Vikki Hanges Vice President and Portfolio Manager
Jeffrey J. Hughes Vice President
Timothy J. McCormack Vice President and Portfolio Manager
Eric V. Retzlaff Vice President
James Sheldon Vice President and Portfolio Manager
Brian S. Shlissel Treasurer
Elliot M. Weiss Secretary
Maria Camacho Assistant Secretary
INVESTMENT ADVISER
OpCap Advisors
1345 Avenue of the Americas
New York, NY 10105
CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
P.O. Box 1978
Boston, MA 02105
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
This report is authorized for distribution only
to shareholders and to others who have received
a copy of this Trust's prospectus.
