<PAGE>
-------------------------------------------------------
INSURANCE
INVESTMENT
PRODUCTS TRUST
-------------------------------------------------------
SEMI-ANNUAL REPORT
-------------------------------------------------------
June 30, 1995
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
INTERNATIONAL GROWTH FUND
<TABLE>
<CAPTION>
- -----------------------------------------------------
Market
Description Shares Value
- -----------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS -- 94.7%
AUSTRALIA -- 4.9%
Australia & New Zealand Bank 3,000 $ 10,650
Boral 4,200 10,496
Caltex Australia 2,500 7,153
National Australia Bank 1,900 15,000
Westpac Banking 3,600 13,010
----------
56,309
----------
BELGIUM -- 0.6%
D'Ieteren Trading 100 7,420
----------
CANADA -- 2.9%
Bank of Montreal 300 6,281
Canadian Imperial Bank of Commerce 400 9,613
Imasco Holdings 600 10,650
Royal Bank of Canada 300 6,718
----------
33,262
----------
FRANCE -- 13.2%
Alcatel Alsthom 150 13,508
CGIP 50 11,659
Christian Dior 150 13,211
Cie de Saint Gobain 100 12,081
Elf Gabon 50 9,432
Interbail 100 6,711
Lafarge 150 11,665
LVMH Moet Hennesy 50 8,999
Nord Est 400 10,160
Peugeot* 100 13,875
Poliet ex Lambert 100 9,082
Saint Louis Bouchon 50 15,462
Total "B" 250 15,050
----------
150,895
----------
GERMANY -- 1.9%
BASF 50 10,675
Hoechst 50 10,795
----------
21,470
----------
HONG KONG -- 2.6%
HSBC Holdings 800 10,262
Jardine International Motor 8,000 7,858
Lai Sun Garment 11,000 11,445
----------
29,565
----------
ITALY -- 1.6%
Comau Finanziaria 3,100 4,504
STET 2,000 5,534
STET Di Risp 3,800 8,447
----------
18,485
----------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------
Market
Description Shares Value
- -----------------------------------------------------
<S> <C> <C>
JAPAN -- 28.9%
Aoyama Trading 1,000 $ 16,757
Chiyoda Fire & Marine 2,000 11,258
Cosmo Oil 2,000 11,305
Daikyo 1,000 7,080
Daito Trust Construction 1,000 9,441
Daiwa Securities 1,000 10,550
Fuji Photo Film 1,000 23,720
Hitachi 2,000 19,943
Hokkaido Takushoku Bank 3,000 8,213
Honda Motor 1,000 15,341
Jaccs 1,000 9,323
Kirin Brewery 1,000 10,621
Long Term Credit Bank 2,000 17,347
Matsushita Electric 1,000 15,577
Mitsui Trust & Banking 1,000 9,205
Nippon Shinpan 2,000 12,839
Nippondenso 1,000 18,173
Nissan Fire & Marine Insurance 2,000 13,217
Nissan Motors 2,000 12,792
Sakura Bank 2,000 20,887
Tohoku Electric Power 500 13,866
Tokai Bank 1,000 11,093
Toshiba 1,000 6,337
Toyota Motor 1,000 19,825
Toyota Tsusho 1,000 6,278
----------
330,988
----------
MALAYSIA -- 6.5%
Arab-Malaysian Merchant Bank 1,000 11,897
Edaran Otomobil 1,000 9,764
Malaysian Airline System 3,000 10,154
MBF Capital 11,000 12,816
Oriental Holdings 2,000 10,667
Perusahaan Otomobil 3,000 10,831
Sime Darby 3,000 8,369
----------
74,498
----------
NETHERLANDS -- 7.1%
ABN-Amro Holdings 411 15,867
Aegon 513 17,734
Hoogovens & Staalf 300 11,930
International Nederlanden 307 16,985
KPN 513 18,447
----------
80,963
----------
NEW ZEALAND -- 0.7%
Lion Nathan 4,100 8,111
----------
NORWAY -- 0.9%
Den Norske Bank 3,700 10,031
----------
</TABLE>
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
INTERNATIONAL GROWTH FUND
<TABLE>
<CAPTION>
- -------------------------------------------------
Market
Description Shares Value
- -------------------------------------------------
<S> <C> <C>
SPAIN -- 2.6%
Banco Popular 100 $ 14,870
Telefonica Nacional 1,200 15,465
----------
30,335
----------
SWEDEN -- 2.6%
Stora Kopparberg "B" 1,000 13,532
SSAB "B" 800 9,342
Sydkraft "C"* 500 6,766
----------
29,640
----------
SWITZERLAND -- 6.2%
Ciba Geigy 20 14,665
Companie Financiere Richemont 10 12,337
CS Holdings 150 13,749
Elektrowatt "B" 40 11,503
Roche Holding 3 19,340
----------
71,594
----------
UNITED KINGDOM -- 11.5%
Anglian Water 1,400 11,149
Bass 1,400 13,386
British Steel 4,600 12,558
Guardian Royal Exchange* 3,900 12,833
Hanson 3,700 12,939
Lloyds Bank 900 8,927
National Westminster Bank 700 6,075
Norweb* 500 5,405
Royal Insurance 2,400 11,788
Sun Alliance Group* 2,000 10,650
Tesco 3,000 13,829
Yorkshire Water 1,300 11,903
----------
131,442
----------
UNITED STATES -- 0.0%
U.S. Industries* 37 504
----------
Total Foreign Common Stocks
(Cost $1,047,269) 1,085,512
----------
FOREIGN PREFERRED STOCKS -- 1.3%
AUSTRALIA -- 1.3%
Newscorp 3,000 14,846
----------
Total Foreign Preferred Stocks
(Cost $11,284) 14,846
----------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------
Face Market
Description Amount Value
- -------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.2%
Lehman Brothers
5.87%, dated 06/30/95,
matures 07/03/95, repurchase
price $13,906 (collateral-
ized by a U.S. Treasury Note,
due 01/31/97, par value
$13,878, market value
$14,293) $13,899 $ 13,899
----------
Total Repurchase Agreement
(Cost $13,899) 13,899
----------
Total Investments -- 97.2%
(Cost $1,072,452) 1,114,257
----------
OTHER ASSETS AND LIABILITIES
-- 2.8% Other Assets and
Liabilities, Net 32,585
----------
NET ASSETS:
Portfolio shares (unlimited
authorization -- no par
value) based on 110,961
outstanding shares of
beneficial interest 1,108,634
Accumulated net realized
gain on investments 10,162
Accumulated net realized
loss on forward foreign
currency contracts and
foreign currency transactions (35,345)
Net unrealized appreciation
on investments 41,805
Net unrealized appreciation
on forward foreign currency
contracts, foreign currency
and translation of other
assets and liabilities
denominated in foreign
currencies 5,658
Undistributed net investment
income 15,928
----------
Total Net Assets -- 100.0% $1,146,842
==========
Net Asset Value, Offering Price
and Redemption Price Per Share $ 10.34
==========
</TABLE>
* Non-income producing security
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
GROWTH FUND
<TABLE>
<CAPTION>
- ------------------------------------------------------
Market
Description Shares Value
- ------------------------------------------------------
<S> <C> <C>
COMMON STOCK -- 94.8%
AIRCRAFT -- 2.0%
Allied Signal 580 $ 25,810
----------
AUTOMOTIVE -- 1.1%
Magna International, Class A 330 14,561
----------
BANKS -- 0.4%
Citicorp 100 5,788
----------
BEAUTY PRODUCTS -- 2.4%
Avon Products 300 20,100
Gillette 260 11,603
----------
31,703
----------
BROADCASTING, NEWSPAPERS
& ADVERTISING -- 3.1%
Comcast Special, Class A 1,000 18,563
Tele-Communications, Class A* 940 22,031
----------
40,594
----------
CABLE AND OTHER PAY TELEVISION
SERVICES -- 0.6%
Cox Communications* 400 7,750
----------
CHEMICALS -- 5.2%
E.I. du Pont de Nemours 140 9,625
Monsanto 260 23,433
Rohm & Haas 510 27,986
Union Carbide 180 6,008
----------
67,052
----------
COMMUNICATIONS EQUIPMENT -- 2.2%
Motorola 420 28,193
----------
COMPUTERS & SERVICES -- 4.6%
Cisco Systems* 650 32,866
Compaq Computer* 385 17,469
Silicon Graphics* 240 9,570
----------
59,905
----------
DRUGS -- 9.3%
Abbott Laboratories 570 23,085
Forest Laboratories* 190 8,431
Merck 1,240 60,760
Pfizer 310 28,636
----------
120,912
----------
ENTERTAINMENT -- 3.1%
Carnival, Class A 200 4,675
Walt Disney 650 36,156
----------
40,831
----------
FINANCIAL SERVICES -- 2.2%
Federal Home Loan Mortgage 280 19,250
Federal National Mortgage 100 9,438
----------
28,688
----------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------
Market
Description Shares Value
- ------------------------------------------------------
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO -- 11.9%
Coca Cola 720 $ 45,900
Pepsico 1,020 46,538
Philip Morris 830 61,725
----------
154,163
----------
GAS/NATURAL GAS -- 1.4%
Enron 510 17,914
----------
HOUSEHOLD PRODUCTS -- 4.8%
Colgate Palmolive 320 23,400
Procter & Gamble 540 38,813
----------
62,213
----------
INSURANCE -- 8.7%
American International 280 31,920
General Re 125 16,734
MGIC Investment 100 4,688
NAC Re 185 5,758
The PMI Group 200 8,675
Travelers 430 18,813
United Healthcare 635 26,273
----------
112,861
----------
MACHINERY -- 7.0%
General Electric 1,090 61,449
General Instrument* 750 28,781
----------
90,230
----------
MEDICAL PRODUCTS & SERVICES -- 2.1%
Columbia/HCA Healthcare 640 27,680
----------
MISCELLANEOUS BUSINESS SERVICES -- 3.8%
Informix* 640 16,240
Oracle* 865 33,411
----------
49,651
----------
PAPER & PAPER PRODUCTS -- 0.7%
Scott Paper 180 8,910
----------
PETROLEUM & FUEL PRODUCTS -- 1.3%
Apache 200 5,475
Western Atlas* 265 11,759
----------
17,234
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 2.7%
Eastman Kodak 430 26,069
Xerox 75 8,794
----------
34,863
----------
RAILROADS -- 1.4%
Burlington Northern 190 12,041
Conrail 100 5,563
----------
17,604
----------
</TABLE>
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
GROWTH FUND
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Description Shares Value
- -----------------------------------------------------------
<S> <C> <C>
RETAIL -- 4.3%
Autozone* 190 $ 4,774
Home Depot 500 20,313
Kohls* 140 6,388
McDonald's 610 23,866
----------
55,341
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 4.1%
Intel 840 53,183
----------
TELEPHONES & TELECOMMUNICATION -- 4.4%
Airtouch Communications* 940 26,790
AT&T 580 30,813
----------
57,603
----------
Total Common Stock
(Cost $1,082,678) 1,231,237
----------
Total Investments -- 94.8% of Net Assets
(Cost $1,082,678) $1,231,237
==========
* Non-income producing security
AGGRESSIVE GROWTH FUND
COMMON STOCK -- 92.7%
APPAREL/TEXTILES -- 2.0%
Tommy Hilfiger* 500 $ 14,000
----------
BROADCASTING, NEWSPAPERS
& ADVERTISING -- 0.9%
Clear Channel Communications* 100 6,438
----------
COMMUNICATIONS EQUIPMENT -- 9.9%
Glenayre Technologies* 300 15,300
Integrated Silicon Solutions* 200 10,450
Itron* 100 3,125
Kemet* 100 5,250
Stratacom* 400 19,500
Ultratech Stepper* 400 14,100
----------
67,725
----------
COMPUTER PERIPHERAL EQUIPMENT -- 1.7%
Electroglas* 200 11,450
----------
COMPUTERS & SERVICES -- 4.1%
Atria Software* 100 4,850
FTP Software* 200 6,000
Hyperion Software* 300 13,575
S3* 100 3,600
----------
28,025
----------
DRUGS -- 1.8%
Circa Pharmaceuticals* 100 3,188
Idexx Laboratories* 200 5,200
Watson Pharmaceuticals* 100 3,900
----------
12,288
----------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Description Shares Value
- -----------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT -- 1.4%
Regal Cinemas* 200 $ 6,400
Station Casinos* 200 3,450
----------
9,850
----------
ENVIRONMENTAL SERVICES -- 2.1%
United Waste Systems* 400 14,400
----------
FINANCIAL SERVICES -- 1.3%
Credit Acceptance* 300 6,150
National Auto Credit* 200 2,675
----------
8,825
----------
HOTELS & LODGING -- 0.6%
Doubletree* 200 4,313
----------
INSURANCE -- 4.0%
Healthsource* 300 10,500
Phycor* 200 7,025
Value Health* 300 9,675
----------
27,200
----------
MACHINERY -- 7.1%
FSI International* 400 9,325
Gasonics International* 200 5,700
Input/Output* 200 7,200
Kulicke & Soffa Industries* 100 6,631
Lam Research* 100 6,400
Photronics* 100 3,075
Zebra Technology* 200 10,650
----------
48,981
----------
MEASURING DEVICES -- 5.3%
Cognex* 400 16,100
Credence Systems* 300 9,075
Digital Link* 100 2,825
Tencor Instrument* 200 8,200
----------
36,200
----------
MEDICAL PRODUCTS & SERVICES -- 3.4%
Community Health Systems* 200 6,775
Ren* 300 4,763
Theratx* 200 2,675
Vencor* 300 9,450
----------
23,663
----------
MISCELLANEOUS BUSINESS SERVICES -- 19.8%
Acxiom* 400 9,550
Alantec* 100 3,425
Alternative Resources* 200 5,300
Cambridge Technology Partners* 400 13,200
Electronics For Imaging* 300 15,675
Fair Isaac 200 5,950
Frame Technology* 400 11,700
Macro Media* 200 8,650
McAfee Associates* 200 6,063
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
Market
Description Shares Value
- ----------------------------------------------------------------------------
<S> <C> <C>
Medic Computer Systems* 200 $ 7,700
National Data 300 6,938
Netmanage* 400 6,800
Network Peripherals* 300 6,544
Synopsys* 200 12,519
Systems & Computers Technology* 200 4,000
Wonderware* 300 12,075
--------
136,089
--------
MISCELLANEOUS CONSUMER SERVICES -- 1.0%
Corrections of America* 200 6,875
--------
MISCELLANEOUS MANUFACTURING -- 2.4%
Blyth Industries* 200 8,525
Department 56* 200 7,650
--------
16,175
--------
PRINTING & PUBLISHING -- 0.8%
Gartner, Class A* 200 5,800
--------
PROFESSIONAL SERVICES -- 1.3%
Tetra Tech* 500 8,875
--------
RAILROADS -- 1.4%
Railtex* 200 4,750
Wisconsin Central* 100 4,900
--------
9,650
--------
RETAIL -- 10.5%
Apple South 400 7,800
Corporate Express* 450 9,619
Discount Auto Parts* 200 5,075
General Nutrition* 400 14,050
Micro Warehouse* 300 13,800
Omnicare 400 10,850
Sunglass Hut International* 200 7,000
Viking Office Products* 100 3,663
--------
71,857
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.8%
Altera* 200 8,650
Integrated Process Equipment* 100 3,531
Mattson Technology* 100 4,700
Sanmina* 100 3,800
Sierra Semiconductor* 100 3,175
Silicon Valley* 100 3,625
Vicor* 200 8,988
VLSI Technology* 100 3,013
--------
39,482
--------
TELEPHONES & TELECOMMUNICATION -- 2.1%
Ascend Communications* 100 5,050
Cidco* 200 6,275
LCI International* 100 3,063
--------
14,388
--------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Shares/Face Market
Description Amount Value
- -----------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION SERVICES -- 1.7%
Fritz* 200 $ 11,738
--------
WHOLESALE -- 0.3%
Cellstar* 100 2,338
--------
Total Common Stock
(Cost $541,044) 636,625
--------
REPURCHASE AGREEMENT -- 8.6%
Lehman Brothers
5.87%, dated 06/30/95, matures 07/03/95, repurchase
price $59,263 (collateralized by U.S. Treasury
Note, due 01/31/97
par value $57,859, market
value $61,005) $59,234 59,234
--------
Total Repurchase Agreement
(Cost $59,234) 59,234
--------
Total Investments -- 101.3%
(Cost $600,278) 695,859
--------
OTHER ASSETS AND LIABILITIES -- (1.3)%
Other Assets and Liabilities, Net (8,909)
--------
NET ASSETS:
Portfolio shares (unlimited authorization--no par
value) based on 59,479 outstanding shares of
beneficial interest 600,776
Accumulated net realized loss on investments (8,693)
Net unrealized appreciation on investments 95,581
Distributions in excess of net investment income (714)
--------
Total Net Assets -- 100.0% $686,950
========
Net Asset Value, Offering Price and Redemption Price
Per Share $11.55
========
* Non-income producing security
INCOME EQUITY FUND
COMMON STOCK -- 98.2%
AEROSPACE & DEFENSE -- 1.3%
Loral 100 $ 5,175
Raytheon 50 3,881
Rockwell International 150 6,863
--------
15,919
--------
AIR TRANSPORTATION -- 0.6%
AMR* 50 3,731
Delta Air Lines 50 3,688
--------
7,419
--------
</TABLE>
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
INCOME EQUITY FUND
<TABLE>
<CAPTION>
- -------------------------------------------------
Market
Description Shares Value
- -------------------------------------------------
<S> <C> <C>
AIRCRAFT -- 2.2%
Lockheed Martin 150 $ 9,469
McDonnell Douglas 250 19,188
--------
28,657
--------
APPAREL/TEXTILES -- 0.5%
Springs Industries, Class A 100 3,725
V F 50 2,688
--------
6,413
--------
AUTOMOTIVE -- 5.0%
Chrysler 200 9,575
Dana 150 4,294
Eaton 200 11,625
Ford Motor 650 19,338
General Motors 350 16,406
Paccar 50 2,338
--------
63,576
--------
BANKS -- 14.3%
Ahmanson H F 250 5,500
Bank of Boston 150 5,625
BankAmerica 350 18,419
Chemical Banking 450 21,263
Citicorp 350 20,256
Corestates Financial 500 17,438
First Interstate Bancorp 150 12,038
First Union 300 13,575
Nationsbank 300 16,088
NBD Bancorp 500 16,000
Republic New York 150 8,400
Southtrust 450 10,406
Wells Fargo 100 18,025
--------
183,033
--------
BEAUTY PRODUCTS -- 0.4%
Alberto Culver, Class B 150 4,538
--------
CHEMICALS -- 6.7%
Dow Chemical 225 16,172
E.I. du Pont de Nemours 400 27,500
Eastman Chemical 50 2,975
Eli Lilly 200 15,700
First Mississippi 300 10,238
Union Carbide 400 13,350
--------
85,935
--------
COMMUNICATIONS EQUIPMENT -- 0.7%
ITT 75 8,813
--------
COMPUTERS & SERVICES -- 4.1%
International Business Machines 400 38,400
Seagate Technology* 100 3,925
Tandy 200 10,375
--------
52,700
--------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------
Market
Description Shares Value
- -------------------------------------------------
<S> <C> <C>
DRUGS -- 1.7%
Baxter International 125 $ 4,547
Bristol-Myers Squibb 250 17,031
--------
21,578
--------
ELECTRICAL UTILITIES -- 10.5%
Baltimore Gas and Electric 200 5,000
Centerior Energy 500 4,813
Central and South West 250 6,563
Consolidated Edison of New York 400 11,800
Detroit Edison 350 10,238
DQE 250 5,875
Duke Power 200 8,300
Entergy 150 3,619
General Public Utilities 400 11,900
Peco Energy 350 9,669
Pinnacle West Capital 500 12,250
Public Service Enterprise 500 13,875
SCE 650 11,131
Southern 250 5,594
Unicom 500 13,313
--------
133,940
--------
FINANCIAL SERVICES -- 4.7%
Allstate 400 11,850
American Express 250 8,781
Dean Witter Discover 250 11,750
Household International 200 9,900
Travelers 400 17,500
--------
59,781
--------
FOOD, BEVERAGE & TOBACCO -- 1.4%
Adolph Coors, Class B 100 1,638
Archer Daniels Midland 400 7,450
IBP 200 8,700
--------
17,788
--------
GAS/NATURAL GAS -- 2.4%
Coastal 100 3,038
Eastern Enterprises 200 5,975
Oneok 100 2,138
Panhandle Eastern 450 10,969
Williams 250 8,719
--------
30,839
--------
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------
Market
Description Shares Value
- ------------------------------------------------------
<S> <C> <C>
INSURANCE -- 3.6%
American General 250 $ 8,438
Cigna 250 19,406
Old Republic International 200 5,225
Providian 100 3,625
Saint Paul 100 4,925
U.S. Life 100 4,025
----------
45,644
----------
MACHINERY -- 2.7%
Black & Decker 150 4,631
Cummins Engine 175 7,634
Deere 100 8,563
Outboard Marine 200 3,925
Parker-Hannifin 150 5,438
Timken 100 4,613
----------
34,804
----------
MEASURING DEVICES -- 0.2%
Johnson Controls 50 2,825
----------
MEDICAL PRODUCTS & SERVICES -- 0.9%
Becton Dickinson 200 11,650
----------
MISCELLANEOUS BUSINESS SERVICES -- 0.4%
Sun Microsystems* 100 4,850
----------
PAPER & PAPER PRODUCTS -- 3.5%
Bowater 50 2,244
Champion International 250 13,031
Federal Paper Board 200 7,075
International Paper 150 12,863
Temple-Inland 100 4,763
Weyerhaeuser 100 4,713
----------
44,689
----------
PETROLEUM REFINING -- 11.0%
Amoco 300 19,988
Atlantic Richfield 150 16,463
Exxon 800 56,500
Mobil 450 43,200
Royal Dutch Petroleum ADR 50 6,094
----------
142,245
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.9%
Eastman Kodak 250 15,156
Xerox 75 8,794
----------
23,950
----------
PRINTING & PUBLISHING -- 0.7%
American Greetings, Class A 100 2,938
Meredith 100 2,538
Wallace Computer Services 75 2,878
----------
8,354
----------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------
Market
Description Shares Value
- ------------------------------------------------------
<S> <C> <C>
RAILROADS -- 1.6%
Conrail 250 $ 13,906
Norfolk Southern 100 6,738
----------
20,644
----------
RETAIL -- 2.6%
Jostens 100 2,125
Rite Aid 150 3,844
Sears Roebuck 400 23,950
Wendy's International 150 2,681
----------
32,600
----------
RUBBER & PLASTIC -- 0.3%
Goodyear Tire & Rubber 100 4,125
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.3%
Advanced Micro Devices* 100 3,638
----------
STEEL & STEEL WORKS -- 1.4%
Alcan Aluminum 200 6,050
Asarco 200 6,100
Reynolds Metals 50 2,588
USX-U.S. Steel 100 3,438
----------
18,176
----------
TELEPHONES & TELECOMMUNICATION -- 9.4%
Ameritech 600 26,400
Bellsouth 400 25,400
Cincinnati Bell 200 5,050
GTE 700 23,870
NYNEX 100 4,025
Pacific Telesis 450 12,038
Southern New England 300 10,575
United States Cellular* 400 12,100
----------
119,458
----------
TRUCKING -- 0.7%
Consolidated Freightways 100 2,213
Pittston Services 300 7,200
----------
9,413
----------
WHOLESALE -- 0.5%
Fleming 250 6,625
----------
Total Common Stock
(Cost $1,147,955) 1,254,619
----------
</TABLE>
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
INCOME EQUITY FUND
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Face Market
Description Amount Value
- -------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 2.0%
Lehman Brothers
5.80%, dated 06/30/95, matures 07/03/95, repurchase price
$24,995 (collateralized by U.S. Treasury Bill, due
07/03/95 par value $27,218, market value $25,735) $24,983 $ 24,983
----------
Total Repurchase Agreement
(Cost $24,983) 24,983
----------
Total Investments -- 100.2%
(Cost $1,172,938) 1,279,602
----------
OTHER ASSETS AND LIABILITIES -- (0.2)%
Other Assets and Liabilities, Net ( 2,149)
----------
NET ASSETS:
Portfolio shares (unlimited authorization--no par value)
based on 115,934 outstanding shares of beneficial
interest 1,164,688
Accumulated net realized gain on investments 6,099
Net unrealized appreciation on investments 106,664
Undistributed net investment income 2
----------
Total Net Assets -- 100.0% $1,277,453
==========
Net Asset Value, Offering Price and Redemption Price Per
Share $ 11.02
==========
</TABLE>
* Non-income producing security
ADR American Depository Receipt
INTERMEDIATE FIXED INCOME FUND
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Face Market
Description Amount Value
- ------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 88.5%
U.S. Treasury Bill
5.480%, 07/20/95 $250,000 $ 249,253
U.S. Treasury Bond
7.500%, 11/15/24 56,000 61,990
U.S. Treasury Note
7.500%, 02/15/05 650,000 708,070
----------
Total U.S. Treasury Obligations
(Cost $960,315) 1,019,313
----------
REPURCHASE AGREEMENT -- 10.6%
Lehman Brothers
5.82%, dated 06/30/95, matures 07/03/95, repurchase
price $121,918 (collateralized by U.S. Treasury Note,
due 01/31/97 par value $119,030, market value $125,503) 121,860 121,860
----------
Total Repurchase Agreement
(Cost $121,860) 121,860
----------
Total Investments--99.1%
(Cost $1,082,175) 1,141,173
----------
OTHER ASSETS AND LIABILITIES -- 0.9%
Other Assets and Liabilities, Net 10,192
----------
NET ASSETS:
Portfolio shares (unlimited authorization--no par value)
based on 107,920 outstanding shares of beneficial
interest 1,083,696
Accumulated net realized gain on investments 8,671
Net unrealized appreciation on investments 58,998
----------
Total Net Assets -- 100.0% $1,151,365
==========
Net Asset Value, Offering Price and Redemption Price Per
Share $ 10.67
==========
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Face
Description Amount Value
- ------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT BONDS -- 84.6%
FFCB Discount Note
5.991%, 07/05/95 $ 80,000 $ 79,948
FHLB Discount Note
5.996%, 07/10/95 100,000 99,853
FHLMC Discount Notes
5.954%, 07/05/95 60,000 59,961
5.993%, 07/07/95 25,000 24,975
FNMA Discount Note
5.966%, 07/07/95 275,000 274,731
--------
Total Government Bonds
(Cost $539,468) 539,468
--------
U.S. TREASURY OBLIGATIONS -- 15.6%
U.S. Treasury Bill
5.265%, 08/17/95 75,000 74,484
5.400%, 08/17/95 25,000 24,824
--------
Total U.S. Treasury Obligations
(Cost $99,308) 99,308
--------
Total Investments -- 100.2%
(Cost $638,776) 638,776
--------
OTHER ASSETS AND LIABILITIES -- (0.2)%
Other Assets and Liabilities, Net (1,412)
--------
NET ASSETS:
Portfolio shares (unlimited
authorization--no par value) based on 637,365 outstanding
shares of beneficial interest 637,365
Accumulated net realized loss on investments (1)
--------
Total Net Assets -- 100.0% $637,364
========
Net Asset Value, Offering Price and Redemption Price Per
Share $ 1.00
========
</TABLE>
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
The accompanying notes are an integral part of the financial statements.
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--as of June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
----------
GROWTH
FUND
----------
<S> <C>
ASSETS:
Investments at market value (cost $1,082,678) $1,231,237
Cash 46,492
Receivable for investment securities sold 23,399
Accrued interest receivable 2,303
Other assets 317
----------
Total assets 1,303,748
----------
LIABILITIES:
Distribution payable 1,365
Accrued expenses payable 4,128
----------
Total liabilities 5,493
----------
NET ASSETS:
Portfolio shares (unlimited authorization -- no par value) based on
113,777 outstanding shares of beneficial interest 1,144,110
Accumulated net realized gain on investments 5,580
Net unrealized appreciation on investments 148,559
Undistributed net investment income 6
----------
TOTAL NET ASSETS $1,298,255
==========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $ 11.41
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATEMENTS OF OPERATIONS
- ------------------------------------------------------------------------
Insurance Investment Products Trust--For the period ended June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
------------- --------
INTERNATIONAL
GROWTH GROWTH
FUND (1) FUND (1)
------------- --------
<S> <C> <C>
INVESTMENT INCOME:
Interest $ 2,036 $ 1,635
Dividends 21,111 7,625
Less: Foreign taxes withheld (1,563) --
-------- --------
Total investment income 21,584 9,260
-------- --------
EXPENSES:
Management fees 2,256 1,967
Less management fees waived (2,256) (1,967)
Reimbursement from management (21,454) (9,464)
Investment advisory fees 1,802 1,749
Less advisory fees waived -- (518)
Custody fees 12,322 823
Professional fees 3,747 6,040
Printing fees 3,215 4,731
Wire agent fees 932 306
Registration fees 382 148
Trustees fees 1,192 52
Pricing fees 3,454 494
Miscellaneous fees 64 10
-------- --------
Total expenses 5,656 4,371
-------- --------
NET INVESTMENT INCOME (LOSS) 15,928 4,889
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) from security transactions 10,162 5,580
Net realized loss on forward foreign currency
contracts and foreign currency transactions (35,345) --
Net change in unrealized appreciation on investments 41,805 148,559
Net change in unrealized appreciation on forward
foreign currency contracts, foreign currency and
translation of other assets and liabilities in
foreign currencies 5,658 --
-------- --------
Total net realized and unrealized gain (loss) on in-
vestments 22,280 154,139
-------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 38,208 $159,028
======== ========
</TABLE>
(1) Commenced operations on February 10, 1995.
The accompanying notes are an integral part of the financial statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------- -------- ------------ --------
INTERMEDIATE
AGGRESSIVE INCOME FIXED MONEY
GROWTH EQUITY INCOME MARKET
FUND (1) FUND (1) FUND (1) FUND (1)
- ---------- -------- ------------ --------
<S> <C> <C> <C>
$ 2,412 $ 2,782 $26,854 $14,539
30 13,808 -- --
-- -- -- --
------- -------- ------- -------
2,442 16,590 26,854 14,539
------- -------- ------- -------
982 1,945 1,537 1,022
(982) (1,945) (1,537) (1,022)
(5,072) (8,982) (8,959) (5,161)
1,418 1,512 1,113 182
(327) (454) (568) --
412 813 741 420
3,064 5,911 5,484 3,008
2,388 4,638 4,277 2,352
153 302 283 170
74 148 139 86
26 52 49 29
478 370 263 124
5 11 10 6
------- -------- ------- -------
2,619 4,321 2,832 1,216
------- -------- ------- -------
(177) 12,269 24,022 13,323
------- -------- ------- -------
(8,693) 6,099 8,671 (1)
-- -- -- --
95,581 106,664 58,998 --
-- -- -- --
------- -------- ------- -------
86,888 112,763 67,669 (1)
------- -------- ------- -------
$86,711 $125,032 $91,691 $13,322
======= ======== ======= =======
</TABLE>
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------
Insurance Investment Products Trust--For the period ended June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
------------- -----------
INTERNATIONAL
GROWTH GROWTH
FUND FUND
2/10/95 (1) 2/10/95 (1)
TO 6/30/95 TO 6/30/95
------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) $ 15,928 $ 4,889
Net realized gain (loss) from security and foreign
currency transactions (25,183) 5,580
Net change in unrealized appreciation on investments
and foreign currency transactions 47,463 148,559
---------- ----------
Net increase in net assets resulting from operations 38,208 159,028
---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income -- (4,883)
---------- ----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 1,112,670 1,142,197
Reinvestment of cash distributions -- 3,518
Cost of shares repurchased (4,136) (1,705)
---------- ----------
Increase in net assets derived from capital share
transactions 1,108,534 1,144,010
---------- ----------
Net increase in net assets 1,146,742 1,298,155
NET ASSETS:
Beginning of period 100 100
---------- ----------
End of period (2) $1,146,842 $1,298,255
========== ==========
CAPITAL SHARE TRANSACTIONS:
Capital shares outstanding at beginning of period 10 10
---------- ----------
Shares issued 111,357 113,580
Shares issued in lieu of cash distributions -- 342
Shares repurchased (406) (155)
---------- ----------
Net increase in capital shares 110,951 113,767
---------- ----------
Capital shares outstanding at end of period 110,961 113,777
========== ==========
</TABLE>
(1) Commenced operations on February 10, 1995.
(2) Including undistributed (distributions in excess of) net investment
income of $15,928 for International Growth, $6 for Growth, $(714) for
Aggressive Growth, $2 for Income Equity, $0 for Intermediate Fixed Income
and $0 for Money Market at June 30, 1995.
The accompanying notes are an integral part of the financial statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------- ----------- ------------ -----------
AGGRESSIVE INCOME INTERMEDIATE MONEY
GROWTH EQUITY FIXED INCOME MARKET
FUND FUND FUND FUND
2/10/95 (1) 2/10/95 (1) 2/10/95 (1) 2/10/95 (1)
TO 6/30/95 TO 6/30/95 TO 6/30/95 TO 6/30/95
----------- ----------- ------------ -----------
<S> <C> <C> <C>
$ (177) $ 12,269 $ 24,022 $ 13,323
(8,693) 6,099 8,671 (1)
95,581 106,664 58,998 --
-------- ---------- ---------- --------
86,711 125,032 91,691 13,322
-------- ---------- ---------- --------
(537) (12,267) (24,022) (13,323)
-------- ---------- ---------- --------
618,993 1,156,695 1,065,040 896,224
62 10,574 18,583 793
(18,379) (2,681) (27) (359,152)
-------- ---------- ---------- --------
600,676 1,164,588 1,083,596 537,865
-------- ---------- ---------- --------
686,850 1,277,353 1,151,265 537,864
100 100 100 99,500
-------- ---------- ---------- --------
$686,950 $1,277,453 $1,151,365 $637,364
======== ========== ========== ========
10 10 10 99,500
-------- ---------- ---------- --------
61,214 115,164 106,106 896,224
6 1,005 1,807 793
(1,751) (245) (3) (359,152)
-------- ---------- ---------- --------
59,469 115,924 107,910 537,865
-------- ---------- ---------- --------
59,479 115,934 107,920 637,365
======== ========== ========== ========
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--for the period ended June 30, 1995
(Unaudited)
For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Ratio of Net
Distributions Distributions Investment
Net Asset Net Realized and From From Ratio of Income
Value Net Unrealized Net Realized Net Asset Net Assets Expenses (Loss) to
Beginning Investment Gain on Investment Capital Value End Total End of to Average Average
of Period Income Investments Income Gains of Period Return+ Period Net Assets Net Assets
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INTERNATIONAL GROWTH FUND (1)
- -----------------------------
1995 $10.00 $0.14 $0.20 -- -- $10.34 3.40% $1,146,842 1.40% 3.88 %
GROWTH FUND (1)
- ---------------
1995 $10.00 $0.05 $1.41 $(0.05) -- $11.41 14.59% $1,298,255 1.00% 1.12 %
AGGRESSIVE GROWTH FUND (1)
- --------------------------
1995 $10.00 -- $1.56 $(0.01) -- $11.55 15.60% $ 686,950 1.20% (0.08)%
INCOME EQUITY FUND (1)
- ----------------------
1995 $10.00 $0.11 $1.02 $(0.11) -- $11.02 11.38% $1,277,453 1.00% 2.84 %
INTERMEDIATE FIXED INCOME FUND (1)
- ----------------------------------
1995 $10.00 $0.23 $0.67 $(0.23) -- $10.67 9.12% $1,151,365 0.70% 5.94 %
MONEY MARKET FUND (1)
- ---------------------
1995 $1.00 $0.02 -- $(0.02) -- $1.00 2.09% $ 637,364 0.50% 5.48 %
<CAPTION>
Ratio of
Ratio of Net Investment
Expenses Income (Loss)
to Average to Average
Net Assets Net Assets Portfolio
(Excluding (Excluding Turnover
Waivers) Waivers) Rate
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INTERNATIONAL GROWTH FUND (1)
- -----------------------------
1995 7.18% (1.90)% 19%
GROWTH FUND (1)
- ---------------
1995 3.73% (1.61)% 20%
AGGRESSIVE GROWTH FUND (1)
- --------------------------
1995 4.12% (3.00)% 50%
INCOME EQUITY FUND (1)
- ----------------------
1995 3.63% 0.21 % 15%
INTERMEDIATE FIXED INCOME FUND (1)
- ----------------------------------
1995 3.43% 3.21 % 37%
MONEY MARKET FUND (1)
- ---------------------
1995 3.04% 2.94 % N/A
</TABLE>
(1)Commenced operations on February 10, 1995. All ratios for the period have
been annualized.
+ Total Return is for the period indicated and has not been annualized.
The accompanying notes are an integral part of the financial statements.
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
1. ORGANIZATION:
Insurance Investment Products Trust, (the "Trust") was organized as a Massa-
chusetts business trust under a Declaration of Trust dated June 3, 1994. The
Trust is registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company with six funds: International Growth
Fund, Growth Fund, Aggressive Growth Fund, Income Equity Fund and Intermediate
Fixed Income Fund (the "Non-Money Market Funds"), and the Money Market Fund.
The assets of each Fund are segregated, and a shareholder's interest is limited
to the Fund in which shares are held. Shares of the Trust are currently offered
only to National Home Life Assurance Company Separate Account V and Connecticut
Mutual Life Insurance Company, through the C.M. Multi-Account A.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by the
Trust.
Security Valuation--Investment securities of the " Non-Money Market Funds"
which are listed on a securities exchange for which market quotations are
available are valued by an independent pricing service at the last quoted sales
price for such securities on each business day. If there is no such reported
sale, these securities and unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price. Foreign secu-
rities in the International Growth Fund are valued based upon quotations from
the primary market in which they are traded.
Investment securities of the Money Market Fund are stated at amortized cost
which approximates market value. Under this valuation method, purchase dis-
counts and premiums are accreted and amortized ratably to maturity and are in-
cluded in interest income.
Security Transactions and Investment Income--Security transactions are ac-
counted for on the trade date of the security purchase or sale. Cost used in
determining net realized capital gains and losses on the sale of securities are
those of the specific securities sold, adjusted for the accretion and amortiza-
tion of purchase discounts and premiums during the respective holding period
which is calculated using the effective interest method. Interest income is re-
corded on the accrual basis. Dividend income is recorded on ex-dividend date.
Repurchase Agreements--Securities pledged as collateral for repurchase agree-
ments are held by each Fund's custodian bank until maturity of the repurchase
agreements. Provisions of the agreements ensure that the market value of the
collateral, including interest thereon, is sufficient in the event of default
by the counterparty. If the counterparty defaults and the value of the collat-
eral declines or if the counterparty enters an insolvency proceeding, realiza-
tion of the collateral by the Fund may be delayed or limited.
Foreign Currency Translation--The books and records of the International
Growth Fund are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the
current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Growth Fund does not isolate that portion of gains and
losses on investments in equity securities which is due to changes in the for-
eign exchange rates from that which is due to change in market prices of equity
securities.
The International Growth Fund reports certain foreign currency related trans-
actions as components of realized gains for financial reporting purposes,
whereas such components are treated as ordinary income for Federal income tax
purposes.
Forward Foreign Currency Contracts--The International Growth Fund enters into
forward foreign currency contracts as hedges against either specific transac-
tions or fund positions. The aggregate principal amount of the contracts are
not recorded as the International Growth Fund intends to settle the contracts
prior to delivery. All commitments are "marked-to-market" daily at the applica-
ble foreign exchange rate and any resulting unrealized gains or losses are re-
corded currently. The International Growth Fund realizes gains or losses at the
time the
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- ------------------------------------------------------------------------
Insurance Investment Products Trust--June 30, 1995 (Unaudited)
forward contracts are extinguished. Unrealized gains or losses on outstanding
positions in forward foreign currency contracts held at the close of the year
will be recognized as ordinary income or loss for Federal income tax purposes.
Expenses--Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses of the Trust are prorated to
the Funds on the basis of relative net assets.
Distributions to Shareholders--The International Growth Fund declares and
pays dividends from net investment income periodically. The Growth, Income Eq-
uity and Intermediate Fixed Income Funds declare and pay dividends from net in-
vestment income monthly. The Aggressive Growth Fund declares and pays dividends
from net investment income quarterly. The Money Market Fund's distributions
from net investment income are declared on a daily basis. Any net realized cap-
ital gains on sales of securities from the Funds are distributed to its share-
holders at least annually.
Federal Income Taxes--It is the Trust's intention to qualify as a regulated
investment company for Federal income tax purposes and distribute all of its
taxable income and net capital gains. Accordingly, no provision for Federal in-
come taxes is required.
3. ORGANIZATION COSTS AND TRANSACTIONS WITH AFFILIATES:
The Trust incurred costs of approximately $59,000 in connection with its or-
ganization. These costs have been capitalized by the Trust and are being amor-
tized over sixty months commencing with operations. In the event any of the
initial shares of the Trust are redeemed by any holder thereof during the pe-
riod that the Trust is amortizing its organizational costs, the redemption pro-
ceeds payable to the holder thereof by the Trust will be reduced by the unamor-
tized organizational costs in the same ratio as the number of initial shares
being redeemed bears to the number of initial shares outstanding at the time of
redemption. These costs include legal fees of approximately $1,400 for organi-
zational work performed by a law firm of which an officer and trustee of the
Trust is a partner.
The Trust and SEI Financial Management Corporation ("SFM") are parties to a
Management Agreement dated December 30, 1994, under which SFM provides manage-
ment, administrative and shareholder services to the Funds for a fee calculated
as a percentage of each Fund's average daily net assets at an annual rate of
0.55% for the International Growth Fund, 0.45% for the Growth, Aggressive
Growth and Income Equity Funds, 0.38% for the Intermediate Fixed Income Fund
and 0.42% for the Money Market Fund.
SFM also serves as Adviser to certain funds of the Trust pursuant to an In-
vestment Advisory Agreement dated December 30, 1994, under which SFM receives a
fee calculated as a percentage of each Fund's average daily net assets at an
annual rate of 0.475% for the International Growth Fund, 0.40% for the Growth
Fund, 0.65% for the Aggressive Growth Fund, 0.35% for the Income Equity Fund
and 0.275% for the Intermediate Fixed Income Fund.
Wellington Management Company ("WMC") serves as Adviser to the Money Market
Fund pursuant to an agreement dated March 7, 1995, under which WMC receives a
fee calculated as a percentage of the Money Market Fund's average daily net as-
sets at an annual rate of 0.075% up to $500 million and 0.020% over $500 mil-
lion.
SFM may voluntarily waive a portion of its fee and reimburse the Trust, if
necessary, in order to limit the total operating expenses of each Fund.
LSV Asset Management ("LSV"), Sub-Adviser to a portion of the assets of the
Income Equity Fund is organized as a Delaware general partnership in which an
affiliate of SFM owns a majority interest.
Certain officers of the Trust are also officers of the Manager, Adviser
and/or Distributor. Such officers are paid no fees by the Trust for serving as
officers of the Trust.
4. SUB-ADVISORY AGREEMENTS:
Sub-Advisory services are provided to the Adviser for the International
Growth Fund by Acadian Asset Management, Inc. and WorldInvest Limited, for the
Growth Fund by Alliance Capital Management L.P. and IDS Advisory Group Inc.,
for the Ag-
<PAGE>
- --------------------------------------------------------------------------------
gressive Growth Fund by Pilgrim Baxter & Associates, LTD., for the Income Eq-
uity Fund by LSV, Mellon Equity Associates and Merus Capital Management, and
for the Intermediate Fixed Income Fund by Western Asset Management Company. Un-
der the terms of such agreements, the Sub-Advisers are entitled to receive a
fee from the Adviser. The Adviser is responsible for the supervision of, and
payment of fees to, the Sub-Advisers in connection with their services.
5. INVESTMENT TRANSACTIONS:
During the period ended June 30, 1995, purchases of securities and proceeds
from sales of securities, other than temporary investments in short-term secu-
rities, were as follows:
<TABLE>
<CAPTION>
Intermediate
International Aggressive Income Fixed
Growth Growth Growth Equity Income
------------- ---------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C>
Purchases
U.S. Government $ -- $ -- $ -- $ -- $995,434
Other 1,244,633 1,324,914 807,431 1,302,982 --
Sales
U.S. Government $ -- $ -- $ -- $ -- $292,886
Other 197,057 229,178 257,694 161,126 --
</TABLE>
At June 30, 1995, the total cost of securities and net realized gains or
losses on securities sold for Federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized appreciation and depreciation on securities held by the "Non-
Money Market Funds" at June 30, 1995 is as follows :
<TABLE>
<CAPTION>
Intermediate
International Aggressive Income Fixed
Growth Growth Growth Equity Income
------------- -------- ---------- -------- ------------
<S> <C> <C> <C> <C> <C>
Aggregate gross
unrealized appreciation $ 67,366 $157,470 $103,447 $113,391 $59,022
Aggregate gross
unrealized depreciation (25,561) (8,911) (7,866) (6,727) (24)
-------- -------- -------- -------- -------
Net unrealized
appreciation $ 41,805 $148,559 $ 95,581 $106,664 $58,998
======== ======== ======== ======== =======
</TABLE>
6. FORWARD FOREIGN CURRENCY CONTRACTS:
The International Growth Fund enters into forward foreign currency exchange
contracts as hedges against fund positions. Such contracts, which protect the
value of the Fund's investment securities against the decline in the value of
currency, do not eliminate fluctuations in the underlying prices of the securi-
ties. They simply establish an exchange rate at a future date. Also, although
such contracts tend to minimize the risk of loss due to a decline in the value
of a hedged currency, at the same time they tend to limit any potential gain
that might be realized should the value of such foreign currency increase.
The following forward foreign currency contract in the International Growth
Fund was outstanding at June 30, 1995:
<TABLE>
<CAPTION>
In Net
Settlement Contract Exchange Unrealized
Date to Deliver For Appreciation
---------- ------------ -------- ------------
<S> <C> <C> <C> <C>
Foreign Currency Sale............. 7/20/95 JY 9,655,000 $119,811 $5,539
-------- ------
</TABLE>
Currency Legend:
JY Japanese Yen
<PAGE>
- --------------------
INSURANCE INVESTMENT
- --------------------
PRODUCTS TRUST
- --------------------
SEMI-ANNUAL REPORT
- --------------------
June 30, 1995 (Unaudited)
Robert A. Nesher
Chairman
TRUSTEES
Richard F. Blanchard
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
OFFICERS
David G. Lee
President and Chief Executive Officer
Carmen V. Romeo
Treasurer, Assistant Secretary
Todd Lipperman
Vice President, Assistant Secretary
Robert B. Carroll
Vice President, Assistant Secretary
Kathryn L. Stanton
Vice President, Assistant Secretary
Joseph M. Lydon
Vice President, Assistant Secretary
Jeffrey A. Cohen
Controller, Assistant Secretary
Sandra K. Orlow
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Richard W. Grant
Secretary
INVESTMENT ADVISER
SEI Financial Management Corporation
Wellington Management Company
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Sutherland Asbill & Breman
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
This semi-annual report and the financial statements contained herein are
submitted for the general information of the contractholders and annuitants and
must be preceded or accompanied by a current prospectus. The variable annuity
is distributed by SEI Financial Services Company, 680 East Swedesford Road,
Wayne, PA 19087 and issued by C.M. Life Insurance Company, 140 Garden Street,
Hartford, CT 06154.
Variable annuity units are not deposits or obligations of, or guaranteed or
endorsed by, any financial institution. Variable annuity units are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in variable
annuity units involves risk, including the possible loss of the principal
amount invested. Distributions made prior to age 59 1/2 may be subject to a tax
penalty.
For more information call 1.800.DIAL.SEI/1.800.342.5734
