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[LOGO OF ALLMERICA SELECT APPEARS HERE]
SEMI-ANNUAL REPORT
June 30, 1996
Allmerica
Select Life
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Allmerica Select gives you access to some of the
world's leading money managers, selected and monitored
by independent industry experts.
It offers you an array of advantages typically reserved for the
nation's largest and most sophisticated investors including:
ACCESS TO A RANGE OF HIGHLY RESPECTED MONEY MANAGERS.
THE COMPREHENSIVE RESEARCH CAPABILITIES OF A NATIONALLY RECOGNIZED
PENSION CONSULTING FIRM, TO HELP IDENTIFY THE MOST QUALIFIED AND BEST SUITED
MONEY MANAGERS REPRESENTING A RANGE OF INVESTMENT APPROACHES.
THE OPPORTUNITY TO DIVERSIFY ACROSS INVESTMENT CATEGORIES AND INVESTMENT
STYLES - TO BETTER MEET YOUR INVESTMENT NEEDS.
OBJECTIVE MONITORING OF THE MONEY MANAGERS' PERFORMANCE BY
ALLMERICA SELECT'S MANAGER EVALUATION COMMITTEE, MADE UP OF
HIGHLY EXPERIENCED INDUSTRY PROFESSIONALS.
PERSONALIZED PERFORMANCE REPORTS AND TIMELY MARKET UPDATES
TO HELP KEEP YOU ON TARGET.
SIGNIFICANT TAX ADVANTAGES, INCLUDING TAX-DEFERRED GROWTH AND
TAX-FREE TRANSFERS BETWEEN INVESTMENT OPTIONS.
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GENERAL INFORMATION
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OFFICERS OF ALLMERICA FINANCIAL
LIFE INSURANCE AND ANNUITY
COMPANY
John F. O'Brien, Chairman of the Board
Richard M. Reilly, President and CEO
Eric A. Simonsen, Vice President and CFO
Abigail M. Armstrong, Secretary
and Counsel
INVESTMENT MANAGER
Allmerica Investment
Management Co., Inc.
440 Lincoln Street
Worcester, MA 01653
GENERAL DISTRIBUTOR
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
INDEPENDENT ACCOUNTANT
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110
CUSTODIAN
Bankers Trust Company
16 Wall Street
New York, NY 10005
LEGAL COUNSEL
Ropes & Gray
One International Place
Boston, MA 02110
ADMINISTRATOR
First Data Investor Services Group
4400 Computer Drive
P.O. Box 5108
Westboro, MA 01581
OFFICERS OF ALLMERICA
INVESTMENT TRUST (AIT)
Richard M. Reilly, President
Thomas P. Cunningham, Treasurer
BOARD OF TRUSTEES OF AIT
John F. O'Brien, Chairman
Russell E. Fuller
Gordon Holmes
John Kavanaugh
Bruce E. Langton
Attiat F. Ott
Richard M. Reilly
Ranne P. Warner
Thomas S. Zocco
INVESTMENT SUB-ADVISERS
Allmerica Asset Management, Inc.
440 Lincoln Street
Worcester, MA 01653
Money Market Fund
Bank of Ireland Asset Management
2 Greenwich Plaza
Greenwich, CT 06830
Select International Equity Fund
Janus Capital Corporation
100 Fillimore Street - Suite 300
Denver, CO 80206
Select Capital Appreciation Fund
John A. Levin & Co., Inc.
One Rockefeller Plaza
New York, NY 10020
Select Growth and Income Fund
Nicholas-Applegate Capital Management
501 West Broadway - Suite 2000
San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.*
One Post Office Square
Boston, MA 02109
Select Growth Fund
Standish, Ayer & Wood, Inc.
One Financial Center
Boston, MA 02111
Select Income Fund
INVESTMENT ADVISERS
Fidelity Management & Research Company
82 Devonshire Street
Boston, MA 02108
Fidelity VIP Growth Portfolio
Fidelity VIP Equity-Income Portfolio
Fidelity VIP High Income Portfolio
Rowe Price-Fleming International, Inc.
100 E. Pratt Street
Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
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CONTENTS
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<TABLE>
<S> <C>
A LETER FROM THE CHAIRMAN..................... 2
PERFORMANCE SUMMARY........................... 3
DOMESTIC & INTERNATIONAL EQUITY
MARKET OVERVIEW............................... 4-5
Select International Equity Fund.............. 6
T. Rowe Price International Stock Portfolio... 7
Select Aggressive Growth Fund................. 8
Select Capital Appreciation Fund.............. 9
Select Growth Fund............................ 10
Fidelity VIP Growth Portfolio................. 11
Select Growth and Income Fund................. 12
Fidelity VIP Equity-Income Portfolio.......... 13
BOND MARKET OVERVIEW.......................... 14-15
Fidelity VIP High Income Portfolio............ 16
SELECT INCOME FUND............................ 17
MONEY MARKET OVERVIEW......................... 18
Money Market Fund............................. 19
FINANCIALS.................................... F-1
</TABLE>
For further information, see the accompanying semi-annual reports.
*As of July 1, 1996 Putnam Investment Management, Inc. assumed sub-advisory
responsibilities of the Select Growth Fund.
1
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A LETTER FROM THE CHAIRMAN
[PHOTO OF JOHN E. O'BRIEN APPEARS HERE]
Dear Client:
Entering 1996, many analysts were forecasting that the economy would grow
modestly, inflation would remain level, interest rates would decline slightly
and the bond and stock markets would return to more "normal" annual returns.
However, the first six months have produced quite different results. Following
a stream of economic reports showing that the economy was far stronger than had
been anticipated, investors became concerned early in the year about the
potential for rising inflation. In response, interest rates rose signi ficantly.
The bond market declined -1.21% as measured by the Lehman Brothers Aggregate
Bond Index. And the 30-year U.S. Treasury bonds declined an even greater -9.35%.
In contrast, stock market investors ignored the concerns of the bond market and
focused instead on strong corporate earnings. That drove the stock market up
10.10% for the period, as measured by the Standard and Poor's 500 Stock Index.
In fact, this six-month return matched the market's average 12-month rate of
return for the past two decades.
Both the stock market and the bond market returns for early 1996 reinforce just
how unpredictable the markets can be. Consequently Allmerica remains focused on
providing you with quality products and investment options that can help you
reach your long-term financial goals, regardless of what happens in the short
term.
As part of that commitment, Allmerica continues to offer you access to a broad
array of money managers with complementary investment strategies. Our Manager
Evaluation Committee, in conjunction with a leading pension consultant, has
carefully selected some of the best money managers available in a spectrum of
investment categories. This Committee meets quarterly to monitor each managers'
performance and recommend any changes which may be appropriate. Such was the
case recently. We are pleased to announce that effective July 1, 1996 Putnam
Investment Management, Inc. will assume sub-advisory responsibility of the
Select Growth Fund.
This change reflects our commitment to carefully selecting each of our money
managers, ensuring they continue to earn their place on Allmerica's elite
roster.
On behalf of the Board of Directors,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
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...Allmerica remains focused on
providing you with quality products
and investment options that can help
you reach your long-term financial
goals - regardless of what happens in
the short term.
- --------------------------------------
2
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Performance Summary
ALLMERICA SELECT LIFE . Average Annual Total Returns as of 6/30/96
For easy reference, the total returns for the Allmerica Select Life subaccounts
are summarized below. Keep in mind that these returns are net of all subaccount
charges. For returns that do not reflect the deduction of subaccount charges,
please refer to the individual Portfolio Reviews beginning on page 6.
<TABLE>
<CAPTION>
Ten Years
One Five or Life
Subaccounts Year Years of Fund
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<S> <C> <C> <C>
Allmerica Investment Trust
Select International Equity Fund/1/ 16.94% N/A 9.82%
Select Aggressive Growth Fund/2/ 31.11% N/A 20.63%
Select Capital Appreciation Fund/3/ 38.76% N/A 47.13%
Select Growth Fund/2/ 17.05% N/A 11.07%
Select Growth and Income Fund/2/ 23.71% N/A 11.80%
Select Income Fund/2/ 3.36% N/A 4.51%
Money Market Fund/4/ 4.68% 3.56% 5.02%
Rowe Price-Fleming International, Inc.
T. Rowe Price International
Stock Portfolio/5/ 15.77% N/A 8.92%
Fidelity Variable Insurance
Products Fund (VIPF)
Fidelity VIP Growth Portfolio/6/ 20.15% 18.97% 14.30%
Fidelity VIP Equity-Income
Portfolio/6/ 21.12% 18.00% 12.36%
Fidelity VIP High Income
Portfolio/7/ 14.62% 15.40% 10.09%
</TABLE>
Allmerica Select Life
Upon surrender, a policy issued to a 36 year-old male,
non-smoker for $250,000 with an $3,300 premium would
be subject to a contingent deferred sales charge representing the following
percentages of cumulative premiums:
1 Year 2 Years 3 Years 5 Years 10 Years
-------------------------------------------
87.4% 43.7% 25.5% 10.9% 0.0%
For the same policy described above, the cost of insurance,
which assures beneficiaries receive the full benefit payable through the policy,
would represent the following percentage of cumulative premiums:
1 Year 2 Years 3 Years 5 Years 10 Years
-------------------------------------------
12.6% 6.7% 4.7% 3.2% 2.1%
Performance returns given above are for the subaccounts of Allmerica Select Life
and assume an investment in the underlying funds listed on the date of inception
of each Fund. The performance returns shown do not reflect cost of insurance
because the cost can vary with an insured's age and health, among other factors.
All full surrenders or withdrawals in excess of the free amount may be subject
to a declining surrender charge. An example showing the percentage of a premium
that cost of insurance can represent is included next to the performance chart.
<TABLE>
<CAPTION>
<S> <C>
/1/ Inception May 1, 1994 /5/ Inception March 31, 1994
/2/ Inception August 21, 1992 /6/ Inception October 9, 1986
/3/ Inception April 28, 1995 /7/ Inception September 19, 1985
/4/ Inception April 29, 1985
</TABLE>
Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 6.
3
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Domestic & International Equity Market Overview
1990-1991: Economic recession in the United States. A deep depression affects
much of the former Soviet bloc countries.
1992: U.S. economy continues its slow recovery. Larger companies downsize while
smaller firms thrive.
1993: A year of low interest rates and strong growth in the emerging markets.
1994: Federal Reserve Board raises interest rates six times stalling equity
markets.
1995: Favorable economic conditions result in tremendous gains for the
U.S. equity markets. Europe turns in strongest performance of international
equity markets.
Sustained growth and renewed volatility characterized the domestic equity
market for the six months ending June 30, 1996.
Surprisingly strong company fundamentals and corporate profits propelled the
stock market upward throughout the period. In fact, stocks of companies of all
sizes delivered solid returns.
Continued demand for equities has played a major role in sustaining the current
bull market. This demand has been bolstered by corporate share repurchase
programs and merger/acquisition activities as well as by huge cash inflows into
equity mutual funds. During the first six months of 1996, over $99 billion
streamed into equity mutual funds, nearly matching the $128 billion record for
all of 1995. So far, this demand has more than offset the supply coming into the
stock market.
While demand has remained steady through this six-month period, individual
stocks and industries have gone in and out of favor. Investors have struggled to
predict which way interest rates would move - and consequently which segments of
the market would benefit from that shift.
As in many first quarters, investors favored commodity stocks. A cold winter
and rising oil prices stimulated the energy group, which was led by drilling and
oil equipment suppliers.
In 1996, many retail stocks recovered from a disappointing 1995. In the second
quarter in particular, footwear and apparel industries rebounded, posting
returns of 25% and 19%, respectively. Tobacco stocks also shook off their
critics, jumping 17% as a group.
As a whole, technology stocks continued to produce impressive double-digit
A cold winter Economic data
and rising oil shows economy
prices stimu- growing at a
lates energy much faster rate
stocks. than anticipated.
1996 JAN 96 FEB 96
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[TWO PICTURES APPEAR ALONG THE TIMELINE]
Strong company
fundamentals
and corporate
profits sustain
current bull
market.
4
<PAGE>
returns for the period, although not without significant volatility from month
to month. During June, many technology companies "pre-announced" news of
disappointing returns before the close of the quarter. Characteristically, many
market participants responded by selling off the entire sector.
Moving into the second half of the year, the domestic stock market appears to
be maintaining its bullish outlook. In general, many analysts expect fair
valuations and continued investment inflows to facilitate an upward trend in the
market. However, short-term volatility is also likely to continue, as investors
continue to try to predict how specific sectors will be affected by various
economic signals.
On the global scene, U.S. investors in international equities experienced mixed
results. Overall, solid gains in many foreign markets were offset by the U.S.
dollar's appreciation over the local currency. For example, the 7.56% advance of
Japan's Nikkei Index was reduced to a 2.39% gain when converted from yen to U.S.
dollars. And the 10.79% return of the German DAX was reduced to a 4.50% gain.
To date, the most promising results for international investors have been in
Europe, where the establishment of the European Monetary Union (EMU) by 1999 now
seems likely. Numerous European countries exceeded the Morgan Stanley Europe,
Australia, and the Far East (EAFE) Index for the first six months of 1996,
including France, Italy, Sweden, and the Netherlands.
Following a decisive election victory by a coalition center-left party, Italy
turned out to be Europe's star performer in the second quarter, delivering a
13.62% gain in U.S. dollar terms. Conversely, Switzerland turned in a -2.40%
return, largely due to the weakness of the Swiss Franc against the U.S. dollar.
Throughout the period, the performance of the United Kingdom market remained
lackluster. News of the country's political uncertainty, exacerbated by the beef
crisis, tended to drown out reports of strong company earnings and increased
takeover activity.
While the Japanese economy has exhibited signs of recovery in the first six
months of the year, some portfolio managers caution that this growth may be
temporary.
In Far Eastern markets, the increases in share values, anticipated since early
1996, have not yet materialized. However, given the rate of economic growth,
some analysts continue to believe these markets offer attractively valued
opportunities.
After a disappoint- The U.S. dollar's
ing 1995, retail appreciation over
stocks rebound, Europe delivers the local currency
particularly in the strongest offsets solid gains
the footwear returns for inter- in many foreign
and apparel national equity markets.
industries. investors.
MAR 96 APR 96 MAY 96 JUNE 96
[FOUR PICTURES APPEAR ALONG THE TIMELINE]
Although increasingly In just the first
volatile, technology six months of
stocks continue to the year, a
produce impressive record $99
double-digit returns. billion streams
into equity
mutual funds.
5
<PAGE>
SELECT INTERNATIONAL EQUITY FUND
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management
ABOUT THE FUND:
Seeks maximum long-term total return by investing in established non-US
companies based on fundamental value and strong opportunities for growth.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
Select International Equity Fund 7.95%
Morgan Stanley EAFE Index 4.67%
Lipper International Fund Average 8.02%
PORTFOLIO COMPOSITION:
As of June 30, 1996, the geographic
distribution of net assets was:
[PIE CHART APPEARS HERE]
United Kingdom 29.79%
Indonesia 5.55%
Switzerland 9.56%
Australia 9.21%
Netherlands 10.79%
Singapore 7.85%
Germany 4.79%
Cash Equivalents 6.40%
Other 16.06%
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
In the first half of 1996, the Select International Equity Fund returned a solid
7.95%, outpacing the Morgan Stanley EAFE Index by more than three percentage
points and nearly matching the 8.02% return of the Lipper International Fund
Average.
Much of this success can be attributed to the performance of individual stocks
within the Fund. Strong company earnings, ahead of expectations in many cases,
propelled the upward momentum.
Takeover and merger activity was again a major factor in the markets. This
activity helped the performance of a number of individual stocks, primarily in
the healthcare and financial sectors.
The Cyclical Recovery in Paper/Print Industries Theme rallied following a
disappointing performance in 1995. Other cyclical companies within the Global
Cyclical Recovery Theme recovered over the period but to a lesser extent than
the paper/print companies. Themes directed at growth in the Far East were mixed.
Financial companies within the Expanding Financial Services in Developing
Markets Theme performed strongly on the back of increased lending growth and
expansion margins.
Moving into the third quarter, Bank of Ireland Asset Management expects
inflation to remain subdued. However, it cautions that European markets may
continue to be influenced by the direction of interest rates in the United
States - and that political concerns in the United Kingdom will continue to
complicate matters. On a more positive note, the weakness of the core currencies
has benefited exports, since weaker currencies have made European products less
expensive in foreign markets.
While the Japanese economy is showing signs of recovery, the Fund's management
remains cautious about its prospects. In contrast, Bank of Ireland Asset Manage-
ment believes the Far East will provide attractive investment opportunities. We
have not seen the kind of liquidity surge (and resulting increase in share
values) that has been expected since early 1996. As a result, valuation levels
are not excessive, given the rate of economic growth. They continue to target
those opportunities selectively.
[LINE GRAPH OF GROWTH OF A $10,000 INVESTMENT SINCE 1994 APPEARS HERE]
5/94 6/96
Select International Equity Fund $10,000 $12,463
Morgan Stanley EAFE Index $10,000 $11,669
Lipper International Fund Average $10,000 $11,823
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select International Equity Fund, since its inception on May
2, 1994, to a similar group of investments: the Morgan Stanley EAFEIndex and the
Lipper International Fund Average. Performance benchmarking allows investors to
objectively measure their fund's performance.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
6
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T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
As of June 30, 1996, the T. Rowe Price International Stock Portfolio delivered a
total return of 9.04%, significantly outperforming the Morgan Stanley EAFE Index
of 4.67%.
Overall, the Portfolio's country allocation contributed positively to total
returns. Value was added in Europe, thanks to the Portfolio's overweighting in
the Netherlands and its underweighting in Switzerland. In Latin America, the
Portfolio's exposure to the Brazilian stock market also proved beneficial.
Detracting from the Portfolio's successful country selection was its
overweighting in Korea and Singapore, whose performance negatively impacted
overall return.
A number of strategic stock selections contributed to the Portfolio's
positive performance. The most value was added in Europe, where French and
German stocks proved particularly strong. Individual stock selections in Japan
and Brazil also enhanced performance. Stock picks in the Pacific Rim countries
other than Japan slightly subtracted from overall returns.
In the second quarter of 1996, Rowe Price-Fleming International gradually
increased the Portfolio's exposure to the Japanese market, mainly through an
increase in the size of existing holdings. Concurrently, it took profits in the
Netherlands and Switzerland, channeling those profits into additional holdings
in Hong Kong and Brazil. The Portfolio's management also reduced the
Portfolio's exposure to Mexico and Singapore.
Relative to the Index, the Portfolio's emphasis remains away from Japan and
towards faster growing economies in the Pacific and Latin America. European
exposure remains neutral, although this masks overweightings in the Netherlands,
France and Norway which are balanced by underweightings in the United Kingdom,
Germany and Switzerland.
Moving into the third quarter, the Port-folio's management looks forward to
strong international markets. Certain individual stocks look attractive in Japan
and Europe. In addition, Management also expects the smaller markets of Asia and
Latin America to continue to advance during 1996.
INVESTMENT ADVISER:
Rowe Price-Fleming International, Inc.
ABOUT THE FUND:
The Portfolio seeks long-term growth
through a highly diversified portfolio
of foreign stocks.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
T. Rowe Price International
Stock Portfolio 9.04%
Morgan Stanley EAFE Index 4.67%
Lipper International
Fund Average 8.02%
PORTFOLIO COMPOSITION:
As of June 30, 1996, the geographic
distribution of net assets was:
[PIE CHART APPEARS HERE]
Europe 49.8%
Japan 23.6%
Far East 12.4%
Latin America 6.2%
United States 5.6%
Other 2.4%
[PIE CHART APPEARS HERE]
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
[GRAPH APPEARS HERE]
3/94 6/96
T. Rowe Price International Stock Portfolio $10,000 $12,341
Morgan Stanley EAFE Index $10,000 $12,048
Lipper International Fund Average $10,000 $11,823
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in T. Rowe Price International Stock Portfolio, since its
inception on March 31, 1994, to a similar group of investments: the Morgan
Stanley EAFE Index and the Lipper International Fund Average. Performance
benchmarking allows investors to objectively measure their portfolio's
performance.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 funds within the International Fund category. Performance numbers are
net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
7
<PAGE>
SELECT AGGRESSIVE GROWTH FUND
INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management
ABOUT THE FUND:
Invest in companies whose potential for
rapidly growing earnings is not fully
reflected in their stock price.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
Select Aggressive Growth Fund 14.76%
Russell 2000 Index 10.36%
Lipper Capital Appreciation
Fund Average 11.50%
PORTFOLIO
COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE GRAPH APPEARS HERE]
Technology 17.79%
Financial 10,32%
Chemicals & Drugs 5.03%
Health Products
and Care 7.57%
Consumer
Products 6.56%
Energy 9.40%
Durable Goods
16.94%
Cash Equivalents 3.01%
Other 23.38%
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
For the first six months of 1996, the Select Aggressive Growth Fund delivered
a 14.76% return, significantly outperforming the 10.36% return of the Russell
2000 Index as well as the 11.50% of the Lipper Capital Appreciation Fund
Average.
Driving the Fund's outperformance of its benchmarks was its solid stock
selection - particularly in the financial service, energy, utility,
manufacturing, technology, and health care sectors. An overweighting in the
technology and health care sectors, which performed well throughout most of the
period, also contributed to the Fund's double-digit gains.
In the technology sector, which represented nearly 18% of the portfolio's
holdings, the Fund's management concentrated on four key areas: 1)
semiconductors and electronic components, 2) telecommunications equipment, 3)
computers and office automation, and 4) software. As a whole, these holdings
produced excellent gains for the overall period but increased volatility for
specific months.
In the health care sector, the Fund management's focus was on
pharmaceuticals, biotechnology, medical supplies, managed health care and health
services.
Because of the outperformance of large capitalization stocks since 1994, the
Fund's management believes that small- and mid-cap stocks now offer attractive
values. The Fund's assets will remain invested in those companies that the
manager believes to be fundamentally strong and that exhibit the fastest growth
potential. Presently, the average growth rate for stocks held in the Fund is 33%
- - which is significantly higher than both the S&P 500 and the Russell 2000
Indices.
Beside the fundamentals of the companies themselves, the Fund's management
believes that the direction of interest rates will be the major factor
influencing stock prices for the remainder of the year. The Fund's management
believes that an increase in interest rates could depress growth stocks more
than value stocks. While the long-term prospects for growth companies should
remain strong, management cautions that aggressive growth stocks may be
particularly sensitive to short-term economic events.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[LINE GRAPH APPEARS HERE]
8/92 6/96
Select Aggressive Growth Fund $10,000 $21,243
Russell 2000 Index $10,000 $18,885
Lipper Capital Appreciation Fund Average $10,000 $18,998
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value
of a $10,000 investment in the Select Aggressive Growth Fund, since its
inception on August 21, 1992, to a similar group of investments: the Russell
2000 Index and the Lipper Capital Appreciation Fund Average. Performance
benchmarking allows investors to objectively measure their fund's performance.
The Lipper Capital Appreciation Fund Average is a non-weighted index of 193
capital appreciation mutual funds. The Russell 2000 Index is an unmanaged
composite of 2,000 small capitalization stocks. Performance numbers are net of
all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
8
<PAGE>
- --------------------------------------------------------------------------------
Select Capital Appreciation Fund
- --------------------------------------------------------------------------------
For the first six months of 1996, the Select Capital Appreciation Fund
significantly outperformed its benchmark by over three percentage points,
delivering an impressive 13.64% return.
Throughout this period of uncertainty, the Fund's management remained focused on
companies with exceptional growth potential that can be consistently realized
regardless of economic conditions. Stock selections have included:
. HFS Inc., a hotel franchisor that has developed a number of successful cross-
selling strategies in lodging and real estate;
. CUC International, an operator of membership discount clubs; and
. Global DirectMail, a catalogue retailer of computer peripherals and office
products.
Other strong performers for the Fund in the second quarter were Culligan, the
maker of water purification products, and Millicom International, which is
expanding its cellular services into emerging economies.
In the second quarter, the Fund's management took profits in a number of the
holdings. Prominent in this group were Medaphis, a provider of accounting
services to physicians' groups, auto parts distributor AutoZone, and long-time
holding Lone Star Steakhouse.
On the minus side, the Fund's management liquidated its position in General
Nutrition Centers at a loss, after General Nutrition's sluggish sales weighed
heavily on its stock price. Despite disappointing second quarter results from
one of the Fund's major positions, Paging Network, the Fund's management is
holding the stock in anticipation of stronger results.
During this period, two key positions were added to the Fund: Matrix
Pharmaceutical - a drug delivery company pioneering innovative delivery systems
for cancer drugs; and Fastenal - a nuts and bolts manufacturer with an
exceptional corporate culture dedicated to sales and customer service.
Overall, the Fund's management is optimistic about the earnings potential of
current holdings, but concerned about the persistence of higher interest rates.
Rather than trying to time the market, Janus Capital Corporation will remain
focused on strong individual stock selection.
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment since 1995
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
4/95 6/96
Select Capital Appreciation Fund $10,000 $15,859
S&P 500(R) Index $10,000 $13,334
S&P Mid Cap 400(R) Index $10,000 $13,231
Russell 2000 Index $10,000 $13,551
Lipper Capital Appreciation Fund Average $10,000 $14,489
A Guide To Reviewing Performance The chart above compares the value of a
$10,000 investment in the Select Capital Appreciation Fund, since its inception
on April 28, 1995, to a similar group of investments: the S&P 500(R) Index,
the Russell 2000 Index and the Lipper Capital Appreciation Fund Average, and
effective with this report the S&P Mid Cap 400(R) Index to more accurately
reflect the actual portfolio composition. Performance benchmarking allows
investors to objectively measure their fund's performance.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index and the S&P Mid Cap 400(R) Index are registered trademark of the Standard
& Poor's Corporation. The S&P Mid Cap 400(R) Index is an unmanaged index
consisting of 400 domestic stocks chosen for market size, liquidity and industry
group representation. The Russell 2000 Index is an unmanaged composite of 2,000
small capitalization stocks. The Lipper Capital Appreciation Fund Average is a
non-weighted index of 193 funds in the capital appreciation investment
objective. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
INVESTMENT SUB-ADVISER:
Janus Capital Corporation
ABOUT THE FUND:
The Fund seeks to construct a con-
centrated portfolio of rapidly growing
reasonably valued stocks.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
Select Capital
Appreciation Fund 13.64%
S&P 500(R) Index 10.10%
S&P Mid Cap 400(R) Index 9.21%
Russell 2000 Index 10.36%
Lipper Capital Appreciation
Fund Average 11.50%
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE GRAPH APPEARS HERE]
Business Services 18.43%
Transportation 4.08%
Financial 6.92%
Chemicals & Drugs 5.88%
Telecommunications 15.69%
Consumer Staples 4.05%
Retail 8.46%
Building & Construction 4.05%
Cash & Equivalents 4.24%
Other 28.20%
The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
9
<PAGE>
- -------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Provident Investment Counsel*
ABOUT THE FUND:
Seeks long-term growth of capital by
investing in stocks of companies believed
to have significant potential for capital
appreciation.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
<TABLE>
<S> <C>
Select Growth Fund 12.27%
S&P 500(R) Index 10.10%
Lipper Growth Fund Average 10.08%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Technology 13.62%
Electronics 9.05%
Financial 11.86%
Health Services 7.20%
Consumer Products 3.69%
Business Services 9.08%
Chemicals & Drugs 12.44%
Telecommunications 5.36%
Cash Equivalents 10.45%
Other 17.25%
</TABLE>
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
*As of July 1 1996, Putnam Investment Management, Inc. assumed sub-advisory
responsibilities for the Select Growth Fund.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
During the first six months of 1996, the Select Growth Fund successfully
capitalized on the continuing stock market rally, turning in an impressive mid-
year return of 12.27%. This return surpassed both the 10.10% return of the S&P
500(R) Index as well as the 10.08% return of the Lipper Growth Fund Average.
The Fund's outperformance of its benchmarks can be largely attributed to its
strong stock selection success. In the entertainment and leisure area, the
Fund's management invested in HFS Inc. - which returned 44% during the second
quarter alone. Encouraged by strengthening fundamentals in the gaming industry,
the Fund's management also invested in Mirage and Circus Circus - both of which
appreciated 22% during the second quarter.
In the technology sector, the Fund maintained positions in Oracle and Microsoft,
which continued to dominate their respective product categories. The Fund's
holdings in both Andrew Corp. and U.S. Robotics gained a phenomenal 100% during
the first six months of 1996.
The Fund's management continues to be optimistic about the prospects for the
equity market in general - given the fact that corporate profits have been
growing two to four times faster than the underlying economy during the last
four years.
Specifically, the Fund's management is bullish on growth companies that have
been able to increase both revenues and profits. Management believes that
economically sensitive companies, having improved operating efficiencies to
increase profits, will have a difficult time growing their earnings without
revenue growth.
Given this outlook, continued success in the equity markets during 1996 will
likely depend on careful individual stock selection rather than on "buying the
market."
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C>
8/92 6/96
Select Growth Fund $10,000 $15,458
S&P 500(R) Index $10,000 $17,645
Lipper Growth Fund Average $10,000 $18,776
</TABLE>
- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a
$10,000 investment in the Select Growth Fund, since its inception on August 21,
1992, to a similar group of investments: the S&P 500(R) Index and the Lipper
Growth Fund Average. Performance benchmarking allows investors to objectively
measure their fund's performance.
- --------------------------------------------------------------------------------
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Liper
Growth Fund Average is a non-weighted index of 677 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
10
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
Slightly outperforming the S&P 500(R) Index, the Fidelity VIP Growth Portfolio
returned 10.73% during the first six months of 1996.
Despite mixed performance in the technology sector throughout much of the first
half of the year, technology remained the Portfolio's top sector allocation. The
Portfolio's management believes that technology stocks continue to offer
selective long-term opportunities, particularly in the areas of networking and
clientserver computing.
Solid stock selections rewarded the Portfolio's emphasis on the technology
sector. Holdings in Cisco Systems (+51.76%), Oracle (+39.60%), Microsoft
(+36.90%) and US Robotics (+94.87%) boosted overall returns.
The Portfolio was also overweighted in the retail-wholesale sector - a move that
proved beneficial as apparel and specialty retailers rebounded during the first
half of the year. Holdings in Petsmart (+54.03%), Wal Mart (+14.53%) and Home
Depot (+13.33%) were notably strong performers. But Sunglass Hut International
turned out to be a disappointment, giving back most of its strong first quarter
gains amidst concerns over diminished sales growth.
During the first half of 1996, the Portfolio benefited from having few holdings
in the financial services sector, as the rising interest rate environment
depressed many financial services stocks.
One key sector allocation did detract from the Portfolio's performance. Utility
holdings, particularly in the Regional Bell Operating Companies, performed
poorly as the euphoria regarding the benefits of telecommunications deregulation
began to wane. Second quarter results were also held back by an underweighting
in nondurable goods, as beverage and tobacco stocks performed well during the
period.
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment since 1986
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
10/86 6/96
Fidelity VIP Growth Portfolio $10,000 $39,706
S&P 500(R) Index $10,000 $37,202
Lipper Growth Fund Average $10,000 $33,169
- --------------------------------------------------------------------------------
A Guide To Reviewing Performance The chart above compares the value of a
$10,000 investment in Fidelity VIP Growth Portfolio, since its inception on
October 9, 1986, to a similar group of investments: the S&P 500(R) Index and
the Lipper Growth Fund Average. Performance benchmarking allows investors to
objectively measure their portfolio's performance.
- --------------------------------------------------------------------------------
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 677 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
INVESTMENT ADVISER:
Fidelity Management & Research
Company
ABOUT THE FUND:
The portfolio seeks long-term capital
appreciation by investing principally
in common stocks with above average
growth prospects.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
Fidelity VIP Growth Portfolio 10.73%
S&P 500(R) Index 10.10%
Lipper Growth Fund Average 10.08%
PORTFOLIO COMPOSITION:
As of May 31, 1996, the sector
allocation of net assets was:
[PIE GRAPH APPEARS HERE]
Technology
25.14%
Health Care
11.09%
Retail and Wholesale
10.33%
Utilities 8.61%
Media &
Leisure 7.36%
Durables 5.20%
Other 32.27%
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
11
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
John A. Levin & Co., Inc.
ABOUT THE FUND:
Seeks a combination of long-term growth
of capital and current income by invest-
ing primarily in dividend-paying stocks
and convertible securities.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
Select Growth and Income Fund 9.51%
S&P 500(R) Index 10.10%
Lipper Growth & Income
Fund Average 9.24%
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE GRAPH APPEARS HERE]
Financial 15.00%
Durable Goods
15.53%
Utilities 3.70%
Technology 9.68%
Energy 5.87%
Printing &
Publishing
4.95%
Chemicals
& Drugs
13.06%
Consumer Products
8.25%
Cash Equivalents
5.25%
Other 18.71%
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
For the six months ending June 30, 1996, the Select Growth and Income Fund
produced a net total return of 9.51%.
In the first half of the year, the Fund's largest positions produced important
gains - generally benefiting from vigilant cost cutting, re-engineered
manufacturing processes, increased productivity, and more global product
offerings.
Among the portfolio's leading gainers were Anheuser Busch, which benefited from
a renewed focus on its growing core beer business. Corning also advanced, after
the company announced its intention to spin off its troubled diagnostic
laboratories and its clinical testing segment. And ITT rose, after the company
articulated its gaming expansion plans in Atlantic City and Las Vegas, as well
as its joint venture with Planet Hollywood.
Multinational companies, such as Citicorp, Eastman Kodak and Avon also advanced,
fueled by heightened enthusiasm for U.S. goods and services in emerging markets
around the world.
So far this year, few of the Fund's holdings have experienced adverse
developments. However, Reader's Digest, grappling with the continued weakness of
its European operations, posted disappointing returns. NYNEX also declined,
although the Fund's management continues to believe that the value inherent in
the non-Regional Bell Operating Companies' assets are substantial.
Looking forward, John A. Levin & Company anticipates that stock market returns
are likely to remain volatile. Nonetheless, the Fund's management expects the
fluctuating market to continue to create opportunity, namely in investment
quality securities with favorable prospects that are currently selling at
moderate valuations.
The Fund's management will continue to be proactive in reducing holdings in
stocks with relative price strength and/or disappointing fundamentals and will
carefully redeploy those assets.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
8/92 6/96
Select Growth and Income Fund $10,000 $15,850
S&P 500(R) Index $10,000 $17,645
Lipper Growth & Income Fund Average $10,000 $17,626
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select Growth and Income Fund, since its inception on August
21, 1992, to a similar group of investments: the S&P 500(R) Index and the Lipper
Growth & Income Fund Average. Performance benchmarking allows investors to
objectively measure their fund's performance.
- --------------------------------------------------------------------------------
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Fund Average is a non-weighted index of 527 funds within the
growth and income investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
12
<PAGE>
Fidelity VIP Equity-Income Portfolio
Hindered by relatively large cash and long maturity bond holdings early in 1996,
the Fidelity VIP Equity-Income Portfolio returned 5.86% for the period -
underperforming both its benchmark and peer group.
During the second quarter, the Fidelity VIP Equity-Income Portfolio was
repositioned by reducing cash, essentially eliminating the bond position and
establishing a significant allocation to convertible securities.
In the first quarter, the Portfolio's bond holdings, consisting primarily of
interest sensitive, long-term U.S. Treasuries, de-clined sharply as investors
worried that a strengthening economy would spark inflation. The cash position
also hurt relative performance as stocks appreciated.
In the stock arena, the Portfolio profited from investments in the media and
leisure sector. These investments, primarily in companies with big hotel and
casino operations in Las Vegas and Atlantic City, benefited from strong tourist
traffic. The Portfolio also benefited from a decision to invest more heavily in
the retail sector than the index. After a disappointing Christmas season and
weather related slowdown early this year, the retailing sector recovered
strongly to show healthy sales growth.
Also positively affecting performance has been Portfolio management's decision
to underweight utilities relative to the index. Going into the third quarter,
they expect to maintain this underweighted position.
Less successful were technology investments, primarily in the semiconductor and
hardware areas, and in Regional Bell Operating Companies. Following the passage
of the telecommunications bill, RBOCs underperformed as investors sold their
positions to take profits.
As of May 31, 1996, approximately 15% of the Portfolio was invested in
convertible securities providing some yield and the potential for capital
appreciation. Portfolio management also sees significant opportunities in the
finance, health care and retail sectors - and has allocated a larger percentage
of the Portfolio's assets to these sectors.
Growth of a $10,000 Investment since 1986
[LINE GRAPH APPEARS HERE]
6/86 6/96
Fidelity VIP Equity-Income Portfolio $10,000 $33,618
S&P 500(R) Index $10,000 $35,541
Lipper Growth & Income Fund Average $10,000 $30,738
A Guide To Reviewing Performance The chart above compares the value of a $10,000
investment in Fidelity VIP Equity-Income Portfolio, since its inception on
October 9, 1986, to a similar group of investments: the S&P 500 Index and the
Lipper Growth &Income Fund Average. Performance benchmarking allows investors to
objectively measure their portfolio's performance.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth &Income Fund Average is a non-weighted index of 527 funds within the
growth & income investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
Investment Adviser:
Fidelity Management & Research
Company
About The Fund:
Seeks reasonable income by investing
primarily in income-producing equity
securities.
Performance:
Net total return for the six-month period
ending June 30, 1996:
Fidelity VIP Equity-Income
Portfolio 5.86%
S&P 500(R) Index 10.10%
Lipper Growth &Income
Fund Average 9.24%
PORTFOLIO COMPOSITION:
As of May 31, 1996, the sector
allocation of net assets was:
[PIE GRAPH APPEARS HERE]
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
13
<PAGE>
BOND MARKET
OVERVIEW
1992: Government and corporate
bonds outperformed the stock market.
1993: U.S. economy gains momentum.
Consumer spending and installment debt
increase.
1994: Federal Reserve Board raises
interest rates six times in an effort to
slow down the economy and keep
inflation in check, sending bond prices
sharply lower.
1995: U.S. bond market enjoys its third
best performance in 30 years, thanks to
strong total returns from 30-year U.S.
Treasuries and corporate issues.
The first six months of this year have proven to be particularly trying for bond
investors. After experiencing the euphoria of double-digit returns in 1995,
investors entered 1996 with expectations of a strong performance or at least
positive results. However, as of June 30, 1996, the fixed income market posted a
negative return of -1.21%, as measured by the Lehman Brothers Aggregate Bond
Index.
Entering the year, many analysts anticipated that a balanced budget agreement,
additional rate cuts by the Federal Reserve, and restrained economic growth
would sustain the performance of the bond market. Some economists were even
predicting the economy would slip into recession. While preliminary economic
data did prompt the Federal Reserve to cut interest rates by 0.25% in late
January, this trend did not last long.
Beginning in February, a stream of positive economic reports revealed a much
healthier economy than had been expected. Such good news usually means bad news
for bond investors - and 1996 has been no exception. As interest rates climbed
rapidly from February to June, bond prices fell. In response, investors sold
fixed income securities across the maturity spectrum.
During the second quarter of the year, continued signs of economic strength
further depressed bond prices. The yield curve steepened as yields of
intermediate and long-term maturities rose more than short-term maturities.
Ironically, the poorest performance to date has been from those bonds many
believe to be the least "risky." As of June 30, 1996, 30-Year Treasury bonds
have lost about 9.35% since the first of the year.
The only truly bright spot in the fixed income securities markets this year has
been high yield bonds. In fact, the high yield sector, up over 3%, was virtually
the only sector of the fixed income market to post positive returns during the
first half of 1996.
| Economic data
| Investors lose | shows economy
| confidence that | growing at a
| the debate over | much faster rate
| the federal [PICTURE [PICTURE | than expected,
| budget deficit APPEARS APPEAR | bad news for
| will be resolved. HERE] HERE] | bond investors.
- --------------------------------------------------------------------------------
1996 JAN 96 FEB 96
- --------------------------------------------------------------------------------
| Federal Reserve [PICTURE
| cuts target rate APPEARS
| for Federal HERE]
| Funds another
| 0.25%.
14
<PAGE>
The relatively strong performance of high yield bonds can be attributed to two
key factors. High yield bonds are less sensitive to changes in interest rates
than other types of bonds, and the strong U.S. economy has reduced investors'
concerns about credit risk over the near term. Even though the supply of new
high yield issues increased during the second quarter of 1996, heavy demand
sustained their prices. This demand was fueled by large cash inflows from
investors now comfortable with assuming higher risk in hopes of higher yields.
To date, corporate bonds have also benefited from the positive economic news. On
a duration-adjusted basis, corporate bonds outpaced U.S. Treasury bonds. An
improving economic outlook, solid credit fundamentals, limited new issues, and
strong investor demand all combined to boost the performance of most sectors of
the industrial market.
Changes in interest rates had a somewhat positive effect on mortgage-backed
securities. As interest rates stabilized around 7% in the second quarter,
investors began to believe that their fears of refinancings were no longer
founded. Given that homeowners were shying away from any remortgaging activity,
mortgage yield spreads tightened and mortgage-backed securities outperformed the
bond market in general.
By the end of June, several key signs of moderating growth began to calm
investor concerns that the economy was overheated. Prices of most commodities as
well as consumer goods have remained subdued. The consumer, hampered by existing
high debt burdens, has shown little inclination to go on a spending spree. And
the manufacturing sector outside of autos is exhibiting only modest signs of
improvement.
Despite these trends, fears linger that the Federal Reserve will move to slow
growth by increasing interest rates and tightening the money supply. These fears
were reflected in the increasing yield differential between three-month U.S.
Treasury bills and two-year U.S. Treasury notes. In January, the yield for two-
year Treasuries exceeded three-month Treasuries by only one-tenth of one point.
By June, this differential had increased to almost a full percentage point.
Going forward, many fixed income managers expect the U.S. economy to weaken in
the second half of 1996. If so, and the Federal Reserve refrains from raising
rates, bonds may recover in the second half of the year. If the Federal Reserve
does raise rates, bond prices could fall further. Either way, fixed income
securities may be headed for continued volatility, as analysts struggle to
predict the short-term direction of interest rates.
| Rising interest
| rates relieve
[PICTURE | Corporate bonds [PICTURE | fears of
APPEARS | outpace Treasury APPEARS | refinancing
HERE] | bonds, driven by HERE] | activity, boosting
| improving outlook | mortgage-backed
| and strong demand. | issues.
- --------------------------------------------------------------------------------
MAR 96 APR 96 MAY 96 JUNE 96
- --------------------------------------------------------------------------------
| Interest rates | High yield [PICTURE | Yields of | Fears persist
| begin to rise, | bonds prove APPEARS | intermediate | that Federal
| a trend that | to be highest HERE] | maturities | Reserve may
| continued | performing | rise more | again raise
| through | sector of | than either | rates to
| remainder of | fixed income | short- or | tighten money
| period. | market. | long-term | supply.
| securities.
15
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP HIGH INCOME PORTFOLIO
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Fidelity Management & Research
Company
ABOUT THE FUND:
Seeks high income and growth of capital
by investing primarily in high-yielding,
lower-rated, fixed-income securities.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
<TABLE>
<S> <C>
Fidelity VIP High
Income Portfolio 7.29%
Merrill Lynch High Yield
Master Index 2.85%
Salomon Brothers
High-Yield Index 3.06%
</TABLE>
PORTFOLIO COMPOSITION:
As of May 31, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Media 17.6%
Communications 13.2%
Leisure & Lodging 9.4%
Energy/Oil Gas 7.9%
Insurance 3.9%
Retail Sales/
Merchandise 3.6%
Other 44.4%
</TABLE>
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
For the first half of 1996, the high yield sector was virtually the only sector
of the fixed income market to post positive returns. Even given this positive
trend, the Fidelity VIP High Income Portfolio significantly outperformed its
benchmark, delivering a total return of 7.29%. By contrast, the Merrill Lynch
High Yield Master Index, an unmanaged index of high yield bonds, posted a 2.85%
return.
Throughout this six-month period, the Portfolio benefited from the robust demand
for high yield securities and the strong, generally stable cash flow into most
funds. As of June 30, the Portfolio's 30-day yield stood at approximately 8.60%,
with the maturity of its holdings averaging a little over seven years.
By the end of the period, the Portfolio held a significant exposure to selected
zero coupon bonds - which tend to show the greatest sensitivity to interest rate
changes. To provide insulation against the risk that interest rates would rise,
the Portfolio's management has concentrated these holdings in issues where
credit upgrades are anticipated.
As for specific industries, the Portfolio's management focused on high yield
issues from media and telecommunications firms, which contributed positively to
performance during the first half of the year.
About 8% of the Portfolio's assets were allocated to common stock holdings. In
certain instances, their valuations proved more attractive than those of the
debt securities from the same companies.
In anticipation of a general weakening of the U.S. economy in the second half of
the year, the management has limited the Portfolio's holdings in securities of
economically sensitive companies, such as basic industries and commodity related
businesses. Conversely, exposure has been increased in industries and companies
with more stable growth prospects, including local access telecommunications
providers.
- ------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1986
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
6/86 6/96
Fidelity VIP High Income Portfolio $10,000 $28,266
Merrill Lynch High Yield Master Index $10,000 $28,111
Salomon Brothers High-Yield Index $10,000 $27,610
- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in Fidelity VIP High Income Portfolio, since June 30, 1986, to a
similar group of investments: the Merrill Lynch High Yield Master Index and the
Salomon Brothers High-Yield Index. Performance bench-marking allows investors to
objectively measure their portfolio's performance.
- --------------------------------------------------------------------------------
The Merrill Lynch High Yield Master Index is an unmanaged index of high yield
bonds. Salomon Brothers High-Yield Index tracks the performance of high yield
securities trades in the U.S. Bond Market. Performance numbers are net of all
fund operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
16
<PAGE>
- -------------------------------------------------------------------------------
SELECT INCOME FUND
- -------------------------------------------------------------------------------
In the first six months of 1996, a surprisingly strong economy, rising interest
rates, and inflationary fears combined to depress the entire bond market.
Reflecting this turbulent mood, the Select Income Fund delivered a total return
of -1.65% as of June 30, 1996. This performance only slightly trailed the -1.21%
return of the Fund's benchmark, the Lehman Brothers Aggregate Bond Index.
The bond market entered 1996 by continuing the bull market of 1995. In this
environment, the Select Income Fund benefited from its overweighting in
mortgage-backed securities as well as its slightly longer duration position
relative to the benchmark. However, the positive news ended abruptly as interest
rates rose during February and March. At the end of the first quarter, the
Select Income Fund was down -1.98%, compared to -1.79% for its benchmark.
In the second quarter of the year, the Fund's management modified the asset mix
slightly to better accommodate a strengthening economy. To boost overall
returns, the management took profits in some of its mortgage-backed securities.
These profits were primarily channeled into U.S. Treasuries and corporate bonds
issued by financial and industrial companies. This repositioning can be credited
with the Fund's outperformance of its benchmark in the latter part of the second
quarter.
Going forward, the Fund's manage-ment anticipates that economic growth will
moderate and inflationary pressures will subside. Over time, the higher yields
from corporate bonds and mortgage-backed securities are expected to enhance the
Fund's return relative to the bench-mark which is heavily weighted in U.S.
Treasuries.
The Fund's management continues to believe that 7% represents excellent value in
the bond market. The portfolio is therefore positioned with a slightly longer
duration position. As for yield curve positioning, the majority of the Fund's
bonds will remain in the intermediate range, with maturities from 3 to 14 years.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
8/92 6/96
Select Income Fund $10,000 $12,224
Lehman Brothers Aggregate Bond Index $10,000 $12,479
Salomon Brothers Broad Market Index $10,000 $12,617
- --------------------------------------------------------------------------------
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select Income Fund, since its inception on August 21, 1992, to
a similar group of investments; the Lehman Brothers Aggregate Bond Index and the
Salomon Brothers Broad Market Index. Performance benchmarking allows investors
to objectively measure their fund's performance.
- --------------------------------------------------------------------------------
The Lehman Brothers Aggregate Bond Index is an unmanaged index of average yield
U.S. investment grade bonds. Salomon Brothers Broad Market Index tracks the
performance of investment grade securities traded in the U.S. Bond Market.
Performance numbers are net of all fund operating expenses, but do not include
insurance charges. If performance information included the effect of these
additional charges, it would have been lower.
INVESTMENT SUB-ADVISER:
Standish, Ayer & Wood, Inc.
ABOUT THE FUND:
The fund seeks above average income
from corporate bonds, mortgages and
bonds issued by the U.S. government.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
Select Income Fund -1.65%
Lehman Brothers
Aggregate Bond Index -1.21%
Salomon Brothers Broad
Market Index -1.26%
PORTFOLIO
COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE GRAPH APPEARS HERE]
U.S. Government
and Agency
Obligations
46.96%
Corporate Notes &
Bonds 47.03%
Cash Equivalents
and Other 6.01%
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
17
<PAGE>
MONEY
MARKET
OVERVIEW
1981: Money market returns peak
at 14.71%.
1992-1993: Federal Reserve eases
interest rates to boost faltering economy.
1994: Federal Reserve raises interest
rates six times in an effort to slow the
economy and keep inflation in check.
1995: After successfully piloting econ-
omy to a "soft landing," Federal Reserve
lowers federal funds target rate twice.
For the money market, the first six months of 1996 have been very unsettling -
as investors' expectations over the direction of short-term interest rates have
shifted dramatically over the period.
As we moved from the fourth quarter of 1995 into the first quarter of 1996, the
economy's growth appeared to be subsiding. In response, the Federal Reserve
lowered its Federal Funds rate target by one-quarter of one percentage point to
5.25% late in January. Many market participants fully expected the Federal
Reserve to ease the money supply even further by again lowering rates during the
year.
However, this easing trend came to an abrupt halt early in the first quarter. In
February, a surprisingly large jump in employment figures marked the beginning
of a string of positive statistical releases. This economic data revealed a much
healthier economy than had been expected and investor optimism quickly changed
to pessimism about Federal Reserve policies. Throughout the second quarter,
investors began to anticipate that the Federal Reserve's next move would be to
raise rates rather than lower them.
By the end of June, evidence of an overheated economy and rising prices had not
yet materialized. Even though reports indicating moderate growth calmed investor
jitters somewhat, expectations that the Federal Reserve would tighten the money
supply had not dissipated. These expectations were reflected in the spread
differential between three-month U.S. Treasury bills and two-year Treasury
notes. This differential widened from a mere one-tenth of one percentage point
in January to almost a full percentage point in June.
Moving into the third quarter, it remains unclear what action the Federal
Reserve will take - and there is some speculation that the fact that this is an
election year may affect its decision. In the meantime, many money market
managers remain poised to adapt to any potential change in short-term rates.
| By June, spread
| differential
| Anticipating [PICTURE | between three-
| slower growth, APPEARS | month and two-
| the Federal HERE] | year Treasuries
| Reserve lowers | widens to almost
| Federal Funds | one percentage
| rate targets. | point.
- --------------------------------------------------------------------------------
1996 1ST QUARTER 2ND QUARTER
- --------------------------------------------------------------------------------
[PICTURE | Economic data | Fears persist [PICTURE
APPEARS | shows economy | that the Federal APPEARS
HERE] | growing at a | Reserve will HERE]
| much faster | tighten the
| rate than | money supply.
| expected.
18
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
For the six-month period ending June 30, 1996, the Money Market Fund
successfully managed its three primary objectives of providing preservation of
capital, liquidity, and maximum current income. The Fund's net total return of
2.62% compared favorably to the benchmark Lipper Money Market Funds Average as
well as to the IBC/Donoghue General Purpose Money Market Average.
Against a volatile backdrop of changing economic growth expectations, the Fund's
management maintained a modestly longer average weighted maturity than the index
- - focusing on securities which appreciate or roll down the yield curve quickly
during a rising rate environment. Securities that fit this criteria included
U.S. Treasury bills as well as government agency discount notes.
In the second quarter of 1996, an overweighting in two key areas added
substantial yield to the Fund - namely in longer-term top tier commercial paper
and in shorter-term repurchase agreements.
The Fund's management intends to maintain this long-run strategy moving into the
second half of 1996. Given that the reality of "moderate" growth has now calmed
the fears of "overheated growth," management expects the money markets to settle
down over the next six months.
However, expectations that the Federal Reserve might move to tighten the money
supply linger. Moving into the third quarter, the Fund's management has
structured the portfolio to facilitate rapid responses to any potential changes
in short-term rates resulting from new Federal Reserve policies.
IBC/Donoghue is an independent firm that tracks 2a-7 regulated money market
funds on a yield, shareholder, asset size and portfolio allocation basis. The
Lipper Money Market Funds Average is an unmanaged index of 290 funds within the
Money Market category.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Strives to maximize current income
for investors with preservation of
capital and liquidity.
PERFORMANCE:
Net total return for the six month period
ending June 30, 1996:
Money Market Fund 2.62%
IBC/Donoghue General Purpose
Money Market Average 2.40%
Lipper Money Market
Funds Average 2.35%
PORTFOLIO
COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE GRAPH APPEARS HERE]
Commercial
Paper 47.05%
Corporate Notes
and Bonds
30.52%
Other
9.17%
Money Market Fund is a portfolio of Allmerica Investment Trust.
Past performance is no guarantee of future results. The fund is neither insured
nor guaranteed by the U.S. government. There can be no assurance that the fund
will be able to maintain its net asset value of $1.00 per share.
19
<PAGE>
----------
Financials
----------
[ARTWORK APPEARS HERE]
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS * June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 95.83%
<C> <S> <C>
Australia - 9.01%
257,340 Broken Hill Proprietary Co., Ltd. $ 3,558,633
364,575 MIM Holdings 470,581
522,720 National Australia Bank, Ltd. 4,834,050
711,270 News Corp. 4,036,211
373,500 WMC, Ltd. 2,675,076
------------
15,574,551
============
Finland - 1.00%
83,300 UPM-Kymmene* 1,723,053
------------
France - 1.57%
19,930 Elf Aquitaine 1,465,689
25,700 Michelin 1,256,023
------------
2,721,712
============
Germany - 4.79%
87,020 Hoechst AG 2,938,515
7,120 Mannesmann AG 2,451,077
31,760 Siemens AG 1,702,197
22,400 Veba AG 1,190,535
------------
8,282,324
============
Indonesia - 5.55%
528,000 Gudang Garam 2,262,930
263,000 Hero Supermarkets 259,901
379,000 Ilanj Mandela Sempoerna 4,315,284
358,000 Indocement Tunggal Perkasa 1,230,544
135,000 Kalbe Farma 301,621
767,000 Mayora Indah 428,413
534,000 Telekomunikasi 808,769
------------
9,607,462
============
Ireland - 1.92%
162,000 Allied Irish Banks 841,123
923,350 Smurfit(Jefferson) Group 2,478,202
------------
3,319,325
------------
Italy - 1.19%
608,010 STET Societa Finanziaria Telefonica 2,054,529
------------
Japan - 1.95%
162,000 Canon, Inc. 3,367,569
------------
Malaysia - 3.88%
483,000 Development & Commercial
Bank Holdings, Berhad 1,655,013
304,000 Hume Industries Berhad 1,486,352
701,200 Sime-Darby Berhad 1,939,006
236,000 United Engineers 1,636,237
------------
6,716,608
============
Mexico - 0.85%
691,700 Grupo Financiero Banmex, Series B 1,441,851
10,491 Grupo Financiero Banmex, Series L* 19,931
------------
1,461,782
============
Netherlands - 10.79%
66,028 ABN-Amro Holdings 3,543,230
13,310 DSM NV 1,321,662
274,400 Elsevier, NV 4,163,480
96,498 ING Groep, NV 2,877,482
16,661 Nutricia Ver Bedrijven 1,761,795
61,800 Philips Electronics 2,009,343
10,710 Royal Dutch Petroleum 1,653,893
34,955 Royal PTT Nederland, ADR 1,322,891
------------
18,653,776
============
Philippines - 0.20%
99,000 San Miguel, Class B 342,096
------------
Singapore - 7.85%
373,000 City Developments 2,906,954
307,000 Development Bank of Singapore 3,828,139
252,600 Fraser and Neave, Ltd., Ord 2,612,900
215,800 Singapore Press 4,235,141
------------
13,583,134
============
Spain - 2.37%
24,595 Banco de Santander 1,147,158
123,300 Iberdrola I 1,264,631
48,750 Repsol 1,693,937
------------
4,105,726
============
Sweden - 0.70%
36,900 Assi Doman AB 859,178
26,000 Stora Kopparbergs Bergslags
Aktiebolag, Series A 342,854
------------
1,202,032
============
Switzerland - 9.56%
4,042 Alusuisse Lonza Holdings, Regd 3,335,929
4,972 Ciba-Geigy AG, Regd 6,057,887
354 Roche Holdings AG 2,699,600
1,615 Sandoz 1,846,428
2,535 Schweiz Ruckverisch 2,602,563
------------
16,542,407
============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-1
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
Thailand - 2.86%
205,800 Bangkok Bank Public Co., Ltd. $ 2,787,299
197,800 Thai Farmers Bank Public Co., Ltd. 2,164,965
------------
4,952,264
============
United Kingdom - 29.79%
325,300 Argyll Group, Plc 1,753,917
327,350 Barclays Bank, Ord 3,931,763
605,750 B.A.T Industries, Ord 4,715,488
513,577 BTR, Plc, Ord 2,022,921
196,000 Cable & Wireless 1,297,362
352,930 Cadbury Schweppes 2,791,270
187,350 Chubb Security, Plc, Ord 940,268
254,000 Coats Viyella, Plc, Ord 678,825
188,050 General Accident, Plc, Ord 1,908,016
333,700 General Electric Co., Ord 1,799,207
182,450 Granada Group, Plc 2,443,693
263,409 Grand Metropolitan, Plc, Ord 1,747,648
368,300 Ladbroke Group, Plc 1,030,077
503,550 Lloyds TSB Group, Plc 2,464,612
245,000 Medeva, Plc, Ord 955,510
212,450 Premier Farnell 2,224,908
333,750 Prudential Corp.,Plc, Ord 2,105,440
306,280 Scottish Power, Plc 1,446,730
164,000 Shell T&T 2,402,985
276,550 Siebe Plc, Ord 3,927,492
117,830 Thorn EMI, Plc 3,284,534
231,500 TI Group 1,935,213
297,700 Vodafone Group, Plc 1,107,847
118,250 Zeneca Group, Plc, Ord 2,614,576
------------
51,530,302
============
Total Common Stocks 165,740,652
(Cost $150,706,732) ============
PREFERRED STOCK - 0.20%
69,985 News Corp., Ltd. (Australia) 341,508
============
Total Preferred Stock 341,508
(Cost $278,776) ============
INVESTMENT COMPANIES - 6.40%
4,229,791 ILAPrime Obligation 4,229,791
Portfolio Fund, Class B
6,851,727 Lehman Brothers Prime Fund, Class A 6,851,727
------------
Total Investment Companies 11,081,518
(Cost $11,081,518) ------------
Total Investments - 102.43% 177,163,678
(Cost $162,067,026) ------------
Net Other Assets and Liabilities - (2.43)% (4,210,797)
------------
Net Assets - 100.00% $172,952,881
============
</TABLE>
* Non income producing security.
ADR American Depositary Receipt
<TABLE>
<CAPTION>
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
--------- ------------ ---------- ------------ ----------- --------------
<S> <C> <C> <C> <C> <C>
9,300,000 CHF 08/19/96 $ 7,479,102 $ 7,413,017 $ (66,085)
7,581,000 DEM 08/27/96 5,006,090 4,966,751 (39,339)
27,642,000 NLG 09/16/96 16,249,298 16,232,786 (16,512)
27,227,000 NLG 07/01/96 16,005,341 15,781,480 (223,861)
------------ ------------ -----------
$ 44,739,831 $ 44,394,034 $ (345,797)
============ ============ ===========
</TABLE>
________________________
CHF Swiss Francs
DEM Deutche Marks
NLG Dutch Guilders
See Notes to Financial Statements.
----------------------------------------------------------
F-2
<PAGE>
- --------------------------------------------------------------------------------
Select Aggressive Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS * June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 95.47%
<C> <S> <C>
Technology - 17.79%
37,000 Adaptec, Inc.* $ 1,752,875
144,400 Atmel Corp.* 4,350,050
73,200 C-Cube Microsystems, Inc.* 2,415,600
76,400 CISCO Systems, Inc.* 4,326,150
63,300 Computer Associates International, Inc. 4,510,125
66,500 Gartner Group, Inc., Class A* 2,435,563
209,400 Global Village Communication, Inc.* 1,727,550
56,400 Henry (Jack) & Associates, Inc. 1,917,600
170,700 Iomega Corp.* 4,950,300
100,800 Komag, Inc.* 2,658,600
25,700 Madge Networks N.V.* 372,650
106,875 McAfee Associates, Inc.* 5,236,875
118,400 Neurogen Corp.* 3,048,800
148,900 Ortel Corp.* 3,648,050
59,000 PairGain Technologies, Inc.* 3,658,000
81,100 Parametric Technology Corp.* 3,517,713
92,000 Sun Microsystems, Inc.* 5,416,500
95,400 Veritas Software Corp.* 4,102,200
-------------
60,045,201
=============
Durable Goods - 16.94%
86,700 Aetrium, Inc.* 1,560,600
51,800 America Online, Inc.* 2,266,250
53,000 Ancor Communications, Inc.* 886,531
69,900 Aspect Telecommunications Corp.* 3,460,050
54,700 BMC Software, Inc.* 3,268,325
69,400 Cascade Communications Corp.* 4,719,200
53,600 Chrysler Corp. 3,323,200
89,800 CompUSA, Inc.* 3,064,425
86,600 Compuware Corp.* 3,420,700
35,000 Dionex Corp.* 1,128,750
160,000 GenRad, Inc.* 2,640,000
87,400 Helix Technology Corp. 3,386,750
72,300 In Focus Systems, Inc.* 1,753,275
88,600 JLG Industries, Inc. 6,578,550
11,000 SPX Corp. 269,500
147,000 Staples, Inc.* 2,866,500
67,200 U.S. Robotics Corp.* 5,745,600
130,400 Western Digital Corp.* 3,406,700
60,200 Zygo Corporation* 2,633,750
42,900 Zytec Corp.* 777,563
-------------
57,156,219
-------------
Financial - 10.32%
106,500 Aames Financial Corp. 3,820,688
43,900 ALLIED Group, Inc. 1,909,650
111,905 Bear Stearns Cos., Inc. 2,643,756
92,800 Green Tree Financial Corp. 2,900,000
109,000 HCC Insurance Holdings, Inc.* 2,452,500
118,000 Imperial Credit Industries, Inc. 3,569,500
76,800 Lehman Brothers Holdings, Inc. 1,900,800
96,500 MBNA Corp. 2,750,250
58,600 Money Store, Inc. 1,296,525
70,000 Morgan Stanley Group, Inc. 3,438,750
57,700 PennCorp Financial Group, Inc. 1,831,975
31,100 Primark Corp.* 1,014,647
85,400 Salomon, Inc. 3,757,600
46,800 TCF Financial Corp. 1,556,100
-------------
34,842,741
-------------
Energy - 9.40%
64,300 Chesapeake Energy Corp.* 5,778,963
117,000 Global Industries, Ltd.* 3,480,750
298,000 NorAm Energy Corp. 3,240,750
131,000 Parker & Parsley Petroleum Co. 3,635,250
212,300 Pride Petroleum Services, Inc.* 3,025,275
196,000 Reading & Bates Corp.* 4,336,500
75,200 Sonat Offshore Drilling, Inc. 3,797,600
60,100 Valero Energy Corp. 1,502,500
58,900 Williams Cos., Inc. 2,915,550
-------------
31,713,138
-------------
Health Products and Care - 7.57%
61,400 Access Health, Inc.* 2,901,150
69,400 HBO & Co. 4,701,850
100,200 Health Management Associates, Inc., Class A* 2,029,050
49,700 Medtronic, Inc. 2,783,200
18,800 Mentor Corp. 479,400
23,000 Omnicare, Inc. 609,500
390,600 Orthologic Corp.* 4,980,150
83,000 Oxford Health Plans, Inc.* 3,413,375
115,700 PHP Healthcare Corp.* 3,644,550
-------------
25,542,225
-------------
Consumer Products - 6.56%
105,500 Ascend Communications, Inc.* 5,934,375
5,800 King World Productions, Inc.* 210,975
94,600 Liz Claiborne, Inc. 3,275,525
44,700 Luxottica Group, ADR 3,279,865
30,300 Meredith Corp. 1,265,025
79,300 Regal Cinemas, Inc.* 3,627,975
131,000 Ross Stores, Inc. 4,552,250
-------------
22,145,990
-------------
Chemical and Drugs - 5.03%
117,450 Jones Medical Industries, Inc. 3,905,213
152,100 Liposome Co., Inc.* 2,851,875
152,400 Medeva Plc, ADR 2,362,200
39,000 Medic Computer Systems, Inc.* 3,163,875
6,500 Prime Medical Services, Inc.* 112,938
52,200 Quintiles Transnational Corp.* 3,432,150
30,500 Watson Pharmaceuticals, Inc.* 1,155,188
-------------
16,983,439
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-3
<PAGE>
- --------------------------------------------------------------------------------
Select Aggressive Growth Fund
=============================
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued * June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
Electronics - 4.18%
87,300 Electroglas, Inc.* $ 1,244,025
102,200 Electronics for Imaging, Inc.* 7,090,125
28,000 Kent Electronics Corp.* 875,000
37,400 Maxim Integrated Products, Inc.* 1,021,488
162,600 Ultratech Stepper, Inc.* 3,048,750
24,900 Wyle Electronics Laboratories, Inc. 824,813
--------------
14,104,201
--------------
Aerospace - Airlines - 4.01%
165,300 America West Airlines, Inc., Class B* 3,636,600
37,700 AMR Corp.* 3,430,700
74,000 Continental Airlines, Inc., Class B* 4,569,500
47,800 Northwest Airlines Corp., Class A* 1,888,100
--------------
13,524,900
--------------
Retail - 3.26%
115,200 Bed Bath & Beyond, Inc.* 3,081,600
165,000 Claire's Stores, Inc. 4,558,125
104,100 Gap, Inc. 3,344,213
--------------
10,983,938
--------------
Business Services - 2.77%
45,400 ABR Information Services, Inc.* 2,281,350
63,400 HFS, Inc.* 4,438,000
148,800 National Media Corp.* 2,622,600
--------------
9,341,950
--------------
Consumer Staples - 2.11%
32,800 Philip Morris Cos., Inc. 3,411,192
51,000 Tiffany & Co. 3,723,000
--------------
7,134,192
--------------
Building and Construction - 1.82%
63,100 Corrections Corp. of America* 4,417,000
24,650 Granite Construction, Inc. 566,950
33,900 NCI Building Systems, Inc.* 1,144,125
--------------
6,128,075
--------------
Hotels-Leisure - 1.71%
94,800 Grand Casinos, Inc.* 2,441,100
29,600 Hilton Hotels Corp. 3,330,000
--------------
5,771,100
--------------
Telephone - 1.38%
131,100 U.S. Long Distance Corp.* 4,654,050
--------------
Value
Shares (Note 2)
- -------------------------------------------------------------------------------
Consumer Service - 0.32%
39,200 Robert Half International, Inc.* $ 1,092,700
--------------
Metals and Mining - 0.30%
24,200 Mueller Industries, Inc.* 1,004,300
--------------
Total Common Stocks 322,168,359
--------------
(Cost $250,410,559)
Par Value
- ---------
COMMERCIAL PAPER (A) - 3.00%
$ 10,109,000 UBS
5.58%, 07/01/96 10,109,000
-------------
Total Commercial Paper 10,109,000
-------------
(Cost $10,109,000)
Shares
- ------
INVESTMENT COMPANIES - 0.01%
3,475 ILA Prime Obligation Money Market Fund 3,475
26,895 ILA Prime Obligation Portfolio Fund, Class B 26,895
-------------
Total Investment Companies 30,370
-------------
(Cost $30,370)
Total Investments - 98.48% 332,307,729
-------------
(Cost $260,549,929)
Net Other Assets and Liabilities - 1.52% 5,132,277
-------------
Net Assets - 100.00% $ 337,440,006
=============
</TABLE>
- ------------------------------------------------
* Non income producing securities.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
See Notes to Financial Statements.
----------------------------------------------------------
F-4
<PAGE>
- --------------------------------------------------------------------------------
Select Capital Appreciation Fund
================================
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 79.07%
<C> <S> <C>
Business Services - 18.43%
31,425 First Data Corp. $ 2,502,216
98,550 HFS, Inc.* 6,898,500
278,075 Paging Network Inc.* 6,673,800
48,325 Profit Recovery Group International* 978,581
18,700 York Group Inc. 322,575
-------------
17,375,672
-------------
Telecommunications - 15.69%
39,575 Arch Communications Group, Inc.* 737,084
60,300 Black Box Corp.* 1,432,125
65,975 CommNet Cellular, Inc.* 1,979,250
51,925 Millicom International Cellular SA* 2,472,928
94,100 Omnipoint Corp.* 2,452,481
91,856 PriCellular Corp., Class A* 1,113,754
144,300 360 Communications Co.* 3,463,200
53,625 Western Wireless, Corp., Class A* 1,146,234
-------------
14,797,056
-------------
Retail - 8.46%
25,850 AutoZone, Inc.* 898,287
50,275 Family Golf Centers, Inc.* 1,263,159
51,450 Fastenal Co. 2,238,075
55,650 Global DirectMail Corp.* 2,198,175
11,875 MSC Industrialdirect Co. - A* 382,968
7,275 O'Reilly Automotive, Inc.* 263,718
30,250 Sunglass Hut International, Inc.* 737,343
-------------
7,981,725
-------------
Financial - 6.92%
13,025 Associates First Capital Corp.* 490,065
99,050 Insignia Financial, Class A* 2,699,127
53,450 Medaphis Corp.* 2,124,637
34,600 Protective Life Corp. 1,215,325
-------------
6,529,154
-------------
Chemical and Drugs - 5.88%
38,875 ARV Assisted Living, Inc.* 602,562
29,425 Culligan Water Technologies, Inc.* 1,118,150
55,950 DepoTech Corp.* 1,412,737
20,925 Gulf South Medical Supply, Inc.* 816,075
88,550 Matrix Pharmaceutical, Inc.* 1,593,900
-------------
5,543,424
-------------
Transportation - 4.08%
118,375 Wisconsin Central Transportation Corp.* 3,847,187
-------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Consumer Staples - 4.05%
125,000 Petco Animal Supplies, Inc.* 3,593,750
7,300 Viking Office Products, Inc.* 229,037
-------------
3,822,787
-------------
Building and Construction - 4.05%
21,150 Barnett Inc.* 608,062
79,550 Dayton Superior Corp.* 1,044,093
10,675 Hughes Supply Inc. 370,956
19,800 Littelfuse Inc.* 742,500
5,025 Littelfuse Inc. Warrants* 146,353
26,975 Sealed Air Corp.* 907,034
-------------
3,818,998
-------------
Health Services - 3.32%
54,100 Exogen, Inc.* 459,850
8,700 HEALTHSOUTH Corp.* 313,200
11,450 Omnicare, Inc. 303,425
9,375 Oxford Health Plans, Inc.* 385,546
15,000 Respironics, Inc.* 277,500
72,100 TheraTech, Inc.* 1,387,925
-------------
3,127,446
-------------
Food Services - 2.73%
8,950 JP Foodservice, Inc.* 223,750
10,550 Lone Star Steakhouse & Saloon* 398,263
40,037 Papa John's International, Inc.* 1,951,803
-------------
2,573,816
-------------
Consumer Services - 2.65%
70,425 CUC International, Inc.* 2,500,087
-------------
Computers - 1.51%
28,550 American Business Information, Inc.* 521,037
14,350 Ciber, Inc.* 315,700
6,550 QuickResponse Services, Inc.* 188,312
11,550 Technology Solutions Co.* 399,918
-------------
1,424,967
-------------
Energy - 0.89%
44,475 Trigen Energy Corp. 839,465
-------------
Metals and Mining - 0.41%
11,325 Minerals Technologies, Inc. 387,881
-------------
Total Common Stocks 74,569,665
-------------
(Cost $65,476,636)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-5
<PAGE>
- --------------------------------------------------------------------------------
Select Capital Appreciation Fund
================================
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
FOREIGN COMMON STOCKS - 13.56%
United Kingdom - 9.78%
279,525 Pizzaexpress Plc $ 1,598,320
626,368 Rentokil Group Plc 3,980,598
233,200 Wetherspoon (J.D) Plc 3,641,581
-------------
9,220,499
-------------
Switzerland - 2.15%
4,891 Fotolabo 2,028,080
-------------
France - 1.63%
11,952 Grand Optical 1,539,246
-------------
Total Foreign Common Stocks 12,787,825
-------------
(Cost $11,414,500)
Par Value
- ---------
U.S. GOVERNMENT AGENCY OBLIGATION (A) - 4.23%
$4,000,000 Federal National Mortgage Association
5.27%, 07/29/96 3,983,604
-------------
Total U.S. Government
Agency Obligation 3,983,604
-------------
(Cost $3,983,604)
COMMERCIAL PAPER (A) - 4.24%
$4,000,000 Household Finance Corp.
5.50%, 07/01/96 $ 4,000,000
-------------
Total Commercial Paper 4,000,000
-------------
(Cost $4,000,000)
Total Investments - 101.10% 95,341,094
-------------
(Cost $84,874,740)
Net Other Assets and Liabilities - (1.10)% (1,033,900)
-------------
Net Assets - 100.00% $ 94,307,194
=============
</TABLE>
- --------------------------------------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value For U.S. $ (Depreciation)
- --------- ------------ ---------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C>
850,000 GBP 10/01/96 $ 1,319,263 $ 1,292,935 $ (26,328)
1,050,000 GBP 11/25/96 1,629,678 1,584,555 (45,123)
5,000 GBP 12/04/96 7,760 7,705 (55)
------------ ------------ ----------
$ 2,956,701 $ 2,885,195 $ (71,506)
============ ============ ==========
</TABLE>
____________________________________
GBP British Pound
See Notes to Financial Statements.
----------------------------------------------------------
F-6
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS * June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 89.59%
Technology - 13.62%
23,200 Automatic Data Processing, Inc. $ 896,100
23,200 Ceridian Corp.* 1,171,600
74,600 CISCO Systems, Inc.* 4,224,225
68,050 Computer Associates International, Inc. 4,848,563
37,000 Computer Sciences Corp.* 2,765,750
5,500 Informix Corp.* 123,742
98,750 Oracle Corp.* 3,894,453
44,800 U.S. Robotics Corp.* 3,830,400
48,000 3COM Corp.* 2,196,000
-------------
23,950,833
-------------
Chemical and Drugs - 12.44%
54,500 Amgen, Inc.* 2,943,000
22,600 Elan Corp. Plc, ADR* 1,291,025
9,000 Lauder (Estee) Cos., Inc., Class A 380,250
26,200 Lilly (Eli) & Co. 1,703,000
80,200 Medtronic, Inc. 4,491,200
47,700 Merck & Co., Inc. 3,082,613
48,000 Monsanto Co. 1,560,000
90,100 Pfizer, Inc. 6,430,888
-------------
21,881,976
-------------
Financial - 11.86%
27,500 American International Group, Inc. 2,712,188
10,700 Associates First Capital Corp.* 402,588
21,300 Federal Home Loan Mortgage Corp. 1,821,150
198,800 Federal National Mortgage Association 6,659,800
3,600 FINOVA Group, Inc. 175,500
41,900 First USA, Inc. 2,304,500
139,575 MBNA Corp. 3,977,888
45,300 Mercury Finance Co. 577,575
36,300 MGIC Investment Corp. 2,037,338
8,250 Synovus Financial Corp. 178,406
-------------
20,846,933
-------------
Business Services - 9.08%
29,300 AccuStaff, Inc.* 798,425
90,027 First Data Corp. 7,168,400
88,400 HFS, Inc.* 6,188,000
37,800 Paychex, Inc. 1,819,125
-------------
15,973,950
-------------
Electronics - 9.05%
50,500 Analog Devices, Inc.* $ 1,287,750
36,300 Electronic Data Systems Corp. 1,951,125
25,500 Hewlett-Packard Co. 2,540,438
67,300 Microsoft Corp.* 8,084,413
49,050 Thermo Electron Corp.* 2,041,706
--------------
15,905,432
--------------
Health Services - 7.20%
28,500 Boston Scientific Corp.* 1,282,500
25,100 Cardinal Health, Inc. 1,810,338
18,600 Columbia/HCA Healthcare Corp. 992,775
68,600 HEALTHSOUTH Corp.* 2,469,600
75,100 Oxford Health Plans, Inc.* 3,088,488
7,800 Shared Medical Systems Corp. 501,150
49,700 United Healthcare Corp. 2,509,850
--------------
12,654,701
--------------
Telecommunications - 5.36%
19,200 ADC Telecommunications, Inc.* 864,000
168,600 Ericsson L.M. Telephone Co. 3,624,900
79,000 Frontier Corp. 2,419,375
15,850 Glenayre Technologies, Inc.* 792,500
31,200 Worldcom, Inc.* 1,727,700
--------------
9,428,475
--------------
Consumer Products - 3.69%
22,000 Alco Standard Corp. 995,500
32,725 Andrew Corp.* 1,758,969
58,900 British Sky Broadcasting Group Plc, ADR 2,392,813
7,600 Gucci Group N.V.* 490,200
15,900 Home Depot, Inc. 858,600
--------------
6,496,082
--------------
Retail - 3.27%
72,700 AutoZone, Inc.* 2,526,325
42,500 Kohls Corp.* 1,556,563
31,200 Tommy Hilfiger Corp.* 1,673,100
--------------
5,755,988
--------------
Consumer Services - 2.93%
57,100 CUC International, Inc.* 2,027,050
29,700 Service Corp. International 1,707,750
34,900 Tyco International, Ltd. 1,422,175
--------------
5,156,975
--------------
Hotels/Leisure - 2.25%
28,600 Circus Circus Enterprises, Inc.* 1,172,600
51,500 Mirage Resorts, Inc.* 2,781,000
--------------
3,953,600
--------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-7
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
Amusement/Entertainment - 2.14%
47,297 Disney (Walt) Co. $ 2,973,799
20,100 Viacom, Inc., Class B* 781,388
--------------
3,755,187
--------------
Electrical, Gas and Sanitary - 2.10%
31,500 Enron Corp. 1,287,563
82,400 Republic Industries, Inc.* 2,399,900
--------------
3,687,463
-------------
Office Equipment and Supplies - 1.90%
56,700 Danka Business Systems Plc, ADR 1,658,475
86,000 Staples, Inc.* 1,677,000
--------------
3,335,475
--------------
Consumer Staples - 1.79%
50,500 Gillette Co. 3,149,939
--------------
Food and Beverage - 0.53%
20,100 McDonald's Corp. 939,675
--------------
Transportation - 0.38%
20,700 Fritz Cos., Inc.* 667,575
--------------
Total Common Stocks 157,540,259
--------------
(Cost $118,160,826)
Par Value
- ---------
COMMERCIAL PAPER (A) - 8.70%
$8,800,000 American Express Credit Corp.
5.26%, 07/03/96 8,800,000
6,500,000 Associates Corp. of North America
5.38%, 07/25/96 6,500,000
--------------
Total Commercial Paper 15,300,000
--------------
(Cost $15,300,000)
Shares
- ------
INVESTMENT COMPANY - 1.75%
3,086,685 ILA Prime Obligation Portfolio Fund, Class B 3,086,685
--------------
Total Investment Company 3,086,685
--------------
(Cost $3,086,685)
Total Investments - 100.04% 175,926,944
--------------
(Cost $136,547,511)
Net Other Assets and Liabilities - (0.04)% (75,530)
--------------
Net Assets - 100.00% $ 175,851,414
==============
</TABLE>
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
See Notes to Financial Statements.
----------------------------------------------------------
F-8
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 86.59%
<C> <S> <C>
Durable Goods - 15.53%
56,800 Bay Networks, Inc.* $ 1,462,600
21,100 Boeing Co. 1,838,338
144,600 Corning, Inc. 5,549,025
92,600 Crown Cork & Seal Co., Inc. 4,167,000
64,000 General Electric Co. 5,536,000
43,300 Lockheed Martin Corp. 3,637,200
100,000 McDermott International, Inc. 2,087,500
33,700 Northrop Grumman Corp. 2,295,813
95,200 Sundstrand Corp. 3,486,700
255,800 Westinghouse Electric Corp. 4,796,250
35,400 Xerox Corp. 1,893,900
--------------
36,750,326
--------------
Financial - 15.00%
85,500 Aetna Life & Casualty Co. 6,113,250
87,900 Ahmanson (H.F.) & Co. 2,373,300
43,500 American Express Co. 1,941,188
70,000 Chase Manhattan Corp. 4,943,750
38,700 Citicorp 3,197,588
157,600 FHP International Corp.* 4,314,300
55,900 Northern Trust Corp. 3,228,225
34,600 Paul Revere Corp. 951,500
34,200 RJR Nabisco Holdings Corp. 1,060,200
174,000 TIG Holdings, Inc. 5,046,000
37,500 Unum Corp. 2,334,375
--------------
35,503,676
--------------
Chemical and Drugs - 13.06%
62,700 Air Products & Chemicals, Inc. 3,620,925
54,600 Avon Products, Inc. 2,463,825
126,000 Baxter International, Inc. 5,953,500
80,400 Grace (W.R.) & Co. 5,698,350
9,800 Johnson & Johnson 485,100
40,500 Merck & Co., Inc. 2,617,313
92,000 Monsanto Co. 2,990,000
82,100 Pharmacia & Upjohn, Inc. 3,643,188
20,600 Premark International, Inc. 381,100
28,600 Warner-Lambert Co. 1,573,000
43,200 Witco Chemical Co., Inc. 1,485,000
--------------
30,911,301
--------------
Technology - 9.68%
146,800 AirTouch Communications, Inc.* 4,147,100
84,200 Electronic Data Systems Corp. 4,525,750
5,000 Farallon Communications, Inc.* 73,750
65,800 Honeywell, Inc. 3,586,100
29,000 International Business Machines Corp. 2,871,000
58,600 ITT Corp.* 3,882,250
80,900 ITT Industries, Inc. 2,032,613
37,000 Lucent Technologies, Inc. 1,401,375
30,000 Thermo Optek Corp.* 390,000
--------------
22,909,938
--------------
Consumer Products - 8.25%
80,200 Anheuser-Busch Cos., Inc. 6,015,000
41,600 Eastman Kodak Co. 3,234,400
41,200 Nabisco Holdings Corp., Class A 1,457,450
75,000 Reader's Digest Association, Inc., Class A 3,187,500
30,100 Seagram Co., Ltd. 1,012,113
61,000 Tupperware Corp.* 2,577,250
39,600 Varian Associates, Inc. 2,049,300
--------------
19,533,013
--------------
Energy - 5.87%
39,600 Amerada Hess Corp. 2,123,550
44,000 Chevron Corp. 2,596,000
53,300 ENSERCH Corp. 1,159,275
92,300 Oryx Energy Co.* 1,499,875
41,800 Tenneco, Inc. 2,137,025
137,500 USX-Marathon Group, Inc. 2,767,188
27,700 Western Atlas, Inc.* 1,613,525
--------------
13,896,438
--------------
Printing and Publishing - 4.95%
123,800 Time Warner, Inc. 4,859,150
43,400 Tribune Co. 3,151,925
203,400 U.S. West, Media Group* 3,712,050
--------------
11,723,125
--------------
Utilities - 3.70%
25,000 Bell Atlantic Corp. 1,593,750
61,500 NYNEX Corp. 2,921,250
129,400 WMX Technologies, Inc. 4,237,850
--------------
8,752,850
--------------
Automotive - 2.57%
63,100 Federal-Mogul Corp. 1,159,463
68,300 Ford Motor Co. 2,211,213
45,200 General Motors Corp., Class H 2,717,650
--------------
6,088,326
--------------
Retail - 2.55%
142,100 Wal-Mart Stores, Inc. 3,605,781
108,400 Woolworth Corp.* 2,439,000
--------------
6,044,781
--------------
Metals and Mining - 1.61%
37,800 Allegheny Ludlum Corp. 713,475
20,600 Molten Metal Technology, Inc.* 607,700
40,000 Phelps Dodge Corp. 2,495,000
--------------
3,816,175
--------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-9
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued * June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<C> <S> <C>
Hotels - 1.45%
261,400 Host Marriott Corp.* $ 3,430,875
-------------
Consumer Staples - 1.44%
60,200 Litton Industries, Inc.* 2,618,700
7,600 Philip Morris Cos., Inc. 790,400
-------------
3,409,100
-------------
Entertainment - 0.93%
34,800 Disney (Walt) Co. 2,188,050
-------------
Total Common Stocks 204,957,974
(Cost $178,041,276) -------------
Par Value
- ----------
CORPORATE NOTES AND BONDS - 4.87%
$3,950,000 Conner Peripherals, Inc.
6.50%, 03/01/02 4,078,375
1,000,000 Ford Motor Credit Co., MTN
7.75%, 04/29/97 1,012,720
3,500,000 IMC Global, Inc.
6.25%, 12/01/01 4,287,500
2,200,000 Molten Metal Technology, Inc.
5.50%, 05/01/06 (A) 2,156,000
-------------
Total Corporate Notes and Bonds 11,534,595
(Cost $11,640,944) -------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 3.76%
U.S. Treasury Notes - 2.55%
2,000,000 6.50%, 05/15/97 2,012,820
4,000,000 6.50%, 08/15/97 4,026,240
-------------
6,039,060
-------------
Federal Farm Credit Bank - 1.21%
3,000,000 5.58%, 05/09/97 2,854,920
-------------
Total U.S. Government
and Agency Obligations 8,893,980
(Cost $8,890,076) -------------
Shares
- ------
PREFERRED STOCK - 1.02%
55,700 Globalstar Telecommunications, Ltd. 2,422,950
-------------
Total Preferred Stock 2,422,950
(Cost $2,766,613) -------------
Par Value
- ---------
COMMERCIAL PAPER (B) - 4.57%
$2,000,000 Banca CRT Financial Corp.
5.35%, 08/30/96 $ 1,982,167
1,500,000 Banca CRT Financial Corp.
5.32%, 08/15/96 1,490,025
1,350,000 Bankers Trust New York Corp.
5.20%, 07/09/96 1,348,440
5,000,000 Northern States Power
5.37%, 07/10/96 4,993,288
1,000,000 Union Pacific Resources Group, Inc.
5.35% 07/12/96 998,365
-------------
Total Commercial Paper 10,812,285
(Cost $10,812,285) -------------
Shares
- ------
INVESTMENT COMPANY - 0.68%
1,612,469 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 1,612,469
-------------
Total Investment Company 1,612,469
(Cost $1,612,469) -------------
Total Investments - 101.49% 240,234,253
(Cost $213,763,663) -------------
Net Other Assets and Liabilities - (1.49)% (3,529,095)
-------------
Net Assets - 100.00% $ 236,705,158
=============
</TABLE>
- ------------------------------------------
* Non income producing security.
MTN Medium Term Note.
ADR American Depositary Receipt
(A) Security exempt from registration under Rule 144A of the Securities
Act of 1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1996,
this security amounted to $2,156,000 or 0.91% of net assets.
(B) Effective yield at time of purchase.
See Notes to Financial Statements.
---------------------------------------------------------
F-10
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------
CORPORATE NOTES AND BONDS - 47.03%
<C> <S> <C>
Financial - 17.74%
$ 600,000 Advanta Corp., MTN
7.00%, 05/01/01 $ 594,264
550,000 Banponce Corp.
6.75%, 12/15/05 516,461
550,000 BHP Finance USA, Ltd.
6.42%, 03/01/26 531,724
625,000 Chase Comm Part Certified
7.60%, 06/30/28 632,144
500,000 Duke Realty, Ltd.
7.25%, 09/22/02 489,290
400,000 ERP Operating, Ltd.
Senior Note
8.50%, 05/15/99 (A) 413,260
200,000 ERP Operating, LP
7.95%, 04/15/02 202,592
125,000 Finova Financial Corp.
8.50%, 02/15/99 130,308
450,000 Finova Capital Corp.
6.45%, 06/01/00 442,971
625,000 Fletcher Challenge Capital
7.75%, 06/20/06 634,488
275,000 Ford Motor Credit Co.
6.85%, 08/15/00 273,683
500,000 Ford Motor Credit Co.
5.75%, 01/25/01 477,270
600,000 General Electric Capital Corp.
6.66%, 05/01/18 597,528
1,225,000 General Motors Acceptance Corp.
6.70%, 04/30/01 1,213,142
300,000 Green Tree Financial Corp.
10.25%, 06/01/02 343,365
297,395 GS Mortgage Securities Corp. II
7.02%, 02/15/27 295,349
450,000 Hanson America, Inc.
2.39%, 03/01/01 (A) 382,500
125,000 Hanson America, Inc.
2.39%, 03/01/01 (A) 106,250
625,000 Household Finance Corp., MTN
7.15%, 06/15/00 632,356
500,000 Integra Financial Corp.
Subordinate Note
6.50%, 04/15/00 491,275
575,000 Mortgage Cap Funding 96 MC1 ERISA
7.90%, 07/15/28 575,000
625,000 Sears Roebuck Acceptance Corp., MTN
6.69%, 04/30/01 619,244
600,000 Security Connecticut Corp.
7.13%, 03/01/03 576,738
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 457,434
-------------
11,628,636
-------------
Security Brokers and Dealers - 5.82%
190,000 Bear Stearns Cos., Inc.
Senior Note
6.75%, 08/15/00 189,118
150,000 Goldman Sachs Group, LP
6.88%, 09/15/99 (A) 150,297
575,000 Goldman Sachs Group, LP
6.38%, 06/15/00(A) 560,269
400,000 Goldman Sachs Group, LP
6.20%, 12/15/00 386,552
575,000 Merrill Lynch & Co., Inc.
6.00%, 01/15/01 554,634
400,000 Morgan Stanley Group, Inc.
8.10%, 06/24/02 417,980
125,000 Salomon, Inc., MTN
6.04%, 07/09/98 122,925
50,000 Salomon, Inc., MTN
5.37%, 04/05/99* 49,300
200,000 Salomon, Inc.
7.00%, 05/15/99 200,102
175,000 Salomon, Inc., MTN
6.82%, 07/26/99 173,366
100,000 Salomon, Inc.
7.13%, 08/01/99 100,123
550,000 Salomon, Inc.
7.25%, 05/01/01 548,636
350,000 Smith Barney Holdings, Inc.
7.88%, 10/01/99 361,081
-------------
3,814,383
-------------
Banking - 5.75%
275,000 Capital One Bank, MTN
8.13%, 03/01/00 284,193
325,000 Capital One Bank, MTN
5.95%, 02/15/01 309,085
550,000 Chase Manhattan Corp.
9.38%, 07/01/01 603,174
1,050,000 First Union Corp.
Subordinated Notes
6.55%, 10/15/35 1,000,272
450,000 First USA Bank
5.75%, 01/15/99 438,800
400,000 St. George Bank, Ltd.
6.88%, 04/01/99(A) 397,352
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
<C> <S> <C>
Banking (continued)
$ 425,000 St. George Bank, Ltd.
Subordinated Notes
7.15%, 10/15/05 (A) $ 411,043
300,000 Summit Bancorp
8.63%, 02/10/02 321,831
-------------
3,765,750
-------------
Real Estate - 4.44%
500,000 Avalon Properties, Inc.
Senior Note, REIT
7.38%, 09/15/02 492,355
400,000 Franchise Finance Corp. of America
7.00%, 11/30/00 388,624
500,000 Shopping Center Associates
6.75%, 01/15/04 (A) 471,300
500,000 SKW Real Estate, LP
7.45%, 04/15/03 (A) 500,310
450,000 Spieker Properties, LP
6.65%, 12/15/00 437,251
625,000 Trinet Corp. Realty Trust, Inc.
7.30%, 05/15/01 624,938
-------------
2,914,778
-------------
Insurance - 3.27%
575,000 Equitable Life Assurance Society
Surplus Note
7.70%, 12/01/15 (A) 555,968
800,000 Markel Corp.
7.25%, 11/01/03 778,480
400,000 New England Mutual Life Insurance Co.
7.88%, 02/15/24 385,388
400,000 USF & G Corp.
Senior Note
8.38%, 06/15/01 420,508
-------------
2,140,344
-------------
Manufacturing - 2.81%
900,000 Georgia-Pacific Corp.
9.95%, 06/15/02 1,019,808
425,000 Noranda Forest, Inc., Debenture
8.88%, 10/15/99 445,579
400,000 Scherer (R P) Corp.
Senior Note
6.75%, 02/01/04 375,884
-------------
1,841,271
-------------
Print and Publishing - 2.50%
275,000 News America Holdings, Inc.
9.50%, 07/15/24 302,979
200,000 News America Holdings, Inc.
7.70%, 10/30/25 184,038
575,000 Time Warner, Inc.
9.13%, 01/15/13 600,519
575,000 Time Warner, Inc.
6.85%, 01/15/26 550,775
-------------
1,638,311
-------------
Equipment - 1.75%
1,200,000 Comdisco, Inc.
5.75%, 02/15/01 1,145,688
-------------
Industrial - 1.35%
950,000 Cominco, Ltd..
6.88%, 02/15/06 882,246
-------------
Oil, Gas, and Petroleum - 0.60%
300,000 System Energy Resources, Inc.
6.00%, 04/01/98 296,052
100,000 System Energy Resources, Inc.
7.63%, 04/01/99 100,670
-------------
396,722
-------------
Processed Foods - 0.55%
350,000 Ralcorp Holdings, Inc.
8.75%, 09/15/04 359,832
-------------
Automotive - 0.45%
315,000 Hertz Corp.
6.00%, 01/15/03 296,947
-------------
Total Corporate Notes and Bonds 30,824,908
(Cost $30,723,428) -------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 46.96%
Federal National Mortgage Association (B) - 14.54%
480,520 7.00%, 12/01/99 479,016
600,000 6.18%, 03/15/01 589,140
2,396 6.50%, 04/01/11 2,317
276,291 7.00%, 07/01/23 266,792
297,084 7.00%, 12/01/23 286,315
269,649 7.00%, 01/01/24 259,874
46,209 7.00%, 05/01/24 44,534
399,012 7.00%, 06/01/24 384,548
896,147 7.00%, 06/01/24 863,661
364,616 7.00%, 07/01/25 350,713
358,648 7.00%, 07/01/25 344,972
196,342 7.00%, 07/01/25 188,855
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-12
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
Federal National Mortgage Association (continued)
<C> <S> <C>
$ 222,491 7.00%, 08/01/25 $ 214,008
929,969 7.00%, 08/01/25 894,509
158,704 7.00%, 08/01/25 152,652
784,868 7.00%, 08/01/25 754,941
438,740 7.00%, 08/01/25 422,011
467,071 7.00%, 08/01/25 449,262
392,999 7.00%, 09/01/25 378,014
307,193 7.00%, 09/01/25 295,480
378,386 6.50%, 01/01/26 353,908
252,278 6.50%, 03/01/26 235,958
630,301 6.50%, 04/01/26 589,332
781,756 6.50%, 05/01/26 731,184
-------------
9,531,996
-------------
Government National
Mortgage Association (B) - 12.67%
151,238 9.00%, 05/15/16 159,981
222,525 9.00%, 07/15/16 235,389
544,365 9.00%, 10/15/16 575,835
226,953 9.00%, 08/15/17 239,883
437,583 9.00%, 12/15/17 465,068
49,322 9.00%, 07/15/18 52,091
16,249 9.00%, 11/15/19 17,128
60,089 7.50%, 03/15/23 59,489
300,906 7.50%, 03/15/23 297,897
218,899 7.50%, 06/15/23 216,710
163,021 7.50%, 07/15/23 161,391
892,799 7.00%, 07/15/23 860,435
666,767 7.50%, 09/15/23 660,100
377,037 7.00%, 11/15/23 363,370
213,587 7.50%, 11/15/23 211,184
156,173 7.50%, 11/15/23 154,416
205,258 7.50%, 01/15/24 202,949
407,856 7.00%, 02/15/24 392,688
390,020 7.00%, 07/15/24 375,882
154,052 9.00%, 08/15/24 161,225
1,015,609 9.00%, 08/15/24 1,062,896
257,323 9.00%, 11/15/24 272,520
205,297 9.00%, 01/15/25 214,856
300,442 7.00%, 07/15/25 289,268
575,000 9.00%, 08/15/26 601,772
-------------
8,304,423
-------------
U.S. Treasury Notes - 9.54%
$1,000,000 6.75%, 05/31/97 (B) 1,008,440
850,000 5.63%, 01/31/98 844,824
100,000 6.88%, 03/31/00 101,453
1,225,000 6.25%, 04/30/01 1,213,133
200,000 6.38%, 08/15/02 198,406
425,000 6.25%, 02/15/03 417,495
1,925,000 5.88%, 02/15/04 1,839,877
600,000 7.50%, 02/15/05 631,218
-------------
6,254,846
-------------
U.S. Treasury Bonds - 5.28%
790,000 7.25%, 05/15/16 (B) 808,518
750,000 8.13%, 08/15/19 (B) 841,864
1,650,000 7.88%, 02/15/21 1,810,100
-------------
3,460,482
-------------
U.S. Treasury Bond, Principal Strip - 3.06%
1,750,000 5.15%, 05/15/05** 962,745
1,300,000 4.30%, 08/15/08** 565,513
825,000 3.44%, 05/15/18** 174,314
1,525,000 3.35%, 02/15/19** 305,473
-------------
2,008,045
-------------
Federal Home Loan Mortgages - 1.34%
3,269 6.50%, 03/01/11 3,162
377,308 6.50%, 03/01/26 353,372
553,998 6.50%, 04/01/26 518,853
-------------
875,387
-------------
U.S. Agency Bond - 0.53%
343,874 Federal Deposit Insurance Corp.
Series 1994-C1, REMIC
7.85%, 09/25/25 347,041
-------------
Total U.S. Government
and Agency Obligations 30,782,220
(Cost $30,985,516) =============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-13
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES - 4.98%
<C> <S> <C>
$ 507,345 Advanta Mortgage Loan Trust,
Series 93-4
5.50%, 03/25/10 $ 465,753
775,000 Citibank Credit Card Master
Trust I, Class A
5.86%, 02/07/03 567,928
190,109 Fund America Investors Corp.
II, Class A
5.40%, 09/25/09 180,128
327,146 Green Tree Securitized Net
Interest Margin Series 1994-A
6.90%, 02/15/04 324,016
625,000 The Money Store Home Equity, 1996-B
7.18%, 02/15/15 627,731
199,635 Resolution Trust Corp.
8.00%, 06/25/26(B) 197,202
120,116 Resolution Trust Corp.
8.00%, 04/25/25(B) 119,065
275,000 Resolution Trust Corp.
6.90%, 06/01/25 (B) 256,438
310,816 Resolution Trust Corp.
7.45%, 09/15/25 (B) 301,734
223,331 UCFC Home Equity Loan Trust,
Series 1994-B2
7.10%, 06/10/23 223,889
-------------
Total Asset-Backed Securities 3,263,884
(Cost $3,608,533) -------------
Shares
- ------
INVESTMENT COMPANY - 1.75%
1,146,244 ILA Prime Obligation
Portfolio Fund 1,146,244
-------------
Total Investment Company 1,146,244
(Cost $1,146,244) -------------
Total Investments - 100.72% 66,017,256
(Cost $66,463,721) -------------
Net Other Assets and Liabilities - (0.72)% (472,329)
-------------
Net Assets - 100.00% $ 65,544,927
=============
</TABLE>
- -------------------------------------------
* Interest is reset at various time intervals. The rate shown is that in
effect at June 30, 1996.
** Stripped securities represent the splitting of cash flows into interest
and principal. Holders, as indicated, are entitled to that portion of
payment representing interest only or principal only.
(A) Securities exempt from registration under rule 144A of the Securities
Act of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1996, these
securities amounted to $3,948,549 or 6.02% of net assets.
(B) Pass Through Certificates
MTN Medium Term Note
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
---------------------------------------------------------
F-14
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------
CORPORATE NOTES AND BONDS - 30.52%
<C> <S> <C>
Financial - 13.26%
$1,000,000 Associates Corp. of North America
Senior Note
6.88%, 01/15/97 $ 1,005,800
3,975,000 BankAmerica Corp.
Senior Note
7.50%, 03/15/97 4,016,047
1,850,000 Bankers Trust New York Corp.
7.21%, 11/01/96 1,859,267
950,000 Corestates Capital Corp., MTN
Senior Note
5.50%, 10/16/96* 949,232
500,000 First Chicago NBD Corp., MTN
6.50%, 05/27/97 502,548
2,750,000 First National Bank of Ohio, MTN
5.98%, 08/01/96 2,750,036
650,000 First Union Corp.
Subordinated Notes, Registered
8.13%, 12/15/96 657,001
2,500,000 Fleet Mortgage Group, Inc., MTN
5.55%, 11/20/96* 2,499,417
2,000,000 IBM Credit Corp., MTN
4.93%, 07/29/96 1,998,551
500,000 International Lease Finance Corp.
6.38%, 11/01/96 500,494
200,000 International Lease Finance Corp., MTN
7.60%, 11/29/96 201,501
1,000,000 M & I Madison Bank, MTN
5.61%, 09/09/96* 1,000,115
3,300,000 NationsBank Corp.
Senior Note
4.75%, 08/15/96 3,297,324
2,500,000 PNC Bank, MTN
5.60%, 03/24/97* 2,498,418
-------------
23,735,751
-------------
Security Brokers, Dealers and Exchanges - 10.06%
2,000,000 Bear Stearns Cos., Inc., MTN
5.81%, 08/12/96* 2,000,331
3,000,000 Bear Stearns Cos., Inc., MTN
5.55%, 10/07/96* 3,000,000
750,000 Dean Witter Discover & Co., MTN
6.92%, 09/30/96 752,033
3,500,000 Merrill Lynch & Co., Inc.
5.00%, 12/15/96 3,489,557
2,975,000 Morgan Stanley Group, Inc.
8.00%, 10/15/96 2,993,822
1,000,000 Morgan Stanley Group, Inc., MTN
7.98%, 11/04/96 1,007,166
2,725,000 Paine Webber Group, Inc., MTN
6.83%, 09/03/96 2,729,190
2,000,000 Paine Webber Group, Inc., MTN
Senior Note
8.63%, 03/03/97 2,040,352
-------------
18,012,451
-------------
Automotive - 4.36%
3,000,000 American Honda Finance Corp., MTN
5.61%, 08/01/96*(B) 3,000,000
875,000 Ford Motor Credit Co.
8.00%, 10/01/96 879,221
500,000 General Motors Acceptance Corp., MTN
8.85%, 07/18/96 500,652
905,000 General Motors Acceptance Corp., MTN
7.70%, 01/24/97 915,303
2,500,000 General Motors Acceptance Corp., MTN
5.46%, 06/04/97* 2,496,450
-------------
7,791,626
-------------
Retail - 2.13%
2,500,000 Sears Roebuck & Co., MTN
Series V
8.54%, 08/14/96 2,508,442
1,300,000 Sears Roebuck & Co., MTN
5.22%, 02/24/97 1,292,604
-------------
3,801,046
-------------
Miscellaneous - 0.28%
500,000 Temple-Inland, Inc.
8.38%, 10/01/96 503,136
-------------
Food and Beverage - 0.25%
450,000 PepsiCo, Inc.
7.88%, 08/15/96 451,112
-------------
Basic Materials - 0.18%
325,000 duPont (E.I.) deNemours & Co., MTN
8.45%, 07/23/96 325,512
-------------
Total Corporate Notes and Bonds 54,620,634
(Cost $54,620,634) -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 5.03%
Federal Home Loan Bank - 2.84%
2,295,000 5.46%, 02/03/97 2,219,468
2,000,000 5.48%, 03/13/97 1,922,367
1,000,000 5.52%, 05/05/97 952,773
-------------
5,094,608
-------------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-15
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
Federal Farm Credit Bank - 1.86%
$3,500,000 5.58%, 05/09/97 $ 3,330,740
------------
Federal National Mortgage Association - 0.33%
585,000 4.97%, 07/09/96 584,354
------------
Total U.S. Government
Agency Obligations 9,009,702
(Cost $9,009,702) ------------
MUNICIPAL BONDS - 2.99%
2,500,000 De Kalb County, Georgia
Development Authority Revenue
Emory University
5.57%, 08/06/96 2,500,000
2,850,000 De Kalb County, Georgia
Development Authority Revenue
Emory University
5.60%, 07/09/96 2,850,000
------------
Total Municipal Bonds 5,350,000
(Cost $5,350,000) ------------
COMMERCIAL PAPER (A) - 47.05%
Financial - 21.64%
200,000 American Express Credit Corp
4.78%, 10/29/96 196,813
600,000 American Honda Finance Corp.
5.50%, 07/08/96 599,358
6,000,000 Banc One Credit Card Master Trust
5.37%, 07/12/96 5,990,155
2,000,000 Banca CRT Financial Corp.
5.35%, 08/30/96 1,982,167
650,000 Bank of Boston
5.08%, 08/28/96 644,680
2,000,000 Bankers Trust Ltd., Australia
5.12%, 07/22/96 1,994,027
2,000,000 Bankers Trust New York Corp.
5.20%, 07/09/96 1,997,689
2,500,000 Corporate Receivables Corp.
5.42%, 01/13/97 2,426,228
1,500,000 Countrywide Funding Corp.
5.33%, 07/23/96 1,495,114
2,500,000 CS First Boston, Inc.
5.41%, 08/29/96 2,477,834
1,000,000 Dresdner U.S. Finance, Inc.
5.00%, 09/18/96 989,028
2,534,089 European Investment Bank
5.33%, 09/12/96 2,506,700
2,000,000 Franklin Resources, Inc.
5.33%, 07/17/96 1,995,262
2,500,000 Grupo Financiero Bancomer S.A.
5.42%, 07/11/96 2,496,236
3,000,000 Hanson Finance Plc
5.37%, 08/12/96 2,981,205
3,500,000 Heller Financial, Inc.
5.18%, 07/08/96 3,496,475
2,000,000 Preferred Receivables Funding Corp.
5.28%, 09/05/96 1,980,640
2,500,000 Vattenfall Treasury, Inc.
5.30%, 08/21/96 2,481,229
------------
38,730,840
------------
Utilities - 8.40%
2,050,000 Central Louisiana Electric Co., Inc.,
5.32%, 07/16/96 2,045,456
5,000,000 NYNEX Corp.
5.34%, 07/03/96 4,998,517
4,000,000 GTE Corp.
5.39%, 07/11/96 3,994,011
4,000,000 Union Pacific Resources Group, Inc.
5.35%, 07/12/96 3,993,461
------------
15,031,445
------------
Automotive - 4.82%
1,772,000 Daimler Benz N.A. Corp.
5.32%, 09/27/96 1,748,956
2,500,000 General Motors Acceptance Corp.
5.72%, 02/14/97 2,409,433
2,500,000 Mitsubishi Motors Credit of America,
Series D
5.50%, 09/20/96 2,469,399
2,000,000 Mitsubishi Motors Credit of America,
Series L
5.42%, 07/08/96 1,997,892
------------
8,625,680
------------
Industrial - 3.34%
6,000,000 CSC Enterprises
5.33%, 07/22/96 5,981,345
------------
Transportation - 2.73%
2,900,000 Cooperative Association of Tractor
Dealers
5.38%, 07/10/96 2,896,103
2,000,000 Cooperative Association of Tractor
Dealers
5.34%, 07/31/96 1,991,100
------------
4,887,203
------------
Other Governments - 2.00%
600,000 Province of British Columbia
5.12%, 08/13/96 596,331
3,000,000 Western Australian Treasury Corp.
5.09%, 07/29/96 2,988,123
------------
3,584,454
------------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------
F-16
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
Security Brokers - 1.95%
$2,500,000 Paine Webber Group, Inc.
5.25%, 07/31/96 $ 2,489,063
1,000,000 Holland Limited Securitization, Inc.,
5.35%, 07/29/96 995,839
-------------
3,484,902
-------------
Retail - 1.34%
2,410,000 Southland Corp.
4.94%, 08/20/96 2,393,465
-------------
Consumer Goods - 0.83%
1,500,000 Den Danske Corp.
5.33%, 07/31/96 1,493,338
-------------
Total Commercial Paper 84,212,672
(Cost $84,212,672) -------------
BANKERS' ACCEPTANCE - 3.63%
4,000,000 Bank of Boston
5.31%, 07/15/96 3,991,740
250,000 Bank of Boston
5.37%, 10/15/96 246,047
1,000,000 Bank of Boston
5.33%, 10/21/96 983,418
227,665 Bank of Boston
5.37%, 10/23/96 223,793
1,059,941 European Investment Bank
5.37%, 10/01/96 1,045,395
-------------
Total Bankers' Acceptance 6,490,393
(Cost $6,490,393) -------------
CERTIFICATES OF DEPOSIT - 2.79%
5,000,000 First Tennessee Bank N.A., Memphis
5.35%, 07/09/96 5,000,000
-------------
Total Certificates of Deposit 5,000,000
(Cost $5,000,000) -------------
Shares
- ------
INVESTMENT COMPANY - 0.25%
450,945 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 450,945
-------------
Total Investment Company 450,945
(Cost $450,945) -------------
REPURCHASE AGREEMENTS - 6.59%
$7,000,000 Citicorp Repurchase Agreement
5.70%, 07/01/96, Dated 06/28/96
Repurchase Price $7,003,325
(Collateralized by GTE Southern
6.00%, Due 2008;
Total Par Value $4,045,000;
Market Value $3,616,687
and by First Chicago 6.375%, Due 2009;
Total Par Value $3,895,000;
Market Value $3,536,644) $ 7,000,000
4,800,000 HSBC Repurchase Agreement
5.50%, 07/02/96, Dated 06/27/96
(Collateralized By MBNA MCCT 5.75%;
Due 2004;
Total Par Value $4,985,000;
Market Value $4,990,985) 4,800,000
-------------
Total Repurchase Agreements 11,800,000
(Cost $11,800,000) -------------
Total Investments - 98.85% 176,934,346
(Cost $176,934,346) -------------
Net Other Assets and Liabilities - 1.15% 2,049,155
-------------
Net Assets - 100.00% $ 178,983,501
=============
</TABLE>
- -----------------------------------------
* Interest is reset at various time intervals. The rate shown is that in
effect at June 30, 1996.
(A) Effective yield at time of purchase.
(B) Securities exempt from registration under rule 144A of the Securities Act
of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. As of June 30, 1996, these
securities amounted to $3,000,000 or 1.68% of net assets.
MTN Medium Term Notes.
See Notes to Financial Statements.
- --------------------------------------------------------
F-17
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Select Select
International Aggressive Capital
Equity Fund Growth Fund Appreciation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost.................... $ 162,067,026 $ 260,549,929 $ 84,874,740
Repurchase Agreements.................. -- -- --
Net unrealized
appreciation
(depreciation)...................... 15,096,652 71,757,800 10,466,354
-------------- ------------- ---------------
Total investments
at value............................ 177,163,678 332,307,729 95,341,094
Cash...................................... -- 83,281 3,156
Foreign currency
(Cost $18,930,213 and
$440,937, respectively)................ 18,991,932 -- 444,816
Receivable for investments
sold................................... -- 7,635,279 1,485,731
Receivable for shares sold................ 191,290 88,728 128,651
Receivable from investment
adviser (Note 4)....................... -- -- 3,346
Interest and dividend
receivables............................ 537,770 109,786 37,668
Deferred organizational
expense (Note 2)....................... -- -- 4,901
Dividend tax reclaim
receivables............................ 133,215 -- --
-------------- ------------- ---------------
Total Assets........................... 197,017,885 340,224,803 97,449,363
-------------- ------------- ---------------
LIABILITIES:
Payable for investments
purchased.............................. 7,147,777 2,369,045 2,437,533
Payable for foreign
currency purchased..................... 16,242,711 -- 520,726
Payable for shares
repurchased............................ 2,922 46,552 --
Payable to custodian...................... 101,711 -- --
Advisory fee payable (Note
3)..................................... 137,749 281,156 84,420
Accrued expenses and other
payables............................... 86,337 88,044 27,984
Net unrealized gain (loss)
on forward foreign
currency contracts
(Notes 2 and 11)....................... 345,797 -- 71,506
-------------- ------------- ---------------
Total Liabilities......................... 24,065,004 2,784,797 3,142,169
-------------- ------------- ---------------
NET ASSETS................................... $ 172,952,881 $ 337,440,006 $ 94,307,194
============== ============= ===============
NET ASSETS consist of
Paid-in capital (Note 6).................. $ 154,282,498 $ 244,153,702 $ 82,376,644
Undistributed
(distribution in
excess of)
net investment
income (loss).......................... 1,149,194 (681,460) (143,614)
Accumulated (distribution
in excess of) net
realized gain (loss)
on investments sold
and foreign currency
transactions........................... 2,726,267 22,209,964 1,678,872
Net unrealized appreciation
(depreciation) of
investments, and assets
and liabilities in
foreign currency....................... 14,794,922 71,757,800 10,395,292
-------------- ------------- ---------------
TOTAL NET ASSETS............................. $ 172,952,881 $ 337,440,006 $ 94,307,194
============== ============= ===============
Shares of beneficial interest
outstanding (unlimited
authorization, no par
value).................................... 141,196,537 161,402,817 60,761,468
NET ASSET VALUE,
Offering and redemption
price per share
(Net Assets/Shares
Outstanding).............................. $ 1.225 $ 2.091 $ 1.552
============== ============= ===============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-18
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Select Select Growth Select Money
Growth and Income Income Market
Fund Fund Fund Fund
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 136,547,511 $ 213,763,663 $ 66,463,721 $ 165,134,346
-- -- -- 11,800,000
39,379,433 26,470,590 (446,465) --
-------------- --------------- ------------- -------------
175,926,944 240,234,253 66,017,256 176,934,346
7,454 250 1,233 113,049
-- -- -- --
-- -- 1,843,435 --
465 341,957 4,688 1,148,849
-- -- 2,547 --
107,969 522,710 829,223 883,137
-- -- -- --
-- -- -- --
-------------- --------------- ------------- -------------
176,042,832 241,099,170 68,698,382 179,079,381
-------------- --------------- ------------- -------------
-- 4,188,192 3,055,849 --
-- -- -- --
13,249 -- 22,817 534
-- -- -- --
121,900 143,916 31,390 40,791
56,269 61,904 43,399 54,555
-- -- -- --
-------------- --------------- ------------- -------------
191,418 4,394,012 3,153,455 95,880
-------------- --------------- ------------- -------------
$ 175,851,414 $ 236,705,158 $ 65,544,927 $ 178,983,501
============== =============== ============= =============
$ 132,298,388 $ 195,594,862 $ 67,533,924 $ 179,006,081
119,515 (28,397) 31,430 --
4,054,078 14,668,103 (1,573,962) (22,580)
39,379,433 26,470,590 (446,465) --
-------------- --------------- ------------- -------------
$ 175,851,414 $ 236,705,158 $ 65,544,927 $ 178,983,501
============== =============== ============= =============
114,395,694 174,263,233 67,100,218 179,006,081
$ 1.537 $ 1.358 $ 0.977 $ 1.000
============== =============== ============= =============
</TABLE>
- ---------------------------------------------
F-19
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS . For the Six Months Ended June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Select Select
International Aggressive Capital
Equity Fund Growth Fund Appreciation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENTINCOME
Interest (Note 2)................................ $ 33,533 $ 192,815 $ 148,904
Dividends (Note 2)............................... 2,411,733 698,491 71,252
Less net foreign taxes withheld.................. (468,600) -- (3,067)
------------- ------------ --------------
Total investment income......................... 1,976,666 891,306 217,089
------------- ------------ --------------
EXPENSES
Investment advisory fees (Notes 3 and 4)......... 690,551 1,487,187 324,808
Custodian fees (Note 3).......................... 93,841 9,050 13,847
Fund accounting fees (Note 3).................... 24,361 24,610 11,550
Legal fees....................................... 2,570 1,148 965
Audit fees....................................... 3,256 3,845 3,230
Trustees' fees and expenses (Note 3)............. 728 2,826 753
Reports to shareholders.......................... 3,036 40,303 1,353
Amortization of organization costs (Note 2)...... -- -- 639
Insurance........................................ 149 703 206
Miscellaneous.................................... 965 3,094 48
------------- ------------ --------------
Total expenses before reductions................. 819,457 1,572,766 357,399
Less reductions (Note 5)......................... (34,162) -- --
------------- ------------ --------------
Total expenses net of reductions................. 785,295 1,572,766 357,399
------------- ------------ --------------
NET INVESTMENT INCOME (LOSS)........................ 1,191,371 (681,460) (140,310)
------------- ------------ --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold...... 711,011 22,218,221 1,724,871
Net realized gain (loss) on foreign currency
transactions..................................... 2,216,662 -- (15,408)
Net change in unrealized appreciation
(depreciation) of assets and liabilities
in foreign currency.............................. (447,019) -- (54,299)
Net change in unrealized appreciation
(depreciation) of investments.................... 5,917,880 18,208,915 5,802,689
------------- ------------ --------------
NET GAIN (LOSS)ON INVESTMENTS....................... 8,398,534 40,427,136 7,457,853
------------- ------------ --------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS.................. $ 9,589,905 $ 39,745,676 $ 7,317,543
============= ============ ==============
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-20
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Select Select Growth Select Money
Growth and Income Income Market
Fund Fund Fund Fund
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 261,444 $ 463,153 $ 2,141,486 $ 4,500,830
528,631 1,855,914 34,000 64,945
-- -- -- --
------------- ------------- ------------- -------------
790,075 2,319,067 2,175,486 4,565,775
------------- ------------- ------------- -------------
675,330 807,303 185,589 231,129
1,136 5,869 7,188 8,222
4,077 12,544 17,863 16,330
185 744 899 1,039
825 2,418 3,142 3,662
428 1,544 660 2,177
3,231 7,916 2,899 6,783
-- -- -- --
118 412 196 695
371 1,616 -- 2,058
------------- ------------- ------------- -------------
685,701 840,366 218,436 272,095
(11,998) (58,687) -- --
------------- ------------- ------------- -------------
673,703 781,679 218,436 272,095
------------- ------------- ------------- -------------
116,372 1,537,388 1,957,050 4,293,680
------------- ------------- ------------- -------------
7,996,919 14,750,632 (596,229) (21,843)
-- -- -- --
-- -- -- --
10,154,491 2,368,344 (2,338,698) --
------------- ------------- ------------- -------------
18,151,410 17,118,976 (2,934,927) (21,843)
------------- ------------- ------------- -------------
$ 18,267,782 $ 18,656,364 $ (977,877) $ 4,271,837
============= ============= ============= =============
</TABLE>
- -----------------------------------------------
F-21
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select
International Select Aggressive
Equity Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1996 Year Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995 (Unaudited) December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period.................... $ 104,312,134 $ 40,497,806 $ 254,871,723 $ 136,573,109
---------------- --------------- ---------------- ----------------
Increase (Decrease ) in net assets
resulting from operations:
Net investment income (loss)....................... 1,191,371 1,129,933 (681,460) (142,866)
Net realized gain (loss) on investments sold and
foreign currency transactions..................... 2,927,673 60,433 22,218,221 16,028,765
Net change in unrealized appreciation
(depreciation) of investments and assets and
liabilities in foreign currency................... 5,470,861 10,767,415 18,208,915 37,467,083
---------------- --------------- ---------------- ----------------
Net increase (decrease) in net assets resulting
from operations................................... 9,589,905 11,957,781 39,745,676 53,352,982
---------------- --------------- ---------------- ----------------
Distributions to shareholders from:
Net investment income.............................. (183,157) (996,037) -- --
Net realized gain on investments................... (4,068) (396,021) (4,741,627) --
Distribution in excess of net realized capital
gains............................................. -- -- -- --
---------------- --------------- ---------------- ----------------
Total Distributions............................... (187,225) (1,392,058) (4,741,627) --
---------------- --------------- ---------------- ----------------
Capital share transactions:
Net proceeds from sales of shares.................. 60,688,252 58,476,233 53,541,347 74,888,511
Issued to shareholders in reinvestment of
distributions..................................... 187,225 1,392,058 4,741,627 --
Cost of shares repurchased......................... (1,637,410) (6,619,686) (10,718,740) (9,942,879)
---------------- --------------- ---------------- ----------------
Net increase (decrease) from
capital share transactions...................... 59,238,067 53,248,605 47,564,234 64,945,632
---------------- --------------- ---------------- ----------------
Total increase (decrease) in net assets........... 68,640,747 63,814,328 82,568,283 118,298,614
---------------- --------------- ---------------- ----------------
NET ASSETS at end of period (including line A)....... $ 172,952,881 $ 104,312,134 $ 337,440,006 $ 254,871,723
================ =============== ================ ================
(A) Undistributed (distribution in excess of)
net investment income (loss).................... $ 1,149,194 $ 140,980 $ (681,460) $ --
================ =============== ================ ================
OTHERINFORMATION:
Share transactions:
Sold............................................... 50,623,993 54,922,638 26,639,313 46,078,409
Issued to shareholders in reinvestment
of distributions.................................. 152,837 1,229,509 2,267,636 --
Repurchased........................................ (1,383,782) (6,387,844) (5,446,525) (5,889,973)
---------------- --------------- ---------------- ----------------
Net increase (decrease) in shares outstanding..... 49,393,048 49,764,303 23,460,424 40,188,436
================ =============== ================ ================
</TABLE>
- -------------------------------------
* The Fund commenced operations on April 28, 1995.
See Notes to Financial Statements.
----------------------------------------------------------
F-22
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select
Capital Select
Appreciation Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1996 Period Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995* (Unaudited) December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 41,376,035 $ -- $ 143,124,686 $ 88,263,274
--------------- ---------------- ---------------- ---------------
(140,310) (33,955) 116,372 24,039
1,709,463 1,068,237 7,996,919 (240,313)
5,748,390 4,646,902 10,154,491 24,384,776
--------------- ---------------- ---------------- ---------------
7,317,543 5,681,184 18,267,782 24,168,502
--------------- ---------------- ---------------- ---------------
-- -- -- (20,896)
(284,327) (783,850) -- --
-- -- -- --
--------------- ---------------- ---------------- ---------------
(284,327) (783,850) -- (20,896)
--------------- ---------------- ---------------- ---------------
46,003,201 36,016,174 18,750,757 36,197,767
284,327 783,850 -- 20,896
(389,585) (321,323) (4,291,811) (5,504,857)
--------------- ---------------- ---------------- ---------------
45,897,943 36,478,701 14,458,946 30,713,806
--------------- ---------------- ---------------- ---------------
52,931,159 41,376,035 32,726,728 54,861,412
--------------- ---------------- ---------------- ---------------
$ 94,307,194 $ 41,376,035 $ 175,851,414 $ 143,124,686
=============== ================ ================ ===============
$ (143,614) $ (3,304) $ 119,515 $ 3,143
=============== ================ ================ ===============
30,650,160 29,899,903 12,837,251 28,453,081
183,318 572,571 -- 15,263
(292,472) (252,012) (2,959,527) (4,239,678)
--------------- ---------------- ---------------- ---------------
30,541,006 30,220,462 9,877,724 24,228,666
=============== ================ ================ ===============
</TABLE>
- ------------------------------------------
F-23
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Growth Select Income
and Income Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1996 Year Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995 (Unaudited) December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period....... $ 191,610,000 $ 110,212,501 $ 60,368,094 $ 40,784,092
--------------- ---------------- --------------- ---------------
Increase (Decrease) in Net Assets
resulting from operations:
Net investment income.................. 1,537,388 2,532,194 1,957,050 3,091,908
Net realized gain (loss) on
investments sold...................... 14,750,632 11,310,318 (596,229) 296,997
Net change in unrealized
appreciation (depreciation)
on investments....................... 2,368,344 25,861,731 (2,338,698) 4,278,014
--------------- ---------------- --------------- ---------------
Net increase (decrease) in net assets
resulting from operations............. 18,656,364 39,704,243 (977,877) 7,666,919
--------------- ---------------- --------------- ---------------
Distributions to shareholders from:
Net investment income.................. (1,581,157) (2,516,822) (1,925,620) (3,091,908)
Net realized gain on investments....... (3,586,368) (7,157,977) -- --
Distribution in excess of net
investment income..................... -- -- -- (34,237)
--------------- ---------------- --------------- ---------------
Total Distributions.................. (5,167,525) (9,674,799) (1,925,620) (3,126,145)
--------------- ---------------- --------------- ---------------
Capital Share Transactions:
Net proceeds from sales
of shares............................. 28,602,563 48,458,874 8,051,490 19,199,494
Issued to shareholders in reinvestment
of distributions...................... 5,167,525 9,674,799 1,925,620 3,126,145
Cost of shares repurchased............. (2,163,769) (6,765,618) (1,896,780) (7,282,411)
--------------- ---------------- --------------- ---------------
Net increase (decrease) from
capital share transactions......... 31,606,319 51,368,055 8,080,330 15,043,228
--------------- ---------------- --------------- ---------------
Total increase (decrease) in net
assets............................. 45,095,158 81,397,499 5,176,833 19,584,002
--------------- ---------------- --------------- ---------------
NET ASSETS at end of period
(including line A)..................... $ 236,705,158 $ 191,610,000 $ 65,544,927 $ 60,368,094
=============== ================ =============== ===============
(A) Undistributed (distribution
in excess of) net
investment income................. $ (28,397) $ 15,372 $ 31,430 $ --
=============== ================ =============== ===============
OTHER INFORMATION:
Share Transactions:
Sold.................................. 20,995,424 41,704,782 8,073,744 19,366,727
Issued to shareholders
in reinvestment of
distributions........................ 3,798,159 7,745,463 1,959,675 3,138,951
Repurchased........................... (1,610,317) (5,657,491) (1,894,261) (7,409,278)
--------------- ---------------- --------------- ---------------
Net increase (decrease)
in shares outstanding............... 23,183,266 43,792,754 8,139,158 15,096,400
=============== ================ =============== ===============
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-24
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market
Fund
- --------------------------------------------------------------------------------
Six Months Ended
June 30, 1996 Year Ended
(Unaudited) December 31, 1995
- --------------------------------------------------------------------------------
<S> <C>
$ 155,211,174 $ 95,991,332
--------------- --------------
4,293,680 7,715,400
(21,843) (390)
-- --
--------------- --------------
4,271,837 7,715,010
--------------- --------------
(4,293,680) (7,715,400)
-- --
-- --
--------------- --------------
(4,293,680) (7,715,400)
--------------- --------------
86,767,942 178,261,897
4,293,680 7,715,400
(67,267,452) (126,757,065)
--------------- --------------
23,794,170 59,220,232
--------------- --------------
23,772,327 59,219,842
--------------- --------------
$ 178,983,501 $ 155,211,174
=============== ==============
$ -- $ --
=============== ==============
86,767,942 178,261,897
4,293,680 7,715,400
(67,267,452) (126,757,065)
--------------- --------------
23,794,170 59,220,232
=============== ==============
</TABLE>
- -------------------------------------------
F-25
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
----------------------------------------------------
Net
Realized
Net and
Asset Unrealized
Value Net Gain (Loss) Total from
Year Ended Beginning Investment on Investment
December 31, of Period Income/(2)/ Investments Operations
------------ --------- ---------- ----------- ----------
Select International
Equity Fund/(1)/
<S> <C> <C> <C> <C>
1996/(D)/ $ 1.136 $ 0.008 $ 0.082 $ 0.090
1995 0.963 0.013 0.176 0.189
1994 1.000 0.003 (0.038) (0.035)
Select Aggressive
Growth Fund/(1)/
1996/(D)/ 1.848 (0.004) 0.277 0.273
1995 1.397 (0.001) 0.452 0.451
1994 1.431 (0.002) (0.032) (0.034)
1993 1.197 0.001 0.234 0.235
1992 1.000 0.001 0.197 0.198
Select Capital
Appreciation Fund/(1)/
1996/(D)/ 1.369 (0.002) 0.190 0.188
1995 1.000 (0.001) 0.397 0.396
Select Growth
Fund/(1)/
1996/(D)/ 1.369 0.001 0.167 0.168
1995 1.099 -- 0.270 0.270
1994 1.119 0.003 (0.020) (0.017)
1993 1.111 0.001 0.008 0.009
1992 1.000 0.001 0.111 0.112
</TABLE>
<TABLE>
<CAPTION>
Less Distributions
---------------------------------------------------------------
Net
Distributions Increase
Distributions in Excess (Decrease)
Dividends from Net of Net in
from Net Realized Realized Return Net
Year Ended Investment Capital Capital of Total Asset
December 31, Income Gains Gains Capital Distributions Value
------------ ---------- ------------- ------------- ------- ------------- ----------
Select International
Equity Fund/(1)/
<S> <C> <C> <C> <C> <C> <C>
1996/(D)/ $ (0.001) $ -- $ -- $ -- $ (0.001) $ 0.089
1995 (0.011) (0.005) -- -- (0.016) 0.173
1994 (0.001) (0.001) -- -- (0.002) (0.037)
Select Aggressive
Growth Fund/(1)/
1996/(D)/ -- (0.030) -- -- (0.030) 0.243
1995 -- -- -- -- -- 0.451
1994 -- -- -- -- -- (0.034)
1993 (0.001) -- -- -- (0.001) 0.234
1992 (0.001) -- -- -- (0.001) 0.197
Select Capital
Appreciation Fund/(1)/
1996/(D)/ -- (0.005) -- -- (0.005) 0.183
1995 -- (0.027) -- -- (0.027) 0.369
Select Growth
Fund/(1)/
1996/(D)/ -- -- -- -- -- 0.168
1995 -- -- -- -- -- 0.270
1994 (0.003) -- -- -- (0.003) (0.020)
1993 (0.001) -- -- -- (0.001) 0.008
1992 (0.001) -- -- -- (0.001) 0.111
</TABLE>
- ---------------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolios' expenses
(see Note 5 of Notes to Financial Statements).
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1996 (Unaudited).
(E) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades for
which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs, or spreads on shares traded on a principal basis.
(1) The Portfolios commenced operations as follows:
<TABLE>
<CAPTION>
Select International Select Aggressive Select Capital Select Growth
Equity Fund GrowthFund Appreciation Fund Fund
-------------------- ----------------- ----------------- ---------------
<S> <C> <C> <C>
May 2, 1994 August 21, 1992 April 28, 1995 August 21, 1992
</TABLE>
(2) Net investment income per share before reimbursement of fees by the
investment adviser were $0.002 in 1994 for Select International Equity
Fund; $0.000 in 1993 and $(0.001) in 1992 for Select Aggressive Growth
Fund; $(0.001) in 1995 for Select Capital Appreciation Fund; and $0.001
in 1993 and $0.000 in 1992 for Select Growth Fund.
See Notes to Financial Statements.
----------------------------------------------------------
F-26
<PAGE>
ALLMERICA INVESTMENT TRUST
Ratios /Supplemental Data
- --------------------------------------------------------------------------------
Ratios To Average Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(E)/
- ---------- ----------- --------- ----------- --------- --------- -------- ------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.225 7.95%** $172,953 1.73%* 1.14%* 1.19%* 1.19%* 1.00%* 1.00%* 11% $0.0327
1.136 19.63% 104,312 1.68% 1.24% 1.24% 1.24% 1.00% 1.00% 24% --
0.963 (3.49)%** 40,498 0.87%* 1.50%* 1.50%* 1.78%* 1.00%* 0.72%* 19% --
2.091 14.76%** 337,440 (0.46)%* 1.06%* 1.06%* 1.06%* 1.00%* 1.00%* 65% 0.0599
1.848 32.28% 254,872 (0.07)% 1.09% 1.09% 1.09% 1.00% 1.00% 104% --
1.397 (2.31)% 136,573 (0.21)% 1.16% 1.16% 1.16% 1.00% 1.00% 100% --
1.431 19.51% 66,251 0.10% 1.19% 1.19% 1.23% 1.00% 0.96% 76% --
1.197 19.85%** 9,270 0.34%* 1.35%* 1.35%* 1.88%* N/A N/A 33% --
1.552 13.64%** 94,307 (0.43)%* 1.10%* 1.10%* 1.10%* 1.00%* 1.00%* 58% 0.0436
1.369 39.56%** 41,376 (0.25)%* 1.35%* 1.35%* 1.42%* 1.00%* 0.93%* 95% --
1.537 12.27%** 175,851 0.15%* 0.85%* 0.86%* 0.86%* 0.85%* 0.85%* 39% 0.0471
1.369 24.59% 143,125 0.02% 0.97% 0.97% 0.97% 0.85% 0.85% 51% --
1.099 (1.49)% 88,263 0.37% 1.03% 1.03% 1.03% 0.85% 0.85% 55% --
1.119 0.84% 53,854 0.15% 1.05% 1.05% 1.08% 0.85% 0.82% 65% --
1.111 11.25%** 9,308 0.40%* 1.20%* 1.20%* 1.72%* N/A N/A 3% --
</TABLE>
- -----------------------------------------------
F-27
<PAGE>
ALLMERICA INVESTMENT TRUST
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Income from Investment Operations
----------------------------------------------------------
Net Realized
Net and
Asset Unrealized
Value Net Gain (Loss) Total from
Year Ended Beginning Investment on Investment
December 31, of Period Income/(2)/ Investments Operations
- -------------- --------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
Select Growth and
Income Fund/(1)/
1996/(D)/ $ 1.268 $ 0.009 $ 0.112 $ 0.121
1995 1.027 0.019 0.290 0.309
1994 1.069 0.025 (0.018) 0.007
1993 0.990 0.023 0.079 0.102
1992 1.000 0.008 (0.009) (0.001)
Select
Income Fund/(1)/
1996/(D)/ 1.024 0.031 (0.048) (0.017)
1995 0.930 0.060 0.095 0.155
1994 1.035 0.055 (0.105) (0.050)
1993 0.988 0.052 0.055 0.107
1992 1.000 0.018 (0.012) 0.006
Money Market
Fund
1996/(D)/ 1.000 0.026 -- 0.026
1995 1.000 0.057 -- 0.057
1994 1.000 0.039 -- 0.039
1993 1.000 0.030 -- 0.030
1992 1.000 0.037 -- 0.037
1991 1.000 0.060 -- 0.060
</TABLE>
<TABLE>
<CAPTION>
Less Distributions
------------------
Net
Distributions Increase
Dividends from Net (Decrease)
from Net Realized in
Year Ended Investment Capital Distributions Return of Total Net Asset
December 31, Income Gains in Excess Capital Distributions Value
- -------------- ---------- ------------- ------------- --------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund/(1)/
1996/(D)/ $(0.010) $(0.021) $ -- $ -- $ (0.031) $ 0.090
1995 (0.019) (0.049) -- -- (0.068) 0.241
1994 (0.025) (0.017) (0.007)/(3)/ -- (0.049) (0.042)
1993 (0.023) -- -- -- (0.023) 0.079
1992 (0.008) (0.001) -- -- (0.009) (0.010)
Select
Income Fund/(1)/
1996/(D)/ (0.030) -- -- -- (0.030) (0.047)
1995 (0.060) -- (0.001)/(4)/ -- (0.061) 0.094
1994 (0.055) -- -- -- (0.055) (0.105)
1993 (0.052) (0.008) -- -- (0.060) 0.047
1992 (0.018) -- -- -- (0.018) (0.012)
Money Market
Fund
1996/(D)/ (0.026) -- -- -- (0.026) --
1995 (0.057) -- -- -- (0.057) --
1994 (0.039) -- -- -- (0.039) --
1993 (0.030) -- -- -- (0.030) --
1992 (0.037) -- -- -- (0.037) --
1991 (0.060) -- -- -- (0.060) --
</TABLE>
- --------------------------------------------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolios' expenses
(see Note 5 of Notes to Financial Statements).
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1996 (Unaudited).
(E) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades for
which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs, or spreads on shares traded on a principal basis.
(1) The Portfolios commenced operations on August 21, 1992.
(2) Net investment income per share before reimbursement of fees by the
investment adviser were $0.023 in 1993 and $0.005 in 1992 for Select Growth
and Income Fund; $0.060 in 1995, $0.055 in 1994, $0.050 in 1993, and $0.015
in 1992 for Select Income Fund; and $0.030 in 1993 for Money Market Fund.
(3) Represents distributions in excess of net realized capital gains.
(4) Represents distributions in excess of net investment income.
See Notes to Financial Statements.
---------------------------------
F-28
<PAGE>
ALLMERICA INVESTMENT TRUST
Ratios/Supplemental Data
-----------------------------------------------------------
Ratios To Average Net Assets
----------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(E)/
---------- ---------- ----------- ----------- ------- ------- -------- ------- ------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.358 9.51%** $236,705 1.43%* 0.73%* 0.78%* 0.78%* 0.75%* 0.75%* 42% $0.0568
1.268 30.32% 191,610 1.69% 0.85% 0.85% 0.85% 0.75% 0.75% 112% --
1.027 0.73% 110,213 2.51% 0.91% 0.91% 0.91% 0.75% 0.75% 107% --
1.069 10.37% 60,518 2.73% 0.99% 0.99% 1.03% 0.75% 0.71% 25% --
0.990 (0.11)%** 7,302 3.20%* 1.10%* 1.10%* 2.37%* N/A N/A 4% --
0.977 (1.65)%** 65,545 6.33%* 0.71%* 0.71%* 0.71%* 0.60%* 0.60%* 76% --
1.024 16.96% 60,368 6.24% 0.79% 0.79% 0.80% 0.60% 0.59% 131% --
0.930 (4.82)% 40,784 6.07% 0.83% 0.83% 0.85% 0.60% 0.58% 105% --
1.035 10.95% 25,302 5.91% 0.91% 0.91% 1.08% 0.60% 0.43% 171% --
0.988 0.62%** 5,380 5.38%* 1.00%* 1.00%* 1.67%* N/A N/A 119% --
1.000 2.62%** 178,984 5.20%* 0.33%* 0.33%* 0.33%* 0.28%* 0.28%* N/A --
1.000 5.84% 155,211 5.68% 0.36% 0.36% 0.36% 0.29% 0.29% N/A --
1.000 3.93% 95,991 3.94% 0.45% 0.45% 0.45% 0.31% 0.31% N/A --
1.000 3.00% 71,052 2.95% 0.42% 0.42% 0.43% 0.32% 0.31% N/A --
1.000 3.78% 64,506 3.65% 0.44% 0.44% 0.44% N/A N/A N/A --
1.000 6.22% 39,909 5.98% 0.43% 0.43% 0.43% N/A N/A N/A --
</TABLE>
F-29
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust"), formerly SMA Investment Trust, is
registered under the Investment Company Act of 1940, as amended, as an open-end,
diversified, management investment company established as a Massachusetts
business trust for the purpose of providing a vehicle for the investment of
assets of various separate accounts established by Allmerica Financial Life
Insurance and Annuity Company, a wholly-owned subsidiary of First Allmerica
Financial Life Insurance Company ("First Allmerica"), or other affiliated
insurance companies. As of the date of this report, the Trust offered twelve
managed investment portfolios. The accompanying financial statements and
financial highlights are those of the Select International Equity, Select
Aggressive Growth, Select Capital Appreciation, Select Growth, Select Growth and
Income, Select Income and Money Market Funds (individually, a "Portfolio,"
collectively, the "Portfolios") only.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies which are in conformity with generally accepted accounting
principles consistently followed by the Trust in the preparation of its
financial statements.
Security Valuation: Securities which are traded on a recognized exchange
(including securities traded through the National Market System) are valued at
the last sale price on the securities exchange on which such securities are
primarily traded or, if there were no sales during the day, at the mean of the
closing bid and asking price. Over-the-counter securities that are not traded
through the National Market System are valued on the basis of the bid price at
the close of business on each day. Short-term investments that mature in 60 days
or less are valued at amortized cost. Corporate debt securities and debt
securities of the U.S. Government and its agencies (other than short-term
investments) are valued by an independent pricing service approved by the Board
of Trustees which utilizes market quotations and transactions, quotations from
dealers and various relationships among securities in determining value. If not
valued by a pricing service, such securities are valued at prices obtained from
independent brokers. Investments with prices that cannot be readily obtained are
carried at market value as determined in good faith under consistently applied
procedures established by and under the supervision of the Board of Trustees.
The investments of the Money Market Fund are valued utilizing the amortized cost
valuation method permitted in accordance with Rule 2a-7 under the Investment
Company Act of 1940. This method involves valuing a portfolio security initially
at its cost and thereafter assuming a constant amortization to maturity of any
discount or premium.
Forward Foreign Currency Contracts: The Select International Equity and Select
Capital Appreciation Funds may enter into forward foreign currency contracts
whereby the Portfolios agree to sell a specific currency at a specific price at
a future date in an attempt to hedge against fluctuations in the value of the
underlying currency of certain portfolio instruments. Forward foreign currency
contracts are valued at the daily exchange rate of the underlying currency with
any fluctuations recorded as unrealized gains or losses. Purchases and sales of
forward foreign currency contracts having the same settlement date and
counterparty are offset and presented on a net basis in the Statement of Assets
and Liabilities. Gains or losses on the purchase or sale of forward foreign
currency contracts having the same settlement date and broker are recognized on
the date of offset, otherwise gains and losses are recognized on settlement
date.
Foreign Currency Translation: Investment valuations, other assets and
liabilities initially denominated in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments and income and expenses are converted into U.S.
dollars based upon exchange rates prevailing on the respective dates of such
transactions. That portion of unrealized gains or losses on investments due to
fluctuations in foreign currency exchange rates is not separately disclosed.
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis and consists of interest accrued and, if applicable, discount
earned less premiums amortized. Dividend income is recorded on the ex-dividend
date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each
----------------------------------------
F-30
<PAGE>
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ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
Portfolio of the Trust intends to continue to qualify as a "regulated investment
company" under Subchapter M of the Internal Revenue Code of 1986, as amended. By
so qualifying, each Portfolio will not be subject to Federal income taxes to the
extent it distributes all of its taxable income and net realized gains for the
tax year ending December 31. In addition, by distributing during each calendar
year substantially all of its net investment income, capital gains and certain
other amounts, if any, each Portfolio will not be subject to Federal excise tax.
Therefore, no Federal income tax provision is required. Withholding taxes on
foreign dividend income and gains have been paid or provided for in accordance
with the applicable country's tax rules and rates.
Paid-in capital, undistributed net investment income and accumulated net
realized gain (loss) have been adjusted in the Statements of Assets and
Liabilities for permanent book-tax differences for all Portfolios with the
exception of the Money Market Portfolio through December 31, 1995.
Distributions to Shareholders: Dividends from net investment income are declared
and reinvested daily for the Money Market Fund, declared and distributed
quarterly for the Select Growth and Income and Select Income Funds and annually
for the Select International Equity, Select Aggressive Growth, Select Capital
Appreciation and Select Growth Funds. All Portfolios declare and distribute all
net realized capital gains, if any, at least annually. The distributions are
recorded on the ex-dividend date. Income and capital gain distributions are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles. These differences are primarily due to
differing book and tax treatments in the timing of the recognition of gains or
losses on securities and forwards, including "Post October Losses" (Note 9) and
permanent differences due to differing treatments for paydown gains/losses on
certain securities, foreign currency transactions, market discount, non-taxable
dividends and losses deferred due to wash sales. Any taxable income or gain
remaining at fiscal year end is distributed in the following year.
Permanent book-tax differences, if any, are not included in ending undistributed
net investment income for the purpose of calculating net investment income per
share in the Financial Highlights.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Trust's Investment Adviser has
determined are creditworthy pursuant to guidelines established by the Trust's
Board of Trustees. Each repurchase agreement transaction is recorded at cost.
Each Portfolio requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian in a manner that is intended
to enable the Portfolio to obtain those securities in the event of a
counterparty default. The Investment Adviser monitors the value of the
securities, including accrued interest, daily to ensure that the value of the
collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon the Portfolio's ability to dispose of the underlying securities, and a
possible decline in the value of the underlying securities during the period
while the Portfolio seeks to assert its rights.
Organization Costs: Each Portfolio bears all costs in connection with its
organization, including the fees and expenses of registering and qualifying its
shares for distribution under Federal and state securities regulations. All
such costs are being amortized using the straight-line method over a period of
five years beginning with the commencement of the Portfolio's operation. The
Investment Adviser incurred all start up costs of the Portfolios except for
Select Capital Appreciation.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: Each Portfolio may from time to time purchase securities on
a forward commitment basis. Debt securities are often issued on this basis. The
yield of such securities is fixed at the time a commitment to purchase is made,
with actual payment and delivery of the security generally taking place 15 to 45
days later. During the period between purchase and settlement, typically no
payment is made by a Portfolio and no interest accrues to the Portfolio. The
market value of forward commitments may be more or less than the purchase price
payable at settlement date.
- ----------------------------------------
F-31
<PAGE>
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ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
3. INVESTMENT ADVISORY, ADMINISTRATION AND OTHER RELATED PARTY
TRANSACTIONS
Allmerica Investment Management Company, Inc. (the "Manager"), a wholly-owned
subsidiary of First Allmerica, serves as Investment Adviser and Administrator to
the Trust. Under the terms of the management agreement, the Portfolios pay a
management fee, calculated daily and payable monthly, at an annual rate based
upon the following percentages of average daily net asset value: 1.00% for
Select International Equity, Select Aggressive Growth and Select Capital
Appreciation Funds, 0.85% for Select Growth Fund, 0.75% for Select Growth and
Income Fund and 0.60% for Select Income Fund. For Money Market Fund, the annual
fee is 0.35% on the first $50,000,000 of net assets; 0.25% on the next
$200,000,000; and 0.20% on the remainder.
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers.
The Sub-Advisers for each of the Portfolios are as follows:
Select International Equity Bank of Ireland Asset Management Limited
Select Aggressive Growth Nicholas-Applegate Capital Management
Select Capital Appreciation Janus Capital Corporation
Select Growth (See Note 12) Provident Investment Counsel
Select Growth and Income John A. Levin & Co., Inc.
Select Income Standish, Ayer & Wood, Inc.
Money Market Allmerica Asset Management, Inc.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("FDISG"), a wholly-owned subsidiary of First
Data Corporation, whereby FDISG performs administrative services for each of the
Portfolios and is entitled to receive an administrative fee and certain out-of-
pocket expenses. The Manager is solely responsible for the payment of the
administrative fee to FDISG. In a separate agreement, FDISG receives separate
fees from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
The Trust pays no salaries or compensation to any of its officers. Trustees who
are not directors, officers, or employees of the Trust or any investment adviser
are reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such amounts
are paid by the Trust.
4. REIMBURSEMENT OF EXPENSES
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, brokerage commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select International
Equity Fund - 1.50%, Select Aggressive Growth and Select Capital Appreciation
Funds - 1.35%, Select Growth Fund - 1.20%, Select Growth and Income Fund -
1.10%, Select Income Fund - 1.00% and Money Market Fund - 0.60%), the Manager
will either bear such expenses directly or reduce its compensation from the
Portfolios by the excess of the stated expense limitations. Expense limitations
may be removed or revised without prior notice to existing shareholders. The
Manager will voluntarily reimburse its fees and any expenses in excess of the
expense limitations.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of commissions. Such amounts earned by the Portfolios,
under such agreements, are presented as expense reductions in the Statements of
Operations.
6. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value.
----------------------------------------
F-32
<PAGE>
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ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
7. PURCHASES AND SALES OF SECURITIES
The cost of purchases and proceeds from sales of investment securities,
excluding short-term investments, for the six months ended June 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Purchases Sales
------------------------- ------------------------
Portfolio Other Government Other Government
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International
Equity $ 73,614,520 $ -- $ 15,474,705 $ --
Select Aggressive
Growth 223,066,911 -- 190,598,807 --
Select Capital
Appreciation 79,810,550 -- 38,065,096 --
Select Growth 68,658,383 -- 56,708,909 --
Select Growth
and Income 110,402,048 4,024,375 85,863,645 --
Select Income 16,349,543 38,536,704 7,460,243 38,818,516
</TABLE>
At June 30, 1996, aggregate gross unrealized appreciation for all securities in
which there was an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there was an excess of tax cost over
value were as follows:
<TABLE>
<CAPTION>
Tax Basis
--------------------
Net Unrealized
Unrealized Unrealized Appreciation
Portfolio Appreciation Depreciation (Depreciation) Cost
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International
Equity $17,644,478 $ (2,547,826) $15,096,652 $162,067,026
Select Aggressive
Growth 85,299,114 (13,541,314) 71,757,800 260,549,929
Select Capital
Appreciation 13,425,141 (2,958,787) 10,466,354 84,874,740
Select Growth 41,130,673 (1,751,240) 39,379,433 136,547,511
Select Growth and
Income 30,161,721 (3,691,131) 26,470,590 213,763,663
Select Income 562,488 (1,008,953) (446,465) 66,463,721
Money Market -- -- -- 176,934,346
</TABLE>
8. CAPITAL LOSS CARRYFORWARD
As of December 31, 1995, certain Portfolios had capital loss carryforwards
which expire as follows:
<TABLE>
<CAPTION>
December 31,
Portfolio 2000 2001 2002 2003 Utilized
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Select Growth $ 7,651 $ 247,191 $ 2,115,070 $ 360,571 $ --
Select Income -- -- 934,165 -- 166,974
Money Market -- -- 347 144 --
</TABLE>
- ----------------------------------------
F-33
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
9. POST OCTOBER LOSSES
Under current tax law, certain capital and net foreign exchange losses realized
after October 31 may be deferred and treated as occurring on the first day of
the following fiscal year. For the fiscal year ended December 31, 1995, the
following Portfolios have elected to defer losses occurring between November 1,
1995 and December 31, 1995 in the following amounts:
<TABLE>
<CAPTION>
Portfolio Capital Currency
- ----------------------------------------------------
<S> <C> <C>
Select International Equity $ -- $197,793
Select Growth 1,171,841 --
Money Market 246 --
</TABLE>
10. FOREIGN SECURITIES
Each Portfolio, except the Money Market Fund, may purchase securities of foreign
issuers. Investing in securities of foreign issuers involves special risks not
typically associated with investing in securities of U.S. issuers. The risks
include revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign issuers and their markets may
be less liquid and their prices more volatile than those of securities of
comparable U.S. issuers.
11. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including forward foreign currency
contracts involves risk other than that reflected in the Statement of Assets and
Liabilities. Risks associated with these instruments include the potential for
an imperfect correlation between the movements in the price of the instruments
and the price of the underlying securities and interest rates, an illiquid
secondary market for the instruments or inability of counterparties to perform
under the terms of the contract, and changes in the value of foreign currency
relative to the U.S. dollar. The Select International Equity Fund and the Select
Capital Appreciation Fund enter into these contracts primarily to protect the
Portfolio from adverse currency movement.
12. SUBSEQUENT EVENT
Effective July 1, 1996, Putnam Investments Management, Inc. ("Putnam") replaced
Provident Investment Counsel ("PIC") as the Sub-Adviser of the Select Growth
Fund. A Sub-Advisory Agreement between the Manager and Putnam has been approved
by the Trustees of the Trust, subject to approval of the Portfolio's
shareholders at a meeting to be held September 18, 1996. Putnam will receive
from the Manager a fee computed daily at an annual rate based on the average net
assets of the Portfolio under the same fee schedule as was in effect with PIC.
----------------------------------------
F-34
<PAGE>
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ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (UNAUDITED):
Distributions from long-term capital gains for the six months ended June 30,
1996 were $4,068 for Select International Equity Fund, $478,182 for Select
Growth and Income Fund and $4,741,627 for Select Aggressive Growth Fund.
SHAREHOLDER VOTING RESULTS:
At the Meeting of Shareholders of the Select Growth and Income Fund, held on
April 2, 1996, shareholders approved the new Sub-Adviser agreements between the
Manager and John A. Levin and Co., Inc. with respect to the Portfolio. The
results were as follows:
<TABLE>
<CAPTION>
Shares For Shares Against Shares Abstaining % of Shares Voted
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
147,754,887 2,650,753 3,350,343 100.00%
</TABLE>
- ----------------------------------------
F-35
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------
The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is neither insured nor guaranteed by the
U.S. Government. There can be no assurance that the Fund will be able to
maintain a stable net asset value of $1.00 per share.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Funds and is not authorized for
distribution to prospective investors in the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company unless accompanied
or preceded by effective prospectuses for the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company, Allmerica
Investment Trust; Variable Insurance Products Fund, and T. Rowe Price
International Stock Portfolio, which include important information related to
charges and expenses.
----------------------------------------
F-36
<PAGE>
Allmerica Select Life
Allmerica Select Life is issued by Allmerica Financial Life Insurance and
Annuity Company and is distributed by Allmerica Investments, Inc.
To be preceded or accompanied by the current Allmerica Select Life prospectus.
Read carefully before investing.
[LOGO OF ALLMERICA FINANCIAL APPEARS HERE]
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
AS-221(6/96)
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