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PEGASUS FUNDS
Strength in Investing
SEMI-ANNUAL REPORT
PEGASUS PATHMAKER
VARIABLE ANNUITY
June 30, 1997
<PAGE>
TABLE OF CONTENTS
1 Separate Account Six Statement of Assets and
Liabilities
3 Separate Account Six Statement of Operations
4 Separate Account Six Statement of Changes in Net
Assets
6 Separate Account Six Notes to Financial Statements
7 Pegasus Statements of Assets and Liabilities
8 Pegasus Statements of Operations
9 Pegasus Statements of Changes in Net Assets
11 Pegasus Portfolio of Investments
26 Pegasus Notes to Financial Statements
30 Pegasus Financial Highlights
Variable Annuity Contracts are not bank deposits or obligations of, or
endorsed or guaranteed by, any bank, nor are they federally insured or
otherwise protected by the FDIC, the Federal Reserve Board, or any other
agency; they are subject to investment risks, including possible loss of the
principal amount invested.
ITT HARTFORD
LIFE AND ANNUITY INSURANCE
COMPANY -- SEPARATE ACCOUNT SIX
P.O. Box 5085
Hartford, Connecticut 06100-5085
Telephone: 1-800-862-6668 (Contract Owners)
1-800-862-7155 (Investment Representatives)
INVESTMENT ADVISER -- PEGASUS VARIABLE ANNUITY FUNDS
First Chicago NBD Investment Management
Company (FCNIMCO)
Three First National Plaza, MS 0334
Chicago, IL 60670-0334
THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS
UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE>
<TABLE>
<CAPTION>
Separate Account Six
ITT Hartford Life and Annuity Insurance Company
Statement of Assets and Liabilities
June 30, 1997
<S> <C>
Assets:
Investments:
Putman VT Global
Growth Fund
Shares 39,672
Cost $ 600,734
Market Value $ 738,701
Putman VT
Growth and Income Fund
Shares 19,475
Cost $ 498,960
Market Value $ 514,338
Putman VT
Global Asset
Allocation Fund
Shares 104,950
Cost $ 1,511,505
Market Value $ 1,859,711
Putman VT U.S.
Government
and High
Quality
Bond Fund
Shares 53,666
Cost $ 679,398
Market Value $ 681,559
Putman VT
New Opportunities Fund
Shares 162,561
Cost $ 3,040,146
Market Value $ 3,080,539
Putman VT
Money Market Fund
Shares 605.481
Cost $ 605,481
Market Value $ 605.481
Putman VT
Diversified
Income Fund
Shares 58,359
Cost $ 598,184
Market Value $ 629,110
Putman VT
International Growth Fund
Shares 760,611
Cost $ 8,816,171
Market Value $ 8,807,878
Pegasus
Growth and
Value Fund
Shares 1,729,365
Cost $23,886,380
Market Value $26,320,937
Pegasus
Mid-Cap
Opportunity
Fund
Shares 498,055
Cost $ 5,458,356
Market Value $ 7,605,294
Pegasus
Growth Fund
Shares 676,195
Cost $ 7,371,055
Market Value $10,325,503
<PAGE>
Pegasus
Intrinsic
Value Fund
Shares 859,823
Cost $ 9,061,940
Market Value $ 9,122,721
Pegasus
Bond Fund
Shares 2,088,767
Cost $21,143,609
Market Value $21,138,322
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
PCM U.S.
PCM PCM Global Government PCM PCM
Growth and Asset and High New Money PCM PCM
PCM Global Income Allocation Quality Opportunities Market Diversified International
Growth Fund Fund Fund Bond Fund Fund Fund Income Fund Growth Fund
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Market Value $738,701 $514,338 $1,859,711 $681,559 $3,080,539 $605,481 $629,110 $8,807,878
Due from ITT
Hartford Life
and Annuity
Insurance Co. -- 46,639 4,758 - 5,021 -- 7,386 15,166
Receivable
from fund
shares sold 88 -- -- 92 -- 75 -- --
-------- -------- ---------- -------- ---------- -------- -------- ----------
Total Assets 738,789 560,977 1,864,469 681,651 3,085,560 605,556 636,496 8,823,044
-------- -------- ---------- -------- ---------- --------- --------- ----------
Liabilities:
Due to ITT
Hartford
Life and Annuity
Insurance
Company 88 -- -- 92 -- 75 -- --
Payable for
fund shares
purchased -- 46,639 4,758 -- 5,021 -- 7,386 15,166
-------- -------- ---------- -------- ---------- --------- --------- ----------
Total
Liabilities 88 46,639 4,758 92 5,021 -- 7,386 15,166
-------- -------- ---------- -------- ---------- --------- --------- ----------
Net Assets
(variable
annuity
contract
liabilities) $738,701 $514,338 $1,859,711 $681,559 $3,080,539 $605,481 $629,110 $8,807,878
======== ======== ========== ======== ========== ======== ========= ==========
<CAPTION>
Pegasus Pegasus Pegasus
Growth Mid-Cap Pegasus Intrinsic Pegasus
and Value Opportunity Growth Value Bond
Fund Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ----------- ----------- ----------- ----------- -----------
<C> <C> <C> <C> <C>
$26,320,937 $ 7,605,294 $10,325,503 $ 9,122,721 $21,138,322
42,471 18,452 15,745 15,792 44,282
-- -- -- -- --
$26,363,408 $ 7,605,294 $10,325,503 $ 9,122,721 $21,138,322
- ----------- ----------- ----------- ----------- -----------
-- -- -- -- --
32,728 18,467 12,499 15,792 44,281
- ----------- ----------- ----------- ----------- -----------
32,728 18,467 12,499 15,792 44,281
- ----------- ----------- ----------- ----------- -----------
$26,330,680 $ 7,605,279 $10,328,749 $ 9,122,721 $21,138,323
- ----------- ----------- ----------- ----------- -----------
<PAGE>
<FN>
The accompanying notes are an integral part of this financial statement.
</TABLE>
1
<PAGE>
Separate Account Six
ITT Hartford Life and Annuity Insurance Company
Statement of Assets and Liabilities
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Units
Owned by Unit Contract
Participants Price Liability
------------ ----- ---------
<S> <C> <C> <C>
Deferred annuity contracts in the
accumulation period:
Individual Sub-Accounts:
PCM Global Growth Fund Sub-Account 47,095 $15.685264 $ 738,701
PCM Growth and Income Fund Sub-Account 47,082 10.924312 514,338
PCM Global Asset Allocation Fund Sub-Account 124,281 14.963742 1,859,711
PCM U.S. Government and High Quality Bond Fund
Sub-Account 58,285 11.693589 681,559
PCM New Opportunities Fund Sub-Account 269,004 11.451630 3,080,539
PCM Money Market Fund Sub-Account 601,736 1.006225 605,481
PCM Diversified Income Fund Sub-Account 51,581 12.196629 629,110
PCM International Growth Fund Sub-Account 798,196 11.034738 8,807,878
Pegasus Growth and Value Fund Sub-Account 1,668,610 15.780004 26,330,680
Pegasus Mid-Cap Opportunity Fund Sub-Account 500,160 15.205690 7,605,279
Pegasus Growth Fund Sub-Account 681,969 15.145477 10,328,749
Pegasus Intrinsic Value Fund Sub-Account 859,526 10.613664 9,122,721
Pegasus Bond Fund Sub-Account 2,081,577 10.154953 21,138,323
--------- --------- ----------
Grand Total $ 91,443,069
=============
<FN>
The accompanying notes are an integral part of this financial statement.
</TABLE>
2
<PAGE>
Separate Account Six
ITT Hartford Life and Annuity Insurance Company
STATEMENT OF OPERATIONS
For the Six Months ended June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
PCM PCM
PCM PCM Global U.S. Government
Global Growth Asset and High
Growth and Income Allocation Quality
Fund Fund Fund Bond Fund
Sub-Account Sub-Account* Sub-Account Sub-Account
----------- ------------ ----------- -------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 13,769 $ -- $ 271,409 $179,553
Expenses:
Mortality and expense undertakings (4,339) (532) (55,871) (18,688)
-------- ------- --------- --------
Net investment income (loss) 9,430 (532) 215,538 160,865
Capital gains income 14,810 -- 463,905 --
Net realized and unrealized gain (loss) on
investments:
Net realized gain (loss) on security transactions 5,693 12 732,655 (51,951)
Net unrealized appreciation (depreciation) of
investments during the period 72,295 15,378 (417,853) (42,045)
-------- ------- --------- --------
Net gain (loss) on investments 77,988 15,390 314,812 (93,996)
-------- ------- --------- --------
Net increase (decrease) in net assets resulting
from operations $102,228 $14,858 $ 994,255 $ 66,869
======== ======= ========= ========
<CAPTION>
PCM PCM PCM PCM
New Money Diversified International
Opportunities Market Income Growth
Fund Fund Fund Fund
Sub-Account* Sub-Account* Sub-Account Sub-Account*
------------ ------------ ----------- ------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $1,651 $ 211,887 $ --
Expenses:
Mortality and expense undertakings (1,204) (445) (25,389) (3,304)
-------- ------- --------- --------
Net investment income (loss) (1,204) 1,206 186,498 (3,304)
Capital gains income -- -- 33,403 --
Net realized and unrealized gain (loss) on
investments:
Net realized gain (loss) on security transactions -- -- (6,696) --
Net unrealized appreciation (depreciation) of
investments during the period 40,393 -- (121,152) (8,293)
-------- -------- --------- --------
Net gain (loss) on investments 40,393 -- (127,848) (8,293)
-------- -------- --------- --------
Net increase (decrease) in net assets resulting
from operations $39,189 $1,206 $ 92,053 $(11,597)
======== ======== ========= =========
</TABLE>
<TABLE>
<CAPTION>
Pegasus Pegasus Pegasus
Growth Mid-Cap Pegasus Intrinsic Pegasus
and Value Opportunity Growth Value Bond
Fund Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account* Sub-Account*
----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Investment income:
Dividends $ 60,337 $ 8,586 $ 21,542 $ 4,225 $16,485
Expenses:
Mortality and expense undertakings (74,050) (65,477) (87,543) (3,478) (8,242)
---------- ---------- ---------- ------- -------
Net investment income (loss) (13,713) (56,891) (66,001) 747 8,243
Capital gains income -- -- -- -- --
Net realized and unrealized gain (loss) on
investments:
Net realized gain (loss) on security transactions 407 482,354 622,527 -- --
Net unrealized appreciation (depreciation) of
investments during the period 1,595,413 824,745 1,239,212 60,781 (5,287)
---------- ---------- ---------- ------- -------
Net gain (loss) on investments 1,595,820 1,307,099 1,861,739 60,781 (5,287)
---------- ---------- ---------- ------- -------
Net increase (decrease) in net assets resulting
from operations $1,582,107 $1,250,208 $1,795,738 $61,528 $ 2,956
========== ========== ========== ======= =======
<FN>
* From inception, May 1, 1997 to June 30, 1997
The accompanying notes are an integral part of this financial statement.
</TABLE>
3
<PAGE>
Separate Account Six
ITT Hartford Life and Annuity Insurance Company
STATEMENT OF CHANGES IN NET ASSETS For the Six Months ended June 30, 1997
(Unaudited)
<TABLE>
<CAPTION>
PCM PCM
PCM PCM Global U.S. Government
Global Growth Asset and High
Growth and Income Allocation Quality
Fund Fund Fund Bond Fund
Sub-Account Sub-Account* Sub-Account Sub-Account
----------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 9,430 $ (532) $ 215,538 $ 160,865
Capital gains income 14,810 -- 463,905 --
Net realized gain (loss) on security transactions 5,693 12 732,665 (51,951)
Net unrealized appreciation (depreciation) of
investments during the period 72,295 15,378 (417,853) (42,045)
-------- -------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations 102,228 14,858 994,255 66,869
-------- -------- ----------- -----------
Unit transactions:
Purchases 180,147 345,533 1,029,964 561,983
Net transfers (29,621) 154,000 (7,338,294) (2,318,199)
Surrenders (22,350) (53) (211,283) (87,771)
-------- -------- ----------- -----------
Total increase (decrease) in net assets resulting
from unit transactions 128,176 499,480 (6,519,613) (1,843,987)
-------- -------- ----------- -----------
Total increase (decrease) in net assets 230,404 514,338 (5,525,358) (1,777,118)
Net assets:
Beginning of Period 508,297 -- 7,385,069 2,458,677
-------- -------- ----------- -----------
End of Period $738,701 $514,338 $ 1,859,711 $ 681,559
======== ======== =========== ===========
For the year ended December 31, 1996
Operations:
Net investment income (loss) $ 1,230 $ -- $ 131,774 $ 74,783
Capital gains income 9,282 -- 133,995 --
Net realized gain (loss) on security transactions 20 -- 478 (316)
Net unrealized appreciation (depreciation) of
investments during the period 44,333 -- 460,827 (43,356)
-------- --------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations 54,865 -- 727,074 31,111
-------- --------- ----------- -----------
Unit transactions:
Purchases 66,395 -- 2,475,962 1,175,062
Net transfers 138,183 -- 541,687 2,174
Surrenders (2,343) -- (250,295) (64,629)
Net increase in net assets resulting from unit
transactions 202,235 -- 2,767,354 1,112,607
-------- --------- ----------- -----------
Total increase in net assets 257,100 -- 3,494,428 1,143,718
Net assets:
Beginning of Period 251,197 -- 3,890,641 1,314,959
-------- --------- ----------- -----------
End of Period $508,297 $ -- $ 7,385,069 $ 2,458,677
======== ========= =========== ===========
<PAGE>
<CAPTION>
PCM PCM PCM PCM
New Money Diversified International
Opportunities Market Income Growth
Fund Fund Fund Fund
Sub-Account* Sub-Account* Sub-Account Sub-Account*
------------ ------------ ----------- ------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (1,204) $ 1,206 $ 186,498 $ (3,304)
Capital gains income -- -- 33,403 --
Net realized gain (loss) on security transactions -- -- (6,696) --
Net unrealized appreciation (depreciation) of
investments during the period 40,393 -- (121,152) (8,293)
---------- -------- ----------- ----------
Net increase (decrease) in net assets resulting
from operations 39,189 1,206 92,053 (11,597)
---------- -------- ----------- ----------
Unit transactions:
Purchases 416,371 11,340 1,162,286 1,121,862
Net transfers 2,627,440 592,977 (3,607,729) 7,703,693
Surrenders (2,461) (42) (83,337) (6,080)
---------- -------- ----------- ----------
Total increase (decrease) in net assets resulting
from unit transactions 3,041,350 604,275 (2,528,780) 8,819,475
---------- -------- ----------- ----------
Total increase (decrease) in net assets 3,080,539 605,481 (2,436,727) 8,807,878
Net assets:
Beginning of Period -- -- 3,065,837 --
End of Period $3,080,539 $605,481 $ 629,110 $8,807,878
========== ======== =========== ==========
For the year ended December 31, 1996
Operations:
Net investment income (loss) $ -- $ -- $ 59,441 $ --
Capital gains income -- -- -- --
Net realized gain (loss) on security transactions -- -- 32 --
Net unrealized appreciation (depreciation) of
investments during the period -- -- 91,892 --
-------- --------- ----------- ----------
Net increase (decrease) in net assets resulting
from operations -- -- 151,365 --
-------- --------- ----------- ----------
Unit transactions:
Purchases -- -- 1,646,339 --
Net transfers -- -- 346,797 --
Surrenders -- -- (100,736) --
-------- --------- ----------- ----------
Net increase in net assets resulting from unit
transactions -- -- 1,892,400 --
-------- --------- ----------- ----------
Total increase in net assets -- -- 2,043,765 --
Net assets:
Beginning of Period -- -- 1,022,072 --
-------- --------- ----------- ----------
End of Period $ -- $ -- $ 3,065,837 $ --
======== ========= =========== ==========
<FN>
* From inception, May 1, 1997 to June 30, 1997
The accompanying notes are an integral part of this financial statement.
</TABLE>
4
<PAGE>
Separate Account Six
ITT Hartford Life and Annuity Insurance Company
STATEMENT OF CHANGES IN NET ASSETS -- Continued
For the Six Months ended June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Pegasus Pegasus Pegasus
Growth Mid-Cap Pegasus Intrinsic Pegasus
and Value Opportunity Growth Value Bond
Fund Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account* Sub-Account*
----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (13,713) $ (56,891) $ (66,001) $ 747 $ 8,243
Capital gains income -- -- -- -- --
Net realized gain (loss) on security transactions 407 482,354 622,527 -- --
Net unrealized appreciation (depreciation) of
investments during the period 1,595,413 824,754 1,239,212 60,781 (5,287)
----------- ----------- ----------- ---------- ------------
Net increase in net assets resulting from
operations 1,582,107 1,250,208 1,795,738 61,528 2,956
----------- ----------- ----------- ---------- ------------
Unit transactions:
Purchases 5,238,561 2,001,142 2,804,857 1,259,398 2,933,955
Net transfers 11,842,204 (3,926,453) (4,877,778) 7,808,236 (18,215,790)
Surrenders (232,175) (246,091) (266,649) (6,441) (14,378)
----------- ----------- ----------- ---------- ------------
Total increase (decrease) in net assets
resulting from unit transactions 16,848,590 (2,171,402) (2,339,570) 9,061,193 21,135,367
----------- ----------- ----------- ---------- ------------
Total increase (decrease) in net assets 18,430,697 (921,194) (543,832) 9,122,721 21,138,323
Net assets:
Beginning of Period 7,899,983 8,526,473 10,872,581 -- --
End of Period $26,330,680 $ 7,605,279 $10,323,749 $9,122,721 $ 21,138,323
=========== =========== =========== ========== ============
For the year ended December 31, 1996
Operations:
Net investment income (loss) $ 172,013 $ (40,150) $ (84,994) $ -- $ --
Capital gains income 58,564 95,175 21,919 -- --
Net realized gain (loss) on security transactions 2,671 2,433 1,567 -- --
Net unrealized appreciation (depreciation) of
investments during the period 592,332 1,189,616 1,282,106 -- --
----------- ----------- ----------- ---------- ------------
Net increase in net assets resulting from
operations 825,580 1,247,074 1,220,598 -- --
----------- ----------- ----------- ---------- ------------
Unit transactions:
Purchases 3,856,399 2,978,256 3,671,953 -- --
Net transfers 281,626 147,979 452,544 -- --
Surrenders (228,985) (265,422) (335,723) -- --
----------- ----------- ----------- ---------- ------------
Total increase (decrease) in net assets resulting
from unit transactions 3,909,040 2,860,813 3,788,774 -- --
----------- ----------- ----------- ---------- ------------
Total increase (decrease) in net assets 4,734,620 4,107,887 5,009,372 -- --
Net assets:
Beginning of Period 3,165,363 4,418,586 5,863,209 -- --
----------- ----------- ----------- ---------- ------------
End of Period $ 7,899,983 $ 8,526,473 $10,872,581 $ -- $ --
=========== =========== =========== ========== ===========
<FN>
* From inception, May 1, 1997 to June 30, 1997
The accompanying notes are an integral part of this financial statement.
</TABLE>
5
<PAGE>
Separate Account Six
ITT Hartford Life and Annunity Insurance Company
NOTES TO FINANCIAL STATEMENTS
June 30, 1997
(Unaudited)
1. Organization:
Separate Account Six (the Account) is a separate investment account within
ITT Hartford Life & Annuity Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. Both
the Company and the Account are subject to supervision and regulation by
the Department of Insurance of the State of Connecticut and the SEC. The
Account invests deposits by variable annuity contractholders of the Company
in various mutual funds (The Funds) as directed by the contractholders.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
a) Security Transactions--
Security transactions are recorded on the trade date (date the order
to buy or sell is executed). Cost of investments sold is determined
on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date. Capital gains income
represents dividends from the Funds which are characterized as
capital gains under tax regulations.
b) Security Valuation--
The investment in shares of the Putnam Variable Trust Funds (Putnam
VT Global Growth Fund, Putnam VT Global Asset Allocation Fund,
Putnam VT U.S. Government and High Quality Bond Fund, Putnam VT
Diversified Income Fund, Putnam VT Growth and Income Fund, Putnam VT
New Opportunities Fund, Putnam VT Money Market Fund and Putnam VT
International Growth Fund) or the Pegasus Variable Annuity Funds
(Intrinsic Value Fund, Growth and Value Fund, Mid-Cap Opportunity
Fund, Growth Fund and Bond Fund) are valued at the closing net asset
value per share as determined by the appropriate Fund as of June 30,
1997.
c) Federal Income Taxes--
The operations of the Account form a part of, and are taxed with,
the total operations of the Company, which is taxed as an insurance
company under the Internal Revenue Code. Under current law, no
federal income taxes are payable with respect to the operations of
the Account.
d) Uses of Estimates--
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and
liabilities as of the date of the financial statements and the
reported amounts of income and expenses during the period. Operating
results in the future could vary from the amounts derived from
management's estimates.
3. Administration of the Account and Related Charges:
a) Mortality and Expense Undertakings--
The Company, as issuer of variable annuity contracts, provides the
mortality and expense undertakings and, with respect to the Account,
receives a maximum annual fee of up to 1.25% of the Account's
average daily net assets. The Company also provides administrative
services and receives an annual fee of 0.15% of the Account's
average daily net assets.
b) Deduction of Annual Maintenance Fee--
Annual maintenance fees are deducted through termination of units of
interest from applicable contract owners' accounts, in accordance
with the terms of the contracts.
6
<PAGE>
Pegasus Variable Annuity Fund
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Growth and Mid-Cap Growth Intrinsic Value Bond
Value Fund Opportunity Fund Fund Fund Fund
---------- ---------------- ---- -------------- ----
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $35,848,241 $6,841,535 $ 8,304,403 $16,675,771 $22,871,431
----------- ----------- ----------- ----------- -----------
Securities at Value $37,977,967 $8,349,056 $11,065,223 $16,763,062 $22,852,214
Receivable for securities sold -- -- -- 8,418 --
Receivable for shares purchased 42,471 18,452 15,745 15,792 44,281
Income receivable 26,618 10,124 16,730 15,003 284,835
Deferred organization costs, net 16,356 16,340 16,340 -- --
Prepaids and other assets 4,445 3,447 2,797 3,127 2,007
----------- ---------- ----------- ----------- -----------
TOTAL ASSETS $38,067,857 $8,397,419 $11,116,835 $16,805,402 $23,183,337
=========== ========== =========== =========== ===========
LIABILITIES:
Payable for securities purchased 10,906,893 -- -- 7,134,880 --
Accrued investment advisory fees 8,313 5,563 7,355 1,539 2,680
Accrued administration fees 2,078 1,391 1,839 385 1,004
Accrued custodial fees 2,087 8 1,151 1,263 793
Other payables and accrued expenses -- 638 1,622 9,264 3,372
----------- ---------- ----------- ---------- -----------
TOTAL LIABILITIES 10,919,371 7,600 11,967 7,147,331 7,849
NET ASSETS $27,148,486 $8,389,819 $11,104,868 $ 9,658,071 $23,175,488
=========== ========== =========== =========== ===========
Net assets consist of:
Capital shares (unlimited number of shares
authorized, par value
$.10 per share) $ 178,342 $ 54,932 $ 72,714 $ 90,996 $ 228,992
Additional paid-in capital 24,257,416 5,434,799 7,186,010 9,472,345 22,926,232
Accumulated undistributed net investment income
(loss) 9,843 (420) 1,270 5,050 25,218
Accumulated undistributed net realized gains 573,159 1,392,987 1,084,054 2,390 14,263
Net unrealized appreciation (depreciation) on
investments 2,129,726 1,507,521 2,760,820 87,291 (19,217)
TOTAL NET ASSETS $27,148,486 $8,389,819 $11,104,868 $ 9,658,071 $23,175,488
=========== ========== =========== =========== ===========
Shares of capital stock outstanding 1,783,422 549,316 727,137 909,955 2,289,920
=========== ========== =========== =========== ===========
Net asset value and redemption price per share $ 15.22 $ 15.27 $ 15.27 $ 10.61 $ 10.12
=========== ========== =========== =========== ===========
<FN>
See Notes to Financial Statements.
</TABLE>
7
<PAGE>
Pegasus Variable Annuity Fund
STATEMENTS OF OPERATIONS
Six Months Ended June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Growth and Mid-Cap Growth Intrinsic Value Bond
Value Fund Opportunity Fund Fund Fund(1) Fund(1)
---------- ---------------- ---- -------------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 25,347 $ 12,798 $ 21,880 $ 9,206 $ 59,534
Dividends 90,927 39,645 58,457 4,321 --
----------- ----------- ----------- --------- ---------
TOTAL INVESTMENT INCOME 116,274 52,443 80,337 13,527 59,534
EXPENSES:
Investment advisory fees 33,986 30,215 39,693 2,009 3,706
Administration fees 8,497 7,554 9,923 502 1,389
Professional fees 10,127 14,784 16,476 3,355 3,355
Custodial fee 14,118 10,106 6,823 2,562 1,595
Amortization of deferred organization costs 2,880 2,896 2,896 -- --
Insurance 1,564 1,886 2,473 61 61
Printing 3,718 4,670 6,061 976 976
Less: Expense reimbursement (25,862) (28,383) (26,908) (6,613) (4,867)
----------- ----------- ----------- --------- ---------
NET EXPENSES 49,028 43,728 57,437 2,852 6,215
----------- ----------- ----------- --------- ---------
NET INVESTMENT INCOME 67,246 8,715 22,900 10,675 53,319
=========== =========== =========== ========= =========
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS:
Net realized gains 434,839 1,327,727 1,110,668 2,390 14,263
Net change in unrealized appreciation
(depreciation) on investments 1,269,307 74,663 856,395 87,291 (19,217)
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS 1,704,146 1,402,390 1,967,063 89,681 (4,954)
=========== =========== =========== ========= =========
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,771,392 $ 1,411,105 $ 1,989,963 $ 100,356 $ 48,365
=========== =========== =========== ========= =========
<FN>
(1) For the period May 1, 1997 (commencement of operations) through June
30, 1997.
See Notes to Financial Statements.
</TABLE>
8
<PAGE>
Pegasus Variable Annuity Fund
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Growth and Mid-Cap
Value Fund Opportunity Fund
----------------------------------- ------------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) December 31, 1996 (Unaudited) December 31, 1996
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 67,246 $ 76,816 $ 8,715 $ 17,007
Net realized gains 434,839 383,386 1,327,727 250,859
Net change in unrealized appreciation on
investments 1,269,307 550,254 74,663 1,197,353
----------- ----------- ------------ ----------
Net increase in net assets from operations 1,771,392 1,010,456 1,411,105 1,465,219
----------- ----------- ------------ ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (64,322) (69,919) (9,201) (16,984)
From realized gains -- (277,463) -- (148,305)
----------- ----------- ------------ ----------
Total distributions (64,322) (347,382) (9,201) (165,289)
----------- ----------- ------------ ----------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 16,900,636 4,514,913 1,984,909 3,254,384
Net asset value of shares issued in
reinvestment of distributions to
shareholders 64,322 69,919 9,201 17,784
----------- ----------- ------------ ----------
16,964,958 4,584,832 1,994,110 3,272,168
Less payments for shares redeemed (126,099) (399,040) (4,221,855) (328,803)
----------- ----------- ------------ ----------
Net increase (decrease) in net assets from
capital share transactions 16,838,859 4,185,792 (2,227,745) 2,943,365
----------- ----------- ------------ ----------
NET INCREASE (DECREASE) IN NET ASSETS 18,545,929 4,848,866 (825,841) 4,243,295
NET ASSETS:
Beginning of period 8,602,557 3,753,691 9,215,660 4,972,365
----------- ----------- ------------ ----------
End of period $27,148,486 $ 8,602,557 $ 8,389,819 $9,215,660
=========== =========== ============ ==========
CAPITAL SHARE TRANSACTIONS:
Shares sold 1,136,091 355,619 142,367 259,511
Shares issued in reinvestment of
distributions to shareholders 4,457 5,483 639 1,410
----------- ---------- ----------- ----------
1,140,548 361,102 143,006 260,921
Less: shares redeemed (9,104) (31,926) (278,377) (27,359)
----------- ---------- ----------- ----------
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING 1,131,444 329,176 (135,371) 233,562
CAPITAL SHARES:
Beginning of period 651,978 322,802 684,687 451,125
----------- ---------- ----------- ----------
End of period 1,783,422 651,978 549,316 684,687
=========== ========== =========== ==========
<FN>
See Notes to Financial Statements.
</TABLE>
9
<PAGE>
Pegasus Variable Annuity Fund
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Growth Intrinsic Value Bond
Fund Fund Fund
---------------------------------- ---------------- ----------------
Six Months Ended Two Months Ended Two Months Ended
June 30, 1997 Year Ended June 30, 1997 June 30, 1997
(Unaudited) December 31, 1996 (Unaudited)(1) (Unaudited)(1)
-------------- ----------------- ---------------- ----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 22,900 $ 41,801 $ 10,675 $ 53,319
Net realized gains (losses) 1,110,668 (7,205) 2,390 14,263
Net change in unrealized appreciation
(depreciation) on investments 856,395 1,393,107 87,291 (19,217)
------------ ------------ ----------- ------------
Net increase in net assets from operations 1,989,963 1,427,703 100,356 48,365
------------ ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (22,712) (40,769) (5,625) (28,101)
From realized gains -- (3,939) -- --
In excess of realized gains -- (19,409) -- --
------------ ------------ ----------- ------------
Total distributions (22,712) (64,117) (5,625) (28,101)
------------ ------------ ----------- ------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 2,780,390 4,036,761 9,557,725 23,127,134
Net asset value of shares issued in
reinvestment of distributions to
shareholders 22,712 40,769 5,625 28,100
------------ ------------ ----------- ------------
2,803,102 4,077,530 9,563,350 23,155,234
Less payments for shares redeemed (5,207,506) (334,031) (10) (10)
------------ ------------ ----------- ------------
Net increase (decrease) in net assets from
capital share transactions (2,404,404) 3,743,499 9,563,340 23,155,224
------------ ------------ ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS (437,153) 5,107,085 9,658,071 23,175,488
NET ASSETS:
Beginning of period 11,542,021 6,434,936 -- --
------------ ------------ ----------- ------------
End of period $ 11,104,868 $ 11,542,021 $ 9,658,071 $ 23,175,488
============ ============ =========== ============
CAPITAL SHARE TRANSACTIONS:
Shares sold 195,708 326,834 909,424 2,287,136
Shares issued in reinvestment of
distributions to shareholders 1,568 3,152 532 2,785
------------ ------------ ----------- ------------
197,276 329,986 909,956 2,289,921
Less: shares redeemed (339,474) (26,488) (1) (1)
------------ ------------ ----------- ------------
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING (142,198) 303,498 909,955 2,289,920
CAPITAL SHARES:
Beginning of period 869,335 565,837 -- --
------------ ------------ ----------- ------------
End of period 727,137 869,335 909,955 2,289,920
============ ============ =========== ============
<FN>
(1) For the period May 1, 1997 (commencement of operations) through June
30, 1997.
See Notes to Financial Statements.
</TABLE>
10
<PAGE>
Pegasus Variable Annuity Growth and Value Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 31.62%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07, at various interest rates
ranging from 0.00% to 12.00%, all held at Chase
Bank) ........................................... $12,008,780 $12,008,780
-----------
(Cost $12,008,780)
<CAPTION>
Shares
------
COMMON STOCKS -- 68.38%
<S> <C> <C>
Aerospace -- 1.26%
Boeing Co. ...................................... 9,000 477,563
----------
Apparel -- 1.25%
Russell Corp. ................................... 16,000 474,000
----------
Banks -- 3.97%
BankAmerica Corp. ............................... 8,000 516,500
Barnett Banks, Inc. ............................. 6,000 315,000
Norwest Corp. ................................... 12,000 675,000
----------
1,506,500
-----------
Business Machines -- 1.83%
Electronic Data Systems Corp. ................... 17,000 697,000
-----------
Business Services -- 4.08%
Auto Data Processing, Inc. ...................... 11,000 517,000
Deluxe Corp. .................................... 18,000 614,250
Waste Management, Inc. .......................... 13,000 417,625
-----------
1,548,875
-----------
Chemicals -- 2.44%
Great Lakes Chemical Corp. ...................... 5,000 261,875
Sigma-Aldrich Corp. ............................. 19,000 666,188
-----------
928,063
-----------
Construction -- 4.02%
Fluor Corp. ..................................... 7,000 386,312
Masco Corp. ..................................... 13,000 542,750
York International Corp. ........................ 13,000 598,000
-----------
1,527,062
-----------
Consumer Durables -- 1.49%
Rubbermaid, Inc. ................................ 19,000 565,250
-----------
Containers -- 1.41%
Crown Cork & Seal Co. Inc. ...................... 10,000 534,375
-----------
Drugs and Medicine -- 6.59%
Abbot Laboratories Corp. ........................ 10,000 667,500
Bristol-Myers Squibb Co. ........................ 12,000 972,000
Schering-Plough Corp. ........................... 18,000 861,750
-----------
2,501,250
-----------
11
<PAGE>
Electronics -- 5.52%
Amp, Inc. ....................................... 15,000 626,250
Hewlett Packard Co. ............................. 9,000 504,000
Lucent Technology, Inc. ......................... 5,000 360,313
Motorola, Inc. .................................. 8,000 608,000
-----------
2,098,563
-----------
Energy and Utilities -- 6.06%
Enron Corp. ..................................... 12,000 489,750
FPL Group, Inc. ................................. 13,000 598,812
MCN Energy Group, Inc. .......................... 21,000 643,125
Pinnacle West Capital Corp. ..................... 19,000 571,188
-----------
2,302,875
-----------
Energy Raw Materials -- 1.64%
Schlumberger Ltd. ............................... 5,000 625,000
-----------
Food and Agriculture -- 6.88%
ConAgra, Inc. ................................... 11,000 705,375
CPC International, Inc. ......................... 7,000 646,187
PepsiCo, Inc. ................................... 19,000 713,688
Sysco Corp. ..................................... 15,000 547,500
-----------
2,612,750
-----------
Insurance -- 2.59%
American International Group, Inc. .............. 3,000 448,125
Chubb Corp. ..................................... 8,000 535,000
-----------
983,125
-----------
International Oil -- 1.38%
British Petroleum Plc Adr ....................... 7,000 524,125
-----------
Liquor -- 1.55%
Anheuser-Busch Companies, Inc. .................. 14,000 587,125
-----------
Media -- 3.40%
Gannett Co., Inc. ............................... 5,000 493,750
Washington Post Co., Class B .................... 2,000 796,000
-----------
1,289,750
-----------
Miscellaneous and Conglomerates -- 1.71%
Cognizant Corp. ................................. 16,000 648,000
-----------
Miscellaneous Finance -- 1.15%
PMI Group, Inc. (The) ........................... 7,000 436,625
-----------
Non-Durables and Entertainment -- 1.31%
Kimberly-Clark Corp. ............................ 10,000 497,500
-----------
Producer Goods -- 1.62%
Dover Corp. ..................................... 10,000 615,000
-----------
Retail -- 2.78%
Nordstrom, Inc. ................................. 13,000 637,812
Toys R Us, Inc.* ................................ 12,000 420,000
-----------
1,057,812
-----------
12
<PAGE>
Telephone -- 2.45%
Century Telephone Enterprises, Inc. ............. 14,000 471,625
MCI Communications Corp. ........................ 12,000 459,374
-----------
930,999
-----------
TOTAL COMMON STOCKS ................................. 25,969,187
(Cost $23,839,461) -----------
TOTAL INVESTMENTS ................................... $37,977,967
(Cost $35,848,241) ===========
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
13
<PAGE>
Variable Annuity Mid-Cap Opportunity Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 5.91%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by U.S. Treasury obligations
with maturities ranging from 8/15/97 through
2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... 493,253 $493,253
--------
(Cost $493,253)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 94.09%
Air Transport -- 1.24%
Air Express International Corp. ................. 2,600 103,350
-------
Apparel -- 1.66%
Nine West Group, Inc.* .......................... 1,100 42,006
Tommy Hilfiger Corp.* ........................... 2,400 96,450
-------
138,456
-------
Banks -- 5.30%
Charter One Financial, Inc. ..................... 3,677 198,098
First Tennessee National Corp. .................. 1,800 86,400
TCF Financial Corp. ............................. 3,200 158,000
-------
442,498
-------
Business Machines -- 3.18%
Comdisco, Inc. .................................. 4,850 126,100
Diebold, Inc. ................................... 1,500 58,500
Xilinx, Inc.* ................................... 1,650 80,953
-------
265,553
-------
Business Services -- 5.19%
CDI Corp.* ...................................... 2,100 87,544
DST Systems, Inc.* .............................. 3,400 113,262
G & K Services, Inc. Class A .................... 1,200 44,700
Omnicom Group, Inc. ............................. 1,800 110,925
SunGard Data Systems, Inc.* ..................... 1,650 76,725
-------
433,156
-------
Chemicals -- .78%
RPM, Inc. ....................................... 3,525 64,772
-------
Construction -- 2.22%
Crane Co. ....................................... 4,425 185,020
-------
Consumer Durables -- 2.10%
Durakon Industries, Inc.* ....................... 2,200 20,900
Leggett & Platt, Inc. ........................... 3,600 154,800
-------
175,700
-------
Containers -- 1.57%
AptarGroup, Inc. ................................ 2,900 131,225
-------
14
<PAGE>
Drugs and Medicine -- 4.77%
Health Care & Retirement Corp.* ................. 3,000 100,125
Quorum Health Group, Inc.* ...................... 4,100 146,575
Sybron International Corp.* ..................... 3,800 151,525
-------
398,225
-------
Electronics -- 8.70%
Belden, Inc. .................................... 5,400 183,938
Dynatech Corp.* ................................. 3,050 109,038
KEMET Corp.* .................................... 4,400 109,450
Microchip Technology, Inc.* ..................... 2,200 65,450
Molex, Inc. Class A Non-Voting .................. 3,031 105,706
Teradyne, Inc.* ................................. 3,900 153,075
-------
726,657
-------
Energy Raw Materials -- 6.00%
Apache Corp. .................................... 4,600 149,500
Noble Affiliates, Inc. .......................... 3,300 127,669
Smith International, Inc.* ...................... 2,400 145,800
Southwestern Energy Co. ......................... 6,000 78,000
-------
500,969
-------
Insurance -- 4.93%
Capital RE Corp. ................................ 3,000 160,500
CapMac Holdings, Inc. ........................... 2,300 77,337
Transatlantic Holdings, Inc. .................... 1,750 173,688
-------
411,525
-------
Media -- 1.40%
Banta Corp. ..................................... 4,300 116,637
-------
Miscellaneous and Conglomerates -- 6.62%
Culligan Water Technologies, Inc.* .............. 1,600 71,600
DENTSPLY International, Inc. .................... 1,950 95,550
Greenfield Industries, Inc. ..................... 2,050 55,350
Health Management Associates, Inc. Class A* ..... 1,575 44,888
Littlefuse, Inc.* ............................... 4,400 124,300
Water Corp.* .................................... 2,400 86,100
Wolverine Tube, Inc.* ........................... 2,700 75,263
-------
553,051
-------
Miscellaneous Finance -- 16.05%
CMAC Investment Corp. ........................... 3,900 186,225
Edwards (A.G.), Inc. ............................ 3,500 149,625
Everest Reinsurance Holdings, Inc. .............. 5,000 198,125
Executive Risk, Inc. ............................ 2,700 140,400
FINOVA Group, Inc. .............................. 2,350 179,775
First Financial Corp. ........................... 4,025 118,235
Idex Corp. ...................................... 3,775 124,575
PMI Group, Inc. ................................. 2,750 171,531
Scotsman Industries, Inc. ....................... 2,500 71,250
-------
1,339,741
---------
15
<PAGE>
Motor Vehicles -- 6.63%
Borg Warner Automotive, Inc. .................... 4,000 216,250
Harley-Davidson, Inc. ........................... 3,200 153,400
Myers Industries, Inc. .......................... 3,230 54,506
Tower Automotive, Inc.* ......................... 3,000 129,000
-------
553,156
-------
Non-Durables and Entertainment -- 1.27%
Lancaster Colony Corp. .......................... 2,200 106,425
-------
Non-Ferrous Metals -- 1.88%
DT Industries, Inc. ............................. 4,400 157,300
-------
Producer Goods -- 6.06%
Federal Signal Corp. ............................ 1,500 37,687
Hubbell, Inc. Class B ........................... 3,300 145,200
Juno Lighting, Inc. ............................. 6,100 99,125
Teleflex, Inc. .................................. 3,300 103,125
TriMas Corp. .................................... 4,300 120,938
-------
506,075
-------
Retail -- 4.67%
Kohls Corp.* .................................... 1,600 84,700
Proffitts, Inc.* ................................ 3,800 166,725
Zale Corp.* ..................................... 7,000 138,687
-------
390,112
-------
Travel and Recreation -- 1.87%
Callaway Golf Co. ............................... 4,400 156,200
-------
TOTAL COMMON STOCKS ................................. 7,855,803
(Cost $6,348,282) ---------
TOTAL INVESTMENTS ................................... $8,349,056
(Cost $6,841,535) ==========
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE> 16
<PAGE>
Variable Annuity Growth Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 2.40%
Salomon Brothers, Revolving Repurchase
Agreement, 6.00%, 7/1/97, (secured
by various U.S. Treasury obligations with
maturities ranging from 8/15/97 through
2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $265,660 $265,660
--------
(Cost $265,660)
<CAPTION>
Shares
------
<S> <C> <C>
COMMON STOCKS -- 97.60%
Banks -- 5.87%
MBNA Corp. ...................................... 5,000 183,125
Norwest Corp. ................................... 5,000 281,250
State Street Boston Corp. ....................... 4,000 185,000
-------
649,375
-------
Business Machines -- 8.65%
Cisco System, Inc* .............................. 4,000 268,500
Microsoft Corp.* ................................ 4,500 568,688
Silicon Graphics* ............................... 8,000 120,000
-------
957,188
-------
Business Services -- 6.86%
Automatic Data Processing,
Inc. .......................................... 4,000 188,000
-------
Computer Associates
International, Inc. ........................... 3,000 167,063
First Data Corp. ................................ 5,000 219,688
Interpublic Group of
Companies, Inc. ............................... 3,000 183,938
-------
758,689
-------
Chemicals -- 2.02%
Praxair, Inc. ................................... 4,000 224,000
-------
Construction -- 2.00%
Fluor Corp. ..................................... 4,000 220,750
-------
Consumer Durables -- 1.97%
Newell Co. ...................................... 5,500 217,937
-------
Containers -- 1.69%
Crown Cork & Seal Co., Inc. ..................... 3,500 187,031
-------
Drugs and Medicine -- 19.95%
American Home Products Corp. .................... 1,500 114,750
Amgen, Inc.* .................................... 1,500 261,563
Columbia HCA Healthcare Corp. 7,000 275,188
Guidant Corp. ................................... 2,000 170,000
Johnson & Johnson ............................... 3,500 225,312
Mylan Laboratories, Inc. ........................ 8,000 118,000
Pall Corp. ...................................... 5,000 116,250
Pfizer, Inc. .................................... 2,000 239,000
Smithkline Beecham PLC ADR ...................... 4,000 366,500
Stryker Corp. ................................... 4,000 139,500
United Healthcare Corp. ......................... 3,500 182,000
---------
2,208,063
---------
17
<PAGE>
Electronics -- 7.82%
Hewlett Packard Co. ............................. 4,000 224,000
Intel Corp. ..................................... 3,000 425,438
Lucent Technologies, Inc. ....................... 3,000 216,187
---------
865,625
---------
Energy and Utilities -- 3.95%
AES Corp.* ...................................... 3,000 212,250
Enron Corp. ..................................... 5,500 224,469
---------
436,719
---------
Energy Raw Materials -- 3.12%
Schlumberger Ltd. ............................... 1,000 125,000
Western Atlas, Inc.* ............................ 3,000 219,750
---------
344,750
Food and Agriculture -- 1.53% ---------
PepsiCo, Inc. ................................... 4,500 169,031
---------
Insurance -- 4.15%
AFLAC, Inc. ..................................... 3,500 165,375
UNUM Corp. ...................................... 7,000 294,000
---------
459,375
---------
Media -- 1.28%
Cabletron System, Inc.* ......................... 5,000 141,562
---------
Miscellaneous and Conglomerates -- 2.66%
Elan PLC ADR* ................................... 6,500 294,125
---------
Non-Durables and Entertainment -- 6.44%
Kimberly-Clark Corp. ............................ 4,000 199,000
Oracle Systems Corp.* ........................... 4,000 201,500
Service Corp. International ..................... 9,500 312,312
---------
712,812
---------
Producer Goods -- 2.71%
Illinois Tool Works, Inc. ....................... 6,000 299,625
---------
Retail -- 4.50%
Home Depot, Inc. ................................ 4,500 310,218
Walgreen Co. .................................... 3,500 187,688
---------
497,906
---------
Soaps and Cosmetics -- 1.91%
Procter & Gamble Co. ............................ 1,500 211,875
---------
Telephone -- 1.98%
AirTouch Communications, Inc.* 8,000 219,000
---------
Tobacco -- 1.80%
Philip Morris Companies, Inc. 4,500 199,688
---------
18
<PAGE>
Travel and Recreation -- 4.74%
Carnival Corp., Class A ......................... 7,000 288,750
Gaylord Entertainment Co. Class A ............... 5,000 115,313
Disney (Walt) Co. ............................... 1,500 120,375
---------
524,438
---------
TOTAL COMMON STOCKS ................................. 10,799,564
---------
(Cost $8,038,743)
TOTAL INVESTMENTS ................................... $11,065,223
===========
(Cost $8,304,403)
<FN>
*Non-income producing security
See Notes to Financial Statements.
</TABLE>
19
<PAGE>
Variable Annuity Intrinsic Value Fund
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 46.02%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by various U.S. Treasury
obligations with maturities ranging from 08/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ... $7,714,745 $7,714,745
----------
(Cost $7,714,745)
CONVERTIBLE BONDS -- 5.62%
Consolidated Natural Gas Co., 7.25%, 12/15/15 ..... 88,000 93,830
Costco Wholesale Corp., 5.75%, 5/15/02 ............ 286,000 292,078
Hasbro Inc., 6.00%, 11/15/98 ...................... 39,000 57,866
Nac Re Corp., 5.25%, 12/15/02 ..................... 310,000 346,813
Potomac Electric Power Co., 5.00%, 9/01/02 ........ 165,000 152,213
----------
(Cost $923,860) 942,800
----------
Shares
------
NON-CONVERTIBLE PREFERRED -- .63%
Finance -- 1.10%
Salomon Inc., 7.625% Preferred .................. 3,000 105,375
----------
(Cost $100,869)
COMMON STOCKS -- 47.73%
Aerospace-- 2.72%
Lockheed Martin Corp. ........................... 4,400 455,675
----------
Apparel -- 3.86%
Payless Shoesource, Inc.* ....................... 7,400 404,688
Unifi, Inc. ..................................... 6,500 242,937
----------
647,625
----------
Banks -- 1.86%
Mercantile Bankshares Corp. ..................... 2,600 104,000
Pacific Century Financial Corp. ................. 4,500 208,125
----------
312,125
----------
Business Services -- .65%
Grey Advertising, Inc. .......................... 330 108,900
----------
Chemicals -- 1.45%
NCH Corp. ....................................... 3,900 243,750
----------
Consumer Durables -- .48%
National Presto Industries, Inc. ................ 2,000 80,625
----------
Domestic Oil -- 2.22%
Atlantic Richfield Co. .......................... 1,300 91,650
MAPCO, Inc. ..................................... 8,900 280,350
----------
372,000
----------
Drugs and Medicine -- 2.13%
Block Drug, Inc. Class A ........................ 2,300 100,625
Mid Ocean Ltd. .................................. 4,900 256,944
----------
357,569
----------
21
<PAGE>
Energy and Utilities -- 3.41%
Equitable Resources, Inc. ....................... 2,300 65,263
Sierra Pacific Resources ........................ 6,700 214,400
Southwest Gas Corp. ............................. 2,900 57,637
St. Joseph Light & Power Co. .................... 1,700 27,837
Washington Water Power Co. ...................... 10,500 206,063
----------
571,200
----------
Energy Raw Materials -- 1.02%
Ashland Coal, Inc. .............................. 6,000 171,000
----------
Food and Agriculture -- .23%
Farmer Brothers Co. ............................. 300 38,100
----------
Insurance -- 8.63%
Allmerica Property & Casualty Co. ............... 7,900 258,725
AMBAC, Inc. ..................................... 1,500 114,563
American National Insurance Co. ................. 1,800 160,650
Citizens Corp. .................................. 8,400 232,050
Financial Security Assurance Holdings ........... 4,500 175,219
Old Republic International Corp. ................ 10,700 324,343
Safeco Corp. .................................... 3,900 182,081
----------
1,447,631
----------
International Oil -- .47%
Amoco Corp. ..................................... 900 78,244
----------
Miscellaneous and Conglomerates -- 1.58%
Guiness PLC ADR ................................. 5,400 264,224
----------
Miscellaneous Finance -- 5.65%
Federal National Mortgage Association ........... 7,200 314,100
Fund American Enterprises Holdings, Inc. ........ 4,200 441,000
Leucadia National Corp. ......................... 6,200 191,812
----------
946,912
----------
Motor Vehicles -- .43%
Ford Motor Co. .................................. 1,900 71,725
----------
Non-Durables and Entertainment -- 3.02%
Hasbro, Inc. .................................... 3,900 110,662
Lubys Cafeterias, Inc. .......................... 9,000 179,438
Sbarro, Inc. .................................... 7,800 216,450
----------
506,550
----------
Producer Goods -- .18%
Tennant Co. ..................................... 900 29,925
----------
Railroads and Shipping -- 1.90%
Alexander & Baldwin, Inc. ....................... 8,700 227,288
Illinois Central Corp. Series A ................. 2,600 90,837
----------
318,125
----------
22
<PAGE>
Retail -- 1.58%
May Department Stores Co. ....................... 2,200 103,950
Stanhome, Inc. .................................. 4,900 161,087
----------
265,037
----------
Tires and Rubber Goods -- 1.63%
Bandag, Inc. Class A ............................ 5,600 272,650
----------
Tobacco -- 2.63%
Loews Corp. ..................................... 4,400 440,550
----------
TOTAL COMMON STOCKS ................................. 8,000,142
----------
(Cost $7,936,297)
TOTAL INVESTMENTS ................................... $16,763,062
===========
(Cost $16,675,771)
<FN>
* Non-income producing security.
See Notes to Financial Statements.
</TABLE>
22
<PAGE>
Variable Annuity Bond Fund
PORTFOLIIO OF INVESTMENTS
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Description Face Amount Market Value
----------- ----------- ------------
<S> <C> <C>
TEMPORARY CASH INVESTMENT -- 7.92%
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97, (secured by U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates
ranging from 0.00% to 12.00%, all held at
Chase Bank) ................................... $1,810,092 $ 1,810,092
-----------
(Cost $1,810,092)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 87.63%
U.S. Treasury Securities -- 72.51%
U.S. Treasury Bonds:
8.75%, 05/15/17 ............................... 2,400,000 2,887,488
12.75%, 11/15/10 .............................. 5,300,000 7,354,598
U.S. Treasury Inflation Protection Security,
3.75%, 01/15/08 ............................... 202,042 197,307
U.S. Treasury Note, 7.125%, 02/29/00 ............ 6,000,000 6,131,220
----------
(Cost $16,591,655) 16,570,613
-----------
Agency Obligations -- 15.12%
Federal Home Loan Mortgage Corp. Gtd. Multi-Class
Mortgage Participation Ctfs.:
Series 11 Class 11-D, 9.50%, 07/15/19 ....... 250,000 272,143
Series 21 Class CL SD, IF, 08/25/22 ......... 100,000 89,271
Series 22 Class C, 9.50%, 04/15/20 .......... 151,920 165,095
Series 47 Class 47-F, 10.00%, 06/15/20 ...... 100,000 108,806
Series 128 Class I, 6.50%, 02/15/21 ......... 200,000 194,080
Series 1297 Class H, 7.50%, 01/15/20 ........ 190,109 189,771
Series 1378 Class H, 10.00%, 01/15/21 ....... 150,000 169,249
Series 1389 Class SA, IF, 10/15/07 .......... 40,303 30,614
Series 1489 Class L, 5.50%, 04/15/08 ........ 185,484 181,471
Series 1491 Class MA, 6.75%, 11/15/22 ....... 112,131 107,560
Series 1586 Class A, 6.00%, 9/15/08 ......... 191,151 185,369
Series 1647 Class SB, IF, 12/15/08 .......... 88,853 79,806
Series 1686 Class SL, IF, 02/15/24 .......... 138,673 118,744
Series 1796-A Class S, IF, 02/15/09 ......... 125,000 97,578
Federal National Mortgage Assn. Pass Thru
Securities:
Pool #303532, AR, 03/01/29 .................... 153,211 151,860
Federal National Mortgage Assn. Pass Thru
Securities Gtd.
REMIC Trust:
1990 Class 1-D, 8.800%, 01/25/20 ............ 171,424 179,918
1990 Class 93-G, 5.500%, 08/25/20 ........... 29,742 28,171
1990 Class 143-J, 8.750%, 12/25/20 .......... 200,000 208,646
1992-G Class 42-Z, 7.00%, 07/25/22 .......... 140,940 134,239
1994-G Class 13-ZB, 7.00%, 11/17/24 ......... 179,638 167,322
1995 Class 13-B, 6.50%, 03/25/09 ............ 136,034 132,293
1996 Class 20-L, PO, 09/25/08 ............... 195,000 115,419
1996 Class 24-B, PO, 10/25/08 ............... 200,000 108,713
Government National Mortgage Assn. Pass Thru
Securities:
Pool #297628, 8.00%, 09/15/22 ............... 187,303 192,933
Government National Mortgage Assn. Pass Thru
Securities Gtd. REMIC Trust:
1994 Class 4-SA, IF, IO, 10/16/22 ........... 756,585 45,462
-----------
(Cost $3,455,562) 3,454,533
-----------
23
<PAGE>
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 20,025,146
-----------
(Cost $20,047,217)
CORPORATE BONDS AND NOTES -- 4.45%
Finance -- 4.45%
Case Equipment Loan Trust Asset Backed Pass Thru.
Ctf.,
Series 1995-A, Class A, 7.30%, 03/15/02 ....... 155,387 157,482
Ford Credit Grantor Trust Asset Backed Ctf.,
Series 1994-A, Class A, 7.30%, 05/15/99 ....... 92,576 92,861
NationsBank Auto Grantor Trust Asset Backed Ctf.,
Series 1995-A, Class A, 8.85%, 06/15/02 ....... 60,256 60,326
Navistar Financial Corp. Owner Trust, Series
1995-1, Class A2, 6.55%, 11/20/01 ............. 170,276 171,020
Olympic Automobile Rec. Trust Asset Backed Pass
Thru Ctf.,
Series 1996-C Class A5, 7.00%, 12/15/01 ....... 300,000 304,800
Western Financial Asset Backed Pass Thru Ctf.,
Series 1996-C, Class A4, 6.80%, 12/20/03 ...... 150,000 151,566
World Omni Automobile Lease Sec Trust Asset
Backed Pass Thru Ctf., Series 1995-A, Class A,
6.05%, 11/25/01 ............................... 78,872 78,921
-----------
TOTAL CORPORATE BONDS AND NOTES ..................... 1,016,976
-----------
(Cost $1,014,122)
TOTAL INVESTMENTS ................................... $22,852,214
===========
(Cost $22,871,431)
<FN>
See Notes to Financial Statements.
</TABLE>
24
<PAGE>
Pegasus Variable Annuity Bond Fund
PORTFOLIO OF INVESTMENTS - (Continued)
June 30, 1997
Notes to Portfolio of Investments
The Fund invests in securities whose value is derived from an underlying pool
of mortgages or consumer loans. Some of these securities are collateralized
mortgage obligations (CMOs). CMOs are debt securities issued by U.S.
government agencies or by financial institutions and other mortgage lenders
which are collateralized by a pool of mortgages held under an indenture.
Adjustable Rate (AR)
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Interest Only (IO) represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more volatile
and there is a greater risk that the initial investment will not be fully
recouped. These securities are subject to accelerated principal paydowns as a
result of prepayments or refinancing of the underlying pool of mortgage
instruments. As a result, interest income may be reduced considerably.
High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks as
those associated with IO securities. Unlike IO's the owner also has a right
to receive a very small portion of principal. The high interest rate results
from taking interest payments from other classes in the REMIC Trust and
allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal portion only
on an underlying pool of mortgage loans. The market value of these securities
is extremely volatile in response to changes in market interest rates. As
prepayments on the underlying mortgages of these securities increase, the yield
on these securities increases.
See Notes to Financial Statements.
25
<PAGE>
Pegasus Variable Annuity Fund
NOTES TO FINANCIAL STATEMENTS
(1) Organization and Commencement of Operations
The Pegasus Variable Annuity Fund (the "Trust"), formerly "The Woodward
Variable Annuity Fund", was organized as a Delaware business trust on
November 7, 1994, and registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company. As of June 30, 1997,
the Trust consisted of five separate series of which there were four Equity
Funds and one Bond Fund, as described below.
Equity Funds:
Pegasus Variable Annuity Growth and Value Fund
Pegasus Variable Annuity Mid-Cap Opportunity Fund
Pegasus Variable Annuity Growth Fund
Pegasus Variable Annuity Intrinsic Value Fund
Bond Fund:
Pegasus Variable Annuity Bond Fund
The Equity Funds commenced operations on March 30, 1995, except for the
Intrinsic Value Fund and the Bond Fund, which commenced operations on May 1,
1997. Shares of the Trust are made available to serve as the underlying
investment media of the variable annuity contracts issued by Separate Account
Six of the ITT Hartford Life & Annuity Insurance Company. Orders for the
Trust's shares are executed in accordance with the investment instructions of
the contract owners.
As of October 7, 1996 the Woodward Variable Annuity Growth/Value Fund,
Woodward Variable Annuity Opportunity Fund, and Woodward Variable Annuity
Capital Growth Fund changed their names to the Pegasus Variable Annuity
Growth and Value Fund, Pegasus Variable Annuity Mid-Cap Opportunity Fund, and
Pegasus Variable Annuity Growth Fund, respectively.
On June 26, 1997, the Pegasus Variable Annuity Managed Assets Balanced
and Money Market Funds liquidated their assets and discontinued operations.
Shareholder investments in these two portfolios were reallocated into the other
existing mutual funds offered by Separate Account Six within ITT Hartford
Life and Annuity Insurance Company, such shares being equal in value to the
net assets so reallocated.
(2) Significant Accounting Policies
The following is a summary of significant accounting policies followed
in the preparation of the financial statements. The policies are in
conformity with generally accepted accounting principles for investment
companies. Following generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities, the disclosure of contingent assets and
liabilities at the date of the financial statements and reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
Investments
The Equity Funds value investment securities at market value which is
determined by a pricing service based upon quoted market prices or dealer
quotes. Securities for which market prices or dealer quotes are not readily
available are valued by the investment advisor, First Chicago NBD Investment
Management Company (FCNIMCO) in accordance with procedures approved by the
Board of Trustees. Fixed income securities with maturities less than 60 days
are carried at amortized cost, which approximates market value.
Investment security purchases and sales are accounted for on the day
after trade date by the Equity Funds and the Bond Fund.
The Trust invests in securities subject to repurchase agreements. Such
transactions are entered into only with institutions included on the Federal
Reserve System's list of institutions with whom the Federal Reserve open
market desk will do business. FCNIMCO, acting under the supervision of the
Board of Trustees, has established the following additional policies and
procedures relating to the Trust's investments in securities subject to
repurchase agreements: 1) the value of the underlying collateral is required
to equal or exceed 102% of the funds advanced under the repurchase agreement
including accrued interest; 2) collateral is marked to market daily by
FCNIMCO to assure its value remains at least equal to 102% of the repurchase
agreement
26
<PAGE>
amount: and 3) funds are not disbursed by the Trust or its agent unless
collateral is presented or acknowledged by the collateral custodian.
Investment Income
Interest income is recorded daily on the accrual basis adjusted for
amortization of premium and accretion of discount on debt instruments. Bond
premiums and discounts are amortized/accreted as required by the Internal
Revenue Code (the Code), as amended. Premiums and discounts on mortgage-backed
securities are amortized/accreted using the effective interest rate method.
As prepayments on the underlying mortgages increase or decrease the expected
life, the yield is adjusted to amortize/accrete the security to its new
expected life. Dividends are recorded on the ex-dividend date.
Federal Income Taxes
It is the Trust's policy to comply with the requirements of Subchapter M of
the Code, applicable to regulated investment companies and to distribute net
investment income and realized gains to its shareholders. Therefore, no
federal income tax provision is required in the accompanying financial
statements.
Net realized gains differ for financial statement and tax purposes
primarily because of the recognition of wash sale transactions and
post-October 30 capital losses. Also, due to the timing of dividend
distributions, the fiscal year in which amounts are distributed may differ
from the year that income or realized gains were recorded by the funds.
Certain book-to-tax timing differences for the funds are reflected as excess
distributions in the Statements of Changes in Net Assets. These distributions
do not constitute a tax return of capital.
Shareholder Dividends
Dividends from net investment income are declared and paid quarterly by the
Equity Funds and monthly by the Bond Fund. Net realized capital gains are
distributed annually. Distributions from net investment income and net
realized gains are made during each year to prevent the 4% excise tax imposed
on regulated investment companies by the Internal Revenue Code.
Deferred Organization Costs
Organization costs are being amortized on a straight-line basis over the
five year period beginning with the commencement of operations of each
series.
Expenses
Expenses are charged daily as a percentage of the respective Fund's assets.
The Trust monitors the rate at which expenses are charged to ensure that a
proper amount of expense is charged to income each year. This percentage is
subject to revision if there is a change in the estimate of the future net
assets of Pegasus or a change in expectations as to the level of actual
expenses.
When Issued/To Be Announced (TBA) Securities
The Bond Fund may purchase securities on a "when issued" basis. These
securities have been registered by a municipality or government agency, but
have not yet been issued to the public. These transactions involve a
commitment by the Funds to purchase particular securities, with payment and
delivery taking place at a future date, for which all specific information,
such as the face amount and maturity date of such investment security, is not
known at the time of the trade. These transactions are subject to market
fluctuations and the risk that the value at delivery may be more or less than
the purchase price at which the transactions were entered. The current value
of these securities is determined in the same manner as that of other
portfolio securities. Although the Bond Fund generally purchases these
securities with the intention of acquisition, such securities may be sold
before the settlement.
27
<PAGE>
(3) Investment Advisory Fee, Administration Fee and Other Transactions with
Affiliates
FCNIMCO is the investment advisor pursuant to the Advisory Agreement.
For its advisory services to the Trust, FCNIMCO is entitled to a fee,
computed daily and payable monthly.
FCNIMCO and BISYS serve as the Trust's Co-Administrators pursuant to an
Administration Agreement with the Trust. Under the Administration Agreement,
FCNIMCO and BISYS generally assist in all aspects of the Trust's operations,
other than providing investment advice, subject to the overall authority of
the Trust's Board of Trustees in accordance with Delaware law. Under the
terms of the Administration Agreement, FCNIMCO and BISYS are entitled to a
monthly administration fee at the annual rate of 0.15% of each Fund's average
daily assets.
Prior to October 7, 1996, the Funds incurred no separate administration
fee in addition to the advisory fee for administrative service rendered by
FCNIMCO under the prior investment advisory agreement.
FCNIMCO has agreed that they may waive their fees in whole or in part;
and, if in part, may specify the particular fund to which such waiver relates
as may be required to satisfy any expense limitation imposed by state
securities laws or other applicable laws. At present, no restrictive expense
limitation is imposed on the Trust. For the period ended June 30, 1997,
FCNIMCO reimbursed the Growth and Value Fund, Mid-Cap Opportunity Fund,
Growth Fund, Intrinsic Value Fund and Bond Fund for certain expenses in the
amounts of $25,862, $28,383 $26,908, $6,613 and $4,867 respectively.
See Note 5 for a summary of fee rates and expenses pursuant to these
agreements.
(4) Investment Securities Transactions
Information with respect to investment securities and security
transactions is as follows:
<TABLE>
<CAPTION>
Growth and Mid-Cap Growth Intrinsic Value Bond
Value Fund Opportunity Fund Fund Fund Fund
---------- ---------------- ------ --------------- ----
<S> <C> <C> <C> <C> <C>
Gross Unrealized Gains $ 2,404,894 $1,589,267 $2,919,973 $ 170,762 $ 38,857
----------- ---------- ---------- ----------- -----------
Gross Unrealized Losses (279,380) (86,451) (159,154) (83,471) (58,074)
----------- ---------- ---------- ----------- -----------
$ 2,125,514 $1,502,816 $2,760,820 $ 87,291 $ (19,217)
=========== ========== ========== =========== ===========
Federal Income Tax Cost $35,848,241 $6,841,535 $8,304,403 $16,675,771 $22,871,431
Purchases $17,635,220 $3,079,459 $2,095,458 $ 8,996,858 $22,305,286
Sales $ 1,693,110 $5,406,168 $4,368,350 $ 38,033 $ 1,599,225
</TABLE>
(5) Expenses
Following is a summary of total expense rates charged, advisory and
administration fee rates payable to FCNIMCO, and amounts paid to FCNIMCO,
pursuant to the agreements described in Note 3 for the period ended June 30,
1997. The rates shown are stated as a percentage of each fund's average net
assets.
<TABLE>
<CAPTION>
Growth and Mid-Cap Growth Intrinsic Value Bond
Effective Date Value Fund Opportunity Fund Fund Fund Fund
-------------- ---------- ---------------- ------ --------------- ----
<S> <C> <C> <C> <C> <C>
Expense Rates:
January 1 0.85% 0.85% 0.85% 0.85% 0.65%
June 1 0.95% 0.95% 0.95% 0.95% 0.75%
FCNIMCO Advisory Fee:
January 1 0.60% 0.60% 0.60% 0.60% 0.40%
FCNIMCO Administration Fee:
January 1 0.15% 0.15% 0.15% 0.15% 0.15%
Amounts Paid:
Advisory Fee to FCNIMCO $ 33,986 $ 30,215 $ 39,693 $ 2,009 $ 3,706
Other Fees & Out of Pocket
Expenses to FCNIMCO $ 22,615 $ 17,660 $ 16,746 $ 3,064 $ 2,984
Expense Reimbursements by FCNIMCO $(25,862) $(28,383) $(26,908) $(6,613) $(4,867)
</TABLE>
28
<PAGE>
(6) Equity of Affiliates
As of June 30, 1997, Hartford Life Insurance Company held direct
interest in shares as follows:
<TABLE>
<CAPTION>
Percent of
Total
Shares Shares
------ ------
<S> <C> <C>
Pegasus Growth and Value Fund 54,057 3.03%
Pegasus Mid-Cap Opportunity Fund 51,261 9.33%
Pegasus Growth Fund 50,942 7.01%
Pegasus Intrinsic Value Fund 50,132 5.51%
Pegasus Bond Fund 201,153 8.78%
</TABLE>
29
<PAGE>
Pegasus Funds
----------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
The Financial Highlights present a per share analysis of how the Variable
Annuity Funds' net asset values have changed during the periods presented.
Additional quantitative measures expressed in ratio form analyze important
relationships between certain items presented in the financial statements of
the Funds and other information for the periods presented.
<TABLE>
<CAPTION>
Investment Operations
----------------------------------------------------
Net
Realized
and
Net Asset Unrealized
Value Net Gains (Losses) Total from
Beginning Investment on Investment
of Period Income Investments Operations
--------- ------ ----------- ----------
<S> <C> <C> <C> <C>
GROWTH AND VALUE FUND
For the period ended 6/30/97(Unaudited) $ 13.19 0.07 2.03 2.10
December 31, 1996 11.63 0.15 2.02 2.17
December 31, 1995(1) 10.00 0.13 1.63 1.76
MID-CAP OPPORTUNITY FUND
For the period ended 6/30/97(Unaudited) $ 13.46 0.01 1.81 1.82
December 31, 1996 11.02 0.03 2.67 2.70
December 31, 1995(1) 10.00 0.05 1.02 1.07
GROWTH FUND
For the period ended 6/30/97(Unaudited) $ 13.28 0.02 1.99 2.01
December 31, 1996 11.37 0.05 1.94 1.99
December 31, 1995(1) 10.00 0.05 1.38 1.43
INTRINSIC VALUE FUND
For the period ended 6/30/97(Unaudited)(2) $ 10.00 0.03 0.61 0.64
BOND FUND
For the period ended 6/30/97(Unaudited)(2) $ 10.00 0.06 0.12 0.18
<CAPTION>
Less Distributions
- ---------------------------------------------------
From
Net From In Excess
Investment Realized of Realized Total
Income Gains Gains Distributions
- -------- ------- ----------- -------------
<S> <C> <C> <C>
(0.07) -- -- (0.07)
(0.14) (0.47) -- (0.61)
(0.13) -- -- (0.13)
(0.01) -- -- (0.01)
(0.03) (0.23) -- (0.26)
(0.05) -- -- (0.05)
(0.02) -- -- (0.02)
(0.05) (0.01) (0.02) (0.08)
(0.05) (0.01) -- (0.06)
(0.03) -- -- (0.03)
(0.06) -- -- (0.06)
<FN>
(1) Commenced operations on March 30, 1995.
(2) Commenced operations on May 1, 1997.
+ Annualized.
</TABLE>
30
<PAGE>
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental
Data
- -------------------------------------------------------
Net
Asset Net
Value, Assets Net
End of Total End of Investment
Period Return Period Expenses Income
- ------ ------ ------ -------- ----------
<S> <C> <C> <C> <C>
15.22 32.00%+ $27,148,486 0.86%+ 1.18%+
13.19 18.75% $ 8,602,557 0.85% 1.35%
11.63 22.75%+ $ 3,753,691 0.85%+ 1.78%+
15.27 27.20%+ $ 8,389,819 0.86%+ 0.17%+
13.46 24.53% $ 9,215,660 0.85% 0.28%
11.02 14.20%+ $ 4,972,365 0.85%+ 0.67%+
15.27 30.50%+ $11,104,868 0.86%+ 0.34%+
13.28 17.52% $11,542,021 0.85% 0.49%
11.37 18.82%+ $ 6,434,936 0.85%+ 0.81%+
10.61 38.52%+ $ 9,658,071 0.85%+ 3.17%+
10.12 10.74%+ $23,175,488 0.67%+ 5.73%+
<CAPTION>
Ratios to Average Net Assets
Net
- ----------------------------------------------------
Investment
Expenses Income
Without Without
Fee Waivers/ Fee Waivers/ Portfolio Average
Reimbursed Reimbursed Turnover Commission
Expenses Expenses Rate Rate
- ---------- --------- -------- ----------
<S> <C> <C> <C>
1.31%+ 0.73%+ 13.88% $0.08
2.27% (0.07)% 46.82% 0.11
4.93%+ (2.30)%+ 17.47% 0.14
1.42%+ (0.39)%+ 33.27% $0.07
2.11% (0.98)% 37.44% 0.08
4.64%+ (3.12)%+ 32.11% 0.11
1.26%+ (0.06)%+ 17.31% $0.06
1.65% (0.31)% 23.11% 0.05
3.15%+ (1.49)%+ 4.46% 0.11
2.81%+ 1.21%+ 1.12% $0.09
1.19%+ 5.21%+ 19.97% N/A
</TABLE>
31
<PAGE>
[LOGO] [LOGO] VASA - 6 97
Pegasus Funds
Strength in Investing Hartford Life
