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Previous: UST MASTER VARIABLE SERIES INC, N-30D, 1996-03-01 |
Next: COMMERCE FUNDS, 485BPOS, 1996-03-01 |
<PAGE> 1
============================================================
INSURANCE
INVESTMENT
PRODUCTS TRUST
============================================================
ANNUAL REPORT
============================================================
December 31, 1995
<PAGE> 2
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
INTERNATIONAL GROWTH FUND . . . . . . . . . . . . . . . . . . . . . . . 2
GROWTH FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
AGGRESSIVE GROWTH FUND . . . . . . . . . . . . . . . . . . . . . . . . 3
INCOME EQUITY FUND . . . . . . . . . . . . . . . . . . . . . . . . . . 3
INTERMEDIATE FIXED INCOME FUND . . . . . . . . . . . . . . . . . . . . 4
STATEMENTS OF NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . 5
STATEMENTS OF OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . 14
STATEMENTS OF CHANGES IN NET ASSETS . . . . . . . . . . . . . . . . . . . . 16
FINANCIAL HIGHLIGHTS . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
NOTES TO FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . . . . . . . 19
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS . . . . . . . . . . . . . . . . . 22
NOTICE TO SHAREHOLDERS . . . . . . . . . . . . . . . . . . . . . . . . . . 23
</TABLE>
<PAGE> 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
Insurance Investment Products Trust -- December 31, 1995
INTERNATIONAL GROWTH FUND
Since the Fund's inception in February 1995, the Fund has produced a total
return of 13.18%. Although not as strong as the U.S. markets, developed
non-U.S. equity markets returned a respectable 11.2% as measured by the Morgan
Stanley Capital International EAFE Index. The strength of the developed markets
throughout 1995 came from Europe, as the Pacific region was negatively
influenced by a poor Japanese economy. The Japanese market was impacted by the
disastrous Kobe earthquake in the first quarter followed by a strengthening
currency and a severe bank crisis toward the end of 1995. The majority of
European markets followed Wall Street's lead to all-time record highs last
year, as low inflation, excellent corporate profits, and little sign of slower
growth influenced the markets.
The Fund was well positioned throughout the year maintaining an
underweight to Japan and a slight overweight to the better performing European
markets. The Fund's stock selection was the largest contributor to performance
for 1995, with strong results coming from the U.K. and France.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
Annualized Cumulative
Inception to Inception
Date to Date
- -----------------------------------
<S> <C>
14.85% 13.18%
</TABLE>
[GRAPH]
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in the SEI Insurance
Investment Products Trust International Growth Fund from February 28, 1995
through December 31, 1995 as compared with the growth of $10,000 investment in
the Morgan Stanley Capital International EAFE Index, in US Dollars.
<TABLE>
<CAPTION>
Initial Investment Date 2/28/95 12/31/95
- ----------------------------------------------------------- --------
<S> <C> <C>
Growth of $10,000 invested in the
SEI Insurance Investment Products Trust
International Growth Fund $10,000 $11,514
Growth of $10,000 invested in the
Morgan Stanley Capital International
EAFE Index, in U.S. Dollars $10,000 $11,594
</TABLE>
For the period ended December 31, 1995. Past performance is no indication of
future performance. Shares were offered beginning 2/10/95.
GROWTH FUND
Since the Fund's inception in February 1995, the Fund has produced a total
return of 31.50%. The past year will go down as one of the best investment
years in history. With the exception of retail stocks, most sectors provided
investors with at least double-digit returns with technology, financial
services and healthcare stocks providing the highest returns. Large
capitalization stocks significantly outperformed small- and mid-capitalization
stocks. Low inflation and controlled economic growth provided the ideal
conditions for another year of strong corporate earnings.
The Fund was consistently positioned throughout the year to take full
advantage of the return provided by very large companies and the markets'
strongest sectors (technology, financial services and healthcare). Many of the
consumer companies also provided strong returns. One area of weakness for the
Fund was its investments in the specialty retail sector. In all, it was a strong
year for the Fund's return.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
Annualized Cumulative
Inception to Inception
Date to Date
- -----------------------------------
<S> <C>
35.49% 31.50%
</TABLE>
[GRAPH]
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in the SEI Insurance
Investment Products Trust Growth Fund from February 28, 1995 through December
31, 1995 as compared with the growth of $10,000 investment in the S & P 500
Composite Index, Frank Russell 2000 Growth Index, and the Wilshire Small Growth
Index.
<TABLE>
<CAPTION>
Initial Investment Date 2/28/95 12/31/95
- ----------------------------------------------------------- --------
<S> <C> <C>
Growth of $10,000 invested in the
SEI Insurance Investment Products Trust
Growth Fund $10,000 $13,026
Growth of $10,000 invested in the
S&P 500 Composite Index $10,000 $12,907
Growth of $10,000 invested in the
Frank Russell 2000 Growth Index $10,000 $12,784
Growth of $10,000 invested in the
Wilshire Small Growth Index $10,000 $12,993
</TABLE>
For the period ended December 31, 1995. Past performance is no indication of
future performance. Shares were offered beginning 2/10/95.
2
<PAGE> 4
================================================================================
AGGRESSIVE GROWTH FUND
Since the Fund's inception in February 1995, the Fund has produced a total
return of 42.87%. Calling 1995 a positive return period for U.S. financial
assets, and growth stocks in particular, would be a significant understatement.
Stabilization of the federal deficit, record levels of non-financial corporate
profitability and cash flow, relatively low costs of labor and capital, benign
levels of inflation and interest rates, and superior relative earnings gains
for growth stocks were all significant contributors to investment returns. The
Fund's strong performance this year can be attributed to the performance of
certain stocks in the health care and technology sectors. In addition,
semiconductor and medical device companies with strong earnings continued to
gain momentum throughout the year.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
Annualized Cumulative
Inception to Inception
Date to Date
- -----------------------------------
<S> <C>
48.30% 42.87%
</TABLE>
[GRAPH]
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in the SEI Insurance
Investment Products Trust Aggressive Growth Fund from February 28, 1995
through December 31, 1995 as compared with the growth of $10,000 investment in
the S & P/BARRA Growth Index.
<TABLE>
<CAPTION>
Initial Investment Date 2/28/95 12/31/95
- ----------------------------------------------------------- --------
<S> <C> <C>
Growth of $10,000 invested in the
SEI Insurance Investment Products Trust
Aggressive Growth Fund $10,000 $14,374
Growth of $10,000 invested in the
S&P/BARRA Growth Index $10,000 $12,971
</TABLE>
For the period ended December 31,1995. Past performance is no indication of
future performance. Shares were offered beginning 2/10/95.
INCOME EQUITY FUND
Since the Fund's inception in February 1995, the Fund has produced a total
return of 30.30%. The strong return for the Fund can be attributed to strong
stock selection within the financial services, utilities and retail sectors.In
particular, the merger and acquisition activity within the banking industry
helped to push the group higher during the year. The dominance of the financial
services industry in the market outlasted even the highly publicized technology
rally. However, when technology began to show signs of weakness in the latter
half of the third quarter, investors moved into the higher quality defensive
issues like electric and gas utilities. Strong performances by Sears Roebuck
and Rite Aid helped the portfolio's relative return vs. the generally poor
retail sector in 1995. In addition, Citicorp's banner year was dominant in the
banking sector as the Fund's position in the stock contributed positively to
the return over the time period. The Fund's strategy insures consistent and
relatively neutral economic sector weightings relative to a representative
large capitalization value benchmark. As a result, consistent style exposure
within the large capitalization value universe is controlled while added value
to the portfolio comes directly from active stock selection decisions.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
Annualized Cumulative
Inception to Inception
Date to Date
- -----------------------------------
<S> <C>
34.14% 30.30%
</TABLE>
[GRAPH]
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in the SEI Insurance
Investment Products Trust Income Equity Fund from February 28, 1995 through
December 31, 1995 as compared with the growth of $10,000 investment in the S &
P 500 Composite Index and the S & P/BARRA Value Index.
<TABLE>
<CAPTION>
Initial Investment Date 2/28/95 12/31/95
- ----------------------------------------------------------- --------
<S> <C> <C>
Growth of $10,000 invested in the
SEI Insurance Investment Products Trust
Income Equity Fund $10,000 $12,997
Growth of $10,000 invested in the
S&P 500 Composite Index $10,000 $12,907
Growth of $10,000 invested in the
S&P/BARRA Value Index $10,000 $12,839
</TABLE>
For the period ended December 31,1995. Past performance is no indication of
future performance. Shares were offered beginning 2/10/95.
3
<PAGE> 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
INTERMEDIATE FIXED INCOME FUND
Since the Fund's inception in February 1995, the Fund has produced a total
return of 15.67%. The Fund's maintenance of a longer duration posture
throughout the year benefited performance as yield levels fell significantly
across the entire maturity spectrum, with yield levels on 30-year Treasury
Bonds closing the year below 6%. Bonds continued their year-long climb amid
signs of low inflation and contained growth, with investors anticipating that
the conservative easing policy initiated by the Federal Reserve in February
will continue. However, the Fund's significant underweight to corporate
securities detracted from period results.Corporate issues were the best
performing broad market sector on the strength of optimistic revenue outlooks
for U.S. companies and a strong investor demand for high-yielding alternatives
to mortgage securities. The Lehman Corporate Index gained 22.25% during calendar
year 1995, outperforming both the mortgage and government sector returns by
5.45% and 3.91%, respectively.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
Annualized Cumulative
Inception to Inception
Date to Date
- -----------------------------------
<S> <C>
17.65% 15.67%
</TABLE>
[GRAPH]
A line graph depicting the total growth (including reinvestment of dividends
and capital gains) of a hypothetical investment of $10,000 in the SEI Insurance
Investment Products Trust Intermediate Fixed Income Fund from February 28, 1995
through December 31, 1995 as compared with the growth of $10,000 investment in
the Lehman Aggregate Bond Index.
<TABLE>
<CAPTION>
Initial Investment Date 2/28/95 12/31/95
- ----------------------------------------------------------- --------
<S> <C> <C>
Growth of $10,000 invested in the
SEI Insurance Investment Products Trust
Intermediate Fixed Income Fund $10,000 $11,424
Growth of $10,000 invested in the
Lehman Aggregate Bond Index $10,000 $11,348
</TABLE>
For the period ended December 31, 1995. Past performance is no indication of
future performance. Shares were offered beginning 2/10/95.
4
<PAGE> 6
STATEMENT OF NET ASSETS
================================================================================
Insurance Investment Products Trust -- December 31, 1995
<TABLE>
<CAPTION>
INTERNATIONAL GROWTH FUND
- --------------------------------------------------------------------------------
Market
Description Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS -- 97.0%
AUSTRALIA -- 4.5%
Australian & New Zealand Bank 3,000 $ 14,065
Caltex Australia 2,500 9,863
National Australia Bank 1,900 17,082
Westpac Banking 3,600 15,942
---------
56,952
---------
CANADA -- 3.0%
Bank of Montreal 300 6,813
Canadian Imperial Bank of Commerce 400 11,905
Imasco Holdings 600 11,648
Royal Bank of Canada 300 6,841
---------
37,207
---------
FRANCE -- 11.5%
CGIP 50 9,684
Christian Dior 150 16,198
Cie de Saint Gobain 100 11,085
Elf Aquitaine 200 14,758
Elf Gabon 50 8,784
GTM Entrepose 104 7,306
Interbail 100 5,400
Marine Wendel 100 7,322
Nord Est 400 9,277
Peugeot 50 6,606
Poliet-ex Lambert Freres 100 8,136
Saint Louis Bouchon 50 13,294
Total Compaigne, Class B 250 16,899
Usinor Sacilor* 750 9,832
---------
144,581
---------
GERMANY -- 4.6%
BASF 50 11,273
Bayer 50 13,290
Hoechst 50 13,612
Veba 450 19,286
---------
57,461
---------
HONG KONG -- 3.5%
HSBC Holdings 1,600 24,211
Jardine International Motor 8,000 9,105
Lai Sun Garment 11,000 10,670
---------
43,986
---------
ITALY -- 1.3%
Comau Finanziaria 3,100 3,423
STET D Risp 3,800 7,768
STET-Societa Finanziara Telefonica 2,000 5,666
---------
16,857
---------
JAPAN -- 32.2%
Catena 1,000 13,563
Chiyoda Fire & Marine 2,000 11,432
Cosmo Oil 2,000 10,928
Daikyo 2,000 14,920
Daito Trust Construction 1,000 11,820
Fuji Photo Film 1,000 28,870
Hitachi 2,000 20,151
Honda Motor 1,000 20,636
Jaccs 1,000 10,366
KOA 2,000 12,246
Kyushu Electric Power 1,000 23,639
Long Term Credit Bank 2,000 17,051
Matsushita Electric 1,000 16,276
Mitsui Marine & Fire 2,000 14,261
Mitsui Trust & Banking 1,000 10,948
Nippondenso 1,000 18,698
Nippon Shinpan 2,000 15,113
Nissan Fire & Marine Insurance 2,000 14,028
Nissan Motors 2,000 15,365
Pioneer Electronics 1,000 18,310
Renown Look* 2,000 11,335
Sakura Bank 1,000 12,691
Sekisui House 1,000 12,788
Showa Shell Sekiyo 1,000 8,380
Sumitomo Realty & Development 1,000 7,072
Tohoku Electric Power 500 12,062
Toshiba 2,000 15,675
Toyota Tsusho 1,000 6,452
---------
405,076
---------
MALAYSIA -- 5.3%
Arab-Malaysian Merchant Bank 1,000 11,421
Edaran Otomobil 1,000 7,522
Malaysian Airline System 3,000 9,747
MBF Capital 11,000 11,133
Oriental Holdings 2,000 10,161
Rashid Hussain 3,000 8,979
Sime Darby Malaysia 3,000 7,975
---------
66,938
---------
NETHERLANDS -- 6.0%
ABN-Amro Holdings 411 18,759
European Vinyls 300 7,811
Hoogovens & Staalf 300 10,059
International Nederlanden 307 20,548
KPN 521 18,965
---------
76,142
---------
NEW ZEALAND -- 0.8%
Lion Nathan 4,100 9,780
---------
NORWAY -- 0.8%
Den Norske Bank, Class B 3,700 9,716
---------
</TABLE>
5
<PAGE> 7
STATEMENT OF NET ASSETS
================================================================================
Insurance Investment Products Trust -- December 31, 1995
<TABLE>
<CAPTION>
INTERNATIONAL GROWTH FUND
- --------------------------------------------------------------------------------
Shares/ Market
Description Face Amount Value
- --------------------------------------------------------------------------------
<S> <C> <C>
SPAIN -- 1.3%
Telefonica de Espana 1,200 $ 16,627
----------
SWEDEN -- 2.3%
SSAB, Class B 800 8,081
Stora Kopparberg, Class B 1,000 11,986
Sydkraft, Class C 500 8,896
----------
28,963
----------
SWITZERLAND -- 6.0%
Ciba Geigy 20 17,621
CS Holdings 80 8,212
Elektrowatt, Class B 40 14,653
Roche Holdings 3 23,763
Schweizerische Ruckversicherungs 10 11,596
----------
75,845
----------
UNITED KINGDOM -- 13.9%
Anglian Water 1,400 13,154
British Gas 3,700 14,595
British Steel 4,600 11,627
General Accident 1,000 10,110
Guardian Royal Exchange 3,900 16,717
Hanson 3,700 11,062
National Westminster Bank 1,700 17,135
RJB Mining 2,000 17,021
Royal Insurance 2,400 14,238
South West Water 1,500 12,160
Sun Alliance Group 2,000 11,601
Tesco 3,000 13,838
Yorkshire Water 1,300 11,912
----------
175,170
----------
Total Foreign Common Stocks
(Cost $1,124,197) 1,221,301
----------
FOREIGN PREFERRED STOCKS -- 0.7%
AUSTRALIA -- 0.7%
Newscorp 2,000 9,347
----------
Total Foreign Preferred Stocks
(Cost $7,522) 9,347
----------
REPURCHASE AGREEMENT -- 0.0%
Lehman Brothers
5.540%, dated 12/29/95, matures
01/02/96, repurchase price $503
(collateralized by a U.S. Treasury
Note, 5.625%, due 10/31/97, par
value $509, market value $518) $503 503
----------
Total Repurchase Agreement
(Cost $503) 503
----------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value
- --------------------------------------------------------------------------------
<S> <C>
Total Investments -- 97.7%
(Cost $1,132,222) $1,231,151
----------
OTHER ASSETS AND LIABILITIES -- 2.3%
Other Assets and Liabilities, Net 28,372
----------
NET ASSETS:
Portfolio shares (unlimited
authorization -- no par value)
based on 115,613 outstanding shares
of beneficial interest 1,158,678
Accumulated net realized gain on
investments 2,260
Accumulated net realized loss on
forward foreign currency contracts
and foreign currency transactions (609)
Net unrealized appreciation of
investments 98,929
Net unrealized depreciation of
forward foreign currency contracts,
foreign currency and translation
of other assets and liabilities in
foreign currencies (130)
Undistributed net investment income 395
----------
Total Net Assets -- 100.0% $1,259,523
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $ 10.89
==========
</TABLE>
* Non-income producing security
GROWTH FUND
<TABLE>
<S> <C> <C>
COMMON STOCK -- 96.4%
AIRCRAFT -- 1.8%
Allied Signal 580 $ 27,550
----------
AUTOMOTIVE -- 0.9%
Magna International, Class A 330 14,272
----------
BANKS -- 0.4%
Citicorp 100 6,725
----------
BROADCASTING, NEWSPAPERS
& ADVERTISING -- 4.4%
Cox Communications* 1,140 22,230
Liberty Media Group* 590 15,856
Tele-Communications, Class A* 1,460 29,018
----------
67,104
----------
CHEMICALS -- 4.4%
Monsanto 260 31,850
Morton International 500 17,938
Rohm & Haas 270 17,381
----------
67,169
----------
</TABLE>
6
<PAGE> 8
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS EQUIPMENT -- 3.0%
DSC Communications* 300 $ 11,062
ITT* 175 9,275
ITT Industries* 175 4,200
Motorola 220 12,540
Nokia, Class A, ADR 250 9,719
----------
46,796
----------
COMPUTERS & SERVICES -- 5.4%
Cisco Systems* 540 40,297
Compaq Computer* 840 40,320
Silicon Graphics* 100 2,750
----------
83,367
----------
DRUGS -- 8.7%
Amgen* 430 25,531
Merck 840 55,230
Pfizer 850 53,550
----------
134,311
----------
ENTERTAINMENT -- 2.5%
Walt Disney 650 38,350
----------
FINANCIAL SERVICES -- 7.6%
Federal Home Loan Mortgage 390 32,565
Federal National Mortgage Association 175 21,722
ITT Hartford Group* 75 3,628
Merrill Lynch 200 10,200
Travelers 780 49,043
----------
117,158
----------
FOOD, BEVERAGE & TOBACCO -- 10.7%
Coca Cola 350 25,987
PepsiCo 1,120 62,580
Philip Morris 830 75,115
----------
163,682
----------
GAS/NATURAL GAS -- 1.3%
Enron 510 19,444
----------
HOUSEHOLD PRODUCTS -- 4.2%
Colgate-Palmolive 430 30,208
Gillette 650 33,881
----------
64,089
----------
INSURANCE -- 9.4%
American International Group 420 38,850
General Re 170 26,350
Healthsource* 420 15,120
NAC Re 485 17,460
PMI Group 500 22,625
United Healthcare 370 24,235
----------
144,640
----------
MACHINERY -- 3.4%
General Electric 580 41,760
General Instrument* 450 10,519
----------
52,279
----------
MEDICAL PRODUCTS & SERVICES -- 2.1%
Columbia/HCA Healthcare 640 32,480
----------
MISCELLANEOUS BUSINESS SERVICES -- 5.8%
3Com* 230 10,724
DST Systems* 400 11,400
First Data 100 6,687
Informix* 640 19,200
Oracle Systems* 965 40,892
----------
88,903
----------
RAILROADS -- 1.4%
Burlington Northern Santa Fe 190 14,820
Union Pacific 110 7,260
----------
22,080
----------
RETAIL -- 7.3%
Autozone* 190 5,486
Federated Department Stores* 250 6,875
Home Depot 1,000 47,875
Lowes 600 20,100
McDonald's 700 31,588
----------
111,924
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.1%
Applied Materials* 410 16,144
Intel 940 53,345
National Semiconductor* 400 8,900
----------
78,389
----------
TELEPHONES & TELECOMMUNICATION -- 6.6%
Airtouch Communications* 1,140 32,205
AT&T 1,070 69,282
----------
101,487
----------
Total Common Stock
(Cost $1,196,659) 1,482,199
----------
Total Investments -- 96.4%
(Cost $1,196,659) 1,482,199
----------
</TABLE>
7
<PAGE> 9
STATEMENT OF NET ASSETS
================================================================================
Insurance Investment Products Trust -- December 31, 1995
<TABLE>
<CAPTION>
GROWTH FUND
- --------------------------------------------------------------------------------
Market
Description Shares Value
- --------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES -- 3.6%
Other Assets and Liabilities, Net $ 54,812
----------
NET ASSETS:
Portfolio shares (unlimited authorization-no par value) based
on 121,300 outstanding shares of
beneficial interest 1,237,245
Accumulated net realized gain on
investments 14,230
Net unrealized appreciation of
investments 285,540
Distributions in excess of net
investment income (4)
----------
Total Net Assets -- 100.0% $1,537,011
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $ 12.67
==========
</TABLE>
* Non-income producing security
ADR American Depository Receipt
AGGRESSIVE GROWTH FUND
<TABLE>
<S> <C> <C>
COMMON STOCK -- 97.5%
AIR TRANSPORTATION -- 0.8%
Atlas Air* 400 $ 6,700
----------
APPAREL/TEXTILES -- 4.9%
Nautica Enterprises* 300 13,125
St. John Knits 200 10,625
Tommy Hilfiger* 400 16,950
----------
40,700
----------
AUTOMOTIVE -- 0.8%
Allen Group 300 6,712
----------
BROADCASTING, NEWSPAPERS
& ADVERTISING -- 1.6%
Clear Channel Communications* 300 13,237
----------
COMMUNICATIONS EQUIPMENT -- 4.8%
Comverse Technology* 300 6,000
DSP Communications* 200 8,725
Kemet* 400 9,550
Microcom* 300 7,800
Ultratech Stepper* 300 7,725
----------
39,800
----------
COMPUTERS & SERVICES -- 7.6%
Alantec* 200 11,650
Electroglas 400 9,800
Hyperion Software* 600 12,750
Optical Data Systems* 200 5,050
StorMedia* 300 10,950
S3* 500 8,812
Transaction Systems Architects,
Class A* 100 3,370
----------
62,382
----------
DRUGS -- 1.7%
Idexx Laboratories* 300 14,100
----------
ENTERTAINMENT -- 1.6%
Regal Cinemas* 450 13,387
----------
ENVIRONMENTAL SERVICES -- 1.8%
United Waste Systems* 400 14,900
----------
INSURANCE -- 3.7%
Compdent* 300 12,450
Phycor* 350 17,697
----------
30,147
----------
MACHINERY -- 6.3%
FSI International* 400 8,100
Gasonics International* 400 5,400
Helix Technology 200 7,900
Input/Output* 200 11,550
MSC Industrial Direct* 200 5,500
Zebra Technologies, Class A* 400 13,600
----------
52,050
----------
MEASURING DEVICES -- 4.4%
Cognex* 600 20,850
Credence Systems* 300 6,863
Epic Design Technology 400 8,400
----------
36,113
----------
MEDICAL PRODUCTS & SERVICES -- 3.7%
Gulf South Medical Supply* 400 12,100
MedPartners/Mullikin* 200 6,600
Physician Reliance Network* 300 11,925
----------
30,625
----------
MISCELLANEOUS BUSINESS SERVICES -- 14.8%
Acxiom* 400 10,950
Alternative Resources* 200 6,050
Cambridge Technology Partners* 300 17,250
Davidson & Associates* 200 4,400
Electronics For Imaging* 400 17,500
McAfee Associates* 350 15,356
Medic Computer Systems* 100 6,050
National Data 200 4,950
Netmanage* 300 6,975
Project Software & Development* 300 10,463
Rational Software* 400 8,950
Remedy* 100 5,925
Shiva* 100 7,275
----------
122,094
----------
</TABLE>
8
<PAGE> 10
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C>
MISCELLANEOUS CONSUMER SERVICES -- 4.8%
Accustaff* 400 $ 17,600
Corrections Corporation of America* 600 22,275
----------
39,875
----------
MISCELLANEOUS MANUFACTURING -- 2.0%
Blyth Industries* 400 11,800
Cable Design Technologies* 100 4,400
----------
16,200
----------
PRINTING & PUBLISHING -- 1.5%
Gartner Group, Class A* 250 11,969
----------
PROFESSIONAL SERVICES -- 1.1%
Tetra Tech* 400 9,100
----------
RAILROADS -- 0.8%
Wisconsin Central Transportation* 100 6,575
----------
REAL ESTATE -- 0.8%
Amresco 500 6,375
----------
REPAIR SERVICES -- 0.8%
Oxford Resources, Class A* 300 6,750
----------
RETAIL -- 10.3%
Boston Chicken* 400 12,850
CDW Computer Centers* 200 8,100
Corporate Express* 350 10,544
Discount Auto Parts* 300 9,338
Express Scripts* 200 10,200
General Nutrition* 100 2,300
Omnicare 300 13,425
Papa John's International* 200 8,237
Sunglass Hut International* 400 9,500
----------
84,494
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.4%
Actel* 500 5,375
Burr-Brown* 300 7,650
Integrated Process Equipment* 200 4,700
Sanmina* 200 10,375
----------
28,100
----------
TELEPHONES & TELECOMMUNICATION -- 4.7%
Aspect Telecommunications* 300 10,050
Cidco* 200 5,100
Coherent Communications Systems* 400 7,700
LCI International* 400 8,200
Vtel* 400 7,400
----------
38,450
----------
TESTING LABORATORIES -- 2.0%
Quintiles Transnational* 400 16,400
----------
TRANSPORTATION SERVICES -- 1.5%
Fritz* 300 12,450
----------
WHOLESALE -- 5.3%
Global Village Communication* 300 5,813
INSO* 200 8,500
Physician Sales & Services* 700 19,950
U.S. Office Products* 400 9,100
----------
43,363
----------
Total Common Stock
(Cost $633,130) 803,048
----------
REPURCHASE AGREEMENT -- 4.4%
Lehman Brothers
5.540%, dated 12/29/95, matures
01/02/96, repurchase price
$36,479 (collateralized by U.S.
Treasury Note, 5.625%, due
10/31/97, par value $36,953,
market value $37,550) $36,457 36,457
----------
Total Repurchase Agreement
(Cost $36,457) 36,457
----------
Total Investments -- 101.9%
(Cost $669,587) 839,505
----------
OTHER ASSETS AND LIABILITIES -- (1.9)%
Other Assets and Liabilities, Net (15,791)
----------
NET ASSETS:
Portfolio shares (unlimited
authorization-no par value) based
on 63,125 outstanding shares of
beneficial interest 640,758
Net unrealized appreciation of
investments 169,918
Undistributed net investment income 13,038
----------
Total Net Assets -- 100.0% $ 823,714
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $ 13.05
==========
</TABLE>
* Non-income producing security
9
<PAGE> 11
STATEMENT OF NET ASSETS
================================================================================
Insurance Investment Products Trust -- December 31, 1995
<TABLE>
<CAPTION>
INCOME EQUITY FUND
- --------------------------------------------------------------------------------
Market
Description Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK -- 98.5%
AEROSPACE & DEFENSE -- 2.3%
Litton Industries* 150 $ 6,675
Loral 200 7,075
Raytheon 300 14,175
Rockwell International 150 7,931
----------
35,856
----------
AIR TRANSPORTATION -- 0.6%
AMR* 75 5,569
Delta Air Lines 50 3,694
----------
9,263
----------
AIRCRAFT -- 2.0%
Lockheed Martin 100 7,900
McDonnell Douglas 250 23,000
----------
30,900
----------
ALUMINUM -- 0.7%
Aluminum Company of America 150 7,931
Reynolds Metals 50 2,831
----------
10,762
----------
APPAREL/TEXTILES -- 0.3%
Springs Industries, Class A 100 4,138
----------
AUTOMOTIVE -- 4.4%
Chrysler 200 11,075
Dana 150 4,388
Eaton 200 10,725
Ford Motor 650 18,850
General Motors 350 18,506
Paccar 100 4,212
----------
67,756
----------
BANKS -- 14.8%
Ahmanson H F 350 9,275
Bank of Boston* 150 6,938
Bankamerica 350 22,662
Chase Manhattan 100 6,063
Chemical Banking 450 26,437
Citicorp 200 13,450
First Chicago NBD 500 19,750
First Interstate Bancorp 100 13,650
First Union 300 16,688
Nationsbank 400 27,850
Republic New York 150 9,319
Southtrust 450 11,531
Star Banc 100 5,950
Union Bank 100 5,425
Union Planters 350 11,156
Wells Fargo 100 21,600
----------
227,744
----------
BUSINESS SERVICES -- 0.6%
Pittston Services 300 9,413
----------
CHEMICALS -- 3.6%
Dow Chemical 225 15,834
Eastman Chemical 225 14,091
Lyondell Petrochemical 150 3,431
Union Carbide 400 15,000
Wellman 300 6,825
----------
55,181
----------
COMMUNICATIONS EQUIPMENT -- 1.2%
Harris 150 8,194
Sprint 250 9,969
----------
18,163
----------
COMPUTERS & SERVICES -- 3.6%
IBM 450 41,288
Seagate Technology 100 4,750
Sun Microsystems 200 9,125
----------
55,163
----------
CONSTRUCTION -- 0.6%
Vulcan Materials 150 8,644
----------
CONSUMER - APPLIANCE -- 0.3%
Black & Decker 150 5,288
----------
CONSUMER - LEISURE -- 0.3%
Outboard Marine 200 4,075
----------
DRUGS -- 2.0%
Bristol-Myers Squibb 350 30,056
----------
ELECTRICAL UTILITIES -- 9.3%
Baltimore Gas & Electric 200 5,700
Central & South West 250 6,969
Consolidated Edison of New York 400 12,800
Detroit Edison 350 12,075
DQE 400 12,300
Entergy 400 11,700
General Public Utilities 400 13,600
Peco Energy 350 10,544
Pinnacle West Capital 500 14,375
Public Service Enterprise 300 9,187
SCE 650 11,538
Southern 250 6,156
Unicom 500 16,375
----------
143,319
----------
ELECTRONICS -- 0.6%
General Motors, Class H 200 9,825
----------
ENTERTAINMENT -- 0.3%
King World Productions* 100 3,888
----------
</TABLE>
10
<PAGE> 12
================================================================================
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES -- 5.1%
Allstate* 770 $ 31,666
American Express 250 10,344
Dean Witter Discover 250 11,750
Travelers 400 25,150
----------
78,910
----------
FOOD, BEVERAGE & TOBACCO -- 1.1%
CPC International 100 6,863
IBP 200 10,100
----------
16,963
----------
GAS/NATURAL GAS -- 2.5%
Coastal 100 3,725
National Fuel Gas 250 8,406
Oneok 100 2,287
Panhandle Eastern 450 12,544
Williams 250 10,969
----------
37,931
----------
HOUSEHOLD PRODUCTS -- 0.2%
Clorox 50 3,581
----------
INSURANCE -- 4.6%
Cigna 250 25,812
Foundation Health* 100 4,300
Loews 100 7,837
Old Republic International 350 12,425
Providian 350 14,263
U.S. Life 225 6,722
----------
71,359
----------
MACHINERY -- 2.2%
Cummins Engine 175 6,475
Harnischfeger Industries 150 4,987
Parker Hannifin 150 5,138
Textron 150 10,125
Tyco International 200 7,125
----------
33,850
----------
MEDICAL PRODUCTS & SERVICES -- 1.4%
Becton Dickinson 250 18,750
Vencor* 100 3,250
----------
22,000
----------
METALS & MINING -- 0.7%
Asarco 200 6,400
Magma Copper* 150 4,181
----------
10,581
----------
MISCELLANEOUS BUSINESS SERVICES -- 0.3%
Flightsafety International 100 5,025
----------
OIL SERVICE - ENERGY -- 0.4%
Tidewater 175 5,513
----------
PAPER & PAPER PRODUCTS -- 2.5%
Bowater 125 4,438
Champion International 250 10,500
Federal Paper Board 200 10,375
International Paper 150 5,681
James River Corporation of Virginia 100 2,412
Temple-Inland 100 4,413
----------
37,819
----------
PETROLEUM REFINING -- 10.2%
Amoco 350 25,156
Exxon 825 66,103
Kerr-McGee 150 9,525
Mobil 500 56,000
----------
156,784
----------
PHOTOGRAPHIC EQUIPMENT
& SUPPLIES -- 1.1%
Eastman Kodak 250 16,750
----------
PRINTING & PUBLISHING -- 0.5%
New York Times, Class A 100 2,962
Washington Post, Class B 15 4,230
----------
7,192
----------
RAILROADS -- 2.3%
Conrail 250 17,500
CSX 400 18,250
----------
35,750
----------
RESTAURANTS -- 0.2%
Wendys International 150 3,187
----------
RETAIL -- 3.2%
Officemax * 400 8,950
Sears Roebuck 400 15,600
TJX Companies 700 13,212
Tandy 200 8,300
Vons Companies * 100 2,825
----------
48,887
----------
RUBBER & PLASTIC -- 0.3%
Goodyear Tire & Rubber 100 4,537
----------
SPECIALTY MACHINERY -- 0.3%
Tecumseh Products, Class A 75 3,881
----------
</TABLE>
11
<PAGE> 13
STATEMENT OF NET ASSETS
================================================================================
Insurance Investment Products Trust -- December 31, 1995
<TABLE>
<CAPTION>
INCOME EQUITY FUND
- --------------------------------------------------------------------------------
Shares/ Market
Description Face Amount Value
- --------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONES & TELECOMMUNICATION -- 11.9%
Alltel 250 $ 7,375
Ameritech 700 41,300
Bellsouth 800 34,800
Cincinnati Bell 200 6,950
GTE 400 17,600
MCI Communications 350 9,144
NYNEX 550 29,700
Pacific Telesis 450 15,131
Southern New England 300 11,925
Worldcom* 250 8,812
----------
182,737
----------
Total Common Stock
(Cost $1,246,871) 1,512,671
----------
REPURCHASE AGREEMENT -- 2.3%
Lehman Brothers
5.470%, dated 12/29/95, matures
01/02/96, repurchase price $35,751
(collateralized by U.S. Treasury Note,
7.375%, due 11/15/97, par value
$35,181, market value $36,807) $35,729 35,729
----------
Total Repurchase Agreement
(Cost $35,729) 35,729
----------
Total Investments -- 100.8%
(Cost $1,282,600) 1,548,400
----------
OTHER ASSETS AND LIABILITIES -- (0.8)%
Other Assets and Liabilities, Net (12,509)
----------
NET ASSETS:
Portfolio shares (unlimited
authorization-no par value) based
on 124,486 outstanding shares of
beneficial interest 1,262,810
Accumulated net realized gain on
investments 7,278
Net unrealized appreciation of
investments 265,800
Undistributed net investment income 3
----------
Total Net Assets -- 100.0% $1,535,891
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $ 12.34
==========
</TABLE>
*Non-income producing security
<TABLE>
<CAPTION>
INTERMEDIATE FIXED INCOME
FUND
- --------------------------------------------------------------------------------
Face Market
Description Amount Value
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 94.9%
U.S. Treasury Bill
5.330%, 01/18/96 $390,000 $ 389,025
U.S. Treasury Bond
7.500%, 11/15/24 56,000 67,241
U.S. Treasury Notes
7.500%, 02/15/05 650,000 736,782
5.880%, 11/15/05 20,000 20,444
U.S. Treasury STRIPS
0.000%, 08/15/00 100,000 21,976
----------
Total U.S. Treasury Obligations
(Cost $1,141,620) 1,235,468
----------
REPURCHASE AGREEMENT -- 4.7%
Lehman Brothers
5.540%, dated 12/29/95, matures
01/02/96, repurchase price
$62,008 (collateralized by U.S.
Treasury Note, 5.625%, due
10/31/97, par value $62,816,
market value $63,829) 61,970 61,970
----------
Total Repurchase Agreement
(Cost $61,970) 61,970
----------
Total Investments -- 99.6%
(Cost $1,203,590) 1,297,438
----------
OTHER ASSETS AND LIABILITIES -- 0.4%
Other Assets and Liabilities, Net 4,878
----------
NET ASSETS:
Portfolio shares (unlimited
authorization-no par value) based
on 119,267 outstanding shares of
beneficial interest 1,205,243
Accumulated net realized gain on
investments 3,224
Net unrealized appreciation of
investments 93,848
Undistributed net investment income 1
----------
Total Net Assets -- 100.0% $1,302,316
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $ 10.92
==========
</TABLE>
STRIPS Separately Trading of Registered Interest
and Principal of Securities
12
<PAGE> 14
================================================================================
<TABLE>
<CAPTION>
MONEY MARKET FUND
- --------------------------------------------------------------------------------
Face
Description Amount Value
- --------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT BONDS -- 101.3%
FFCB Discount Note
5.760%, 01/23/96 $ 10,000 $ 9,965
FHLB Discount Note
5.748%, 01/19/96 100,000 99,720
FHLMC Discount Notes
5.743%, 01/18/96 290,000 289,233
5.543%, 02/16/96 210,000 208,546
----------
Total Government Bonds
(Cost $607,464) 607,464
----------
Total Investments -- 101.3%
(Cost $607,464) 607,464
----------
OTHER ASSETS AND LIABILITIES -- (1.3)%
Other Assets and Liabilities, Net (7,966)
----------
NET ASSETS:
Portfolio shares (unlimited
authorization-no par value) based
on 599,500 outstanding shares of
beneficial interest 599,500
Accumulated net realized loss on
investments (2)
----------
Total Net Assets -- 100.0% $ 599,498
==========
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
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 15
STATEMENT OF OPERATIONS
================================================================================
Insurance Investment Products Trust -- for the period ended December 31, 1995
<TABLE>
<CAPTION>
------------- -------
INTERNATIONAL
GROWTH GROWTH
FUND(1) FUND(1)
------------- -------
<S> <C> <C>
INVESTMENT:
Dividends $ 34,168 $ 16,828
Interest 2,637 2,242
Less: Foreign taxes withheld (3,333) --
-------- --------
Total investment income 33,472 19,070
-------- --------
EXPENSES:
Management fees 5,636 5,202
Less management fees waived (5,636) (5,202)
Expense reimbursement from management (45,438) (24,406)
Investment advisory fees 4,862 4,624
Custody fees 23,486 2,312
Professional fees 14,116 16,845
Printing fees 3,176 3,543
Wire agent fees 66 74
Registration fees 445 505
Trustees fees 5,588 6,236
Pricing fees 6,141 26
Miscellaneous fees 27 35
Amortization of deferred organizational costs 1,768 1,768
-------- --------
Total expenses 14,237 11,562
-------- --------
NET INVESTMENT INCOME (LOSS) 19,235 7,508
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security transactions 40,197 60,687
Net realized loss on foreign currency contracts and
foreign currency transactions (11,111) --
Net change in unrealized appreciation of investments 98,929 285,540
Net change in unrealized depreciation of foreign currency
and translation of other assets and liabilities in
foreign currencies (130) --
-------- --------
Total net realized and unrealized gain (loss) on investments 127,885 346,227
-------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $147,120 $353,735
======== ========
</TABLE>
(1) COMMENCED OPERATIONS ON FEBRUARY 10, 1995.
(2) COMMENCED OPERATIONS ON FEBRUARY 13, 1995.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 16
================================================================================
<TABLE>
<CAPTION>
---------- ------- ------------ -------
INTERMEDIATE
AGGRESSIVE INCOME FIXED MONEY
GROWTH EQUITY INCOME MARKET
FUND(1) FUND(1) FUND(1) FUND(2)
---------- ------- ------------ -------
<S> <C> <C> <C> <C>
INVESTMENT:
Dividends $ 195 $ 36,466 $ -- $ --
Interest 3,491 3,798 66,452 32,557
Less: Foreign taxes withheld -- -- -- --
-------- -------- -------- --------
Total investment income 3,686 40,264 66,452 32,557
-------- -------- -------- --------
EXPENSES:
Management fees 2,821 5,235 3,894 2,332
Less management fees waived (2,821) (5,235) (3,894) (2,332)
Expense reimbursement from management (14,098) (23,833) (22,979) (12,213)
Investment advisory fees 4,074 4,071 2,818 416
Custody fees 1,250 2,320 2,015 1,049
Professional fees 8,855 16,700 14,385 6,939
Printing fees 1,930 3,580 3,047 1,546
Wire agent fees 42 75 63 32
Registration fees 261 512 485 245
Trustees fees 3,408 6,339 5,517 2,970
Pricing fees 14 23 23 6
Miscellaneous fees 18 38 31 18
Amortization of deferred organizational costs 1,768 1,768 1,768 1,768
-------- -------- -------- --------
Total expenses 7,522 11,593 7,173 2,776
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS) (3,836) 28,671 59,279 29,781
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security transactions 85,245 55,504 11,725 (2)
Net realized loss on foreign currency contracts and
foreign currency transactions -- -- -- --
Net change in unrealized appreciation of investments 169,918 265,800 93,848 --
Net change in unrealized depreciation of foreign currency
and translation of other assets and liabilities in
foreign currencies -- -- -- --
-------- -------- -------- --------
Total net realized and unrealized gain (loss) on investments 255,163 321,304 105,573 (2)
-------- -------- -------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $251,327 $349,975 $164,852 $ 29,779
======== ======== ======== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 17
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
Insurance Investment Products Trust -- for the period ended December 31, 1995
<TABLE>
<CAPTION>
------------- -------
INTERNATIONAL
GROWTH GROWTH
FUND FUND
------------- -------
1995(1) 1995(1)
------------- -------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) $ 19,235 $ 7,508
Net realized gain (loss) from security and foreign
currency transactions 29,086 60,687
Net change in unrealized appreciation of investments
and foreign currency transactions 98,799 285,540
---------- ----------
Net increase in net assets resulting from operations 147,120 353,735
---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (8,338) (7,512)
Net realized gains (37,937) (46,457)
---------- ----------
Total dividends distributed (46,275) (53,969)
---------- ----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 1,166,585 1,256,440
Reinvestment of cash distributions 46,275 53,968
Cost of shares repurchased (54,182) (73,163)
---------- ----------
Increase in net assets derived from
capital share transactions 1,158,678 1,237,245
---------- ----------
Net increase in net assets 1,259,523 1,537,011
NET ASSETS:
Beginning of period 0 0
---------- ----------
End of period (3) $1,259,523 $1,537,011
========== ==========
CAPITAL SHARE TRANSACTIONS:
Capital shares outstanding at
beginning of period 0 0
---------- ----------
Shares issued 116,356 122,847
Shares issued in lieu of cash
distributions 4,268 4,389
Shares repurchased (5,011) (5,936)
---------- ----------
Net increase in capital shares 115,613 121,300
---------- ----------
Capital shares outstanding at
end of period 115,613 121,300
========== ==========
</TABLE>
(1) Commenced operations on February 10, 1995.
(2) Commenced operations on February 13, 1995.
(3) Including undistributed (distributions in excess of) net investment income
of $395 for International Growth, $(4) for Growth, $13,038 for Aggressive
Growth, $3 for Income Equity, $1 for Intermediate Fixed Income and $0 for
Money Market at December 31, 1995.
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 18
================================================================================
<TABLE>
<CAPTION>
---------- ------- ------------ -------
AGGRESSIVE INCOME INTERMEDIATE MONEY
GROWTH EQUITY FIXED INCOME MARKET
FUND FUND FUND FUND
---------- ------- ------------ -------
1995(1) 1995(1) 1995(1) 1995(2)
---------- ------- ------------ -------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (3,836) $ 28,671 $ 59,279 $ 29,781
Net realized gain (loss) from security and foreign
currency transactions 85,245 55,504 11,725 (2)
Net change in unrealized appreciation of investments
and foreign currency transactions 169,918 265,800 93,848 --
-------- ---------- ---------- ----------
Net increase in net assets resulting from operations 251,327 349,975 164,852 29,779
-------- ---------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (537) (28,668) (59,278) (29,781)
Net realized gains (67,834) (48,226) (8,501) --
-------- ---------- ---------- ----------
Total dividends distributed (68,371) (76,894) (67,779) (29,781)
-------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 756,416 1,382,248 1,232,195 1,065,614
Reinvestment of cash distributions 67,897 76,895 67,780 1,414
Cost of shares repurchased (183,555) (196,333) (94,732) (467,528)
-------- ---------- ---------- ----------
Increase in net assets derived from
capital share transactions 640,758 1,262,810 1,205,243 599,500
-------- ---------- ---------- ----------
Net increase in net assets 823,714 1,535,891 1,302,316 599,498
NET ASSETS:
Beginning of period 0 0 0 0
-------- ---------- ---------- ----------
End of period (3) $823,714 $1,535,891 $1,302,316 $ 599,498
======== ========== ========== ==========
CAPITAL SHARE TRANSACTIONS:
Capital shares outstanding at
beginning of period 0 0 0 0
-------- ---------- ---------- ----------
Shares issued 72,042 134,238 121,668 1,065,614
Shares issued in lieu of cash
distributions 5,420 6,485 6,383 1,414
Shares repurchased (14,337) (16,237) (8,784) (467,528)
-------- ---------- ---------- ----------
Net increase in capital shares 63,125 124,486 119,267 599,500
-------- ---------- ---------- ----------
Capital shares outstanding at
end of period 63,125 124,486 119,267 599,500
======== ========== ========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 19
FINANCIAL HIGHLIGHTS
================================================================================
Insurance Investment Products Trust -- for the period ended December 31, 1995
For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Distributions Distributions
Net Asset Net Realized and From From
Value Net Unrealized Net Realized Net Asset
Beginning Investment Gain on Investment Capital Value End
of Period Income (Loss) Securities Income Gains of Period
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
- -----------------------------
INTERNATIONAL GROWTH FUND (1)
- -----------------------------
1995 $10.00 $0.17 $1.13 $(0.07) $(0.34) $10.89
- ---------------
GROWTH FUND (1)
- ---------------
1995 $10.00 $0.07 $3.07 $(0.07) $(0.40) $12.67
- --------------------------
AGGRESSIVE GROWTH FUND (1)
- --------------------------
1995 $10.00 $(0.06) $4.30 $(0.01) $(1.18) $13.05
- ----------------------
INCOME EQUITY FUND (1)
- ----------------------
1995 $10.00 $0.25 $2.74 $(0.25) $(0.40) $12.34
- ----------------------------------
INTERMEDIATE FIXED INCOME FUND (1)
- ----------------------------------
1995 $10.00 $0.54 $0.99 $(0.54) $(0.07) $10.92
- ---------------------
MONEY MARKET FUND (2)
- ---------------------
1995 $1.00 $0.05 -- $(0.05) -- $1.00
</TABLE>
<TABLE>
<CAPTION>
Ratio of
Ratio of Net Investment
Expenses Income (Loss)
Ratio of to Average to AVERAGE
Net Investment Net Assets Net Assets
Ratio of Income (Excluding (Excluding
Net Assets Expenses (Loss) to Waivers Waivers Portfolio
Total End of to Average Average and Reim- and Reim- Turnover
Return+ Period Net Assets Net Assets bursements) bursements) Rate
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------
INTERNATIONAL GROWTH FUND (1)
- -----------------------------
1995 13.18% $1,259,523 1.40% 1.88% 6.39% (3.11)% 45%
- ---------------
GROWTH FUND (1)
- ---------------
1995 31.50% $1,537,011 1.00% 0.65% 3.56% (1.91)% 52%
- --------------------------
AGGRESSIVE GROWTH FUND (1)
- --------------------------
1995 42.87% $823,714 1.20% (0.61)% 3.90% (3.31)% 128%
- ----------------------
INCOME EQUITY FUND (1)
- ----------------------
1995 30.30% $1,535,891 1.00% 2.46% 3.50% (0.04)% 47%
- ----------------------------------
INTERMEDIATE FIXED INCOME FUND (1)
- ----------------------------------
1995 15.67% $1,302,316 0.70% 5.79% 3.32% 3.17% 42%
- ---------------------
MONEY MARKET FUND (2)
- ---------------------
1995 4.83% $599,498 0.50% 5.36% 3.12% 2.74% --
</TABLE>
(1) Commenced operations on February 10, 1995. All ratios for the period have
been annualized.
(2) Commenced operations on February 13, 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.
18
<PAGE> 20
NOTES TO FINANCIAL STATEMENTS
================================================================================
Insurance Investment Products Trust -- December 31, 1995
1. ORGANIZATION:
Insurance Investment Products Trust, (the "Trust") was organized as a
Massachusetts 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 Funds' prospectus provides a description of each Funds
investment objectives, policies and strategies. 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 C.M. Life Insurance Company, through
the C.M. Multi-Account A.
The Trust operates in an industry where the financial performance, and
possibly the long-term viability, of a fund is dependent on, among other
things, asset levels to create economies of scale. The growth expectations for
Trust asset levels to date have not met management's expectations and
management is considering various options to recommend to the Trust's Board of
Trustees, including the liquidation of the Trust. The net assets value as of
December 31, 1995, approximates the value per share that would be derived
through a liquidation of the Trust at that date.
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 not readily available are valued at the most recently quoted bid
price. Debt obligations with sixty days or less remaining until maturity may be
valued at their amortized cost. Foreign securities 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
discounts and premiums are accreted and amortized ratably to maturity and are
included in interest income.
Security Transactions and Investment Income -- Security transactions
are accounted 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
amortization of purchase discounts and premiums during the respective holding
period which is calculated using the effective interest method. Interest income
is recorded on the accrual basis. Dividend income is recorded on ex-dividend
date.
Repurchase Agreements -- Securities pledged as collateral for
repurchase agreements 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 collateral declines or if the counterparty enters an insolvency proceeding,
realization 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-
19
<PAGE> 21
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
Insurance Investment Products Trust -- December 31, 1995
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
transactions 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 transactions 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 applicable foreign exchange rate and any resulting unrealized gains or
losses are recorded currently. The International Growth Fund realizes gains or
losses at the time the 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 Equity and Intermediate Fixed Income Funds declare and pay
dividends from net investment 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 capital gains on sales of securities from the Funds are
distributed to their shareholders 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 income taxes is required.
The Aggressive Growth Fund has reclassified $17,411 of accumulated net
realized gains to undistributed net investment income. This reclassification,
which has no impact on the net asset value of the Fund, is primarily
attributable to certain differences in the computation of distributable income
and capital gains under Federal Income Tax rules and regulations versus
generally accepted accounting principles, and is designed to present the Fund's
capital accounts on a tax basis.
Use of Estimates in the Preparation of Financial Statements -- The
preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amount of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenue and expenses during the reporting period.
Actual results could differ from those estimates.
3. ORGANIZATION COSTS AND TRANSACTIONS WITH AFFILIATES:
The Trust incurred organizational costs in connection with its start-up. These
costs have been capitalized by the Trust and are being amortized 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 period that the Trust
is amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Trust will be reduced by the unamortized 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 organizational 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
management, 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.
20
<PAGE> 22
================================================================================
SFM also serves as Adviser to the Non-Money Market Funds pursuant to
an Investment 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. 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.
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 assets at an annual rate of 0.075% up to $500 million and 0.020% over
$500 million. WMC may voluntarily waive a portion of its fee, if necessary, in
order to limit the total operating expenses of the Money Market 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.
State Street Bank & Trust Company acts as custodian of the
International Growth Fund under an agreement dated December 30, 1994.
CoreStates Bank, N.A. acts as the custodian of the Growth Fund, Aggressive
Growth Fund, Income Equity Fund, Intermediate Fixed Income Fund and Money
Market Fund under an agreement dated December 30, 1994. The custodians play no
role in determining the investment policies of the Funds or which securities
are to be purchased or sold in the Funds.
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
Aggressive Growth Fund by Pilgrim Baxter & Associates, LTD., for the Income
Equity Fund by LSV, Mellon Equity Associates and Merus Capital Management, and
for the Intermediate Fixed Income Fund by Western Asset Management Company.
Under the terms of such agreements, the Sub-Advisers are entitled to receive a
fee from the Adviser. Such a fee is computed daily and paid monthly. 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 December 31, 1995, purchases of securities and proceeds
from sales of securities, other than temporary investments in short-term
securities, 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 $ -- $ -- $ -- $ -- $1,056,841
Other 1,606,423 1,804,256 1,402,412 1,797,295 19,938
Sales
U.S.
Government $ -- $ -- $ -- $ -- $ 316,421
Other 514,901 668,284 854,526 605,927 20,196
</TABLE>
At December 31, 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 for securities
held by the "Non-Money Market Funds" at December 31, 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 $138,560 $313,743 $203,742 $275,502 $93,853
Aggregate gross
unrealized
depreciation (39,631) (28,203) (33,824) (9,702) (5)
-------- -------- -------- -------- -------
Net unrealized
appreciation $ 98,929 $285,540 $169,918 $265,800 $93,848
======== ======== ======== ======== =======
</TABLE>
21
<PAGE> 23
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
================================================================================
TO THE SHAREHOLDERS AND TRUSTEES
OF INSURANCE INVESTMENT PRODUCTS TRUST:
We have audited the accompanying statements of net assets of International
Growth, Growth, Aggressive Growth, Income Equity, Intermediate Fixed Income and
Money Market Funds of Insurance Investment Products Trust (the "Trust") as of
December 31, 1995, and the related statements of operations, changes in net
assets and financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995, by correspondence with the custodians and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
International Growth, Growth, Aggressive Growth, Income Equity, Intermediate
Fixed Income and Money Market Funds of Insurance Investment Products Trust as
of December 31, 1995, the results of their operations, changes in their net
assets, and financial highlights for the periods presented, in conformity with
generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, PA
February 9, 1996
22
<PAGE> 24
NOTICE TO SHAREHOLDERS
================================================================================
December 31, 1995 (unaudited)
For taxpayers filing on a calendar year basis, this notice is for informational
purposes only.
Dear Insurance Investment Products Trust Shareholders:
For the fiscal year ended December 31, 1995, each fund is designating long
term capital gains and exempt income with regard to distributions paid during
the year as follows:
<TABLE>
<CAPTION>
(A) (B)
LONG TERM ORDINARY (C) (E)
CAPITAL GAINS INCOME TOTAL (D) TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING EXEMPT
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS(1) INTEREST
---- ---------- ---------- ---------- ------------ ----------
<S> <C> <C> <C> <C> <C>
International Growth 0% 100% 100% 0% 0%
Growth 0% 100% 100% 24% 0%
Agressive Growth 0% 100% 100% 0% 0%
Income Equity 0% 100% 100% 39% 0%
Intermediate Fixed Income 0% 100% 100% 0% 0%
Money Market 0% 100% 100% 0% 0%
</TABLE>
* Items (A) and (B) are based on a percentage of the fund's total
distributions.
** Items (D) and (E) are based on a percentage of ordinary income distribution
of the fund.
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
Please consult your tax adviser for proper treatment of this information.
23
<PAGE> 25
- ------------------------
INSURANCE INVESTMENT
- ------------------------
PRODUCTS TRUST
- ------------------------
ANNUAL REPORT
- ------------------------
December 31, 1995
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, Chief Executive Officer
Todd Cipperman
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, Chief Financial Officer
Sandra K. Orlow
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Richard W. Grant
Secretary
INVESTMENT ADVISERS
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 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
<PAGE> 26
TAP-F-007-01
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