UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04138
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Allmerica Investment Trust
(Name of Registrant)
-----------------------------------
440 Lincoln Street
Worcester, Massachusetts 01653
(Address of Principal Executive Offices)
-----------------------------------
George M. Boyd, Secretary
Allmerica Financial
440 Lincoln Street
Worcester, MA 01653
(Name and Address of Agent for Service)
-----------------------------------
Registrant's Telephone Number, including Area Code:
(508) 855-1000
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Date of Fiscal Year End: December 31
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Date of Reporting Period: June 30, 2003
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Item 1. Reports to Stockholders
The following are copies of the reports transmitted to stockholders pursuant to
Rule 30e-1 under the Investment Company Act of 1940:
Allmerica Investment Trust
Semi-Annual Report
June 30, 2003
Allmerica Investment Trust - Money Market Fund
Semi-Annual Report
June 30, 2003
Allmerica Financial Semi-Annual Report
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June 30, 2003
Allmerica Investment Trust
[GRAPHIC] AIT 2003
[LOGO] Allmerica Financial(R)
TABLE OF CONTENTS
A Letter from the Chairman......... 1
Select Capital Appreciation Fund... 2
Select Value Opportunity Fund...... 3
Select International Equity Fund... 4
Select Growth Fund................. 5
Core Equity Fund................... 6
Equity Index Fund.................. 7
Select Investment Grade Income Fund 8
Government Bond Fund............... 9
Money Market Fund.................. 10
FINANCIALS......................... F-1
For information on ordering additional copies of this report, see Client
Notices on page F-53.
One or more Funds may not be available under the variable annuity or variable
life insurance policy which you have chosen. Inclusion in this report of a Fund
which is not available under your policy is not to be considered a solicitation.
A LETTER FROM THE CHAIRMAN
Dear Client:
The global economy continued to sputter during the first half of 2003. At the
June economic summit in France, five of the eight leading industrialized
nations were either in recession or suffering from slow economic growth. Some
European and Japanese officials expressed concern that a continued decline in
the value of the already weak U.S. dollar could delay any global recovery. When
SARS appeared in China, the country's economic growth decelerated and exports
declined throughout the region. As the effects of deflation continued to wreak
havoc on Japan's economy, many companies struggled to remain viable. Global
stock markets dropped precipitously in the first quarter, but evolving
worldwide events triggered a strong second quarter rally, leaving many indices
in positive territory for the first half of 2003. Japan's Nikkei Average
finished the period up 6.48%, Hong Kong's Hang Seng Index was higher by 5.60%,
Germany's DAX Index rose 11.34%, England's FTSE Index gained 4.81% and France's
CAC 40 Index was up 3.08%.
During the period, business spending remained on hold as the United States led
a war against the leaders of Iraq. When coalition forces achieved rapid success
on the battlefield, several analysts predicted a surge in post-war economic
activity on the home front. Consumer confidence did spike when the major
fighting ended, but a stalled labor market and a continued lack of corporate
investment limited the extent of the rebound. The U.S. unemployment rate
reached 6.1% during the six-month period, as sluggish demand resulted in
additional layoffs. In an effort to stimulate economic growth and create jobs,
the U.S. Congress passed a $350 billion tax cut package and the Federal Reserve
Board cut the federal funds rate by 0.25%, to a low 1.00%. The U.S. stock and
bond markets seemed to be signaling better times ahead, as they posted solid
returns for the first six months of 2003. The S&P 500(R) Index finished up
11.77%, the Nasdaq Composite Index was higher by 21.82% and the Lehman Brothers
Aggregate Bond Index gained 3.92%.
All of the Allmerica Investment Trust stock funds achieved positive returns for
the first half of 2003, led by Select Capital Appreciation Fund, which gained
18.87%. Each of the Trust's fixed income portfolios also posted positive
results, led by Select Investment Grade Income Fund, which returned 3.48%.
During the period, following an affirmative vote at a special meeting of
shareholders, five funds of Allmerica Investment Trust were merged into other
funds of the Trust. Select Strategic Growth Fund and Select Aggressive Growth
Fund were merged into Select Growth Fund. Select Emerging Markets Fund was
merged into Select International Equity Fund. Select Growth and Income Fund was
merged into Equity Index Fund. Select Strategic Income Fund was merged into
Select Investment Grade Income Fund.
On behalf of the Board of Trustees,
/s/ John P. Kavanaugh
John P. Kavanaugh
Chairman of the Board
Allmerica Investment Trust
1
SELECT CAPITAL APPRECIATION FUND
The Select Capital Appreciation Fund returned 18.87% for the first half of
2003, outperforming its benchmark, the Russell Midcap Index, which returned
15.47%.
Stocks rallied during the first six months of the year, with small-caps and
growth stocks leading the market higher. The conclusion of the latest Iraq
campaign helped ignite an impressively broad rally in financial assets.
Investors may have been anticipating stronger economic growth in the second
half of 2003, spurred by what may be a record amount of stimulus, including the
new tax cut, another Federal Reserve Board interest rate cut, new highs in
mortgage refinancing, easier corporate borrowing conditions and a weaker dollar.
The fund benefited from the strong performance of its retail, biotechnology,
generic drug, and Internet software and services holdings, among others. Top
contributors included a pharmacy services provider, a consumer electronics
retailer, a growth-oriented investment manager and an Internet security
software firm. Top detractors included an identification and credentials
database manager, an information technology services and outsourcing provider,
a defensive stock that has more than doubled in the past three years, a human
resources consulting and outsourcing firm and a medical research supplies maker.
The investment sub-adviser remains optimistic about the U.S. economy, believing
that it may grow more strongly in the second half of 2003. But just as the
downturn was relatively mild, the investment sub-adviser expects economic
growth to be modest over the next few years, with the revival of business
capital spending being key to a sustainable economic recovery. In a slow-growth
environment, mid-cap growth stocks may offer an attractive investment
opportunity because they have the potential to grow faster than larger
companies.
Average Annual Total Returns
1 Year 5 Year Life of Fund
Select Capital Appreciation Fund 4.63% 5.15% 11.51%
Russell Midcap Index 2.63% 3.35% 11.13%
Lipper Mid-Cap Growth Funds Average 0.34% (1.55)% 7.21%
Growth of a $10,000 Investment Since 1995
[CHART]
Select Capital Russell Midcap
Appreciation Fund Index
----------------- --------------
4/28/1995
Inception
Date $10,000 $10,000
6/30/1995 11,340 10,676
6/30/1996 15,859 13,078
6/30/1997 15,757 16,079
6/30/1998 18,967 20,098
6/30/1999 22,142 22,373
6/30/2000 26,210 25,203
6/30/2001 26,247 25,444
6/30/2002 23,302 23,100
6/30/2003 24,381 23,706
The Select Capital Appreciation Fund is a portfolio of Allmerica Investment
Trust. Portfolio composition will vary over time.
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.
The Russell Midcap Index measures the performance of the 800 smallest companies
in the Russell 1000 Index. The Lipper Mid-Cap Growth Funds Average is a
non-weighted average of funds within the mid-cap 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.
Performance prior to 4/1/98 is that of a prior Sub-Adviser.
Investment Sub-Adviser
T. Rowe Price Associates, Inc.
About the Fund
Seeks long-term growth of capital by investing primarily in mid-cap growth
stocks selling at reasonable prices.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Commercial Services 11%
Pharmaceuticals 10%
Computer Software & Processing 9%
Retailers 8%
Medical Supplies 6%
Financial Services 6%
Electronics 5%
Health Care Providers 5%
Heavy Machinery 5%
Other 35%
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2
SELECT VALUE OPPORTUNITY FUND
The Select Value Opportunity Fund returned 12.78% for the first half of 2003,
underperforming its benchmark, the Russell 2500 Value Index, which returned
15.49%.
The two largest contributors to performance during the first half of the year
were a major reinsurance company and a large West Coast utility. The magnitude
of the reinsurance company's profit opportunity became evident when it reported
excellent first quarter earnings. The fund purchased shares in the West Coast
utility after the shares had become depressed and, in the opinion of the
investment sub-adviser, did not reflect the true earning power of the business.
A large cable television company and a major provider of health plans were also
positive contributors to the fund, after reporting earnings that were better
than expected. Other positive contributors to performance included health care
companies, technology related service companies and a discount retailer. The
leading detractors from performance were a manufacturer of plastic building
products, a regional trucking company and a manufacturer of paper products.
Despite the recent market rally, the investment sub-adviser continues to find
numerous investment opportunities that may support future performance.
Historically, the financial markets have anticipated and led trends in the real
economy, so the investment sub-adviser believes it is not surprising that
stocks have gone up while business spending remains weak, employment has not
yet rebounded and earnings remain depressed in many industries. In order for
improved performance to be sustained, however, the investment sub-adviser feels
that investors will need to see more evidence of a recovery in business
conditions. Hence, the investment sub-adviser thinks that the equity markets
may remain choppy until there are clear signs of better earnings prospects.
Average Annual Total Returns
1 Year 5 Year 10 Year
Select Value Opportunity Fund 0.32% 5.64% 10.81%
Russell 2500 Value Index (0.61)% 5.39% 11.88%
Lipper Mid-Cap Value Funds Average (1.67)% 5.15% 10.65%
Growth of a $10,000 Investment Since 1993
[CHART]
Select Value Russell 2500
Opportunity Fund Value Index
---------------- ------------
6/30/1993 $10,000 $10,000
6/30/1994 10,746 10,746
6/30/1995 11,637 11,635
6/30/1996 14,654 14,652
6/30/1997 18,233 18,228
6/30/1998 21,227 21,221
6/30/1999 22,294 21,032
6/30/2000 22,141 20,805
6/30/2001 28,645 26,042
6/30/2002 27,838 27,755
6/30/2003 27,927 27,589
The Select Value Opportunity Fund is a portfolio of Allmerica Investment Trust.
Portfolio composition will vary over time.
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.
The Russell 2500 Value Index is a capitalization weighted index measuring the
performance of those Russell 2500 companies with both lower price-to-book
ratios and forecasted growth values. The Lipper Mid-Cap Value Funds Average is
a non-weighted average of mid-cap value funds. 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.
Performance prior to 1/1/97 is that of a prior Sub-Adviser.
Investment Sub-Adviser
Cramer Rosenthal McGlynn, LLC
About the Fund
Seeks long-term growth of capital by investing primarily in small and mid-sized
companies believed to be undervalued.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Insurance 13%
Commercial Services 9%
Electric Utilities 8%
Entertainment & Leisure 6%
Banking 5%
Retailers 5%
Chemicals 5%
Heavy Machinery 5%
Medical Supplies 4%
Other 40%
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3
SELECT INTERNATIONAL EQUITY FUND
The Select International Equity Fund returned 6.29% for the first half of 2003,
underperforming its benchmark, the MSCI EAFE Index, which returned 9.85%.
Most equity indices reflected declines during the first quarter prompted by the
uncertain duration and magnitude of the war in Iraq and the resulting impact on
the global economy. Markets rallied strongly as the prospect of a short war
appeared apparent and oil prices slumped from earlier highs. In the second
quarter, a sense of optimism pervaded equity markets as investors shrugged off
negative news and focused on the positive. The short duration of the war in
Iraq provided support for views that the global economy would pick up in the
second half of 2003.
In the second quarter, double-digit percentage gains were registered in most
regions. This was in sharp contrast to the first quarter when the three key
European markets of the Netherlands, Germany and France lost about 15%, led in
part by the slump in large-capitalization stocks. Banking and insurance stocks
rebounded in the second quarter, and technology stocks continued their strong
showing. Europe's second largest utility was the main contributor to
performance for the six-month period, while leading consumer staples stocks
lagged the overall market.
The investment sub-adviser believes that equities continue to offer reasonable
value relative to other assets. The investment sub-adviser reports that
economic indicators suggest that the recovery in the U.S. is beginning to gain
some impetus, and that this should be better reflected in the second half of
the year.
Average Annual Total Returns
1 Year 5 Year Life of Fund
Select International Equity Fund (11.26)% (4.53)% 3.61%
MSCI EAFE Index (6.06)% (3.68)% 1.66%
Lipper International Funds Average (7.66)% (3.33)% 2.83%
Growth of a $10,000 Investment Since 1994
[CHART]
Select International
Equity Fund MSCI EAFE Index
-------------------- ---------------
5/2/1994
Inception
Date $10,000 $10,000
6/30/1994 9,620 10,088
6/30/1995 10,573 10,285
6/30/1996 12,463 11,686
6/30/1997 15,265 13,225
6/30/1998 17,448 14,069
6/30/1999 18,351 15,184
6/30/2000 22,306 17,832
6/30/2001 17,561 13,621
6/30/2002 15,595 12,380
6/30/2003 13,839 11,629
The Select International Equity Fund is a portfolio of Allmerica Investment
Trust. Portfolio composition will vary over time.
Special risk considerations are associated with investments in non-U.S.
companies, including fluctuating foreign exchange rates, foreign governmental
regulations and differing degrees of liquidity that may adversely affect the
portfolio.
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.
The MSCI EAFE Index is an unmanaged index of European, Australian and Far East
stocks. The Lipper International Funds Average is a non-weighted average of
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.
Investment Sub-Adviser
Bank of Ireland Asset Management (U.S.) Ltd.
About the Fund
Seeks maximum long-term total return by investing in non-U.S. companies based
on fundamental value.
Portfolio Composition
As of June 30, 2003, the country allocation of net assets was:
[CHART]
United Kingdom 27%
Japan 14%
Switzerland 12%
Netherlands 9%
France 8%
Germany 7%
Italy 4%
Spain 4%
Other 15%
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4
SELECT GROWTH FUND
The Select Growth Fund returned 10.62% for the first half of 2003,
underperforming its benchmark, the Russell 1000 Growth Index, which returned
13.08%.
The fund recorded a positive return from the beginning of the year through the
end of June, helped by a particularly strong second quarter. The broader market
and the fund benefited from a post-war rally that allowed investors to focus
more on improving economic and company fundamentals. In the Jennison Associates
LLC portion of the fund, health care, information technology and consumer
discretionary stocks led returns, as economically sensitive stocks performed
particularly well. Holdings in more defensive oriented areas such as
industrials and consumer staples were detractors from performance. In the
Putnam Investment Management, LLC portion of the fund, health care had the
greatest positive impact on the portfolio, with the health care services
industry being most beneficial. A leading pharmacy benefit management company
posted the largest gain when it announced record earnings for its fiscal fourth
quarter and fiscal year. Stock selection in the consumer cyclicals, technology,
and communication services sectors detracted from results during the period.
The investment sub-advisers expect a pick up in economic activity in the latter
half of the year and believe that the next move in equities will be driven by
acceleration in cash flow, revenue, and earnings growth. The investment
sub-advisers continue to focus on the long-term fundamentals of the companies
they invest in, which may provide them with superior growth opportunities,
competitive positions and attractive profit streams. They each feel that their
individual stock picking approaches are well suited to identifying the
companies that will become the winners in this market.
Average Annual Total Returns
1 Year 5 Year 10 Year
Select Growth Fund (2.60)% (6.64)% 6.24%
Russell 1000 Growth Index 2.93% (5.04)% 8.29%
Lipper Large-Cap Core Funds Average (1.36)% (2.66)% 7.73%
Growth of a $10,000 Investment Since 1993
[CHART]
Select Growth Russell 1000
Fund Growth Index
------------- ------------
6/30/1993 $10,000 $10,000
6/30/1994 9,792 9,970
6/30/1995 12,222 13,010
6/30/1996 14,420 16,628
6/30/1997 18,584 21,839
6/30/1998 25,818 28,697
6/30/1999 31,133 36,525
6/30/2000 36,015 45,901
6/30/2001 25,754 29,294
6/30/2002 18,801 21,534
6/30/2003 18,312 22,163
The Select Growth Fund is a portfolio of Allmerica Investment Trust. Portfolio
composition will vary over time.
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.
The Russell 1000 Growth Index measures the performance of those Russell 1000
companies with higher price-to-book ratios and higher forecasted growth values.
The Lipper Large-Cap Core Funds Average is a non-weighted average of funds
within the large-cap core 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.
Performance prior to 7/1/96 is that of a prior Sub-Adviser.
Jennison Associates LLC became a sub-adviser of the fund effective April 17,
2003.
Investment Sub-Advisers
Jennison Associates LLC
Putnam Investment Management, LLC
About the Fund
Seeks long-term growth of capital by investing in companies believed to have
long-term growth potential.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Pharmaceuticals 20%
Retailers 9%
Computers & Information 8%
Electronics 8%
Computer Software & Processing 7%
Financial Services 5%
Industrial - Diversified 4%
Media - Broadcasting & Publishing 4%
Beverages, Food & Tobacco 4%
Medical Supplies 3%
Other 28%
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5
CORE EQUITY FUND
The Core Equity Fund returned 11.74% for the first half of 2003,
underperforming its benchmark, the Russell 1000 Index, which returned 12.34%.
The U.S. equity markets performed dramatically differently in the second
quarter of 2003 than they did in the first. During the first quarter, the
markets were generally lower, due in large part to economic and geopolitical
uncertainties. Conversely, during the second quarter, the equity markets
rallied sharply as investors became increasingly optimistic about an economic
revival and subsequent upturn in corporate profits. In the Goldman Sachs Asset
Management, L.P. portion of the fund, performance was aided by a rebound in its
media and travel and lodging holdings, while specific health care and financial
positions detracted from performance. With interest rates at historically low
levels, the investment sub-adviser believes that businesses may expand by
raising capital and hiring more workers as demand begins to increase. In such
an environment, the investment sub-adviser feels that businesses with distinct
operating leverage may see margin expansion and earnings growth.
In the UBS Global Asset Management (Americas) Inc. portion of the fund,
performance was aided by strong stock selection and effective industry
allocation. Specific telecommunications, banking and health care stocks were
strong performers during the period. The fund's exposure to drug stocks aided
performance, as did the fund's overweight position in the strong utilities
sector. The investment sub-adviser believes that the recent technology rally
lacks fundamental support and is cautious in this area. The investment
sub-adviser believes that there may be opportunities within and across sectors,
and feels that specific bank, utility and drug stocks may provide attractive
investment opportunities going forward.
Average Annual Total Returns
1 Year 5 Year 10 Year
Core Equity Fund 0.92% (2.88)% 7.67%
Russell 1000 Index 0.95% (1.25)% 9.93%
Lipper Large-Cap Core Funds Average (1.36)% (2.66)% 7.73%
Growth of a $10,000 Investment Since 1993
[CHART]
Core Equity Russell 1000
Fund Index
----------- ------------
6/30/1993 $10,000 $10,000
6/30/1994 10,191 10,071
6/30/1995 12,481 12,637
6/30/1996 15,436 15,956
6/30/1997 19,759 21,103
6/30/1998 24,240 27,463
6/30/1999 29,871 33,483
6/30/2000 32,753 36,580
6/30/2001 26,668 31,115
6/30/2002 20,755 25,549
6/30/2003 20,946 25,791
The Core Equity Fund is a portfolio of Allmerica Investment Trust. Portfolio
composition will vary over time.
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.
The Russell 1000 Index measures the performance of the 1,000 largest companies
in the Russell 3000 Index. The Lipper Large-Cap Core Funds Average is a
non-weighted average of funds within the large-cap core 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-Advisers
Goldman Sachs Asset Management, L.P.
UBS Global Asset Management (Americas) Inc.
About the Fund
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Pharmaceuticals 12%
Financial Services 11%
Banking 8%
Media - Broadcasting & Publishing 7%
Communications 5%
Electric Utilities 5%
Commercial Services 5%
Insurance 5%
Computers & Information 4%
Retailers 4%
Other 34%
- --------------------------------------------------------------------------------
6
EQUITY INDEX FUND
The Equity Index Fund returned 11.33% for the first half of 2003, performing in
line with its benchmark, the S&P 500(R) Index, which returned 11.77%.
Stock prices ended the first quarter in negative territory, but surged back in
the second quarter to end the first six months of 2003 solidly in positive
territory. After the relatively quick conclusion to the major fighting in Iraq,
many signals pointed to continued economic weakness. But, the Federal Reserve
Board made it clear that it intended to cut interest rates further, fueling the
rally in stocks. All sectors of the market performed well during the period,
led by small and mid-cap stocks. Among large-cap stocks, the value sector
outperformed, as shares of previously out-of-favor companies rebounded. The
technology sector also showed exceptional relative performance. Many market
strategists believe the recent market rally is a short-term phenomenon within a
multi-year bear market. The rationale is that serious structural imbalances
remain as a result of the huge rally of the late 1990's. The opposing view
believes the current rally is the start of a firm economic recovery. This camp
points to the massive fiscal and monetary stimulus and the continued
willingness of the American consumer to spend.
The investment sub-adviser believes that consumer confidence may get a small
boost from the psychological effect of positive market returns after such a
long drought, but that there may be a period of consolidation before the market
can continue its upward trend. The investment sub-adviser feels that if
corporate profits fail to materialize, the stock market may reverse course in
the near term, pending further evidence that the economy is on solid footing.
Average Annual Total Returns
1 Year 5 Year 10 Year
Equity Index Fund (0.06)% (1.82)% 9.55%
S&P 500(R) Index 0.25% (1.62)% 10.04%
Lipper S&P 500 Index Objective Funds Average (0.13)% (1.90)% 9.66%
Growth of a $10,000 Investment Since 1993
[CHART]
Equity Index Fund S&P 500/R/ Index
----------------- ----------------
6/30/1993 $10,000 $10,000
6/30/1994 10,064 10,141
6/30/1995 12,602 12,785
6/30/1996 15,761 16,110
6/30/1997 21,072 21,700
6/30/1998 27,290 28,245
6/30/1999 33,460 34,671
6/30/2000 35,755 37,184
6/30/2001 30,496 31,666
6/30/2002 24,909 25,970
6/30/2003 24,894 26,034
The Equity Index Fund is a portfolio of Allmerica Investment Trust. Portfolio
composition will vary over time.
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.
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 McGraw-Hill Companies, Inc. The Lipper
S&P 500 Index Objective Funds Average is a non-weighted average of funds within
the S&P 500(R) Index 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
Opus Investment Management, Inc.
About the Fund
Seeks to replicate the returns of the S&P 500(R) Index.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Pharmaceuticals 12%
Banking 8%
Retailers 7%
Financial Services 6%
Oil & Gas 6%
Beverages, Food & Tobacco 6%
Computer Software & Processing 6%
Computers & Information 5%
Insurance 5%
Industrial - Diversified 4%
Other 35%
- --------------------------------------------------------------------------------
7
SELECT INVESTMENT GRADE INCOME FUND
The Select Investment Grade Income Fund returned 3.48% for the first half of
2003, underperforming its benchmark, the Lehman Brothers Aggregate Bond Index,
which returned 3.92%.
The first quarter of 2003 was marked by economic and political uncertainty. The
strong second quarter was powered by lower interest rates across the board,
punctuated by the Federal Reserve Board cutting the federal funds rate by 0.25%
to a low 1.00%. The credit sector led the way in terms of outperformance
against Treasury securities during the period. Investors continued to find
value in corporate bonds as Treasury yields plummeted and corporate earnings
reports came in slightly better than expected. During the first quarter, the
wireless, refining and media-cable sectors performed best, while utilities and
finance led the way in outperformance during the second quarter. The portfolio
benefited from the migration to corporate bonds since it was overweighted in
that asset class.
BBB-rated bonds performed the best as investors sought the highest-yielding
sectors amidst one of the lowest absolute yield environments most have ever
witnessed. The portfolio was more heavily invested in the higher quality
securities and therefore did not get the benefit from owning the weaker bonds
that produced the biggest advances. All other spread sectors posted excess
returns over Treasury securities during the six-month period. Mortgage-backed
securities turned in a strong first quarter, but the second quarter turned out
to be lackluster. While several favorable factors contributed to extending
gains into April, mortgage-backed securities suffered their worst monthly
performance in years, during May. The portfolio benefited from being down in
coupon and underweight the mortgage sector during the second quarter.
Average Annual Total Returns
1 Year 5 Year 10 Year
Select Investment Grade Income Fund 9.00% 6.51% 6.56%
Lehman Brothers Aggregate Bond Index 10.40% 7.54% 7.21%
Lipper Intermediate Investment Grade
Debt Funds Average 10.59% 6.60% 6.34%
Growth of a $10,000 Investment Since 1993
[CHART]
Select Investment Lehman Brothers
Grade Income Fund Aggregate Bond Index
----------------- --------------------
6/30/1993 $10,000 $10,000
6/30/1994 9,822 9,869
6/30/1995 11,038 11,107
6/30/1996 11,526 11,664
6/30/1997 12,489 12,615
6/30/1998 13,770 13,944
6/30/1999 14,063 14,382
6/30/2000 14,592 15,038
6/30/2001 16,108 16,727
6/30/2002 17,313 18,170
6/30/2003 18,871 20,060
The Select Investment Grade Income Fund is a portfolio of Allmerica Investment
Trust. Portfolio composition will vary over time.
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.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all
fixed-rate debt issues with an investment grade rating, at least one year to
maturity and an outstanding par value of at least $25 million. The Lipper
Intermediate Investment Grade Debt Funds Average tracks the performance of
funds investing in intermediate-term corporate and government debt securities.
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
Opus Investment Management, Inc.
About the Fund
Seeks to generate a high level of total return which includes income and
capital appreciation.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Corporate Notes & Bonds 33%
U.S. Government Agency Mortgage-Backed Securities 27%
U.S. Government & Agency Obligations 22%
Asset-Backed & Mortgage-Backed Securities 5%
Investment Company 5%
Commercial Paper 3%
Foreign Bonds 3%
Foreign Government Obligations 2%
- --------------------------------------------------------------------------------
8
GOVERNMENT BOND FUND
The Government Bond Fund returned 2.81% for the first half of 2003,
outperforming its benchmark, the Lehman Brothers Intermediate Government Bond
Index, which returned 2.63%.
The primary reason for the Fund's outperformance in the first six months of the
year was its overweight position in spread product such as U.S. Government
Agency securities. During the period, low absolute interest rates pushed many
bond managers to leave the safe haven of Treasury securities for higher yields.
U.S. Government Agency securities benefited from this migration, since they
were a cheaper and higher yielding alternative to Treasury securities.
Asset-backed securities also slightly outperformed Treasuries during the period
for similar reasons.
Looking ahead, many analysts believe that interest rates can only go higher
from here. With rates at historic lows across the yield curve and little
potential for further price appreciation, navigating this low interest rate
environment may prove to be a tough challenge for bond investors. However, the
investment sub-adviser believes that for the remainder of 2003, a slow economic
recovery, moderate GDP growth of 2.5-3.0%, and a Federal Reserve Board that is
ready to act against potential deflation will result in a yield curve
environment that is not much different from what we have today. The investment
sub-adviser believes that further principal appreciation is unlikely and that
the bulk of total return should come from the income component of fixed-income
securities. For this reason, the investment sub-adviser intends to continue to
maintain a slightly short to neutral duration of the portfolio relative to the
benchmark, while overweighting spread product to benefit from the incremental
yield.
Average Annual Total Returns
Average Annual Total Returns 1 Year 5 Year 10 Year
Government Bond Fund 8.48% 6.82% 6.13%
Lehman Brothers Intermediate Government Bond Index 8.62% 7.28% 6.59%
Lipper General U.S. Government Funds Average 10.06% 6.80% 6.44%
Growth of a $10,000 Investment Since 1993
[CHART]
Lehman Brothers Intermediate
Government Bond Fund Government Bond Index
-------------------- -----------------------------
6/30/1993 $10,000 $10,000
6/30/1994 10,004 9,982
6/30/1995 10,871 10,956
6/30/1996 11,354 11,497
6/30/1997 12,088 12,297
6/30/1998 13,032 13,326
6/30/1999 13,503 13,919
6/30/2000 14,041 14,542
6/30/2001 15,414 16,055
6/30/2002 16,712 17,435
6/30/2003 18,129 18,938
The Government Bond Fund is a portfolio of Allmerica Investment Trust.
Portfolio composition will vary over time.
The Fund is neither insured nor guaranteed by the U.S. Government.
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.
The Lehman Brothers Intermediate Government Bond Index is an unmanaged index of
U.S. Government and Agency bonds with remaining maturities of one to ten years.
The Lipper General U.S. Government Funds Average is the non-weighted average
performance of funds investing in general U.S. Government securities.
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
Opus Investment Management, Inc.
About the Fund
Seeks high income, capital preservation and maintenance of liquidity, primarily
through investments in debt instruments issued or guaranteed by the U.S.
Government or its Agencies.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
U.S. Government & Agency Obligations 87%
Asset-Backed & Mortgage-Backed Securities 7%
U.S. Government Agency Mortgage-Backed Securities 3%
Investment Company 2%
Other 1%
- --------------------------------------------------------------------------------
9
MONEY MARKET FUND
The Money Market Fund returned 0.47% for the first half of 2003, outperforming
its benchmark, the Money Fund Report Averages: First Tier Taxable, which
returned 0.29%.
The first quarter of 2003 was marked by economic and political uncertainty. The
strong second quarter was powered by lower interest rates across the board,
with the five-year Treasury security ending the quarter a remarkable 30 basis
points lower than where it was at the beginning of the quarter. The Federal
Reserve Board acted late in the second quarter, lowering the federal funds rate
by 0.25% to 1.00%, and implied that rates will not be raised in the near
future. The Federal Reserve Board has not said what else it may do to attempt
to reinvigorate the economy. Many analysts believed that the Federal Reserve
Board might employ more non-traditional methods of managing interest rates,
such as buying longer-dated treasury securities, as the overnight lending rate
approached 0.00%. However, the Chairman has commented about a deep-seated fear
of the potential secondary effects of such actions, so cutting the federal
funds rate appears to be the primary tactic the Federal Reserve Board intends
to utilize.
Since the major fighting in Iraq ended, the pickup in economic activity that
many forecasters expected has not materialized. The jobless recovery remains
intact, but growth of less than 2% has not been enough to persuade businesses
to build inventories or increase capital spending. The investment sub-adviser
plans to maintain a slightly short duration, between 50-55 days, and a laddered
portfolio, in an attempt to provide maximum liquidity and stable current income
through this ongoing market uncertainty.
Average Annual Total Returns
1 Year 5 Year 10 Year
Money Market Fund 1.20% 4.13% 4.55%
Money Fund Report Averages: First Tier Taxable 0.79% 3.54% 4.05%
Lipper Money Market Funds Average 0.98% 3.74% 4.23%
Average Yield as of June 30, 2003
Money Market Fund 7-Day Yield 0.71%
Growth of a $10,000 Investment Since 1993
[CHART]
Money Fund Report Averages:
Money Market Fund First Tier Taxable
----------------- ---------------------------
6/93 $10,000 $10,000
6/94 10,314 10,282
6/95 10,852 10,790
6/96 11,458 11,342
6/97 12,072 11,898
6/98 12,746 12,501
6/99 13,407 13,078
6/00 14,184 13,753
6/01 15,035 14,490
6/02 15,418 14,758
6/03 15,603 14,873
The Money Market Fund is a portfolio of Allmerica Investment Trust. Portfolio
composition will vary over time.
The Fund is neither insured nor guaranteed by the Federal Deposit Insurance
Corporation or any other government agency. Although the Fund seeks to maintain
a net asset value of $1.00 per share, it is possible to lose money by investing
in the 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.
Money Fund Report Averages: First Tier Taxable is published by iMoneyNet, Inc.,
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 the average investment performance of funds within the money
market 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.
Investment Sub-Adviser
Opus Investment Management, Inc.
About the Fund
Seeks to maximize current income for investors while preserving capital and
liquidity.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Corporate Notes 46%
Commercial Paper 28%
U.S. Government & Agency Obligations 15%
Investment Company 8%
Certificates of Deposit 3%
- --------------------------------------------------------------------------------
10
Financials
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 97.6%
Advertising - 1.9%
125,000 Catalina Marketing Corp.* $ 2,206,250
37,100 Lamar Advertising Company* 1,306,291
101,000 Monster Worldwide, Inc. (a) 1,992,730
-----------
5,505,271
-----------
Aerospace & Defense - 1.0%
57,000 Alliant Techsystems, Inc.* 2,958,870
-----------
Airlines - 0.1%
10,000 JetBlue Airways Corp. (a) 422,900
-----------
Apparel Retailers - 1.0%
68,000 Ross Stores, Inc. 2,906,320
-----------
Automotive - 1.8%
54,100 ITT Industries, Inc. 3,541,386
30,000 Oshkosh Truck Corp. 1,779,600
-----------
5,320,986
-----------
Banking - 0.2%
21,000 Silicon Valley Bancshares* 500,010
-----------
Beverages, Food & Tobacco - 1.4%
61,600 Cott Corp.* 1,274,504
111,000 Starbucks Corp.* 2,721,720
-----------
3,996,224
-----------
Chemicals - 1.0%
47,000 Potash Corp. of Saskatchewan, Inc.* (a) 3,008,000
-----------
Commercial Services - 11.0%
22,000 Apollo Group, Inc.* 1,358,720
234,000 BearingPoint, Inc.* 2,258,100
99,000 BISYS Group, Inc.* 1,818,630
92,000 Celestica, Inc.* 1,449,920
117,800 Certegy, Inc.* 3,268,950
121,000 ChoicePoint, Inc.* 4,176,920
37,600 Education Management* 1,999,568
83,000 Hewitt Associates, Inc.* (a) 1,954,650
16,000 Invitrogen Corp.* 613,920
89,000 Iron Mountain, Inc.* 3,301,010
94,200 Manpower, Inc.* 3,493,878
153,500 Robert Half International, Inc.* 2,907,290
137,000 Viad Corp. 3,067,430
38,000 WebMD Corp.* 411,540
-----------
32,080,526
-----------
Communications - 3.0%
34,000 L-3 Communications Holdings, Inc.* (a) 1,478,660
175,000 Nextel Communications, Inc., Class
A* (a) 3,164,000
165,000 Rockwell Collins, Inc. 4,063,950
-----------
8,706,610
-----------
Computer Software & Processing - 9.4%
65,300 Adobe Systems, Inc. $ 2,094,171
58,300 Affiliated Computer Services, Class A
(a) 2,666,059
35,000 Affymetrix, Inc. (a) 689,850
158,300 Ceridian Corp. (a) 2,686,351
90,400 DST Systems, Inc. (a) 3,435,200
66,100 Fiserv, Inc.* 2,353,821
36,900 Intuit, Inc.* 1,643,157
36,700 Mercury Interactive Corp.* 1,416,987
107,000 Network Associates, Inc.* (a) 1,356,760
92,000 PeopleSoft, Inc.* 1,618,280
51,000 Siebel Systems, Inc.* 486,540
71,800 SunGard Data Systems, Inc.* 1,860,338
14,100 Synopsys, Inc.* 872,085
222,700 VeriSign, Inc.* 3,079,941
40,000 VERITAS Software Corp.* 1,146,800
-----------
27,406,340
-----------
Computers & Information - 2.0%
53,000 Diebold Inc. 2,292,250
55,300 Informatica Corp.* 382,123
15,000 Lexmark International Group, Inc.* 1,061,550
118,000 Seagate Technology, Inc.* (a) 2,082,700
-----------
5,818,623
-----------
Cosmetics & Personal Care - 0.5%
42,000 Estee Lauder Cos., Inc., Class A 1,408,260
-----------
Electronics - 5.4%
39,200 Garmin, Ltd. (a) 1,562,904
84,600 Intersil Corp., Class A* 2,251,206
66,200 Jabil Circuit, Inc.* 1,463,020
36,300 KLA-Tencor Corp.* (a) 1,687,587
31,000 Maxim Integrated Products, Inc. 1,059,890
124,000 Microchip Technology, Inc. 3,054,120
34,800 Molex Inc., Class A 806,629
45,400 Novellus Systems, Inc.* 1,662,594
19,300 QLogic Corp.* (a) 932,769
89,000 Semtech Corp.* 1,267,360
-----------
15,748,079
-----------
Entertainment & Leisure - 0.3%
23,000 Westwood One, Inc.* 780,390
-----------
Financial Services - 5.5%
122,000 Charles Schwab Corp. (a) 1,230,980
51,200 Eaton Vance Corp. 1,617,920
41,000 Franklin Resources, Inc. 1,601,870
35,400 Investors Financial Services Corp. 1,026,954
32,000 Legg Mason, Inc.* 2,078,400
61,400 Nationwide Financial Services, Inc. 1,995,500
66,000 Principal Financial Group, Inc. 2,128,500
165,800 Waddell & Reed Financial, Class A 4,256,086
-----------
15,936,210
-----------
Food Retailers - 1.1%
64,300 Whole Foods Market, Inc.* (a) 3,056,179
-----------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-1
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Health Care Providers - 4.7%
78,000 Davita, Inc.* $ 2,088,840
134,500 Health Management Associates, Inc.,
Class A 2,481,525
97,000 Laboratory Corp. of America Holdings* 2,924,550
117,000 Manor Care, Inc.* (a) 2,926,170
53,000 Triad Hospitals Holdings, Inc.* 1,315,460
22,800 Wellpoint Health Networks, Inc.* 1,922,040
------------
13,658,585
------------
Heavy Machinery - 4.6%
36,000 American Standard Companies, Inc.* 2,661,480
37,400 Cooper Cameron Corp.* 1,884,212
116,000 FMC Technologies, Inc.* 2,441,800
97,500 Harris Corp., Inc. 2,929,875
94,400 Smith International, Inc.* 3,468,256
------------
13,385,623
------------
Insurance - 3.9%
15,000 AMBAC Financial Group, Inc. 993,750
54,700 Anthem, Inc.* 4,220,105
59,400 Protective Life Corp. 1,588,950
46,000 Radian Group, Inc. 1,685,900
31,700 Wellchoice, Inc.* 928,176
62,000 Willis Group Holdings, Ltd. 1,906,500
------------
11,323,381
------------
Lodging - 0.6%
78,600 Fairmont Hotels & Resorts, Inc. 1,839,240
------------
Media - Broadcasting &
Publishing - 2.2%
94,000 Cox Radio, Inc.* 2,172,340
9,000 E.W. Scripps Co. 798,480
128,000 Rogers Communications, Inc., Class B (a) 2,054,400
45,400 Scholastic Corp.* 1,352,012
------------
6,377,232
------------
Medical Supplies - 6.2%
81,000 Apogent Technologies, Inc.* 1,620,000
38,000 Cytyc Corp.* 399,760
49,000 Danaher Corp. (a) 3,334,450
201,500 Omnicare, Inc. 6,808,685
77,300 Roper Industries, Inc. 2,875,560
27,000 St. Jude Medical, Inc.* 1,552,500
52,900 Waters Corp.* 1,540,977
------------
18,131,932
------------
Metals - 0.9%
82,000 Newmont Mining Corp. (a) 2,661,720
------------
Oil & Gas - 4.5%
110,000 BJ Services Co.* 4,109,600
56,500 Devon Energy Corp.* 3,017,100
121,400 Diamond Offshore Drilling, Inc. (a) 2,548,186
28,000 Murphy Oil Corp. 1,472,800
94,400 XTO Energy, Inc. 1,898,384
------------
13,046,070
------------
Personal Services - 0.8%
54,000 Weight Watchers International, Inc. (a) $ 2,456,460
------------
Pharmaceuticals - 10.3%
71,000 Alkermes, Inc.* (a) 763,250
36,400 AmerisourceBergen Corp. (a) 2,524,340
48,300 Amylin Pharmaceuticals, Inc.* (a) 1,057,287
125,000 Andrx Corp.* 2,487,500
53,500 Barr Laboratories, Inc.* (a) 3,504,250
47,000 Cephalon, Inc.* (a) 1,934,520
66,000 Gilead Sciences, Inc.* 3,668,280
77,000 Human Genome Sciences, Inc.* 979,440
42,000 Idec Pharmaceuticals Corp.* (a) 1,428,000
88,000 IVAX Corp.* 1,570,800
68,000 Medimmune, Inc.* 2,473,160
85,000 Millennium Pharmaceuticals* (a) 1,337,050
17,400 Neurocrine Biosciences, Inc.* 868,956
47,000 Protein Design Labs, Inc.* 657,060
70,600 Teva Pharmaceutical Industries, Ltd.,
Sponsored ADR* (a) 4,019,258
41,000 Vertex Pharmaceuticals, Inc.* 598,600
------------
29,871,751
------------
Restaurants - 0.7%
58,000 The Cheesecake Factory, Inc. (a) 2,081,620
------------
Retailers - 7.7%
21,000 99 Cents Only Stores* 720,720
94,800 Best Buy Co., Inc.* 4,163,616
50,000 CDW Corp.* 2,290,000
110,300 Dollar Tree Stores, Inc. (a) 3,499,819
84,300 Family Dollar Stores, Inc. 3,216,045
14,000 Fastenal Co. (a) 475,160
66,000 InterActiveCorp (a) 2,611,620
8,000 MSC Industrial Co., Class A* 143,200
82,000 O'Reilly Automotive, Inc.* 2,737,980
85,000 Williams-Sonoma, Inc.* 2,482,000
------------
22,340,160
------------
Telephone Systems - 0.7%
91,000 Triton PCS Holdings, Inc.* 459,550
125,400 Western Wireless Corp., Class A* (a) 1,445,862
------------
1,905,412
------------
Textiles, Clothing & FABRICS - 0.8%
45,000 Coach, Inc.* 2,238,300
------------
Transportation - 2.4%
124,000 Brunswick Corp. 3,102,480
21,000 Expedia, Inc.* (a) 1,603,980
61,000 Expeditors International of Washington,
Inc. 2,113,040
------------
6,819,500
------------
Total Common Stocks 283,696,784
------------
(Cost $233,666,347)
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-2
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (b) - 2.2%
Fannie Mae - 0.8%
$1,720,000 0.90%, 07/11/03 $ 1,719,570
500,000 1.00%, 07/07/03 499,917
90,000 1.15%, 07/11/03 89,971
------------
2,309,458
------------
Federal Farm Credit Bank - 0.0%
61,000 1.10%, 07/08/03 60,987
------------
Freddie Mac - 1.4%
2,783,000 0.75%, 07/01/03 2,783,000
1,060,000 0.93%, 07/10/03 1,059,753
------------
3,842,753
------------
Total U.S. Government Agency Obligations 6,213,198
------------
(Cost $6,213,199)
Total Investments - 99.8% 289,909,982
------------
(Cost $239,879,546)
Net Other Assets and Liabilities - 0.2% 653,251
------------
Total Net Assets - 100.0% $290,563,233
============
- ----------
* Non-income producing security.
(a) All or a portion of this security is out on loan at June 30, 2003; the
value of the securities loaned amounted to $58,327,846. The value of
collateral amounted to $60,344,701 which consisted of cash equivalents.
(b) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $239,879,546. Net unrealized appreciation (depreciation) aggregated
$50,030,436, of which $65,663,395 related to appreciated investment securities
and $(15,632,959) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $55,494,377
and $102,308,405 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-3
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 96.3%
Advertising - 1.7%
129,300 ADVO, Inc.* $ 5,740,920
-----------
Automotive - 2.2%
346,500 Goodrich (B.F.) Co. 7,276,500
267,700 Mascotech, Inc. (a) 0
-----------
7,276,500
-----------
Banking - 5.4%
233,200 Hibernia Corp., Class A 4,234,912
315,650 North Fork Bancorp., Inc. 10,751,039
71,470 TCF Financial Corp. 2,847,365
-----------
17,833,316
-----------
Beverages, Food & Tobacco - 1.4%
92,400 Adolph Coors Co. (b) 4,525,752
-----------
Chemicals - 4.7%
311,720 Georgia Gulf Corp. 6,172,056
194,400 International Flavors & Fragrances, Inc. 6,207,192
72,100 Valspar Corp. 3,044,062
-----------
15,423,310
-----------
Commercial Services - 8.8%
209,800 Amdocs, Ltd.* 5,035,200
323,360 Aramark Services, Inc., Class B* 7,249,731
647,500 BearingPoint, Inc.* 6,248,375
14,300 Certegy, Inc.* 396,825
158,710 Manpower, Inc. 5,886,554
186,930 Viad Corp. 4,185,363
-----------
29,002,048
-----------
Communications - 1.4%
193,190 Rockwell Collins, Inc. 4,758,270
-----------
Computers & Information - 1.6%
592,380 Ikon Office Solutions, Inc. 5,272,182
-----------
Containers & Packaging - 1.6%
293,620 Packaging Corp. of America* 5,411,417
-----------
Cosmetics & Personal Care - 0.6%
93,900 Dial Corp. 1,826,355
-----------
Electric Utilities - 8.0%
460,300 PG&E Corp.* 9,735,345
146,910 PPL Corp. 6,317,130
516,300 Reliant Resources, Inc. (b) 3,164,919
248,800 Wisconsin Energy Corp. 7,215,200
-----------
26,432,594
-----------
Electrical Equipment - 1.6%
143,600 AMETEK, Inc. 5,262,940
-----------
Electronics - 1.7%
1,327,700 Agere Systems, Inc.* 3,053,710
206,500 Fairchild Semiconductor International
Corp., Class A* 2,641,135
-----------
5,694,845
-----------
Entertainment & Leisure - 5.6%
122,000 Alliance Gaming Corp.* $ 2,307,020
144,300 International Speedway Corp. (b) 5,701,293
325,250 Metro-Goldwyn-Mayer, Inc.* 4,039,605
192,500 MGM Mirage, Inc.* 6,579,650
-----------
18,627,568
-----------
Financial Services - 0.8%
138,500 Investment Technology Group, Inc.* 2,576,100
-----------
Health Care Providers - 3.1%
208,770 Caremax Rx, Inc.* 5,361,214
226,200 LifePoint Hospitals, Inc.* 4,736,628
-----------
10,097,842
-----------
Heavy Machinery - 4.6%
209,700 Kennametal, Inc. 7,096,248
296,400 Stanley Works 8,180,640
-----------
15,276,888
-----------
Home Construction, Furnishings &
Appliances - 1.0%
146,200 La-Z-Boy Inc. 3,271,956
-----------
Insurance - 12.8%
96,100 AMBAC Financial Group, Inc. 6,366,625
217,090 Everest Re Group, Ltd. 16,607,385
228,450 Oxford Health Plans, Inc.* 9,601,753
309,400 Willis Group Holdings, Ltd. 9,514,050
-----------
42,089,813
-----------
Lodging - 1.6%
385,890 Extended Stay America, Inc.* 5,205,656
-----------
Media - Broadcasting &
Publishing - 3.9%
208,300 Belo Corp. 4,657,588
203,386 Cablevision Systems Corp.* (b) 4,222,293
416,300 Mediacom Communications Corp.* 4,108,881
-----------
12,988,762
-----------
Medical Supplies - 4.2%
72,340 C.R. Bard, Inc. 5,158,565
106,940 Edwards Lifesciences Corp. (b) 3,437,052
156,800 Omnicare, Inc. 5,298,272
-----------
13,893,889
-----------
Oil & Gas - 3.6%
199,910 Forest Oil Corp.* 5,021,739
364,200 Pride International Inc. (b) 6,854,244
-----------
11,875,983
-----------
Real Estate Investment Trust - 3.5%
316,590 Istar Financial, Inc., REIT 11,555,535
-----------
Restaurants - 2.3%
260,200 AFC Enterprises, Inc.* 4,225,648
87,470 Outback Steakhouse, Inc. 3,411,330
-----------
7,636,978
-----------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-4
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Retailers - 5.2%
168,700 Dollar Tree Stores, Inc. (b) $ 5,352,851
218,400 J.C. Penney Co., Inc. (b) 3,680,040
115,300 Jo-Ann Stores, Inc. (b) 2,917,090
357,190 Office Depot, Inc.* 5,182,827
------------
17,132,808
------------
Transportation - 3.4%
195,700 CNF Transportation, Inc. 4,966,866
272,700 Royal Caribbean Cruises, Ltd. (b) 6,315,732
------------
11,282,598
------------
Total Common Stocks 317,972,825
------------
(Cost $277,960,173)
Par Value
U.S. Government Obligations (c) - 1.4%
U.S. Treasury Bills - 1.4%
$ 500,000 0.80%, 07/24/03 499,744
3,000,000 0.89%, 07/17/03 2,998,807
1,000,000 0.95%, 07/03/03 999,947
------------
4,498,498
------------
Total U.S. Government Obligations 4,498,498
------------
(Cost $4,498,498)
Total Investments - 97.7% 322,471,323
------------
(Cost $282,458,671)
Net Other Assets and Liabilities - 2.3% 7,585,598
------------
Total Net Assets - 100.0% $330,056,921
============
- ----------
* Non-income producing security.
(a) Contingent Value Obligation. Security valued by fund management.
(b) All or a portion of this security is out on loan at June 30, 2003; the
value of securities loaned amounted to $28,519,731. The value of collateral
amounted to $30,011,385 which consisted of cash equivalents.
(c) Effective yield at time of purchase.
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $282,458,671. Net unrealized appreciation (depreciation) aggregated
$40,012,652, of which $47,134,403 related to appreciated investment securities
and $(7,121,751) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $143,298,679
and $199,077,682 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-5
Select International Equity Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 94.9%
Australia - 2.6%
348,596 Foster's Brewing Group, Ltd. (a) $ 985,559
129,509 National Australia Bank, Ltd. 2,913,554
341,186 News Corp., Ltd. 2,566,183
241,409 Westpac Banking Corp., Ltd. 2,634,421
-----------
9,099,717
-----------
Brazil - 0.0%
301,595 Brasil Telecom SA 1,284
-----------
China - 1.0%
10,971,000 Petrochina Co., Ltd. 3,306,150
-----------
Finland - 1.5%
306,496 Nokia Oyj 5,056,403
-----------
France - 8.3%
165,743 Aventis 9,135,433
288,888 Axa 4,490,065
46,632 Lafarge SA 2,736,058
81,728 Total SA, Class B 12,373,555
-----------
28,735,111
-----------
Germany - 6.5%
114,909 Bayer AG (a) 2,667,737
165,145 Bayerische Motoren Werke (BMW) AG 6,364,701
71,174 Deutsche Bank AG (a) 4,624,703
168,517 Veba AG 8,679,577
-----------
22,336,718
-----------
Hong Kong - 2.0%
403,000 Cheung Kong Holdings, Ltd. 2,423,742
330,500 Hong Kong Electric 1,296,885
313,000 Sun Hung Kai Properties, Ltd. 1,581,426
351,000 Swire Pacific, Ltd. 1,534,864
-----------
6,836,917
-----------
Ireland - 0.6%
135,643 CRH, Plc 2,139,452
-----------
Italy - 4.0%
457,468 ENI SpA (a) 6,931,293
764,108 Telecom Italia SpA (a) 6,927,056
-----------
13,858,349
-----------
Japan - 13.8%
42,220 Acom Co., Ltd. 1,528,549
268,000 Canon, Inc. 12,318,498
42,200 Fanuc, Ltd. 2,094,599
139,000 Fuji Photo Film 4,023,608
158,200 Honda Motor Co., Ltd. 6,004,672
53,300 Hoya Corp. 3,677,089
18,400 Nintendo Co., Ltd. 1,339,996
1,510 Nippon Telegraph & Telephone Corp. 5,932,930
1,190 NTT Mobile Communcations Network, Inc. 2,581,022
19,100 Rohm Co., Ltd. (a) $ 2,085,664
58,700 Shin-Etsu Chemical Co., Ltd. 2,007,675
105,600 Takeda Chemical Industries, Ltd. 3,902,465
-----------
47,496,767
-----------
Netherlands - 9.2%
387,591 ABN-Amro Holdings 7,424,303
285,911 Elsevier NV 3,378,073
48,082 Heineken NV 1,709,262
453,656 ING Groep NV 7,896,476
278,681 Koninklijke Ahold NV 2,318,000
287,908 Koninklijke (Royal) Phillips Electronics NV 5,485,065
104,721 TNT Post Group NV 1,821,601
58,319 VNU NV 1,800,108
-----------
31,832,888
-----------
South Korea - 2.0%
7,925 Kookmin Bank, ADR 239,731
70,720 POSCO, ADR (a) 1,852,157
33,373 Samsung Electronics Co., Ltd., GDR (a) (b) 4,959,151
-----------
7,051,039
-----------
Spain - 3.9%
779,497 Banco de Santander 6,842,373
583,884 Telefonica SA* 6,791,184
-----------
13,633,557
-----------
Switzerland - 12.2%
57,222 Nestle SA 11,828,673
176,295 Novartis AG 6,988,693
86,120 Roche Holdings AG 6,767,436
111,012 Swiss Reinsurance Co. 6,161,860
188,057 UBS AG 10,480,064
-----------
42,226,726
-----------
United Kingdom - 27.3%
1,309,987 Barclays, Plc 9,745,517
481,272 BP Amoco Capital, Plc 3,343,672
264,494 British American Tobacco Industries, Plc 3,006,173
246,080 BT Group, Plc 828,895
767,718 Cadbury Schweppes, Plc 4,543,705
520,524 Centrica, Plc 1,512,382
563,215 Compass Group, Plc, Sponsored ADR 3,042,392
755,979 Diageo, Plc 8,086,106
472,467 GlaxoSmithKline, Plc 9,552,638
590,340 Hilton Group, Plc 1,795,748
427,008 HSBC Holdings Plc 5,054,456
382,216 Kingfisher, Plc 1,751,886
807,153 Lloyds TSB Group, Plc 5,741,193
520,633 Prudential Corp., Plc 3,158,807
986,397 Shell Transportation & Trading, Plc 6,522,846
204,668 Smith & Nephew, Plc 1,178,329
96,385 Smiths Group, Plc 1,120,186
976,747 Tesco, Plc 3,540,357
908,213 Unilever, Plc 7,244,534
4,882,892 Vodafone Airtouch, Plc 9,565,790
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-6
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (UNAUDITED)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
United Kingdom (continued)
193,356 Wolseley, Plc $ 2,142,495
229,257 WPP Group, Plc 1,800,286
------------
94,278,393
------------
Total Common Stocks 327,889,471
------------
(Cost $371,409,272)
RIGHTS - 0.0%
Thailand - 0.0%
100,421 TelecomAsia Corp., Public Co., Ltd.* (c) 0
------------
Total Rights 0
------------
(Cost $68,642)
Total Investments - 94.9% 327,889,471
------------
(Cost $371,477,914)
Net Other Assets and Liabilities - 5.1% 17,461,036
------------
Total Net Assets - 100.0% $345,350,507
============
- ----------
* Non-income producing security.
(a) All or a portion of this security is out on loan at June 30, 2003; the
value of the securities loaned amounted to $23,720,637. The value of
collateral amounted to $25,029,573 which consisted of cash equivalents.
(b) 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, 2003, these
securities amounted to $4,959,151 or 1.4% of net assets.
(c) Contingent Value Obligation. Security valued by fund management.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
GDR Global Depositary Receipt. A negotiable certificate held in the bank of one
country representing a specific number of shares of a stock traded on an
exchange of another country.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost on investment securities for tax purposes
was $371,477,914. Net unrealized appreciation (depreciation) aggregated
$(43,588,443), of which $17,601,598 related to appreciated investment securities
and $(61,190,041) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $46,222,091
and $101,147,104 of non-governmental issuers, respectively.
FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED:
Contracts To Settlement Contracts At In Exchange Unrealized
Receive Currency Dates Value for U.S. $ Depreciation
- ------------ -------- ---------- ------------ ----------- ------------
66,567 GBP 07/01/03 $110,049 $110,701 $(652)
950,331 HKD 07/02/03 121,866 121,869 (3)
-------- -------- -----
$231,915 $232,570 $(655)
======== ======== =====
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
Contracts to Settlement Contracts At In Exchange Unrealized
Deliver Currency Date Value for U.S. $ Depreciation
- ------------ -------- ---------- ------------ ----------- ------------
42,293 GBP 07/01/03 $69,919 $69,598 $(321)
======= ======= =====
- ----------
GBP British Pound Sterling
HKD Hong Kong Dollar
Industry Concentration of Investments
as a Percentage of Net Assets:
Advertising 0.5%
Automotive 3.6
Banking 16.8
Beverages, Food & Tobacco 10.8
Building Materials 0.6
Chemicals 2.5
Commercial Services 0.9
Communications 4.2
Electric Utilities 2.9
Electronics 8.1
Entertainment & Leisure 0.4
Financial Services 1.7
Food Retailers 2.6
Heavy Machinery 1.4
Insurance 4.0
Lodging 0.5
Media - Broadcasting & Publishing 2.3
Medical Supplies 1.4
Metals 0.5
Oil & Gas 9.8
Pharmaceuticals 10.5
Real Estate 1.2
Retailers 0.5
Telephone Systems 7.2
Net Other Assets and Liabilities 5.1
-----
Total 100.0%
=====
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-7
Select Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 98.8%
Advertising - 0.7%
16,100 Lamar Advertising Company* $ 566,881
47,500 Omnicom Group, Inc. 3,405,750
-----------
3,972,631
-----------
Airlines - 0.1%
20,100 Southwest Airlines, Inc. 345,720
-----------
Apparel Retailers - 1.6%
14,800 Abercrombie & Fitch Co., Class A* 420,468
13,800 Chico's FAS, Inc.* (a) 290,490
168,900 Kohls Corp.* 8,678,082
3,900 Timberland Co.* 206,154
-----------
9,595,194
-----------
Automotive - 0.4%
62,800 Harley-Davidson, Inc. 2,503,208
-----------
Banking - 2.4%
70,700 Banc One Corp. 2,628,626
45,400 Capital One Financial Corp. (a) 2,232,772
291,400 MBNA Corp. 6,072,776
56,600 U.S. Bancorp 1,386,700
13,400 Washington Mutual, Inc. 553,420
21,000 Wells Fargo & Co. 1,058,400
13,700 Zions Bancorp. 693,357
-----------
14,626,051
-----------
Beverages, Food & Tobacco - 3.6%
76,400 Altria Group, Inc. 3,471,616
91,000 Anheuser-Busch Companies, Inc. 4,645,550
37,700 Coca-Cola Enterprises, Inc. 684,255
18,800 Pepsi Bottling Group, Inc. 376,376
118,700 PepsiCo, Inc. 5,282,150
5,600 Performance Food Group Co.* (a) 207,200
275,700 Starbucks Corp.* 6,760,164
15,700 Sysco Corp. 471,628
-----------
21,898,939
-----------
Chemicals - 0.1%
8,100 Sealed Air Corp.* 386,046
-----------
Commercial Services - 2.0%
61,500 Apollo Group, Inc.* 3,798,240
15,800 Automatic Data Processing, Inc. 534,988
12,400 Fair Isaac Corp. 637,980
83,300 First Data Corp. 3,451,952
8,800 Getty Images, Inc.* 363,440
19,700 Iron Mountain, Inc.* 730,673
86,400 Paychex, Inc. 2,532,384
6,800 Quest Diagnostics, Inc.* (a) 433,840
-----------
12,483,497
-----------
Communications - 1.9%
41,300 AOL Time Warner, Inc.* $ 664,517
21,600 Avaya, Inc.* 139,536
122,700 Ciena Corp.* 636,813
41,900 Echostar Communications Corp.* 1,450,578
11,600 L-3 Communications Holdings, Inc.* (a) 504,484
326,100 Nokia Oyj Corp., Sponsored ADR 5,357,823
82,300 Qualcomm, Inc. 2,942,225
-----------
11,695,976
-----------
Computer Software & Processing - 7.4%
37,100 Adobe Systems, Inc. 1,189,797
16,300 Affiliated Computer Services, Class
A* (a) 745,399
27,300 BEA Systems, Inc.* (a) 296,478
115,600 Computer Associates International, Inc.
(a) 2,575,568
2,900 Electronic Data Systems Corp. 62,205
12,500 Fiserv, Inc.* 445,125
16,400 GTECH Holdings Corp.* 617,460
18,500 Macromedia, Inc.* 389,240
7,900 Mercury Interactive Corp.* 305,019
1,058,200 Microsoft Corp. 27,100,502
272,600 Oracle Corp.* 3,276,652
155,800 SAP AG, Sponsored ADR (a) 4,552,476
28,200 SunGard Data Systems, Inc.* 730,662
55,700 Symantec Corp.* (a) 2,443,002
46,200 VeriSign, Inc.* 638,946
-----------
45,368,531
-----------
Computers & Information - 8.0%
952,700 Cisco Systems, Inc.* 15,900,563
507,600 Dell Computer Corp.* 16,222,896
326,000 Hewlett-Packard Co. 6,943,800
92,400 International Business Machines Corp. 7,623,000
33,600 Lexmark International Group, Inc.* 2,377,872
-----------
49,068,131
-----------
Cosmetics & Personal Care - 2.1%
47,100 Avon Products, Inc. 2,929,620
19,400 Colgate-Palmolive Co. 1,124,230
95,300 Procter & Gamble Co. (a) 8,498,854
-----------
12,552,704
-----------
Education - 0.3%
30,600 Career Education Corp.* 2,093,652
-----------
Electric Utilities - 0.3%
54,600 Edison International* (a) 897,078
18,400 Entergy Corp. 971,152
-----------
1,868,230
-----------
Electronics - 7.7%
61,000 Analog Devices, Inc.* 2,124,020
9,700 Arrow Electronics, Inc.* 147,828
891,600 Intel Corp. 18,531,015
15,900 Intersil Corp., Class A* 423,099
106,700 KLA-Tencor Corp.* (a) 4,960,483
47,200 Lam Research Corp.* (a) 859,512
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-8
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Electronics (continued)
121,000 Novellus Systems, Inc.* (a) $ 4,431,141
53,700 PMC-Sierra, Inc.* (a) 629,901
55,900 QLogic Corp.* (a) 2,701,647
164,000 STMicroelectronics NV 3,409,560
279,900 Texas Instruments, Inc. 4,926,240
153,800 Xilinx, Inc.* 3,892,678
-----------
47,037,124
-----------
Entertainment & Leisure - 0.6%
35,600 Harrah's Entertainment, Inc.* (a) 1,432,544
2,800 International Game Technology* 286,524
63,900 Mattel, Inc. 1,208,988
24,300 Walt Disney Co. 479,925
-----------
3,407,981
-----------
Financial Services - 4.6%
185,900 American Express Co. 7,772,479
197,900 Citigroup, Inc. 8,470,120
11,300 Doral Financial Corp. 504,545
80,100 Fannie Mae 5,401,944
43,600 Freddie Mac 2,213,572
14,600 H&R Block, Inc. 631,450
10,200 SEI Investment Co. 326,400
37,500 SLM Corp. 1,468,875
20,900 State Street Corp. 823,460
9,100 Waddell & Reed Financial, Class A 233,597
-----------
27,846,442
-----------
Food Retailers - 0.6%
12,100 Krispy Kreme Doughnuts, Inc.* (a) 498,278
53,800 Kroger Co.* 897,384
48,000 Whole Foods Market, Inc.* (a) 2,281,440
-----------
3,677,102
-----------
Health Care Providers - 1.5%
55,700 AdvancePCS* (a) 2,129,411
14,400 Caremax Rx, Inc.* 369,792
28,800 Coventry Health Care, Inc.* 1,329,408
26,100 Express Scripts, Inc.* 1,783,152
25,300 Health Management Associates, Inc.,
Class A 466,785
13,100 Universal Health Services, Inc.* (a) 519,022
28,000 Wellpoint Health Networks, Inc.* 2,360,400
-----------
8,957,970
-----------
Heavy Machinery - 0.7%
260,100 Applied Materials, Inc.* 4,125,186
7,000 Harris Corp., Inc. 210,350
-----------
4,335,536
-----------
Home Construction, Furnishings &
Appliances - 0.2%
15,700 Whirlpool Corp. 1,000,090
-----------
Industrial - Diversified - 4.3%
78,200 3M Co. $10,086,236
568,600 General Electric Co. 16,307,448
-----------
26,393,684
-----------
Insurance - 3.3%
206,200 American International Group, Inc. 11,378,116
8,000 Anthem, Inc.* 617,200
13,900 Brown & Brown, Inc. (a) 451,750
31,100 Fidelity National Financial, Inc. (a) 956,636
10,700 Mid Atlantic Medical Services, Inc.* 559,610
62,400 UnitedHealth Group, Inc. 3,135,600
40,500 XL Capital, Ltd., Class A 3,361,500
-----------
20,460,412
-----------
Lodging - 0.5%
84,700 Marriott International, Inc., Class A 3,254,174
-----------
Media - Broadcasting &
Publishing - 3.7%
59,600 Clear Channel Communications, Inc.* 2,526,444
11,400 Comcast Corp., Class A* 344,052
69,200 Comcast Corp., Special Class A* 1,995,036
20,100 Fox Entertainment Group, Class A* 578,478
5,400 McGraw-Hill Cos., Inc. 334,800
46,300 New York Times Co., Class A (a) 2,106,650
148,300 Univision Communications, Inc.* (a) 4,508,320
232,600 Viacom, Inc., Class B* 10,155,316
-----------
22,549,096
-----------
Medical Supplies - 3.4%
88,100 Agilent Technologies, Inc.* 1,722,355
78,000 Allergan, Inc. 6,013,800
5,600 Beckman Coulter, Inc. 227,584
70,300 Boston Scientific Corp.* 4,295,330
21,200 Guidant Corp. 941,068
138,400 Medtronic, Inc. 6,639,048
5,300 Schein (Henry), Inc.* 277,402
23,000 Steris Corp.* 531,070
6,200 Varian Medical Systems, Inc.* 356,934
-----------
21,004,591
-----------
Metals - 0.3%
77,100 Freeport-McMoRan Copper & Gold, Inc.,
Class B* (a) 1,888,950
-----------
Oil & Gas - 2.9%
102,700 BJ Services Co.* (a) 3,836,872
11,500 Burlington Resources, Inc. 621,805
18,000 GlobalSantaFe Corp. 420,120
149,300 Schlumberger, Ltd. (a) 7,102,201
79,000 Total SA, Sponsored ADR 5,988,200
-----------
17,969,198
-----------
Pharmaceuticals - 20.0%
236,500 Abbott Laboratories 10,349,240
48,300 AmerisourceBergen Corp. (a) 3,349,605
293,100 Amgen, Inc.* 19,473,564
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-9
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- -------------------------------------------------------------------------------
Pharmaceuticals (continued)
64,300 AstraZeneca Plc, ADR (a) $ 2,621,511
15,700 Barr Laboratories, Inc.* 1,028,350
93,500 Cardinal Health, Inc. 6,012,050
119,800 Forest Laboratories, Inc.* 6,559,050
83,600 Genentech, Inc.* 6,029,232
17,500 Genzyme Corp.* 731,500
101,600 Gilead Sciences, Inc.* 5,646,928
263,900 Johnson & Johnson 13,643,630
22,600 Lilly (Eli) & Co. 1,558,722
136,800 Medimmune, Inc.* 4,975,416
89,300 Merck & Co., Inc. 5,407,115
681,840 Pfizer, Inc. 23,284,836
81,800 Teva Pharmaceutical Industries, Ltd.,
Sponsored ADR (a) 4,656,874
146,000 Wyeth Corp. 6,650,300
------------
121,977,923
------------
Rental and Leasing Services - 0.1%
4,600 Rent-A-Center, Inc.* 348,726
------------
Restaurants - 0.1%
7,200 CBRL Group, Inc. 279,792
21,000 Yum! Brands, Inc.* 620,760
------------
900,552
------------
Retailers - 9.4%
24,200 Advanced Auto Parts, Inc.* (a) 1,473,780
18,300 AutoZone, Inc.* 1,390,251
189,400 Bed Bath & Beyond, Inc.* 7,350,614
51,400 Best Buy Co., Inc.* 2,257,488
11,400 CarMax, Inc.* 343,710
26,400 eBay, Inc.* 2,750,352
18,600 Family Dollar Stores, Inc. 709,590
27,000 Federated Department Stores, Inc. 994,950
131,000 Home Depot, Inc. 4,338,720
180,900 Lowes Cos., Inc. 7,769,655
22,500 Office Depot, Inc.* 326,475
88,200 Staples, Inc.* 1,618,470
164,000 Tiffany & Co. 5,359,520
114,400 TJX Cos., Inc. 2,155,296
20,500 Walgreen Co. 617,050
322,800 Wal-Mart Stores, Inc. 17,324,676
22,100 Williams-Sonoma, Inc.* 645,320
------------
57,425,917
------------
Securities Broker - 1.8%
63,500 Goldman Sachs and Co. 5,318,125
125,300 Merrill Lynch & Co., Inc. 5,849,004
------------
11,167,129
------------
Telephone Systems - 1.6%
210,900 AT&T Wireless Services, Inc.* 1,731,489
23,600 BellSouth Corp. 628,468
43,200 CenturyTel, Inc. 1,505,520
29,500 Sprint Corp. $ 424,800
274,000 Vodafone Group, Plc, Sponsored ADR (a) 5,384,100
------------
9,674,377
------------
Textiles, Clothing & Fabrics - 0.2%
11,000 Liz Claiborne, Inc. 387,750
29,800 Reebok International, Ltd.* (a) 1,002,174
------------
1,389,924
------------
Transportation - 0.4%
7,400 Expedia, Inc.* 565,212
70,200 Royal Caribbean Cruises, Ltd. (a) 1,625,832
------------
2,191,044
------------
Total Common Stocks 603,316,452
------------
(Cost $582,854,118)
PREFERRED STOCKS - 0.2%
Automotive - 0.2%
2,700 Porsche AG, EUR 3.00 (a) 1,146,193
------------
Total Preferred Stocks 1,146,193
------------
(Cost $1,037,785)
OPTIONS - 0.0%
Options on Common Stock - 0.0%
17,000 Astrazeneca, Expires 07/19/03, Strike
40.00 15,946
------------
Total Options 15,946
------------
(Cost $7,650)
EXCHANGE-TRADED FUND - 0.8%
49,100 SPDR Trust Series 1 4,793,633
------------
Total Exchange-Traded Fund 4,793,633
------------
(Cost $4,876,121)
INVESTMENT COMPANY - 0.2%
1,215,814 Marshall Money Market Fund 1,215,814
------------
Total Investment Company 1,215,814
------------
(Cost $1,215,814)
Total Investments - 100.0% 610,488,038
------------
(Cost $589,991,488)
Net Other Assets and Liabilities - 0.0% 254,454
------------
Total Net Assets - 100.0% $610,742,492
============
- ----------
* Non-income producing security.
(a) All or a portion of this security is out on loan at June 30, 2003; the
value of the securities loaned amounted to $48,693,671. The value of
collateral amounted to $50,357,927 which consisted of cash equivalents.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-10
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $589,991,488. Net unrealized appreciation (depreciation) aggregated
$20,496,550, of which $43,289,605 related to appreciated investment securities
and $(22,793,055) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $210,559,534
and $289,911,586 of non-governmental issuers, respectively.
Written Options
Number Expiration
of Contracts Exercise Price Date Value
------------ -------------- ---------- -----
Astrazeneca Call 170 $50.0 7/19/03 $153
Written Options Rollforward
Puts Calls
------------------------ -----------------------
Number Number
of Contracts Premiums of Contracts Premiums
------------ --------- ------------ --------
Outstanding, beginning
of period -- $-- -- $ --
Options written -- -- 170 1,700
Options closed -- -- -- --
--- --- --- ------
Outstanding, end of
period -- $-- 170 $1,700
=== === === ======
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-11
Core Equity Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 97.9%
Advertising - 0.3%
26,800 Lamar Advertising Company* $ 943,628
-----------
Banking - 7.7%
22,800 Bank of America Corp. 1,801,884
112,100 FleetBoston Financial Corp. 3,330,491
10,000 Golden West Financial Corp. 800,100
128,500 Greenpoint Financial Corp. 6,545,790
126,500 MBNA Corp. 2,636,260
97,800 Mellon Financial Corp. 2,713,950
71,600 PNC Bank Corp. 3,494,796
157,500 Wells Fargo & Co. (a) 7,938,000
-----------
29,261,271
-----------
Beverages, Food & Tobacco - 3.5%
57,100 Coca-Cola Co. 2,650,011
148,700 PepsiCo, Inc. 6,617,150
73,500 Wrigley (Wm.) Jr. Co. 4,132,905
-----------
13,400,066
-----------
Building Materials - 0.8%
89,600 Martin Marietta Materials, Inc. 3,011,456
-----------
Chemicals - 1.1%
138,100 Dow Chemical Co. 4,275,576
-----------
Commercial Services - 4.6%
252,200 Cendant Corp.* (a) 4,620,304
255,000 First Data Corp. 10,567,200
20,700 Moody's Corp. (a) 1,091,097
50,900 Valassis Communications, Inc.* 1,309,148
-----------
17,587,749
-----------
Communications - 5.1%
214,700 AOL Time Warner, Inc.* 3,454,523
90,200 Echostar Communications Corp.* 3,122,724
518,000 Nextel Communications, Inc., Class A* 9,365,440
102,000 Qualcomm, Inc. 3,646,500
-----------
19,589,187
-----------
Computer Software & Processing - 3.0%
47,100 Intuit, Inc. (a) 2,097,363
359,300 Microsoft Corp. 9,201,673
-----------
11,299,036
-----------
Computers & Information - 4.4%
329,400 Cisco Systems, Inc.* 5,497,686
156,100 Dell Computer Corp.* 4,988,956
262,900 EMC Corp.* 2,752,563
169,300 Hewlett-Packard Co. 3,606,090
-----------
16,845,295
-----------
Cosmetics & Personal Care - 1.4%
17,700 Avon Products, Inc. (a) $ 1,100,940
42,100 Colgate-Palmolive Co. 2,439,695
21,000 Procter & Gamble Co. 1,872,780
-----------
5,413,415
-----------
Electric Utilities - 5.1%
124,500 CMS Energy Corp. 1,008,450
65,600 DTE Energy Co. 2,534,784
79,800 Exelon Corp. 4,772,838
119,000 FirstEnergy Corp. 4,575,550
81,600 Progress Energy, Inc. 3,582,240
108,000 Sempra Energy 3,081,240
-----------
19,555,102
-----------
Electronics - 3.2%
33,400 Energizer Holdings, Inc.* 1,048,760
302,200 Intel Corp. 6,280,925
193,200 Motorola, Inc. 1,821,876
174,400 Texas Instruments, Inc. 3,069,440
-----------
12,221,001
-----------
Entertainment & Leisure - 1.5%
72,700 Harrah's Entertainment, Inc.* 2,925,448
68,700 Metro-Goldwyn-Mayer, Inc.* 853,254
98,200 Walt Disney Co. 1,939,450
-----------
5,718,152
-----------
Financial Services - 11.1%
454,000 Charles Schwab Corp. 4,580,860
257,782 Citigroup, Inc. (a) 11,033,069
100,000 Fannie Mae 6,744,000
209,500 Freddie Mac 10,636,315
243,700 Morgan (J.P.) & Co., Inc 8,329,666
23,900 State Street Corp. (a) 941,660
-----------
42,265,570
-----------
Forest Products & Paper - 0.6%
45,500 Kimberly-Clark Corp. 2,372,370
-----------
Heavy Machinery - 1.8%
67,200 Pentair, Inc. 2,624,832
59,600 United Technologies Corp. 4,221,468
-----------
6,846,300
-----------
Home Construction, Furnishings &
Appliances - 1.5%
23,900 Johnson Controls, Inc. 2,045,840
161,000 Masco Corp. 3,839,850
-----------
5,885,690
-----------
Household Products - 0.7%
88,800 Newell Rubbermaid, Inc. 2,486,400
-----------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-12
Core Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Industrial - Diversified - 1.5%
33,100 General Electric Co. $ 949,308
72,500 Illinois Tool Works, Inc. 4,774,125
------------
5,723,433
------------
Insurance - 4.5%
43,100 AMBAC Financial Group, Inc. 2,855,375
61,800 American International Group, Inc. 3,410,124
25,300 Anthem, Inc.* 1,951,895
56,300 Hartford Financial Services Group, Inc. (a) 2,835,268
118,400 UnitedHealth Group, Inc. 5,949,600
------------
17,002,262
------------
Lodging - 0.8%
49,500 Marriott International, Inc., Class A (a) 1,901,790
39,800 Starwood Hotels & Resorts Worldwide,
Inc. 1,137,882
------------
3,039,672
------------
Media - Broadcasting & Publishing - 7.3%
110,600 Clear Channel Communications, Inc.* 4,688,334
51,300 Cox Communications, Inc.* 1,636,470
17,500 Gannett Co., Inc. 1,344,175
54,900 McGraw-Hill Cos., Inc. 3,403,800
34,700 New York Times Co., Class A 1,578,850
171,930 Univision Communications, Inc.* (a) 5,226,672
229,900 Viacom, Inc., Class B (a) 10,037,434
------------
27,915,735
------------
Medical Supplies - 0.3%
44,900 Baxter International, Inc. 1,167,400
------------
Oil & Gas - 2.9%
98,556 ConocoPhillips 5,400,869
154,100 Exxon Mobil Corp. 5,533,731
------------
10,934,600
------------
Pharmaceuticals - 12.1%
29,500 Amgen, Inc.* 1,959,980
171,800 Bristol-Myers Squibb Co. 4,664,370
50,400 Cephalon, Inc.* (a) 2,074,464
184,900 Johnson & Johnson 9,559,330
83,400 Lilly (Eli) & Co. 5,752,098
265,100 Pfizer, Inc. 9,053,165
33,500 Schering-Plough Corp. 623,100
83,400 Sicor, Inc.* 1,696,356
231,700 Wyeth Corp. 10,553,935
------------
45,936,798
------------
Retailers - 3.6%
26,400 Dollar Tree Stores, Inc. (a) 837,672
82,300 Family Dollar Stores, Inc. 3,139,745
30,100 Lowes Cos., Inc. 1,292,795
44,400 Walgreen Co. 1,336,440
132,800 Wal-Mart Stores, Inc. 7,127,376
------------
13,734,028
------------
Securities Broker - 1.4%
124,600 Morgan Stanley Dean Witter & Co. $ 5,326,650
------------
Telephone Systems - 3.6%
111,400 BellSouth Corp. 2,966,582
214,500 Crown Castle International Corp.* 1,666,665
384,500 Liberty Media Group, Class A* 4,444,820
184,000 SBC Communications, Inc. 4,701,200
------------
13,779,267
------------
Transportation - 2.5%
117,200 Burlington Northern Santa Fe Corp. 3,333,168
190,400 Norfolk Southern Corp. 3,655,680
94,500 Sabre Group Holdings, Inc. 2,329,425
------------
9,318,273
------------
Total Common Stocks 372,855,382
------------
(Cost $391,673,451)
EXCHANGE-TRADED FUND - 1.6%
63,100 SPDR Trust Series 1 6,160,453
------------
Total Exchange-Traded Fund 6,160,453
------------
(Cost $5,841,300)
Total Investments - 99.5% 379,015,835
------------
(Cost $397,514,751)
Net Other Assets and Liabilities - 0.5% 1,823,143
------------
Total Net Assets - 100.0% $380,838,978
============
- ----------
* Non-income producing security.
(a) All or a portion of this security is out on loan at June 30, 2003; the
value of the securities loaned amounted to $33,787,923. The value of
collateral amounted to $34,971,374 which consisted of cash equivalents.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $397,514,751. Net unrealized appreciation (depreciation) aggregated
$(18,498,916), of which $21,896,453 related to appreciated investment securities
and $(40,395,369) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $45,614,619
and $101,783,632 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-13
Equity Index Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 99.5%
Advertising - 0.2%
27,100 Interpublic Group of Companies, Inc. $ 362,598
7,800 Monster Worldwide, Inc.* (a) 153,894
13,300 Omnicom Group, Inc. 953,610
-----------
1,470,102
-----------
Aerospace & Defense - 1.4%
59,238 Boeing Co. 2,033,048
14,200 General Dynamics Corp. 1,029,500
60,275 Honeywell International, Inc. 1,618,384
32,082 Lockheed Martin Corp. 1,526,141
12,846 Northrop Grumman Corp. 1,108,481
28,600 Raytheon Co. 939,224
9,600 Textron, Inc. 374,592
-----------
8,629,370
-----------
Airlines - 0.4%
8,600 Delta Air Lines, Inc. (a) 126,248
21,100 FedEx Corp. 1,308,833
54,518 Southwest Airlines, Inc. 937,710
-----------
2,372,791
-----------
Apparel Retailers - 0.5%
62,250 Gap, Inc. 1,167,810
23,800 Kohls Corp.* 1,222,844
36,800 Limited Brands, Inc. 570,400
9,500 Nordstrom, Inc. 185,440
-----------
3,146,494
-----------
Automotive - 1.0%
20,400 AutoNation, Inc.* 320,688
5,100 Cooper Tire & Rubber Co. 89,709
10,409 Dana Corp. 120,328
39,428 Delphi Automotive Systems Corp. 340,264
129,281 Ford Motor Co. (a) 1,420,798
39,500 General Motors Corp. (a) 1,422,000
12,250 Genuine Parts Co. 392,122
8,200 Goodrich (B.F.) Co. 172,200
12,300 Goodyear Tire & Rubber Co. (a) 64,575
21,300 Harley-Davidson, Inc. 849,018
6,500 ITT Industries, Inc. (a) 425,490
4,800 Navistar International Corp.* (a) 156,624
8,220 Paccar, Inc. 555,343
9,036 Visteon Corp. 62,077
-----------
6,391,236
-----------
Banking - 7.8%
25,000 Amsouth Bancorp 546,000
82,075 Banc One Corp. 3,051,548
105,959 Bank of America Corp. 8,373,940
54,000 Bank of New York Co., Inc. 1,552,500
33,200 BB&T Corp. 1,138,760
15,637 Capital One Financial Corp. (a) 769,028
15,875 Charter One Financial, Inc. 494,982
12,350 Comerica, Inc. $ 574,275
40,705 Fifth Third Bancorp (a) 2,334,025
8,900 First Tennessee National Corp. 390,799
73,952 FleetBoston Financial Corp. 2,197,114
10,800 Golden West Financial Corp. 864,108
16,549 Huntington Bancshares, Inc. (a) 323,036
29,900 KeyCorp 755,573
15,400 Marshall & Ilsley Corp. 470,932
89,977 MBNA Corp. 1,875,121
30,400 Mellon Financial Corp. 843,600
43,100 National City Corp. (a) 1,409,801
11,400 North Fork Bancorp., Inc. 388,284
15,600 Northern Trust Corp. 651,924
20,000 PNC Bank Corp. 976,200
15,600 Regions Financial Corp. 526,968
24,300 Southtrust Corp. 660,960
19,900 Suntrust Banks, Inc. 1,180,866
21,400 Synovus Financial Corp. 460,100
135,034 U.S. Bancorp 3,308,333
14,000 Union Planters Corp. 434,420
95,896 Wachovia Corp. 3,832,004
66,774 Washington Mutual, Inc. 2,757,766
119,230 Wells Fargo & Co. (a) 6,009,192
6,400 Zions Bancorp. 323,904
-----------
49,476,063
-----------
Beverages, Food & Tobacco - 5.5%
2,600 Adolph Coors Co. (a) 127,348
145,800 Altria Group, Inc. 6,625,152
60,300 Anheuser-Busch Companies, Inc. 3,078,315
45,449 Archer-Daniels-Midland Co. 584,929
4,300 Brown Forman Corp., Class B 338,066
28,900 Campbell Soup Co. 708,050
174,700 Coca-Cola Co. 8,107,827
31,600 Coca-Cola Enterprises, Inc. 573,540
37,800 Conagra, Inc. 892,080
26,000 General Mills, Inc. (a) 1,232,660
24,800 H.J. Heinz Co. 817,904
7,600 Hercules, Inc.* 75,240
9,600 Hershey Foods Corp. 668,736
28,800 Kellogg Co. 989,856
9,900 McCormick & Co., Inc. 269,280
19,700 Pepsi Bottling Group, Inc. 394,394
121,710 PepsiCo, Inc. 5,416,095
6,000 R.J. Reynolds Tobacco Holdings, Inc. 223,260
31,000 Safeway, Inc.* 634,260
27,300 Starbucks Corp.* 669,396
9,400 Supervalu, Inc. 200,408
46,100 Sysco Corp. 1,384,844
11,800 UST, Inc. 413,354
15,900 Wrigley (Wm.) Jr. Co. 894,057
-----------
35,319,051
-----------
Building Materials - 0.0%
7,200 Vulcan Materials Co. 266,904
-----------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-14
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Chemicals - 1.4%
16,000 Air Products & Chemicals, Inc. $ 665,600
7,800 Avery Dennison Corp. 391,560
64,177 Dow Chemical Co. 1,986,920
70,100 Du Pont (E.I.) De Nemours and Co. 2,918,964
5,400 Eastman Chemical Co. 171,018
3,500 Great Lakes Chemical Corp. 71,400
6,600 International Flavors & Fragrances, Inc. 210,738
18,427 Monsanto Co. 398,760
12,000 PPG Industries, Inc. 608,880
11,400 Praxair, Inc. 685,140
15,575 Rohm & Haas Co. 483,292
5,908 Sealed Air Corp.* 281,575
10,500 Sherwin Williams Co. 282,240
-----------
9,156,087
-----------
Commercial Services - 2.8%
14,700 Allied Waste Industries, Inc.* (a) 147,735
12,300 Apollo Group, Inc.* 759,648
42,300 Automatic Data Processing, Inc. 1,432,278
72,533 Cendant Corp.* 1,328,805
12,000 Cintas Corp. (a) 425,280
35,800 Concord EFS, Inc.* 526,976
12,200 Convergys Corp.* 195,200
4,000 Deluxe Corp. 179,200
18,300 Ecolab, Inc. 468,480
10,000 Equifax, Inc. 260,000
53,000 First Data Corp. 2,196,320
5,700 Fluor Corp. 191,748
30,700 Halliburton Co. 706,100
3,400 Millipore Corp.* (a) 150,858
10,700 Moody's Corp. 563,997
26,550 Paychex, Inc. 778,180
8,900 Perkinelmer, Inc. 122,909
16,700 Pitney Bowes, Inc. 641,447
7,400 Quest Diagnostics, Inc.* (a) 472,120
8,300 Quintiles Transnational Corp.* 117,777
8,000 R. R. Donnelley & Sons Co. 209,120
12,200 Robert Half International, Inc.* (a) 231,068
79,200 United Parcel Service, Class B 5,045,040
41,935 Waste Management, Inc. 1,010,214
-----------
18,160,500
-----------
Communications - 1.7%
56,500 ADC Telecommunications, Inc.* 131,532
6,900 Andrew Corp.* 63,480
314,998 AOL Time Warner, Inc.* 5,068,318
26,231 Avaya, Inc.* 169,452
33,000 Ciena Corp.* 171,270
84,400 Corning, Inc.* (a) 623,716
291,582 Lucent Technologies, Inc.* (a) 591,911
72,300 Nextel Communications, Inc., Class
A* (a) 1,307,184
55,600 Qualcomm, Inc. 1,987,700
12,600 Rockwell Collins, Inc. 310,338
10,700 Scientific Atlanta, Inc. 255,088
29,000 Tellabs, Inc.* 190,530
-----------
10,870,519
-----------
Computer Software & Processing - 5.5%
16,300 Adobe Systems, Inc. $ 522,741
7,900 Autodesk, Inc. 127,664
16,400 BMC Software, Inc.* 267,812
12,000 Citrix Systems, Inc.* 244,320
40,450 Computer Associates International, Inc. (a) 901,226
13,200 Computer Sciences Corp.* (a) 503,184
26,600 Compuware Corp.* 153,482
10,100 Electronic Arts, Inc.* 747,299
33,500 Electronic Data Systems Corp. 718,575
13,450 Fiserv, Inc.* 478,954
17,200 IMS Health, Inc. 309,428
14,500 Intuit, Inc.* 645,685
6,000 Mercury Interactive Corp.* 231,660
754,200 Microsoft Corp. 19,315,062
6,900 NCR Corp.* (a) 176,778
25,900 Novell, Inc.* 79,772
11,100 NVIDIA Corp.* (a) 255,411
371,320 Oracle Corp.* 4,463,266
18,500 Parametric Technology Corp.* 56,425
22,000 PeopleSoft, Inc.* 386,980
34,100 Siebel Systems, Inc.* 325,314
225,100 Sun Microsystems, Inc.* 1,035,460
19,900 SunGard Data Systems, Inc.* 515,609
10,400 Symantec Corp.* 456,144
22,900 Unisys Corp.* 281,212
29,019 VERITAS Software Corp.* 831,975
41,600 Yahoo!, Inc.* (a) 1,362,816
-----------
35,394,254
-----------
Computers & Information - 5.1%
25,400 Apple Computer, Inc.* 485,648
501,200 Cisco Systems, Inc.* 8,365,028
13,200 Comverse Technology, Inc.* (a) 198,396
181,800 Dell Computer Corp.* 5,810,328
155,000 EMC Corp.* 1,622,850
22,760 Gateway, Inc.* 83,074
215,098 Hewlett-Packard Co. 4,581,587
119,100 International Business Machines Corp. 9,825,750
8,900 Lexmark International Group, Inc.* 629,853
23,900 Network Appliance, Inc.* (a) 387,419
58,200 Solectron Corp.* 217,668
16,200 Symbol Technologies, Inc. 210,762
-----------
32,418,363
-----------
Consumer Products - Diversified - 0.2%
55,100 Sara Lee Corp. 1,036,431
-----------
Containers & Packaging - 0.0%
4,000 Ball Corp. (a) 182,040
-----------
Cosmetics & Personal Care - 2.2%
4,100 Alberto-Culver Co., Class B 209,510
16,600 Avon Products, Inc. 1,032,520
38,000 Colgate-Palmolive Co. 2,202,100
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-15
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- -------------------------------------------------------------------------------
Value
Shares (Note 2)
- -------------------------------------------------------------------------------
Cosmetics & Personal Care (continued)
73,600 Gillette Co. $ 2,344,896
91,200 Procter & Gamble Co. 8,133,216
-----------
3,922,242
-----------
Electric Utilities - 2.8%
41,300 AES Corp.* 262,255
8,800 Allegheny Energy, Inc. (a) 74,360
11,200 Ameren Corp. 493,920
27,440 American Electric Power, Inc. (a) 818,535
26,600 Calpine Corp.* (a) 175,560
21,398 CenterPoint Energy, Inc. (a) 174,394
11,843 Cinergy Corp. 435,704
19,800 Citizens Utilities Co., Class B* (a) 255,222
10,100 CMS Energy Corp. 81,810
15,100 Consolidated Edison, Inc. 653,528
11,650 Constellation Energy Group, Inc. 399,595
21,650 Dominion Resources, Inc. 1,391,445
11,800 DTE Energy Co. 455,952
62,834 Duke Energy Corp. 1,253,538
22,900 Edison International* 376,247
15,700 Entergy Corp. 828,646
22,750 Exelon Corp. 1,360,677
21,000 FirstEnergy Corp. 807,450
12,900 Florida Power & Light Group Capital,
Inc. 862,365
11,000 KeySpan Energy Corp. 389,950
28,399 Mirant Corp.* (a) 82,357
18,500 NiSource, Inc. 351,500
28,700 PG&E Corp.* 607,005
6,400 Pinnacle West Capital Corp. 239,680
11,600 PPL Corp. 498,800
16,677 Progress Energy, Inc. (a) 732,120
5,000 Progress Energy, Inc. (b) 0
15,700 Public Service Enterprise Group, Inc. 663,325
14,513 Sempra Energy 414,056
50,300 Southern Co. 1,567,348
12,300 TECO Energy, Inc. (a) 147,477
22,640 TXU Corp. 508,268
28,010 Xcel Energy, Inc. 421,270
-----------
17,784,359
-----------
Electrical Equipment - 0.5%
13,800 American Power Conversion Corp.* 215,142
6,600 Cooper Industries, Ltd. 272,580
20,500 Eastman Kodak Co. (a) 560,675
29,700 Emerson Electric Co. 1,517,670
13,100 Rockwell International Corp. 312,304
4,100 Thomas & Betts Corp.* 59,245
51,800 Xerox Corp.* (a) 548,562
-----------
3,486,178
-----------
Electronics - 3.3%
24,200 Advanced Micro Devices* 155,122
26,900 Altera Corp.* (a) 441,160
25,700 Analog Devices, Inc.* 894,874
21,400 Applied Micro Circuits Corp.* 129,470
19,400 Broadcom Corp.* 483,254
466,900 Intel Corp. $ 9,704,050
13,900 Jabil Circuit, Inc.* 307,190
13,400 KLA-Tencor Corp.* 622,966
22,000 Linear Technology Corp. 708,620
26,200 LSI Logic Corp.* 185,496
22,800 Maxim Integrated Products, Inc. 779,532
42,800 Micron Technology, Inc.* (a) 497,764
13,525 Molex, Inc. 365,040
162,135 Motorola, Inc. 1,528,933
12,800 National Semiconductor Corp.* 252,416
10,500 Novellus Systems, Inc.* 384,520
11,800 PMC-Sierra, Inc.* (a) 138,414
5,600 Power-One, Inc.* 40,040
6,600 QLogic Corp.* (a) 318,978
35,900 Sanmina Corp.* 226,529
12,900 Teradyne, Inc.* 223,299
122,000 Texas Instruments, Inc. 2,147,200
23,800 Xilinx, Inc.* 602,378
-----------
21,137,245
-----------
Entertainment & Leisure - 0.7%
7,900 Harrah's Entertainment, Inc.* (a) 317,896
12,150 Hasbro, Inc. 212,504
6,000 International Game Technology* 613,980
30,812 Mattel, Inc. 582,963
143,929 Walt Disney Co. 2,842,598
-----------
4,569,941
-----------
Financial Services - 6.3%
92,600 American Express Co. 3,871,606
94,700 Charles Schwab Corp. (a) 955,523
362,340 Citigroup, Inc. 15,508,152
8,900 Countrywide Financial Corp. 619,173
70,200 Fannie Mae 4,734,288
7,700 Federated Investors, Inc., Class B 211,134
18,130 Franklin Resources, Inc. 708,339
49,000 Freddie Mac 2,487,730
12,600 H&R Block, Inc. 544,950
17,959 Household International, Inc. (a) 567,933
16,800 Janus Capital Group, Inc. 275,520
140,718 Morgan (J.P.) & Co., Inc 4,809,741
22,600 Principal Financial Group, Inc. 728,850
20,300 Providian Financial Corp.* 187,978
39,900 Prudential Financial, Inc. 1,342,635
32,571 SLM Corp. 1,275,806
23,400 State Street Corp. 921,960
8,600 T. Rowe Price Group, Inc. (a) 324,650
-----------
40,075,968
-----------
Food Retailers - 0.2%
26,642 Albertson's, Inc. (a) 511,526
53,700 Kroger Co.* 895,716
9,900 Winn-Dixie Stores, Inc. (a) 121,869
-----------
1,529,111
-----------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-16
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Forest Products & Paper - 0.8%
3,700 Bemis Co. $ 173,160
4,100 Boise Cascade Corp. 97,990
17,602 Georgia-Pacific Corp. 333,558
33,740 International Paper Co. 1,205,530
36,240 Kimberly-Clark Corp. 1,889,554
7,300 Louisiana Pacific Corp.* 79,132
14,098 Meadwestvaco Corp. 348,221
11,100 Pactiv Corp.* (a) 218,781
3,800 Temple Inland, Inc. (a) 163,058
15,400 Weyerhaeuser Co. 831,600
-----------
5,340,584
-----------
Health Care Providers - 0.5%
36,200 HCA - The Healthcare Corporation 1,159,848
16,800 Health Management Associates, Inc.,
Class A* 309,960
6,300 Manor Care, Inc.* (a) 157,563
33,350 Tenet Healthcare Corp.* 388,528
10,500 Wellpoint Health Networks, Inc.* 885,150
-----------
2,901,049
-----------
Heavy Construction - 0.0%
4,400 McDermott International, Inc.* 27,852
-----------
Heavy Machinery - 1.5%
5,100 American Standard Companies, Inc.* 377,043
116,300 Applied Materials, Inc.* 1,844,518
23,780 Baker Hughes, Inc. 798,295
24,300 Caterpillar, Inc. (a) 1,352,538
2,900 Cummins Engine Co., Inc. (a) 104,081
16,900 Deere & Co. 772,330
14,200 Do_r Corp. 425,432
11,900 Ingersoll-Rand Co. 563,108
8,600 Pall Corp. 193,500
8,375 Parker-Hannifin Corp. 351,666
6,200 Stanley Works 171,120
33,200 United Technologies Corp. 2,351,556
6,500 W.W. Grainger, Inc. 303,940
-----------
9,609,127
-----------
Home Construction, Furnishings &
Appliances - 0.5%
5,500 Black & Decker Corp. 238,975
4,400 Centex Corp. 342,276
6,300 Johnson Controls, Inc. 539,280
3,400 KB Home 210,732
13,700 Leggett & Platt, Inc. 280,850
34,600 Masco Corp. (a) 825,210
5,500 Maytag Corp. 134,310
4,300 Pulte Corp. 265,138
4,800 Whirlpool Corp. 305,760
-----------
3,142,531
-----------
Household Products - 0.3%
15,500 Clorox Co. 661,075
10,500 Fortune Brands, Inc. 548,100
18,833 Newell Rubbermaid, Inc. 527,324
4,100 Snap-On, Inc. $ 119,023
4,100 Tupperware Corp. 58,876
-----------
1,914,398
-----------
Industrial - Diversified - 4.4%
27,500 3M Co. 3,546,950
701,400 General Electric Co. 20,116,152
21,700 Illinois Tool Works, Inc. 1,428,945
140,637 Tyco International, Ltd. 2,669,290
-----------
27,761,337
-----------
Insurance - 5.0%
18,500 ACE, Ltd. 634,365
10,598 Aetna, Inc. 638,000
36,400 AFLAC, Inc. 1,119,300
49,538 Allstate Corp. 1,766,030
7,500 AMBAC Financial Group, Inc. 496,875
183,879 American International Group, Inc. 10,146,443
10,000 Anthem, Inc.* 771,500
21,850 AON Corp. 526,148
12,100 Chubb Corp. (a) 726,000
9,800 Cigna Corp. 460,012
11,400 Cincinnati Financial Corp. 422,826
19,700 Hartford Financial Services Group, Inc. 992,092
11,400 Humana, Inc.* 172,140
10,100 Jefferson Pilot Corp. 418,746
20,300 John Hancock Financial Services, Inc. 623,819
12,500 Lincoln National Corp. 445,375
13,100 Loews Corp. 619,499
37,900 Marsh & McLennan Cos., Inc. 1,935,553
10,250 MBIA, Inc. 499,688
53,600 Metlife, Inc. 1,517,952
7,100 MGIC Investment Corp. 331,144
15,400 Progressive Corp. 1,125,740
9,700 SAFECO Corp. 342,216
16,000 St. Paul Cos. (a) 584,160
8,300 Torchmark Corp. 309,175
70,861 Travelers Property Casualty Corp., Class
B 1,117,478
43,000 UnitedHealth Group, Inc. 2,160,750
20,218 UnumProvident Corp. 271,123
9,600 XL Capital, Ltd., Class A 796,800
-----------
31,970,949
-----------
Lodging - 0.2%
26,500 Hilton Hotels Corp. 338,935
16,500 Marriott International, Inc., Class A
(a) 633,930
14,100 Starwood Hotels & Resorts Worldwide,
Inc. 403,119
-----------
1,375,984
-----------
Media - Broadcasting &
Publishing - 2.7%
4,600 American Greetings Corp., Class A* (a) 90,344
43,200 Clear Channel Communications, Inc.* 1,831,248
1 62,678 Comcast Corp., Class A* 4,909,622
5,800 Dow Jones & Company, Inc. (a) 249,574
18,900 Gannett Co., Inc. 1,451,709
5,800 Knight-Ridder, Inc. 399,794
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-17
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- -------------------------------------------------------------------------------
Media - Broadcasting &
Publishing (continued)
13,700 McGraw-Hill Cos., Inc. $ 849,400
3,500 Meredith Corp. (a) 154,000
10,700 New York Times Co., Class A 486,850
21,487 Tribune Co. 1,037,822
16,100 Univision Communications, Inc.* (a) 489,440
124,128 Viacom, Inc., Class B* 5,419,428
-----------
17,369,231
-----------
Medical Supplies - 2.5%
32,824 Agilent Technologies, Inc.* 641,709
9,100 Allergan, Inc. 701,610
14,700 Applied Biosystems Group - Applera Corp. 279,741
3,800 Bausch & Lomb, Inc. 142,500
41,800 Baxter International, Inc. 1,086,800
18,000 Becton, Dickinson & Co. 699,300
18,225 Biomet, Inc. 522,329
28,800 Boston Scientific Corp.* (a) 1,759,680
3,700 C.R. Bard, Inc. 263,847
10,800 Danaher Corp. (a) 734,940
5,300 Eaton Corp. (a) 416,633
21,600 Guidant Corp. 958,824
99,700 JDS Uniphase Corp.* 349,947
86,000 Medtronic, Inc. 4,125,420
12,500 St. Jude Medical, Inc.* 718,750
14,000 Stryker Corp. (a) 971,180
6,100 Tektronix, Inc.* 131,760
11,500 Thermo Electron Corp.* 241,730
9,100 Waters Corp.* 265,083
13,770 Zimmer Holdings, Inc.* 620,339
-----------
15,632,122
-----------
Metals - 0.6%
59,508 Alcoa, Inc. 1,517,454
5,651 Allegheny Technologies, Inc. 37,297
4,150 Crane Co. 93,915
8,950 Engelhard Corp. 221,692
10,200 Freeport-McMoRan Copper & Gold, Inc.,
Class B* (a) 249,900
28,311 Newmont Mining Corp. (a) 918,975
5,500 Nucor Corp. 268,675
6,300 Phelps Dodge Corp.* 241,542
7,120 United States Steel Corp. 116,554
6,000 Worthington Industries, Inc. 80,400
-----------
3,746,404
-----------
Oil & Gas - 5.8%
6,300 Amerada Hess Corp. 309,834
17,579 Anadarko Petroleum Corp. 781,738
11,300 Apache Corp. 735,178
4,800 Ashland, Inc. 147,264
11,100 BJ Services Co.* 414,696
14,182 Burlington Resources, Inc. 766,821
75,336 ChevronTexaco Corp. (a) 5,439,259
47,695 ConocoPhillips 2,613,686
16,200 Devon Energy Corp. 865,080
26,100 Dynegy, Inc. 109,620
42,130 El Paso Energy Corp. $ 340,410
8,100 EOG Resources, Inc. 338,904
474,260 Exxon Mobil Corp. 17,030,677
7,081 Kerr-Mcgee Corp. 317,229
8,600 Kinder Morgan, Inc. 469,990
22,000 Marathon Oil Corp. 579,700
10,200 Nabors Industries, Ltd.* 403,410
3,100 Nicor, Inc. 115,041
9,400 Noble Corp.* 322,420
26,600 Occidental Petroleum Corp. 892,430
2,500 Peoples Energy Corp. 107,225
6,600 Rowan Cos., Inc.* 147,840
41,000 Schlumberger, Ltd. 1,950,370
5,400 Sunoco, Inc. 203,796
22,427 Transocean Sedco Forex, Inc.* 492,721
18,200 Unocal Corp. 522,158
36,400 Williams Cos., Inc. 287,560
-----------
36,705,057
-----------
Pharmaceuticals - 11.5%
110,200 Abbott Laboratories 4,822,352
7,800 AmerisourceBergen Corp. (a) 540,930
90,708 Amgen, Inc.* 6,026,640
10,500 Biogen, Inc.* 399,000
136,500 Bristol-Myers Squibb Co. 3,705,975
31,900 Cardinal Health, Inc. 2,051,170
13,200 Chiron Corp.* 577,104
25,600 Forest Laboratories, Inc.* 1,401,600
15,100 Genzyme Corp.* 631,180
209,360 Johnson & Johnson 10,823,912
16,966 King Pharmaceuticals, Inc.* 250,418
79,200 Lilly (Eli) & Co. 5,462,424
20,514 McKesson HBOC Corp. 733,170
17,700 Medimmune, Inc.* 643,749
158,300 Merck & Co., Inc. 9,585,065
561,884 Pfizer, Inc. 19,188,339
103,300 Schering-Plough Corp. 1,921,380
5,100 Sigma Aldrich Corp. 276,318
7,500 Watson Pharmaceuticals, Inc.* 302,775
93,400 Wyeth Corp. 4,254,370
-----------
73,597,871
-----------
Real Estate Investment Trust - 0.4%
6,600 Apartment Investment & Management Co.,
REIT 228,360
29,000 Equity Office Properties Trust, REIT 783,290
19,100 Equity Residential Properties Trust,
REIT 495,645
13,000 Plum Creek Timber Co., Inc., REIT (a) 337,350
13,000 Simon Property Group, Inc., REIT 507,390
-----------
2,352,035
-----------
Restaurants - 0.5%
12,000 Darden Restaurants, Inc. 227,760
89,400 McDonald's Corp. 1,972,164
8,100 Wendy's International, Inc. (a) 234,657
20,820 Yum! Brands, Inc.* 615,439
-----------
3,050,020
-----------
See Notes to Financial Statements.
- -------------------------------------------------------------------------------
F-18
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- -------------------------------------------------------------------------------
Value
Shares (Note 2)
- -------------------------------------------------------------------------------
Retailers - 6.5%
6,900 AutoZone, Inc.* $ 524,193
20,700 Bed Bath & Beyond, Inc.* 803,367
22,700 Best Buy Co., Inc.* 996,984
8,100 Big Lots, Inc.* 121,824
14,800 Circuit City Stores, Inc. 130,240
32,112 Costco Wholesale Corp.* 1,175,299
27,700 CVS Corp. 776,431
5,900 Dillards, Inc., Class A 79,473
23,487 Dollar General Corp. (a) 428,873
21,800 eBay, Inc.* 2,271,124
12,100 Family Dollar Stores, Inc. 461,615
13,400 Federated Department Stores, Inc. 493,790
163,897 Home Depot, Inc. 5,428,269
18,900 J.C. Penney Co., Inc. 318,465
55,000 Lowes Cos., Inc. 2,362,250
20,300 May Department Stores Co. 451,878
21,700 Office Depot, Inc.* 314,867
11,800 RadioShack Corp. 310,458
22,300 Sears Roebuck & Co. (a) 750,172
33,300 Staples, Inc.* 611,055
64,100 Target Corp. (a) 2,425,544
10,200 Tiffany & Co. 333,336
37,000 TJX Cos., Inc. 697,080
14,900 Toys 'R' Us, Inc.* 180,588
72,200 Walgreen Co. 2,173,220
311,100 Wal-Mart Stores, Inc. 16,696,737
------------
41,317,132
------------
Securities Broker - 1.7%
7,052 Bear Stearns Cos., Inc. (a) 510,706
33,300 Goldman Sachs and Co. (a) 2,788,875
17,100 Lehman Brothers Holdings, Inc. 1,136,808
65,400 Merrill Lynch & Co., Inc. 3,052,872
76,334 Morgan Stanley Dean Witter & Co. 3,263,279
------------
10,752,540
------------
Telephone Systems - 3.6%
21,900 Alltel Corp. 1,056,018
54,248 AT&T Corp. 1,044,274
190,855 AT&T Wireless Services, Inc.* 1,566,920
131,100 BellSouth Corp. 3,491,193
10,000 CenturyTel, Inc. (a) 348,500
119,463 Qwest Communications International,
Inc.* 571,033
233,998 SBC Communications, Inc. 5,978,649
63,000 Sprint Corp. 907,200
70,400 Sprint Corp. (PCS Group)* 404,800
192,830 Verizon Communications, Inc. 7,607,144
------------
22,975,731
------------
Textiles, Clothing & FABRICS - 0.3%
9,100 Jones Apparel Group, Inc.* 266,266
7,500 Liz Claiborne, Inc. 264,375
18,700 Nike, Inc., Class B 1,000,263
4,200 Reebok International, Ltd.* (a) 141,246
7,700 V.F. Corp. 261,569
------------
1,933,719
------------
Transportation - 0.7%
6,300 Brunswick Corp. $ 157,626
26,452 Burlington Northern Santa Fe Corp. 752,295
44,300 Carnival Corp. (a) 1,440,193
15,100 CSX Corp. 454,359
27,400 Norfolk Southern Corp. 526,080
4,400 Ryder System, Inc. 112,728
10,008 Sabre Group Holdings, Inc. 246,697
17,900 Union Pacific Corp. 1,038,558
------------
4,728,536
------------
Total Common Stocks 634,999,458
------------
(Cost $703,096,747)
CONVERTIBLE PREFERRED STOCKS - 0.0%
Electric Utilities - 0.0%
4,200 NiSource, Inc.* 9,324
------------
Total Convertible Preferred Stocks 9,324
------------
(Cost $8,531)
Par Value
U.S. GOVERNMENT OBLIGATIONS - 0.2%
U.S. Treasury Bill - 0.1%
$1,100,000 0.78%, 09/18/03 (c) (d) 1,098,118
------------
U.S. Treasury Note - 0.1%
475,000 3.00%, 02/29/04 481,457
------------
Total U.S. Government Obligations 1,579,575
------------
(Cost $1,579,301)
Shares
INVESTMENT COMPANY - 0.3%
1,631,933 Marshall Money Market Fund 1,631,933
------------
Total Investment Company 1,631,933
------------
(Cost $1,631,933)
Total Investments - 100.0% 638,220,290
------------
(Cost $706,316,512)
Net Other Assets and Liabilities - (0.0)% (155,705)
------------
Total Net Assets - 100.0% $638,064,585
============
- ----------
* Non-income producing security.
(a) All or a portion of this security is out on loan at June 30, 2003; the
value of the securities loaned amounted to $38,053,313. The value of
collateral amounted to $39,905,710 which consisted of cash equivalents.
(b) Contingent Value Obligation. Represents the right to receive contingent
payments based upon the net after-tax flow to Progress Energy generated by
certain operations. No such payments have been received to date. Security
valued by fund management.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-19
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued - June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
(c) Security has been deposited as initial margin on futures contracts. At June
30, 2003, the Portfolio's open futures contracts were as follows:
Number Market Value
of Contracts Contract Expiration Aggregate at
Purchased Type Date Cost June 30, 2003
- ------------ -------- -------------- ---------- -------------
9 S&P 500 September-2003 $2,207,903 $2,189,925
========== ==========
(d) Effective yield at time of purchase.
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $706,318,141. Net unrealized appreciation (depreciation) aggregated
$(68,097,851), of which $36,785,871 related to appreciated investment securities
and $(104,883,722) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $115,408,052
and $159,953,998 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- -------------------------------------------------------------------------------
F-20
Select Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (k) - 26.6%
Fannie Mae - 14.8%
$ 5,000,000 5.00%, 07/01/33, TBA (a) NR $ 5,079,690
2,215,000 5.00%, 08/01/33, TBA (a) NR 2,241,303
5,206,918 5.50%, 11/25/10 - 05/01/33 NR 5,379,966
11,700,000 5.50%, 08/01/33, TBA (a) NR 12,054,650
12,953,056 6.00%, 09/01/13 - 11/01/32 NR 13,508,943
7,995,000 6.00%, 07/01/33, TBA (a) NR 8,307,301
29,326,244 6.50%, 05/01/08 - 09/01/32 NR 30,621,273
11,097,570 7.00%, 08/01/10 - 06/01/32 NR 11,739,166
4,721,405 7.50%, 01/01/07 - 09/01/30 NR 5,036,208
1,399,249 8.00%, 04/01/09 - 08/01/32 NR 1,503,661
131,952 8.50%, 07/01/08 - 06/01/30 NR 137,615
403,708 9.00%, 02/01/10 - 11/01/25 NR 444,398
4,457 10.00%, 10/01/20 NR 5,068
------------
96,059,242
------------
Freddie Mac - 8.4%
1,685,000 4.50%, 07/01/18, TBA (a) NR 1,719,753
6,200,000 5.00%, 07/01/18, TBA (a) NR 6,401,500
19,345,720 5.00%, 05/01/18 - 06/01/23 NR 19,944,878
336,248 5.50%, 04/01/18 NR 348,766
4,860,000 5.50%, 07/01/33, TBA (a) NR 5,013,391
12,535,366 6.00%, 10/15/07 - 02/01/33 NR 13,001,638
2,531,407 6.50%, 06/01/04 - 12/01/31 NR 2,635,514
3,853,369 7.00%, 05/01/32 NR 4,039,890
1,214,275 7.50%, 06/01/15 - 11/01/30 NR 1,293,316
75,198 8.75%, 05/01/17 NR 83,382
144,411 9.50%, 08/01/19 - 02/01/21 NR 160,532
------------
54,642,560
------------
Ginnie Mae - 3.4%
5,575,000 5.50%, 08/01/33, TBA (a) NR 5,784,063
7,801,802 6.00%, 01/15/32 - 11/15/32 NR 8,182,048
3,878,821 6.50%, 09/15/08 - 11/15/32 NR 4,075,863
3,174,918 7.00%, 06/15/23 - 12/15/31 NR 3,360,928
153,293 7.50%, 11/15/30 NR 162,930
108,502 9.50%, 02/15/06 NR 113,987
------------
21,679,819
------------
Total U.S. Government Agency
Mortgage-Backed Obligations 172,381,621
------------
(Cost $170,662,456)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 22.1%
Fannie Mae - 6.5%
13,000,000 0.96%, 07/01/03 (b) Aaa 13,000,000
725,000 1.22%, 10/22/03 (b) Aaa 722,224
3,500,000 3.00%, 11/01/05 Aaa 3,586,387
1,405,000 5.15%, 05/03/07 Aaa 1,488,731
2,045,000 5.25%, 03/22/07 Aaa 2,099,694
40,000 5.38%, 11/15/11 Aaa 44,989
6,871,026 6.00%, 02/01/17 - 06/01/31 NR 7,161,571
6,290,000 6.25%, 07/19/11 Aaa 6,579,095
3,000,000 6.40%, 05/14/09 Aaa 3,127,275
$ 3,262,832 6.50%, 07/01/14 - 05/01/31 NR $ 3,435,210
126,898 7.50%, 03/01/28 - 12/01/30 NR 134,964
676,294 8.00%, 10/01/29 - 05/01/30 NR 730,605
------------
42,110,745
------------
Federal Home Loan Bank - 1.0%
3,200,000 0.96%, 07/01/03 (b) (c) Aaa 3,200,000
3,145,000 4.96%, 06/18/07 Aaa 3,247,389
------------
6,447,389
------------
Freddie Mac - 3.0%
3,300,000 4.50%, 07/23/07 Aaa 3,407,210
8,015,000 5.75%, 03/15/09 - 01/15/12 Aaa 9,206,602
6,840,279 6.50%, 12/01/31 NR 7,118,099
------------
19,731,911
------------
Ginnie Mae - 0.4%
2,554,597 7.00%, 02/15/28 - 11/15/28 NR 2,702,169
------------
Sallie Mae - 0.2%
1,500,000 0.88%, 10/16/03 (d) Aaa 1,500,000
------------
U.S. Treasury Bond - 3.4%
12,620,000 5.38%, 02/15/31 (e) NR 14,210,814
515,000 5.50%, 08/15/28 NR 579,315
665,000 6.13%, 08/15/29 NR 812,573
5,100,000 6.25%, 08/15/23 NR 6,247,102
------------
21,849,804
------------
U.S. Treasury Inflationary
Index - 0.0%
143,067 3.38%, 04/15/32 NR 175,516
------------
U.S. Treasury Note - 7.5%
15,000,000 2.25%, 07/31/04 NR 15,193,950
2,890,000 3.88%, 02/15/13 (e) NR 2,973,877
220,000 4.00%, 11/15/12 NR 228,929
5,000,000 4.25%, 11/15/03 NR 5,060,940
230,000 5.00%, 02/15/11 NR 258,166
4,370,000 5.25%, 05/15/04 (e) NR 4,530,121
14,920,000 5.88%, 02/15/04 NR 15,371,673
4,035,000 6.50%, 02/15/10 (e) NR 4,895,117
------------
48,512,773
------------
U.S. Treasury Principal Only
Strip - 0.1%
660,000 5.50%, 08/15/28 (f) NR 188,080
1,390,000 6.13%, 11/15/27 (f) NR 412,214
------------
600,294
------------
Total U.S. Government and Agency
Obligations 143,630,601
------------
(Cost $139,713,076)
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-21
Select Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 33.1%
Aerospace & Defense - 0.5%
$ 2,700,000 Northrop Grumman Corp.
7.13%, 02/15/11 Baa3 $ 3,234,387
152,880 Systems 2001 Asset Trust (g)
6.66%, 09/15/13 Aaa 172,109
-----------
3,406,496
-----------
Airlines - 0.0%
94,322 Delta Airlines, Inc.
6.72%, 01/02/23 Aaa 102,212
-----------
Automotive - 0.8%
100,000 DaimlerChrysler North America
Holding Corp. (d)
1.51%, 08/21/03 A3 100,000
42,470 DaimlerChrysler North America
Holding Corp.
7.23%, 01/06/05 Aaa 43,361
100,000 DaimlerChrysler North America
Holding Corp.
7.30%, 01/15/12 A3 112,779
1,775,000 DaimlerChrysler North America
Holding Corp.
8.50%, 01/18/31 A3 2,121,125
2,660,000 General Motors Corp. (e)
7.20%, 01/15/11 Baa1 2,681,083
-----------
5,058,348
-----------
Banking - 4.8%
325,000 Bank of America Corp. (d)
1.61%, 10/22/04 Aa2 326,134
2,700,000 Bank of America Corp.
4.88%, 09/15/12 Aa2 2,849,491
500,000 Bank of America Corp.
6.25%, 04/15/12 Aa2 579,242
3,020,000 BB&T Corp. (d)
6.38%, 06/30/05 A2 3,278,569
2,700,000 Citifinancial
6.75%, 07/01/07 Aa1 3,095,969
280,000 Credit Suisse First Boston, Inc.
4.63%, 01/15/08 Aa3 299,005
3,200,000 Fifth Third Bank
4.50%, 06/01/18 Aa3 3,138,547
575,000 MBNA Corp.
7.50%, 03/15/12 Baa2 681,558
2,955,000 National City Bank of Indiana
4.88%, 07/20/07 Aa3 3,169,240
245,000 National City Corp.
5.75%, 02/01/09 A2 278,861
1,385,000 Suntrust Banks, Inc.
6.38%, 04/01/11 Aa3 1,614,758
320,000 Suntrust Banks, Inc.
7.75%, 05/01/10 A1 397,826
2,700,000 U.S. Bancorp
5.10%, 07/15/07 Aa3 2,951,305
3,900,000 US Bank National Cincinnati
6.50%, 02/01/08 Aa3 4,496,322
$ 450,000 Wells Fargo & Co. (d)
1.38%, 03/03/06 Aa2 $ 450,590
3,195,000 Wells Fargo & Co.
5.13%, 02/15/07 Aa2 3,495,253
-----------
31,102,670
-----------
Beverages, Food & Tobacco - 2.8%
2,700,000 Anheuser-Busch Cos., Inc.
4.63%, 02/01/15 A1 2,821,929
2,385,000 Bottling Group LLC (e) (g)
4.63%, 11/15/12 A3 2,492,802
2,175,000 Conagra Foods, Inc.
7.50%, 09/15/05 Baa1 2,425,443
1,500,000 Diageo, Plc
0.00%, 01/06/04 A2 1,488,528
2,700,000 General Mills, Inc.
6.00%, 02/15/12 Baa2 3,048,187
370,000 Pepsi Bottling Group, Inc.
7.00%, 03/01/29 A3 450,478
4,900,000 Unilever Capital Corp.
5.90%, 11/15/32 A1 5,275,899
-----------
18,003,266
-----------
Chemicals - 1.1%
1,820,000 Du Pont (E.I.) De Nemours and Co.
3.38%, 11/15/07 Aa3 1,872,516
1,501,000 Du Pont (E.I.) De Nemours and Co.
6.88%, 10/15/09 Aa3 1,810,394
3,200,000 Praxair, Inc.
6.63%, 10/15/07 A3 3,660,630
-----------
7,343,540
-----------
Commercial Services - 0.5%
2,800,000 USA Waste Services, Inc.
7.00%, 10/01/04 Baa3 2,969,464
-----------
Computer Software &
Processing - 0.1%
300,000 Electronic Data Systems Corp. (e)
6.85%, 10/15/04 Baa3 314,250
-----------
Electric Utilities - 2.0%
2,500,000 Baltimore Gas & Electric Co.
5.20%, 06/15/33 A2 2,390,593
1,250,000 Dominion Resources, Inc.
7.60%, 07/15/03 Baa1 1,252,491
2,750,000 Exelon Corp.
6.75%, 05/01/11 Baa2 3,181,714
160,000 FirstEnergy Corp.
6.45%, 11/15/11 Baa2 175,578
2,915,000 Florida Power & Light
6.88%, 12/01/05 Aa3 3,254,227
2,325,000 Nisource Finance Corp.
7.88%, 11/15/10 Baa3 2,745,128
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-22
Select Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Electric Utilities (Continued)
$ 80,000 TXU Energy Co. (g)
7.00%, 03/15/13 Baa2 $ 88,539
-----------
13,088,270
-----------
Entertainment & Leisure - 1.3%
4,850,000 AOL Time Warner, Inc. (e)
6.15%, 05/01/07 Baa1 5,455,911
120,000 AOL Time Warner, Inc.
8.38%, 07/15/33 Baa1 155,225
2,700,000 Harrah's Operating Co., Inc.
7.13%, 06/01/07 Baa3 3,054,062
15,000 MGM Mirage, Inc.
7.25%, 10/15/06 Ba1 16,050
4,000 MGM Mirage, Inc.
8.50%, 09/15/10 Ba1 4,700
11,000 Park Place Entertainment Corp.
8.50%, 11/15/06 Ba1 12,155
-----------
8,698,103
-----------
Financial Services - 5.3%
2,700,000 American Express Co.
3.75%, 11/20/07 A1 2,813,557
2,000,000 American Express Credit Corp.
3.00%, 05/16/08 Aa3 2,013,784
3,200,000 CIT Group, Inc. (e)
4.00%, 05/08/08 A2 3,258,797
274,764 CVRD Finance Ltd.,
Series 1A (d) (g)
1.94%, 10/15/07 Aaa 272,016
100,000 Ford Motor Credit Co.
5.75%, 02/23/04 A3 102,087
2,895,000 Ford Motor Credit Co. (e)
6.50%, 01/25/07 A3 3,045,896
1,345,000 Ford Motor Credit Co.
6.88%, 02/01/06 A3 1,426,507
1,110,000 Ford Motor Credit Co.
7.25%, 10/25/11 A3 1,141,161
190,000 Ford Motor Credit Co.
7.38%, 10/28/09 A3 199,179
160,000 Ford Motor Credit Co.
7.38%, 02/01/11 A3 165,420
500,000 Ford Motor Credit Co.
7.88%, 06/15/10 A3 535,804
3,300,000 General Electric Capital
Corp., MTN
4.25%, 01/15/08 Aaa 3,495,419
300,000 General Electric Capital
Corp., MTN (e)
5.88%, 02/15/12 Aaa 335,582
200,000 General Electric Capital
Corp., MTN
6.00%, 06/15/12 Aaa 225,754
280,000 General Electric Capital
Corp., MTN
6.75%, 03/15/32 Aaa 327,478
1,725,000 General Electric Credit Corp.
6.27%, 07/23/03 Aaa 1,729,928
$ 100,000 General Motors Acceptance Corp.
7.25%, 03/02/11 A3 $ 102,610
200,000 General Motors Nova Finance
6.85%, 10/15/08 Baa1 209,990
2,760,000 Household Finance Corp.
8.00%, 07/15/10 A1 3,423,863
2,700,000 KFW International Finance, Inc.
4.25%, 04/18/05 Aaa 2,830,529
190,000 KFW International Finance,
Inc. (e)
4.75%, 01/24/07 Aaa 206,224
2,700,000 Mellon Funding Corp.
5.00%, 12/01/14 A2 2,912,725
2,875,000 Toyota Motor Credit Corp.
5.50%, 12/15/08 Aa1 3,254,598
-----------
34,028,908
-----------
Food Retailers - 1.0%
2,700,000 Kroger Co.
5.50%, 02/01/13 Baa3 2,850,009
3,300,000 Safeway, Inc.
6.50%, 03/01/11 Baa2 3,683,628
-----------
6,533,637
-----------
Forest Products & Paper - 0.5%
2,700,000 International Paper Co. (g)
5.30%, 04/01/15 Baa2 2,775,854
600,000 Weyerhaeuser Co. (d)
2.24%, 09/15/03 Baa2 600,318
-----------
3,376,172
-----------
Health Care Providers - 0.0%
21,000 Columbia/HCA Healthcare Corp.
6.91%, 06/15/05 Ba1 22,279
3,000 HCA, Inc.
6.30%, 10/01/12 Ba1 3,067
-----------
25,346
-----------
Home Construction, Furnishings &
Appliances - 0.0%
38,000 Lennar Corp.
9.95%, 05/01/10 Baa3 44,460
-----------
Insurance - 0.5%
2,700,000 UnitedHealth Group, Inc.
7.50%, 11/15/05 A3 3,054,677
-----------
Media - Broadcasting &
Publishing - 2.6%
200,000 Continental Cablevision
8.63%, 08/15/03 Baa3 201,442
2,855,000 Continental Cablevision, Inc.,
Senior Notes
8.30%, 05/15/06 Baa3 3,285,357
3,300,000 Cox Communications, Inc.
7.13%, 10/01/12 Baa2 3,940,639
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-23
Select Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- -------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- -------------------------------------------------------------------------------
Media - Broadcasting &
Publishing (Continued)
$ 3,300,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa3 $ 3,898,115
2,155,000 Viacom, Inc.
5.50%, 05/15/33 A3 2,142,318
2,695,000 Viacom, Inc.
7.88%, 07/30/30 A3 3,521,319
------------
16,989,190
------------
Metals - 0.0%
30,000 Scotia Pacific Co. LLC
7.71%, 01/20/14 Baa2 17,172
------------
Oil & Gas - 1.9%
2,700,000 Burlington Resources, Inc.
7.40%, 12/01/31 Baa1 3,377,878
3,308,000 Conoco Funding Co.
5.45%, 10/15/06 A3 3,651,619
60,000 Conoco Funding Co.
6.35%, 10/15/11 A3 70,085
70,000 Conoco Funding Co.
7.25%, 10/15/31 A3 87,939
310,000 Conoco, Inc.
6.95%, 04/15/29 A3 372,978
40,000 ConocoPhillips
4.75%, 10/15/12 A3 42,273
1,055,000 Enterprise Products
8.25%, 03/15/05 Baa2 1,158,356
2,290,000 Occidental Petroleum Corp.
5.88%, 01/15/07 Baa2 2,542,115
575,000 Occidental Petroleum Corp.
6.75%, 01/15/12 Baa2 683,776
------------
11,987,019
------------
Pharmaceuticals - 1.1%
3,170,000 Lilly (Eli) & Co.
7.13%, 06/01/25 Aa3 4,009,790
2,680,000 Zeneca Wilmington
7.00%, 11/15/23 Aa2 3,273,676
------------
7,283,466
------------
Retailers - 1.2%
420,000 Target Corp.
5.88%, 03/01/12 A2 474,628
2,700,000 Target Corp.
6.35%, 11/01/32 A2 3,010,778
3,295,000 Wal-Mart Stores, Inc.
7.55%, 02/15/30 Aa2 4,351,680
------------
7,837,086
------------
Securities Broker - 2.1%
2,700,000 Bear Stearns Cos., Inc.
4.00%, 01/31/08 A2 2,824,297
3,200,000 Goldman Sachs Group, Inc.
5.70%, 09/01/12 Aa3 3,515,613
2,700,000 Lehman Brothers Holdings, Inc.
4.00%, 01/22/08 A2 2,813,948
$ 600,000 Lehman Brothers Holdings, Inc.
8.25%, 06/15/07 A2 $ 716,494
300,000 Morgan Stanley Dean Witter & Co.
5.80%, 04/01/07 Aa3 331,313
2,800,000 Morgan Stanley Dean Witter & Co.
6.60%, 04/01/12 Aa3 3,235,078
------------
13,436,743
------------
Telephone Systems - 2.1%
3,300,000 Sprint Capital Corp.
6.13%, 11/15/08 Baa3 3,581,579
1,550,000 Sprint Capital Corp.
7.90%, 03/15/05 Baa3 1,681,164
2,600,000 Verizon Florida, Inc.
6.13%, 01/15/13 A1 2,943,949
700,000 Verizon Global Funding Corp.
4.38%, 06/01/13 A2 698,025
1,895,000 Verizon Wireless Capital (d)
1.49%, 12/17/03 A3 1,894,394
2,700,000 Vodafone Group, Plc
5.38%, 01/30/15 A2 2,883,573
------------
13,682,684
------------
Transportation - 0.9%
2,620,000 Consolidated Rail Corp.
9.75%, 06/15/20 Baa2 3,612,066
300,000 Union Pacific Corp.
5.38%, 06/01/33 Baa3 289,402
1,910,000 Union Pacific Corp.
6.63%, 02/01/08 Baa3 2,180,137
------------
6,081,605
------------
Total Corporate Notes and Bonds 214,464,784
------------
(Cost $203,793,998)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (k) - 5.4%
715,224 Bank of America Corp.,
Series 2001-8, Class 2A (h)
6.50%, 07/25/31 AAA 725,702
3,080,000 Bear Stearns Commercial Mortgage
Securities, Inc.,
Series 2002-PBW1, Class A2
4.72%, 11/11/35 Aaa 3,228,670
312,946 Bear Stearns Mortgage Securities,
Inc., Series 1995-1, Class 1A,
CMO (d)
6.11%, 05/25/10 Aaa 317,269
3,120,000 Bear Stearns Mortgage Securities,
Inc., Series 1999-WF2, Class A2,
CMO
7.08%, 06/15/09 Aaa 3,705,321
41,894 CBA Mortgage Corp.,
Series 1993-C1, Class E
6.72%, 12/25/03 NR 41,894
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-24
Select Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (k) (Continued)
$ 1,300,000 Chase Credit Card Master Trust,
Series 1999-3, Class B,
6.95%, 01/15/07 A2 $ 1,377,545
1,285,000 Citibank Credit Card Issuance Trust,
Series 2000-Cl, CMO
6.88%, 11/16/09 Aaa 1,508,181
1,000,000 Conseco Finance Corp.
6.77%, 09/01/32 Aaa 1,034,241
258,692 Contimortgage Home Equity Loan Trust,
Series 1999-1, Class A5
6.37%, 02/25/26 Aaa 261,442
1,805,000 DaimlerChrysler Auto Trust,
Series 2002-B, Class A3
2.93%, 06/06/06 Aaa 1,839,776
3,225,000 General Electric Capital
Commercial Mortgage Corp.,
Series 2002-1A, Class A3
6.27%, 12/10/35 Aaa 3,739,429
170,000 Green Tree Financial Corp.,
Series 1999-3, Class A, CMO (h)
6.16%, 02/01/31 BBB 168,347
880,000 Green Tree Home Improvement
Loan Trust, Series 1996-D,
Class H, CMO (h)
8.30%, 09/15/27 AA 882,259
130,899 Green Tree Recreation Equipment &
Consumer Trust, Series 1997-B,
Class A1, CMO (h)
6.55%, 07/15/28 AAA 131,119
2,040,000 GS Mortgage Securities Corp. II,
Series 1997-GL, Class A2D
6.94%, 07/13/30 Aaa 2,345,575
107,351 Housing Securities, Inc.,
Series 1994-2, Class A-1
6.50%, 07/25/09 Aaa 109,752
700,000 MBNA Master Credit Card Trust,
Series 1995-C, Class A
6.45%, 02/15/08 Aaa 764,959
2,000,000 MBNA Master Credit Card Trust,
Series 1999-G, Class B, CMO
6.60%, 12/15/06 A2 2,105,782
1,135,000 Morgan Stanley Dean Witter Capital
I, Series 2002-TOP7, Class B, CMO
6.08%, 01/15/39 Aa2 1,296,051
4,775,000 Morgan Stanley Dean Witter
Capital I, Series 2003-T0P9,
Class A2, CMO (h)
4.74%, 11/13/36 AAA 5,000,265
1,613,955 Toyota Auto Receivables Grantor
Trust,
Series 2000-A, Class A4, CMO
7.21%, 04/15/07 Aaa 1,655,301
2,700,000 Toyota Auto Receivables Owner
Trust, Series 2002-B, Class A3
3.76%, 06/15/06 Aaa 2,761,918
$ 337,946 United Air Lines, Inc., Pass-
Through Certificate (i)
9.30%, 03/22/08 Caa2 $ 83,885
-----------
Total Asset-Backed and
Mortgage-Backed Securities 35,084,683
-----------
(Cost $33,648,431)
FOREIGN GOVERNMENT OBLIGATIONS (l) - 1.9%
3,300,000 Province of British Columbia
5.38%, 10/29/08 Aa2 3,709,510
3,025,000 Province of Manitoba
4.25%, 11/20/06 Aa2 3,233,045
2,800,000 Province of Ontario
2.63%, 12/15/05 Aa2 2,858,086
1,600,000 Province of Quebec
7.00%, 01/30/07 A1 1,859,619
140,000 Province of Quebec
7.13%, 02/09/24 A1 175,734
230,000 Province of Quebec
7.50%, 09/15/29 A1 306,537
30,000 United Mexican States
8.38%, 01/14/11 Baa2 35,940
-----------
Total Foreign Government
Obligations 12,178,471
-----------
(Cost $11,308,293)
FOREIGN BONDS (l) - 3.1%
3,025,000 Alberta Energy Co., Ltd.
7.38%, 11/01/31 Baa1 3,825,373
2,740,000 British Telecom, Plc (j)
8.38%, 12/15/10 Baa1 3,465,220
2,675,000 Canadian Pacific Railroad
5.75%, 03/15/33 Baa2 2,765,284
100,000 Hydro-Quebec
6.30%, 05/11/11 A1 117,653
270,000 Hydro-Quebec
7.50%, 04/01/16 A1 356,267
2,700,000 Sappi Papier Holding AG (g)
6.75%, 06/15/12 Baa2 3,083,556
2,055,000 Stora Enso Oyj
7.38%, 05/15/11 Baa1 2,460,698
2,710,000 Telus Corp.
7.50%, 06/01/07 Ba1 3,021,650
10,000 Tyco International Group S.A. (e)
5.88%, 11/01/04 Ba2 10,300
10,000 Tyco International Group S.A.
6.75%, 02/15/11 Ba2 10,600
1,000,000 Unilever Capital Corp.
6.75%, 11/01/03 A1 1,018,374
250,000 Unilever Capital Corp.
7.13%, 11/01/10 A1 302,893
-----------
Total Foreign Bonds 20,437,868
-----------
(Cost $18,661,791)
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-25
Select Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (b) - 9.2%
BANKING - 9.2%
$30,000,000 Rabobank Nederland (c) (h)
1.28%, 07/01/03 AAA $ 30,000,000
30,000,000 UBS Finance (DE) LLC (c)
1.31%, 07/01/03 Aa2 30,000,000
------------
TOTAL COMMERCIAL PAPER 60,000,000
------------
(Cost $60,000,000)
Shares
INVESTMENT COMPANIES - 4.5%
23,851,775 Dreyfus Cash Management Plus
Money Market Fund (c) NR 23,851,775
5,117,398 Marshall Money Market Fund (c) NR 5,117,398
------------
Total Investment Companies 28,969,173
------------
(Cost $28,969,173)
WARRANTS - 0.0%
Computers & Information - 0.0%
500,000 International Business Machines
Corp., 07/10/06 53,750
------------
Telephone Systems - 0.0%
500,000 BellSouth Telecom, Inc., 07/12/06 42,500
------------
Total Warrants 96,250
------------
(Cost $16,562)
Total Investments - 105.9% 687,243,451
------------
(Cost $666,773,780)
Net Other Assets and Liabilities - (5.9)% (38,477,804)
------------
Total Net Assets - 100.0% $648,765,647
============
- ----------
(a) All or part of security is designated as a Forward Commitment.
(b) Effective yield at time of purchase.
(c) Designated as Collateral on Forward Commitments.
(d) Variable rate security. The rate shown reflects rate in effect at period
end.
(e) All or a portion of this security is out on loan at June 30, 2003; the
value of the securities loaned amounted to $37,079,345. The value of
collateral amounted to $37,991,225 which consisted of cash equivalents.
(f) No payments of interest are passed through to the "principal only" holder.
The rate shown is the coupon rate of the original bond.
(g) 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, 2003, these
securities amounted to $8,884,876 or 1.4% of net assets.
(h) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(i) Issuer filed for bankruptcy.
(j) Debt obligation initially issued in coupon form which converts to a higher
coupon form at a specified date and rate. The rate shown is the rate at
period end. The maturity date shown is the ultimate maturity.
(k) Pass Through Certificates.
(l) U.S. currency denominated.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
NR Not Rated
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $668,225,763. Net unrealized appreciation (depreciation) aggregated
$19,017,688, of which $20,739,273 related to appreciated investment securities
and $(1,721,585) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $152,517,600
and $170,446,995 of non-governmental issuers, respectively, and $470,620,418 and
$564,625,181 of U.S. Government and Agency issuers, respectively.
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
Moody's Ratings
(Unaudited)
Aaa 12.3%
Aa 14.3%
A 12.1%
Baa 12.8%
Ba 0.4%
Caa 0.0%
NR (Not Rated) 42.8%
----
94.7%
====
S&P Ratings
(Unaudited)
AAA 5.2%
AA 0.1%
BBB 0.0%
---
5.3%
===
Written Options Rollforward
Puts Calls
--------------------------- ---------------------------
Principal Amount Principal Amount
of Contracts of Contracts
(000'S Omitted) Premiums (000'S Omitted) Premiums
---------------- -------- ---------------- --------
Outstanding, beginning
of period $ -- $ -- $ -- $ --
Options written 22 15,125 34 32,797
Options closed (22) (15,125) (34) (32,797)
---- ------- ---- --------
Outstanding, end of
period $ -- $ -- $ -- $ --
==== ======= ==== ========
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-26
Government Bond Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (b) - 2.7%
Fannie Mae - 2.5%
$ 6,500,000 4.00%, 07/25/22 $ 6,620,071
3,102 7.00%, 05/01/17 3,166
154,075 7.50%, 03/01/07 163,704
6,572 8.00%, 04/01/09 7,047
77,548 8.00%, 09/01/21 84,512
------------
6,878,500
------------
Freddie Mac - 0.1%
172,009 6.50%, 06/01/04 - 06/01/23 181,369
54,536 7.50%, 02/01/07 57,357
27,130 8.00%, 09/01/09 - 06/01/19 29,180
38,468 10.00%, 03/01/21 43,746
------------
311,652
------------
Ginnie Mae - 0.1%
21,831 6.50%, 06/15/09 23,234
190,119 7.00%, 06/15/12 204,104
32,330 9.50%, 02/15/06 33,964
------------
261,302
------------
Total U.S. Government Agency Mortgage-
Backed Obligations 7,451,454
------------
(Cost $7,363,054)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 87.5%
Fannie Mae - 37.1%
13,385,000 3.50%, 09/15/04 13,762,992
3,075,000 4.38%, 09/15/12 (a) 3,218,467
24,710,000 5.00%, 01/15/07 (a) 27,197,160
10,578,000 5.13%, 02/13/04 10,841,149
14,595,000 5.38%, 11/15/11 16,415,420
13,510,000 5.50%, 05/02/06 14,832,291
3,500,000 6.00%, 05/15/08 4,041,719
9,460,000 6.38%, 06/15/09 11,203,487
------------
101,512,685
------------
Federal Farm Credit Bank - 6.4%
12,000,000 2.63%, 12/15/05 12,293,424
5,000,000 3.88%, 12/15/04 5,188,130
------------
17,481,554
------------
Federal Home Loan Bank - 12.8%
6,500,000 3.50%, 04/22/08 6,606,158
8,200,000 3.63%, 10/15/04 (a) 8,452,995
3,900,000 4.13%, 01/14/05 4,067,973
2,000,000 4.88%, 04/16/04 2,059,548
7,500,000 5.28%, 01/06/04 (a) 7,670,783
$ 1,000,000 5.55%, 11/25/08 $ 1,139,423
3,225,000 5.63%, 11/15/11 3,651,771
1,350,000 6.19%, 05/06/08 1,571,631
------------
35,220,282
------------
Freddie Mac - 19.9%
6,350,000 4.50%, 08/15/04 6,584,918
2,500,000 4.75%, 10/11/12 2,581,313
6,985,000 5.13%, 10/15/08 (a) 7,804,361
2,000,000 5.70%, 07/11/06 2,002,386
13,325,000 5.75%, 04/15/08 - 01/15/12 14,892,116
9,405,000 6.63%, 09/15/09 11,287,655
7,650,000 6.88%, 09/15/10 9,356,937
------------
54,509,686
------------
Sallie Mae - 1.5%
4,000,000 5.00%, 06/30/04 4,163,236
------------
U.S. Treasury Bond - 3.6%
6,370,000 8.88%, 08/15/17 - 02/15/19 9,754,899
------------
U.S. Treasury Note - 6.2%
5,395,000 2.00%, 11/30/04 (a) 5,459,066
2,860,000 4.88%, 02/15/12 3,179,067
1,485,000 5.25%, 05/15/04 (a) 1,539,412
1,945,000 6.00%, 08/15/04 2,052,127
4,125,000 6.63%, 05/15/07 (a) 4,825,928
------------
17,055,600
------------
Total U.S. Government and
Agency Obligations 239,697,942
------------
(Cost $229,345,300)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (b) - 6.5%
6,013,051 Capital Auto Receivables Asset Trust,
Series 2002-4, Class A2B
1.74%, 01/17/05 6,024,392
5,500,000 Citibank Credit Card Issuance Trust,
Series 2001, Class A8
4.10%, 12/07/06 5,713,957
3,500,000 Ford Credit Auto Owner Trust, Series
2003-A, Class A4A
2.70%, 06/15/07 3,574,227
2,000,000 MBNA Master Credit Card Trust, Series
1999-B, Class A
5.90%, 08/15/11 2,294,426
------------
Total Asset-Backed and
Mortgage-Backed Securities 17,607,002
------------
(Cost $17,200,886)
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-27
Government Bond Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANIES - 2.4%
4,078 Dreyfus Cash Management Plus Money
Market Fund $ 4,078
6,562,740 Marshall Money Market Fund 6,562,740
------------
Total Investment Companies 6,566,818
------------
(Cost $6,566,818)
Total Investments - 99.1% 271,323,216
------------
(Cost $260,476,058)
Net Other Assets and Liabilities - 0.9% 2,527,377
------------
Total Net Assets - 100.0% $273,850,593
============
- ----------
(a) All or a portion of this security is out on loan at June 30, 2003; the
value of the securities loaned amounted to $52,281,287. The value of
collateral amounted to $53,388,145, which consisted of cash equivalents.
(b) Pass Through Certificates.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $262,173,298. Net unrealized appreciation (depreciation) aggregated
$9,149,918, of which $9,157,590 related to appreciated investment securities and
$(7,672) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2003, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $3,499,363
and $1,986,949 of non-governmental issuers, respectively, and $86,955,975 and
$86,683,821 of U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-28
Money Market Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 15.3%
Fannie Mae - 6.2%
$ 5,000,000 1.18%, 07/27/04 $ 5,000,000
14,850,000 1.19%, 03/05/04 (a) 14,728,774
12,681,000 1.23%, 07/01/03 (a) 12,681,000
------------
32,409,774
------------
Federal Home Loan Bank - 8.1%
25,000,000 1.16%, 03/15/04 (b) 25,000,000
7,500,000 1.35%, 03/30/04 7,500,000
10,000,000 1.40%, 06/04/04 10,000,000
------------
42,500,000
------------
Freddie Mac - 1.0%
5,000,000 0.89%, 09/30/03 (a) 4,988,752
------------
Total U.S. Government Agency Obligations 79,898,526
------------
(Cost $79,898,526)
CORPORATE NOTES - 46.5%
Banking - 8.6%
25,000,000 Bayerische Landesbank NY (b)
1.26%, 02/23/04 25,000,000
20,000,000 Marshall & Isley Bank (b)
1.17%, 12/19/03 20,000,000
------------
45,000,000
------------
Financial Services - 22.3%
7,864,000 Caterpillar Financial Services Corp. (b)
1.37%, 07/09/03 7,864,157
10,000,000 Caterpillar Financial Services Corp. (b)
1.43%, 04/02/04 10,013,992
3,050,000 Citigroup, Inc.
5.70%, 02/06/04 3,128,827
23,000,000 Countrywide Home Loans, Inc. (b)
1.68%, 11/21/03 23,018,861
12,000,000 J.P. Morgan Chase & Co.
5.75%, 02/25/04 12,338,641
15,000,000 Money Market Trust LLC (b) (c)
1.37%, 12/03/03 15,000,000
30,000,000 Money Market Trust Series 2003A (b) (c)
1.19%, 08/19/03 29,998,977
5,000,000 Sigma Finance, Inc. (b) (c)
1.14%, 05/18/04 4,999,750
10,000,000 Sigma Finance, Inc.
1.64%, 12/03/03 10,000,000
------------
116,363,205
------------
Oil & Gas - 3.9%
20,000,000 Deer Park Refining, LP (c)
1.15%, 07/18/03 20,000,000
------------
Securities Broker - 11.7%
$10,000,000 Bear Stearns Cos., Inc. (b)
1.50%, 12/12/03 $ 10,006,767
10,000,000 Goldman Sachs Group, Inc. (b)
1.28%, 12/08/03 10,000,000
4,000,000 Goldman Sachs Group, Inc. (b)
1.28%, 01/23/04 4,000,000
6,885,000 Lehman Brothers Holdings, Inc.
7.36%, 12/15/03 7,070,625
10,000,000 Morgan Stanley Dean Witter & Co. (b)
1.28%, 11/14/03 10,000,000
13,000,000 Morgan Stanley Dean Witter & Co.
5.63%, 01/20/04 13,293,530
6,488,000 Travelers Group, Inc.
6.75%, 08/15/03 6,531,904
------------
60,902,826
------------
Total Corporate Notes 242,266,031
------------
(Cost $242,266,031)
ASSET BACKED SECURITIES - 0.2%
1,077,195 Whole Auto Loan Trust, Series 2002-1,
Class A1
1.42%, 12/15/03 1,077,195
------------
Total Asset Backed Securities 1,077,195
------------
(Cost $1,077,195)
COMMERCIAL PAPER (a) - 28.0%
Banking - 5.9%
5,000,000 Societe Generale North America, Inc.
1.07%, 08/01/03 4,995,393
7,500,000 UBS Finance (DE) LLC
1.04%, 07/08/03 7,498,483
18,300,000 UBS Finance (DE) LLC
1.31%, 07/01/03 18,300,000
------------
30,793,876
------------
Financial Services - 16.3%
15,000,000 Amstel Funding Corp. (c)
1.22%, 07/02/03 14,999,491
15,000,000 Blue Ridge Asset Funding (c)
1.17%, 08/05/03 14,982,938
15,000,000 Clipper Receivables Corp.
1.02%, 07/22/03 14,991,075
10,000,000 High Peak Funding LLC (c)
0.97%, 09/12/03 9,980,331
10,000,000 High Peak Funding LLC (c)
1.12%, 08/06/03 9,988,800
10,000,000 Ivory Funding Corp. (c)
1.23%, 08/12/03 9,985,650
5,000,000 Newbury Funding (c)
1.12%, 10/24/03 4,982,111
5,000,000 Sheffield Receivables Corp. (c)
1.20%, 07/08/03 4,998,834
------------
84,909,230
------------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-29
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
Securities Broker - 5.8%
$20,000,000 Barton Capital Corp. (c)
1.25%, 07/07/03 $ 19,995,833
10,000,000 Goldman Sachs Promissory Note
1.35%, 07/25/03 10,000,000
------------
29,995,833
------------
Total Commercial Paper 145,698,939
------------
(Cost $145,698,939)
CERTIFICATES OF DEPOSIT - 2.9%
15,000,000 Associated Bank Green Bay
1.34%, 07/16/03 15,000,000
------------
Total Certificates of Deposit 15,000,000
------------
(Cost $15,000,000)
Shares
INVESTMENT COMPANIES - 7.6%
19,201,475 Bear Stearns Prime Money Market
Portfolio 19,201,475
110,405 Dreyfus Cash Management Plus Money
Market Fund 110,405
20,240,143 One Group Institutional Prime Money
Market Fund 20,240,143
------------
Total Investment Companies 39,552,023
------------
(Cost $39,552,023)
Total Investments - 100.5% 523,492,714
------------
(Cost $523,492,714)
Net Other Assets and Liabilities - (0.5)% (2,366,543)
------------
Total Net Assets - 100.0% $521,126,171
============
- ----------
(a) Effective yield at time of purchase.
(b) Variable rate security. The rate shown reflects rate in effect at period
end.
(c) 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, 2003, these securities
amounted to $159,912,715 or 30.7% of net assets. These securities have been
deemed to be liquid in accordance with procedures established by the Board
of Trustees.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $523,492,714.
See Notes to Financial Statements.
- -------------------------------------------------------------------------------
F-30
(This page intentionally left blank)
- --------------------------------------------------------------------------------
F-31
Allmerica Investment Trust
STATEMENTS OF ASSETS AND LIABILITIES . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Select Capital Select Value
Appreciation Opportunity
Fund Fund
- ---------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost .......................... $239,879,546 $282,458,671
Net unrealized appreciation
(depreciation) ............................ 50,030,436 40,012,652
------------ ------------
Total investments at value+ ............... 289,909,982 322,471,323
Cash and foreign currency* ...................... 3,808 5,335,651
Short-term investments held as collateral for
securities loaned ............................ 60,344,701 30,011,385
Receivable for investments sold ................. 3,202,757 3,546,266
Receivable for shares sold ...................... -- --
Interest and dividend receivables ............... 4,859 242,777
Dividend tax reclaim receivable ................. 722 --
Miscellaneous receivable ........................ -- --
------------ ------------
Total Assets .............................. 353,466,829 361,607,402
------------ ------------
LIABILITIES:
Payable for investments purchased ............... 1,885,254 1,028,267
Collateral for securities loaned ................ 60,344,701 30,011,385
Management fee payable .......................... 223,954 241,740
Distribution fee payable ........................ 36,679 41,273
Trustees' fees and expenses payable ............. 3,966 4,662
Unrealized depreciation on forward
currency contracts ........................... -- --
Payable for shares repurchased .................. 349,288 161,525
Written options outstanding, at value** ......... -- --
Accrued expenses and other payables ............. 59,754 61,629
------------ ------------
Total Liabilities ......................... 62,903,596 31,550,481
------------ ------------
NET ASSETS ...................................... $290,563,233 $330,056,921
============ ============
NET ASSETS consist of:
Paid-in capital ................................. $249,566,660 $309,850,113
Undistributed (distribution in excess of)
net investment income (loss) ................. (526,188) 803,528
Accumulated (distribution in excess of)
net realized gain (loss) on investments sold,
foreign currency transactions, written options
contracts and futures contracts .............. (8,507,675) (20,609,372)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in foreign
currency, written options contracts and
futures contracts ............................ 50,030,436 40,012,652
------------ ------------
TOTAL NET ASSETS ................................ $290,563,233 $330,056,921
============ ============
Shares of beneficial interest outstanding
(unlimited authorization, no par value) ...... 160,701,018 196,819,042
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ................. $ 1.808 $ 1.677
============ ============
+Total value of securities on loan ........ $ 58,327,846 $ 28,519,731
============ ============
- ----------
* Cost $18,341,302 for Select International Equity Fund.
** Premiums of $1,700 for the Select Growth Fund.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-32
Allmerica Investment Trust
Select Select Core Equity
International Growth Equity Index
Equity Fund Fund Fund Fund
- --------------------------------------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost .......................... $371,477,914 $589,991,488 $397,514,751 $706,316,512
Net unrealized appreciation
(depreciation) ............................ (43,588,443) 20,496,550 (18,498,916) (68,096,222)
------------ ------------ ------------ ------------
Total investments at value+ ............... 327,889,471 610,488,038 379,015,835 638,220,290
Cash and foreign currency* ...................... 18,294,726 1,517,378 1,375,815 5,449
Short-term investments held as collateral for
securities loaned ............................ 25,029,573 50,357,927 34,971,374 39,905,710
Receivable for investments sold ................. -- 3,944,542 2,334,228 --
Receivable for shares sold ...................... -- 5,228 -- 11,376
Interest and dividend receivables ............... 982,057 834,005 446,895 861,365
Dividend tax reclaim receivable ................. 480,914 437 -- --
Miscellaneous receivable ........................ -- -- -- 831
------------ ------------ ------------ ------------
Total Assets .............................. 372,676,741 667,147,555 418,144,147 679,005,021
------------ ------------ ------------ ------------
LIABILITIES:
Payable for investments purchased ............... 990,977 4,665,436 1,643,309 --
Collateral for securities loaned ................ 25,029,573 50,357,927 34,971,374 39,905,710
Management fee payable .......................... 273,915 414,940 186,873 147,732
Distribution fee payable ........................ 44,375 77,911 48,691 78,207
Trustees' fees and expenses payable ............. 4,789 6,239 5,775 5,463
Unrealized depreciation on forward contracts .... 982 -- -- --
Payable for shares repurchased .................. 881,994 725,709 357,306 636,014
Written options outstanding, at value** ......... -- 153 -- --
Accrued expenses and other payables ............. 99,629 156,748 91,841 167,310
------------ ------------ ------------ ------------
Total Liabilities ......................... 27,326,234 56,405,063 37,305,169 40,940,436
------------ ------------ ------------ ------------
NET ASSETS ...................................... $345,350,507 $610,742,492 $380,838,978 $638,064,585
============ ============ ============ ============
NET ASSETS consist of:
Paid-in capital ................................. $490,066,925 $890,000,639 $649,079,199 $741,619,548
Undistributed (distribution in excess of) net
investment income (loss) ..................... 7,225,134 2,321,741 38,545 203,447
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold,
foreign currency transactions, written options
contracts and futures contracts .............. (108,388,525) (302,077,964) (249,779,850) (35,644,210)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency,written options contracts and
futures contracts ............................ (43,553,027) 20,498,076 (18,498,916) (68,114,200)
------------ ------------ ------------ ------------
TOTAL NET ASSETS ................................ $345,350,507 $610,742,492 $380,838,978 $638,064,585
============ ============ ============ ============
Shares of beneficial interest outstanding
(unlimited authorization, no par value) ...... 371,740,854 484,899,800 276,350,222 296,664,092
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ................. $ 0.929 $ 1.260 $ 1.378 $ 2.151
============ ============ ============ ============
+Total value of securities on loan ........ $ 23,720,637 $ 48,693,671 $ 33,787,923 $ 38,053,313
============ ============ ============ ============
Select Government Money
Investment Grade Bond Market
Income Fund Fund Fund
- --------------------------------------------------------------------------------------------------
ASSETS:
Investments:
Investments at cost .......................... $666,773,780 $260,476,058 $523,492,714
Net unrealized appreciation
(depreciation) ............................ 20,469,671 10,847,158 --
------------ ------------ ------------
Total investments at value+ ............... 687,243,451 271,323,216 523,492,714
Cash and foreign currency* ...................... 2,765,974 12,085 26,118
Short-term investments held as
collateral for securities loaned ............. 37,991,225 53,388,145 --
Receivable for investments sold ................. 30,015,234 976 --
Receivable for shares sold ...................... -- 225 1,341,932
Interest and dividend receivables ............... 5,960,574 2,959,082 1,473,199
Dividend tax reclaim receivable ................. -- -- --
Miscellaneous receivable ........................ 6,678 -- 1,737
------------ ------------ ------------
Total Assets .............................. 763,983,136 327,683,729 526,335,700
------------ ------------ ------------
LIABILITIES:
Payable for investments purchased ............... 76,425,572 -- 5,000,000
Collateral for securities loaned ................ 37,991,225 53,388,145 --
Management fee payable .......................... 219,564 112,601 132,792
Distribution fee payable ........................ 80,472 33,742 64,799
Trustees' fees and expenses payable ............. 8,717 4,153 1,049
Unrealized depreciation on forward
currency contracts ........................... -- -- --
Payable for shares repurchased .................. 405,809 266,393 --
Written options outstanding, at value** ......... -- -- --
Accrued expenses and other payables ............. 86,130 28,102 10,889
------------ ------------ ------------
Total Liabilities ......................... 115,217,489 53,833,136 5,209,529
------------ ------------ ------------
NET ASSETS ...................................... $648,765,647 $273,850,593 $521,126,171
============ ============ ============
NET ASSETS Consist Of:
Paid-in capital ................................. $618,144,011 $264,858,602 $521,008,388
Undistributed (distribution in excess of)
net investment income (loss) ................. (2,556,364) (2,330,999) --
Accumulated (distribution in excess of)
net realized gain (loss)
on investments sold,foreign currency
transactions,written options contracts and
futures contracts ............................ 12,380,812 475,832 117,783
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency, written options contracts and
futures contracts ............................ 20,797,188 10,847,158 --
------------ ------------ ------------
TOTAL NET ASSETS ................................ $648,765,647 $273,850,593 $521,126,171
============ ============ ============
Shares of beneficial interest outstanding
(unlimited authorization, no
par value) ................................... 565,399,791 240,227,491 521,010,014
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ................. $ 1.147 $ 1.140 $ 1.000
============ ============ ============
+Total value of securities on loan ........ $ 37,079,345 $ 52,281,287 $ --
============ ============ ============
- --------------------------------------------------------------------------------
F-33
Allmerica Investment Trust
STATEMENTS OF OPERATIONS . For the Six Months Ended June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Select Capital Select Value
Appreciation Opportunity
Fund Fund
- ---------------------------------------------------------------------------------
INVESTMENT INCOME
Interest ..................................... $ 520,015 $ 239,180
Dividends .................................... 441,101 1,682,645
Securities lending income .................... 26,435 14,540
Less net foreign taxes withheld .............. (6,281) --
----------- ------------
Total investment income ................... 981,270 1,936,365
----------- ------------
EXPENSES
Management fees .............................. 1,251,479 1,393,809
Distribution fees ............................ 202,129 235,770
Custodian and Fund accounting fees ........... 41,499 45,476
Legal fees ................................... 13,853 16,759
Audit fees ................................... 10,133 11,572
Trustees' fees and expenses .................. 11,632 13,265
Reports to shareholders ...................... 1,241 1,375
Miscellaneous ................................ 3,414 3,617
----------- ------------
Total expenses before reductions .......... 1,535,380 1,721,643
Less reductions ........................... (27,924) (94,803)
----------- ------------
Total expenses net of reductions .......... 1,507,456 1,626,840
----------- ------------
NET INVESTMENT INCOME (LOSS) .................... (526,186) 309,525
----------- ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain(loss) on investments sold... 3,113,650 (17,296,737)
Net realized gain on futures contracts ....... -- --
Net realized gain (loss) on foreign
currency transactions .................... -- --
Net realized gain on written
options contracts ......................... -- --
Net change in unrealized appreciation
(depreciation) of investments ............. 44,097,468 52,067,666
Net change in unrealized appreciation
(depreciation) of assets and
liabilities in foreign currency .......... -- --
----------- ------------
NET GAIN ON INVESTMENTS ......................... 47,211,118 34,770,929
----------- ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS .............................. $46,684,932 $ 35,080,454
=========== ============
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-34
Allmerica Investment Trust
Select Select Core
International Growth Equity
Equity Fund Fund Fund
- -----------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest ..................................... $ 17,155 $ 2,020,109 $ 6,770
Dividends .................................... 6,900,804 2,511,761 3,102,207
Securities lending
income .................................... 89,318 10,641 10,373
Less net foreign
taxes withheld ............................ (853,170) (21,136) --
------------ ------------ ------------
Total investment income ................... 6,154,107 4,521,375 3,119,350
------------ ------------ ------------
EXPENSES
Management fees .............................. 1,449,797 1,855,679 1,079,798
Distribution fees ............................ 236,157 338,463 277,585
Custodian and Fund accounting fees ........... 125,563 136,506 44,287
Legal fees ................................... 16,846 27,035 19,095
Audit fees ................................... 11,941 26,858 13,849
Trustees' fees and expenses .................. 12,539 10,377 13,176
Reports to shareholders ...................... 1,637 87,664 48,029
Miscellaneous ................................ 3,805 5,071 5,187
------------ ------------ ------------
Total expenses before reductions .......... 1,858,285 2,487,653 1,501,006
Less reductions ........................... (19,607) (40,901) (82,743)
------------ ------------ ------------
Total expenses net of reductions .......... 1,838,678 2,446,752 1,418,263
------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) .................... 4,315,429 2,074,623 1,701,087
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain(loss) on investments sold... (22,055,092) (48,636,147) (24,633,746)
Net realized gain on futures contracts ....... -- -- --
Net realized gain (loss) on foreign
currency transactions ..................... (636,359) (24,431) --
Net realized gain on written
options contracts ......................... -- -- --
Net change in unrealized appreciation
(depreciation) of investments ............. 37,583,143 98,018,594 63,286,241
Net change in unrealized appreciation
(depreciation) of assets and
liabilities in foreign currency ........... 150,285 (21) --
------------ ------------ ------------
NET GAIN ON INVESTMENTS ......................... 15,041,977 49,357,995 38,652,495
------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS .............................. $ 19,357,406 $ 51,432,618 $ 40,353,582
============ ============ ============
Equity Select Government Money
Index Investment Grade Bond Market
Fund Income Fund Fund Fund
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest ..................................... $ 27,742 $12,840,736 $4,964,360 $4,413,129
Dividends .................................... 3,920,791 -- -- --
Securities lending
income .................................... 10,762 25,036 23,413 --
Less net foreign
taxes withheld ............................ -- -- -- --
------------ ----------- ---------- ----------
Total investment income ................... 3,959,295 12,865,772 4,987,773 4,413,129
------------ ----------- ---------- ----------
EXPENSES
Management fees .............................. 608,663 1,255,368 715,929 899,934
Distribution fees ............................ 320,567 456,816 214,779 450,701
Custodian and Fund accounting fees ........... 96,737 101,634 39,414 90,661
Legal fees ................................... 13,924 30,308 14,476 26,747
Audit fees ................................... 20,317 21,658 10,932 23,210
Trustees' fees and expenses .................. 11,517 24,938 13,144 25,061
Reports to shareholders ...................... 1,427 12,989 5,710 15,722
Miscellaneous ................................ 6,587 388 1,151 3,195
------------ ----------- ---------- ----------
Total expenses before reductions .......... 1,079,739 1,904,099 1,015,535 1,535,231
Less reductions ........................... (42,543) -- -- --
------------ ----------- ---------- ----------
Total expenses net of reductions .......... 1,037,196 1,904,099 1,015,535 1,535,231
------------ ----------- ---------- ----------
NET INVESTMENT INCOME (LOSS) .................... 2,922,099 10,961,673 3,972,238 2,877,898
------------ ----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net realized gain(loss) on investments sold... (22,087,740) 17,537,635 1,732,862 80,778
Net realized gain on futures contracts ....... 498,228 31,888 -- --
Net realized gain (loss) on foreign
currencytransactions ...................... -- 2,301,254 -- --
Net realized gain on written
options contracts ......................... -- 18,798 -- --
Net change in unrealized appreciation
(depreciation) of investments ............. 77,234,164 (6,414,425) 2,282,576 --
Net change in unrealized appreciation
(depreciation) of assets and
liabilities in foreign currency ........... -- 117,247 -- --
------------ ----------- ---------- ----------
NET GAIN ON INVESTMENTS ......................... 55,644,652 13,592,397 4,015,438 80,778
------------ ----------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS .............................. $ 58,566,751 $24,554,070 $7,987,676 $2,958,676
============ =========== ========== ==========
- --------------------------------------------------------------------------------
F-35
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------------------
Select Capital
Appreciation Fund
- --------------------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2003 December 31,
(Unaudited) 2002
- --------------------------------------------------------------------------------------------
NET ASSETS at beginning of period ....................... $287,593,224 $ 435,863,705
------------ -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ......................... (526,186) (2,557,333)
Net realized gain (loss) on investments sold
and foreign currency transactions ................. 3,113,650 950,749
Net change in unrealized appreciation
(depreciation) of investments, assets
and liabilities in foreign currency,
written option contracts and futures
contracts ......................................... 44,097,468 (92,440,948)
------------ -------------
Net increase (decrease) in net assets
resulting from operations ......................... 46,684,932 (94,047,532)
------------ -------------
Distributions to shareholders from:
Net investment income ................................ -- --
Net realized gain on investments ..................... -- --
------------ -------------
Total distributions ............................... -- --
------------ -------------
Capital share transactions:
Net proceeds from sales of shares .................... 599,125 13,237,382
Value of shares issued in exchange for the
net assets of the Select Aggressive
Growth Fund (Note 9) .............................. -- --
Value of shares issued in exchange for the
net assets of the Select Strategic
Growth Fund (Note 9) .............................. -- --
Value of shares issued in exchange for the
net assets of the Select Emerging
Markets Fund (Note 9) ............................. -- --
Issued to shareholders in reinvestment of
distributions ..................................... -- --
Cost of shares repurchased ........................... (44,314,048) (67,460,331)
------------ -------------
Net increase (decrease) from capital
share transactions ............................. (43,714,923) (54,222,949)
------------ -------------
Total increase (decrease) in net assets ........... 2,970,009 (148,270,481)
------------ -------------
NET ASSETS at end of period ............................. $290,563,233 $ 287,593,224
============ =============
Undistributed (distribution in excess of) net
investment income (loss) ............................. $ (526,188) $ (2)
============ =============
OTHER INFORMATION:
Share transactions:
Sold ................................................. 356,428 7,193,851
Issued in exchange for the shares of the
Select Aggressive Growth Fund (Note 9) ............ -- --
Issued in exchange for the shares of the
Select Strategic Growth Fund (Note 9) ............. -- --
Issued in exchange for the shares of the
Select Emerging Markets Fund (Note 9) ............. -- --
Issued to shareholders in reinvestment of
distributions ..................................... -- --
Repurchased .......................................... (28,686,781) (42,804,867)
------------ -------------
Net increase (decrease) in shares outstanding ..... (28,330,353) (35,611,016)
============ =============
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-36
Allmerica Investment Trust
Select Value Select International
Opportunity Fund Equity Fund
- -------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 2003 December 31, June 30, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS at beginning of period ....................... $351,830,989 $440,335,089 $335,889,657 $ 460,006,450
------------ ------------ ------------ -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ......................... 309,525 494,004 4,315,429 4,714,748
Net realized gain (loss) on investments sold
and foreign currency transactions ................. (17,296,737) (2,962,234) (22,691,451) (70,636,155)
Net change in unrealized appreciation
(depreciation) of investments, assets
and liabilities in foreign currency,
written option contracts and futures
contracts ......................................... 52,067,666 (73,857,508) 37,733,428 (18,848,771)
------------ ------------ ------------ -------------
Net increase (decrease) in net assets
resulting from operations ......................... 35,080,454 (76,325,738) 19,357,406 (84,770,178)
------------ ------------ ------------ -------------
Distributions to shareholders from:
Net investment income ................................ -- (2,569,624) -- (6,485,063)
Net realized gain on investments ..................... -- (37,133,238) -- (3,713,786)
------------ ------------ ------------ -------------
Total distributions ............................... -- (39,702,862) -- (10,198,849)
------------ ------------ ------------ -------------
Capital share transactions:
Net proceeds from sales of shares .................... 11,258,564 67,470,986 8,384,339 180,993,225
Value of shares issued in exchange for the
net assets of the Select Aggressive
Growth Fund (Note 9) .............................. -- -- -- --
Value of shares issued in exchange for the
net assets of the Select Strategic
Growth Fund (Note 9) .............................. -- -- -- --
Value of shares issued in exchange for the
net assets of the Select Emerging
Markets Fund (Note 9) ............................. -- -- 45,260,073 --
Issued to shareholders in reinvestment of
distributions ..................................... -- 39,702,862 -- 10,198,849
Cost of shares repurchased ........................... (68,113,086) (79,649,348) (63,540,968) (220,339,840)
------------ ------------ ------------ -------------
Net increase (decrease) from capital
share transactions ............................. (56,854,522) 27,524,500 (9,896,556) (29,147,766)
------------ ------------ ------------ -------------
Total increase (decrease) in net assets ........... (21,774,068) (88,504,100) 9,460,850 (124,116,793)
------------ ------------ ------------ -------------
NET ASSETS at end of period ............................. $330,056,921 $351,830,989 $345,350,507 $ 335,889,657
============ ============ ============ =============
Undistributed (distribution in excess of) net
investment income (loss) ............................. $ 803,528 $ 494,003 $ 7,225,134 $ 2,909,705
============ ============ ============ =============
OTHER INFORMATION:
Share transactions:
Sold ................................................. 7,774,430 37,651,169 9,865,114 182,043,260
Issued in exchange for the shares of the
Select Aggressive Growth Fund (Note 9) ............ -- -- -- --
Issued in exchange for the shares of the
Select Strategic Growth Fund (Note 9) ............. -- -- -- --
Issued in exchange for the shares of the
Select Emerging Markets Fund (Note 9) ............. -- -- 52,384,344 --
Issued to shareholders in reinvestment of
distributions ..................................... -- 25,224,182 -- 10,525,128
Repurchased .......................................... (47,571,708) (49,241,628) (74,658,440) (221,703,483)
------------ ------------ ------------ -------------
Net increase (decrease) in shares outstanding ..... (39,797,278) 13,633,723 (12,408,982) (29,135,095)
============ ============ ============ =============
Select Growth Core Equity
Fund Fund
- -------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 2003 December 31, June 30, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS at beginning of period ....................... $375,958,982 $ 660,892,540 $401,888,470 $ 673,752,990
------------ ------------- ------------ -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ......................... 2,074,623 247,125 1,701,087 4,104,620
Net realized gain (loss) on investments sold
and foreign currency transactions ................. (48,660,578) (102,291,344) (24,633,746) (87,239,808)
Net change in unrealized appreciation
(depreciation) of investments, assets
and liabilities in foreign currency,
written option contracts and futures
contracts ......................................... 98,018,573 (73,300,418) 63,286,241 (65,291,304)
------------ ------------- ------------ -------------
Net increase (decrease) in net assets
resulting from operations ......................... 51,432,618 (175,344,637) 40,353,582 (148,426,492)
------------ ------------- ------------ -------------
Distributions to shareholders from:
Net investment income ................................ -- (860,385) (1,703,730) (4,267,718)
Net realized gain on investments ..................... -- -- -- --
------------ ------------- ------------ -------------
Total distributions ............................... -- (860,385) (1,703,730) (4,267,718)
------------ ------------- ------------ -------------
Capital share transactions:
Net proceeds from sales of shares .................... 1,266,672 7,490,096 906,672 1,921,318
Value of shares issued in exchange for the
net assets of the Select Aggressive
Growth Fund (Note 9) .............................. 259,023,031 -- -- --
Value of shares issued in exchange for the
net assets of the Select Strategic
Growth Fund (Note 9) .............................. 17,766,775 -- -- --
Value of shares issued in exchange for the
net assets of the Select Emerging
Markets Fund (Note 9) ............................. -- -- -- --
Issued to shareholders in reinvestment of
distributions ..................................... -- 860,385 1,703,730 4,267,718
Cost of shares repurchased ........................... (94,705,586) (117,079,017) (62,309,746) (125,359,346)
------------ ------------- ------------ -------------
Net increase (decrease) from capital
share transactions ............................. 183,350,892 (108,728,536) (59,699,344) (119,170,310)
------------ ------------- ------------ -------------
Total increase (decrease) in net assets ........... 234,783,510 (284,933,558) (21,049,492) (271,864,520)
------------ ------------- ------------ -------------
NET ASSETS at end of period ............................. $610,742,492 $ 375,958,982 $380,838,978 $ 401,888,470
============ ============= ============ =============
Undistributed (distribution in excess of) net
investment income (loss) ............................. $ 2,321,741 $ 247,118 $ 38,545 $ 41,188
============ ============= ============ =============
OTHER INFORMATION:
Share transactions:
Sold ................................................. 893,678 5,062,244 720,721 1,512,659
Issued in exchange for the shares of the
Select Aggressive Growth Fund (Note 9) ............ 220,257,679 -- -- --
Issued in exchange for the shares of the
Select Strategic Growth Fund (Note 9) ............. 15,107,801 -- -- --
Issued in exchange for the shares of the
Select Emerging Markets Fund (Note 9) ............. -- -- -- --
Issued to shareholders in reinvestment of
distributions ..................................... -- 674,283 1,338,642 3,200,648
Repurchased .......................................... (81,479,718) (94,889,188) (50,096,818) (92,816,807)
------------ ------------- ------------ -------------
Net increase (decrease) in shares outstanding ..... 154,779,440 (89,152,661) (48,037,455) (88,103,500)
============ ============= ============ =============
- --------------------------------------------------------------------------------
F-37
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Equity Index
Fund
- ------------------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2003 December 31,
(Unaudited) 2002
- ------------------------------------------------------------------------------------------
NET ASSETS at beginning of period ..................... $ 342,682,878 $ 517,315,322
------------- -------------
Increase (decrease) in net assets resulting
from operations:
Net investment income ............................... 2,922,099 5,053,941
Net realized gain (loss) on investments
sold, foreign currency transactions, written
option transactions and futures contracts ........ (21,589,512) (8,569,701)
Net change in unrealized appreciation
(depreciation) of investments, assets and
liabilities in foreign currency, written
option contracts and futures contracts ........... 77,234,164 (112,255,534)
------------- -------------
Net increase (decrease) in net assets resulting
from operations .................................. 58,566,751 (115,771,294)
------------- -------------
Distributions to shareholders from:
Net investment income ............................ (2,748,307) (5,185,015)
Net realized gain on
investments ................................... -- (27,569,023)
------------- -------------
Total distributions ........................... (2,748,307) (32,754,038)
------------- -------------
Capital share transactions:
Net proceeds from sales
of shares ........................................ 8,145,327 29,174,075
Value of shares issued in exchange
for the net assets of the Select
Strategic Income Fund (Note 9) .................. -- --
Value of shares issued in exchange
for the net assets of the Select
Growth and Income Fund (Note 9) ................. 292,154,078 --
Issued to shareholders in reinvestment
of distributions ................................. 2,748,307 32,754,038
Cost of shares repurchased .......................... (63,484,449) (88,035,225)
------------- -------------
Net increase (decrease) from
capital share transactions ................. 239,563,263 (26,107,112)
------------- -------------
Total increase (decrease) in net
assets ..................................... 295,381,707 (174,632,444)
------------- -------------
NET ASSETS at end of period ........................... $ 638,064,585 $ 342,682,878
============= =============
Undistributed (distribution in excess
of) net investment income (loss) .................... $ 203,447 $ 29,655
============= =============
OTHER INFORMATION:
Share transactions:
Sold ............................................. 4,062,742 11,937,167
Issued in exchange for the shares of the
Select Strategic Income Fund (Note 9) ......... -- --
Issued in exchange for the shares of the
Select Growth and Income Fund (Note 9) ........ 147,106,786 --
Issued to shareholders in reinvestment of
distributions ................................. 1,348,178 15,370,677
Repurchased ...................................... (32,132,272) (41,539,895)
------------- -------------
Net increase (decrease) in shares
outstanding ................................ 120,385,434 (14,232,051)
============= =============
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-38
Allmerica Investment Trust
Select Investment Government
Grade Income Fund Bond Fund
- ---------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 2003 December 31, June 30, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS at beginning of period ..................... $ 620,074,063 $571,582,104 $291,995,366 $116,513,871
------------- ------------ ------------ ------------
Increase (decrease) in net assets resulting
from operations:
Net investment income ............................... 10,961,673 30,020,772 3,972,238 5,893,003
Net realized gain (loss) on investments
sold, foreign currency transactions, written
option transactions and futures contracts ........ 19,889,575 2,102,222 1,732,862 839,254
Net change in unrealized appreciation
(depreciation) of investments, assets and
liabilities in foreign currency, written
option contracts and futures contracts ........... (6,297,178) 16,023,439 2,282,576 7,745,330
------------- ------------ ------------ ------------
Net increase (decrease) in net assets resulting
from operations .................................. 24,554,070 48,146,433 7,987,676 14,477,587
------------- ------------ ------------ ------------
Distributions to shareholders from:
Net investment income ............................ (13,598,975) (32,973,670) (5,343,170) (7,053,538)
Net realized gain on
investments ................................... -- -- -- --
------------- ------------ ------------ ------------
Total distributions ........................... (13,598,975) (32,973,670) (5,343,170) (7,053,538)
------------- ------------ ------------ ------------
Capital share transactions:
Net proceeds from sales
of shares ........................................ 2,003,445 92,838,100 20,248,014 201,562,216
Value of shares issued in exchange
for the net assets of the Select
Strategic Income Fund (Note 9) .................. 142,624,667 -- -- --
Value of shares issued in exchange
for the net assets of the Select
Growth and Income Fund (Note 9) ................. -- -- -- --
Issued to shareholders in reinvestment
of distributions ................................. 13,598,974 32,973,670 5,343,170 7,053,538
Cost of shares repurchased .......................... (140,490,597) (92,492,574) (46,380,463) (40,558,308)
------------- ------------ ------------ ------------
Net increase (decrease) from
capital share transactions ................. 17,736,489 33,319,196 (20,789,279) 168,057,446
------------- ------------ ------------ ------------
Total increase (decrease) in net
assets ..................................... 28,691,584 48,491,959 (18,144,773) 175,481,495
------------- ------------ ------------ ------------
NET ASSETS at end of period ........................... $ 648,765,647 $620,074,063 $273,850,593 $291,995,366
============= ============ ============ ============
Undistributed (distribution in excess
of) net investment income (loss) .................... $ (2,556,364) $ 80,938 $ (2,330,999) $ (960,067)
============= ============ ============ ============
OTHER INFORMATION:
Share transactions:
Sold ............................................. 3,679,084 83,168,665 17,896,978 180,409,403
Issued in exchange for the shares of the
Select Strategic Income Fund (Note 9) ......... 125,882,319 -- -- --
Issued in exchange for the shares of the
Select Growth and Income Fund (Note 9) ........ -- -- -- --
Issued to shareholders in reinvestment of
distributions ................................. 11,943,279 29,641,576 4,709,853 6,370,987
Repurchased ...................................... (123,129,423) (82,522,052) (40,768,665) (36,622,170)
------------- ------------ ------------ ------------
Net increase (decrease) in shares
outstanding ................................ 18,375,259 30,288,189 (18,161,834) 150,158,220
============= ============ ============ ============
Money
Market Fund
- ------------------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2003 December 31,
(Unaudited) 2002
- ------------------------------------------------------------------------------------------
NET ASSETS at beginning of period ..................... $ 704,804,637 $ 604,656,688
------------- -------------
Increase (decrease) in net assets resulting
from operations:
Net investment income ............................... 2,877,898 10,414,765
Net realized gain (loss) on investments
sold, foreign currency transactions, written
option transactions and futures contracts ........ 80,778 48,471
Net change in unrealized appreciation
(depreciation) of investments, assets and
liabilities in foreign currency, written
option contracts and futures contracts ........... -- --
------------- -------------
Net increase (decrease) in net assets resulting
from operations .................................. 2,958,676 10,463,236
------------- -------------
Distributions to shareholders from:
Net investment income ............................ (2,877,898) (10,414,765)
Net realized gain on
investments ................................... -- --
------------- -------------
Total distributions ........................... (2,877,898) (10,414,765)
------------- -------------
Capital share transactions:
Net proceeds from sales
of shares ........................................ 121,525,921 962,438,922
Value of shares issued in exchange
for the net assets of the Select
Strategic Income Fund (Note 9) .................. -- --
Value of shares issued in exchange
for the net assets of the Select
Growth and Income Fund (Note 9) ................. -- --
Issued to shareholders in reinvestment
of distributions ................................. 2,877,898 10,414,765
Cost of shares repurchased .......................... (308,163,063) (872,754,209)
------------- -------------
Net increase (decrease) from
capital share transactions ................. (183,759,244) 100,099,478
------------- -------------
Total increase (decrease) in net
assets ..................................... (183,678,466) 100,147,949
------------- -------------
NET ASSETS at end of period ........................... $ 521,126,171 $ 704,804,637
============= =============
Undistributed (distribution in excess
of) net investment income (loss) .................... $ -- $ --
============= =============
OTHER INFORMATION:
Share transactions:
Sold ............................................. 121,525,921 962,438,922
Issued in exchange for the shares of the
Select Strategic Income Fund (Note 9) ......... -- --
Issued in exchange for the shares of the
Select Growth and Income Fund (Note 9) ........ -- --
Issued to shareholders in reinvestment of
distributions ................................. 2,877,898 10,414,765
Repurchased ...................................... (308,163,063) (872,754,209)
------------- -------------
Net increase (decrease) in shares
outstanding ................................ (183,759,244) 100,099,478
============= =============
- --------------------------------------------------------------------------------
F-39
Allmerica Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
Income from Investment Operations
--------------------------------------------------
Net Realized
Net and
Asset Net Unrealized
Value Investment Gain (Loss) Total from
Year Ended Beginning Income on Investment
December 31, of Period (Loss)/(2)/ Investments Operations
- ---------------------- --------- ----------- ------------ ----------
Select Capital
Appreciation Fund/(1)/
2003/(d)/ $1.521 $(0.003) $ 0.290 $ 0.287
2002 1.940 (0.014) (0.405) (0.419)
2001 2.122 (0.010) (0.019) (0.029)
2000 2.053 (0.008) 0.147 0.139
1999 1.640 (0.007) 0.423 0.416
1998 1.698 (0.006) 0.241 0.235
Select Value
Opportunity Fund
2003/(d)/ $1.487 $ 0.002 $ 0.188 $ 0.190
2002 1.975 0.002 (0.315) (0.313)
2001 1.958 0.012 0.225 0.237
2000 1.521 0.012 0.446 0.458
1999 1.686 0.006 (0.077) (0.071)
1998 1.626 0.014 0.066 0.080
Select International
Equity Fund
2003/(d)/ $0.874 $ 0.012 $ 0.043 $ 0.055
2002 1.113 0.013 (0.226) (0.213)
2001 1.781 0.018 (0.385) (0.367)
2000 2.031 0.013 (0.191) (0.178)
1999 1.542 0.012 0.477 0.489
1998 1.341 0.014 0.207 0.221
Select Growth Fund
2003/(d)/ $1.139 $ 0.004 $ 0.117 $ 0.121
2002 1.576 0.001 (0.436) (0.435)
2001 2.214 0.002 (0.545) (0.543)
2000 3.049 (0.001) (0.489) (0.490)
1999 2.428 (0.002) 0.709 0.707
1998 1.811 0.002 0.638 0.640
Core Equity Fund/(1)/
2003/(d)/ $1.239 $ 0.006 $ 0.139 $ 0.145
2002 1.633 0.011/(4)/ (0.393) (0.382)
2001 2.689 0.016 (0.439) (0.423)
2000 3.310 0.016 (0.295) (0.279)
1999 2.825 0.020 0.779 0.799
1998 2.416 0.028 0.436 0.464
Less Distributions
-------------------------------------------
Net
Distributions Increase
Dividends from Net (Decrease)
from Net Realized in
Year Ended Investment Capital Total Net Asset
December 31, Income Gains Distributions Value
- ---------------------- ---------- ------------- ------------- ----------
Select Capital
Appreciation Fund/(1)/
2003/(d)/ $ -- $ -- $ -- $ 0.287
2002 -- -- -- (0.419
2001 -- (0.153) (0.153) (0.182)
2000 -- (0.070) (0.070) 0.069
1999 -- (0.003) (0.003) 0.413
1998 -- (0.293) (0.293) (0.058)
Select Value
Opportunity Fund
2003/(d)/ $ -- $ -- $ -- $ 0.190
2002 (0.011) (0.164) (0.175) (0.488)
2001 (0.012) (0.208) (0.220) 0.017
2000 (0.006) (0.015) (0.021) 0.437
1999 -- (0.094) (0.094) (0.165)
1998 (0.014) (0.006) (0.020) 0.060
Select International
Equity Fund
2003/(d)/ $ -- $ -- $ -- $ 0.055
2002 (0.017) (0.009) (0.026) (0.239)
2001 (0.024) (0.277) (0.301) (0.668)
2000 (0.009) (0.063) (0.072) (0.250)
1999 -- -- -- 0.489
1998 (0.020) -- (0.020) 0.201
Select Growth Fund
2003/(d)/ $ -- $ -- $ -- $ 0.121
2002 (0.002) -- (0.002) (0.437)
2001 -- (0.095) (0.095) (0.638)
2000 -- (0.345) (0.345) (0.835)
1999 (0.001) (0.085) (0.086) 0.621
1998 --/(3)/ (0.023) (0.023) 0.617
Core Equity Fund/(1)/
2003/(d)/ $(0.006) $ -- $(0.006) $ 0.139
2002 (0.012) -- (0.012) (0.394)
2001 (0.015) (0.618) (0.633) (1.056)
2000 (0.017) (0.325) (0.342) (0.621)
1999 (0.020) (0.294) (0.314) 0.485
1998 (0.028) (0.027) (0.055) 0.409
- ----------
* Annualized.
** Not Annualized.
(a) Including reimbursements, waivers and reductions.
(b) Excluding reductions. Certain Portfolios have entered varying arrangements
with brokers who reduced a portion of the Portfolio's expenses.
(c) Excluding reimbursements and reductions.
/(d)/ For the six months ended June 30, 2003 (Unaudited).
/(1)/ The Select Capital Appreciation Fund changed sub-advisers on April 1,
1998. The Core Equity Fund changed sub-advisers on May 1, 2002.
/(2)/ Net investment income (loss) per share before reimbursements of fees by
the investment adviser or reductions were less than $(0.003) for the six
months ended June 30, 2003, less than $(0.014) in 2002, less than $(0.010)
in 2001, less than $(0.008) in 2000, less than $(0.007) in 1999 and less
than $(0.006) in 1998 for Select Capital Appreciation Fund; less than
$0.002 for the six months ended June 30, 2003, $0.000 in 2002, $0.011 in
2001, $0.011 in 2000, $0.005 in 1999 and $0.013 in 1998 for Select Value
Opportunity Fund; less than $0.012 for the six months ended June 30, 2003,
less than $0.013 in 2002, less than $0.018 in 2001, less than $0.013 in
2000, $0.011 in 1999 and less than $0.014 in 1998 for Select International
Equity Fund; less than $0.004 for the six months ended June 30, 2003,
$0.000 in 2002, $0.001 in 2001, $(0.002) in 2000, $(0.003) in 1999, and
$0.001 in 1998 for Select Growth Fund; and less than $0.006 for the six
months ended June 30, 2003, less than $0.011 in 2002, $0.014 in 2001,
$0.015 in 2000, $0.019 in 1999 and $0.027 in 1998 for Core Equity Fund.
/(3)/ Dividends from net investment income are less than $0.0005.
/(4)/ Computed using average shares outstanding throughout the period.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-40
Allmerica Investment Trust
Ratios/Supplemental Data
-------------------------------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------------
Net Asset Net Assets
Value End of Net Operating Expenses Management Fee Portfolio
Year Ended End of Total Period Investment ------------------ -------------- Turnover
December 31, Period Return (000's) Income (Loss) (a) (b) (c) Gross Net Rate
- ---------------------- --------- ------ ---------- ------------- ---- ---- ---- ----- ---- ---------
Select Capital
Appreciation Fund/(1)/
2003/(d)/ $1.808 18.87%**$ 290,563 (0.39)%* 1.12%* 1.14%* 1.14%* 0.93%* 0.93%* 21%**
2002 1.521 (21.60)% 287,593 (0.70)% 1.05% 1.06% 1.06% 0.90% 0.90% 41%
2001 1.940 (1.14)% 435,864 (0.51)% 0.93% 0.94% 0.94% 0.88% 0.88% 44%
2000 2.122 6.81% 510,483 (0.38)% 0.93% 0.94% 0.94% 0.87% 0.87% 53%
1999 2.053 25.36% 417,087 (0.42)% 0.98% 0.98% 0.98% 0.91% 0.91% 61%
1998 1.640 13.88% 310,582 (0.47)% 1.02% 1.04% 1.04% 0.94% 0.94% 141%
Select Value
Opportunity Fund
2003/(d)/ $1.677 12.78%**$ 330,057 0.20%* 1.04%* 1.10%* 1.10%* 0.89%* 0.89%* 46%**
2002 1.487 (16.32)% 351,831 0.12% 0.96% 1.03% 1.03% 0.87% 0.87% 94%
2001 1.975 12.70% 440,335 0.63% 0.87% 0.92% 0.92% 0.87% 0.87% 97%
2000 1.958 30.40% 397,541 0.71% 0.87% 0.94% 0.94% 0.88% 0.88% 22%
1999 1.521 (4.70)% 308,331 0.43% 0.88% 0.97% 0.97% 0.90% 0.90% 98%
1998 1.686 4.87% 268,405 0.95% 0.94% 0.98% 0.99% 0.91% 0.90% 73%
Select International
Equity Fund
2003/(d)/ $0.929 6.29%**$ 345,351 2.74%* 1.17%* 1.18%* 1.18%* 0.92%* 0.92%* 15%**
2002 0.874 (19.37)% 335,890 1.17% 1.13% 1.14% 1.14% 0.91% 0.91% 14%
2001 1.113 (21.43)% 460,006 0.97% 0.99% 1.01% 1.01% 0.89% 0.89% 26%
2000 1.781 (9.03)% 679,128 0.77% 0.98% 0.99% 0.99% 0.88% 0.88% 24%
1999 2.031 31.71% 679,341 0.69% 1.01% 1.02% 1.02% 0.89% 0.89% 18%
1998 1.542 16.48% 505,553 0.99% 1.01% 1.02% 1.02% 0.90% 0.90% 27%
Select Growth Fund
2003/(d)/ $1.260 10.62%**$ 610,742 0.92%* 1.08%* 1.10%* 1.10%* 0.82%* 0.82%* 46%**
2002 1.139 (27.60)% 375,959 0.05% 0.95% 1.01% 1.01% 0.82% 0.82% 125%
2001 1.576 (24.71)% 660,893 0.12% 0.78% 0.85% 0.85% 0.79% 0.79% 91%
2000 2.214 (17.79)% 1,040,237 (0.05)% 0.80% 0.81% 0.81% 0.76% 0.76% 79%
1999 3.049 29.80% 1,216,365 (0.08)% 0.81% 0.83% 0.83% 0.78% 0.78% 84%
1998 2.428 35.44% 815,390 0.08% 0.85% 0.87% 0.87% 0.82% 0.82% 86%
Core Equity Fund/(1)/
2003/(d)/ $1.378 11.74%**$ 380,839 0.92%* 0.77%* 0.81%* 0.81%* 0.58%* 0.58%* 12%**
2002 1.239 (23.45)% 401,888 0.78% 0.70% 0.74% 0.74% 0.57% 0.57% 115%
2001 1.633 (16.90)% 673,753 0.75% 0.58% 0.61% 0.61% 0.55% 0.55% 134%
2000 2.689 (9.51)% 924,904 0.51% 0.44% 0.50% 0.50% 0.45% 0.45% 190%
1999 3.310 29.33% 1,076,297 0.65% 0.45% 0.48% 0.48% 0.43% 0.43% 116%
1998 2.825 19.32% 860,333 1.08% 0.46% 0.49% 0.49% 0.44% 0.44% 100%
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-41
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
Income from Investment Operations Less Distributions (e)
----------------------------------------------------- ------------------------------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net (Decrease)
Value Net Gain (loss) Total from from Net Realized in
Year Ended Beginning Investment on Investment Investment Capital Total Net Asset
December 31, of Period Income/(2)/ Investments Operations Income Gains Distributions Value
- ------------ --------- ------------- ------------ ---------- ---------- ------------- ------------- ----------
Equity Index
Fund
2003/(d)/ $1.944 $0.013 $ 0.206 $ 0.219 $(0.012) $ -- $(0.012) $ 0.207
2002 2.715 0.027 (0.616) (0.589) (0.028) (0.154) (0.182) (0.771)
2001 3.299 0.030 (0.422) (0.392) (0.029) (0.163) (0.192) (0.584)
2000 4.060 0.032 (0.362) (0.330) (0.034) (0.397) (0.431) (0.761)
1999 3.408 0.036 0.656 0.692 (0.035) (0.005) (0.040) 0.652
1998 2.753 0.035 0.741 0.776 (0.034) (0.087) (0.121) 0.655
Select
Investment
Grade Income
Fund/(1)/
2003/(d)/ $1.134 $0.021 $ 0.018 $ 0.039 $(0.026) $ -- $(0.026) $ 0.013
2002 1.106 0.054 0.034 0.088 (0.060) -- (0.060) 0.028
2001 1.086 0.064/(3)/ 0.021 0.085 (0.065) -- (0.065) 0.020
2000 1.051 0.070 0.035 0.105 (0.070) -- (0.070) 0.035
1999 1.132 0.068 (0.079) (0.011) (0.069) (0.001) (0.070) (0.081)
1998 1.112 0.067 0.020 0.087 (0.067) -- (0.067) 0.020
Government
Bond Fund/(1)/
2003/(d)/ $1.130 $0.016 $ 0.016 $ 0.032 $(0.022) $ -- $(0.022) $ 0.010
2002 1.077 0.041 0.057 0.098 (0.045) -- (0.045) 0.053
2001 1.051 0.049/(3)/ 0.030 0.079 (0.053) -- (0.053) 0.026
2000 1.011 0.058 0.040 0.098 (0.058) -- (0.058) 0.040
1999 1.068 0.058 (0.056) 0.002 (0.059) -- (0.059) (0.057)
1998 1.047 0.058 0.021 0.079 (0.058) -- (0.058) 0.021
Money Market
Fund
2003/(d)/ $1.000 $0.005 $ -- $ 0.005 $(0.005) $ -- $(0.005) $ --
2002 1.000 0.016 -- 0.016 (0.016) -- (0.016) --
2001 1.000 0.042 -- 0.042 (0.042) -- (0.042) --
2000 1.000 0.062 -- 0.062 (0.062) -- (0.062) --
1999 1.000 0.051 -- 0.051 (0.051) -- (0.051) --
1998 1.000 0.054 -- 0.054 (0.054) -- (0.054) --
- ----------
* Annualized.
** Not Annualized.
(a) Including reimbursements, waivers and reductions.
(b) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(c) Excluding reimbursements and reductions.
/(d)/ For the six months ended June 30, 2003 (Unaudited).
(e) Certain prior year amounts have been reclassified to conform to curent year
presentation.
/(1)/ Effective January 1, 2001 the Select Investment Grade Income Fund and
Government Bond Fund adopted the provisions of the AICPA Audit and
Accounting Guide for Investment Companies and is amortizing premium and
discount on debt securitites using the daily effective yield method. The
effect of this change for the year ended December 31, 2001 was a decrease
in net investment income per share by $0.003 for Select Investment Grade
Income Fund and a decrease in net investment income per share by $0.007 for
Government Bond Fund, an increase in net realized and unrealized gains and
losses per share by $0.003 for Select Investment Grade Income Fund and an
increase in net realized and unrealized gains and losses per share by
$0.007 for Government Bond Fund and a decrease in the ratio of net
investment income to average net assets from 6.04% to 5.79% for Select
Investment Grade Income Fund and a decrease in the ratio of net investment
income to average net assets from 5.16% to 4.52% for Government Bond Fund.
Per share data and ratio/supplemental data for periods prior to January 1,
2001 have not been restated to reflect this change in presentation.
/(2)/ Net investment income (loss) per share before reimbursement of fees by the
investment advisor was less than $0.013 for the six months ended June 30,
2003, less than $0.027 in 2002, $0.029 in 2001, and less than $0.032 in
2000 for Equity Index Fund.
/(3)/ Computed using average shares outstanding throughout the period.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-42
Allmerica Investment Trust
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------
Ratios To Average Net Assets
Net Asset Net Assets ------------------------------------------------------------
Value End of Net Operating Expenses Management Fee Portfolio
Year Ended End of Total Period Investment -------------------------- --------------- Turnover
December 31, Period Return (000's) Income (a) (b) (c) Gross Net Rate
- -------------- --------- ------- ---------- ---------- ------ ------- ------- ------ ------ --------
Equity Index
Fund
2003/(d)/ $2.151 11.33%** $638,065 1.35%* 0.48%* 0.50%* 0.50%* 0.28%* 0.28%* 26%**
2002 1.944 (22.22)% 342,683 1.16% 0.45% 0.47% 0.47% 0.28% 0.28% 10%
2001 2.715 (12.02)% 517,315 1.02% 0.32% 0.34% 0.34% 0.28% 0.28% 21%
2000 3.299 (9.03)% 599,266 0.87% 0.32% 0.33% 0.33% 0.27% 0.27% 9%
1999 4.060 20.41% 638,230 0.98% 0.35% 0.35% 0.35% 0.28% 0.28% 21%
1998 3.408 28.33% 481,877 1.17% 0.36% 0.36% 0.36% 0.29% 0.29% 6%
Select
Investment
Grade Income
Fund/(1)/
2003/(d)/ $1.147 3.48%** $648,766 3.60%* 0.63%* 0.63%* 0.63%* 0.41%* 0.41%* 107%**
2002 1.134 8.14% 620,074 4.85% 0.58% 0.58% 0.58% 0.41% 0.41% 130%
2001 1.106 7.94% 571,582 5.79% 0.47% 0.47% 0.47% 0.41% 0.41% 114%
2000 1.086 10.31% 445,609 6.53% 0.49% 0.49% 0.49% 0.42% 0.42% 159%
1999 1.051 (0.97)% 240,541 6.22% 0.50% 0.50% 0.50% 0.43% 0.43% 75%
1998 1.132 7.97% 230,623 6.01% 0.52% 0.52% 0.52% 0.43% 0.43% 158%
Government
Bond Fund/(1)/
2003/(d)/ $1.140 2.81%** $273,851 2.77%* 0.71%* 0.71%* 0.71%* 0.50%* 0.50%* 31%**
2002 1.130 9.28% 291,995 3.48% 0.68% 0.68% 0.68% 0.50% 0.50% 79%
2001 1.077 7.63% 116,514 4.52% 0.58% 0.58% 0.58% 0.50% 0.50% 190%
2000 1.051 10.00% 78,531 5.58% 0.61% 0.61% 0.61% 0.50% 0.50% 53%
1999 1.011 0.23% 87,247 5.64% 0.62% 0.62% 0.62% 0.50% 0.50% 37%
1998 1.068 7.67% 81,018 5.63% 0.64% 0.64% 0.64% 0.50% 0.50% 61%
Money Market
Fund
2003/(d)/ $1.000 0.47%** $521,126 0.96%* 0.51%* 0.51%* 0.51%* 0.30%* 0.30%* N/A
2002 1.000 1.66% 704,805 1.63% 0.45% 0.45% 0.45% 0.30% 0.30% N/A
2001 1.000 4.28% 604,657 4.11% 0.36% 0.36% 0.36% 0.31% 0.31% N/A
2000 1.000 6.40% 457,912 6.19% 0.31% 0.31% 0.31% 0.26% 0.26% N/A
1999 1.000 5.19% 513,606 5.09% 0.29% 0.29% 0.29% 0.24% 0.24% N/A
1998 1.000 5.51% 336,253 5.36% 0.32% 0.32% 0.32% 0.26% 0.26% N/A
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-43
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end, diversified
management investment company established as a Massachusetts business trust. The
Trust is intended to serve as an investment medium for (i) variable life
insurance policies and variable annuity contracts offered by insurance
companies, (ii) certain qualified pension and retirement plans, as permitted by
Treasury Regulations; and (iii) life insurance companies and advisers to the
Portfolios and their affiliates. Allmerica Financial Corporation ("AFC") has
ceased all new sales of proprietary variable annuities and life insurance
products. The Trust is comprised of nine managed investment portfolios. The
accompanying financial statements and financial highlights are those of the
Select Capital Appreciation, Select Value Opportunity, Select International
Equity, Select Growth, Core Equity, Equity Index, Select Investment Grade
Income, Government Bond and Money Market Funds (individually a "Portfolio",
collectively, the "Portfolios").
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions at the date of the financial statements. Actual
results could differ from those estimates.
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
Security Valuation: Equity securities which are traded on a recognized exchange
are valued at the last quoted sales price available at the time of the closing
of the New York Stock Exchange or, if there were no sales that day, at the mean
of the closing bid and asked price. Over-the-counter securities are valued at
the last available price in the market prior to the time of valuation.
Securities that are primarily traded on foreign exchanges generally are valued
at the closing values of such securities on their respective exchanges.
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 fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Board of Trustees. Short-term investments that
mature in 60 days or less are valued at amortized cost. The investments of the
Money Market Fund are valued utilizing the amortized cost valuation method,
permitted in accordance with Rule 2a-7 under the 1940 Act. 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 Capital Appreciation, Select
International Equity and Select Growth Funds may enter into forward foreign
currency contracts whereby the Portfolios agree to exchange 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 forward exchange rate
of the underlying currency with any fluctuations recorded as unrealized gains or
losses. 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 the settlement date.
The use of forward foreign currency contracts does not eliminate fluctuations in
the underlying prices of the Portfolios, but it does establish a rate of
exchange that can be achieved in the future. Although forward foreign currency
contracts used for hedging purposes limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, the Portfolios
could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts.
- --------------------------------------------------------------------------------
F-44
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Foreign Currency Translation: Investment valuations, other assets and
liabilities denominated in foreign currencies are translated each business day
into U.S. dollars based upon current exchange rates. Purchases and sales of
foreign investments and income and expenses are translated into U.S. dollars
based upon exchange rates prevailing on the respective dates of such
transactions. Net realized gains or losses on foreign currency transactions
represent net gains or losses on sales and maturities of foreign currency
contracts, disposition of foreign currencies, the difference between the amount
of net investment income and withholding taxes accrued and the U.S. dollar
amount actually received and paid, and gains or losses between the trade and
settlement date on the purchases and sales of the securities. 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
as of the trade date. Realized gains and losses from security transactions are
determined on the basis of identified cost. Interest income, including
amortization of premium and accretion of discount on securities, is accrued
daily. Income distributions earned by the Portfolios from investments in certain
investment companies are recorded as interest income in the accompanying
financial statements. Dividend income is recorded on the ex-dividend date,
except that certain dividends from foreign securities are recorded as soon as
the Portfolios are informed of the ex-dividend date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio 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, if any, for its fiscal year. 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.
Distributions to Shareholders: Dividends from net investment income are declared
and reinvested daily for the Money Market Fund, declared and distributed
quarterly for the Core Equity, Equity Index, Select Investment Grade Income and
Government Bond Funds, and annually for the Select Capital Appreciation, Select
Value Opportunity, Select International Equity and Select Growth Funds. All
Portfolios declare and distribute all net realized capital gains, if any, at
least annually. Distributions to shareholders are recorded on the ex-dividend
date. Income and capital gains distributions are determined in accordance with
income tax regulations. Differences between book basis and tax basis amounts are
primarily due to differing book and tax treatments in the timing of the
recognition of gains or losses, including "Post-October Losses", foreign
currency gains and losses, and losses deferred due to wash sales and differing
treatments for foreign currency transactions, amortization of premium and market
discount, and non-taxable dividends. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications to paid
in capital. 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, as applicable.
Futures Contracts: All Portfolios, except the Money Market Fund, may use futures
contracts to manage their exposure to the stock and bond markets and to
fluctuations in interest rates and currency values. Buying futures tends to
increase a Portfolio's exposure to the underlying instrument, while selling
futures tends to decrease a Portfolio's exposure to the underlying instrument or
hedge other portfolio investments. Futures contracts involve, to varying
degrees, risk of loss in excess of the futures variation margin, if any,
reflected in each applicable Portfolio's Statement of Assets and Liabilities.
The underlying face amount at value of any open futures contracts at period end
is shown in each applicable Portfolio's portfolio of investments. The face
amount reflects each contract's exposure to the underlying instrument at period
end. Losses may arise from changes in the value of the underlying instruments or
if the counterparties do not perform under the terms of the contracts. Gains and
losses are realized upon the expiration or closing of the futures contracts.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
- --------------------------------------------------------------------------------
F-45
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Securities Lending: Each Portfolio, using Investors Bank & Trust Company ("IBT")
as its lending agent, may loan securities to brokers and dealers in exchange for
negotiated lenders' fees. These fees are disclosed as "Securities lending
income" in the Statements of Operations. Each applicable Portfolio receives
collateral against the loaned securities which must be maintained at not less
than 102% of the market value of the loaned securities during the period of the
loan. Collateral received is generally cash, and is invested in short term
investments. There may be risks of delay in recovery of the securities loaned or
even loss of rights in the collateral should the counterparty (borrower) not
meet its obligations under the terms of the loan. Information regarding the
value of the securities loaned and the value of the collateral at period end is
included in a footnote at the end of each applicable Portfolio's portfolio of
investments.
Cash Accounts: From time to time the Portfolios may leave cash overnight in
their account. IBT has been contracted on behalf of the Portfolios to sweep
these moneys into a demand note account, which will pay interest equal to 75% of
that day's U.S. Treasury Bill rate back to the Portfolios.
Expenses: 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 based upon relative net assets among the respective
Portfolios and one other affiliated investment company, Allmerica Securities
Trust.
Forward Commitments: The Select Capital Appreciation, Select Investment Grade
Income, Government Bond, and Money Market Funds may enter into contracts to
purchase securities for a fixed price at a specified future date beyond
customary settlement time ("forward commitments"). If the Portfolios do so, they
will maintain cash or other liquid obligations having a value in an amount at
all times sufficient to meet the purchase price. Forward commitments involve a
risk of loss if the value of the security to be purchased declines prior to the
settlement date. Although the Portfolios generally will enter into forward
commitments with the intention of acquiring securities for their portfolios,
they may dispose of a commitment prior to settlement if their Sub-Adviser deems
it appropriate to do so.
Options: All Portfolios, except the Money Market Fund, may use options to manage
its exposure to the stock and bond markets and to fluctuations in interest
rates. Writing puts and buying calls tend to increase a Portfolio's exposure to
the underlying security. Buying puts and writing calls tend to decrease a
Portfolio's exposure to the underlying security. When a Portfolio writes a call
or put option, an amount equal to the premium received is recorded as a
liability and subsequently marked to market to reflect the current value of the
option written. Premiums received from writing options which expire are treated
as realized gains. Premiums received from writing options which are exercised or
closed are added to the proceeds or offset against the amounts paid on the
underlying security to determine the realized gain or loss. Realized gains and
losses on written options are included in realized gains and losses on
securities. The underlying value of any open options at period end is shown in
the portfolio of investments under the caption "Written Options." This amount
reflects each contract's exposure to the underlying security at period end.
Written options involve, to varying degrees, risk of loss in excess of the
option value reflected in the Statement of Assets and Liabilities. Losses may
arise from changes in the value of the underlying securities, if there is an
illiquid secondary market for the contracts, or if the counterparties do not
perform under the terms of the contracts. Exchange-traded options are valued
using the last sale price or, if there were no sales that day, the last offering
price. Options traded over-the-counter are valued using dealer-supplied
valuations.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Sub-Adviser has determined are
creditworthy pursuant to guidelines established by the Trust's Board of
Trustees. 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 Sub-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.
- --------------------------------------------------------------------------------
F-46
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
3. INVESTMENT MANAGEMENT, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS
Management Fees: Allmerica Financial Investment Management Services, Inc. (the
"Manager"), a wholly-owned subsidiary of Allmerica Financial Life Insurance and
Annuity Company ("Allmerica Financial"), serves as investment manager and
administrator to the Trust. Allmerica Financial is a wholly-owned subsidiary of
AFC. 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 fee schedules:
Percentage of Average Daily Net Assets
-----------------------------------------------------------------------------------------
First Next Next Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $250,000,000 $1,000,000,000
- --------------------------------------------------------------------------------------------------------------------
Select Capital
Appreciation Fund 1.00% 0.90% 0.80% 0.70% 0.70% 0.65%
Select Value Opportunity
Fund 1.00% 0.85% 0.80% 0.75% 0.70% 0.70%
Select International
Equity Fund 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
Select Growth Fund 0.85% 0.85% 0.80% 0.75% 0.70% 0.70%
Core Equity Fund 0.60% 0.60% 0.55% 0.50% 0.45% 0.45%
Government Bond Fund 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%
Money Market Fund 0.35% 0.30% 0.30% 0.25% 0.20% 0.20%
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- ----------------------------------------------------------------
Equity Index Fund 0.35% 0.30% 0.25%
First Next Over
Portfolio $50,000,000 $50,000,000 $100,000,000
- ---------------------------------------------------------------
Select Investment
Grade Income Fund 0.50% 0.45% 0.40%
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 Capital Appreciation Fund T. Rowe Price Associates, Inc. ("T. Rowe Price")
Select Value Opportunity Fund Cramer Rosenthal McGlynn, LLC
Select International Equity Fund Bank of Ireland Asset Management (U.S.) Limited
Select Growth Fund Putnam Investment Management, LLC ("Putnam")
Jennison Associates LLC ("Jennison")
Core Equity Fund UBS Global Asset Management (Americas) Inc. ("UBS")
Goldman Sachs Asset Management, L.P. ("Goldman")
Equity Index Fund Opus Investment Management, Inc. (formerly
Allmerica Asset Management, Inc.; wholly-owned
subsidiary of AFC)
Select Investment Grade Income Fund Opus Investment Management, Inc.
Government Bond Fund Opus Investment Management, Inc.
Money Market Fund Opus Investment Management, Inc.
T. Rowe Price International Series, Inc., an investment company managed by an
affiliate of T. Rowe Price, is currently used as an investment vehicle for
certain insurance products sponsored by Allmerica Financial and First Allmerica
Financial Life Insurance Company ("First Allmerica"), a wholly-owned subsidiary
of Allmerica Financial. In addition, T. Rowe Price currently serves as
investment adviser to a corporate investment account of AFC. Effective
April 18, 2003, both Putnam and Jennison assumed sub-adviser responsibilities
for the Select Growth Fund; prior to April 18, 2003, Putnam was the sole
sub-adviser. Putnam and Jennison each independently manages their own portion of
the Select
- --------------------------------------------------------------------------------
F-47
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Growth Fund. UBS and Goldman each independently manages its own portion of the
Core Equity Fund. In addition, UBS and Goldman each independently manages its
own portion of certain assets for First Allmerica and its affiliates. Effective
February 1, 2003, the name of Allmerica Asset Management, Inc. was changed to
Opus Investment Management, Inc.
Plan of distribution and Service: The 12b-1 Plan permits the Portfolios to pay
Allmerica Financial and First Allmerica for marketing and distribution expenses
to support the sale and distribution of the Portfolios' shares and the provision
of services to maintain and retain accounts. The 12b-1 Plan authorizes payment
of a distribution and service fee at an annual rate of up to 0.25% of each
Portfolio's average daily net assets. As directed by the Board of Trustees, each
Portfolio pays a distribution fee at an annual rate of 0.15% of each Portfolio's
average daily net assets. For the six months ended June 30, 2003, total payments
made to Allmerica Financial and First Allmerica by the Portfolios under the
12b-1 Plan amounted to $3,097,534.
Custodian, Fund Accounting, and Administrative Fees: IBT provides portfolio
accounting and custody services to the Trust and receives fees and reimbursement
of certain out-of-pocket expenses for its services from the Trust. The Manager
has entered into an Administrative Services Agreement with IBT, whereby IBT
performs certain administrative services for the Portfolios and is entitled to
receive an administrative fee and reimbursement of certain out-of-pocket
expenses. The Manager is solely responsible for the payment of the
administrative fee to IBT. 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 AND WAIVER OF FEES
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, broker commissions, and extraordinary expenses, but including the
management fee, exceed certain voluntary expense limitations as a percentage of
average net assets, The Manager will voluntarily reimburse fees and any expenses
in excess of the expense limitations. The Portfolios' voluntary expense
limitations are as follows:
Select Capital Appreciation Fund 1.35%
Select Value Opportunity Fund* 1.25%
Select International Equity Fund 1.50%
Select Growth Fund 1.20%
Core Equity Fund 1.20%
Equity Index Fund 0.60%
Select Investment Grade Income Fund 1.00%
Government Bond Fund 1.00%
Money Market Fund 0.60%
Expense limitations may be removed or revised at any time after a Portfolio's
first fiscal year of operations without prior notice to existing shareholders.
* The Manager has also voluntarily agreed to limit its management fees
to an annual rate of 0.90% of average daily net assets of the Select
Value Opportunity Fund until further notice.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of brokerage commissions. Such amounts earned by the
Portfolios, under such agreements, are presented as a reduction of expenses in
the Statements of Operations.
- --------------------------------------------------------------------------------
F-48
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
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.
7. FOREIGN SECURITIES
All Portfolios except the Government Bond Fund may purchase securities of
foreign issuers. The Money Market Fund may invest in only U.S. dollar
denominated foreign securities. Investing in foreign securities 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.
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options
transactions, and forward foreign currency contracts involves risks other than
those reflected in the Statements 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 terms of the
contracts, and changes in the value of foreign currency relative to the U.S.
dollar. The Select Capital Appreciation, Select International Equity and Select
Growth Funds may enter into these forward contracts primarily to protect the
Portfolio from adverse currency movement.
9. REORGANIZATIONS
Pursuant to separate Agreements and Plans of Reorganization ("Reorganizations")
approved by the Board of Trustees on January 7, 2003 and then approved by
shareholders on March 27, 2003, each of the following Acquired Funds of the
Trust were reorganized into the respective Acquiring Funds of the Trust after
the close of business on the effective date shown. Each Reorganization was
accomplished by a tax-free exchange of all of the assets and liabilities of the
Acquired Fund for shares of the Acquiring Fund and by the distribution of such
shares to the shareholders of the Acquired Fund, in complete liquidation of the
Acquired Fund. The reorganizations qualified as tax-free reorganizations for
federal income tax purposes with no gain or loss recognized to the Portfolios or
the separate account level of shares.
Acquired Fund Acquiring Fund Effective Date
- -------------------------------------------------------------------------------------------------------
Reorganization #1 Select Strategic Growth Fund Select Growth Fund April 17, 2003
Reorganization #2 Select Emerging Markets Fund Select International Equity Fund April 30, 2003
Reorganization #3 Select Growth and Income Fund Equity Index Fund April 25, 2003
Reorganization #4 Select Aggressive Growth Fund Select Growth Fund April 17, 2003
Reorganization #5 Select Strategic Income Fund Select Investment Grade Income Fund April 22, 2003
Each Reorganization was accomplished as follows:
Reorganization #1: An exchange of 15,107,801 shares of Select Growth Fund for
the 67,820,054 shares then outstanding (each valued at $0.262) of Select
Strategic Growth Fund; whose net assets, including $8,264,448 of unrealized
depreciation were combined with Select Growth Fund for total net assets after
the reorganization of $601,471,129 (includes the net assets of Select Aggressive
Growth Fund of Reorganization #4).
Reorganization #2: An exchange of 52,384,344 shares of Select International
Equity Fund for the 70,465,156 shares then outstanding (each valued at $0.642)
of Select Emerging Markets Fund; whose net assets, including $1,690,066 of
unrealized appreciation were combined with Select International Equity Fund for
total net assets after the reorganization of $344,940,863.
- --------------------------------------------------------------------------------
F-49
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Reorganization #3: An exchange of 147,106,786 shares of Equity Index Fund for
the 306,640,159 shares then outstanding (each valued at $0.953) of Select Growth
and Income Fund; whose net assets, including $39,999,505 of unrealized
depreciation were combined with Equity Index Fund for total net assets after the
reorganization of $611,065,810.
Reorganization #4: An exchange of 220,257,679 shares of Select Growth Fund for
the 281,013,367 shares then outstanding (each valued at $0.922) of Select
Aggressive Growth Fund; whose net assets, including $14,734,409 of unrealized
depreciation were combined with Select Growth Fund for total net assets after
the reorganization of $601,471,129 (includes the net assets of Select Strategic
Growth Fund of Reorganization #1).
Reorganization #5: An exchange of 125,882,319 shares of Select Investment Grade
Income Fund for the 131,490,310 shares then outstanding (each valued at $1.085)
of Select Strategic Income Fund; whose net assets, including $3,796,669 of
unrealized appreciation were combined with Select Investment Grade Income Fund
for total net assets after the reorganization of $674,124,396.
- --------------------------------------------------------------------------------
F-50
Allmerica Investment Trust
OTHER INFORMATION
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS: (UNAUDITED)
A special meeting of the Trust's shareholders was held on March 27, 2003 in
which they approved five proposals. The voting results were as follows:
Proposal 1 To approve the Agreement and Plan of Reorganization providing for the
sale of all of the assets of the Select Strategic Growth Fund to, and the
assumption of all of the liabilities of the Select Strategic Growth Fund by, the
Select Growth Fund in exchange for shares of the Select Growth Fund, and the
distribution of such shares to the shareholders of the Select Strategic Growth
Fund, in complete liquidation of the Select Strategic Growth Fund.
Shares Shares Shares
For Against Abstaining Total
----------- --------- ---------- ----------
Select Strategic Growth
Fund: Number of Votes Cast: 67,339,974 1,313,765 4,172,201 72,825,940
Percentage of Votes Cast: 92.47% 1.80% 5.73% 100.00%
Proposal 2 To approve the Agreement and Plan of Reorganization providing for the
sale of all of the assets of the Select Emerging Markets Fund to, and the
assumption of all of the liabilities of the Select Emerging Markets Fund by, the
Select International Equity Fund in exchange for shares of the Select
International Equity Fund, and the distribution of such shares to the
shareholders of the Select Emerging Markets Fund, in complete liquidation of the
Select Emerging Markets Fund.
Shares Shares Shares
For Against Abstaining Total
----------- --------- ---------- ----------
Select Emerging Markets
Fund: Number of Votes Cast: 73,191,917 3,286,060 4,837,143 81,315,120
Percentage of Votes Cast: 90.01% 4.04% 5.95% 100.00%
Proposal 3 To approve the Agreement and Plan of Reorganization providing for the
sale of all of the assets of the Select Growth and Income Fund to, and the
assumption of all of the liabilities of the Select Growth and Income Fund by,
the Equity Index Fund in exchange for shares of the Equity Index Fund, and the
distribution of such shares to the shareholders of the Select Growth and Income
Fund, in complete liquidation of the Select Growth and Income Fund.
Shares Shares Shares
For Against Abstaining Total
----------- ---------- ---------- -----------
Select Growth and Income
Fund: Number of Votes Cast: 318,020,168 11,016,836 24,036,001 353,073,005
Percentage of Votes Cast: 90.07% 3.12% 6.81% 100.00%
Proposal 4 To approve the Agreement and Plan of Reorganization providing for the
sale of all of the assets of the Select Aggressive Growth Fund to, and the
assumption of all of the liabilities of the Select Aggressive Growth Fund by,
the Select Growth Fund in exchange for shares of the Select Growth Fund, and the
distribution of such shares to the shareholders of the Select Aggressive Growth
Fund, in complete liquidation of the Select Aggressive Growth Fund.
Shares Shares Shares
For Against Abstaining Total
----------- ---------- ---------- -----------
Select Aggressive Growth
Fund: Number of Votes Cast: 286,858,081 11,381,224 19,961,572 318,200,877
Percentage of Votes Cast: 90.15% 3.58% 6.27% 100.00%
- --------------------------------------------------------------------------------
F-51
Allmerica Investment Trust
OTHER INFORMATION (Continued)
- --------------------------------------------------------------------------------
Proposal 5 To approve the Agreement and Plan of Reorganization providing for the
sale of all of the assets of the Select Strategic Income Fund to, and the
assumption of all of the liabilities of the Select Strategic Income Fund by, the
Select Investment Grade Income Fund in exchange for shares of the Select
Investment Grade Income Fund, and the distribution of such shares to the
shareholders of the Select Strategic Income Fund, in complete liquidation of the
Select Strategic Income Fund.
Shares Shares Shares
For Against Abstaining Total
----------- --------- ---------- -----------
Select Strategic Income Number of Votes Cast: 121,765,245 2,239,410 9,436,545 133,441,200
Fund: Percentage of Votes Cast: 91.25% 1.68% 7.07% 100.00%
- --------------------------------------------------------------------------------
F-52
Allmerica Investment Trust
REGULATORY DISCLOSURES (Unaudited)
- --------------------------------------------------------------------------------
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 not insured or guaranteed by the
Federal Deposit Insurance Corporation or any other government agency. Although
the Portfolio seeks to preserve the value of your investment at a stable net
asset value of $1.00 per share, it is possible to lose money by investing in the
Portfolio.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Portfolios and are 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, and Allmerica
Investment Trust which include important information related to charges and
expenses.
CLIENT NOTICES (Unaudited)
- --------------------------------------------------------------------------------
This report includes financial statements for Allmerica Investment Trust. It
does not include financial statements for the separate accounts that correspond
to the insurance and/or annuity products included in this report.
The SEC has modified mailing requirements for annual reports to allow a single
copy of this report to be delivered to customers who share the same last name
and address. This will automatically apply to all customers. If you would prefer
to receive your own copy, please notify us at the phone number listed on the
back cover of this report.
- --------------------------------------------------------------------------------
F-53
[LOGO] Allmerica FINANCIAL (R)
THE ALLMERICA FINANCIAL COMPANIES
The Hanover Insurance Company . Allmerica Financial Alliance Insurance Company
. Allmerica Financial Benefit Insurance Company
Citizens Insurance Company of America . Citizens Management Inc. . AMGRO, Inc.
. Financial Profiles, Inc.
VeraVest Investments, Inc. . VeraVest Investments Advisors, Inc.
. Opus Investment Management, Inc. . Allmerica Trust Company, N.A.
First Allmerica Financial Life Insurance Company . Allmerica Financial Life
Insurance and Annuity Company (all states except NY)
12260SAR (6/03) 03-1471
Allmerica Financial Semi-Annual Report
- --------------------------------------------------------------------------------
June 30, 2003 Allmerica Investment Trust
.Money Market Fund
[GRAPHIC] AIT
2003
[LOGO] Allmerica Financial(R)
TABLE OF CONTENTS
A Letter from the Chairman....................................... 1
Money Market Fund................................................ 2
FINANCIALS....................................................... F-1
For information on ordering additional copies of this report, see Client
Notices on page F-10.
One or more Funds may not be available under the variable annuity or variable
life insurance policy which you have chosen. Inclusion in this report of a Fund
which is not available under your policy is not to be considered a solicitation.
A LETTER FROM THE CHAIRMAN
Dear Client:
The global economy continued to sputter during the first half of 2003. At the
June economic summit in France, five of the eight leading industrialized
nations were either in recession or suffering from slow economic growth. Some
European and Japanese officials expressed concern that a continued decline in
the value of the already weak U.S. dollar could delay any global recovery. When
SARS appeared in China, the country's economic growth decelerated and exports
declined throughout the region. As the effects of deflation continued to wreak
havoc on Japan's economy, many companies struggled to remain viable. Global
stock markets dropped precipitously in the first quarter, but evolving
worldwide events triggered a strong second quarter rally, leaving many indices
in positive territory for the first half of 2003. Japan's Nikkei Average
finished the period up 6.48%, Hong Kong's Hang Seng Index was higher by 5.60%,
Germany's DAX Index rose 11.34%, England's FTSE Index gained 4.81% and France's
CAC 40 Index was up 3.08%.
During the period, business spending remained on hold as the United States led
a war against the leaders of Iraq. When coalition forces achieved rapid success
on the battlefield, several analysts predicted a surge in post-war economic
activity on the home front. Consumer confidence did spike when the major
fighting ended, but a stalled labor market and a continued lack of corporate
investment limited the extent of the rebound. The U.S. unemployment rate
reached 6.1% during the six-month period, as sluggish demand resulted in
additional layoffs. In an effort to stimulate economic growth and create jobs,
the U.S. Congress passed a $350 billion tax cut package and the Federal Reserve
Board cut the federal funds rate by 0.25%, to a low 1.00%. The U.S. stock and
bond markets seemed to be signaling better times ahead, as they posted solid
returns for the first six months of 2003. The S&P 500(R) Index finished up
11.77%, the Nasdaq Composite Index was higher by 21.82% and the Lehman Brothers
Aggregate Bond Index gained 3.92%.
Money market fund returns declined during the first half of 2003, as short-term
interest rates continued to fall. When the Federal Reserve Board cut the target
federal funds rate by 0.25% in June, it reinforced the downward trend in
short-term interest rates and reduced money market fund returns to historically
low levels. The Money Market Fund continued its strong relative performance
during the six-month period, returning 0.47%, outperforming its benchmark, the
Money Fund Report Averages: First Tier Taxable. According to iMoneyNet, Inc.,
the Money Market Fund ranked in the top ten percent for net return among money
market funds in the First Tier Taxable universe for the first six months of
2003.
On behalf of the Board of Trustees,
/s/ John P. Kavanaugh
John P. Kavanaugh
Chairman of the Board
Allmerica Investment Trust
1
MONEY MARKET FUND
The Money Market Fund returned 0.47% for the first half of 2003, outperforming
its benchmark, the Money Fund Report Averages: First Tier Taxable, which
returned 0.29%.
The first quarter of 2003 was marked by economic and political uncertainty. The
strong second quarter was powered by lower interest rates across the board,
with the five-year Treasury security ending the quarter a remarkable 30 basis
points lower than where it was at the beginning of the quarter. The Federal
Reserve Board acted late in the second quarter, lowering the federal funds rate
by 0.25% to 1.00%, and implied that rates will not be raised in the near
future. The Federal Reserve Board has not said what else it may do to attempt
to reinvigorate the economy. Many analysts believed that the Federal Reserve
Board might employ more non-traditional methods of managing interest rates,
such as buying longer-dated treasury securities, as the overnight lending rate
approached 0.00%. However, the Chairman has commented about a deep-seated fear
of the potential secondary effects of such actions, so cutting the federal
funds rate appears to be the primary tactic the Federal Reserve Board intends
to utilize.
Since the major fighting in Iraq ended, the pickup in economic activity that
many forecasters expected has not materialized. The jobless recovery remains
intact, but growth of less than 2% has not been enough to persuade businesses
to build inventories or increase capital spending. The investment sub-adviser
plans to maintain a slightly short duration, between 50-55 days, and a laddered
portfolio, in an attempt to provide maximum liquidity and stable current income
through this ongoing market uncertainty.
Average Annual Total Returns
1 Year 5 Year 10 Year
Money Market Fund 1.20% 4.13% 4.55%
Money Fund Report Averages: First Tier Taxable 0.79% 3.54% 4.05%
Lipper Money Market Funds Average 0.98% 3.74% 4.23%
Average Yield as of June 30, 2003
Money Market Fund 7-Day Yield 0.71%
Growth of a $10,000 Investment Since 1993
[CHART]
Money Fund Report Averages:
Money Market Fund First Tier Taxable
----------------- ---------------------------
6/93 $10,000 $10,000
6/94 10,314 10,282
6/95 10,852 10,790
6/96 11,458 11,342
6/97 12,072 11,898
6/98 12,746 12,501
6/99 13,407 13,078
6/00 14,184 13,753
6/01 15,035 14,490
6/02 15,418 14,758
6/03 15,603 14,873
The Money Market Fund is a portfolio of Allmerica Investment Trust. Portfolio
composition will vary over time.
The Fund is neither insured nor guaranteed by the Federal Deposit Insurance
Corporation or any other government agency. Although the Fund seeks to maintain
a net asset value of $1.00 per share, it is possible to lose money by investing
in the 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.
Money Fund Report Averages: First Tier Taxable is published by iMoneyNet, Inc.,
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 the average investment performance of funds within the money
market 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.
Investment Sub-Adviser
Opus Investment Management, Inc.
About the Fund
Seeks to maximize current income for investors while preserving capital and
liquidity.
Portfolio Composition
As of June 30, 2003, the sector allocation of net assets was:
[CHART]
Corporate Notes 46%
Commercial Paper 28%
U.S. Government & Agency Obligations 15%
Investment Company 8%
Certificates of Deposit 3%
- --------------------------------------------------------------------------------
2
Financials
Money Market Fund
PORTFOLIO OF INVESTMENTS . June 30, 2003 (Unaudited)
- -------------------------------------------------------------------------------
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 15.3%
Fannie Mae - 6.2%
$ 5,000,000 1.18%, 07/27/04 $ 5,000,000
14,850,000 1.19%, 03/05/04 (a) 14,728,774
12,681,000 1.23%, 07/01/03 (a) 12,681,000
------------
32,409,774
------------
Federal Home Loan Bank - 8.1%
25,000,000 1.16%, 03/15/04 (b) 25,000,000
7,500,000 1.35%, 03/30/04 7,500,000
10,000,000 1.40%, 06/04/04 10,000,000
------------
42,500,000
------------
Freddie Mac - 1.0%
5,000,000 0.89%, 09/30/03 (a) 4,988,752
------------
Total U.S. Government Agency Obligations 79,898,526
------------
(Cost $79,898,526)
CORPORATE NOTES - 46.5%
Banking - 8.6%
25,000,000 Bayerische Landesbank NY (b)
1.26%, 02/23/04 25,000,000
20,000,000 Marshall & Isley Bank (b)
1.17%, 12/19/03 20,000,000
------------
45,000,000
------------
Financial Services - 22.3%
7,864,000 Caterpillar Financial Services Corp. (b)
1.37%, 07/09/03 7,864,157
10,000,000 Caterpillar Financial Services Corp. (b)
1.43%, 04/02/04 10,013,992
3,050,000 Citigroup, Inc.
5.70%, 02/06/04 3,128,827
23,000,000 Countrywide Home Loans, Inc. (b)
1.68%, 11/21/03 23,018,861
12,000,000 J.P. Morgan Chase & Co.
5.75%, 02/25/04 12,338,641
15,000,000 Money Market Trust LLC (b) (c)
1.37%, 12/03/03 15,000,000
30,000,000 Money Market Trust Series 2003A (b) (c)
1.19%, 08/19/03 29,998,977
5,000,000 Sigma Finance, Inc. (b) (c)
1.14%, 05/18/04 4,999,750
10,000,000 Sigma Finance, Inc.
1.64%, 12/03/03 10,000,000
------------
116,363,205
------------
Oil & GAS - 3.9%
20,000,000 Deer Park Refining, LP (c)
1.15%, 07/18/03 20,000,000
------------
Securities Broker - 11.7%
$10,000,000 Bear Stearns Cos., Inc. (b)
1.50%, 12/12/03 $ 10,006,767
10,000,000 Goldman Sachs Group, Inc. (b)
1.28%, 12/08/03 10,000,000
4,000,000 Goldman Sachs Group, Inc. (b)
1.28%, 01/23/04 4,000,000
6,885,000 Lehman Brothers Holdings, Inc.
7.36%, 12/15/03 7,070,625
10,000,000 Morgan Stanley Dean Witter & Co. (b)
1.28%, 11/14/03 10,000,000
13,000,000 Morgan Stanley Dean Witter & Co.
5.63%, 01/20/04 13,293,530
6,488,000 Travelers Group, Inc.
6.75%, 08/15/03 6,531,904
------------
60,902,826
------------
Total Corporate Notes 242,266,031
------------
(Cost $242,266,031)
ASSET BACKED SECURITIES - 0.2%
1,077,195 Whole Auto Loan Trust, Series 2002-1,
Class A1
1.42%, 12/15/03 1,077,195
------------
Total Asset Backed Securities 1,077,195
------------
(Cost $1,077,195)
COMMERCIAL PAPER (a) - 28.0%
Banking - 5.9%
5,000,000 Societe Generale North America, Inc.
1.07%, 08/01/03 4,995,393
7,500,000 UBS Finance (DE) LLC
1.04%, 07/08/03 7,498,483
18,300,000 UBS Finance (DE) LLC
1.31%, 07/01/03 18,300,000
------------
30,793,876
------------
Financial Services - 16.3%
15,000,000 Amstel Funding Corp. (c)
1.22%, 07/02/03 14,999,491
15,000,000 Blue Ridge Asset Funding (c)
1.17%, 08/05/03 14,982,938
15,000,000 Clipper Receivables Corp.
1.02%, 07/22/03 14,991,075
10,000,000 High Peak Funding LLC (c)
0.97%, 09/12/03 9,980,331
10,000,000 High Peak Funding LLC (c)
1.12%, 08/06/03 9,988,800
10,000,000 Ivory Funding Corp. (c)
1.23%, 08/12/03 9,985,650
5,000,000 Newbury Funding (c)
1.12%, 10/24/03 4,982,111
5,000,000 Sheffield Receivables Corp. (c)
1.20%, 07/08/03 4,998,834
------------
84,909,230
------------
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-1
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2003 (Unaudited)
- -------------------------------------------------------------------------------
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
Securities Broker - 5.8%
$20,000,000 Barton Capital Corp. (c)
1.25%, 07/07/03 $ 19,995,833
10,000,000 Goldman Sachs Promissory Note
1.35%, 07/25/03 10,000,000
------------
29,995,833
------------
Total Commercial Paper 145,698,939
------------
(Cost $145,698,939)
CERTIFICATES OF DEPOSIT - 2.9%
15,000,000 Associated Bank Green Bay
1.34%, 07/16/03 15,000,000
------------
Total Certificates of Deposit 15,000,000
------------
(Cost $15,000,000)
Shares
INVESTMENT COMPANIES - 7.6%
19,201,475 Bear Stearns Prime Money Market
Portfolio 19,201,475
110,405 Dreyfus Cash Management Plus Money
Market Fund 110,405
20,240,143 One Group Institutional Prime Money
Market Fund 20,240,143
------------
Total Investment Companies 39,552,023
------------
(Cost $39,552,023)
Total Investments - 100.5% 523,492,714
------------
(Cost $523,492,714)
Net Other Assets and Liabilities - (0.5)% (2,366,543)
------------
Total Net Assets - 100.0% $521,126,171
============
- ----------
(a) Effective yield at time of purchase.
(b) Variable rate security. The rate shown reflects rate in effect at period
end.
(c) 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, 2003, these securities
amounted to $159,912,715 or 30.7% of net assets. These securities have been
deemed to be liquid in accordance with procedures established by the Board
of Trustees.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2003, the aggregate cost of investment securities for tax purposes
was $523,492,714.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-2
Allmerica Investment Trust
STATEMENT OF ASSETS AND LIABILITIES . June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Money Market
Fund
- --------------------------------------------------------------------------------
ASSETS:
Total investments at value ................................... $523,492,714
Cash ......................................................... 26,118
Receivable for shares sold ................................... 1,341,932
Interest receivable .......................................... 1,473,199
Miscellaneous receivable ..................................... 1,737
------------
Total Assets .............................................. 526,335,700
------------
LIABILITIES:
Payable for investments purchased ............................ 5,000,000
Management fee payable ....................................... 132,792
Distribution fee payable ..................................... 64,799
Trustees' fees and expenses payable .......................... 1,049
Accrued expenses and other payables .......................... 10,889
------------
Total Liabilities ......................................... 5,209,529
------------
NET ASSETS ...................................................... $521,126,171
============
NET ASSETS consist of:
Paid-in capital .............................................. $521,008,388
Accumulated net realized gain on investments
sold ...................................................... 117,783
------------
TOTAL NET ASSETS ................................................ $521,126,171
============
Shares of beneficial interest outstanding
(unlimited authorization, no par value) ......................... 521,010,014
NET ASSET VALUE,
Offering and redemption price per share (Net
Assets/Shares Outstanding) ................................... $ 1.000
============
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-3
Allmerica Investment Trust
STATEMENT OF OPERATIONS . For the Six Months Ended June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Money Market
Fund
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest ..................................................... $4,413,129
----------
EXPENSES
Management fees .............................................. 899,934
Distribution fees ............................................ 450,701
Custodian and Fund accounting fees ........................... 90,661
Legal fees ................................................... 26,747
Audit fees ................................................... 23,210
Trustees' fees and expenses .................................. 25,061
Reports to shareholders ...................................... 15,722
Miscellaneous ................................................ 3,195
----------
Total expenses ............................................ 1,535,231
----------
NET INVESTMENT INCOME ........................................... 2,877,898
----------
NET REALIZED GAIN ON INVESTMENTS ................................ 80,778
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................................... $2,958,676
==========
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-4
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Money Market
Fund
- ------------------------------------------------------------------------------------
Six Months Ended
June 30, 2003 Year Ended
(Unaudited) December 31, 2002
- ------------------------------------------------------------------------------------
NET ASSETS at beginning of period .......... $ 704,804,637 $ 604,656,688
------------- -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................... 2,877,898 10,414,765
Net realized gain on investments
sold ................................. 80,778 48,471
------------- -------------
Net increase in net assets resulting
from operations ...................... 2,958,676 10,463,236
------------- -------------
Distributions to shareholders from net
investment income ....................... (2,877,898) (10,414,765)
------------- -------------
Capital share transactions:
Net proceeds from sales of shares ....... 121,525,921 962,438,922
Issued to shareholders in
reinvestment of distributions ........ 2,877,898 10,414,765
Cost of shares repurchased .............. (308,163,063) (872,754,209)
------------- -------------
Net increase (decrease) from
capital share transactions ........ (183,759,244) 100,099,478
------------- -------------
Total increase (decrease) in net
assets ............................ (183,678,466) 100,147,949
------------- -------------
NET ASSETS at end of period ................ $ 521,126,171 $ 704,804,637
============= =============
OTHER INFORMATION:
Share transactions:
Sold .................................... 121,525,921 962,438,922
Issued to shareholders in
reinvestment of distributions ........ 2,877,898 10,414,765
Repurchased ............................. (308,163,063) (872,754,209)
------------- -------------
Net increase (decrease) in shares
outstanding ....................... (183,759,244) 100,099,478
============= =============
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-5
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
Ratios/supplemental Data
------------------------------------------------
Ratios to Average Net Assets
-----------------------------------
Net
Asset Dividends Net Asset Net Assets
Value Net from Net Value End of Net
Year Ended Beginning Investment Investment End of Total Period Investment Operating Management
December 31, of Period Income Income Period Return (000's) Income Expenses Fee
- ------------ --------- ---------- ---------- --------- ------ ---------- ---------- --------- ----------
Money Market
Fund
2003/(a)/ $1.000 $0.005 $(0.005) $1.000 0.47%** $521,126 0.96%* 0.51%* 0.30%*
2002 1.000 0.016 (0.016) 1.000 1.66% 704,805 1.63% 0.45% 0.30%
2001 1.000 0.042 (0.042) 1.000 4.28% 604,657 4.11% 0.36% 0.31%
2000 1.000 0.062 (0.062) 1.000 6.40% 457,912 6.19% 0.31% 0.26%
1999 1.000 0.051 (0.051) 1.000 5.19% 513,606 5.09% 0.29% 0.24%
1998 1.000 0.054 (0.054) 1.000 5.51% 336,253 5.36% 0.32% 0.26%
- ----------
* Annualized.
** Not Annualized.
/(a)/ For the six months ended June 30, 2003 (Unaudited).
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-6
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940 ("the 1940 Act"), as amended, as an open-end, diversified
management investment company established as a Massachusetts business trust. The
Trust is intended to serve as an investment medium for (i) variable life
insurance policies and variable annuity contracts offered by insurance
companies, (ii) certain qualified pension and retirement plans, as permitted by
Treasury Regulations; and (iii) life insurance companies and advisers to the
Portfolios and their affiliates. Allmerica Financial Corporation ("AFC") has
ceased all new sales of proprietary variable annuities and life insurance
products. The Trust is comprised of nine managed investment portfolios
("Portfolios"). The accompanying financial statements and financial highlights
are those of the Money Market Fund (the "Portfolio").
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions at the date of the financial statements. Actual
results could differ from those estimates.
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
Security Valuation: Securities of the Portfolio are valued utilizing the
amortized cost valuation method, permitted in accordance with Rule 2a-7 under
the 1940 Act. This method involves valuing a portfolio security initially at its
cost and thereafter assuming a constant amortization to maturity of any discount
or premium.
Security Transactions and Investment Income: Security transactions are recorded
as of trade date. Realized gains and losses from security transactions are
determined on the basis of identified cost. Interest income, including
amortization of premium and accretion of discount on securities, is accrued
daily. Income distributions earned by the Portfolio from investments in certain
investment companies are recorded as interest income in the accompanying
financial statements.
Federal Income Taxes: The Trust treats each portfolio as a separate entity for
Federal income tax purposes. The Portfolio 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, the Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains, if any, for its fiscal year. In addition, by distributing
during each calendar year substantially all of its net investment income,
capital gains and certain other amounts, if any, the Portfolio will not be
subject to Federal excise tax. Therefore, no Federal income tax provision is
required.
Distributions to Shareholders: Dividends from net investment income are declared
and reinvested daily for the Portfolio. The Portfolio declares and distributes
all net realized capital gains, if any, at least annually. Distributions to
shareholders are recorded on the ex-dividend date.
Expenses: 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 based upon relative net assets among the respective
Portfolios and one other affiliated investment company, Allmerica Securities
Trust.
Forward Commitments: The Portfolio may enter into contracts to purchase
securities for a fixed price at a specified future date beyond customary
settlement time ("forward commitments"). If the Portfolio does so, it will
maintain cash or other liquid obligations having a value in an amount at all
times sufficient to meet the purchase price. Forward commitments involve a risk
of loss if the value of the security to be purchased declines prior to the
settlement date.
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F-7
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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Although the Portfolio generally will enter into forward commitments with the
intention of acquiring securities for its portfolio, it may dispose of a
commitment prior to settlement if its Sub-Adviser deems it appropriate to do so.
Repurchase Agreements: The Portfolio may engage in repurchase agreement
transactions with institutions that the Sub-Adviser has determined are
creditworthy pursuant to guidelines established by the Trust's Board of
Trustees. The 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 Sub-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.
3. INVESTMENT MANAGEMENT, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS
Management Fees: Allmerica Financial Investment Management Services, Inc. (the
"Manager"), a wholly-owned subsidiary of Allmerica Financial Life Insurance and
Annuity Company ("Allmerica Financial"), serves as investment manager and
administrator to the Trust. Allmerica Financial is a wholly-owned subsidiary of
AFC. Under the terms of the management agreement, the Portfolio pays a
management fee, calculated daily and payable monthly at annual rates of 0.35%
for the first $100,000,000 in average daily net assets, 0.30% for the next
$400,000,000 in average daily net assets, 0.25% for the next $250,000,000 in
average daily net assets, and 0.20% for average daily net assets in excess of
$750,000,000.
The Manager has entered into a Sub-Adviser Agreement for the management of the
investments of the Portfolio. The Manager is solely responsible for the payment
of all fees to the Sub-Adviser. The Sub-Adviser for the Portfolio is Opus
Investment Management, Inc., a wholly-owned subsidiary of Allmerica Financial
Corporation. Effective February 1, 2003, the name of Allmerica Asset Management,
Inc. was changed to Opus Investment Management, Inc.
Plan of Distribution and Service: The 12b-1 Plan permits the Portfolio to pay
Allmerica Financial and First Allmerica Financial Life Insurance Company, a
wholly-owned subsidiary of Allmerica Financial, for marketing and distribution
expenses to support the sale and distribution of the Portfolio's shares and the
provision of services to maintain and retain accounts. The 12b-1 Plan authorizes
payment of a distribution and service fee at an annual rate of up to 0.25% of
the Portfolio's average daily net assets. As directed by the Board of Trustees,
the Portfolio pays a distribution fee at an annual rate of 0.15% of the
Portfolio's average daily net assets.
Custodian, Fund Accounting, and Administrative Fees: Investors Bank & Trust
Company ("IBT") provides portfolio accounting and custody services to the Trust
and receives fees and reimbursement of certain out-of-pocket expenses for its
services from the Trust. The Manager has entered into an Administrative Services
Agreement with IBT, whereby IBT performs certain administrative services for the
Portfolio and is entitled to receive an administrative fee and reimbursement of
certain out-of-pocket expenses. The Manager is solely responsible for the
payment of the administrative fee to IBT. 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 AND WAIVER OF FEES
In the event normal operating expenses, excluding taxes, interest, broker
commissions, and extraordinary expenses, but including the management fee,
exceed 0.60% of average net assets, the Manager will voluntarily reimburse fees
and any expenses in excess of the expense limitation. Expense limitations may be
removed or revised at any time after the Portfolio's first fiscal year of
operations without prior notice to existing shareholders.
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F-8
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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5. 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 Portfolio, each without a par
value.
6. FOREIGN SECURITIES
The Portfolio may invest in only U.S. dollar denominated foreign securities.
Investing in foreign securities involves special risks not typically associated
with investing in securities of U.S. issuers. The risks include 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.
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F-9
Allmerica Investment Trust
REGULATORY DISCLOSURES (Unaudited)
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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 not insured or guaranteed by the
Federal Deposit Insurance Corporation or any other government agency. Although
the Portfolio seeks to preserve the value of your investment at a stable net
asset value of $1.00 per share, it is possible to lose money by investing in the
Portfolio.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Portfolio and are 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 and Allmerica
Investment Trust which include important information related to charges and
expenses.
CLIENT NOTICES (Unaudited)
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This report includes financial statements for the Money Market Fund of Allmerica
Investment Trust. It does not include financial statements for the separate
accounts that correspond to the insurance and/or annuity products included in
this report.
The SEC has modified mailing requirements for annual reports to allow a single
copy of this report to be delivered to customers who share the same last name
and address. This will automatically apply to all customers. If you would prefer
to receive your own copy, please notify us at the phone number listed on the
back cover of this report.
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F-10
[LOGO] ALLMERICA FINANCIAL(R)
THE ALLMERICA FINANCIAL COMPANIES
---------------------------------
The Hanover Insurance Company . Allmerica Financial Alliance Insurance Company
. Allmerica Financial Benefit Insurance Company
Citizens Insurance Company of America . Citizens Management Inc. . AMGRO, Inc.
. Financial Profiles, Inc.
VeraVest Investments, Inc. . VeraVest Investment Advisors, Inc.
. Opus Investment Management, Inc. . Allmerica Trust Company, N.A.
First Allmerica Financial Life Insurance Company
.. Allmerica Financial Life Insurance and Annuity Company (all states except NY)
11129SAR (6/03) 03-1471
Item 2. Code of Ethics
Not Applicable
Item 3. Audit Committee Financial Expert
Not Applicable
Item 4. Principal Accountant Fees and Services
Not Applicable
Item 5. Audit Committee of Listed Registrants
Not Applicable
Item 6. Reserved.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not Applicable
Item 8. Reserved.
Item 9. Controls and Procedures
(a) The registrant's principal executive and principal financial
officers have concluded that, based on their evaluation of the
effectiveness of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) as of the date within 90 days of the
filing date of this report on Form N-CSR, such disclosure
controls and procedures provide reasonable assurances that
material information relating to the registrant is made known
to them by the appropriate persons.
(b) Changes to internal control over financial reporting: Not
Applicable
Item 10. Exhibits
(a) Not Applicable
(b)(1) Separate certifications by the registrant's principal executive
officer and principal financial officer, pursuant to Section
302 of the Sarbanes-Oxley Act of 2002 and as required by Rule
30a-2(a) under the Investment Company Act of 1940, are attached
hereto as Exhibit 99.CERT.
(2) A certification by the registrant's principal executive officer
and principal financial officer, pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002 and as required by Rule 30a-2(b)
under the Investment Company Act of 1940 is attached hereto as
Exhibit 99.906 CERT.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Allmerica Investment Trust
By: /s/ John P. Kavanaugh
--------------------------------------
John P. Kavanaugh
President and Chairman
Date: August 19, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ John P. Kavanaugh
--------------------------------------
John P. Kavanaugh
President and Chairman
Date: August 19, 2003
By: /s/ Paul T. Kane
--------------------------------------
Paul T. Kane
Assistant Vice President and Treasurer
(Principal Accounting Officer and
Principal Financial Officer)
Date: August 19, 2003